UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-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
Faegre 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, 2020
Item 1. Reports to Stockholders.
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1 | The indices are defined on pages 24 to 26. |
2 | A basis point equals .01%. |
3 | ©2020 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. | |
As of October 31, 2020, the Equity Income Portfolio was rated against the following numbers of U.S.-domiciled Large Value Equity funds over the following time periods: 1,124 funds overall and 1,124 funds in the last three years. With respect to these Large Value Equity funds, the Equity Income Portfolio received an Overall Morningstar Rating™ of ★★★★★ stars and a Morningstar Rating™ of ★★★★★ stars for the three-year period. As of October 31, 2020, the Secured Options Portfolio (Advisor Class and Institutional Class) was rated against the following numbers of Option-based funds over the following time periods: 109 funds overall, 109 funds in the last three years, 63 funds in the last five years and 15 funds in the last ten years. With respect to these Option-based funds, the Secured Options 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 |
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periods, respectively. With respect to these Option-based funds, the Secured Options Portfolio (Institutional 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. As of October 31, 2020, 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: 389 funds overall, 389 funds in the last three years, 345 funds in the last five years and 247 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. Past performance is no guarantee of future results. Ratings for other share classes may differ. | |
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. 12/20. | |
Bond ratings are grades given to bonds that indicate their credit quality as determined by a private independent rating service such as S&P Global Ratings. 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. | |
A Portfolio’s holdings and allocations are subject to change and are not recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to a Portfolio’s Schedule of Investments contained in this report for a full listing of portfolio holdings. |
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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 10/31/20 | -1.90% | -3.29% | -0.31% | 10.87% | 6.30% | |||||
Five Years ended 10/31/20 | 7.17% | 5.97% | 5.54% | 11.79% | 9.39% | |||||
Ten Years ended 10/31/20 | 11.73% | 10.87% | 9.67% | 13.05% | 10.68% | |||||
Inception (02/27/04) through 10/31/201 | 8.48% | 7.87% | 7.10% | 8.91% | 7.26% | |||||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional Class | ||||||||||
Year ended 10/31/20 | -1.75% | -3.23% | -0.22% | 10.87% | 6.30% | |||||
Inception (12/30/15) through 10/31/202 | 7.67% | 6.45% | 5.94% | 12.34% | 10.15% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the period beginning February 28, 2004. |
2 | Benchmark returns are for the periods beginning December 30, 2015 for the Russell 1000® Index and January 1, 2016 for Morningstar Large Blend Average. |
The indices and certain terms are defined on pages 24 to 26. |
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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 10/31/20 | 10.68% | 7.31% | 8.42% | 29.22% | 25.92% | |||||
Five Years ended 10/31/20 | 12.32% | 10.68% | 9.59% | 17.32% | 14.43% | |||||
Ten Years ended 10/31/20 | 14.76% | 13.67% | 12.27% | 16.31% | 13.74% | |||||
Inception (02/27/04) through 10/31/201 | 10.41% | 9.71% | 8.81% | 10.82% | 9.07% | |||||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional Class | ||||||||||
Year ended 10/31/20 | 10.89% | 7.42% | 8.54% | 29.22% | 25.92% | |||||
Inception (11/05/15) through 10/31/202 | 12.45% | 10.75% | 9.68% | 17.15% | 14.55% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | Benchmark returns are for the period beginning February 28, 2004. |
2 | Benchmark returns are for the periods beginning November 5, 2015 for the Russell 1000® Growth Index and December 1, 2015 for Morningstar Large Growth Average. |
The indices and certain terms are defined on pages 24 to 26. |
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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 10/31/20 | -10.19% | -10.96% | -5.97% | -7.57% | -7.37% | |||||
Inception (11/13/17) through 10/31/20 | -1.46% | -2.02% | -1.20% | 1.95% | 0.45% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 24 to 26. |
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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 10/31/20 | -7.37% | -7.61% | -4.31% | -0.14% | -6.45% | |||||
Inception (11/13/17) through 10/31/20 | -0.90% | -1.08% | -0.71% | 2.84% | -1.76% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 24 to 26. |
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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 World ex USA Index | MSCI EAFE Index | Morningstar Foreign Large Blend Average | ||||||
Year ended 10/31/20 | -11.10% | -12.09% | -6.44% | -6.79% | -6.86% | -4.19% | ||||||
Five Years ended 10/31/20 | 0.12% | -0.33% | 0.22% | 2.98% | 2.85% | 3.02% | ||||||
Ten Years ended 10/31/20 | 1.09% | 0.74% | 1.00% | 3.59% | 3.82% | 3.40% | ||||||
Inception (11/17/88) through 10/31/201 | 5.78% | 4.59% | 4.70% | 4.36% | 4.23% | 5.02% |
MSCI World ex USA Index,
* | 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 24 to 26. |
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Average Annual Total Return | |||||
Responsible ESG U.S. Equity Portfolio | Russell 1000® Index | Morningstar Large Blend Average | |||
Year ended 10/31/20 | 0.87% | 10.87% | 6.30% | ||
Inception (12/22/15) through 10/31/201 | 9.53% | 12.56% | 10.15% |
* | 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 24 to 26. |
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Average Annual Total Return | |||||
Women in Leadership U.S. Equity Portfolio | Russell 1000® Index | Morningstar Large Value Average | |||
Year ended 10/31/20 | -2.15% | 10.87% | -7.37% | ||
Inception (12/22/15) through 10/31/201 | 8.46% | 12.56% | 6.04% |
* | 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 24 to 26. |
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Average Annual Total Return | ||||||||||||
Quantitative U.S. Long/Short Equity Portfolio – Advisor Class | Russell 3000® Index | Bloomberg Barclays U.S. Treasury Bellwether 3-Month Index | Blended Index | Morningstar Long/Short Average | ||||||||
Year ended 10/31/20 | -7.07% | 10.15% | 0.92% | 4.21% | 2.03% | |||||||
Five Years ended 10/31/20 | -0.29% | 11.48% | 1.22% | 4.41% | 2.42% | |||||||
Ten Years ended 10/31/20 | 2.82% | 12.80% | 0.65% | 4.34% | 3.04% | |||||||
Inception (09/29/06) through 10/31/201 | 1.09% | 8.80% | 1.09% | 3.57% | 2.00% | |||||||
Quantitative U.S. Long/Short Equity Portfolio – Institutional Class | ||||||||||||
Year ended 10/31/20 | -6.78% | 10.15% | 0.92% | 4.21% | 2.03% | |||||||
Since Inception (09/13/19) through 10/31/202 | -6.56% | 10.11% | 1.09% | 4.72% | 0.42% |
* | 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 | Benchmark returns are for the periods beginning September 13, 2019 for the Russell 3000® Index and October 1, 2019 for Morningstar Long/Short Average. |
The indices and certain terms are defined on pages 24 to 26. |
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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 10/31/20 | -8.82% | 10.15% | -10.02% | ||
Five Years ended 10/31/20 | 4.86% | 11.48% | 3.64% | ||
Ten Years ended 10/31/20 | 9.22% | 12.80% | 7.71% | ||
Inception (12/21/06) through 10/31/201 | 5.30% | 8.41% | 5.18% |
* | 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 24 to 26. |
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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 | Dow Jones Industrial Average | Morningstar Large Blend Average | ||||||
Year ended 10/31/20 | -0.18% | -0.95% | 0.25% | 9.71% | 0.34% | 6.30% | ||||||
Five Years ended 10/31/20 | 10.08% | 8.59% | 7.70% | 11.71% | 11.12% | 9.39% | ||||||
Ten Years ended 10/31/20 | 11.16% | 9.67% | 8.84% | 13.01% | 11.82% | 10.68% | ||||||
Inception (07/20/89) through 10/31/201 | 8.69% | 7.32% | 7.02% | 9.86% | 10.40% | 8.24% |
* | 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 24 to 26. |
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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 10/31/20 | -1.63% | -0.14% | -13.92% | 9.71% | -6.45% | |||||||
Five Years ended 10/31/20 | 3.93% | 7.27% | 3.71% | 11.71% | 4.63% | |||||||
Ten Years ended 10/31/20 | 9.15% | 9.64% | 7.06% | 13.01% | 7.92% | |||||||
Inception (03/01/91) through 10/31/201 | 9.61% | 9.43% | 9.99% | 9.88% | 9.30% | |||||||
Small Cap Equity Portfolio – Institutional Class | ||||||||||||
Year ended 10/31/20 | -1.44% | -0.14% | -13.92% | 9.71% | -6.45% | |||||||
Five Years ended 10/31/20 | 4.14% | 7.27% | 3.71% | 11.71% | 4.63% | |||||||
Ten Years ended 10/31/20 | 9.38% | 9.64% | 7.06% | 13.01% | 7.92% | |||||||
Inception (01/02/98) through 10/31/202 | 7.23% | 7.07% | 6.84% | 7.48% | 7.17% |
* | 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 | Benchmark returns are for the inception period beginning January 2, 1998 for both Russell 2000® Indices and the S&P 500® Index and February 1, 1998 for the Morningstar Small Blend Average. |
The indices and certain terms are defined on pages 24 to 26. |
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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 10/31/20 | -14.20% | -7.57% | 9.71% | -7.37% | |||
Five Years ended 10/31/20 | 3.69% | 5.82% | 11.71% | 5.31% | |||
Ten Years ended 10/31/20 | 7.69% | 9.48% | 13.01% | 8.36% | |||
Inception (01/04/93) through 10/31/201 | 8.11% | 9.04% | 9.67% | 7.56% |
* | 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 24 to 26. |
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Average Annual Total Return | |||||
Equity Income Portfolio | S&P 500® Index | Morningstar Large Value Average | |||
Year ended 10/31/20 | -0.38% | 9.71% | -7.37% | ||
Inception (12/21/16) through 10/31/20 | 7.30% | 12.14% | 3.91% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 24 to 26. |
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Average Annual Total Return | ||||||||||
Secured Options Portfolio – Advisor Class | CBOE S&P 500® PutWrite Index1 | CBOE S&P 500® BuyWrite Index | S&P 500® Index | |||||||
Year ended 10/31/20 | -3.50% | -6.38% | -10.93% | 9.71% | ||||||
Five Years ended 10/31/20 | 3.98% | 3.07% | 2.98% | 11.71% | ||||||
Ten Years ended 10/31/20 | 6.59% | 5.76% | 5.44% | 13.01% | ||||||
Inception (06/30/10) through 10/31/20 | 7.86% | 6.96% | 6.40% | 14.15% | ||||||
Secured Options Portfolio – Institutional Class | ||||||||||
Year ended 10/31/20 | -3.31% | -6.38% | -10.93% | 9.71% | ||||||
Inception (11/09/16) through 10/31/20 | 3.60% | 2.38% | 2.34% | 13.15% |
* | Assumes the reinvestment of all dividends and distributions. |
1 | The Portfolio has changed its primary benchmark index to the CBOE S&P 500® PutWrite Index because the Investment Advisor believes that, given the Portolio’s investment strategy, the CBOE S&P 500® PutWrite Index provides a more appropriate basis for performance comparison than the CBOE S&P 500® BuyWrite Index. |
The indices and certain terms are defined on pages 24 to 26. |
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Average Annual Total Return | |||||
Global Secured Options Portfolio | MSCI All Country World Index | MSCI EAFE Index | |||
Year ended 10/31/20 | -1.07% | 4.89% | -6.86% | ||
Five Years ended 10/31/20 | 3.10% | 8.11% | 2.85% | ||
Inception (09/28/12) through 10/31/20 | 3.41% | 8.52% | 4.68% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 24 to 26. |
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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 10/31/20 | 5.82% | 6.19% | 5.95% | ||
Five Years ended 10/31/20 | 3.48% | 4.08% | 3.95% | ||
Ten Years ended 10/31/20 | 2.94% | 3.55% | 3.50% | ||
Inception (11/17/88) through 10/31/201 | 5.75% | 6.20% | 5.59% |
* | 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 24 to 26. |
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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 10/31/20 | 1.96% | 1.62% | 1.25% | 2.20% | 1.92% | |||||
Inception (06/29/16) through 10/31/201 | 1.29% | 1.14% | 1.05% | 1.57% | 1.43% |
* | 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 24 to 26. |
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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 10/31/20 | 1.09% | -0.32% | 1.66% | 3.59% | 0.18% | ||||
Inception (12/22/15) through 10/31/201 | 4.16% | 5.01% | 4.42% | 3.60% | 3.89% |
* | 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 24 to 26. |
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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 10/31/20 | 3.64% | 3.54% | 2.79% | ||
Five Years ended 10/31/20 | 2.70% | 2.80% | 2.96% | ||
Ten Years ended 10/31/20 | 2.45% | 2.95% | 3.07% | ||
Inception (06/05/92) through 10/31/20 | 3.95% | N/A* | 4.22% |
* | 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 24 to 26. |
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Beginning Account Value (May 1, 2020) | Ending Account Value (October 31, 2020) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2020 to October 31, 2020) | ||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor | |||||||
Actual | $1,000.00 | $1,108.90 | 0.87% | $ 4.61 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.80 | 0.87 | 4.42 | |||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,110.00 | 0.68 | 3.61 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.70 | 0.68 | 3.46 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,138.40 | 0.89 | 4.78 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.70 | 0.89 | 4.52 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,139.50 | 0.69 | 3.71 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.70 | 0.69 | 3.51 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Actual | 1,000.00 | 1,090.40 | 0.85 | 4.47 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.32 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Actual | 1,000.00 | 1,139.50 | 0.85 | 4.57 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.32 | |||
Quantitative International Equity Portfolio | |||||||
Actual | 1,000.00 | 1,071.50 | 1.00 | 5.21 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.10 | 1.00 | 5.08 | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 1,113.60 | 0.85 | 4.52 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.32 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 1,118.20 | 0.85 | 4.53 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.32 | |||
Quantitative U.S. Long/Short Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,040.50 | 2.50 | 12.82 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,012.60 | 2.50 | 12.65 | |||
Quantitative U.S. Long/Short Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,042.40 | 2.22 | 11.40 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,014.00 | 2.22 | 11.24 |
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Beginning Account Value (May 1, 2020) | Ending Account Value (October 31, 2020) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2020 to October 31, 2020) | ||||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Actual | $1,000.00 | $1,125.00 | 2.04% | $10.90 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,014.90 | 2.04 | 10.33 | |||
Strategic Equity Portfolio | |||||||
Actual | 1,000.00 | 1,099.90 | 0.88 | 4.65 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.70 | 0.88 | 4.47 | |||
Small Cap Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,200.20 | 0.95 | 5.25 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.40 | 0.95 | 4.82 | |||
Small Cap Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,201.30 | 0.75 | 4.15 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.40 | 0.75 | 3.81 | |||
Large Cap Value Portfolio | |||||||
Actual | 1,000.00 | 1,019.10 | 1.21 | 6.14 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.10 | 1.21 | 6.14 | |||
Equity Income Portfolio | |||||||
Actual | 1,000.00 | 1,076.50 | 0.85 | 4.44 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.32 | |||
Secured Options Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,074.60 | 0.89 | 4.64 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.70 | 0.89 | 4.52 | |||
Secured Options Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,075.90 | 0.69 | 3.60 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.70 | 0.69 | 3.51 | |||
Global Secured Options Portfolio | |||||||
Actual | 1,000.00 | 1,133.50 | 1.00 | 5.36 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.10 | 1.00 | 5.08 | |||
Core Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,002.70 | 0.55 | 2.77 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.40 | 0.55 | 2.80 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,019.90 | 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 | 1,088.30 | 1.00 | 5.25 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.10 | 1.00 | 5.08 |
* | Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), which is net of fee waivers, and include 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 (366 days). |
28 |
Beginning Account Value (May 1, 2020) | Ending Account Value (October 31, 2020) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2020 to October 31, 2020) | ||||
Muni Intermediate Portfolio | |||||||
Actual | $1,000.00 | $1,036.20 | 0.25% | $1.28 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,023.90 | 0.25 | 1.27 |
* | 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 (366 days). |
29 |
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 | $ 1,232,545,584 | $ 2,193,058,104 | $ 1,579,459 | ||
Repurchase agreements at value1 | 7,364,666 | 13,512,189 | 9,041 | ||
Receivable from Advisor | — | — | 2,415 | ||
Receivable for fund shares sold | 204,330 | 978,568 | — | ||
Dividends receivable | 1,784,953 | 696,905 | 3,484 | ||
Prepaid expenses | 9,004 | 13,674 | 9 | ||
Total assets | 1,241,908,537 | 2,208,259,440 | 1,594,408 | ||
Liabilities: | |||||
Payable for fund shares redeemed | 1,526,524 | 2,919,279 | — | ||
Payable for Management fees | 614,078 | 1,093,726 | 844 | ||
Payable for Directors’ fees | 41,210 | 73,125 | 39 | ||
Payable for Shareholder Servicing fees | 192,041 | 299,617 | 307 | ||
Accrued expenses | 352,426 | 656,004 | 5,718 | ||
Total liabilities | 2,726,279 | 5,041,751 | 6,908 | ||
Net Assets | $1,239,182,258 | $2,203,217,689 | $ 1,587,500 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 49,588 | $ 68,807 | $ 176 | ||
Paid-in capital in excess of par value | 907,528,752 | 1,268,641,734 | 1,751,677 | ||
Total distributable earnings | 331,603,918 | 934,507,148 | (164,353) | ||
Total Net Assets | $1,239,182,258 | $2,203,217,689 | $ 1,587,500 | ||
Shares Outstanding2 | 49,587,649 | 68,806,514 | 175,776 | ||
Net Asset Value Per Share | $ — | $ — | $ 9.03 | ||
Advisor Class — based on net assets of $1,066,152,949 and $1,659,543,083, respectively and shares outstanding of 42,664,613 and 51,829,079, respectively | 24.99 | 32.02 | — | ||
Institutional Class — based on net assets of $173,029,309 and $543,674,606, respectively and shares outstanding of 6,923,036 and 16,977,435, respectively | 24.99 | 32.02 | — | ||
1 Investments at cost | $ 1,010,044,732 | $ 1,582,584,787 | $ 1,552,836 | ||
2 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 | — |
30 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 1,001,605 | $ 61,739,738 | $ 22,198,105 | ||
Repurchase agreements at value1 | 6,592 | 208,341 | 88,260 | ||
Cash | — | 22,105 | — | ||
Receivable from Advisor | 2,613 | — | 1,653 | ||
Receivable for securities sold | — | 156,248 | — | ||
Receivable for fund shares sold | — | 35,000 | 50,114 | ||
Dividends receivable | 592 | 68,205 | 28,197 | ||
Securities lending income receivable | 29 | 10,542 | — | ||
Foreign tax reclaims receivable | — | 709,583 | — | ||
Prepaid expenses | 4 | 744 | 94 | ||
Total assets | 1,011,435 | 62,950,506 | 22,366,423 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | 22,578 | 9,236,137 | — | ||
Payable for fund shares redeemed | — | 331,750 | — | ||
Payable for Management fees | 477 | 39,617 | 10,870 | ||
Payable for Directors’ fees | 19 | 3,086 | 557 | ||
Payable for Shareholder Servicing fees | 173 | 12,678 | 3,953 | ||
Accrued expenses | 5,864 | 25,122 | 9,494 | ||
Total liabilities | 29,111 | 9,648,390 | 24,874 | ||
Net Assets | $ 982,324 | $ 53,302,116 | $22,341,549 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 103 | $ 4,424 | $ 1,567 | ||
Paid-in capital in excess of par value | 1,009,643 | 63,856,099 | 19,200,609 | ||
Total distributable earnings | (27,422) | (10,558,407) | 3,139,373 | ||
Total Net Assets | $ 982,324 | $ 53,302,116 | $22,341,549 | ||
Shares Outstanding3 | 102,841 | 4,424,007 | 1,566,598 | ||
Net Asset Value Per Share | $ 9.55 | $ 12.05 | $ 14.26 | ||
1 Investments at cost | $ 960,162 | $ 60,485,318 | $ 18,295,480 | ||
2 Market value of securities on loan | $ 46,299 | $ 11,524,274 | $ — | ||
3 Authorized shares | 80,000,000 | 120,000,000 | 80,000,000 |
31 |
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 | $ 21,494,547 | $ 95,168,111 | $ 37,741,758 | ||
Repurchase agreements at value1 | 121,207 | 3,034,869 | 24,360 | ||
Receivable from Advisor | 2,662 | — | — | ||
Receivable for securities sold | — | — | 229,027 | ||
Receivable for fund shares sold | 50,000 | 20,264 | 49 | ||
Dividends receivable | 34,735 | 118,715 | 20,978 | ||
Securities lending income receivable | — | 255 | 86 | ||
Cash collateral on deposit at broker (Note 1) | — | 68,510,403 | — | ||
Prepaid expenses | 85 | 949 | 246 | ||
Total assets | 21,703,236 | 166,853,566 | 38,016,504 | ||
Liabilities: | |||||
Due to custodian | — | — | 1,622 | ||
Payable for securities purchased | — | 983,351 | 95,400 | ||
Obligation to return securities lending collateral | — | 1,673,545 | 309,468 | ||
Payable for fund shares redeemed | — | 278,942 | 32,040 | ||
Dividend payable on securities sold short | — | 49,293 | 6,319 | ||
Payable for securities sold short, at value3 | — | 66,656,482 | 9,060,615 | ||
Payable for Management fees | 10,481 | 96,432 | 30,006 | ||
Payable for Directors’ fees | 518 | 4,171 | 1,089 | ||
Payable for Shareholder Servicing fees | 3,811 | 17,489 | 5,277 | ||
Accrued expenses | 10,066 | 80,785 | 28,042 | ||
Total liabilities | 24,876 | 69,840,490 | 9,569,878 | ||
Net Assets | $21,678,360 | $ 97,013,076 | $ 28,446,626 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 1,604 | $ 8,776 | $ 1,854 | ||
Paid-in capital in excess of par value | 19,032,762 | 93,630,416 | 16,205,469 | ||
Total distributable earnings | 2,643,994 | 3,373,884 | 12,239,303 | ||
Total Net Assets | $21,678,360 | $ 97,013,076 | $ 28,446,626 | ||
Shares Outstanding4 | 1,603,517 | 8,776,042 | 1,854,221 | ||
Net Asset Value Per Share | $ 13.52 | $ — | $ 15.34 | ||
Advisor Class — based on net assets of $96,701,659 and shares outstanding of 8,747,905 | — | 11.05 | — | ||
Institutional Class — based on net assets of $311,417 and shares outstanding of 28,137 | — | 11.07 | — | ||
1 Investments at cost | $ 18,700,839 | $ 83,208,032 | $ 30,120,220 | ||
2 Market value of securities on loan | $ — | $ 2,696,651 | $ 910,366 | ||
3 Proceeds from securities sold short | $ — | $ 70,395,640 | $ 10,260,796 | ||
4 Authorized shares | 80,000,000 | — | 120,000,000 | ||
Authorized shares - Advisor Class | — | 120,000,000 | — | ||
Authorized shares - Institutional Class | — | 120,000,000 | — |
32 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 217,493,647 | $ 1,249,013,899 | $ 18,984,753 | ||
Repurchase agreements at value1 | 1,654,860 | 15,285,160 | 299,909 | ||
Receivable for securities sold | 500,347 | — | — | ||
Receivable for fund shares sold | 148 | 1,156,991 | 2,036 | ||
Dividends receivable | 211,099 | 574,622 | 28,535 | ||
Securities lending income receivable | — | 3,205 | — | ||
Foreign tax reclaims receivable | — | — | 2,527 | ||
Prepaid expenses | 1,077 | 7,733 | 152 | ||
Total assets | 219,861,178 | 1,266,041,610 | 19,317,912 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | 24,422,056 | — | ||
Payable for fund shares redeemed | 206,950 | 1,205,669 | — | ||
Payable for Management fees | 108,504 | 601,800 | 9,576 | ||
Payable for Directors’ fees | 6,044 | 38,902 | 815 | ||
Payable for Shareholder Servicing fees | 39,456 | 126,493 | 3,482 | ||
Accrued expenses | 53,660 | 322,011 | 16,697 | ||
Total liabilities | 414,614 | 26,716,931 | 30,570 | ||
Net Assets | $219,446,564 | $1,239,324,679 | $ 19,287,342 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 8,304 | $ 51,339 | $ 2,520 | ||
Paid-in capital in excess of par value | 116,414,820 | 1,372,775,927 | 20,280,240 | ||
Total distributable earnings | 103,023,440 | (133,502,587) | (995,418) | ||
Total Net Assets | $219,446,564 | $1,239,324,679 | $ 19,287,342 | ||
Shares Outstanding3 | 8,304,178 | 51,339,441 | 2,520,452 | ||
Net Asset Value Per Share | $ 26.43 | $ — | $ 7.65 | ||
Advisor Class — based on net assets of $403,309,237 and shares outstanding of 17,362,012 | — | 23.23 | — | ||
Institutional Class — based on net assets of $836,015,442 and shares outstanding of 33,977,429 | — | 24.61 | — | ||
1 Investments at cost | $ 128,703,702 | $ 1,151,410,222 | $ 18,185,445 | ||
2 Market value of securities on loan | $ — | $ 36,822,864 | $ — | ||
3 Authorized shares | 150,000,000 | — | 175,000,000 | ||
Authorized shares - Advisor Class | — | 180,000,000 | — | ||
Authorized shares - Institutional Class | — | 135,000,000 | — |
33 |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Assets: | |||||
Investments at value1 | $ 18,231,748 | $ 890,664,796 | $ 11,956,668 | ||
Repurchase agreements at value1 | 396,744 | 2,462,918 | 869,531 | ||
Receivable from Advisor | 4,828 | — | 10,431 | ||
Receivable for securities sold | 249,778 | — | — | ||
Receivable for fund shares sold | — | 238,143 | — | ||
Dividends receivable | 24,007 | — | — | ||
Cash collateral on deposit at broker (Note 1) | — | 12,254,939 | 2,423,729 | ||
Foreign tax reclaims receivable | — | — | 33,730 | ||
Prepaid expenses | 96 | 2,560 | 6 | ||
Total assets | 18,907,201 | 905,623,356 | 15,294,095 | ||
Liabilities: | |||||
Payable for fund shares redeemed | 323,622 | 359,349 | — | ||
Options written, at value2 | — | 454,524,500 | 5,627,575 | ||
Payable for Management fees | 9,117 | 216,400 | 4,476 | ||
Payable for Directors’ fees | 466 | 13,293 | 143 | ||
Payable for Shareholder Servicing fees | 3,315 | 17,109 | 1,628 | ||
Accrued expenses | 10,861 | 117,796 | 12,601 | ||
Total liabilities | 347,381 | 455,248,447 | 5,646,423 | ||
Net Assets | $18,559,820 | $450,374,909 | $ 9,647,672 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 1,562 | $ 38,336 | $ 1,994 | ||
Paid-in capital in excess of par value | 16,480,512 | 480,051,039 | 15,894,088 | ||
Total distributable earnings | 2,077,746 | (29,714,466) | (6,248,410) | ||
Total Net Assets | $18,559,820 | $450,374,909 | $ 9,647,672 | ||
Shares Outstanding3 | 1,561,925 | 38,336,090 | 1,994,048 | ||
Net Asset Value Per Share | $ 11.88 | $ — | $ 4.84 | ||
Advisor Class — based on net assets of $95,701,268 and shares outstanding of 8,200,431 | — | 11.67 | — | ||
Institutional Class — based on net assets of $354,673,641 and shares outstanding of 30,135,659 | — | 11.77 | — | ||
1 Investments at cost | $ 16,298,273 | $ 903,589,890 | $ 13,038,744 | ||
2 Premiums received from options written | $ — | $ 460,305,218 | $ 5,611,117 | ||
3 Authorized shares | 80,000,000 | — | 120,000,000 | ||
Authorized shares - Advisor Class | — | 160,000,000 | — | ||
Authorized shares - Institutional Class | — | 160,000,000 | — |
34 |
Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 418,715,178 | $ 52,010,423 | $ 229,589,895 | ||
Repurchase agreements at value1 | 23,325,790 | 2,062,165 | — | ||
Cash | — | — | 1,782,847 | ||
Receivable from Advisor | — | 3,025 | 9,637 | ||
Receivable for securities sold | — | 818,868 | 266,762 | ||
Receivable for fund shares sold | 20,074 | 350,000 | — | ||
Dividends receivable | — | 207 | — | ||
Interest receivable | 2,245,834 | 537,559 | 3,088,414 | ||
Securities lending income receivable | 18 | 2 | — | ||
Prepaid expenses | 1,919 | 203 | 822 | ||
Total assets | 444,308,813 | 55,782,452 | 234,738,377 | ||
Liabilities: | |||||
Payable for securities purchased | 6,959,424 | — | 773,365 | ||
Obligation to return securities lending collateral | 45,473 | 26,350 | — | ||
Payable for when-issued securities purchased | — | 2,174,325 | 947,939 | ||
Payable for fund shares redeemed | 57,535 | 18,201 | — | ||
Payable for Management fees | 130,089 | 15,669 | 127,146 | ||
Payable for Directors’ fees | 11,494 | 1,318 | 5,261 | ||
Payable for Shareholder Servicing fees | 37,168 | 4,477 | 48,902 | ||
Accrued expenses | 93,108 | 17,464 | 53,209 | ||
Total liabilities | 7,334,291 | 2,257,804 | 1,955,822 | ||
Net Assets | $436,974,522 | $53,524,648 | $232,782,555 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 37,306 | $ 5,269 | $ 21,857 | ||
Paid-in capital in excess of par value | 402,915,991 | 52,918,235 | 225,186,211 | ||
Total distributable earnings | 34,021,225 | 601,144 | 7,574,487 | ||
Total Net Assets | $436,974,522 | $53,524,648 | $232,782,555 | ||
Shares Outstanding3 | 37,305,651 | 5,269,135 | 21,857,103 | ||
Net Asset Value Per Share | $ 11.71 | $ 10.16 | $ 10.65 | ||
1 Investments at cost | $ 415,647,254 | $ 53,390,256 | $ 222,472,150 | ||
2 Market value of securities on loan | $ 44,577 | $ 25,500 | $ — | ||
3 Authorized shares | 160,000,000 | 80,000,000 | 80,000,000 |
35 |
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 | $ 34,022,229 | $ 37,861,498 | $ 56,886 | ||
Interest | 1,846 | 7,811 | — | ||
Income from security lending | 191,818 | 357,832 | 9 | ||
Total investment income | 34,215,893 | 38,227,141 | 56,895 | ||
Expenses: | |||||
Management fees | 9,331,142 | 16,372,897 | 10,431 | ||
Administration, transfer agent and custody fees | 1,359,703 | 2,488,852 | 28,886 | ||
Professional fees | 214,431 | 382,427 | 249 | ||
Shareholder report expenses | 195,675 | 433,628 | 1,400 | ||
Shareholder servicing fees | — | — | 3,793 | ||
Shareholder servicing fees (Advisor Class) | 2,655,522 | 3,925,334 | — | ||
Directors’ fees and expenses | 157,273 | 284,265 | 176 | ||
Registration and filing fees | 61,317 | 71,508 | 3,838 | ||
Other expenses | 107,656 | 165,048 | 1,584 | ||
Total expenses | 14,082,719 | 24,123,959 | 50,357 | ||
Less expenses waived/reimbursed | — | — | (34,236) | ||
Net expenses | 14,082,719 | 24,123,959 | 16,121 | ||
Net investment income | 20,133,174 | 14,103,182 | 40,774 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 128,888,690 | 438,705,478 | (130,329) | ||
Net change in unrealized loss of: | |||||
Investments | (284,112,813) | (215,973,181) | (117,380) | ||
Net realized and unrealized gain (loss) | (155,224,123) | 222,732,297 | (247,709) | ||
Net increase (decrease) in net assets resulting from operations | $(135,090,949) | $ 236,835,479 | $(206,935) |
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 $29,565 and $17, respectively. |
36 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $ 13,440 | $ 3,518,894 | $ 431,010 | ||
Interest | — | 85 | 39 | ||
Income from security lending | 1,342 | 165,330 | 503 | ||
Total investment income | 14,782 | 3,684,309 | 431,552 | ||
Expenses: | |||||
Management fees | 5,412 | 925,327 | 126,677 | ||
Administration, transfer agent and custody fees | 31,268 | 122,775 | 38,832 | ||
Professional fees | 117 | 15,002 | 2,889 | ||
Shareholder report expenses | 1,348 | 4,997 | 2,738 | ||
Shareholder servicing fees | 1,968 | 308,442 | 46,064 | ||
Directors’ fees and expenses | 82 | 11,491 | 2,161 | ||
Registration and filing fees | 3,838 | 21,939 | 19,019 | ||
Other expenses | 1,543 | 8,579 | 2,617 | ||
Total expenses | 45,576 | 1,418,552 | 240,997 | ||
Less expenses waived/reimbursed | (37,211) | (184,783) | (45,224) | ||
Net expenses | 8,365 | 1,233,769 | 195,773 | ||
Net investment income | 6,417 | 2,450,540 | 235,779 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (33,182) | (6,604,538) | (764,383) | ||
Foreign currency transactions | — | 2,026 | — | ||
Net realized loss | (33,182) | (6,602,512) | (764,383) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (51,687) | (17,865,705) | 776,392 | ||
Foreign currency translation | — | (160) | — | ||
Net change in unrealized gain (loss) | (51,687) | (17,865,865) | 776,392 | ||
Net realized and unrealized gain (loss) | (84,869) | (24,468,377) | 12,009 | ||
Net increase (decrease) in net assets resulting from operations | $(78,452) | $(22,017,837) | $ 247,788 |
1 | The Quantitative U.S. Small Cap Equity Portfolio and the Quantitative International Equity Portfolio had foreign dividend withholding taxes of $11 and $202,763, respectively. |
37 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Investment income: | |||||
Dividends | $ 436,719 | $ 3,136,048 | $ 1,103,646 | ||
Interest | 51 | 287,146 | 18 | ||
Income from security lending | 124 | 3,894 | 786 | ||
Total investment income | 436,894 | 3,427,088 | 1,104,450 | ||
Expenses: | |||||
Management fees | 118,040 | 2,017,352 | 529,737 | ||
Administration, transfer agent and custody fees | 42,449 | 247,995 | 116,383 | ||
Professional fees | 2,677 | 21,301 | 5,340 | ||
Shareholder report expenses | 2,776 | 17,415 | 6,641 | ||
Shareholder servicing fees | 42,924 | — | 88,290 | ||
Shareholder servicing fees (Advisor Class) | — | 336,002 | — | ||
Dividends on securities sold short | — | 2,321,797 | 247,528 | ||
Directors’ fees and expenses | 2,001 | 15,952 | 4,121 | ||
Short position flex fees | — | — | 108,235 | ||
Registration and filing fees | 19,019 | 36,861 | 22,004 | ||
Other expenses | 2,517 | 13,160 | 3,922 | ||
Total expenses | 232,403 | 5,027,835 | 1,132,201 | ||
Less expenses waived/reimbursed | (49,978) | (604,853) | (224,628) | ||
Net expenses | 182,425 | 4,422,982 | 907,573 | ||
Net investment income (loss) | 254,469 | (995,894) | 196,877 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (262,148) | 8,573,186 | 5,250,232 | ||
Securities sold short | — | (10,839,706) | (221,202) | ||
Net realized gain (loss) | (262,148) | (2,266,520) | 5,029,030 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (262,719) | (27,167,241) | (12,627,092) | ||
Securities sold short | — | 11,205,471 | 346,934 | ||
Net change in unrealized loss | (262,719) | (15,961,770) | (12,280,158) | ||
Net realized and unrealized loss | (524,867) | (18,228,290) | (7,251,128) | ||
Net decrease in net assets resulting from operations | $(270,398) | $(19,224,184) | $ (7,054,251) |
38 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Investment income: | |||||
Dividends1 | $ 4,105,925 | $ 16,458,029 | $ 898,226 | ||
Interest | 2,397 | 6,109 | 34 | ||
Income from security lending | 8,453 | 88,389 | 666 | ||
Total investment income | 4,116,775 | 16,552,527 | 898,926 | ||
Expenses: | |||||
Management fees | 1,367,720 | 8,738,666 | 158,683 | ||
Administration, transfer agent and custody fees | 177,551 | 1,332,039 | 76,549 | ||
Professional fees | 31,703 | 198,641 | 3,490 | ||
Shareholder report expenses | 10,820 | 474,238 | 3,403 | ||
Shareholder servicing fees | 497,353 | — | 57,703 | ||
Shareholder servicing fees (Advisor Class) | — | 1,353,861 | — | ||
Shareholder servicing fees (Institutional Class) | — | 523,652 | — | ||
Directors’ fees and expenses | 23,347 | 142,534 | 2,722 | ||
Registration and filing fees | 20,954 | 41,224 | 20,654 | ||
Other expenses | 12,329 | 98,162 | 3,047 | ||
Total expenses | 2,141,777 | 12,903,017 | 326,251 | ||
Net expenses | 2,141,777 | 12,903,017 | 326,251 | ||
Net investment income | 1,974,998 | 3,649,510 | 572,675 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 14,495,061 | (112,418,584) | (1,993,208) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (21,934,091) | 34,905,724 | (4,012,904) | ||
Net realized and unrealized loss | (7,439,030) | (77,512,860) | (6,006,112) | ||
Net decrease in net assets resulting from operations | $ (5,464,032) | $ (73,863,350) | $(5,433,437) |
1 | The Large Cap Value Portfolio had foreign dividend withholding taxes of $3,912. |
39 |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Investment income: | |||||
Dividends1 | $ 656,522 | $ 285,999 | $ 94 | ||
Interest | 117 | 1,121,465 | 10,364 | ||
Income from security lending | 130 | — | — | ||
Total investment income | 656,769 | 1,407,464 | 10,458 | ||
Expenses: | |||||
Management fees | 118,164 | 3,002,857 | 33,806 | ||
Administration, transfer agent and custody fees | 48,294 | 457,253 | 50,739 | ||
Professional fees | 2,809 | 69,197 | 7,093 | ||
Shareholder report expenses | 2,406 | 53,693 | 375 | ||
Shareholder servicing fees | 42,968 | — | 12,293 | ||
Shareholder servicing fees (Advisor Class) | — | 341,315 | — | ||
Directors’ fees and expenses | 2,009 | 51,120 | 530 | ||
Registration and filing fees | 4,697 | 47,997 | 24,542 | ||
Other expenses | 2,602 | 34,510 | 1,648 | ||
Total expenses | 223,949 | 4,057,942 | 131,026 | ||
Less expenses waived/reimbursed | (41,334) | — | (69,559) | ||
Net expenses | 182,615 | 4,057,942 | 61,467 | ||
Net investment income (loss) | 474,154 | (2,650,478) | (51,009) | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 205,837 | 3,281 | (248,440) | ||
Written options | — | (33,912,772) | 2,359,005 | ||
Purchased options | — | 19,802,905 | (1,340,973) | ||
Net realized gain (loss) | 205,837 | (14,106,586) | 769,592 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (1,105,315) | 1,134,553 | 28,350 | ||
Written options | — | 17,907,154 | (29,511) | ||
Purchased options | — | (40,988,616) | (241,104) | ||
Net change in unrealized loss | (1,105,315) | (21,946,909) | (242,265) | ||
Net realized and unrealized gain (loss) | (899,478) | (36,053,495) | 527,327 | ||
Net increase (decrease) in net assets resulting from operations | $ (425,324) | $(38,703,973) | $ 476,318 |
1 | The Global Secured Options Portfolio had foreign dividend withholding taxes of $712. |
40 |
Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | |||
Investment income: | |||||
Dividends | $ — | $ 25,820 | $ — | ||
Interest | 10,990,870 | 859,748 | 8,402,305 | ||
Income from security lending | 3,620 | 2,696 | — | ||
Total investment income | 10,994,490 | 888,264 | 8,402,305 | ||
Expenses: | |||||
Management fees | 1,653,082 | 190,241 | 1,417,801 | ||
Administration, transfer agent and custody fees | 289,316 | 72,018 | 183,408 | ||
Professional fees | 59,374 | 7,070 | 27,594 | ||
Shareholder report expenses | 19,609 | 3,540 | 12,717 | ||
Shareholder servicing fees | 472,309 | 54,355 | 545,308 | ||
Directors’ fees and expenses | 44,675 | 5,178 | 20,163 | ||
Registration and filing fees | 8,623 | 4,721 | 3,986 | ||
Other expenses | 22,575 | 3,923 | 12,070 | ||
Total expenses | 2,569,563 | 341,046 | 2,223,047 | ||
Less expenses waived/reimbursed | — | (42,095) | (41,815) | ||
Net expenses | 2,569,563 | 298,951 | 2,181,232 | ||
Net investment income | 8,424,927 | 589,313 | 6,221,073 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 12,432,548 | (27,703) | 112,362 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 6,354,560 | 377,357 | (3,856,588) | ||
Net realized and unrealized gain (loss) | 18,787,108 | 349,654 | (3,744,226) | ||
Net increase in net assets resulting from operations | $27,212,035 | $938,967 | $ 2,476,847 |
41 |
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 | $ 20,133,174 | $ 14,103,182 | $ 40,774 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 128,888,690 | 438,705,478 | (130,329) | ||
Net change in unrealized loss of: | |||||
Investments | (284,112,813) | (215,973,181) | (117,380) | ||
Net increase (decrease) in net assets resulting from operations | (135,090,949) | 236,835,479 | (206,935) | ||
Distributions from earnings | — | — | (40,984) | ||
Distributions from earnings: Advisor Class | (84,490,082) | (286,480,973) | — | ||
Distributions from earnings: Institutional Class | (32,621,110) | (164,957,341) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (857,128,116) | (1,070,901,369) | (204,252) | ||
Net increase (decrease) in net assets | (1,109,330,257) | (1,285,504,204) | (452,171) | ||
NET ASSETS: | |||||
Beginning of year | 2,348,512,515 | 3,488,721,893 | 2,039,671 | ||
End of year | $ 1,239,182,258 | $ 2,203,217,689 | $1,587,500 |
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 |
42 |
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 | $ 6,417 | $ 2,450,540 | $ 235,779 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (33,182) | (6,604,538) | (764,383) | ||
Foreign currency transactions | — | 2,026 | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (51,687) | (17,865,705) | 776,392 | ||
Foreign currency translations | — | (160) | — | ||
Net increase (decrease) in net assets resulting from operations | (78,452) | (22,017,837) | 247,788 | ||
Distributions from earnings | (7,684) | (2,704,110) | (330,040) | ||
Return of capital distribution | — | (220,626) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 7,605 | (127,384,779) | (807,417) | ||
Net increase (decrease) in net assets | (78,531) | (152,327,352) | (889,669) | ||
NET ASSETS: | |||||
Beginning of year | 1,060,855 | 205,629,468 | 23,231,218 | ||
End of year | $ 982,324 | $ 53,302,116 | $22,341,549 |
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 |
43 |
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 (loss) | $ 254,469 | $ (995,894) | $ 196,877 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (262,148) | 8,573,186 | 5,250,232 | ||
Securities sold short | — | (10,839,706) | (221,202) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (262,719) | (27,167,241) | (12,627,092) | ||
Securities sold short | — | 11,205,471 | 346,934 | ||
Net increase (decrease) in net assets resulting from operations | (270,398) | (19,224,184) | (7,054,251) | ||
Distributions from earnings | (239,220) | — | (3,629,802) | ||
Return of capital distribution: Advisor Class | — | (182,275) | — | ||
Return of capital distribution: Institutional Class | — | (20) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 1,141,189 | (130,805,198) | (28,792,688) | ||
Net increase (decrease) in net assets | 631,571 | (150,211,677) | (39,476,741) | ||
NET ASSETS: | |||||
Beginning of year | 21,046,789 | 247,224,753 | 67,923,367 | ||
End of year | $21,678,360 | $ 97,013,076 | $ 28,446,626 |
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 |
44 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 1,974,998 | $ 3,649,510 | $ 572,675 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 14,495,061 | (112,418,584) | (1,993,208) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (21,934,091) | 34,905,724 | (4,012,904) | ||
Net increase (decrease) in net assets resulting from operations | (5,464,032) | (73,863,350) | (5,433,437) | ||
Distributions from earnings | (7,249,473) | — | (3,951,130) | ||
Distributions from earnings: Advisor Class | — | (1,061,071) | — | ||
Distributions from earnings: Institutional Class | — | (3,950,793) | — | ||
Return of capital distribution: Advisor Class | — | (54,112) | — | ||
Return of capital distribution: Institutional Class | — | (201,481) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (36,873,429) | (723,050,337) | (11,196,632) | ||
Net increase (decrease) in net assets | (49,586,934) | (802,181,144) | (20,581,199) | ||
NET ASSETS: | |||||
Beginning of year | 269,033,498 | 2,041,505,823 | 39,868,541 | ||
End of year | $219,446,564 | $1,239,324,679 | $ 19,287,342 |
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 |
45 |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $ 474,154 | $ (2,650,478) | $ (51,009) | ||
Net realized gain (loss) on: | |||||
Investment transactions | 205,837 | 3,281 | (248,440) | ||
Options written | — | (33,912,772) | 2,359,005 | ||
Purchased options | — | 19,802,905 | (1,340,973) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (1,105,315) | 1,134,553 | 28,350 | ||
Options written | — | 17,907,154 | (29,511) | ||
Purchased options | — | (40,988,616) | (241,104) | ||
Net increase (decrease) in net assets resulting from operations | (425,324) | (38,703,973) | 476,318 | ||
Distributions from earnings | (478,143) | — | (1,977) | ||
Distributions from earnings: Advisor Class | — | (18,937,857) | — | ||
Distributions from earnings: Institutional Class | — | (29,130,823) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (4,437,015) | (141,159,161) | 7,953,777 | ||
Net increase (decrease) in net assets | (5,340,482) | (227,931,814) | 8,428,118 | ||
NET ASSETS: | |||||
Beginning of year | 23,900,302 | 678,306,723 | 1,219,554 | ||
End of year | $18,559,820 | $ 450,374,909 | $ 9,647,672 |
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 | (896,308) | — | (1,499,811) 1 | ||
Distributions from earnings: Advisor Class | — | (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. |
46 |
Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 8,424,927 | $ 589,313 | $ 6,221,073 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 12,432,548 | (27,703) | 112,362 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 6,354,560 | 377,357 | (3,856,588) | ||
Net increase in net assets resulting from operations | 27,212,035 | 938,967 | 2,476,847 | ||
Distributions from earnings | (10,373,594) | (571,442) | (6,194,949) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (85,466,807) | 2,218,210 | 21,081,964 | ||
Net increase (decrease) in net assets | (68,628,366) | 2,585,735 | 17,363,862 | ||
NET ASSETS: | |||||
Beginning of year | 505,602,888 | 50,938,913 | 215,418,693 | ||
End of year | $436,974,522 | $53,524,648 | $232,782,555 |
Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 11,586,965 | $ 493,242 | $ 6,064,470 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (1,158,248) | 8,214 | 556,733 | ||
Net change in unrealized gain of: | |||||
Investments | 39,698,066 | 563,271 | 12,630,987 | ||
Net increase in net assets resulting from operations | 50,126,783 | 1,064,727 | 19,252,190 | ||
Distributions from earnings | (12,219,477) | (463,437) | (6,056,196) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (17,505,487) | 24,043,732 | 9,903,571 | ||
Net increase in net assets | 20,401,819 | 24,645,022 | 23,099,565 | ||
NET ASSETS: | |||||
Beginning of year | 485,201,069 | 26,293,891 | 192,319,128 | ||
End of year | $505,602,888 | $50,938,913 | $215,418,693 |
47 |
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 | $ (19,224,184) |
Investments purchased | (148,426,329) |
Investments sold | 279,845,513 |
Purchases to cover securities sold short | (222,742,332) |
Securities sold short | 118,582,341 |
(Purchase)/Sale of short term investments, net | (3,321,514) |
Decrease in Interest receivable | 181,751 |
Decrease in Cash collateral on deposit at broker | 108,509,968 |
Increase in Securities lending income receivable | (145) |
Decrease in Dividends receivable | 138,305 |
Increase in Prepaid expenses | (143) |
Increase in Obligation to return securities lending collateral | 286,645 |
Decrease in Dividends payable for securities sold short | (83,583) |
Decrease in Payable for Management fees | (82,359) |
Increase in Payable for Directors’ fees | 413 |
Decrease in Payable for Shareholder Servicing fees | (24,571) |
Increase in Accrued expenses | 35,924 |
Net realized gain from investments | (8,573,186) |
Net realized loss from securities sold short | 10,839,706 |
Net change in unrealized loss on investments | 27,167,241 |
Net change in unrealized gain on securities sold short | (11,205,471) |
Net cash provided by (used in) operating activities | 131,903,990 |
Cash flows from financing activities | |
Proceeds from shares sold | 9,187,901 |
Payments on shares redeemed | (139,753,345) |
Cash distributions paid | (162,177) |
Net cash provided by (used in) financing activities | (130,727,621) |
Net increase (decrease) in cash | 1,176,369 |
Cash at beginning of period | (1,176,369) |
Cash at end of period | $ — |
Supplemental disclosure of cash flow information |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $20,118. |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2020. |
48 |
Quantitative U.S. Total Market 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 | $ (7,054,251) |
Investments purchased | (42,624,596) |
Investments sold | 85,684,266 |
Purchases to cover securities sold short | (26,571,334) |
Securities sold short | 15,719,970 |
(Purchase)/Sale of short term investments, net | (333,828) |
Decrease in Receivable from Investment Advisor | 7,056 |
Decrease in Cash collateral on deposit at broker | 180,396 |
Decrease in Securities lending income receivable | 31 |
Decrease in Dividends receivable | 63,249 |
Increase in Prepaid expenses | (54) |
Increase in Obligation to return securities lending collateral | 129,072 |
Decrease in Dividends payable for securities sold short | (11,382) |
Decrease in Payable for Management fees | (18,817) |
Increase in Payable for Directors’ fees | 71 |
Decrease in Payable for Shareholder Servicing fees | (6,211) |
Decrease in Accrued expenses | (3,198) |
Net realized gain from investments | (5,250,232) |
Net realized loss from securities sold short | 221,202 |
Net change in unrealized loss on investments | 12,627,092 |
Net change in unrealized gain on securities sold short | (346,934) |
Net cash provided by (used in) operating activities | 32,411,568 |
Cash flows from financing activities | |
Proceeds from shares sold | 1,427,385 |
Payments on shares redeemed | (33,466,148) |
Cash distributions paid | (351,652) |
Net cash provided by (used in) financing activities | (32,390,415) |
Net increase (decrease) in cash | 21,153 |
Cash at beginning of period | (22,775) |
Cash at end of period | $ (1,622) |
Supplemental disclosure of cash flow information |
Cash paid for interest was $108,235. |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $3,278,150. |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2020. |
49 |
Quantitative U.S. Large Cap Core Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 1 | 2017 | 2016 1 | |||||
Net asset value, beginning of year | $ 26.89 | $ 27.88 | $ 28.08 | $ 22.36 | $ 22.34 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.29 | 0.35 | 0.29 | 0.23 | 0.25 | ||||
Net realized and unrealized gain (loss) on investments | (0.73) | 1.18 | 0.95 | 5.72 | 0.25 | ||||
Total from investment operations | (0.44) | 1.53 | 1.24 | 5.95 | 0.50 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.29) | (0.35) | (0.28) | (0.23) | (0.25) | ||||
Net realized capital gains | (1.17) | (2.17) | (1.16) | — | (0.23) | ||||
Total distributions | (1.46) | (2.52) | (1.44) | (0.23) | (0.48) | ||||
Net asset value, end of year | $ 24.99 | $ 26.89 | $ 27.88 | $ 28.08 | $ 22.36 | ||||
Total return | (1.90)% | 6.42% | 4.42% | 26.74% | 2.34% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,066,153 | $1,674,687 | $2,075,264 | $2,124,803 | $1,691,802 | ||||
Ratio of operating expenses to average net assets | 0.87% | 0.86% | 0.85% | 0.86% | 0.88% | ||||
Ratio of net investment income to average net assets | 1.15% | 1.32% | 1.02% | 0.94% | 1.14% | ||||
Portfolio turnover rate2 | 66% | 80% | 71% | 62% | 111% |
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 Year Ended October 31, | For the Period December 30, 20151 through October 31, 20162 | ||||||||
2020 2 | 2019 2 | 2018 | 2017 | ||||||
Net asset value, beginning of year | $ 26.91 | $ 27.89 | $ 28.09 | $ 22.37 | $ 21.85 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.34 | 0.40 | 0.34 | 0.27 | 0.29 | ||||
Net realized and unrealized gain (loss) on investments | (0.75) | 1.20 | 0.95 | 5.73 | 0.45 | ||||
Total from investment operations | (0.41) | 1.60 | 1.29 | 6.00 | 0.74 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.34) | (0.41) | (0.33) | (0.28) | (0.22) | ||||
Net realized capital gains | (1.17) | (2.17) | (1.16) | — | — | ||||
Total distributions | (1.51) | (2.58) | (1.49) | (0.28) | (0.22) | ||||
Net asset value, end of year | $ 24.99 | $ 26.91 | $ 27.89 | $ 28.09 | $ 22.37 | ||||
Total return | (1.75)% | 6.68% | 4.61% | 26.96% | 3.41% 3 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $173,029 | $673,825 | $767,117 | $549,352 | $274,982 | ||||
Ratio of operating expenses to average net assets | 0.67% | 0.66% | 0.65% | 0.66% | 0.68% 4 | ||||
Ratio of net investment income to average net assets | 1.32% | 1.52% | 1.22% | 1.12% | 1.31% 4 | ||||
Portfolio turnover rate5 | 66% | 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. |
50 |
Quantitative U.S. Large Cap Growth Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 | 2017 | 2016 1 | |||||
Net asset value, beginning of year | $ 33.08 | $ 32.52 | $ 31.54 | $ 24.76 | $ 24.70 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.12 | 0.16 | 0.16 | 0.16 | 0.16 | ||||
Net realized and unrealized gain on investments | 3.19 | 4.86 | 1.58 | 6.77 | 0.05 2 | ||||
Total from investment operations | 3.31 | 5.02 | 1.74 | 6.93 | 0.21 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.14) | (0.15) | (0.17) | (0.15) | (0.15) | ||||
Net realized capital gains | (4.23) | (4.31) | (0.59) | — | — | ||||
Total distributions | (4.37) | (4.46) | (0.76) | (0.15) | (0.15) | ||||
Net asset value, end of year | $ 32.02 | $ 33.08 | $ 32.52 | $ 31.54 | $ 24.76 | ||||
Total return | 10.68% | 18.50% | 5.53% | 28.05% | 0.87% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,659,543 | $2,237,727 | $2,660,858 | $3,076,616 | $2,988,342 | ||||
Ratio of operating expenses to average net assets | 0.88% | 0.86% | 0.85% | 0.86% | 0.88% | ||||
Ratio of net investment income to average net assets | 0.40% | 0.53% | 0.44% | 0.56% | 0.66% | ||||
Portfolio turnover rate3 | 69% | 80% | 63% | 69% | 88% |
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. |
51 |
Quantitative U.S. Large Cap Growth Equity Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | For the Period November 5, 20151 through October 31, 20162 | ||||||||
2020 2 | 2019 2 | 2018 | 2017 | ||||||
Net asset value, beginning of year | $ 33.09 | $ 32.53 | $ 31.55 | $ 24.77 | $ 24.83 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.19 | 0.21 | 0.21 | 0.18 | 0.22 | ||||
Net realized and unrealized gain (loss) on investments | 3.18 | 4.88 | 1.59 | 6.80 | (0.08) | ||||
Total from investment operations | 3.37 | 5.09 | 1.80 | 6.98 | 0.14 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.21) | (0.22) | (0.23) | (0.20) | (0.20) | ||||
Net realized capital gains | (4.23) | (4.31) | (0.59) | — | — | ||||
Total distributions | (4.44) | (4.53) | (0.82) | (0.20) | (0.20) | ||||
Net asset value, end of year | $ 32.02 | $ 33.09 | $ 32.53 | $ 31.55 | $ 24.77 | ||||
Total return | 10.89% | 18.74% | 5.74% | 28.28% | 0.60% 3 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $543,675 | $1,250,995 | $746,030 | $860,416 | $35,114 | ||||
Ratio of operating expenses to average net assets | 0.68% | 0.66% | 0.65% | 0.66% | 0.68% 4 | ||||
Ratio of net investment income to average net assets | 0.62% | 0.69% | 0.64% | 0.66% | 0.90% 4 | ||||
Portfolio turnover rate5 | 69% | 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. |
52 |
Quantitative U.S. Large Cap Value Equity Portfolio | |||||
For The Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | ||||
2020 2 | 2019 2 | ||||
Net asset value, beginning of year | $ 10.29 | $ 9.82 | $10.00 | ||
Income from investment operations: | |||||
Net investment income | 0.20 | 0.21 | 0.14 | ||
Net realized and unrealized gain (loss) on investments | (1.26) | 0.49 | (0.20) | ||
Total from investment operations | (1.06) | 0.70 | (0.06) | ||
Distributions to shareholders from: | |||||
Net investment income | (0.20) | (0.23) | (0.12) | ||
Total distributions | (0.20) | (0.23) | (0.12) | ||
Net asset value, end of year | $ 9.03 | $10.29 | $ 9.82 | ||
Total return3 | (10.19)% | 7.33% | (0.69)% 4 | ||
Ratios to average net assets/ Supplemental data: | |||||
Net assets, at end of year (in 000s) | $ 1,588 | $2,040 | $1,092 | ||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.66% | 3.20% | 6.52% 5 | ||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.89% | 1.00% 5 | ||
Ratio of net investment income to average net assets | 2.15% | 2.08% | 1.36% 5 | ||
Portfolio turnover rate | 95% | 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. |
53 |
Quantitative U.S. Small Cap Equity Portfolio | |||||
For The Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | ||||
2020 2 | 2019 2 | ||||
Net asset value, beginning of year | $10.39 | $10.25 | $10.00 | ||
Income from investment operations: | |||||
Net investment income | 0.06 | 0.05 | 0.05 | ||
Net realized and unrealized gain (loss) on investments | (0.82) | 0.17 | 0.24 | ||
Total from investment operations | (0.76) | 0.22 | 0.29 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.08) | (0.08) | (0.04) | ||
Total distributions | (0.08) | (0.08) | (0.04) | ||
Net asset value, end of year | $ 9.55 | $10.39 | $10.25 | ||
Total return3 | (7.37)% | 2.19% | 2.85% 4 | ||
Ratios to average net assets/ Supplemental data: | |||||
Net assets, at end of year (in 000s) | $ 982 | $1,061 | $1,074 | ||
Ratio of operating expenses before waiver/reimbursement to average net assets | 4.63% | 4.12% | 6.48% 5 | ||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.90% | 1.00% 5 | ||
Ratio of net investment income to average net assets | 0.65% | 0.53% | 0.44% 5 | ||
Portfolio turnover rate | 101% | 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. |
54 |
Quantitative International Equity Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 | 2017 1 | 2016 1 | |||||
Net asset value, beginning of year | $ 13.97 | $ 13.26 | $ 15.16 | $ 12.76 | $ 13.45 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.26 | 0.39 | 0.29 | 0.25 | 0.24 | ||||
Net realized and unrealized gain (loss) on investments | (1.79) | 0.73 | (1.90) | 2.41 | (0.71) | ||||
Total from investment operations | (1.53) | 1.12 | (1.61) | 2.66 | (0.47) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.37) | (0.41) | (0.29) | (0.26) | (0.22) | ||||
Net return of capital | (0.02) | — | — | — | — | ||||
Total distributions | (0.39) | (0.41) | (0.29) | (0.26) | (0.22) | ||||
Net asset value, end of year | $ 12.05 | $ 13.97 | $ 13.26 | $ 15.16 | $ 12.76 | ||||
Total return2 | (11.10)% | 8.60% | (10.80)% | 20.96% | (3.44)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $53,302 | $205,629 | $387,188 | $461,686 | $441,284 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.15% | 1.10% | 1.07% | 1.06% | 1.12% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% | 1.00% | 1.00% | 1.00% | 1.04% | ||||
Ratio of net investment income to average net assets | 1.99% | 2.90% | 1.90% | 1.82% | 1.88% | ||||
Portfolio turnover rate | 76% | 93% | 78% | 75% | 121% |
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. |
55 |
Responsible ESG U.S. Equity Portfolio | |||||||||
For The Year Ended October 31, | For the Period December 22, 20151 through October 31, 20162 | ||||||||
2020 2 | 2019 2 | 2018 | 2017 | ||||||
Net asset value, beginning of year | $ 14.34 | $ 14.12 | $ 13.61 | $ 10.84 | $10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.15 | 0.16 | 0.11 | 0.09 | 0.07 | ||||
Net realized and unrealized gain (loss) on investments | (0.02) | 0.74 | 0.57 | 2.77 | 0.82 | ||||
Total from investment operations | 0.13 | 0.90 | 0.68 | 2.86 | 0.89 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.17) | (0.11) | (0.09) | (0.05) | ||||
Net realized capital gains | (0.06) | (0.51) | (0.06) | — | — | ||||
Total distributions | (0.21) | (0.68) | (0.17) | (0.09) | (0.05) | ||||
Net asset value, end of year | $ 14.26 | $ 14.34 | $ 14.12 | $ 13.61 | $10.84 | ||||
Total return3 | 0.87% | 6.78% | 5.01% | 26.42% | 8.87% 4 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $22,342 | $23,231 | $21,746 | $13,589 | $6,561 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.05% | 1.07% | 1.09% | 1.23% | 2.21% 5 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.90% | 1.00% | 1.00% | 1.00% 5 | ||||
Ratio of net investment income to average net assets | 1.02% | 1.17% | 0.87% | 0.75% | 0.76% 5 | ||||
Portfolio turnover rate | 88% | 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. |
56 |
Women in Leadership U.S. Equity Portfolio | |||||||||
For The Year Ended October 31, | For the Period December 22, 20151 through October 31, 20162 | ||||||||
2020 2 | 2019 2 | 2018 2 | 2017 | ||||||
Net asset value, beginning of year | $ 13.98 | $ 13.34 | $ 13.10 | $ 10.65 | $10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.16 | 0.15 | 0.12 | 0.11 | 0.14 | ||||
Net realized and unrealized gain (loss) on investments | (0.47) | 1.08 | 0.32 | 2.45 | 0.63 | ||||
Total from investment operations | (0.31) | 1.23 | 0.44 | 2.56 | 0.77 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.15) | (0.11) | (0.11) | (0.12) | ||||
Net realized capital gains | — | (0.44) | (0.09) | — | — | ||||
Total distributions | (0.15) | (0.59) | (0.20) | (0.11) | (0.12) | ||||
Net asset value, end of year | $ 13.52 | $ 13.98 | $ 13.34 | $ 13.10 | $10.65 | ||||
Total return3 | (2.15)% | 9.75% | 3.36% | 24.11% | 7.73% 4 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $21,678 | $21,047 | $18,974 | $11,853 | $6,517 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.08% | 1.11% | 1.11% | 1.28% | 2.22% 5 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.90% | 1.00% | 1.00% | 1.00% 5 | ||||
Ratio of net investment income to average net assets | 1.19% | 1.14% | 0.88% | 0.88% | 1.31% 5 | ||||
Portfolio turnover rate | 105% | 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. |
57 |
Quantitative U.S. Long/Short Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 1 | 2017 1 | 2016 1 | |||||
Net asset value, beginning of year | $ 11.90 | $ 12.55 | $ 12.86 | $ 11.39 | $ 11.32 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.07) | 0.11 | 0.03 | (0.05) | (0.03) | ||||
Net realized and unrealized gain (loss) on investments | (0.77) | (0.65) | (0.34) | 1.52 | 0.10 | ||||
Total from investment operations | (0.84) | (0.54) | (0.31) | 1.47 | 0.07 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.11) | — | — | — | ||||
Net return of capital | (0.01) | — | — | — | — | ||||
Total distributions | (0.01) | (0.11) | — | — | — | ||||
Net asset value, end of year | $ 11.05 | $ 11.90 | $ 12.55 | $ 12.86 | $ 11.39 | ||||
Total return2 | (7.07)% | (4.33)% | (2.41)% | 12.91% | 0.62% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $96,702 | $247,209 | $333,806 | $300,784 | $239,413 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.99% | 2.78% | 2.61% | 2.77% | 2.73% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets3 | 2.63% | 2.43% | 2.26% | 2.42% | 2.38% | ||||
Ratio of net investment income (loss) to average net assets | (0.59)% | 0.91% | 0.24% | (0.43)% | (0.41)% | ||||
Portfolio turnover rate4,5 | 133% | 108% | 84% | 65% | 98% |
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 was 1.25%, 1.21%, 1.15%, 1.15% and 1.17% for the years ended October 31, 2020, 2019, 2018, 2017 and 2016, respectively. |
4 | Portfolio turnover is calculated at the fund level. |
5 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
58 |
Quantitative U.S. Long/Short Equity Portfolio Institutional Shares | |||
For The Year Ended October 31, 20202 | For the Period September 13, 20191 through October 31, 20192 | ||
Net asset value, beginning of period | $11.89 | $12.00 | |
Income from investment operations: | |||
Net investment income (loss) | (0.10) | 0.01 | |
Net realized and unrealized gain (loss) on investments | (0.71) | (0.08) | |
Total from investment operations | (0.81) | (0.07) | |
Distributions to shareholders from: | |||
Net investment income | — | (0.04) | |
Net return of capital | (0.01) | — | |
Total distributions | (0.01) | (0.04) | |
Net asset value, end of period | $11.07 | $11.89 | |
Total return3 | (6.78)% | (0.62)% 4 | |
Ratios to average net assets/ Supplemental data: | |||
Net assets, at end of period (in 000s) | $ 311 | $ 16 | |
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.59% | 2.36% 5 | |
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 2.23% | 2.01% 5 | |
Ratio of net investment income (loss) to average net assets | (0.89)% | 0.36% 5 | |
Portfolio turnover rate7,8 | 133% | 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 1.05% and 1.01% for the year ended October 31, 2020 and the period ended October 31, 2019, respectively. |
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. |
59 |
Quantitative U.S. Total Market Equity Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 | 2017 | 2016 | |||||
Net asset value, beginning of year | $ 17.88 | $ 18.85 | $ 18.88 | $ 14.65 | $ 14.68 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.07 | 0.11 | 0.07 | 0.04 | 0.09 | ||||
Net realized and unrealized gain (loss) on investments | (1.52) | 0.49 | 0.51 | 4.23 | (0.04) | ||||
Total from investment operations | (1.45) | 0.60 | 0.58 | 4.27 | 0.05 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.11) | (0.11) | (0.06) | (0.04) | (0.08) | ||||
Net realized capital gains | (0.98) | (1.46) | (0.55) | — | — | ||||
Total distributions | (1.09) | (1.57) | (0.61) | (0.04) | (0.08) | ||||
Net asset value, end of year | $ 15.34 | $ 17.88 | $ 18.85 | $ 18.88 | $ 14.65 | ||||
Total return2 | (8.82)% | 4.11% | 3.01% | 29.18% | 0.37% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $28,447 | $67,923 | $90,610 | $74,267 | $61,083 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.56% | 2.48% | 2.31% | 2.40% | 2.59% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets3 | 2.06% | 2.07% | 1.96% | 2.05% | 2.16% | ||||
Ratio of net investment income to average net assets | 0.45% | 0.60% | 0.37% | 0.24% | 0.56% | ||||
Portfolio turnover rate4 | 98% | 92% | 82% | 70% | 88% |
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%, 1.25%, 1.23% and 1.25% for the years ended October 31, 2020, 2019, 2018, 2017 and 2016, respectively. |
4 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
60 |
Strategic Equity Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 | 2017 | 2016 | |||||
Net asset value, beginning of year | $ 27.22 | $ 24.30 | $ 24.90 | $ 20.94 | $ 21.80 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.21 | 0.23 | 0.20 | 0.19 | 0.21 | ||||
Net realized and unrealized gain (loss) on investments | (0.25) | 3.22 | 1.07 | 5.35 | 0.81 | ||||
Total from investment operations | (0.04) | 3.45 | 1.27 | 5.54 | 1.02 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.23) | (0.20) | (0.19) | (0.20) | ||||
Net realized capital gains | (0.53) | (0.30) | (1.67) | (1.39) | (1.68) | ||||
Total distributions | (0.75) | (0.53) | (1.87) | (1.58) | (1.88) | ||||
Net asset value, end of year | $ 26.43 | $ 27.22 | $ 24.30 | $ 24.90 | $ 20.94 | ||||
Total return | (0.18)% | 14.51% | 5.14% | 27.83% | 5.22% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $219,447 | $269,033 | $226,032 | $209,339 | $176,864 | ||||
Ratio of operating expenses to average net assets | 0.86% | 0.84% | 0.83% | 0.82% | 0.84% | ||||
Ratio of net investment income to average net assets | 0.79% | 0.89% | 0.79% | 0.84% | 1.00% | ||||
Portfolio turnover rate | 19% | 19% | 6% | 15% | 22% |
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 Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 | 2017 | 2016 | |||||
Net asset value, beginning of year | $ 23.66 | $ 28.82 | $ 32.13 | $ 25.61 | $ 26.02 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.02 | 0.05 | 0.02 | (0.01) | 0.03 | ||||
Net realized and unrealized gain (loss) on investments | (0.41) | (1.04) | (0.10) | 7.07 | (0.15) | ||||
Total from investment operations | (0.39) | (0.99) | (0.08) | 7.06 | (0.12) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.04) | (0.07) | (0.02) | (0.02) | (0.05) | ||||
Net realized capital gains | — | (4.09) | (3.21) | (0.52) | (0.24) | ||||
Net return of capital | (0.00) 2 | (0.01) | — | — | — | ||||
Total distributions | (0.04) | (4.17) | (3.23) | (0.54) | (0.29) | ||||
Net asset value, end of year | $ 23.23 | $ 23.66 | $ 28.82 | $ 32.13 | $ 25.61 | ||||
Total return | (1.63)% | (2.61)% | (0.58)% | 27.84% | (0.43)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $403,309 | $761,813 | $1,390,136 | $1,574,979 | $1,367,160 | ||||
Ratio of operating expenses to average net assets | 0.94% | 0.93% | 0.90% | 0.90% | 0.91% | ||||
Ratio of net investment income (loss) to average net assets | 0.11% | 0.21% | 0.07% | (0.04)% | 0.12% | ||||
Portfolio turnover rate3 | 36% | 54% | 44% | 63% | 58% |
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 | Portfolio turnover is calculated at the fund level. |
61 |
Small Cap Equity Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 | 2017 | 2016 | |||||
Net asset value, beginning of year | $ 25.07 | $ 30.25 | $ 33.54 | $ 26.67 | $ 27.07 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.07 | 0.10 | 0.09 | 0.05 | 0.08 | ||||
Net realized and unrealized gain (loss) on investments | (0.44) | (1.06) | (0.10) | 7.37 | (0.16) | ||||
Total from investment operations | (0.37) | (0.96) | (0.01) | 7.42 | (0.08) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.09) | (0.12) | (0.07) | (0.03) | (0.08) | ||||
Net realized capital gains | — | (4.09) | (3.21) | (0.52) | (0.24) | ||||
Net return of capital | (0.00) 2 | (0.01) | — | — | — | ||||
Total distributions | (0.09) | (4.22) | (3.28) | (0.55) | (0.32) | ||||
Net asset value, end of year | $ 24.61 | $ 25.07 | $ 30.25 | $ 33.54 | $ 26.67 | ||||
Total return | (1.44)% | (2.38)% | (0.36)% | 28.10% | (0.25)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $836,015 | $1,279,693 | $2,131,461 | $1,879,657 | $1,264,752 | ||||
Ratio of operating expenses to average net assets | 0.74% | 0.73% | 0.70% | 0.70% | 0.71% | ||||
Ratio of net investment income to average net assets | 0.29% | 0.39% | 0.27% | 0.16% | 0.30% | ||||
Portfolio turnover rate3 | 36% | 54% | 44% | 63% | 58% |
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 | Portfolio turnover is calculated at the fund level. |
Large Cap Value Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 1 | 2017 1 | 2016 | |||||
Net asset value, beginning of year | $ 9.95 | $ 10.51 | $ 11.37 | $ 10.22 | $ 11.15 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.17 | 0.20 | 0.19 | 0.21 | 0.19 | ||||
Net realized and unrealized gain (loss) on investments | (1.41) | 0.51 | (0.16) | 1.96 | 0.30 | ||||
Total from investment operations | (1.24) | 0.71 | 0.03 | 2.17 | 0.49 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.19) | (0.20) | (0.18) | (0.24) | (0.17) | ||||
Net realized capital gains | (0.87) | (1.07) | (0.71) | (0.78) | (1.25) | ||||
Total distributions | (1.06) | (1.27) | (0.89) | (1.02) | (1.42) | ||||
Net asset value, end of year | $ 7.65 | $ 9.95 | $ 10.51 | $ 11.37 | $ 10.22 | ||||
Total return | (14.12)% 2 | 8.24% 2 | 0.04% | 22.17% | 5.58% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $19,287 | $39,869 | $71,597 | $76,465 | $72,154 | ||||
Ratio of operating expenses to average net assets | 1.13% | 1.00% | 0.91% | 0.91% | 0.91% | ||||
Ratio of net investment income to average net assets | 1.98% | 2.01% | 1.69% | 1.99% | 1.83% | ||||
Portfolio turnover rate | 89% | 64% | 71% | 93% | 110% |
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. |
62 |
Equity Income Portfolio | |||||||
For The Year Ended October 31, | For the Period December 21, 20161 through October 31, 20172 | ||||||
2020 2 | 2019 2 | 2018 | |||||
Net asset value, beginning of year | $ 12.22 | $ 11.15 | $ 11.06 | $ 10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.26 | 0.25 | 0.22 | 0.16 | |||
Net realized and unrealized gain (loss) on investments | (0.32) | 1.33 | 0.09 | 1.01 | |||
Total from investment operations | (0.06) | 1.58 | 0.31 | 1.17 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.28) | (0.25) | (0.22) | (0.11) | |||
Net realized capital gains | — | (0.26) | (0.00) 3 | — | |||
Total distributions | (0.28) | (0.51) | (0.22) | (0.11) | |||
Net asset value, end of year | $ 11.88 | $ 12.22 | $ 11.15 | $ 11.06 | |||
Total return4 | (0.38)% | 14.69% | 2.79% | 11.77% 5 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $18,560 | $23,900 | $18,536 | $12,970 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.04% 6 | 1.01% | 1.11% | 2.08% 7 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 6 | 0.85% | 0.85% | 0.85% 7 | |||
Ratio of net investment income to average net assets | 2.21% | 2.19% | 2.02% | 1.82% 7 | |||
Portfolio turnover rate | 63% | 39% | 29% | 14% 8 |
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 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
7 | Annualized. |
8 | Calculations represent portfolio turnover for the Portfolio for the period of December 21, 2016 through October 31, 2017. |
63 |
Secured Options Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 | 2017 1 | 2016 1 | |||||
Net asset value, beginning of year | $ 13.01 | $ 12.30 | $ 12.75 | $ 12.45 | $ 12.57 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.07) | (0.04) | (0.06) | (0.08) | (0.09) | ||||
Net realized and unrealized gain (loss) on investments | (0.34) | 1.04 | 0.40 | 0.99 | 0.68 | ||||
Total from investment operations | (0.41) | 1.00 | 0.34 | 0.91 | 0.59 | ||||
Distributions to shareholders from: | |||||||||
Net realized capital gains | (0.93) | (0.29) | (0.79) | (0.61) | (0.71) | ||||
Total distributions | (0.93) | (0.29) | (0.79) | (0.61) | (0.71) | ||||
Net asset value, end of year | $ 11.67 | $ 13.01 | $ 12.30 | $ 12.75 | $ 12.45 | ||||
Total return | (3.50)% | 8.43% | 2.81% | 7.53% | 5.08% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $95,701 | $268,478 | $445,946 | $446,859 | $574,200 | ||||
Ratio of operating expenses to average net assets2 | 0.88% | 0.87% 3 | 0.84% | 0.85% | 0.85% | ||||
Ratio of net investment income (loss) to average net assets2 | (0.59)% | (0.34)% | (0.50)% | (0.68)% | 0.95% | ||||
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. |
64 |
Secured Options Portfolio Institutional Shares | |||||||
For The Year Ended October 31, | For the Period November 9, 20161 through October 31, 20172 | ||||||
2020 2 | 2019 2 | 2018 2 | |||||
Net asset value, beginning of year | $ 13.09 | $ 12.34 | $ 12.77 | $ 12.61 | |||
Income from investment operations: | |||||||
Net investment income (loss) | (0.05) | (0.02) | (0.04) | (0.06) | |||
Net realized and unrealized gain (loss) on investments | (0.34) | 1.06 | 0.40 | 0.83 | |||
Total from investment operations | (0.39) | 1.04 | 0.36 | 0.77 | |||
Distributions to shareholders from: | |||||||
Net realized capital gains | (0.93) | (0.29) | (0.79) | (0.61) | |||
Total distributions | (0.93) | (0.29) | (0.79) | (0.61) | |||
Net asset value, end of year | $ 11.77 | $ 13.09 | $ 12.34 | $ 12.77 | |||
Total return | (3.31)% | 8.73% | 2.97% | 6.34% 3 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $354,674 | $409,829 | $396,523 | $365,523 | |||
Ratio of operating expenses to average net assets4 | 0.68% | 0.67% 5 | 0.64% | 0.65% 6 | |||
Ratio of net investment income (loss) to average net assets4 | (0.44)% | (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. |
65 |
Global Secured Options Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2020 1,2 | 2019 1,2 | 2018 1,2 | 2017 1,2 | 2016 1,2 | |||||
Net asset value, beginning of year | $ 4.90 | $104.10 | $105.80 | $ 96.00 | $ 99.60 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.04) | 0.02 | 0.10 | 0.60 | 1.50 | ||||
Net realized and unrealized gain (loss) on investments | (0.02) | (5.71) | (0.90) | 9.90 | (3.00) | ||||
Total from investment operations | (0.06) | (5.69) | (0.80) | 10.50 | (1.50) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.00) 3 | (0.01) | (0.90) | (0.70) | (2.10) | ||||
Net realized capital gains | — | (93.50) | — | — | — | ||||
Total distributions | (0.00) 3 | (93.51) | (0.90) | (0.70) | (2.10) | ||||
Net asset value, end of year | $ 4.84 | $ 4.90 | $104.10 | $105.80 | $ 96.00 | ||||
Total return | (1.07)% 4 | 8.56% 4 | (0.76)% | 10.94% | (1.47)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $9,648 | $ 1,220 | $ 2,510 | $10,642 | $28,818 | ||||
Ratio of operating expenses to average net assets5 | —% | —% | 1.17% 6 | 1.13% | 0.91% | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets5 | 2.13% | 9.76% | —% | —% | —% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets5 | 1.00% | 1.63% 6 | —% | —% | —% | ||||
Ratio of net investment income to average net assets5 | (0.83)% | 0.32% | 0.08% | 0.58% | 1.61% | ||||
Portfolio turnover rate | 995% | 685% | 224% | 9% | 70% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | On March 16, 2020, the Global Secured Options Portfolio underwent a 1-for-10 reverse share split. The per share activity presented here has been retroactively adjusted to reflect this split. See Note 6. |
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 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
6 | 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. |
Core Fixed Income Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 | 2017 | 2016 | |||||
Net asset value, beginning of year | $ 11.31 | $ 10.49 | $ 11.04 | $ 11.26 | $ 11.20 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.21 | 0.25 | 0.25 | 0.21 | 0.21 | ||||
Net realized and unrealized gain (loss) on investments | 0.44 | 0.83 | (0.50) | (0.13) | 0.14 | ||||
Total from investment operations | 0.65 | 1.08 | (0.25) | 0.08 | 0.35 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.26) | (0.26) | (0.22) | (0.23) | ||||
Net realized capital gains | — | — | (0.04) | (0.08) | (0.06) | ||||
Total distributions | (0.25) | (0.26) | (0.30) | (0.30) | (0.29) | ||||
Net asset value, end of year | $ 11.71 | $ 11.31 | $ 10.49 | $ 11.04 | $ 11.26 | ||||
Total return | 5.82% | 10.46% | (2.32)% | 0.75% | 3.15% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $436,975 | $505,603 | $485,201 | $488,548 | $486,872 | ||||
Ratio of operating expenses to average net assets | 0.54% | 0.53% | 0.52% | 0.52% | 0.54% | ||||
Ratio of net investment income to average net assets | 1.78% | 2.30% | 2.24% | 1.90% | 1.84% | ||||
Portfolio turnover rate | 52% | 36% | 29% | 46% | 24% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
66 |
Short Term Tax Aware Fixed Income Portfolio | |||||||||
For The Year Ended October 31, | For the Period June 29, 20161 through October 31, 20162 | ||||||||
2020 2 | 2019 2 | 2018 | 2017 2 | ||||||
Net asset value, beginning of year | $ 10.07 | $ 9.90 | $ 9.98 | $ 9.99 | $ 10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.11 | 0.13 | 0.09 | 0.07 | 0.02 | ||||
Net realized and unrealized gain (loss) on investments | 0.09 | 0.17 | (0.08) | (0.01) | (0.02) | ||||
Total from investment operations | 0.20 | 0.30 | 0.01 | 0.06 | 0.00 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.11) | (0.13) | (0.09) | (0.07) | (0.01) | ||||
Total distributions | (0.11) | (0.13) | (0.09) | (0.07) | (0.01) | ||||
Net asset value, end of year | $ 10.16 | $ 10.07 | $ 9.90 | $ 9.98 | $ 9.99 | ||||
Total return3 | 1.96% | 3.03% | 0.10% | 0.57% | (0.02)% 4 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $53,525 | $50,939 | $26,294 | $33,900 | $30,076 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets5 | 0.63% | 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% | 0.55% 6 | ||||
Ratio of net investment income to average net assets5 | 1.08% | 1.33% | 0.92% | 0.69% | 0.46% 6 | ||||
Portfolio turnover rate | 59% | 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. |
67 |
High Yield Municipal Portfolio | |||||||||
For The Year Ended October 31, | For the Period December 22, 20151 through October 31, 20162 | ||||||||
2020 2 | 2019 2 | 2018 | 2017 | ||||||
Net asset value, beginning of year | $ 10.84 | $ 10.16 | $ 10.35 | $ 10.39 | $ 10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.30 | 0.31 | 0.30 | 0.30 | 0.22 | ||||
Net realized and unrealized gain (loss) on investments | (0.19) | 0.68 | (0.19) | (0.01) | 0.34 | ||||
Total from investment operations | 0.11 | 0.99 | 0.11 | 0.29 | 0.56 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.31) | (0.30) | (0.29) | (0.17) | ||||
Net realized capital gains | — | — | — | (0.04) | — | ||||
Total distributions | (0.30) | (0.31) | (0.30) | (0.33) | (0.17) | ||||
Net asset value, end of year | $ 10.65 | $ 10.84 | $ 10.16 | $ 10.35 | $ 10.39 | ||||
Total return | 1.09% 3 | 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) | $232,783 | $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 | 1.02% | 1.00% | —% | —% | 1.08% 5 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% | 1.00% | —% | —% | 1.00% 5 | ||||
Ratio of net investment income to average net assets | 2.85% | 2.95% | 2.90% | 2.92% | 2.44% 5 | ||||
Portfolio turnover rate | 28% 6 | 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. |
68 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Aerospace & Defense — 0.5% | |||
18,200 | Lockheed Martin Corp. | $ 6,372,366 | |
Air Freight & Logistics — 0.5% | |||
75,883 | Expeditors International of Washington, Inc. | 6,705,781 | |
Auto Components — 0.6% | |||
220,826 | BorgWarner, Inc. | 7,724,493 | |
Automobiles — 1.5% | |||
527,616 | General Motors Co. | 18,218,580 | |
Banks — 4.0% | |||
215,355 | Bank of America Corp. | 5,103,914 | |
358,676 | Citigroup, Inc. | 14,856,360 | |
683,405 | Citizens Financial Group, Inc. | 18,622,786 | |
283,633 | US Bancorp | 11,047,505 | |
49,630,565 | |||
Beverages — 1.0% | |||
166,223 | Monster Beverage Corp.1 | 12,727,695 | |
Biotechnology — 3.4% | |||
87,079 | Alexion Pharmaceuticals, Inc.1 | 10,026,276 | |
101,986 | Amgen, Inc. | 22,124,843 | |
39,869 | Biogen, Inc.1 | 10,049,779 | |
42,200,898 | |||
Building Products — 1.8% | |||
311,801 | Carrier Global Corp. | 10,411,035 | |
154,258 | Fortune Brands Home & Security, Inc. | 12,474,845 | |
22,885,880 | |||
Capital Markets — 5.2% | |||
124,249 | Ameriprise Financial, Inc. | 19,982,967 | |
365,013 | Bank of New York Mellon Corp. (The) | 12,541,847 | |
137,566 | Intercontinental Exchange, Inc. | 12,986,230 | |
129,541 | Morgan Stanley | 6,237,399 | |
220,843 | State Street Corp. | 13,007,653 | |
64,756,096 | |||
Chemicals — 0.6% | |||
53,788 | PPG Industries, Inc. | 6,977,379 | |
Communications Equipment — 4.1% | |||
29,957 | Arista Networks, Inc.1 | 6,258,017 | |
311,826 | Ciena Corp.1 | 12,282,826 | |
247,498 | Cisco Systems, Inc. | 8,885,178 | |
94,849 | F5 Networks, Inc.1 | 12,609,226 | |
566,263 | Juniper Networks, Inc. | 11,166,707 | |
51,201,954 | |||
Containers & Packaging — 1.2% | |||
351,692 | International Paper Co. | 15,386,525 | |
Diversified Consumer Services — 0.6% | |||
421,722 | H&R Block, Inc. | 7,278,922 | |
Diversified Telecommunication Services — 2.0% | |||
444,650 | AT&T, Inc. | 12,014,443 | |
213,824 | Verizon Communications, Inc. | 12,185,830 | |
24,200,273 |
69 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — 1.2% | |||
141,431 | Keysight Technologies, Inc.1 | $ 14,831,869 | |
Energy Equipment & Services — 0.5% | |||
424,919 | Baker Hughes Co. | 6,276,054 | |
Entertainment — 3.7% | |||
288,594 | Activision Blizzard, Inc. | 21,855,224 | |
146,663 | Electronic Arts, Inc.1 | 17,574,627 | |
41,997 | Take-Two Interactive Software, Inc.1 | 6,506,175 | |
45,936,026 | |||
Equity Real Estate Investment Trusts — 3.6% | |||
47,472 | American Tower Corp. | 10,901,945 | |
41,669 | Crown Castle International Corp. | 6,508,698 | |
7,703 | Equinix, Inc. | 5,632,742 | |
215,563 | Prologis, Inc. | 21,383,849 | |
44,427,234 | |||
Food & Staples Retailing — 1.8% | |||
682,375 | Kroger Co. (The) | 21,979,299 | |
Food Products — 1.0% | |||
217,599 | General Mills, Inc. | 12,864,453 | |
Health Care Providers & Services — 5.0% | |||
53,772 | Anthem, Inc. | 14,669,001 | |
63,439 | Cigna Corp. | 10,592,410 | |
174,729 | DaVita, Inc.1 | 15,070,376 | |
147,220 | McKesson Corp. | 21,713,478 | |
62,045,265 | |||
Household Durables — 2.7% | |||
270,488 | DR Horton, Inc. | 18,071,303 | |
219,173 | Lennar Corp. - Class A | 15,392,520 | |
33,463,823 | |||
Household Products — 2.4% | |||
174,358 | Church & Dwight Co., Inc. | 15,411,503 | |
175,838 | Colgate-Palmolive Co. | 13,871,860 | |
29,283,363 | |||
Independent Power & Renewable Electricity Producer — 1.9% | |||
1,227,703 | AES Corp. (The) | 23,940,209 | |
Industrial Conglomerates — 1.3% | |||
94,251 | Honeywell International, Inc. | 15,546,702 | |
Insurance — 1.7% | |||
249,961 | Aflac, Inc. | 8,486,176 | |
346,512 | MetLife, Inc. | 13,115,479 | |
21,601,655 | |||
Interactive Media & Services — 3.8% | |||
14,874 | Alphabet, Inc. - Class A1 | 24,038,020 | |
86,935 | Facebook, Inc. - Class A1 | 22,873,468 | |
46,911,488 | |||
Internet & Direct Marketing Retail — 1.7% | |||
437,028 | eBay, Inc. | 20,815,644 | |
IT Services — 6.9% | |||
106,786 | Accenture PLC - Class A | 23,162,951 |
70 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
295,041 | Amdocs, Ltd. | $ 16,634,412 | |
161,583 | Cognizant Technology Solutions Corp. - Class A | 11,540,258 | |
124,265 | Fiserv, Inc.1 | 11,863,579 | |
117,966 | PayPal Holdings, Inc.1 | 21,957,012 | |
85,158,212 | |||
Machinery — 0.8% | |||
47,398 | Parker-Hannifin Corp. | 9,875,847 | |
Media — 1.8% | |||
533,699 | Comcast Corp. - Class A | 22,543,446 | |
Metals & Mining — 2.5% | |||
355,297 | Newmont Corp. | 22,326,863 | |
73,509 | Reliance Steel & Aluminum Co. | 8,011,746 | |
30,338,609 | |||
Multi-line Retail — 2.8% | |||
61,422 | Dollar General Corp. | 12,819,386 | |
141,678 | Target Corp. | 21,566,225 | |
34,385,611 | |||
Oil, Gas & Consumable Fuels — 0.8% | |||
855,420 | Kinder Morgan, Inc. | 10,179,498 | |
Pharmaceuticals — 2.6% | |||
50,244 | Bristol-Myers Squibb Co. | 2,936,762 | |
245,604 | Merck & Co., Inc. | 18,471,877 | |
286,718 | Pfizer, Inc. | 10,172,754 | |
31,581,393 | |||
Road & Rail — 1.6% | |||
158,387 | CSX Corp. | 12,503,070 | |
39,610 | Union Pacific Corp. | 7,018,496 | |
19,521,566 | |||
Semiconductors & Semiconductor Equipment — 6.1% | |||
244,105 | Applied Materials, Inc. | 14,458,339 | |
280,051 | Intel Corp. | 12,400,658 | |
67,856 | Lam Research Corp. | 23,212,180 | |
57,496 | Qorvo, Inc.1 | 7,322,691 | |
80,230 | Skyworks Solutions, Inc. | 11,335,697 | |
76,840 | Teradyne, Inc. | 6,750,394 | |
75,479,959 | |||
Software — 8.1% | |||
77,164 | Citrix Systems, Inc. | 8,740,366 | |
330,021 | Dropbox, Inc. - Class A1 | 6,026,184 | |
172,366 | Fortinet, Inc.1 | 19,024,035 | |
113,113 | Microsoft Corp. | 22,901,989 | |
337,220 | Oracle Corp. | 18,921,414 | |
110,142 | RealPage, Inc.1 | 6,133,808 | |
88,396 | Synopsys, Inc.1 | 18,904,369 | |
100,652,165 | |||
Specialty Retail — 3.1% | |||
201,378 | Best Buy Co., Inc. | 22,463,716 | |
104,309 | Lowe’s Cos., Inc. | 16,491,253 | |
38,954,969 |
71 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Technology Hardware, Storage & Peripherals — 3.0% | |||
170,476 | Apple, Inc. | $ 18,558,017 | |
695,964 | Hewlett Packard Enterprise Co. | 6,013,129 | |
692,149 | HP, Inc. | 12,430,996 | |
37,002,142 | |||
TOTAL COMMON STOCKS (Cost $1,002,234,677) | 1,231,863,908 | ||
RIGHTS* — 0.1% | |||
Pharmaceuticals — 0.1% | |||
209,103 | Bristol-Myers Squibb Co. (expiring 3/31/21)1 | 681,676 | |
TOTAL RIGHTS (Cost $445,389) | 681,676 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$7,364,666 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $7,364,666, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $7,448,600, coupon rate of 0.500%, due 03/15/2023, market value of $7,512,007) | 7,364,666 | |
TOTAL REPURCHASE AGREEMENT (Cost $7,364,666) | 7,364,666 | ||
TOTAL INVESTMENTS (Cost $1,010,044,732) | 100.1% | $1,239,910,250 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (727,992) | |
NET ASSETS | 100.0% | $1,239,182,258 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
72 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 8.1% | $ 100,652,165 | |
IT Services | 6.9 | 85,158,212 | |
Semiconductors & Semiconductor Equipment | 6.1 | 75,479,959 | |
Capital Markets | 5.2 | 64,756,096 | |
Health Care Providers & Services | 5.0 | 62,045,265 | |
Communications Equipment | 4.1 | 51,201,954 | |
Banks | 4.0 | 49,630,565 | |
Interactive Media & Services | 3.8 | 46,911,488 | |
Entertainment | 3.7 | 45,936,026 | |
Equity Real Estate Investment Trusts | 3.6 | 44,427,234 | |
Biotechnology | 3.4 | 42,200,898 | |
Specialty Retail | 3.1 | 38,954,969 | |
Technology Hardware, Storage & Peripherals | 3.0 | 37,002,142 | |
Multi-line Retail | 2.8 | 34,385,611 | |
Household Durables | 2.7 | 33,463,823 | |
Pharmaceuticals | 2.7 | 32,263,069 | |
Metals & Mining | 2.5 | 30,338,609 | |
Household Products | 2.4 | 29,283,363 | |
Diversified Telecommunication Services | 2.0 | 24,200,273 | |
Independent Power & Renewable Electricity Producer | 1.9 | 23,940,209 | |
Building Products | 1.8 | 22,885,880 | |
Media | 1.8 | 22,543,446 | |
Food & Staples Retailing | 1.8 | 21,979,299 | |
Insurance | 1.7 | 21,601,655 | |
Internet & Direct Marketing Retail | 1.7 | 20,815,644 | |
Road & Rail | 1.6 | 19,521,566 | |
Automobiles | 1.5 | 18,218,580 | |
Industrial Conglomerates | 1.3 | 15,546,702 | |
Containers & Packaging | 1.2 | 15,386,525 | |
Electronic Equipment, Instruments & Components | 1.2 | 14,831,869 | |
Food Products | 1.0 | 12,864,453 | |
Beverages | 1.0 | 12,727,695 | |
Oil, Gas & Consumable Fuels | 0.8 | 10,179,498 | |
Machinery | 0.8 | 9,875,847 | |
Auto Components | 0.6 | 7,724,493 | |
Diversified Consumer Services | 0.6 | 7,278,922 | |
Chemicals | 0.6 | 6,977,379 | |
Air Freight & Logistics | 0.5 | 6,705,781 | |
Aerospace & Defense | 0.5 | 6,372,366 | |
Energy Equipment & Services | 0.5 | 6,276,054 | |
TOTAL COMMON STOCKS AND RIGHTS | 99.5% | $1,232,545,584 | |
REPURCHASE AGREEMENT | 0.6 | 7,364,666 | |
TOTAL INVESTMENTS | 100.1% | $1,239,910,250 |
73 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Aerospace & Defense — 0.6% | |||
34,798 | Lockheed Martin Corp. | $ 12,183,824 | |
Air Freight & Logistics — 1.6% | |||
386,980 | Expeditors International of Washington, Inc. | 34,197,423 | |
Beverages — 1.5% | |||
435,787 | Monster Beverage Corp.1 | 33,368,210 | |
Biotechnology — 6.3% | |||
230,151 | Amgen, Inc. | 49,928,958 | |
178,253 | Biogen, Inc.1 | 44,932,233 | |
79,582 | Regeneron Pharmaceuticals, Inc.1 | 43,257,592 | |
138,118,783 | |||
Capital Markets — 2.5% | |||
589,642 | Intercontinental Exchange, Inc. | 55,662,205 | |
Communications Equipment — 2.2% | |||
228,644 | Arista Networks, Inc.1 | 47,763,732 | |
Containers & Packaging — 2.2% | |||
219,094 | Avery Dennison Corp. | 30,320,419 | |
393,189 | Berry Global Group, Inc.1 | 18,334,403 | |
48,654,822 | |||
Electronic Equipment, Instruments & Components — 5.6% | |||
520,251 | Amphenol Corp. - Class A | 58,705,123 | |
530,354 | CDW Corp. | 65,021,400 | |
123,726,523 | |||
Entertainment — 5.1% | |||
252,176 | Activision Blizzard, Inc. | 19,097,289 | |
515,840 | Electronic Arts, Inc.1 | 61,813,107 | |
198,971 | Take-Two Interactive Software, Inc.1 | 30,824,587 | |
111,734,983 | |||
Equity Real Estate Investment Trusts — 1.8% | |||
168,335 | American Tower Corp. | 38,658,133 | |
Food & Staples Retailing — 0.6% | |||
34,412 | Costco Wholesale Corp. | 12,306,419 | |
Health Care Providers & Services — 5.2% | |||
530,288 | AmerisourceBergen Corp. | 50,944,768 | |
264,176 | McKesson Corp. | 38,963,318 | |
84,210 | UnitedHealth Group, Inc. | 25,695,840 | |
115,603,926 | |||
Household Durables — 1.3% | |||
415,225 | Lennar Corp. - Class A | 29,161,252 | |
Household Products — 2.1% | |||
527,610 | Church & Dwight Co., Inc. | 46,635,448 | |
Insurance — 1.6% | |||
346,443 | Marsh & McLennan Cos., Inc. | 35,842,993 | |
Interactive Media & Services — 5.9% | |||
41,921 | Alphabet, Inc. - Class A1 | 67,748,947 | |
234,413 | Facebook, Inc. - Class A1 | 61,676,405 | |
129,425,352 |
74 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Internet & Direct Marketing Retail — 2.4% | |||
1,133,569 | eBay, Inc. | $ 53,991,891 | |
IT Services — 9.9% | |||
117,888 | Akamai Technologies, Inc.1 | 11,213,507 | |
319,609 | Booz Allen Hamilton Holding Corp. | 25,089,306 | |
279,226 | Fiserv, Inc.1 | 26,657,706 | |
134,196 | Leidos Holdings, Inc. | 11,138,268 | |
462,771 | Paychex, Inc. | 38,062,915 | |
321,346 | PayPal Holdings, Inc.1 | 59,812,131 | |
260,196 | Visa, Inc. - Class A | 47,280,215 | |
219,254,048 | |||
Multi-line Retail — 3.2% | |||
267,834 | Dollar General Corp. | 55,899,634 | |
154,290 | Dollar Tree, Inc.1 | 13,935,473 | |
69,835,107 | |||
Pharmaceuticals — 0.6% | |||
95,456 | Johnson & Johnson | 13,087,972 | |
Semiconductors & Semiconductor Equipment — 8.5% | |||
876,376 | Applied Materials, Inc. | 51,907,750 | |
159,958 | KLA-Tencor Corp. | 31,540,518 | |
161,210 | Lam Research Corp. | 55,146,717 | |
43,091 | Monolithic Power Systems, Inc. | 13,771,884 | |
291,795 | Xilinx, Inc. | 34,633,149 | |
187,000,018 | |||
Software — 17.0% | |||
23,719 | Adobe, Inc.1 | 10,604,765 | |
604,117 | Cadence Design Systems, Inc.1 | 66,072,276 | |
1,276,764 | Dropbox, Inc. - Class A1 | 23,313,711 | |
517,912 | Fortinet, Inc.1 | 57,161,947 | |
318,346 | Microsoft Corp. | 64,455,515 | |
992,620 | Oracle Corp. | 55,695,908 | |
836,040 | SS&C Technologies Holdings, Inc. | 49,510,289 | |
224,941 | Synopsys, Inc.1 | 48,105,882 | |
374,920,293 | |||
Specialty Retail — 9.1% | |||
563,258 | Best Buy Co., Inc. | 62,831,430 | |
208,789 | Home Depot, Inc. (The) | 55,686,114 | |
374,671 | Lowe’s Cos., Inc. | 59,235,485 | |
172,838 | Tractor Supply Co. | 23,023,750 | |
200,776,779 | |||
Technology Hardware, Storage & Peripherals — 2.8% | |||
561,712 | Apple, Inc. | 61,147,968 | |
TOTAL COMMON STOCKS (Cost $1,569,072,598) | 2,193,058,104 |
75 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.6% | |||
$13,512,189 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $13,512,189, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $13,666,100, coupon rate of 0.500%, due 03/15/2023, market value of $13,782,433) | $ 13,512,189 | |
TOTAL REPURCHASE AGREEMENT (Cost $13,512,189) | 13,512,189 | ||
TOTAL INVESTMENTS (Cost $1,582,584,787) | 100.2% | $2,206,570,293 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.2) | (3,352,604) | |
NET ASSETS | 100.0% | $2,203,217,689 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
76 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 17.0% | $ 374,920,293 | |
IT Services | 9.9 | 219,254,048 | |
Specialty Retail | 9.1 | 200,776,779 | |
Semiconductors & Semiconductor Equipment | 8.5 | 187,000,018 | |
Biotechnology | 6.3 | 138,118,783 | |
Interactive Media & Services | 5.9 | 129,425,352 | |
Electronic Equipment, Instruments & Components | 5.6 | 123,726,523 | |
Health Care Providers & Services | 5.2 | 115,603,926 | |
Entertainment | 5.1 | 111,734,983 | |
Multi-line Retail | 3.2 | 69,835,107 | |
Technology Hardware, Storage & Peripherals | 2.8 | 61,147,968 | |
Capital Markets | 2.5 | 55,662,205 | |
Internet & Direct Marketing Retail | 2.4 | 53,991,891 | |
Containers & Packaging | 2.2 | 48,654,822 | |
Communications Equipment | 2.2 | 47,763,732 | |
Household Products | 2.1 | 46,635,448 | |
Equity Real Estate Investment Trusts | 1.8 | 38,658,133 | |
Insurance | 1.6 | 35,842,993 | |
Air Freight & Logistics | 1.6 | 34,197,423 | |
Beverages | 1.5 | 33,368,210 | |
Household Durables | 1.3 | 29,161,252 | |
Pharmaceuticals | 0.6 | 13,087,972 | |
Food & Staples Retailing | 0.6 | 12,306,419 | |
Aerospace & Defense | 0.6 | 12,183,824 | |
TOTAL COMMON STOCKS AND RIGHTS | 99.6% | $2,193,058,104 | |
REPURCHASE AGREEMENT | 0.6 | 13,512,189 | |
TOTAL INVESTMENTS | 100.2% | $2,206,570,293 |
77 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Automobiles — 1.5% | |||
1,449 | Ford Motor Co. | $ 11,201 | |
360 | General Motors Co. | 12,431 | |
23,632 | |||
Banks — 7.8% | |||
813 | Citigroup, Inc. | 33,675 | |
896 | Citizens Financial Group, Inc. | 24,416 | |
1,261 | Fifth Third Bancorp | 29,280 | |
1,500 | Regions Financial Corp. | 19,950 | |
760 | Wells Fargo & Co. | 16,302 | |
123,623 | |||
Biotechnology — 1.6% | |||
81 | Alexion Pharmaceuticals, Inc.1 | 9,326 | |
33 | Amgen, Inc. | 7,159 | |
36 | Biogen, Inc.1 | 9,075 | |
25,560 | |||
Building Products — 1.0% | |||
192 | Fortune Brands Home & Security, Inc. | 15,527 | |
Capital Markets — 8.7% | |||
241 | Ameriprise Financial, Inc. | 38,760 | |
930 | Bank of New York Mellon Corp. (The) | 31,955 | |
372 | Intercontinental Exchange, Inc. | 35,117 | |
336 | Morgan Stanley | 16,178 | |
127 | Nasdaq, Inc. | 15,366 | |
137,376 | |||
Chemicals — 1.0% | |||
324 | Axalta Coating Systems, Ltd.1 | 8,136 | |
110 | LyondellBasell Industries N.V. - Class A | 7,529 | |
15,665 | |||
Communications Equipment — 1.9% | |||
208 | Ciena Corp.1 | 8,193 | |
267 | Cisco Systems, Inc. | 9,586 | |
664 | Juniper Networks, Inc. | 13,094 | |
30,873 | |||
Construction & Engineering — 0.7% | |||
165 | Quanta Services, Inc. | 10,301 | |
Containers & Packaging — 2.5% | |||
66 | Avery Dennison Corp. | 9,133 | |
705 | International Paper Co. | 30,844 | |
39,977 | |||
Diversified Consumer Services — 0.9% | |||
816 | H&R Block, Inc. | 14,084 | |
Diversified Telecommunication Services — 3.9% | |||
896 | AT&T, Inc. | 24,210 | |
2,783 | CenturyLink, Inc. | 23,989 | |
248 | Verizon Communications, Inc. | 14,134 | |
62,333 | |||
Electric Utilities — 2.1% | |||
583 | Southern Co. (The) | 33,493 |
78 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electrical Equipment — 1.7% | |||
267 | Eaton Corp. PLC | $ 27,712 | |
Electronic Equipment, Instruments & Components — 0.6% | |||
292 | Corning, Inc. | 9,335 | |
Energy Equipment & Services — 2.6% | |||
1,172 | Baker Hughes Co. | 17,311 | |
1,649 | Schlumberger, Ltd. | 24,636 | |
41,947 | |||
Equity Real Estate Investment Trusts — 2.6% | |||
419 | Prologis, Inc. | 41,565 | |
Food & Staples Retailing — 2.0% | |||
982 | Kroger Co. (The) | 31,630 | |
Food Products — 3.2% | |||
556 | General Mills, Inc. | 32,871 | |
324 | Tyson Foods, Inc. - Class A | 18,542 | |
51,413 | |||
Health Care Providers & Services — 6.8% | |||
96 | Anthem, Inc. | 26,189 | |
106 | Cigna Corp. | 17,699 | |
638 | CVS Health Corp. | 35,785 | |
193 | McKesson Corp. | 28,466 | |
108,139 | |||
Household Durables — 2.3% | |||
322 | DR Horton, Inc. | 21,513 | |
356 | PulteGroup, Inc. | 14,510 | |
36,023 | |||
Household Products — 2.1% | |||
241 | Procter & Gamble Co. (The) | 33,041 | |
Independent Power & Renewable Electricity Producer — 1.6% | |||
1,300 | AES Corp. (The) | 25,350 | |
Insurance — 4.2% | |||
279 | American International Group, Inc. | 8,786 | |
248 | Fidelity National Financial, Inc. | 7,760 | |
825 | MetLife, Inc. | 31,226 | |
460 | Principal Financial Group, Inc. | 18,041 | |
65,813 | |||
Interactive Media & Service — 0.5% | |||
5 | Alphabet, Inc. - Class A1 | 8,081 | |
IT Services — 1.4% | |||
203 | Amdocs, Ltd. | 11,445 | |
145 | Cognizant Technology Solutions Corp. - Class A | 10,356 | |
21,801 | |||
Machinery — 4.0% | |||
189 | Cummins, Inc. | 41,559 | |
103 | Parker-Hannifin Corp. | 21,461 | |
63,020 | |||
Media — 5.1% | |||
481 | Comcast Corp. - Class A | 20,318 | |
413 | Fox Corp. - Class A | 10,953 |
79 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Media — (Continued) | |||
746 | Fox Corp. - Class B1 | $ 19,500 | |
443 | Interpublic Group of Cos., Inc. (The) | 8,014 | |
467 | Omnicom Group, Inc. | 22,042 | |
80,827 | |||
Metals & Mining — 2.9% | |||
298 | Newmont Corp. | 18,727 | |
170 | Reliance Steel & Aluminum Co. | 18,528 | |
290 | Steel Dynamics, Inc. | 9,129 | |
46,384 | |||
Multi-line Retail — 1.0% | |||
101 | Target Corp. | 15,374 | |
Multi-Utilities — 1.1% | |||
305 | Public Service Enterprise Group, Inc. | 17,736 | |
Oil, Gas & Consumable Fuels — 1.0% | |||
543 | ConocoPhillips | 15,541 | |
Pharmaceuticals — 5.2% | |||
575 | Bristol-Myers Squibb Co. | 33,609 | |
83 | Jazz Pharmaceuticals PLC1 | 11,960 | |
1,027 | Pfizer, Inc. | 36,438 | |
82,007 | |||
Real Estate Management & Development — 2.1% | |||
665 | CBRE Group, Inc. - Class A1 | 33,516 | |
Road & Rail — 2.7% | |||
443 | CSX Corp. | 34,970 | |
41 | Norfolk Southern Corp. | 8,574 | |
43,544 | |||
Semiconductors & Semiconductor Equipment — 3.9% | |||
569 | Applied Materials, Inc. | 33,702 | |
647 | Intel Corp. | 28,649 | |
62,351 | |||
Software — 1.2% | |||
346 | Oracle Corp. | 19,414 | |
Specialty Retail — 1.5% | |||
213 | Best Buy Co., Inc. | 23,760 | |
Technology Hardware, Storage & Peripherals — 1.6% | |||
1,418 | HP, Inc. | 25,467 | |
Trading Companies & Distributors — 1.0% | |||
91 | United Rentals, Inc.1 | 16,224 | |
TOTAL COMMON STOCKS (Cost $1,543,795) | 1,579,459 |
80 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.6% | |||
$9,041 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $9,041, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $9,200, coupon rate of 0.500%, due 03/15/2023, market value of $9,278) | $ 9,041 | |
TOTAL REPURCHASE AGREEMENT (Cost $9,041) | 9,041 | ||
TOTAL INVESTMENTS (Cost $1,552,836) | 100.1% | $1,588,500 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (1,000) | |
NET ASSETS | 100.0% | $1,587,500 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
81 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Capital Markets | 8.7% | $ 137,376 | |
Banks | 7.8 | 123,623 | |
Health Care Providers & Services | 6.8 | 108,139 | |
Pharmaceuticals | 5.2 | 82,007 | |
Media | 5.1 | 80,827 | |
Insurance | 4.2 | 65,813 | |
Machinery | 4.0 | 63,020 | |
Semiconductors & Semiconductor Equipment | 3.9 | 62,351 | |
Diversified Telecommunication Services | 3.9 | 62,333 | |
Food Products | 3.2 | 51,413 | |
Metals & Mining | 2.9 | 46,384 | |
Road & Rail | 2.7 | 43,544 | |
Energy Equipment & Services | 2.6 | 41,947 | |
Equity Real Estate Investment Trusts | 2.6 | 41,565 | |
Containers & Packaging | 2.5 | 39,977 | |
Household Durables | 2.3 | 36,023 | |
Real Estate Management & Development | 2.1 | 33,516 | |
Electric Utilities | 2.1 | 33,493 | |
Household Products | 2.1 | 33,041 | |
Food & Staples Retailing | 2.0 | 31,630 | |
Communications Equipment | 1.9 | 30,873 | |
Electrical Equipment | 1.7 | 27,712 | |
Biotechnology | 1.6 | 25,560 | |
Technology Hardware, Storage & Peripherals | 1.6 | 25,467 | |
Independent Power & Renewable Electricity Producer | 1.6 | 25,350 | |
Specialty Retail | 1.5 | 23,760 | |
Automobiles | 1.5 | 23,632 | |
IT Services | 1.4 | 21,801 | |
Software | 1.2 | 19,414 | |
Multi-Utilities | 1.1 | 17,736 | |
Trading Companies & Distributors | 1.0 | 16,224 | |
Chemicals | 1.0 | 15,665 | |
Oil, Gas & Consumable Fuels | 1.0 | 15,541 | |
Building Products | 1.0 | 15,527 | |
Multi-line Retail | 1.0 | 15,374 | |
Diversified Consumer Services | 0.9 | 14,084 | |
Construction & Engineering | 0.7 | 10,301 | |
Electronic Equipment, Instruments & Components | 0.6 | 9,335 | |
Interactive Media & Service | 0.5 | 8,081 | |
TOTAL COMMON STOCKS | 99.5% | $1,579,459 | |
REPURCHASE AGREEMENT | 0.6 | 9,041 | |
TOTAL INVESTMENTS | 100.1% | $1,588,500 |
82 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Air Freight & Logistics — 1.5% | |||
127 | Atlas Air Worldwide Holdings, Inc.1 | $ 7,513 | |
152 | Hub Group, Inc. - Class A1 | 7,620 | |
15,133 | |||
Auto Components — 0.8% | |||
233 | Cooper Tire & Rubber Co. | 8,013 | |
Banks — 10.5% | |||
363 | Cathay General Bancorp | 8,541 | |
519 | Central Pacific Financial Corp. | 7,147 | |
236 | Financial Institutions, Inc. | 4,184 | |
1,455 | First BanCorp | 9,443 | |
211 | First Financial Corp. | 7,326 | |
489 | First Foundation, Inc. | 7,271 | |
408 | Hilltop Holdings, Inc. | 9,307 | |
943 | Hope Bancorp, Inc. | 7,610 | |
224 | Independent Bank Group, Inc. | 11,554 | |
985 | Investors Bancorp, Inc. | 8,333 | |
342 | Pacific Premier Bancorp, Inc. | 8,721 | |
404 | Simmons First National Corp. - Class A | 6,864 | |
906 | Valley National Bancorp | 6,922 | |
103,223 | |||
Biotechnology — 11.8% | |||
2,992 | Akebia Therapeutics, Inc.1,2 | 6,642 | |
263 | AnaptysBio, Inc.1 | 7,748 | |
537 | Assembly Biosciences, Inc.1 | 7,915 | |
2,600 | Catalyst Pharmaceuticals, Inc.1 | 7,722 | |
1,076 | CytomX Therapeutics, Inc.1 | 7,123 | |
400 | Dicerna Pharmaceuticals, Inc.1 | 8,396 | |
170 | Eagle Pharmaceuticals Inc/DE1 | 7,909 | |
266 | Editas Medicine, Inc.1,2 | 8,230 | |
315 | Intellia Therapeutics, Inc.1,2 | 7,541 | |
73 | Ligand Pharmaceuticals, Inc.1,2 | 6,019 | |
147 | MacroGenics, Inc.1 | 2,853 | |
753 | Prothena Corp. PLC1 | 8,215 | |
721 | Retrophin, Inc.1 | 14,593 | |
985 | Spectrum Pharmaceuticals, Inc.1 | 3,379 | |
621 | Vanda Pharmaceuticals, Inc.1 | 6,639 | |
121 | Xencor, Inc.1 | 4,644 | |
115,568 | |||
Building Products — 2.4% | |||
1,568 | Cornerstone Building Brands, Inc.1 | 12,027 | |
64 | Masonite International Corp.1 | 5,632 | |
337 | Quanex Building Products Corp. | 6,133 | |
23,792 | |||
Capital Markets — 3.0% | |||
865 | Brightsphere Investment Group, Inc. | 11,937 | |
363 | Federated Hermes, Inc. | 8,675 | |
156 | Stifel Financial Corp. | 9,120 | |
29,732 | |||
Chemicals — 1.6% | |||
265 | Avient Corp. | 8,234 | |
161 | HB Fuller Co. | 7,285 | |
15,519 |
83 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Commercial Services & Supplies — 1.2% | |||
634 | ACCO Brands Corp. | $ 3,341 | |
137 | Herman Miller, Inc. | 4,174 | |
283 | KAR Auction Services, Inc. | 4,121 | |
11,636 | |||
Communications Equipment — 1.4% | |||
214 | NETGEAR, Inc.1 | 6,595 | |
545 | Viavi Solutions, Inc.1 | 6,731 | |
13,326 | |||
Construction & Engineering — 2.1% | |||
246 | Arcosa, Inc. | 11,358 | |
214 | Primoris Services Corp. | 4,038 | |
408 | Tutor Perini Corp.1 | 5,512 | |
20,908 | |||
Construction Materials — 0.9% | |||
495 | Summit Materials, Inc. - Class A1 | 8,757 | |
Consumer Finance — 0.9% | |||
1,082 | Navient Corp. | 8,667 | |
Diversified Consumer Services — 1.9% | |||
272 | American Public Education, Inc.1 | 7,689 | |
230 | K12, Inc.1 | 5,490 | |
517 | Perdoceo Education Corp.1 | 5,837 | |
19,016 | |||
Diversified Telecommunication Services — 0.4% | |||
294 | Ooma, Inc.1 | 4,148 | |
Electric Utilities — 1.2% | |||
98 | ALLETE, Inc. | 5,055 | |
179 | Otter Tail Corp. | 6,864 | |
11,919 | |||
Electronic Equipment, Instruments & Components — 3.8% | |||
153 | Fabrinet1 | 9,183 | |
159 | Insight Enterprises, Inc.1 | 8,483 | |
59 | Plexus Corp.1 | 4,103 | |
230 | Sanmina Corp.1 | 5,621 | |
528 | TTM Technologies, Inc.1 | 6,267 | |
252 | Vishay Intertechnology, Inc. | 4,088 | |
37,745 | |||
Equity Real Estate Investment Trusts — 5.5% | |||
150 | American Assets Trust, Inc. | 3,139 | |
396 | CareTrust REIT, Inc. | 6,772 | |
773 | City Office REIT, Inc. | 4,885 | |
82 | EastGroup Properties, Inc. | 10,912 | |
755 | Lexington Realty Trust | 7,497 | |
331 | National Storage Affiliates Trust | 11,218 | |
322 | STAG Industrial, Inc. | 10,021 | |
54,444 | |||
Food & Staples Retailing — 1.6% | |||
200 | BJ’s Wholesale Club Holdings, Inc.1 | 7,658 | |
440 | SpartanNash Co. | 8,100 | |
15,758 |
84 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Equipment & Supplies — 3.9% | |||
1,295 | Invacare Corp. | $ 10,502 | |
971 | OraSure Technologies, Inc.1 | 14,507 | |
288 | SeaSpine Holdings Corp.1 | 3,675 | |
3,190 | ViewRay, Inc.1,2 | 9,474 | |
38,158 | |||
Health Care Providers & Services — 2.3% | |||
615 | Select Medical Holdings Corp.1 | 12,903 | |
396 | Tenet Healthcare Corp.1 | 9,718 | |
22,621 | |||
Health Care Technology — 0.8% | |||
730 | Allscripts Healthcare Solutions, Inc.1 | 7,358 | |
Hotels, Restaurants & Leisure — 0.9% | |||
365 | Twin River Worldwide Holdings, Inc. | 8,859 | |
Household Durables — 3.5% | |||
126 | Meritage Homes Corp.1 | 10,973 | |
248 | Taylor Morrison Home Corp.1 | 5,357 | |
52 | TopBuild Corp.1 | 7,967 | |
629 | TRI Pointe Group, Inc.1 | 10,335 | |
34,632 | |||
Household Products — 0.7% | |||
206 | Central Garden & Pet Co. - Class A1 | 7,290 | |
Insurance — 3.0% | |||
486 | CNO Financial Group, Inc. | 8,627 | |
243 | Employers Holdings, Inc. | 7,778 | |
201 | Horace Mann Educators Corp. | 6,816 | |
139 | Stewart Information Services Corp. | 5,892 | |
29,113 | |||
Interactive Media & Service — 0.6% | |||
299 | Cargurus, Inc.1 | 5,959 | |
IT Services — 3.5% | |||
536 | NIC, Inc. | 12,017 | |
372 | Perficient, Inc.1 | 14,567 | |
215 | Sykes Enterprises, Inc.1 | 7,362 | |
33,946 | |||
Life Sciences Tools & Services — 0.7% | |||
317 | Luminex Corp. | 6,987 | |
Machinery — 1.1% | |||
350 | Rexnord Corp. | 11,228 | |
Media — 0.8% | |||
628 | Gray Television, Inc.1 | 7,963 | |
Metals & Mining — 1.5% | |||
420 | Commercial Metals Co. | 8,673 | |
90 | Kaiser Aluminum Corp. | 5,664 | |
14,337 | |||
Mortgage Real Estate Investment Trusts — 1.3% | |||
587 | ARMOUR Residential REIT, Inc. | 5,600 | |
1,407 | Capstead Mortgage Corp. | 7,190 | |
12,790 |
85 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Multi-line Retail — 0.8% | |||
156 | Big Lots, Inc. | $ 7,426 | |
Multi-Utilities — 0.4% | |||
116 | Unitil Corp. | 4,008 | |
Oil, Gas & Consumable Fuels — 2.3% | |||
400 | CVR Energy, Inc. | 4,404 | |
1,233 | DHT Holdings, Inc. | 5,931 | |
527 | Teekay Tankers, Ltd. - Class A1 | 4,969 | |
363 | World Fuel Services Corp. | 7,641 | |
22,945 | |||
Paper & Forest Products — 1.5% | |||
194 | Boise Cascade Co. | 7,446 | |
297 | Domtar Corp. | 7,092 | |
14,538 | |||
Pharmaceuticals — 0.7% | |||
781 | Alder Biopharmaceuticals, Inc.1,3 | 0 | |
349 | Supernus Pharmaceuticals, Inc.1 | 6,408 | |
6,408 | |||
Professional Services — 1.4% | |||
104 | ASGN, Inc.1 | 6,935 | |
314 | Heidrick & Struggles International, Inc. | 7,175 | |
14,110 | |||
Real Estate Management & Development — 0.9% | |||
752 | Realogy Holdings Corp.1,2 | 8,392 | |
Semiconductors & Semiconductor Equipment — 4.1% | |||
471 | Amkor Technology, Inc.1 | 5,581 | |
288 | Axcelis Technologies, Inc.1 | 6,356 | |
228 | Cohu, Inc. | 4,955 | |
178 | Diodes, Inc.1 | 10,294 | |
284 | FormFactor, Inc.1 | 8,051 | |
172 | SMART Global Holdings, Inc.1 | 4,539 | |
39,776 | |||
Software — 3.2% | |||
528 | ChannelAdvisor Corp.1 | 8,554 | |
104 | Progress Software Corp. | 3,782 | |
165 | SPS Commerce, Inc.1 | 14,122 | |
385 | Xperi Holding Corp. | 4,774 | |
31,232 | |||
Specialty Retail — 3.3% | |||
89 | Asbury Automotive Group, Inc.1 | 9,165 | |
108 | Group 1 Automotive, Inc. | 11,457 | |
239 | MarineMax, Inc.1 | 7,165 | |
174 | Zumiez, Inc.1 | 4,872 | |
32,659 | |||
Trading Companies & Distributors — 3.3% | |||
182 | Beacon Roofing Supply, Inc.1 | 5,587 | |
319 | BMC Stock Holdings, Inc.1 | 12,629 | |
1,707 | NOW, Inc.1 | 6,948 | |
185 | WESCO International, Inc.1 | 7,630 | |
32,794 |
86 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Wireless Telecommunication Services — 0.6% | |||
142 | Shenandoah Telecommunications Co. | $ 6,194 | |
TOTAL COMMON STOCKS (Cost $930,992) | 979,027 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.7% | |||
$ 6,592 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $6,592, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $6,700, coupon rate of 0.500%, due 03/15/2023, market value of $6,757) | 6,592 | |
TOTAL REPURCHASE AGREEMENT (Cost $6,592) | 6,592 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.3% | |||
22,578 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 22,578 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $22,578) | 22,578 | ||
TOTAL INVESTMENTS (Cost $960,162) | 102.6% | $1,008,197 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.6) | (25,873) | |
NET ASSETS | 100.0% | $ 982,324 |
* | 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. |
87 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Biotechnology | 11.8% | $ 115,568 | |
Banks | 10.5 | 103,223 | |
Equity Real Estate Investment Trusts | 5.5 | 54,444 | |
Semiconductors & Semiconductor Equipment | 4.1 | 39,776 | |
Health Care Equipment & Supplies | 3.9 | 38,158 | |
Electronic Equipment, Instruments & Components | 3.8 | 37,745 | |
Household Durables | 3.5 | 34,632 | |
IT Services | 3.5 | 33,946 | |
Trading Companies & Distributors | 3.3 | 32,794 | |
Specialty Retail | 3.3 | 32,659 | |
Software | 3.2 | 31,232 | |
Capital Markets | 3.0 | 29,732 | |
Insurance | 3.0 | 29,113 | |
Building Products | 2.4 | 23,792 | |
Oil, Gas & Consumable Fuels | 2.3 | 22,945 | |
Health Care Providers & Services | 2.3 | 22,621 | |
Construction & Engineering | 2.1 | 20,908 | |
Diversified Consumer Services | 1.9 | 19,016 | |
Food & Staples Retailing | 1.6 | 15,758 | |
Chemicals | 1.6 | 15,519 | |
Air Freight & Logistics | 1.5 | 15,133 | |
Paper & Forest Products | 1.5 | 14,538 | |
Metals & Mining | 1.5 | 14,337 | |
Professional Services | 1.4 | 14,110 | |
Communications Equipment | 1.4 | 13,326 | |
Mortgage Real Estate Investment Trusts | 1.3 | 12,790 | |
Electric Utilities | 1.2 | 11,919 | |
Commercial Services & Supplies | 1.2 | 11,636 | |
Machinery | 1.1 | 11,228 | |
Hotels, Restaurants & Leisure | 0.9 | 8,859 | |
Construction Materials | 0.9 | 8,757 | |
Consumer Finance | 0.9 | 8,667 | |
Real Estate Management & Development | 0.9 | 8,392 | |
Auto Components | 0.8 | 8,013 | |
Media | 0.8 | 7,963 | |
Multi-line Retail | 0.8 | 7,426 | |
Health Care Technology | 0.8 | 7,358 | |
Household Products | 0.7 | 7,290 | |
Life Sciences Tools & Services | 0.7 | 6,987 | |
Pharmaceuticals | 0.7 | 6,408 | |
Wireless Telecommunication Services | 0.6 | 6,194 | |
Interactive Media & Service | 0.6 | 5,959 | |
Diversified Telecommunication Services | 0.4 | 4,148 | |
Multi-Utilities | 0.4 | 4,008 | |
TOTAL COMMON STOCKS | 99.6% | $ 979,027 | |
REPURCHASE AGREEMENT | 0.7 | 6,592 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.3 | 22,578 | |
TOTAL INVESTMENTS | 102.6% | $1,008,197 |
88 |
Shares | Value | ||
COMMON STOCKS* — 98.5% | |||
Japan — 25.9% | |||
117,816 | Astellas Pharma, Inc., Unsponsored ADR | $ 1,617,614 | |
35,453 | Dai Nippon Printing Co, Ltd., Sponsored ADR | 327,586 | |
69,120 | Daito Trust Construction Co., Ltd., Sponsored ADR1 | 1,601,165 | |
61,945 | Fujitsu, Ltd., Unsponsored ADR1 | 1,479,246 | |
38,389 | Honda Motor Co., Ltd., Sponsored ADR1 | 906,748 | |
89,969 | KDDI Corp., Unsponsored ADR1 | 1,224,478 | |
11,803 | Nintendo Co, Ltd., Unsponsored ADR1 | 799,417 | |
13,979 | Nippon Telegraph & Telephone Corp., ADR | 296,914 | |
37,451 | Nitto Denko Corp., Unsponsored ADR1 | 1,316,403 | |
20,773 | Omron Corp., Sponsored ADR1 | 1,498,460 | |
19,464 | Sony Corp., Sponsored ADR1 | 1,628,358 | |
6,361 | TDK Corp., Sponsored ADR1 | 758,931 | |
41,116 | Toray Industries, Inc., Unsponsored ADR1 | 371,689 | |
13,827,009 | |||
United Kingdom — 11.8% | |||
15,200 | Associated British Foods PLC, Sponsored ADR2 | 331,816 | |
32,519 | BAE Systems PLC, Sponsored ADR | 678,997 | |
17,509 | British American Tobacco PLC, Sponsored ADR1 | 558,187 | |
25,795 | GlaxoSmithKline PLC, Sponsored ADR | 862,069 | |
78,998 | Imperial Brands PLC, Sponsored ADR | 1,253,698 | |
7,154 | Mondi PLC, Unsponsored ADR | 270,167 | |
15,007 | Persimmon PLC, Unsponsored ADR1 | 918,996 | |
25,012 | Unilever N.V. | 1,414,679 | |
6,288,609 | |||
Switzerland — 11.7% | |||
49,494 | ABB, Ltd., Sponsored ADR1 | 1,202,210 | |
14,312 | Adecco Group AG, Unsponsored ADR | 349,571 | |
60,204 | Credit Suisse Group AG, Sponsored ADR1,2 | 566,520 | |
71,835 | LafargeHolcim, Ltd., Unsponsored ADR1,2 | 614,189 | |
19,312 | Novartis AG, Sponsored ADR | 1,507,881 | |
39,162 | STMicroelectronics N.V.1 | 1,196,007 | |
16,260 | Swisscom AG, Sponsored ADR1 | 827,543 | |
6,263,921 | |||
Canada — 11.6% | |||
15,009 | Bank of Montreal1 | 892,585 | |
42,412 | Barrick Gold Corp. | 1,133,673 | |
22,891 | Royal Bank of Canada1 | 1,602,141 | |
29,061 | Sun Life Financial, Inc. | 1,157,209 | |
35,294 | TC Energy Corp. | 1,392,701 | |
6,178,309 | |||
France — 8.0% | |||
19,447 | Atos SE, Unsponsored ADR2 | 264,712 | |
63,236 | AXA SA, Sponsored ADR | 1,018,100 | |
86,571 | BNP Paribas SA, ADR2 | 1,509,798 | |
65,974 | Peugeot SA, Unsponsored ADR1,2 | 1,182,914 | |
8,985 | Total SE, Sponsored ADR | 272,515 | |
4,248,039 | |||
Germany — 6.9% | |||
84,283 | Brenntag AG, Unsponsored ADR | 1,072,922 | |
30,628 | Deutsche Post AG, Sponsored ADR | 1,352,226 | |
15,232 | Deutsche Telekom AG, Sponsored ADR | 233,050 | |
4,278 | Fresenius Medical Care AG & Co. KGaA, ADR | 163,548 | |
61,648 | Fresenius SE & Co. KGaA,Sponsored ADR | 571,477 |
89 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Germany — (Continued) | |||
4,427 | Siemens AG, Sponsored ADR | $ 284,789 | |
3,678,012 | |||
Netherlands — 5.1% | |||
11,419 | Akzo Nobel N.V., Sponsored ADR2 | 366,436 | |
58,029 | Koninklijke Ahold Delhaize N.V., Sponsored ADR | 1,599,279 | |
44,097 | NN Group N.V., Unsponsored ADR | 767,729 | |
2,733,444 | |||
Sweden — 3.9% | |||
6,104 | Evolution Gaming Group AB, ADR1 | 451,147 | |
78,636 | SKF AB, Sponsored ADR1 | 1,606,533 | |
2,057,680 | |||
Ireland — 2.9% | |||
44,258 | CRH PLC, Sponsored ADR | 1,555,669 | |
Singapore — 2.9% | |||
16,422 | Singapore Exchange, Ltd., Unsponsored ADR | 1,527,246 | |
Hong Kong — 2.8% | |||
22,191 | BOC Hong Kong Holdings, Ltd., Sponsored ADR | 1,254,235 | |
17,047 | WH Group, Ltd., Sponsored ADR1 | 268,576 | |
1,522,811 | |||
Australia — 2.3% | |||
108,239 | Aurizon Holdings, Ltd., Sponsored ADR | 1,229,595 | |
Spain — 1.4% | |||
15,268 | Iberdrola SA, Sponsored ADR | 723,703 | |
Denmark — 0.7% | |||
11,009 | Genmab AS, Sponsored ADR2 | 370,563 | |
Italy — 0.6% | |||
14,890 | Terna Rete Elettrica Nazionale SPA, Unsponsored ADR | 298,991 | |
TOTAL COMMON STOCKS (Cost $51,040,840) | 52,503,601 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 17.3% | |||
9,236,137 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 9,236,137 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $9,236,137) | 9,236,137 | ||
Face Amount | |||
REPURCHASE AGREEMENT*—0.4% | |||
$ 208,341 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $208,341, due 11/2/20, (collateralized by a a U.S. Treasury Note with a par value of $210,800, coupon rate of 0.500%, due 03/15/2023, market value of $212,594) | 208,341 | |
TOTAL REPURCHASE AGREEMENT (Cost $208,341) | 208,341 | ||
TOTAL INVESTMENTS (Cost $60,485,318) | 116.2% | $61,948,079 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (16.2) | (8,645,963) | |
NET ASSETS | 100.0% | $53,302,116 |
90 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Non income-producing security. |
3 | Represents an investment of securities lending cash collateral. |
Abbreviatons: |
ADR — American Depositary Receipt |
91 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 9.9% | $ 5,258,759 | |
Pharmaceuticals | 7.4 | 3,987,564 | |
Insurance | 5.5 | 2,943,038 | |
Household Durables | 4.7 | 2,547,354 | |
Electronic Equipment, Instruments & Components | 4.2 | 2,257,391 | |
Construction Materials | 4.0 | 2,169,858 | |
Capital Markets | 4.0 | 2,093,766 | |
Automobiles | 3.9 | 2,089,662 | |
Chemicals | 3.9 | 2,054,528 | |
Tobacco | 3.4 | 1,811,885 | |
IT Services | 3.3 | 1,743,958 | |
Oil, Gas & Consumable Fuels | 3.1 | 1,665,216 | |
Machinery | 3.0 | 1,606,533 | |
Real Estate Management & Development | 3.0 | 1,601,165 | |
Food & Staples Retailing | 3.0 | 1,599,279 | |
Personal Products | 2.7 | 1,414,679 | |
Diversified Telecommunication Services | 2.6 | 1,357,507 | |
Air Freight & Logistics | 2.5 | 1,352,226 | |
Road & Rail | 2.3 | 1,229,595 | |
Wireless Telecommunication Services | 2.3 | 1,224,478 | |
Electrical Equipment | 2.3 | 1,202,210 | |
Semiconductors & Semiconductor Equipment | 2.2 | 1,196,007 | |
Metals & Mining | 2.1 | 1,133,673 | |
Trading Companies & Distributors | 2.0 | 1,072,922 | |
Electric Utilities | 2.0 | 1,022,694 | |
Entertainment | 1.5 | 799,417 | |
Health Care Providers & Services | 1.4 | 735,025 | |
Aerospace & Defense | 1.3 | 678,997 | |
Food Products | 1.1 | 600,392 | |
Leisure Equipment & Products | 0.9 | 451,147 | |
Biotechnology | 0.7 | 370,563 | |
Professional Services | 0.7 | 349,571 | |
Commercial Services & Supplies | 0.6 | 327,586 | |
Industrial Conglomerates | 0.5 | 284,789 | |
Paper & Forest Products | 0.5 | 270,167 | |
TOTAL COMMON STOCKS | 98.5% | $52,503,601 | |
REPURCHASE AGREEMENT | 0.4 | 208,341 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 17.3 | 9,236,137 | |
TOTAL INVESTMENTS | 116.2% | $61,948,079 |
92 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Aerospace & Defense — 0.5% | |||
380 | Northrop Grumman Corp. | $ 110,132 | |
Air Freight & Logistics — 1.6% | |||
4,054 | Expeditors International of Washington, Inc. | 358,252 | |
Auto Components — 1.3% | |||
8,565 | BorgWarner, Inc. | 299,604 | |
Banks — 4.1% | |||
2,755 | Citigroup, Inc. | 114,112 | |
3,369 | East West Bancorp, Inc. | 122,901 | |
23,006 | Regions Financial Corp. | 305,980 | |
11,598 | Zions Bancorp N.A. | 374,267 | |
917,260 | |||
Biotechnology — 3.7% | |||
1,390 | AbbVie, Inc. | 118,289 | |
1,646 | Amgen, Inc. | 357,083 | |
1,350 | Biogen, Inc.1 | 340,295 | |
815,667 | |||
Building Products — 0.9% | |||
6,318 | Carrier Global Corp. | 210,958 | |
Capital Markets — 6.1% | |||
2,715 | Ameriprise Financial, Inc. | 436,654 | |
3,019 | Bank of New York Mellon Corp. (The) | 103,733 | |
2,565 | Intercontinental Exchange, Inc. | 242,136 | |
5,689 | Morgan Stanley | 273,925 | |
2,393 | T Rowe Price Group, Inc. | 303,097 | |
1,359,545 | |||
Chemicals — 1.2% | |||
8,030 | Corteva, Inc. | 264,829 | |
Communications Equipment — 3.7% | |||
4,073 | Ciena Corp.1 | 160,436 | |
8,406 | Cisco Systems, Inc. | 301,775 | |
1,224 | F5 Networks, Inc.1 | 162,719 | |
10,499 | Juniper Networks, Inc. | 207,040 | |
831,970 | |||
Containers & Packaging — 1.6% | |||
8,196 | International Paper Co. | 358,575 | |
Diversified Telecommunication Services — 1.4% | |||
5,671 | Verizon Communications, Inc. | 323,190 | |
Electronic Equipment, Instruments & Components — 2.9% | |||
5,577 | Corning, Inc. | 178,297 | |
9,523 | FLIR Systems, Inc. | 330,353 | |
1,371 | TE Connectivity, Ltd. | 132,822 | |
641,472 | |||
Energy Equipment & Services — 1.5% | |||
14,456 | Baker Hughes Co. | 213,515 | |
7,700 | Schlumberger, Ltd. | 115,038 | |
328,553 | |||
Entertainment — 4.9% | |||
6,342 | Activision Blizzard, Inc. | 480,280 |
93 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Entertainment — (Continued) | |||
2,688 | Electronic Arts, Inc.1 | $ 322,103 | |
1,956 | Take-Two Interactive Software, Inc.1 | 303,023 | |
1,105,406 | |||
Equity Real Estate Investment Trusts — 1.8% | |||
690 | American Tower Corp. | 158,459 | |
2,450 | Prologis, Inc. | 243,040 | |
401,499 | |||
Food & Staples Retailing — 1.7% | |||
8,158 | Kroger Co. (The) | 262,769 | |
5,106 | US Foods Holding Corp.1 | 106,716 | |
369,485 | |||
Food Products — 2.0% | |||
7,484 | General Mills, Inc. | 442,454 | |
Health Care Equipment & Supplies — 1.7% | |||
1,405 | West Pharmaceutical Services, Inc. | 382,258 | |
Health Care Providers & Services — 3.8% | |||
2,436 | AmerisourceBergen Corp. | 234,027 | |
1,426 | Cigna Corp. | 238,099 | |
959 | Humana, Inc. | 382,909 | |
855,035 | |||
Household Durables — 0.9% | |||
49 | NVR, Inc.1 | 193,701 | |
Household Products — 2.0% | |||
1,336 | Church & Dwight Co., Inc. | 118,089 | |
4,102 | Colgate-Palmolive Co. | 323,607 | |
441,696 | |||
Independent Power & Renewable Electricity Producer — 1.9% | |||
21,660 | AES Corp. (The) | 422,370 | |
Insurance — 2.3% | |||
9,094 | MetLife, Inc. | 344,208 | |
947 | Willis Towers Watson PLC | 172,808 | |
517,016 | |||
Interactive Media & Services — 4.3% | |||
276 | Alphabet, Inc. - Class A1 | 446,046 | |
1,969 | Facebook, Inc. - Class A1 | 518,064 | |
964,110 | |||
Internet & Direct Marketing Retail — 2.0% | |||
9,492 | eBay, Inc. | 452,104 | |
IT Services — 7.6% | |||
1,087 | Accenture PLC - Class A | 235,781 | |
2,213 | Cognizant Technology Solutions Corp. - Class A | 158,053 | |
3,582 | Fiserv, Inc.1 | 341,974 | |
3,798 | Leidos Holdings, Inc. | 315,234 | |
3,418 | PayPal Holdings, Inc.1 | 636,191 | |
1,687,233 | |||
Life Sciences Tools & Services — 0.5% | |||
256 | Thermo Fisher Scientific, Inc. | 121,119 |
94 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — 2.0% | |||
1,372 | Cummins, Inc. | $ 301,689 | |
2,000 | Oshkosh Corp. | 134,720 | |
436,409 | |||
Media — 0.5% | |||
6,231 | Discovery, Inc. - Class C1 | 114,152 | |
Metals & Mining — 2.1% | |||
2,000 | Newmont Corp. | 125,680 | |
1,885 | Reliance Steel & Aluminum Co. | 205,446 | |
4,279 | Steel Dynamics, Inc. | 134,703 | |
465,829 | |||
Multi-line Retail — 1.4% | |||
2,114 | Target Corp. | 321,793 | |
Oil, Gas & Consumable Fuels — 0.4% | |||
7,070 | Kinder Morgan, Inc. | 84,133 | |
Pharmaceuticals — 1.8% | |||
3,939 | Bristol-Myers Squibb Co. | 230,235 | |
1,292 | Eli Lilly and Co. | 168,554 | |
398,789 | |||
Real Estate Management & Development — 1.7% | |||
7,316 | CBRE Group, Inc. - Class A1 | 368,726 | |
Road & Rail — 0.5% | |||
1,556 | CSX Corp. | 122,831 | |
Semiconductors & Semiconductor Equipment — 5.3% | |||
7,730 | Applied Materials, Inc. | 457,848 | |
7,267 | Intel Corp. | 321,783 | |
818 | Lam Research Corp. | 279,821 | |
815 | Skyworks Solutions, Inc. | 115,151 | |
1,174,603 | |||
Software — 7.1% | |||
4,176 | Cadence Design Systems, Inc.1 | 456,729 | |
852 | Citrix Systems, Inc. | 96,506 | |
4,269 | Fortinet, Inc.1 | 471,170 | |
2,772 | Microsoft Corp. | 561,247 | |
1,585,652 | |||
Specialty Retail — 4.7% | |||
4,774 | Best Buy Co., Inc. | 532,540 | |
1,906 | Lowe’s Cos., Inc. | 301,339 | |
2,455 | Williams-Sonoma, Inc. | 223,920 | |
1,057,799 | |||
Technology Hardware, Storage & Peripherals — 2.6% | |||
5,098 | Dell Technologies, Inc. - Class C1 | 307,205 | |
14,636 | HP, Inc. | 262,863 | |
570,068 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
468 | Deckers Outdoor Corp.1 | 118,577 |
95 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Trading Companies & Distributors — 0.9% | |||
1,140 | United Rentals, Inc.1 | $ 203,251 | |
TOTAL COMMON STOCKS (Cost $18,207,220) | 22,198,105 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.4% | |||
$88,260 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $88,260, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $89,300, coupon rate of 0.500%, due 03/15/2023, market value of $90,060) | 88,260 | |
TOTAL REPURCHASE AGREEMENT (Cost $88,260) | 88,260 | ||
TOTAL INVESTMENTS (Cost $18,295,480) | 99.8% | $22,286,365 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.2 | 55,184 | |
NET ASSETS | 100.0% | $22,341,549 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
96 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 7.6% | $ 1,687,233 | |
Software | 7.1 | 1,585,652 | |
Capital Markets | 6.1 | 1,359,545 | |
Semiconductors & Semiconductor Equipment | 5.3 | 1,174,603 | |
Entertainment | 4.9 | 1,105,406 | |
Specialty Retail | 4.7 | 1,057,799 | |
Interactive Media & Services | 4.3 | 964,110 | |
Banks | 4.1 | 917,260 | |
Health Care Providers & Services | 3.8 | 855,035 | |
Communications Equipment | 3.7 | 831,970 | |
Biotechnology | 3.7 | 815,667 | |
Electronic Equipment, Instruments & Components | 2.9 | 641,472 | |
Technology Hardware, Storage & Peripherals | 2.6 | 570,068 | |
Insurance | 2.3 | 517,016 | |
Metals & Mining | 2.1 | 465,829 | |
Internet & Direct Marketing Retail | 2.0 | 452,104 | |
Food Products | 2.0 | 442,454 | |
Household Products | 2.0 | 441,696 | |
Machinery | 2.0 | 436,409 | |
Independent Power & Renewable Electricity Producer | 1.9 | 422,370 | |
Equity Real Estate Investment Trusts | 1.8 | 401,499 | |
Pharmaceuticals | 1.8 | 398,789 | |
Health Care Equipment & Supplies | 1.7 | 382,258 | |
Food & Staples Retailing | 1.7 | 369,485 | |
Real Estate Management & Development | 1.7 | 368,726 | |
Containers & Packaging | 1.6 | 358,575 | |
Air Freight & Logistics | 1.6 | 358,252 | |
Energy Equipment & Services | 1.5 | 328,553 | |
Diversified Telecommunication Services | 1.4 | 323,190 | |
Multi-line Retail | 1.4 | 321,793 | |
Auto Components | 1.3 | 299,604 | |
Chemicals | 1.2 | 264,829 | |
Building Products | 0.9 | 210,958 | |
Trading Companies & Distributors | 0.9 | 203,251 | |
Household Durables | 0.9 | 193,701 | |
Road & Rail | 0.5 | 122,831 | |
Life Sciences Tools & Services | 0.5 | 121,119 | |
Textiles, Apparel & Luxury Goods | 0.5 | 118,577 | |
Media | 0.5 | 114,152 | |
Aerospace & Defense | 0.5 | 110,132 | |
Oil, Gas & Consumable Fuels | 0.4 | 84,133 | |
TOTAL COMMON STOCKS | 99.4% | $22,198,105 | |
REPURCHASE AGREEMENT | 0.4 | 88,260 | |
TOTAL INVESTMENTS | 99.8% | $22,286,365 |
97 |
Shares | Value | ||
COMMON STOCKS* — 99.1% | |||
Aerospace & Defense — 0.8% | |||
519 | Lockheed Martin Corp. | $ 181,717 | |
Air Freight & Logistics — 1.6% | |||
3,816 | Expeditors International of Washington, Inc. | 337,220 | |
Auto Components — 0.5% | |||
2,943 | BorgWarner, Inc. | 102,946 | |
Automobiles — 1.1% | |||
7,174 | General Motors Co. | 247,718 | |
Banks — 4.1% | |||
16,968 | Citizens Financial Group, Inc. | 462,378 | |
11,743 | East West Bancorp, Inc. | 428,385 | |
890,763 | |||
Biotechnology — 2.0% | |||
3,718 | AbbVie, Inc. | 316,402 | |
974 | Alexion Pharmaceuticals, Inc.1 | 112,146 | |
428,548 | |||
Capital Markets — 4.7% | |||
2,122 | Ameriprise Financial, Inc. | 341,281 | |
5,000 | Bank of New York Mellon Corp. (The) | 171,800 | |
4,339 | Intercontinental Exchange, Inc. | 409,602 | |
2,200 | Morgan Stanley | 105,930 | |
1,028,613 | |||
Communications Equipment — 3.6% | |||
10,977 | Ciena Corp.1 | 432,384 | |
5,742 | Cisco Systems, Inc. | 206,138 | |
1,020 | F5 Networks, Inc.1 | 135,599 | |
774,121 | |||
Consumer Finance — 0.7% | |||
6,417 | Synchrony Financial | 160,553 | |
Containers & Packaging — 2.8% | |||
7,400 | Graphic Packaging Holding Co. | 98,346 | |
11,412 | International Paper Co. | 499,275 | |
597,621 | |||
Diversified Consumer Services — 1.0% | |||
4,843 | Service Corp. International | 224,279 | |
Diversified Telecommunication Services — 1.8% | |||
8,501 | AT&T, Inc. | 229,697 | |
2,675 | Verizon Communications, Inc. | 152,448 | |
382,145 | |||
Electronic Equipment, Instruments & Components — 1.2% | |||
3,339 | Dolby Laboratories, Inc. - Class A | 250,692 | |
Energy Equipment & Services — 1.9% | |||
27,595 | Baker Hughes Co. | 407,578 | |
Entertainment — 3.9% | |||
3,518 | Electronic Arts, Inc.1 | 421,562 | |
2,763 | Take-Two Interactive Software, Inc.1 | 428,044 | |
849,606 |
98 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — 1.9% | |||
800 | Coresite Realty Corp. | $ 95,488 | |
439 | Equinix, Inc. | 321,014 | |
416,502 | |||
Food & Staples Retailing — 1.3% | |||
8,807 | Kroger Co. (The) | 283,674 | |
Food Products — 2.1% | |||
7,887 | General Mills, Inc. | 466,279 | |
Health Care Providers & Services — 5.5% | |||
3,090 | CVS Health Corp. | 173,318 | |
6,794 | DaVita, Inc.1 | 585,983 | |
2,961 | McKesson Corp. | 436,718 | |
1,196,019 | |||
Household Durables — 1.9% | |||
6,141 | DR Horton, Inc. | 410,280 | |
Household Products — 2.5% | |||
1,804 | Church & Dwight Co., Inc. | 159,456 | |
4,904 | Colgate-Palmolive Co. | 386,876 | |
546,332 | |||
Independent Power & Renewable Electricity Producer — 1.6% | |||
17,919 | AES Corp. (The) | 349,421 | |
Insurance — 2.7% | |||
1,663 | Allstate Corp. (The) | 147,591 | |
1,250 | Aon PLC - Class A | 230,013 | |
2,760 | MetLife, Inc. | 104,466 | |
6,100 | Unum Group | 107,726 | |
589,796 | |||
Interactive Media & Service — 3.1% | |||
2,525 | Facebook, Inc. - Class A1 | 664,352 | |
Internet & Direct Marketing Retail — 0.7% | |||
3,000 | eBay, Inc. | 142,890 | |
IT Services — 6.6% | |||
5,377 | Akamai Technologies, Inc.1 | 511,460 | |
4,402 | Cognizant Technology Solutions Corp. - Class A | 314,391 | |
3,272 | PayPal Holdings, Inc.1 | 609,017 | |
1,434,868 | |||
Machinery — 3.5% | |||
2,512 | Cummins, Inc. | 552,364 | |
3,536 | ITT, Inc. | 213,963 | |
766,327 | |||
Media — 2.3% | |||
9,576 | Comcast Corp. - Class A | 404,490 | |
2,067 | Omnicom Group, Inc. | 97,563 | |
502,053 | |||
Metals & Mining — 2.1% | |||
3,375 | Newmont Corp. | 212,085 | |
2,137 | Reliance Steel & Aluminum Co. | 232,912 | |
444,997 |
99 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Multi-line Retail — 1.5% | |||
2,079 | Target Corp. | $ 316,465 | |
Pharmaceuticals — 4.4% | |||
3,170 | Bristol-Myers Squibb Co. | 185,287 | |
2,425 | Jazz Pharmaceuticals PLC1 | 349,442 | |
11,758 | Pfizer, Inc. | 417,174 | |
951,903 | |||
Real Estate Management & Development — 1.7% | |||
7,106 | CBRE Group, Inc. - Class A1 | 358,142 | |
Road & Rail — 0.5% | |||
937 | Landstar System, Inc. | 116,844 | |
Semiconductors & Semiconductor Equipment — 5.2% | |||
7,889 | Applied Materials, Inc. | 467,265 | |
9,134 | Intel Corp. | 404,454 | |
2,930 | Teradyne, Inc. | 257,401 | |
1,129,120 | |||
Software — 7.7% | |||
1,576 | Cadence Design Systems, Inc.1 | 172,367 | |
17,641 | Dropbox, Inc. - Class A1 | 322,125 | |
3,345 | Fortinet, Inc.1 | 369,188 | |
2,712 | Microsoft Corp. | 549,098 | |
4,570 | Oracle Corp. | 256,423 | |
1,669,201 | |||
Specialty Retail — 4.1% | |||
5,434 | Best Buy Co., Inc. | 606,163 | |
1,763 | Lowe’s Cos., Inc. | 278,730 | |
884,893 | |||
Technology Hardware, Storage & Peripherals — 4.5% | |||
2,952 | Apple, Inc. | 321,354 | |
2,911 | Dell Technologies, Inc. - Class C1 | 175,417 | |
10,847 | NetApp, Inc. | 476,075 | |
972,846 | |||
TOTAL COMMON STOCKS (Cost $18,568,379) | 21,477,324 | ||
RIGHTS* — 0.1% | |||
Pharmaceuticals — 0.1% | |||
5,283 | Bristol-Myers Squibb Co. (expiring 3/31/21)1 | 17,223 | |
TOTAL RIGHTS (Cost $11,253) | 17,223 |
100 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.5% | |||
$121,207 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $121,207, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $122,600, coupon rate of 0.500%, due 03/15/2023, market value of $123,644) | $ 121,207 | |
TOTAL REPURCHASE AGREEMENT (Cost $121,207) | 121,207 | ||
TOTAL INVESTMENTS (Cost $18,700,839) | 99.7% | $21,615,754 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.3 | 62,606 | |
NET ASSETS | 100.0% | $21,678,360 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
101 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 7.7% | $ 1,669,201 | |
IT Services | 6.6 | 1,434,868 | |
Health Care Providers & Services | 5.5 | 1,196,019 | |
Semiconductors & Semiconductor Equipment | 5.2 | 1,129,120 | |
Capital Markets | 4.7 | 1,028,613 | |
Technology Hardware, Storage & Peripherals | 4.5 | 972,846 | |
Pharmaceuticals | 4.5 | 969,126 | |
Banks | 4.1 | 890,763 | |
Specialty Retail | 4.1 | 884,893 | |
Entertainment | 3.9 | 849,606 | |
Communications Equipment | 3.6 | 774,121 | |
Machinery | 3.5 | 766,327 | |
Interactive Media & Service | 3.1 | 664,352 | |
Containers & Packaging | 2.8 | 597,621 | |
Insurance | 2.7 | 589,796 | |
Household Products | 2.5 | 546,332 | |
Media | 2.3 | 502,053 | |
Food Products | 2.1 | 466,279 | |
Metals & Mining | 2.1 | 444,997 | |
Biotechnology | 2.0 | 428,548 | |
Equity Real Estate Investment Trusts | 1.9 | 416,502 | |
Household Durables | 1.9 | 410,280 | |
Energy Equipment & Services | 1.9 | 407,578 | |
Diversified Telecommunication Services | 1.8 | 382,145 | |
Real Estate Management & Development | 1.7 | 358,142 | |
Independent Power & Renewable Electricity Producer | 1.6 | 349,421 | |
Air Freight & Logistics | 1.6 | 337,220 | |
Multi-line Retail | 1.5 | 316,465 | |
Food & Staples Retailing | 1.3 | 283,674 | |
Electronic Equipment, Instruments & Components | 1.2 | 250,692 | |
Automobiles | 1.1 | 247,718 | |
Diversified Consumer Services | 1.0 | 224,279 | |
Aerospace & Defense | 0.8 | 181,717 | |
Consumer Finance | 0.7 | 160,553 | |
Internet & Direct Marketing Retail | 0.7 | 142,890 | |
Road & Rail | 0.5 | 116,844 | |
Auto Components | 0.5 | 102,946 | |
TOTAL COMMON STOCKS AND RIGHTS | 99.2% | $21,494,547 | |
REPURCHASE AGREEMENT | 0.5 | 121,207 | |
TOTAL INVESTMENTS | 99.7% | $21,615,754 |
102 |
Shares | Value | ||
COMMON STOCKS* — 96.4% | |||
Air Freight & Logistics — 2.8% | |||
17,220 | Expeditors International of Washington, Inc. | $ 1,521,732 | |
22,840 | Hub Group, Inc. - Class A1 | 1,144,969 | |
2,666,701 | |||
Automobiles — 0.7% | |||
20,004 | Harley-Davidson, Inc. | 657,731 | |
Banks — 4.3% | |||
19,900 | Bank OZK | 493,122 | |
40,805 | East West Bancorp, Inc. | 1,488,566 | |
149,740 | First Horizon National Corp. | 1,558,794 | |
78,220 | FNB Corp. | 591,343 | |
4,131,825 | |||
Beverages — 1.8% | |||
23,273 | Monster Beverage Corp.1 | 1,782,014 | |
Biotechnology — 0.5% | |||
22,440 | Exelixis, Inc.1 | 459,571 | |
Building Products — 2.5% | |||
23,600 | Fortune Brands Home & Security, Inc. | 1,908,532 | |
5,660 | Simpson Manufacturing Co., Inc. | 502,155 | |
2,410,687 | |||
Capital Markets — 4.5% | |||
20,040 | Bank of New York Mellon Corp. (The) | 688,575 | |
38,600 | Franklin Resources, Inc. | 723,750 | |
7,477 | Nasdaq, Inc. | 904,642 | |
15,840 | SEI Investments Co. | 778,536 | |
80,400 | Waddell & Reed Financial, Inc. - Class A | 1,234,140 | |
4,329,643 | |||
Chemicals — 1.6% | |||
34,760 | Dow, Inc. | 1,581,232 | |
Commercial Services & Supplies — 1.3% | |||
36,740 | ABM Industries, Inc. | 1,275,613 | |
Communications Equipment — 2.1% | |||
24,420 | Ciena Corp.1,2 | 961,904 | |
83,580 | Viavi Solutions, Inc.1 | 1,032,213 | |
1,994,117 | |||
Construction & Engineering — 3.0% | |||
20,800 | AECOM1 | 932,672 | |
28,300 | EMCOR Group, Inc.2 | 1,929,777 | |
2,862,449 | |||
Containers & Packaging — 1.7% | |||
36,580 | International Paper Co.2 | 1,600,375 | |
Distributors — 2.2% | |||
66,960 | LKQ Corp.1,2 | 2,142,050 | |
Diversified Telecommunication Services — 1.1% | |||
18,620 | Verizon Communications, Inc. | 1,061,154 | |
Electric Utilities — 1.1% | |||
27,900 | Exelon Corp. | 1,112,931 |
103 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electrical Equipment — 1.6% | |||
16,080 | Regal Beloit Corp. | $ 1,586,292 | |
Electronic Equipment, Instruments & Components — 2.4% | |||
7,140 | Arrow Electronics, Inc.1 | 556,134 | |
53,983 | Jabil, Inc. | 1,788,997 | |
2,345,131 | |||
Energy Equipment & Services — 1.0% | |||
66,160 | Baker Hughes Co. | 977,183 | |
Entertainment — 1.9% | |||
24,700 | Activision Blizzard, Inc. | 1,870,531 | |
Equity Real Estate Investment Trusts — 5.6% | |||
45,095 | Gaming and Leisure Properties, Inc. | 1,639,203 | |
17,940 | Invitation Homes, Inc. | 489,044 | |
43,920 | Medical Properties Trust, Inc. | 782,655 | |
43,200 | Omega Healthcare Investors, Inc. | 1,244,592 | |
55,000 | VICI Properties, Inc. | 1,262,250 | |
5,417,744 | |||
Food & Staples Retailing — 1.2% | |||
21,900 | Kroger Co. (The) | 705,399 | |
24,620 | Sprouts Farmers Market, Inc.1 | 469,011 | |
1,174,410 | |||
Food Products — 1.0% | |||
20,268 | Hormel Foods Corp. | 986,849 | |
Health Care Providers & Services — 6.9% | |||
27,430 | Centene Corp.1,2 | 1,621,113 | |
23,386 | CVS Health Corp. | 1,311,721 | |
23,500 | DaVita, Inc.1,2 | 2,026,875 | |
9,520 | Molina Healthcare, Inc.1,2 | 1,775,194 | |
�� | 6,734,903 | ||
Hotels, Restaurants & Leisure — 1.1% | |||
131,494 | International Game Technology PLC3 | 1,079,566 | |
Household Durables — 4.4% | |||
25,900 | DR Horton, Inc.2 | 1,730,379 | |
26,705 | KB Home | 861,236 | |
41,740 | PulteGroup, Inc. | 1,701,323 | |
4,292,938 | |||
Independent Power & Renewable Electricity Producer — 0.9% | |||
51,940 | Vistra Corp. | 902,198 | |
Insurance — 2.8% | |||
30,980 | Fidelity National Financial, Inc. | 969,364 | |
24,760 | MetLife, Inc. | 937,166 | |
48,460 | Unum Group | 855,804 | |
2,762,334 | |||
Internet & Direct Marketing Retail — 1.4% | |||
28,560 | eBay, Inc.2 | 1,360,313 | |
IT Services — 3.8% | |||
34,380 | Amdocs, Ltd. | 1,938,344 | |
51,740 | Genpact, Ltd. | 1,778,304 | |
3,716,648 |
104 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — 4.0% | |||
17,880 | ITT, Inc. | $ 1,081,919 | |
9,900 | Pentair PLC | 492,624 | |
4,740 | Snap-on, Inc. | 746,692 | |
13,940 | Watts Water Technologies, Inc. - Class A2 | 1,544,134 | |
3,865,369 | |||
Media — 1.6% | |||
22,008 | Comcast Corp. - Class A2 | 929,618 | |
29,000 | Discovery, Inc. - Class A1,3 | 586,960 | |
1,516,578 | |||
Metals & Mining — 3.6% | |||
29,500 | Commercial Metals Co. | 609,175 | |
11,020 | Reliance Steel & Aluminum Co. | 1,201,070 | |
53,040 | Steel Dynamics, Inc. | 1,669,699 | |
3,479,944 | |||
Multi-line Retail — 0.7% | |||
4,660 | Target Corp. | 709,345 | |
Multi-Utilities — 1.3% | |||
20,900 | Public Service Enterprise Group, Inc. | 1,215,335 | |
Oil, Gas & Consumable Fuels — 1.0% | |||
50,860 | Devon Energy Corp. | 454,180 | |
23,440 | World Fuel Services Corp. | 493,412 | |
947,592 | |||
Pharmaceuticals — 1.0% | |||
26,260 | Pfizer, Inc. | 931,705 | |
Professional Services — 0.6% | |||
8,880 | ASGN, Inc.1 | 592,118 | |
Semiconductors & Semiconductor Equipment — 5.7% | |||
64,700 | Amkor Technology, Inc.1 | 766,695 | |
31,200 | Applied Materials, Inc. | 1,847,976 | |
23,780 | Diodes, Inc.1 | 1,375,197 | |
22,000 | Intel Corp. | 974,160 | |
20,720 | ON Semiconductor Corp.1 | 519,865 | |
5,483,893 | |||
Software — 5.4% | |||
105,980 | Cloudera, Inc.1,3 | 1,030,126 | |
60,060 | Dropbox, Inc. - Class A1 | 1,096,696 | |
9,060 | Microsoft Corp.2 | 1,834,378 | |
11,040 | Oracle Corp. | 619,454 | |
11,320 | SS&C Technologies Holdings, Inc.2 | 670,370 | |
5,251,024 | |||
Specialty Retail — 1.8% | |||
15,960 | Best Buy Co., Inc.2 | 1,780,338 | |
Thrifts & Mortgage Finance — 2.0% | |||
191,520 | MGIC Investment Corp.2 | 1,926,691 | |
Wireless Telecommunication Services — 0.5% | |||
17,840 | United States Cellular Corp.1 | 519,501 | |
TOTAL COMMON STOCKS (Cost $78,499,618) | 93,494,566 |
105 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 3.1% | |||
$3,034,869 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $3,034,869, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $3,069,500, coupon rate of 0.500%, due 03/15/2023, market value of $3,095,629) | $ 3,034,869 | |
TOTAL REPURCHASE AGREEMENT (Cost $3,034,869) | 3,034,869 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL — 1.7% | |||
1,673,545 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 1,673,545 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,673,545) | 1,673,545 | ||
TOTAL LONG INVESTMENTS (Cost $83,208,032) | 101.2% | $ 98,202,980 | |
COMMON STOCKS SOLD SHORT* — (68.7)% | |||
Aerospace & Defense — (3.1)% | |||
(6,960) | Boeing Co. (The) | (1,004,954) | |
(4,240) | TransDigm Group, Inc. | (2,024,219) | |
(3,029,173) | |||
Airlines — (0.6)% | |||
(14,260) | Southwest Airlines Co. | (563,698) | |
Banks — (4.2)% | |||
(29,300) | Commerce Bancshares, Inc. | (1,823,925) | |
(11,280) | PNC Financial Services Group, Inc. (The) | (1,262,007) | |
(40,363) | WesBanco, Inc. | (980,417) | |
(4,066,349) | |||
Building Products — (2.0)% | |||
(7,200) | Lennox International, Inc. | (1,955,952) | |
Chemicals — (4.3)% | |||
(18,865) | Albemarle Corp. | (1,758,407) | |
(22,560) | DuPont de Nemours, Inc. | (1,283,213) | |
(25,380) | W R Grace & Co. | (1,103,776) | |
(4,145,396) | |||
Commercial Services & Supplies — (3.0)% | |||
(129,400) | Covanta Holding Corp. | (1,174,952) | |
(16,480) | Waste Management, Inc. | (1,778,357) | |
(2,953,309) | |||
Consumer Finance — (1.3)% | |||
(13,780) | American Express Co. | (1,257,287) | |
Electric Utilities — (0.6)% | |||
(7,920) | Xcel Energy, Inc. | (554,638) | |
Entertainment — (1.1)% | |||
(8,720) | Walt Disney Co. (The) | (1,057,300) | |
Equity Real Estate Investment Trusts — (4.4)% | |||
(11,380) | Digital Realty Trust, Inc. | (1,642,134) | |
(55,680) | Healthpeak Properties, Inc. | (1,501,690) | |
(100,660) | Mack-Cali Realty Corp. | (1,106,253) | |
(4,250,077) |
106 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Food Products — (3.0)% | |||
(8,600) | Hershey Co. (The) | $ (1,182,156) | |
(5,440) | J&J Snack Foods Corp. | (737,501) | |
(5,500) | McCormick & Co., Inc. | (992,805) | |
(2,912,462) | |||
Health Care Equipment & Supplies — (3.9)% | |||
(18,340) | Abbott Laboratories | (1,927,717) | |
(8,220) | Becton Dickinson and Co. | (1,899,889) | |
(3,827,606) | |||
Health Care Technology — (2.0)% | |||
(27,860) | Cerner Corp. | (1,952,707) | |
Hotels, Restaurants & Leisure — (2.2)% | |||
(9,640) | Cracker Barrel Old Country Store, Inc. | (1,097,225) | |
(11,360) | Las Vegas Sands Corp. | (545,961) | |
(2,300) | Vail Resorts, Inc. | (533,692) | |
(2,176,878) | |||
Industrial Conglomerates — (2.0)% | |||
(12,360) | 3M Co. | (1,977,106) | |
Insurance — (1.2)% | |||
(12,700) | Progressive Corp. (The) | (1,167,130) | |
IT Services — (1.0)% | |||
(7,800) | Fidelity National Information Services, Inc. | (971,802) | |
Leisure Product — (2.1)% | |||
(24,640) | Hasbro, Inc. | (2,038,220) | |
Machinery — (3.2)% | |||
(8,860) | Deere & Co. | (2,001,563) | |
(5,380) | Illinois Tool Works, Inc. | (1,053,834) | |
(3,055,397) | |||
Mortgage Real Estate Investment Trust — (1.3)% | |||
(56,080) | Blackstone Mortgage Trust, Inc. - Class A | (1,216,936) | |
Multi-Utilities — (0.8)% | |||
(9,100) | Dominion Energy, Inc. | (731,094) | |
Oil, Gas & Consumable Fuels — (1.3)% | |||
(26,640) | Cheniere Energy, Inc.1 | (1,275,257) | |
Road & Rail — (1.2)% | |||
(3,220) | AMERCO | (1,117,855) | |
Semiconductors & Semiconductor Equipment — (3.9)% | |||
(31,160) | Cree, Inc.1 | (1,981,776) | |
(17,400) | Microchip Technology, Inc. | (1,828,392) | |
(3,810,168) | |||
Software — (5.1)% | |||
(4,360) | ANSYS, Inc.1 | (1,327,053) | |
(3,320) | Intuit, Inc. | (1,044,738) | |
(14,480) | Pegasystems, Inc. | (1,677,942) | |
(2,340) | Tyler Technologies, Inc.1 | (899,449) | |
(4,949,182) | |||
Specialty Retail — (4.8)% | |||
(13,780) | CarMax, Inc.1 | (1,191,143) |
107 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Specialty Retail — (Continued) | |||
(30,380) | Monro, Inc. | $ (1,277,783) | |
(13,820) | Ross Stores, Inc. | (1,177,049) | |
(20,420) | TJX Cos., Inc. (The) | (1,037,336) | |
(4,683,311) | |||
Textiles, Apparel & Luxury Goods — (2.1)% | |||
(52,820) | Under Armour, Inc. - Class A1 | (731,029) | |
(19,960) | VF Corp. | (1,341,312) | |
(2,072,341) | |||
Water Utilities — (3.0)% | |||
(40,020) | California Water Service Group | (1,783,691) | |
(26,800) | Essential Utilities, Inc. | (1,104,160) | |
(2,887,851) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(70,395,640)) | (66,656,482) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(70,395,640)) | (68.7)% | $(66,656,482) | |
TOTAL INVESTMENTS (Cost $12,812,392) | 32.5% | $ 31,546,498 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 67.5 | 65,466,578 | |
NET ASSETS | 100.0% | $ 97,013,076 |
* | 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 $15,253,925. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
108 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Health Care Providers & Services | 6.9% | $ 6,734,903 | |
Semiconductors & Semiconductor Equipment | 5.7 | 5,483,893 | |
Equity Real Estate Investment Trusts | 5.6 | 5,417,744 | |
Software | 5.4 | 5,251,024 | |
Capital Markets | 4.5 | 4,329,643 | |
Household Durables | 4.4 | 4,292,938 | |
Banks | 4.3 | 4,131,825 | |
Machinery | 4.0 | 3,865,369 | |
IT Services | 3.8 | 3,716,648 | |
Metals & Mining | 3.6 | 3,479,944 | |
Construction & Engineering | 3.0 | 2,862,449 | |
Insurance | 2.8 | 2,762,334 | |
Air Freight & Logistics | 2.8 | 2,666,701 | |
Building Products | 2.5 | 2,410,687 | |
Electronic Equipment, Instruments & Components | 2.4 | 2,345,131 | |
Distributors | 2.2 | 2,142,050 | |
Communications Equipment | 2.1 | 1,994,117 | |
Thrifts & Mortgage Finance | 2.0 | 1,926,691 | |
Entertainment | 1.9 | 1,870,531 | |
Beverages | 1.8 | 1,782,014 | |
Specialty Retail | 1.8 | 1,780,338 | |
Containers & Packaging | 1.7 | 1,600,375 | |
Electrical Equipment | 1.6 | 1,586,292 | |
Chemicals | 1.6 | 1,581,232 | |
Media | 1.6 | 1,516,578 | |
Internet & Direct Marketing Retail | 1.4 | 1,360,313 | |
Commercial Services & Supplies | 1.3 | 1,275,613 | |
Multi-Utilities | 1.3 | 1,215,335 | |
Food & Staples Retailing | 1.2 | 1,174,410 | |
Electric Utilities | 1.1 | 1,112,931 | |
Hotels, Restaurants & Leisure | 1.1 | 1,079,566 | |
Diversified Telecommunication Services | 1.1 | 1,061,154 | |
Food Products | 1.0 | 986,849 | |
Energy Equipment & Services | 1.0 | 977,183 | |
Oil, Gas & Consumable Fuels | 1.0 | 947,592 | |
Pharmaceuticals | 1.0 | 931,705 | |
Independent Power & Renewable Electricity Producer | 0.9 | 902,198 | |
Multi-line Retail | 0.7 | 709,345 | |
Automobiles | 0.7 | 657,731 | |
Professional Services | 0.6 | 592,118 | |
Wireless Telecommunication Services | 0.5 | 519,501 | |
Biotechnology | 0.5 | 459,571 | |
Short Positions: | |||
Electric Utilities | (0.6) | (554,638) | |
Airlines | (0.6) | (563,698) | |
Multi-Utilities | (0.8) | (731,094) | |
IT Services | (1.0) | (971,802) | |
Entertainment | (1.1) | (1,057,300) | |
Road & Rail | (1.2) | (1,117,855) | |
Insurance | (1.2) | (1,167,130) | |
Mortgage Real Estate Investment Trust | (1.3) | (1,216,936) | |
Consumer Finance | (1.3) | (1,257,287) | |
Oil, Gas & Consumable Fuels | (1.3) | (1,275,257) |
109 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Health Care Technology | (2.0)% | (1,952,707) | |
Building Products | (2.0) | (1,955,952) | |
Industrial Conglomerates | (2.0) | (1,977,106) | |
Leisure Product | (2.1) | (2,038,220) | |
Textiles, Apparel & Luxury Goods | (2.1) | (2,072,341) | |
Hotels, Restaurants & Leisure | (2.2) | (2,176,878) | |
Water Utilities | (3.0) | (2,887,851) | |
Food Products | (3.0) | (2,912,462) | |
Commercial Services & Supplies | (3.0) | (2,953,309) | |
Aerospace & Defense | (3.1) | (3,029,173) | |
Machinery | (3.2) | (3,055,397) | |
Semiconductors & Semiconductor Equipment | (3.9) | (3,810,168) | |
Health Care Equipment & Supplies | (3.9) | (3,827,606) | |
Banks | (4.2) | (4,066,349) | |
Chemicals | (4.3) | (4,145,396) | |
Equity Real Estate Investment Trusts | (4.4) | (4,250,077) | |
Specialty Retail | (4.8) | (4,683,311) | |
Software | (5.1) | (4,949,182) | |
TOTAL COMMON STOCKS | 27.7% | $26,838,084 | |
REPURCHASE AGREEMENT | 3.1 | 3,034,869 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.7 | 1,673,545 | |
TOTAL INVESTMENTS | 32.5% | $31,546,498 |
110 |
Shares | Value | ||
COMMON STOCKS* — 131.6% | |||
Air Freight & Logistics — 3.4% | |||
5,680 | Expeditors International of Washington, Inc. | $ 501,942 | |
9,080 | Hub Group, Inc. - Class A1 | 455,180 | |
957,122 | |||
Automobiles — 1.9% | |||
69,560 | Ford Motor Co. | 537,699 | |
Banks — 4.0% | |||
15,160 | Citizens Financial Group, Inc. | 413,110 | |
49,520 | First Horizon National Corp. | 515,503 | |
18,700 | Huntington Bancshares, Inc. | 195,228 | |
1,123,841 | |||
Beverages — 0.9% | |||
3,260 | Monster Beverage Corp.1 | 249,618 | |
Biotechnology — 1.6% | |||
22,220 | Exelixis, Inc.1 | 455,066 | |
Building Products — 2.2% | |||
7,620 | Fortune Brands Home & Security, Inc. | 616,229 | |
Capital Markets — 5.0% | |||
6,660 | Bank of New York Mellon Corp. (The) | 228,838 | |
4,860 | Federated Hermes, Inc. | 116,154 | |
5,300 | Intercontinental Exchange, Inc. | 500,320 | |
3,880 | Nasdaq, Inc. | 469,441 | |
2,300 | SEI Investments Co. | 113,045 | |
1,427,798 | |||
Chemicals — 1.6% | |||
18,600 | Huntsman Corp. | 451,794 | |
Communications Equipment — 1.8% | |||
20,380 | Juniper Networks, Inc. | 401,894 | |
8,660 | Viavi Solutions, Inc.1 | 106,951 | |
508,845 | |||
Construction & Engineering — 3.7% | |||
11,780 | EMCOR Group, Inc.2 | 803,278 | |
3,940 | Quanta Services, Inc. | 245,974 | |
1,049,252 | |||
Consumer Finance — 2.2% | |||
69,316 | SLM Corp. | 637,014 | |
Containers & Packaging — 2.9% | |||
12,740 | International Paper Co. | 557,375 | |
8,160 | Silgan Holdings, Inc. | 281,112 | |
838,487 | |||
Distributors — 1.2% | |||
10,400 | LKQ Corp.1 | 332,696 | |
Diversified Telecommunication Services — 2.2% | |||
26,200 | CenturyLink, Inc. | 225,844 | |
7,060 | Verizon Communications, Inc. | 402,349 | |
628,193 | |||
Electric Utilities — 2.5% | |||
13,300 | Exelon Corp.2 | 530,537 |
111 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — (Continued) | |||
6,900 | PPL Corp. | $ 189,750 | |
720,287 | |||
Electrical Equipment — 1.9% | |||
5,560 | Regal Beloit Corp.2 | 548,494 | |
Electronic Equipment, Instruments & Components — 3.4% | |||
6,040 | Arrow Electronics, Inc.1 | 470,456 | |
6,440 | Dolby Laboratories, Inc. - Class A | 483,515 | |
953,971 | |||
Entertainment — 2.7% | |||
10,320 | Activision Blizzard, Inc.2 | 781,534 | |
Equity Real Estate Investment Trusts — 4.0% | |||
10,669 | Lamar Advertising Co. - Class A | 661,051 | |
2,800 | Prologis, Inc. | 277,760 | |
8,340 | VICI Properties, Inc. | 191,403 | |
1,130,214 | |||
Food & Staples Retailing — 2.8% | |||
12,900 | Kroger Co. (The) | 415,509 | |
2,740 | Walmart, Inc. | 380,175 | |
795,684 | |||
Food Products — 1.9% | |||
12,500 | Darling Ingredients, Inc.1 | 537,500 | |
Health Care Providers & Services — 11.4% | |||
7,620 | AmerisourceBergen Corp.2 | 732,054 | |
3,100 | Anthem, Inc.2 | 845,680 | |
9,820 | DaVita, Inc.1,2 | 846,975 | |
4,375 | Molina Healthcare, Inc.1,2 | 815,806 | |
3,240,515 | |||
Hotels, Restaurants & Leisure — 2.2% | |||
75,140 | International Game Technology PLC3 | 616,899 | |
Household Durables — 2.7% | |||
6,620 | DR Horton, Inc. | 442,282 | |
7,760 | PulteGroup, Inc. | 316,298 | |
758,580 | |||
Household Products — 0.8% | |||
6,280 | Central Garden & Pet Co. - Class A1 | 222,249 | |
Independent Power & Renewable Electricity Producer — 1.1% | |||
16,350 | AES Corp. (The)2 | 318,825 | |
Insurance — 3.0% | |||
5,940 | Allstate Corp. (The) | 527,175 | |
4,520 | Brown & Brown, Inc. | 196,665 | |
8,000 | Unum Group | 141,280 | |
865,120 | |||
Internet & Direct Marketing Retail — 0.9% | |||
5,620 | eBay, Inc. | 267,681 | |
IT Services — 4.6% | |||
3,880 | Amdocs, Ltd. | 218,755 | |
21,860 | Genpact, Ltd.2 | 751,328 | |
2,720 | Science Applications International Corp. | 207,726 |
112 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
7,440 | Western Union Co. (The) | $ 144,634 | |
1,322,443 | |||
Life Sciences Tools & Services — 2.8% | |||
7,180 | Medpace Holdings, Inc.1,2 | 796,549 | |
Machinery — 0.6% | |||
2,680 | Oshkosh Corp. | 180,525 | |
Media — 5.6% | |||
19,240 | Comcast Corp. - Class A2 | 812,697 | |
6,060 | New York Times Co. (The) - Class A | 240,340 | |
42,121 | News Corp. - Class A2 | 553,049 | |
1,606,086 | |||
Metals & Mining — 4.7% | |||
8,310 | Arconic Corp.1 | 180,659 | |
5,680 | Commercial Metals Co. | 117,292 | |
7,920 | Reliance Steel & Aluminum Co.2 | 863,201 | |
5,360 | Steel Dynamics, Inc.2 | 168,733 | |
1,329,885 | |||
Multi-line Retail — 3.1% | |||
5,800 | Target Corp.2 | 882,876 | |
Oil, Gas & Consumable Fuels — 1.0% | |||
32,200 | Devon Energy Corp. | 287,546 | |
Pharmaceuticals — 1.6% | |||
12,720 | Pfizer, Inc. | 451,306 | |
Professional Services — 1.1% | |||
4,480 | ASGN, Inc.1 | 298,726 | |
Semiconductors & Semiconductor Equipment — 7.9% | |||
13,820 | Applied Materials, Inc. | 818,559 | |
14,273 | Diodes, Inc.1,2 | 825,408 | |
6,831 | Teradyne, Inc. | 600,103 | |
2,244,070 | |||
Software — 8.9% | |||
18,560 | Box, Inc. - Class A1 | 287,680 | |
30,260 | Cloudera, Inc.1,3 | 294,127 | |
7,200 | Dropbox, Inc. - Class A1,2 | 131,472 | |
9,200 | Oracle Corp. | 516,212 | |
3,420 | Progress Software Corp. | 124,385 | |
4,980 | RealPage, Inc.1 | 277,336 | |
10,440 | SPS Commerce, Inc.1 | 893,560 | |
2,524,772 | |||
Specialty Retail — 5.0% | |||
8,040 | Best Buy Co., Inc.2 | 896,862 | |
5,800 | Williams-Sonoma, Inc.2 | 529,018 | |
1,425,880 | |||
Technology Hardware, Storage & Peripherals — 4.1% | |||
5,080 | Dell Technologies, Inc. - Class C1 | 306,121 | |
25,120 | HP, Inc. | 451,155 | |
9,580 | NetApp, Inc. | 420,466 | |
1,177,742 |
113 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Thrifts & Mortgage Finance — 3.9% | |||
82,290 | MGIC Investment Corp. | $ 827,837 | |
16,040 | Radian Group, Inc. | 287,918 | |
1,115,755 | |||
Trading Companies & Distributors — 0.8% | |||
5,260 | WESCO International, Inc.1 | 216,922 | |
TOTAL COMMON STOCKS (Cost $29,786,392) | 37,432,290 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.1% | |||
$ 24,360 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $24,360, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $24,700, coupon rate of 0.500%, due 03/15/2023, market value of $24,910) | 24,360 | |
TOTAL REPURCHASE AGREEMENT (Cost $24,360) | 24,360 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.1% | |||
309,468 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 309,468 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $309,468) | 309,468 | ||
TOTAL LONG INVESTMENTS (Cost $30,120,220) | 132.8% | $37,766,118 | |
COMMON STOCKS SOLD SHORT* — (31.9)% | |||
Aerospace & Defense — (1.3)% | |||
(600) | Boeing Co. (The) | (86,634) | |
(720) | L3Harris Technologies, Inc. | (115,999) | |
(380) | TransDigm Group, Inc. | (181,416) | |
(384,049) | |||
Airlines — (0.5)% | |||
(3,340) | Southwest Airlines Co. | (132,030) | |
Auto Components — (0.5)% | |||
(4,860) | Gentex Corp. | (134,476) | |
Banks — (3.1)% | |||
(3,040) | BOK Financial Corp. | (178,570) | |
(2,080) | Commerce Bancshares, Inc. | (129,480) | |
(7,180) | Glacier Bancorp, Inc. | (257,044) | |
(3,300) | Independent Bank Corp. | (189,057) | |
(5,280) | WesBanco, Inc. | (128,251) | |
(882,402) | |||
Capital Markets — (1.0)% | |||
(3,700) | Charles Schwab Corp. (The) | (152,107) | |
(2,480) | Tradeweb Markets, Inc. - Class A | (135,111) | |
(287,218) | |||
Chemicals — (2.5)% | |||
(500) | Air Products and Chemicals, Inc. | (138,120) | |
(1) | Dow, Inc. | (45) | |
(2,060) | DuPont de Nemours, Inc. | (117,173) |
114 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Chemicals — (Continued) | |||
(720) | Ecolab, Inc. | $ (132,185) | |
(2,000) | International Flavors & Fragrances, Inc. | (205,320) | |
(2,883) | W R Grace & Co. | (125,382) | |
(718,225) | |||
Commercial Services & Supplies — (0.5)% | |||
(460) | Cintas Corp. | (144,693) | |
Construction Materials — (0.5)% | |||
(500) | Martin Marietta Materials, Inc. | (133,175) | |
Consumer Finance — (0.5)% | |||
(1,480) | American Express Co. | (135,035) | |
Containers & Packaging — (0.6)% | |||
(1,980) | Ball Corp. | (176,220) | |
Diversified Consumer Services — (0.3)% | |||
(634) | Bright Horizons Family Solutions, Inc.1 | (100,204) | |
Electric Utilities — (0.4)% | |||
(1,600) | Xcel Energy, Inc. | (112,048) | |
Entertainment — (0.3)% | |||
(1,760) | Live Nation Entertainment, Inc.1 | (85,888) | |
Equity Real Estate Investment Trusts — (1.0)% | |||
(8,120) | Acadia Realty Trust | (75,760) | |
(7,280) | Healthpeak Properties, Inc. | (196,341) | |
(272,101) | |||
Food Products — (0.5)% | |||
(800) | Lancaster Colony Corp. | (132,912) | |
Gas Utilities — (0.5)% | |||
(3,560) | Northwest Natural Holding Co. | (158,206) | |
Health Care Equipment & Supplies — (3.1)% | |||
(800) | Abbott Laboratories | (84,088) | |
(500) | ABIOMED, Inc.1 | (125,940) | |
(1,080) | Becton Dickinson and Co. | (249,620) | |
(1,700) | Edwards Lifesciences Corp.1 | (121,873) | |
(240) | Intuitive Surgical, Inc.1 | (160,099) | |
(660) | Stryker Corp. | (133,327) | |
(874,947) | |||
Health Care Technology — (0.9)% | |||
(2,060) | Cerner Corp. | (144,385) | |
(1,020) | Inspire Medical Systems, Inc.1 | (121,819) | |
(266,204) | |||
Hotels, Restaurants & Leisure — (2.7)% | |||
(736) | Churchill Downs, Inc. | (109,774) | |
(1,580) | Cracker Barrel Old Country Store, Inc. | (179,836) | |
(2,620) | Las Vegas Sands Corp. | (125,917) | |
(500) | McDonald’s Corp. | (106,500) | |
(500) | Vail Resorts, Inc. | (116,020) | |
(1,680) | Wynn Resorts, Ltd. | (121,683) | |
(759,730) | |||
Independent Power & Renewable Electricity Producer — (0.6)% | |||
(2,480) | Ormat Technologies, Inc. | (175,758) |
115 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Industrial Conglomerates — (1.4)% | |||
(1,660) | 3M Co. | $ (265,534) | |
(780) | Honeywell International, Inc. | (128,661) | |
(394,195) | |||
Insurance — (0.8)% | |||
(2,120) | Marsh & McLennan Cos., Inc. | (219,335) | |
IT Services — (0.3)% | |||
(800) | Fidelity National Information Services, Inc. | (99,672) | |
Leisure Product — (1.0)% | |||
(1,660) | Hasbro, Inc. | (137,315) | |
(10,440) | Mattel, Inc.1 | (143,759) | |
(281,074) | |||
Life Sciences Tools & Services — (0.3)% | |||
(300) | Illumina, Inc.1 | (87,810) | |
Machinery — (0.5)% | |||
(700) | Illinois Tool Works, Inc. | (137,116) | |
Multi-Utilities — (0.3)% | |||
(1,050) | Dominion Energy, Inc. | (84,357) | |
Road & Rail — (0.9)% | |||
(720) | AMERCO | (249,955) | |
Semiconductors & Semiconductor Equipment — (1.1)% | |||
(1,210) | CMC Materials, Inc. | (172,050) | |
(1,380) | Microchip Technology, Inc. | (145,010) | |
(317,060) | |||
Specialty Retail — (1.7)% | |||
(8,180) | American Eagle Outfitters, Inc. | (112,148) | |
(2,540) | CarMax, Inc.1 | (219,558) | |
(3,440) | Monro, Inc. | (144,686) | |
(476,392) | |||
Textiles, Apparel & Luxury Goods — (0.5)% | |||
(9,460) | Under Armour, Inc. - Class A1 | (130,926) | |
Trading Companies & Distributors — (1.0)% | |||
(700) | Watsco, Inc. | (156,898) | |
(370) | WW Grainger, Inc. | (129,507) | |
(286,405) | |||
Water Utilities — (0.8)% | |||
(1,700) | American States Water Co. | (126,973) | |
(2,520) | Essential Utilities, Inc. | (103,824) | |
(230,797) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(10,260,796)) | (9,060,615) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(10,260,796)) | (31.9)% | $ (9,060,615) | |
TOTAL INVESTMENTS (Cost $19,859,424) | 100.9% | $28,705,503 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.9) | (258,877) | |
NET ASSETS | 100.0% | $28,446,626 |
116 |
* | 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 $11,524,842. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
117 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Health Care Providers & Services | 11.4% | $ 3,240,515 | |
Software | 8.9 | 2,524,772 | |
Semiconductors & Semiconductor Equipment | 7.9 | 2,244,070 | |
Media | 5.6 | 1,606,086 | |
Capital Markets | 5.0 | 1,427,798 | |
Specialty Retail | 5.0 | 1,425,880 | |
Metals & Mining | 4.7 | 1,329,885 | |
IT Services | 4.6 | 1,322,443 | |
Technology Hardware, Storage & Peripherals | 4.1 | 1,177,742 | |
Equity Real Estate Investment Trusts | 4.0 | 1,130,214 | |
Banks | 4.0 | 1,123,841 | |
Thrifts & Mortgage Finance | 3.9 | 1,115,755 | |
Construction & Engineering | 3.7 | 1,049,252 | |
Air Freight & Logistics | 3.4 | 957,122 | |
Electronic Equipment, Instruments & Components | 3.4 | 953,971 | |
Multi-line Retail | 3.1 | 882,876 | |
Insurance | 3.0 | 865,120 | |
Containers & Packaging | 2.9 | 838,487 | |
Life Sciences Tools & Services | 2.8 | 796,549 | |
Food & Staples Retailing | 2.8 | 795,684 | |
Entertainment | 2.7 | 781,534 | |
Household Durables | 2.7 | 758,580 | |
Electric Utilities | 2.5 | 720,287 | |
Consumer Finance | 2.2 | 637,014 | |
Diversified Telecommunication Services | 2.2 | 628,193 | |
Hotels, Restaurants & Leisure | 2.2 | 616,899 | |
Building Products | 2.2 | 616,229 | |
Electrical Equipment | 1.9 | 548,494 | |
Automobiles | 1.9 | 537,699 | |
Food Products | 1.9 | 537,500 | |
Communications Equipment | 1.8 | 508,845 | |
Biotechnology | 1.6 | 455,066 | |
Chemicals | 1.6 | 451,794 | |
Pharmaceuticals | 1.6 | 451,306 | |
Distributors | 1.2 | 332,696 | |
Independent Power & Renewable Electricity Producer | 1.1 | 318,825 | |
Professional Services | 1.1 | 298,726 | |
Oil, Gas & Consumable Fuels | 1.0 | 287,546 | |
Internet & Direct Marketing Retail | 0.9 | 267,681 | |
Beverages | 0.9 | 249,618 | |
Household Products | 0.8 | 222,249 | |
Trading Companies & Distributors | 0.8 | 216,922 | |
Machinery | 0.6 | 180,525 | |
Short Positions: | |||
Multi-Utilities | (0.3) | (84,357) | |
Entertainment | (0.3) | (85,888) | |
Life Sciences Tools & Services | (0.3) | (87,810) | |
IT Services | (0.3) | (99,672) | |
Diversified Consumer Services | (0.3) | (100,204) | |
Electric Utilities | (0.4) | (112,048) | |
Textiles, Apparel & Luxury Goods | (0.5) | (130,926) | |
Airlines | (0.5) | (132,030) | |
Food Products | (0.5) | (132,912) |
118 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Construction Materials | (0.5)% | $ (133,175) | |
Auto Components | (0.5) | (134,476) | |
Consumer Finance | (0.5) | (135,035) | |
Machinery | (0.5) | (137,116) | |
Commercial Services & Supplies | (0.5) | (144,693) | |
Gas Utilities | (0.5) | (158,206) | |
Independent Power & Renewable Electricity Producer | (0.6) | (175,758) | |
Containers & Packaging | (0.6) | (176,220) | |
Insurance | (0.8) | (219,335) | |
Water Utilities | (0.8) | (230,797) | |
Road & Rail | (0.9) | (249,955) | |
Health Care Technology | (0.9) | (266,204) | |
Equity Real Estate Investment Trusts | (1.0) | (272,101) | |
Leisure Product | (1.0) | (281,074) | |
Trading Companies & Distributors | (1.0) | (286,405) | |
Capital Markets | (1.0) | (287,218) | |
Semiconductors & Semiconductor Equipment | (1.1) | (317,060) | |
Aerospace & Defense | (1.3) | (384,049) | |
Industrial Conglomerates | (1.4) | (394,195) | |
Specialty Retail | (1.7) | (476,392) | |
Chemicals | (2.5) | (718,225) | |
Hotels, Restaurants & Leisure | (2.7) | (759,730) | |
Health Care Equipment & Supplies | (3.1) | (874,947) | |
Banks | (3.1) | (882,402) | |
TOTAL COMMON STOCKS | 99.7% | $28,371,675 | |
REPURCHASE AGREEMENT | 0.1 | 24,360 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.1 | 309,468 | |
TOTAL INVESTMENTS | 100.9% | $28,705,503 |
119 |
Shares | Value | ||
COMMON STOCKS* — 99.1% | |||
Aerospace & Defense — 2.3% | |||
94,329 | Raytheon Technologies Corp. | $ 5,123,951 | |
Banks — 4.3% | |||
45,671 | JPMorgan Chase & Co. | 4,477,585 | |
44,342 | PNC Financial Services Group, Inc. (The) | 4,960,983 | |
9,438,568 | |||
Beverages — 2.1% | |||
35,360 | PepsiCo, Inc. | 4,713,134 | |
Biotechnology — 3.2% | |||
12,378 | Biogen, Inc.1 | 3,120,122 | |
68,252 | Gilead Sciences, Inc. | 3,968,854 | |
7,088,976 | |||
Capital Markets — 1.7% | |||
46,901 | Northern Trust Corp. | 3,670,941 | |
Chemicals — 2.0% | |||
34,294 | PPG Industries, Inc. | 4,448,618 | |
Communications Equipment — 1.8% | |||
109,301 | Cisco Systems, Inc. | 3,923,906 | |
Consumer Finance — 2.0% | |||
65,990 | Discover Financial Services | 4,290,010 | |
Electrical Equipment — 3.4% | |||
75,060 | AMETEK, Inc. | 7,370,892 | |
Electronic Equipment, Instruments & Components — 3.3% | |||
63,201 | Amphenol Corp. - Class A | 7,131,601 | |
Food & Staples Retailing — 2.7% | |||
42,282 | Walmart, Inc. | 5,866,628 | |
Health Care Equipment & Supplies — 3.8% | |||
39,974 | Abbott Laboratories | 4,201,667 | |
115,022 | Smith & Nephew PLC, Sponsored ADR | 4,033,822 | |
8,235,489 | |||
Health Care Providers & Services — 2.7% | |||
30,072 | Laboratory Corp. of America Holdings1 | 6,007,483 | |
Household Products — 2.6% | |||
71,007 | Colgate-Palmolive Co. | 5,601,742 | |
Insurance — 2.2% | |||
37,988 | Chubb, Ltd. | 4,935,021 | |
Interactive Media & Services — 7.6% | |||
5,784 | Alphabet, Inc. - Class C1 | 9,375,921 | |
28,102 | Facebook, Inc. - Class A1 | 7,393,917 | |
16,769,838 | |||
Internet & Direct Marketing Retail — 3.1% | |||
4,156 | Booking Holdings, Inc.1 | 6,743,110 | |
IT Services — 12.3% | |||
23,302 | Accenture PLC - Class A | 5,054,437 | |
63,058 | Cognizant Technology Solutions Corp. - Class A | 4,503,602 | |
20,434 | Gartner, Inc.1 | 2,454,124 | |
40,041 | Global Payments, Inc. | 6,316,067 | |
30,270 | Mastercard, Inc. - Class A | 8,737,133 | |
27,065,363 |
120 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — 2.1% | |||
21,096 | Waters Corp.1 | $ 4,700,611 | |
Machinery — 3.2% | |||
34,006 | Parker-Hannifin Corp. | 7,085,490 | |
Media — 2.9% | |||
149,323 | Comcast Corp. - Class A | 6,307,404 | |
Multi-line Retail — 3.4% | |||
35,313 | Dollar General Corp. | 7,370,176 | |
Oil, Gas & Consumable Fuels — 1.9% | |||
59,073 | Chevron Corp. | 4,105,574 | |
Pharmaceuticals — 3.5% | |||
81,926 | Bristol-Myers Squibb Co. | 4,788,575 | |
22,520 | Eli Lilly and Co. | 2,937,959 | |
7,726,534 | |||
Software — 5.9% | |||
32,971 | Microsoft Corp. | 6,675,638 | |
112,534 | Oracle Corp. | 6,314,283 | |
12,989,921 | |||
Specialty Retail — 7.4% | |||
19,254 | Home Depot, Inc. (The) | 5,135,234 | |
48,864 | Tractor Supply Co. | 6,509,174 | |
22,096 | Ulta Beauty, Inc.1 | 4,568,790 | |
16,213,198 | |||
Technology Hardware, Storage & Peripherals — 3.9% | |||
79,347 | Apple, Inc. | 8,637,714 | |
Textiles, Apparel & Luxury Goods — 1.8% | |||
48,272 | Carter’s, Inc. | 3,931,754 | |
TOTAL COMMON STOCKS (Cost $127,048,842) | 217,493,647 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.8% | |||
$1,654,860 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $1,654,860, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $1,673,800, coupon rate of 0.500%, due 03/15/2023, market value of $1,688,048) | 1,654,860 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,654,860) | 1,654,860 | ||
TOTAL INVESTMENTS (Cost $128,703,702) | 99.9% | $219,148,507 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 298,057 | |
NET ASSETS | 100.0% | $219,446,564 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
Abbreviations: |
ADR — American Depositary Receipt |
121 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 12.3% | $ 27,065,363 | |
Interactive Media & Services | 7.6 | 16,769,838 | |
Specialty Retail | 7.4 | 16,213,198 | |
Software | 5.9 | 12,989,921 | |
Banks | 4.3 | 9,438,568 | |
Technology Hardware, Storage & Peripherals | 3.9 | 8,637,714 | |
Health Care Equipment & Supplies | 3.8 | 8,235,489 | |
Pharmaceuticals | 3.5 | 7,726,534 | |
Electrical Equipment | 3.4 | 7,370,892 | |
Multi-line Retail | 3.4 | 7,370,176 | |
Electronic Equipment, Instruments & Components | 3.3 | 7,131,601 | |
Biotechnology | 3.2 | 7,088,976 | |
Machinery | 3.2 | 7,085,490 | |
Internet & Direct Marketing Retail | 3.1 | 6,743,110 | |
Media | 2.9 | 6,307,404 | |
Health Care Providers & Services | 2.7 | 6,007,483 | |
Food & Staples Retailing | 2.7 | 5,866,628 | |
Household Products | 2.6 | 5,601,742 | |
Aerospace & Defense | 2.3 | 5,123,951 | |
Insurance | 2.2 | 4,935,021 | |
Beverages | 2.1 | 4,713,134 | |
Life Sciences Tools & Services | 2.1 | 4,700,611 | |
Chemicals | 2.0 | 4,448,618 | |
Consumer Finance | 2.0 | 4,290,010 | |
Oil, Gas & Consumable Fuels | 1.9 | 4,105,574 | |
Textiles, Apparel & Luxury Goods | 1.8 | 3,931,754 | |
Communications Equipment | 1.8 | 3,923,906 | |
Capital Markets | 1.7 | 3,670,941 | |
TOTAL COMMON STOCKS | 99.1% | $217,493,647 | |
REPURCHASE AGREEMENT | 0.8 | 1,654,860 | |
TOTAL INVESTMENTS | 99.9% | $219,148,507 |
122 |
Shares | Value | ||
COMMON STOCKS* — 98.8% | |||
Advertising — 0.7% | |||
704,660 | Outfront Media, Inc. | $ 9,238,093 | |
Aerospace & Defense — 0.4% | |||
277,286 | AAR Corp. | 5,395,986 | |
Airlines — 1.9% | |||
403,165 | Atlas Air Worldwide Holdings, Inc.1 | 23,851,241 | |
Automotive — 2.9% | |||
205,984 | Asbury Automotive Group, Inc.1 | 21,212,233 | |
139,523 | LCI Industries | 15,300,092 | |
36,512,325 | |||
Banking — 10.9% | |||
370,595 | Ameris Bancorp | 10,858,434 | |
1,391,714 | First Horizon National Corp. | 14,487,743 | |
637,759 | First Midwest Bancorp, Inc. | 8,003,875 | |
1,793,560 | FNB Corp. | 13,559,314 | |
411,528 | Hancock Whitney Corp. | 9,411,645 | |
507,038 | Simmons First National Corp. - Class A | 8,614,576 | |
482,830 | TCF Financial Corp. | 13,137,804 | |
997,791 | Umpqua Holdings Corp. | 12,532,255 | |
461,264 | United Community Banks, Inc. | 9,658,868 | |
505,717 | Western Alliance Bancorp | 20,835,540 | |
278,166 | Wintrust Financial Corp. | 13,694,112 | |
134,794,166 | |||
Beverages, Food & Tobacco — 2.2% | |||
483,711 | Core-Mark Holding Co., Inc. | 13,229,496 | |
1,133,354 | Hostess Brands, Inc.1 | 14,325,594 | |
27,555,090 | |||
Building Materials — 2.6% | |||
604,748 | Builders FirstSource, Inc.1 | 18,323,864 | |
200,262 | EMCOR Group, Inc. | 13,655,866 | |
31,979,730 | |||
Chemicals — 0.9% | |||
647,442 | Univar Solutions, Inc.1 | 10,741,063 | |
Commercial Services — 11.3% | |||
183,097 | AMN Healthcare Services, Inc.1 | 11,952,572 | |
242,075 | ASGN, Inc.1 | 16,141,561 | |
1,149,199 | Evolent Health, Inc. - Class A1,2 | 11,423,038 | |
285,209 | HealthEquity, Inc.1 | 14,685,412 | |
558,094 | NeoGenomics, Inc.1 | 21,894,028 | |
1,508,351 | R1 RCM, Inc.1 | 27,029,650 | |
261,441 | SPS Commerce, Inc.1 | 22,376,735 | |
272,004 | Syneos Health, Inc.1 | 14,437,972 | |
139,940,968 | |||
Communications — 2.7% | |||
401,405 | Ciena Corp.1 | 15,811,343 | |
522,003 | Vocera Communications, Inc.1,2 | 17,111,258 | |
32,922,601 | |||
Computer Software & Processing — 3.9% | |||
82,305 | CACI International, Inc. - Class A1 | 17,163,062 | |
376,317 | CommVault Systems, Inc.1 | 14,898,390 |
123 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Computer Software & Processing — (Continued) | |||
344,187 | Verint Systems, Inc.1 | $ 16,699,953 | |
48,761,405 | |||
Computers & Information — 2.6% | |||
1,146,558 | FireEye, Inc.1,2 | 15,868,363 | |
802,810 | NCR Corp.1 | 16,313,099 | |
32,181,462 | |||
Containers & Packaging — 0.7% | |||
258,360 | Silgan Holdings, Inc. | 8,900,502 | |
Electric Utilities — 2.0% | |||
321,300 | Otter Tail Corp. | 12,321,855 | |
316,018 | Portland General Electric Co. | 12,419,507 | |
24,741,362 | |||
Electrical Equipment — 2.6% | |||
413,289 | Energizer Holdings, Inc. | 16,262,922 | |
226,670 | EnerSys | 16,229,572 | |
32,492,494 | |||
Electronics — 3.9% | |||
359,152 | Diodes, Inc.1 | 20,769,760 | |
1,387,313 | TTM Technologies, Inc.1 | 16,467,405 | |
278,166 | WESCO International, Inc.1 | 11,471,566 | |
48,708,731 | |||
Entertainment & Leisure — 1.1% | |||
882,915 | Callaway Golf Co. | 13,676,353 | |
Financial Services — 8.0% | |||
231,072 | Evercore, Inc. - Class A | 18,379,467 | |
514,960 | Hannon Armstrong Sustainable Infrastructure Capital, Inc.2 | 21,551,076 | |
499,996 | Hudson Pacific Properties, Inc. | 9,629,923 | |
1,200,254 | Lexington Realty Trust | 11,918,522 | |
424,732 | STAG Industrial, Inc. | 13,217,660 | |
257,654 | Stifel Financial Corp. | 15,062,453 | |
573,499 | Washington Real Estate Investment Trust REIT | 10,024,762 | |
99,783,863 | |||
Forest Products & Paper — 4.9% | |||
481,070 | Beacon Roofing Supply, Inc.1 | 14,768,849 | |
314,698 | Boise Cascade Co. | 12,078,109 | |
1,013,196 | Graphic Packaging Holding Co. | 13,465,375 | |
238,554 | Masonite International Corp.1 | 20,992,752 | |
61,305,085 | |||
Heavy Construction — 2.3% | |||
309,416 | MasTec, Inc.1 | 15,359,410 | |
825,257 | TRI Pointe Group, Inc.1 | 13,558,973 | |
28,918,383 | |||
Heavy Machinery — 6.6% | |||
341,106 | Arcosa, Inc. | 15,748,864 | |
200,262 | Dycom Industries, Inc.1 | 13,005,014 | |
171,653 | Entegris, Inc. | 12,834,495 | |
695,857 | Rexnord Corp. | 22,323,093 | |
303,694 | Timken Co. (The) | 18,130,532 | |
82,041,998 |
124 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Home Construction, Furnishings & Appliances — 1.7% | |||
68,221 | Helen of Troy, Ltd.1 | $ 12,934,702 | |
236,205 | La-Z-Boy, Inc. | 8,085,297 | |
21,019,999 | |||
Household Products — 0.9% | |||
869,711 | Ferro Corp.1 | 11,184,484 | |
Industrial - Diversified — 1.3% | |||
537,848 | Hillenbrand, Inc. | 15,732,054 | |
Insurance — 1.2% | |||
802,810 | Radian Group, Inc. | 14,410,440 | |
Lodging — 2.2% | |||
842,863 | Boyd Gaming Corp. | 26,735,614 | |
Media - Broadcasting & Publishing — 1.5% | |||
219,628 | Nexstar Media Group, Inc. - Class A | 18,097,347 | |
Medical Supplies — 6.0% | |||
204,223 | Cantel Medical Corp. | 9,770,028 | |
63,379 | ICU Medical, Inc.1 | 11,268,152 | |
414,169 | II-VI, Inc.1,2 | 18,832,264 | |
254,839 | Luminex Corp. | 5,616,652 | |
386,880 | Merit Medical Systems, Inc.1 | 19,363,344 | |
211,706 | NuVasive, Inc.1 | 9,406,098 | |
74,256,538 | |||
Oil & Gas — 1.5% | |||
269,364 | Delek US Holdings, Inc. | 2,709,802 | |
546,210 | Matador Resources Co.1 | 3,861,705 | |
392,162 | New Jersey Resources Corp. | 11,443,287 | |
18,014,794 | |||
Pharmaceuticals — 4.8% | |||
775,522 | Ironwood Pharmaceuticals, Inc.1 | 7,662,157 | |
205,544 | Neogen Corp.1 | 14,334,639 | |
243,836 | Pacira BioSciences, Inc.1 | 12,752,623 | |
474,908 | Prestige Consumer Healthcare, Inc.1 | 15,686,211 | |
465,665 | Supernus Pharmaceuticals, Inc.1 | 8,549,609 | |
58,985,239 | |||
Technology — 1.1% | |||
198,061 | j2 Global, Inc.1 | 13,444,381 | |
Telecommunications — 1.5% | |||
1,726,659 | Vonage Holdings Corp.1 | 18,268,052 | |
TOTAL COMMON STOCKS (Cost $1,111,703,006) | 1,224,591,843 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.2% | |||
$15,285,160 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $15,285,160, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $15,459,300, coupon rate of 0.500%, due 03/15/2023, market value of $15,590,898) | 15,285,160 | |
TOTAL REPURCHASE AGREEMENT (Cost $15,285,160) | 15,285,160 |
125 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.0% | |||
24,422,056 | State Street Navigator Securities Lending Government Money Market Portfolio3 | $ 24,422,056 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $24,422,056) | 24,422,056 | ||
TOTAL INVESTMENTS (Cost $1,151,410,222) | 102.0% | $1,264,299,059 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.0) | (24,974,380) | |
NET ASSETS | 100.0% | $1,239,324,679 |
* | 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. |
126 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Commercial Services | 11.3% | $ 139,940,968 | |
Banking | 10.9 | 134,794,166 | |
Financial Services | 8.0 | 99,783,863 | |
Heavy Machinery | 6.6 | 82,041,998 | |
Medical Supplies | 6.0 | 74,256,538 | |
Forest Products & Paper | 4.9 | 61,305,085 | |
Pharmaceuticals | 4.8 | 58,985,239 | |
Computer Software & Processing | 3.9 | 48,761,405 | |
Electronics | 3.9 | 48,708,731 | |
Automotive | 2.9 | 36,512,325 | |
Communications | 2.7 | 32,922,601 | |
Electrical Equipment | 2.6 | 32,492,494 | |
Computers & Information | 2.6 | 32,181,462 | |
Building Materials | 2.6 | 31,979,730 | |
Heavy Construction | 2.3 | 28,918,383 | |
Beverages, Food & Tobacco | 2.2 | 27,555,090 | |
Lodging | 2.2 | 26,735,614 | |
Electric Utilities | 2.0 | 24,741,362 | |
Airlines | 1.9 | 23,851,241 | |
Home Construction, Furnishings & Appliances | 1.7 | 21,019,999 | |
Telecommunications | 1.5 | 18,268,052 | |
Media - Broadcasting & Publishing | 1.5 | 18,097,347 | |
Oil & Gas | 1.5 | 18,014,794 | |
Industrial - Diversified | 1.3 | 15,732,054 | |
Insurance | 1.2 | 14,410,440 | |
Entertainment & Leisure | 1.1 | 13,676,353 | |
Technology | 1.1 | 13,444,381 | |
Household Products | 0.9 | 11,184,484 | |
Chemicals | 0.9 | 10,741,063 | |
Advertising | 0.7 | 9,238,093 | |
Containers & Packaging | 0.7 | 8,900,502 | |
Aerospace & Defense | 0.4 | 5,395,986 | |
TOTAL COMMON STOCKS | 98.8% | $1,224,591,843 | |
REPURCHASE AGREEMENT | 1.2 | 15,285,160 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.0 | 24,422,056 | |
TOTAL INVESTMENTS | 102.0% | $1,264,299,059 |
127 |
Shares | Value | ||
COMMON STOCKS* — 98.4% | |||
Advertising — 1.2% | |||
4,998 | Omnicom Group, Inc. | $ 235,906 | |
Aerospace & Defense — 4.1% | |||
1,692 | General Dynamics Corp. | 222,210 | |
1,773 | L3Harris Technologies, Inc. | 285,648 | |
975 | Northrop Grumman Corp. | 282,575 | |
790,433 | |||
Automotive — 1.6% | |||
3,495 | Genuine Parts Co. | 316,053 | |
Banking — 5.4% | |||
7,004 | Bank of New York Mellon Corp. (The) | 240,657 | |
2,717 | M&T Bank Corp. | 281,427 | |
4,036 | State Street Corp. | 237,720 | |
8,647 | Zions Bancorp N.A. | 279,039 | |
1,038,843 | |||
Beverages, Food & Tobacco — 6.3% | |||
8,019 | Archer-Daniels-Midland Co. | 370,799 | |
7,181 | General Mills, Inc. | 424,541 | |
7,453 | Tyson Foods, Inc. - Class A | 426,535 | |
1,221,875 | |||
Chemicals — 1.1% | |||
2,008 | FMC Corp. | 206,302 | |
Commercial Services — 1.4% | |||
5,494 | eBay, Inc. | 261,679 | |
Computer Software & Processing — 1.6% | |||
5,531 | Oracle Corp. | 310,344 | |
Computers & Information — 0.9% | |||
1,644 | International Business Machines Corp. | 183,569 | |
Electric Utilities — 9.9% | |||
2,377 | DTE Energy Co. | 293,369 | |
4,081 | Duke Energy Corp. | 375,901 | |
7,682 | Exelon Corp. | 306,435 | |
10,304 | PPL Corp. | 283,360 | |
5,478 | Public Service Enterprise Group, Inc. | 318,546 | |
2,598 | Sempra Energy | 325,685 | |
1,903,296 | |||
Electronics — 2.2% | |||
9,796 | Intel Corp. | 433,767 | |
Financial Services — 5.5% | |||
2,064 | Ameriprise Financial, Inc. | 331,953 | |
12,692 | Franklin Resources, Inc. | 237,975 | |
1,259 | Public Storage | 288,399 | |
3,345 | Realty Income Corp. | 193,542 | |
1,051,869 | |||
Forest Products & Paper — 1.7% | |||
2,534 | Kimberly-Clark Corp. | 335,983 | |
Health Care Providers — 1.6% | |||
1,511 | Laboratory Corp. of America Holdings1 | 301,853 |
128 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Heavy Machinery — 1.4% | |||
4,556 | Applied Materials, Inc. | $ 269,852 | |
Household Products — 3.0% | |||
1,498 | Snap-on, Inc. | 235,980 | |
2,051 | Stanley Black & Decker, Inc. | 340,876 | |
576,856 | |||
Insurance — 12.5% | |||
6,393 | Aflac, Inc. | 217,042 | |
2,143 | Allstate Corp. (The) | 190,191 | |
843 | Anthem, Inc. | 229,971 | |
2,843 | Chubb, Ltd. | 369,334 | |
7,676 | CNA Financial Corp. | 228,668 | |
1,728 | Everest Re Group, Ltd. | 340,554 | |
3,948 | Globe Life, Inc. | 320,144 | |
6,968 | MetLife, Inc. | 263,739 | |
6,464 | Principal Financial Group, Inc. | 253,518 | |
2,413,161 | |||
Media - Broadcasting & Publishing — 4.5% | |||
13,708 | Comcast Corp. - Class A | 579,026 | |
11,149 | Fox Corp. - Class A | 295,671 | |
874,697 | |||
Medical Supplies — 1.6% | |||
3,083 | Medtronic PLC | 310,057 | |
Metals & Mining — 2.4% | |||
3,306 | Newmont Corp. | 207,749 | |
2,289 | Reliance Steel & Aluminum Co. | 249,478 | |
457,227 | |||
Miscellaneous — 1.9% | |||
10,382 | Conagra Brands, Inc. | 364,304 | |
Oil & Gas — 3.5% | |||
3,938 | EOG Resources, Inc. | 134,837 | |
2,601 | Pioneer Natural Resources Co. | 206,935 | |
3,503 | Valero Energy Corp. | 135,251 | |
10,372 | Williams Cos., Inc. (The) | 199,039 | |
676,062 | |||
Pharmaceuticals — 14.5% | |||
3,112 | AmerisourceBergen Corp. | 298,970 | |
7,406 | Bristol-Myers Squibb Co. | 432,880 | |
2,109 | Cigna Corp. | 352,140 | |
5,535 | Johnson & Johnson | 758,905 | |
3,999 | Merck & Co., Inc. | 300,765 | |
18,329 | Pfizer, Inc. | 650,313 | |
2,793,973 | |||
Retailers — 3.5% | |||
2,085 | Advance Auto Parts, Inc. | 307,079 | |
10,893 | Walgreens Boots Alliance, Inc. | 370,798 | |
677,877 | |||
Telecommunications — 4.0% | |||
20,860 | AT&T, Inc. | 563,637 | |
3,491 | Verizon Communications, Inc. | 198,952 | |
762,589 |
129 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Transportation — 1.1% | |||
3,648 | Westinghouse Air Brake Technologies Corp. | $ 216,326 | |
TOTAL COMMON STOCKS (Cost $17,885,536) | 18,984,753 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.6% | |||
$299,909 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $299,909, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $303,400, coupon rate of 0.500%, due 03/15/2023, market value of $305,983) | 299,909 | |
TOTAL REPURCHASE AGREEMENT (Cost $299,909) | 299,909 | ||
TOTAL INVESTMENTS (Cost $18,185,445) | 100.0% | $19,284,662 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.0 | 2,680 | |
NET ASSETS | 100.0% | $19,287,342 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
130 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 14.5% | $ 2,793,973 | |
Insurance | 12.5 | 2,413,161 | |
Electric Utilities | 9.9 | 1,903,296 | |
Beverages, Food & Tobacco | 6.3 | 1,221,875 | |
Financial Services | 5.5 | 1,051,869 | |
Banking | 5.4 | 1,038,843 | |
Media - Broadcasting & Publishing | 4.5 | 874,697 | |
Aerospace & Defense | 4.1 | 790,433 | |
Telecommunications | 4.0 | 762,589 | |
Retailers | 3.5 | 677,877 | |
Oil & Gas | 3.5 | 676,062 | |
Household Products | 3.0 | 576,856 | |
Metals & Mining | 2.4 | 457,227 | |
Electronics | 2.2 | 433,767 | |
Miscellaneous | 1.9 | 364,304 | |
Forest Products & Paper | 1.7 | 335,983 | |
Automotive | 1.6 | 316,053 | |
Computer Software & Processing | 1.6 | 310,344 | |
Medical Supplies | 1.6 | 310,057 | |
Health Care Providers | 1.6 | 301,853 | |
Heavy Machinery | 1.4 | 269,852 | |
Commercial Services | 1.4 | 261,679 | |
Advertising | 1.2 | 235,906 | |
Transportation | 1.1 | 216,326 | |
Chemicals | 1.1 | 206,302 | |
Computers & Information | 0.9 | 183,569 | |
TOTAL COMMON STOCKS | 98.4% | $18,984,753 | |
REPURCHASE AGREEMENT | 1.6 | 299,909 | |
TOTAL INVESTMENTS | 100.0% | $19,284,662 |
131 |
Shares | Value | ||
COMMON STOCKS* — 95.6% | |||
Aerospace & Defense — 0.9% | |||
1,279 | General Dynamics Corp. | $ 167,971 | |
Beverages — 2.8% | |||
3,943 | PepsiCo, Inc. | 525,563 | |
Biotechnology — 2.5% | |||
2,161 | Amgen, Inc. | 468,807 | |
Capital Markets — 6.7% | |||
1,342 | Ameriprise Financial, Inc. | 215,834 | |
458 | BlackRock, Inc. | 274,438 | |
8,042 | Charles Schwab Corp. (The) | 330,607 | |
2,993 | Northern Trust Corp. | 234,262 | |
1,458 | T Rowe Price Group, Inc. | 184,670 | |
1,239,811 | |||
Chemicals — 5.8% | |||
1,324 | Air Products and Chemicals, Inc. | 365,742 | |
3,116 | PPG Industries, Inc. | 404,207 | |
3,564 | RPM International, Inc. | 301,764 | |
1,071,713 | |||
Communications Equipment — 2.5% | |||
12,688 | Cisco Systems, Inc. | 455,499 | |
Distributors — 1.0% | |||
2,005 | Genuine Parts Co. | 181,312 | |
Electric Utilities — 4.7% | |||
7,610 | OGE Energy Corp. | 234,160 | |
3,752 | Pinnacle West Capital Corp. | 306,051 | |
5,816 | Southern Co. (The) | 334,129 | |
874,340 | |||
Electrical Equipment — 5.7% | |||
2,933 | Eaton Corp. PLC | 304,416 | |
4,431 | Emerson Electric Co. | 287,085 | |
2,000 | Rockwell Automation, Inc. | 474,240 | |
1,065,741 | |||
Electronic Equipment, Instruments & Components — 1.0% | |||
1,870 | TE Connectivity, Ltd. | 181,166 | |
Food & Staples Retailing — 1.2% | |||
6,311 | Walgreens Boots Alliance, Inc. | 214,826 | |
Food Products — 2.9% | |||
2,175 | Hershey Co. (The) | 298,975 | |
4,855 | Hormel Foods Corp. | 236,390 | |
535,365 | |||
Gas Utilities — 1.9% | |||
11,136 | UGI Corp. | 360,138 | |
Health Care Providers & Services — 2.3% | |||
3,528 | Quest Diagnostics, Inc. | 430,910 | |
Hotels, Restaurants & Leisure — 4.0% | |||
2,259 | McDonald’s Corp. | 481,167 | |
3,116 | Starbucks Corp. | 270,967 | |
752,134 |
132 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Durables — 1.6% | |||
2,879 | Garmin, Ltd. | $ 299,474 | |
Household Products — 5.3% | |||
1,869 | Clorox Co. (The) | 387,350 | |
5,499 | Colgate-Palmolive Co. | 433,816 | |
1,286 | Kimberly-Clark Corp. | 170,511 | |
991,677 | |||
Industrial Conglomerates — 1.9% | |||
2,150 | 3M Co. | 343,914 | |
Insurance — 5.1% | |||
6,764 | Aflac, Inc. | 229,638 | |
1,613 | Allstate Corp. (The) | 143,153 | |
1,523 | Everest Re Group, Ltd. | 300,153 | |
6,972 | Principal Financial Group, Inc. | 273,442 | |
946,386 | |||
IT Services — 3.5% | |||
1,061 | Accenture PLC - Class A | 230,141 | |
5,031 | Paychex, Inc. | 413,800 | |
643,941 | |||
Machinery — 5.9% | |||
1,804 | Cummins, Inc. | 396,682 | |
1,629 | Illinois Tool Works, Inc. | 319,089 | |
2,446 | Snap-on, Inc. | 385,318 | |
1,101,089 | |||
Media — 2.4% | |||
6,300 | Comcast Corp. - Class A | 266,112 | |
3,735 | Omnicom Group, Inc. | 176,292 | |
442,404 | |||
Multi-Utilities — 3.2% | |||
2,716 | DTE Energy Co. | 335,209 | |
4,347 | Public Service Enterprise Group, Inc. | 252,778 | |
587,987 | |||
Pharmaceuticals — 12.2% | |||
8,367 | Bristol-Myers Squibb Co. | 489,051 | |
1,426 | Eli Lilly and Co. | 186,036 | |
4,213 | Johnson & Johnson | 577,644 | |
6,381 | Merck & Co., Inc. | 479,915 | |
14,885 | Pfizer, Inc. | 528,120 | |
2,260,766 | |||
Semiconductors & Semiconductor Equipment — 4.1% | |||
4,156 | Intel Corp. | 184,028 | |
4,023 | Texas Instruments, Inc. | 581,685 | |
765,713 | |||
Specialty Retail — 2.8% | |||
1,943 | Home Depot, Inc. (The) | 518,218 | |
Technology Hardware, Storage & Peripherals — 1.7% | |||
7,257 | NetApp, Inc. | 318,510 | |
TOTAL COMMON STOCKS (Cost $15,385,350) | 17,745,375 |
133 |
Shares | Value | ||
EXCHANGE-TRADED FUND* — 2.6% | |||
16,935 | Energy Select Sector SPDR Fund | $ 486,373 | |
TOTAL EXCHANGE-TRADED FUND (Cost $516,179) | 486,373 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 2.2% | |||
$396,744 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $396,744, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $401,300, coupon rate of 0.500%, due 03/15/2023, market value of $404,716) | 396,744 | |
TOTAL REPURCHASE AGREEMENT (Cost $396,744) | 396,744 | ||
TOTAL INVESTMENTS (Cost $16,298,273) | 100.4% | $18,628,492 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.4) | (68,672) | |
NET ASSETS | 100.0% | $18,559,820 |
* | Percentages indicated are based on net assets. |
134 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 12.2% | $ 2,260,766 | |
Capital Markets | 6.7 | 1,239,811 | |
Machinery | 5.9 | 1,101,089 | |
Chemicals | 5.8 | 1,071,713 | |
Electrical Equipment | 5.7 | 1,065,741 | |
Household Products | 5.3 | 991,677 | |
Insurance | 5.1 | 946,386 | |
Electric Utilities | 4.7 | 874,340 | |
Semiconductors & Semiconductor Equipment | 4.1 | 765,713 | |
Hotels, Restaurants & Leisure | 4.0 | 752,134 | |
IT Services | 3.5 | 643,941 | |
Multi-Utilities | 3.2 | 587,987 | |
Food Products | 2.9 | 535,365 | |
Beverages | 2.8 | 525,563 | |
Specialty Retail | 2.8 | 518,218 | |
Exchange-Traded Funds | 2.6 | 486,373 | |
Biotechnology | 2.5 | 468,807 | |
Communications Equipment | 2.5 | 455,499 | |
Media | 2.4 | 442,404 | |
Health Care Providers & Services | 2.3 | 430,910 | |
Gas Utilities | 1.9 | 360,138 | |
Industrial Conglomerates | 1.9 | 343,914 | |
Technology Hardware, Storage & Peripherals | 1.7 | 318,510 | |
Household Durables | 1.6 | 299,474 | |
Food & Staples Retailing | 1.2 | 214,826 | |
Distributors | 1.0 | 181,312 | |
Electronic Equipment, Instruments & Components | 1.0 | 181,166 | |
Aerospace & Defense | 0.9 | 167,971 | |
TOTAL COMMON STOCKS | 98.2% | $18,231,748 | |
REPURCHASE AGREEMENT | 2.2 | 396,744 | |
TOTAL INVESTMENTS | 100.4% | $18,628,492 |
135 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 3.6% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $ 7,216,534 | |
30,000 | Vanguard S&P 500 ETF1 | 8,994,600 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 16,211,134 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 24.4% | |||
$60,000,000 | U.S. Treasury Bill, 0.150% due 01/7/211 | 59,990,650 | |
50,000,000 | U.S. Treasury Bill, 0.108% due 04/8/211 | 49,979,012 | |
TOTAL U.S. TREASURY BILLS (Cost $109,959,660) | 109,969,662 | ||
REPURCHASE AGREEMENT* — 0.6% | |||
2,462,918 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $2,462,918, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $2,491,000, coupon rate of 0.500%, due 03/15/2023, market value of $2,512,205) | 2,462,918 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,462,918) | 2,462,918 | ||
TOTAL PURCHASED OPTIONS (Cost $784,736,703) | 169.7% | 764,484,000 | |
TOTAL INVESTMENTS (Cost $903,589,890) | 198.3% | $ 893,127,714 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (98.3) | (442,752,805) | |
NET ASSETS2 | 100.0% | $ 450,374,909 |
* | 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 $12,254,939 is held as collateral to secure the open written call and put options contracts. |
136 |
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 | 12/18/20 | USD | 3,360 | $ 1,098,706,560 | $ 762,720,000 | $ 782,769,725 | $(20,049,725) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/18/20 | USD | 3,360 | 1,098,706,560 | 1,764,000 | 1,966,978 | (202,978) | ||||||||
TOTAL PURCHASED OPTIONS | $ 2,197,413,120 | $ 764,484,000 | $ 784,736,703 | $(20,252,703) | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALL: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/18/20 | USD | 3,360 | (1,098,706,560) | (428,601,600) | (448,945,023) | 20,343,423 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 3,400.00 | 11/20/20 | USD | 980 | (320,456,080) | (16,743,300) | (6,962,714) | (9,780,586) | ||||||||
S&P 500 Index | OCC** | 3,550.00 | 11/20/20 | USD | 320 | (104,638,720) | (9,070,400) | (4,232,841) | (4,837,559) | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/18/20 | USD | 3,360 | (1,098,706,560) | (109,200) | (164,640) | 55,440 | ||||||||
TOTAL PUTS | $(1,523,801,360) | $ (25,922,900) | $ (11,360,195) | $(14,562,705) | |||||||||||||
TOTAL WRITTEN OPTIONS | $(2,622,507,920) | $(454,524,500) | $(460,305,218) | $ 5,780,718 |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 169.7% | $ 764,484,000 | |
U.S. Treasury Bills | 24.4 | 109,969,662 | |
Exchange-Traded Funds | 3.6 | 16,211,134 | |
TOTAL | 197.7% | $890,664,796 | |
REPURCHASE AGREEMENT | 0.6 | 2,462,918 | |
TOTAL INVESTMENTS | 198.3% | $893,127,714 |
* | This table does not include written options. Please refer to the schedule of investments for information on written options. |
137 |
Shares | Value | ||
EXCHANGE-TRADED FUND* — 1.6% | |||
3,500 | iShares MSCI Emerging Markets ETF | $ 156,485 | |
TOTAL EXCHANGE-TRADED FUND (Cost $128,153) | 156,485 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 28.0% | |||
$1,200,000 | U.S. Treasury Bill, 0.150% due 01/7/211 | 1,199,813 | |
1,500,000 | U.S. Treasury Bill, 0.108% due 04/8/211 | 1,499,370 | |
TOTAL U.S. TREASURY BILLS (Cost $2,698,957) | 2,699,183 | ||
REPURCHASE AGREEMENT* — 9.0% | |||
869,531 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $869,531, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $879,500, coupon rate of 0.500%, due 03/15/2023, market value of $886,987) | 869,531 | |
TOTAL REPURCHASE AGREEMENT (Cost $869,531) | 869,531 | ||
TOTAL PURCHASED OPTIONS (Cost $9,342,103) | 94.3% | 9,101,000 | |
TOTAL INVESTMENTS (Cost $13,038,744) | 132.9% | $12,826,199 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (32.9) | (3,178,527) | |
NET ASSETS2 | 100.0% | $ 9,647,672 |
* | 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 $2,423,729 is held as collateral to secure the open written call and put options contracts. |
138 |
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 | 12/18/20 | USD | 40 | $ 13,079,840 | $ 9,080,000 | $ 9,318,687 | $(238,687) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/18/20 | USD | 40 | 13,079,840 | 21,000 | 23,416 | (2,416) | ||||||||
TOTAL PURCHASED OPTIONS | $ 26,159,680 | $ 9,101,000 | $ 9,342,103 | $(241,103) | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALL: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/18/20 | USD | 40 | (13,079,840) | (5,102,400) | (5,344,584) | 242,184 | ||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Market ETF | OCC** | 46.00 | 11/20/20 | USD | 250 | (1,117,750) | (48,500) | (36,374) | (12,126) | ||||||||
iShares MSCI EAFE ETF | OCC** | 65.00 | 11/20/20 | USD | 300 | (1,165,200) | (108,750) | (52,999) | (55,751) | ||||||||
Russell 2000 Index | OCC** | 1,600.00 | 11/20/20 | USD | 6 | (923,088) | (53,520) | (26,625) | (26,895) | ||||||||
S&P 500 Index | OCC** | 3,500.00 | 11/20/20 | USD | 13 | (4,250,948) | (313,105) | (148,575) | (164,530) | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/18/20 | USD | 40 | (13,079,840) | (1,300) | (1,960) | 660 | ||||||||
TOTAL PUTS | $(20,536,826) | $ (525,175) | $ (266,533) | $(258,642) | |||||||||||||
TOTAL WRITTEN OPTIONS | $(33,616,666) | $(5,627,575) | $(5,611,117) | $ (16,458) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 94.3% | $ 9,101,000 | |
U.S. Treasury Bills | 28.0 | 2,699,183 | |
Exchange-Traded Fund | 1.6 | 156,485 | |
TOTAL | 123.9% | $11,956,668 | |
REPURCHASE AGREEMENT | 9.0 | 869,531 | |
TOTAL INVESTMENTS | 132.9% | $12,826,199 |
* | This table does not include written options. Please refer to the schedule of investments for information on written options. |
139 |
Face Amount | Value | ||
AGENCY NOTES* — 13.6% | |||
Federal Home Loan Bank — 6.8% | |||
$15,000,000 | 2.750% due 12/13/24 | $ 16,443,121 | |
7,000,000 | 0.375% due 9/23/25 | 6,950,024 | |
4,000,000 | 5.500% due 7/15/36 | 6,160,569 | |
29,553,714 | |||
Federal National Mortgage Association — 6.8% | |||
10,000,000 | 2.000% due 10/5/221 | 10,351,215 | |
10,000,000 | 2.625% due 9/6/24 | 10,888,371 | |
7,960,000 | 2.125% due 4/24/26 | 8,645,163 | |
29,884,749 | |||
TOTAL AGENCY NOTES (Cost $55,890,228) | 59,438,463 | ||
MORTGAGE-BACKED SECURITIES*,2 — 36.1% | |||
Federal Home Loan Mortgage Corporation — 12.8% | |||
4,737 | # G12342, 5.500% due 8/1/21 | 4,770 | |
7,276 | # J03604, 5.500% due 10/1/21 | 7,343 | |
3,675 | # J03649, 5.500% due 10/1/21 | 3,714 | |
15,894 | # J03536, 5.500% due 11/1/21 | 15,992 | |
5,491 | # G18163, 5.500% due 1/1/22 | 5,587 | |
36,202 | # G13396, 5.500% due 12/1/23 | 37,389 | |
37,189 | # D78677, 8.000% due 3/1/27 | 38,042 | |
85,095 | # C00742, 6.500% due 4/1/29 | 95,920 | |
2,683,260 | # J38111, 3.000% due 12/1/32 | 2,853,217 | |
19,262 | # A68937, 6.000% due 11/1/37 | 21,888 | |
218,802 | # A69653, 5.500% due 12/1/37 | 253,743 | |
262,783 | # A73370, 5.000% due 2/1/38 | 302,462 | |
216,032 | # A90421, 4.500% due 12/1/39 | 242,692 | |
207,711 | # A92890, 4.500% due 7/1/40 | 230,228 | |
1,040,028 | # A97620, 4.500% due 3/1/41 | 1,169,277 | |
1,754,089 | # C03770, 3.500% due 2/1/42 | 1,882,431 | |
918,635 | # Q07651, 3.500% due 4/1/42 | 1,004,177 | |
2,167,443 | # Q41208, 3.500% due 6/1/46 | 2,318,197 | |
7,929,360 | # G08737, 3.000% due 12/1/46 | 8,344,767 | |
2,644,654 | # Q45735, 3.000% due 1/1/47 | 2,771,518 | |
6,682,104 | # Q46279, 3.500% due 2/1/47 | 7,078,633 | |
6,438,914 | # Q47596, 4.000% due 4/1/47 | 6,928,476 | |
14,349,974 | # RA3173, 3.000% due 7/1/50 | 15,010,047 | |
4,908,403 | # SD8083, 2.500% due 8/1/50 | 5,118,131 | |
55,738,641 | |||
Federal National Mortgage Association — 23.1% | |||
497 | # 125275, 7.000% due 3/1/24 | 527 | |
373,564 | # AH6827, 4.000% due 3/1/26 | 396,937 | |
267,916 | # AI1657, 4.000% due 4/1/26 | 284,107 | |
570,126 | # AB3900, 3.000% due 11/1/26 | 597,377 | |
16,561 | # 373328, 8.000% due 3/1/27 | 16,631 | |
883,302 | # AK4751, 3.000% due 4/1/27 | 939,006 | |
11,182 | # 390895, 8.000% due 6/1/27 | 11,351 | |
1,561,264 | # AO0533, 3.000% due 6/1/27 | 1,636,989 | |
34,955 | # 397602, 8.000% due 8/1/27 | 36,379 | |
584 | # 499335, 6.500% due 8/1/29 | 652 | |
3,721 | # 252806, 7.500% due 10/1/29 | 4,344 | |
216 | # 523497, 7.500% due 11/1/29 | 246 | |
3,955,164 | # BC2462, 3.000% due 2/1/31 | 4,143,290 | |
1,612 | # 588945, 7.000% due 6/1/31 | 1,804 | |
7,088,030 | # AS7429, 2.500% due 6/1/31 | 7,381,653 |
140 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,2 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$ 49,239 | # 607862, 7.000% due 9/1/31 | $ 55,601 | |
2,295 | # 656872, 6.500% due 8/1/32 | 2,561 | |
5,649,969 | # MA3391, 3.000% due 6/1/33 | 5,913,159 | |
132,069 | # 789856, 6.000% due 8/1/34 | 153,488 | |
41,779 | # 829202, 5.000% due 7/1/35 | 47,354 | |
96,033 | # 826586, 5.000% due 8/1/35 | 110,911 | |
19,984 | # 256216, 7.000% due 4/1/36 | 24,012 | |
103,654 | # 898412, 5.000% due 10/1/36 | 117,167 | |
9,777 | # 910894, 5.000% due 2/1/37 | 10,898 | |
17,416 | # 912456, 6.500% due 3/1/37 | 19,983 | |
261,817 | # 973241, 5.000% due 3/1/38 | 297,423 | |
73,163 | # 975593, 5.000% due 6/1/38 | 83,238 | |
99,358 | # 257573, 5.500% due 2/1/39 | 114,791 | |
327,217 | # AD7128, 4.500% due 7/1/40 | 367,399 | |
11,955,207 | # MA4152, 2.000% due 10/1/40 | 12,366,406 | |
3,748,598 | # AH1568, 4.500% due 12/1/40 | 4,218,376 | |
1,527,854 | # AH6991, 4.000% due 1/1/41 | 1,684,564 | |
597,339 | # AH4004, 4.500% due 3/1/41 | 662,514 | |
806,215 | # AH8351, 4.000% due 3/1/41 | 887,867 | |
818,012 | # AJ1315, 4.000% due 9/1/41 | 905,807 | |
928,516 | # AI8779, 4.000% due 11/1/41 | 1,023,645 | |
1,542,433 | # AJ5958, 4.000% due 12/1/41 | 1,699,545 | |
727,395 | # AK5070, 3.500% due 3/1/42 | 803,769 | |
2,604,358 | # AK5426, 3.500% due 3/1/42 | 2,819,828 | |
4,665,347 | # AT7682, 3.500% due 6/1/43 | 5,155,721 | |
3,630,641 | # AS6326, 3.500% due 12/1/45 | 3,882,004 | |
3,694,430 | # AS6881, 3.500% due 3/1/46 | 3,942,246 | |
3,661,400 | # BC0960, 4.000% due 6/1/46 | 3,977,607 | |
3,237,974 | # AS8966, 4.000% due 3/1/47 | 3,477,258 | |
3,809,312 | # AS9988, 4.500% due 7/1/47 | 4,134,336 | |
4,298,264 | # MA3210, 3.500% due 12/1/47 | 4,555,424 | |
4,220,234 | # BJ9251, 3.500% due 6/1/48 | 4,453,887 | |
9,857,469 | # FM3727, 3.000% due 7/1/50 | 10,310,897 | |
6,985,209 | # BQ2863, 2.500% due 9/1/50 | 7,283,676 | |
101,014,655 | |||
Government National Mortgage Association — 0.2% | |||
413 | # 464049, 7.000% due 7/15/28 | 414 | |
10,464 | # 476259, 7.000% due 8/15/28 | 10,505 | |
5,766 | # 485264, 7.500% due 2/15/31 | 5,790 | |
15,658 | # 559304, 7.000% due 9/15/31 | 16,680 | |
202,040 | # 651859, 5.000% due 6/15/36 | 231,369 | |
128,532 | # 782150, 5.500% due 4/15/37 | 150,697 | |
25,206 | # 662521, 6.000% due 8/15/37 | 30,359 | |
39,133 | # 677545, 6.000% due 11/15/37 | 44,161 | |
40,258 | # 676291, 6.000% due 12/15/37 | 45,674 | |
53,133 | # 685836, 5.500% due 4/15/38 | 59,758 | |
247,253 | # 698235, 5.000% due 6/15/39 | 279,876 | |
875,283 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $153,981,733) | 157,628,579 | ||
CORPORATE NOTES* — 23.1% | |||
Banking — 3.9% | |||
3,000,000 | Bank of America Corp.(SOFR* 1.01 + 0.19%), 1.197% due 10/24/263 | 3,002,730 |
141 |
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Banking — (Continued) | |||
$ 6,000,000 | JPMorgan Chase & Co., (3M USD LIBOR * 0.95 + 2.56%), 3.509% due 1/23/293 | $ 6,736,184 | |
6,500,000 | PNC Bank NA, 3.250% due 6/1/25 | 7,181,989 | |
16,920,903 | |||
Beverages, Food & Tobacco — 3.0% | |||
1,000,000 | Archer-Daniels-Midland Co., 2.750% due 3/27/25 | 1,085,340 | |
5,000,000 | Coca-Cola Co. (The), 2.875% due 10/27/25 | 5,535,218 | |
6,000,000 | Coca-Cola Co. (The), 2.250% due 9/1/26 | 6,503,165 | |
13,123,723 | |||
Communications — 4.3% | |||
14,000,000 | Amazon.com, Inc., 4.800% due 12/5/34 | 19,050,780 | |
Computer Software & Processing — 7.1% | |||
1,000,000 | Alphabet, Inc., 2.050% due 8/15/50 | 901,749 | |
11,250,000 | Apple, Inc., 4.500% due 2/23/36 | 14,889,249 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 9,621,620 | |
5,000,000 | Oracle Corp., 2.800% due 4/1/27 | 5,448,350 | |
30,860,968 | |||
Heavy Machinery — 1.1% | |||
4,750,000 | John Deere Capital Corp., 0.700% due 7/5/23 | 4,786,267 | |
Insurance — 1.3% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/26 | 5,612,084 | |
Pharmaceuticals — 2.4% | |||
5,000,000 | Johnson & Johnson, 2.450% due 9/1/60 | 4,950,254 | |
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 5,421,317 | |
10,371,571 | |||
TOTAL CORPORATE NOTES (Cost $89,539,817) | 100,726,296 | ||
U.S. TREASURY NOTES/BONDS* — 23.1% | |||
5,000,000 | U.S. Treasury Bonds, 6.250% due 8/15/23 | 5,841,016 | |
5,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 6,888,477 | |
7,000,000 | U.S. Treasury Bonds, 3.500% due 2/15/39 | 9,578,242 | |
4,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | 5,257,656 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 13,015,195 |
142 |
Face Amount | Value | ||
U.S. TREASURY NOTES/BONDS* — (Continued) | |||
$10,000,000 | U.S. Treasury Bonds, 2.250% due 8/15/46 | $ 11,450,781 | |
5,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 6,568,555 | |
10,000,000 | U.S. Treasury Notes, 2.500% due 1/31/24 | 10,737,500 | |
10,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | 11,148,437 | |
7,000,000 | U.S. Treasury Notes, 2.625% due 12/31/25 | 7,792,969 | |
6,000,000 | U.S. Treasury Notes, 2.250% due 8/15/27 | 6,657,891 | |
5,000,000 | U.S. Treasury Notes, 3.125% due 11/15/28 | 5,939,648 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $92,864,213) | 100,876,367 | ||
REPURCHASE AGREEMENT* — 5.3% | |||
23,325,790 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $23,325,790, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $23,591,500, coupon rate of 0.500%, due 03/15/2023, market value of $23,792,324) | 23,325,790 | |
TOTAL REPURCHASE AGREEMENT (Cost $23,325,790) | 23,325,790 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.0% | |||
45,473 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 45,473 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $45,473) | 45,473 | ||
TOTAL INVESTMENTS (Cost $415,647,254) | 101.2% | $442,040,968 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.2) | (5,066,446) | |
NET ASSETS | 100.0% | $436,974,522 |
* | 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, 2020. |
3 | Floating Rate Bond. Rate shown is as of October 31, 2020. |
4 | Represents an investment of securities lending cash collateral. |
143 |
% of Net Assets | Value | ||
Sector: | |||
Federal National Mortgage Association | 29.9% | $ 130,899,404 | |
Corporate | 23.1 | 100,726,296 | |
U.S. Treasury Notes/Bonds | 14.0 | 61,316,875 | |
Federal Home Loan Mortgage Corporation | 12.8 | 55,738,641 | |
U.S. Treasury | 9.1 | 39,559,492 | |
Federal Home Loan Bank | 6.8 | 29,553,714 | |
Government National Mortgage Association | 0.2 | 875,283 | |
TOTAL | 95.9% | $418,669,705 | |
REPURCHASE AGREEMENT | 5.3 | 23,325,790 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.0 | 45,473 | |
TOTAL INVESTMENTS | 101.2% | $442,040,968 |
144 |
Face Amount | Value | ||
CORPORATE NOTES* — 1.2% | |||
Health Care Services — 0.5% | |||
$ 250,000 | CommonSpirit Health, 1.547% due 10/1/25 | $ 250,658 | |
Media - Broadcasting & Publishing — 0.7% | |||
400,000 | Walt Disney Co. (The), 1.650% due 9/1/22 | 409,813 | |
TOTAL CORPORATE NOTES (Cost $659,194) | 660,471 | ||
MUNICIPAL BONDS* — 94.2% | |||
Alabama — 1.6% | |||
305,000 | Alabama State Public School and College Authority, Revenue Bonds, Series C, 5.000% due 9/1/22 | 331,227 | |
535,000 | Black Belt Energy Gas District, AL, Gas Supply Revenue, Revenue Bonds, Series A, 4.000% due 7/1/461 | 544,502 | |
875,729 | |||
Arizona — 1.3% | |||
250,000 | City of Phoenix Civic Improvement Corporation Airport, AMT, Junior Line Airport, Revenue Bonds, Series B, 5.000% due 7/1/23 | 276,175 | |
400,000 | Yuma, AZ, Municipal Property Corp., Excise Tax Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/22 | 430,916 | |
707,091 | |||
California — 2.0% | |||
340,000 | California State University, Revenue Bonds, Series D, 0.885% due 11/1/25 | 340,286 | |
300,000 | California State, General Obligation Unlimited, Refunding, 5.000% due 4/1/24 | 347,322 | |
350,000 | City of Los Angeles, CA, Department of Airports, Airports, Revenue Bonds, Series D, 5.000% due 5/15/23 | 387,429 | |
1,075,037 | |||
Colorado — 2.9% | |||
375,000 | Cherry Creek Colo School District No 5, Arapahoe Country, General Obligation Unlimited,Refunding, 5.000% due 12/15/20 | 377,092 | |
450,000 | City and County of Denver Co. Airport, Revenue Bonds, Variable Refunding, Govermental, Series C, 0.877% due 11/15/23 | 449,725 | |
200,000 | City and County of Denver Co. Airport, Revenue Bonds, Variable Refunding, Govermental, Series D, 5.000% due 11/15/311 | 218,570 | |
125,000 | Colorado, ST, Housing and Finance Authority, Revenue Bonds, AMT - Class 1 Bonds, Series A (GNMA Insured), 1.400% due 11/1/22 | 126,288 | |
225,000 | Larimer Weld and Boulder County School District R-2J Thompson, General Obligation Unlimited,Refunding, 5.000% due 12/15/21 | 236,988 | |
150,000 | Weld County, CO, Reorganized School District No. RE-8, General Obligation Unlimited, (State Aid Withholding), 4.000% due 12/1/20 | 150,441 | |
1,559,104 | |||
Connecticut — 4.2% | |||
500,000 | Connecticut Housing Finance Authority, Revenue Bonds, Series D, 0.437% due 5/15/212 | 499,920 | |
Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Refunding, Nuvance Halthe Issue, Series A: | |||
500,000 | 5.000% due 7/1/24 | 564,200 | |
750,000 | 1.100% due 7/1/481 | 761,640 |
145 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — (Continued) | |||
$ 285,000 | Connecticut, CT, General Obligation Unlimited, Refunding, Series C, 5.000% due 6/1/24 | $ 305,700 | |
100,000 | Metropolitan District (The), Revenue Bonds, 0.411% due 4/1/22 | 100,166 | |
2,231,626 | |||
District Of Columbia — 2.2% | |||
1,000,000 | Metropolitan Washington, DC, Airports Authority, Airport System, Revenue Bonds, AMT - Forward Delivery, Refunding, Series A, 5.000% due 10/1/24 | 1,164,520 | |
Florida — 4.0% | |||
275,000 | Central Florida Expressway Authority Senior Line, Revenue Bonds, Series A, 5.000% due 7/1/23 | 307,263 | |
335,000 | County of Broward FL Airport System Revenue, Revenue Bonds, AMT, Series A, Prerefunded 10/01/23 @ 100, 5.250% due 10/1/27 | 381,140 | |
500,000 | County of Broward FL Port Facilities, Revenue Bonds, Refunding, Subordinate Bond, Series D, 5.000% due 9/1/24 | 569,980 | |
255,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 274,344 | |
535,000 | Orlando Utilities Commission, Revenue Bonds, Series A, 5.000% due 10/1/23 | 608,423 | |
2,141,150 | |||
Georgia — 0.4% | |||
200,000 | Atlanta, GA, Airport General Revenue, Revenue Bonds, Series C, 5.000% due 1/1/23 | 209,918 | |
Illinois — 6.4% | |||
500,000 | Chicago, IL, O’Hare International Airport, Revenue Bonds, Refunding, Series B, 5.672% due 1/1/22 | 528,105 | |
300,000 | Cook County, IL, School District No. 100 South Berwyn, General Obligation Unlimited, Refunding, (BAM), 4.000% due 12/1/23 | 330,603 | |
500,000 | DeKalb County, IL, Community Unit School District No. 428 DeKalb, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 571,345 | |
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 | 402,960 | |
300,000 | Illinois State Finance Authority, Revenue Bonds, Series L, 4.000% due 12/1/20 | 300,804 | |
130,000 | Illinois State, General Obligation Unlimited, 5.000% due 1/1/21 | 130,768 | |
150,000 | Illinois State, General Obligation Unlimited, Series A, 4.000% due 1/1/24 | 152,886 | |
115,000 | Illinois State, General Obligation, Refunding, 5.000% due 8/1/23 | 122,529 | |
255,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 292,409 | |
300,000 | Regional Transportation Authority, IL, Revenue Bonds, Series A, 5.000% due 6/1/21 | 307,389 | |
295,000 | St. Clair County, IL, Community Unit School District No 19, General Obligation, Refunding, 4.000% due 2/1/22 | 308,092 | |
3,447,890 | |||
Kentucky — 1.9% | |||
180,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding Project No. 112, Series B, 5.000% due 11/1/21 | 188,172 |
146 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Kentucky — (Continued) | |||
$ 300,000 | Louisville & Jefferson County, KY, Metropolitan Government Health System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/23 | $ 336,696 | |
500,000 | McCracken County, KY,School District Finance Corp, Revenue Bonds, Series A (State Aid Intercept), 2.500% due 7/1/21 | 506,690 | |
1,031,558 | |||
Louisiana — 2.4% | |||
300,000 | Ernest N Morial-New Orleans, LA, Exhibition Hall Authority, Special Tax, Refunding, 5.000% due 7/15/21 | 308,646 | |
400,000 | Louisiana State, General Obligation Unlimited, Series A, 4.000% due 9/1/21 | 412,292 | |
500,000 | New Orleans, LA, Sewage Service Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/22 | 534,085 | |
1,255,023 | |||
Maryland — 1.1% | |||
500,000 | Maryland State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/24 | 587,390 | |
Massachusetts — 0.6% | |||
300,000 | Massachusetts State, MA, General Obligation Limited, Refunding, Series B, 5.000% due 1/1/21 | 302,307 | |
Michigan — 5.6% | |||
400,000 | Detroit, MI, City School District, General Obligation Unlimited, Series A, (QSBLF Insured), 6.000% due 5/1/21 | 411,072 | |
425,000 | Maple Valley, MI, Schools, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/23 | 460,045 | |
500,000 | Michigan State Building Authority, Revenue Bonds, 0.461% due 10/15/22 | 501,030 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/23 | 221,868 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 227,408 | |
250,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Taxable-Refunding-Trainity Health Credit Group, Series T, 2.208% due 12/1/23 | 259,053 | |
500,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/441 | 528,425 | |
400,000 | Ypsilanti, MI, School District, General Obligation Unlimited, Refunding, Series B, (QSBLF Insured), 2.250% due 5/1/21 | 403,096 | |
3,011,997 | |||
Minnesota — 1.6% | |||
500,000 | Minneapolis-St Paul Metropolitan Airports Commission, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/25 | 578,045 | |
250,000 | St. Paul, MN, Housing & Redevelopment Authority Health Care, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/21 | 257,042 | |
835,087 | |||
Mississippi — 1.0% | |||
500,000 | Mississippi State, Development Bank, Special Obligation, Jackson Public School District Project, Revenue Bonds, Refunding, Series A, 5.000% due 4/1/21 | 509,290 | |
Nebraska — 0.2% | |||
100,000 | City of Lincoln NE Electric System Revenue, Revenue Bonds, Series B, 0.399% due 9/1/23 | 99,759 |
147 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — 2.3% | |||
$ 525,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, Series NN, 5.000% due 3/1/22 | $ 553,702 | |
180,000 | New Jersey State Turnpike Authority, Revenue Bonds ,Series B, 5.000% due 1/1/23 | 197,310 | |
500,000 | New Jersey State Turnpike Authority, Revenue Bonds, Refunding, Series C-1, (1M USD LIBOR * 0.7+ 0.34%), 0.444% due 1/1/213 | 499,880 | |
1,250,892 | |||
New York — 7.4% | |||
615,000 | City of New York, General Obligation Unlimited,Refunding, Series B, 5.000% due 8/1/23 | 689,563 | |
500,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, 2.800% due 11/1/23 | 531,445 | |
New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series A: | |||
125,000 | 4.000% due 12/15/22 | 134,508 | |
250,000 | 5.000% due 3/15/24 | 288,120 | |
New York State Dormitory Authority, Sales Tax Revenue, Revenue Bonds, Series 2015B-A: | |||
210,000 | 5.000% due 3/15/23 | 232,783 | |
150,000 | 5.000% due 3/15/24 | 172,872 | |
New York State Urban Development Corp., Personal Income Tax, Revenue Bonds: | |||
250,000 | 5.000% due 3/15/22 | 265,942 | |
365,000 | 0.720% due 3/15/23 | 366,967 | |
240,000 | New York State Urban Development Corp., Personal Income Tax,Revenue Bonds, Series D, 5.000% due 3/15/21 | 244,138 | |
350,000 | New York, Metropolitan Transportation Authority Revenue, Dedicated Tax Fund, Series A, 5.255% due 11/15/22 | 371,161 | |
310,000 | Port Authority of New York and New Jersey, Revenue Bonds, 1.086% due 7/1/23 | 313,515 | |
295,000 | Triborough Bridge and Tunnel Authority, General Revenue Bonds, Refunding, Series A, 5.000% due 11/15/24 | 345,870 | |
3,956,884 | |||
North Carolina — 0.2% | |||
100,000 | New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/21 | 104,085 | |
Ohio — 5.2% | |||
City of Akron OH Income Tax Revenue, Revenue Bonds: | |||
355,000 | 4.000% due 12/1/22 | 381,891 | |
360,000 | 4.000% due 12/1/23 | 399,053 | |
500,000 | Lake, OH, Local School District Wood County, General Obligation Unlimited, Refunding, (School District Credit Program), 2.000% due 12/1/20 | 500,695 | |
265,000 | Ohio State University, General Receipts Athens, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/20 | 265,959 | |
325,000 | Ohio State, Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 360,279 | |
425,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/15/23 | 447,117 | |
390,000 | State of Ohio, General Obligation Unlimited, Series C, 5.000% due 3/1/24 | 450,610 | |
2,805,604 | |||
Pennsylvania — 16.4% | |||
370,000 | Allegheny County, PA, Sanitary Authority, Revenue Bonds, Refunding, 5.000% due 12/1/20 | 371,343 | |
475,000 | Allegheny County, PA, General Obligation Unlimited, Refunding, Series C-75, 4.000% due 11/1/21 | 492,100 |
148 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$ 325,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Refunding University of Pittsburgh Center Series A, 5.000% due 7/15/25 | $ 389,357 | |
300,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Series A, 5.000% due 7/15/23 | 335,274 | |
Bensalem Township, PA, School District, General Obligation, Taxable Refunding: | |||
145,000 | 1.835% due 6/1/21 | 145,696 | |
175,000 | 1.855% due 6/1/22 | 177,237 | |
160,000 | 1.917% due 6/1/23 | 163,350 | |
215,000 | 1.972% due 6/1/24 | 221,284 | |
400,000 | Bucks County, PA, Centennial School District, General Obligation Limited, Refunding, Series B, (State Aid Withholding), 5.000% due 12/15/21 | 421,312 | |
675,000 | City of Philadelphia PA, General Obligation Unlimited, Refunding, 5.000% due 8/1/22 | 725,355 | |
515,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, AMT Refunding, Series B, 5.000% due 7/1/24 | 590,267 | |
750,000 | Delaware Valley Regional Finance Authority, Revenue Bonds, 5.000% due 11/1/242 | 879,150 | |
460,000 | East Norriton-Plymouth-Whitpain Joint Sewer Authority, Revenue Bonds, Refunding, 0.904% due 8/1/23 | 459,430 | |
400,000 | Lehigh Country, PA, General Purpose Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 445,912 | |
425,000 | Montgomery County, PA, Higher Education and Health Authority, Revenue Bonds, Refunding, 5.000% due 9/1/23 | 474,882 | |
100,000 | Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding, 4.000% due 12/1/22 | 103,842 | |
380,000 | Pennsylvania State Turnpike Authority, Revenue Bonds, Refunding, 5.000% due 12/1/22 | 416,978 | |
500,000 | Pennsylvania State University, Taxable, Revenue Bonds, Series B, 1.780% due 9/1/25 | 522,250 | |
275,000 | Pennsylvania State University, Tax-Exempt, Revenue Bonds, Series E, 5.000% due 3/1/24 | 317,045 | |
200,000 | Philadelphia, PA, School District, General Obligation Ltd, Series A (State Aid Withholding), 5.000% due 9/1/23 | 224,074 | |
300,000 | Pittsburgh, PA, Public Parking Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/23 | 339,729 | |
200,000 | Pittsburgh, PA, School District, General Obligation Unlimited, Refunding, Series A, (State Aid Withholding), 5.000% due 9/1/22 | 207,748 | |
355,000 | State Public School Building Authority Paclg, Revenue Bonds, Refunding-Community College of Allegheny Co. Project, Series B (BAM), 4.000% due 7/15/22 | 375,817 | |
8,799,432 | |||
Rhode Island — 0.8% | |||
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 | 426,948 | |
South Carolina — 0.7% | |||
350,000 | Charleston Educational Excellence Finance Corp., Revenue Bonds, 0.527% due 12/1/22 | 349,478 | |
South Dakota — 0.4% | |||
230,000 | South Dakota State Building Authority, Revenue Bonds, Refunding, Series B, 0.676% due 9/1/23 | 229,494 |
149 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Tennessee — 1.8% | |||
Tennessee, TN, Housing Development Agency Residential Finance Program Revenue, Revenue Bonds: | |||
$ 370,000 | 1.800% due 7/1/21 | $ 373,245 | |
600,000 | 1.400% due 1/1/22 | 605,730 | |
978,975 | |||
Texas — 9.9% | |||
Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, (PSF Guaranteed): | |||
200,000 | 4.000% due 2/15/21 | 201,950 | |
325,000 | 5.000% due 8/15/22 | 350,324 | |
310,000 | 5.000% due 8/15/23 | 347,101 | |
100,000 | Central Texas Regional Mobility Authority, Revenue Bonds, Series C, 1.345% due 1/1/24 | 99,321 | |
500,000 | Cities of Dallas and Fort Worth International Airport, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/24 | 586,750 | |
100,000 | City of Houston TX Airport System Revenue, Revenue Bonds, 1.054% due 7/1/23 | 100,023 | |
490,000 | Dallas, TX, Independent School District, General Obligation Unlimited, Series B-5, (PSF Guaranteed), 5.000% due 2/15/361 | 496,443 | |
300,000 | Harris County, TX, Senior Lien, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/21 | 311,070 | |
170,000 | Harris County, TX, Toll Road Authority, Revenue Bonds, Refunding, 5.000% due 8/15/22 | 184,008 | |
225,000 | Houston, TX, Community College, General Obligation Limited, 5.000% due 2/15/23 | 248,992 | |
190,000 | North East, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 1.420% due 8/1/401 | 190,477 | |
695,000 | North Texas Tollway Authority, Revenue Bonds, 1.020% due 1/1/25 | 693,964 | |
500,000 | North Texas, Tollway Authority Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/23 | 548,880 | |
320,000 | Texas State, TX, A&M University Revenue, Revenue Bonds, Series B, Prerefunded 5/15/23 @ 100, 5.000% due 5/15/32 | 357,757 | |
565,000 | Texas, TX, College Student Loan, General Obligation Unlimited, 5.500% due 8/1/21 | 587,046 | |
5,304,106 | |||
Virginia — 1.4% | |||
200,000 | County of Fairfax VA,General Obligation Unlimited, Refunding, Series B (State Aid Withholding), 0.645% due 10/1/25 | 199,592 | |
500,000 | Virginia College Building Authority, Revenue Bonds, 5.000% due 2/1/23 | 553,125 | |
752,717 | |||
Washington — 5.7% | |||
425,000 | Central Puget Sound Regional Transit Authority, Revenue Bonds, Refunding ,Series S-1, 5.000% due 11/1/25 | 462,927 | |
350,000 | Chelan County, WA, Public Utility District No 1, Revenue Bonds, Refunding, Series A (NPFG Insured), 0.000% due 6/1/234 | 343,469 | |
575,000 | District of Columbia, DC, Income Tax Secured, Revenue Bonds, 5.000% due 3/1/23 | 638,066 | |
550,000 | Energy Northwest, WA, Taxable Columbia Generating Electicity Reveune, Revenue Bonds, Series E, 2.803% due 7/1/21 | 559,036 | |
425,000 | Klickitat Country, WA, Public Utility Distic, Revenue Bonds, Refunding, Series B (AGMC Insured), 2.277% due 12/1/23 | 436,964 | |
125,000 | Lewis County, WA, Public Utility District No 1, Cowlitz Falls Hydroelectric Project, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 136,364 |
150 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Washington — (Continued) | |||
Washington State Housing Finance Commission, Revenue Bonds, AMT - Refunding, Series 2A (GNMA / FNMA / FHLMC): | |||
$ 125,000 | 1.650% due 6/1/21 | $ 125,560 | |
110,000 | 1.700% due 12/1/21 | 110,916 | |
225,000 | Whatcom County,WA, School District No. 502 Ferndale, General Obligation Unlimited, Refunding, 3.000% due 12/1/21 | 231,730 | |
3,045,032 | |||
Wisconsin — 1.8% | |||
215,000 | Eau Claire WI, General Obligation Unlimited, Series D, 1.400% due 4/1/24 | 219,036 | |
150,000 | Wisconsin Housing and Economic Development Authority, Revenue Bonds, Series A, 1.550% due 11/1/381 | 150,125 | |
250,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/23 | 282,642 | |
300,000 | Wisconsin State, WI, Transportation Revenue, Revenue Bonds, Series 2, 5.000% due 7/1/23 | 323,607 | |
975,410 | |||
Wyoming — 0.8% | |||
400,000 | Wyoming State, Community Development Authority, Revenue Bonds, Series 1, 1.950% due 12/1/22 | 410,644 | |
TOTAL MUNICIPAL BONDS (Cost $49,740,862) | 50,434,177 | ||
Shares | |||
REGISTERED INVESTMENT COMPANIES* — 1.7% | |||
41,460 | BlackRock Municipal 2020 Term Trust5 | 621,900 | |
4,500 | VanEck Vectors High-Yield Municipal Index ETF | 267,525 | |
TOTAL REGISTERED INVESTMENT COMPANIES (Cost $901,685) | 889,425 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 3.9% | |||
2,062,165 | With Fixed Income Clearing Corp., dated 10/30/20, 0.00%, principal and interest in the amount of $2,062,165, due 11/2/20, (collateralized by a U.S. Treasury Note with a par value of $2,085,700, coupon rate of 0.500%, due 03/15/2023, market value of $2,103,455) | 2,062,165 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,062,165) | 2,062,165 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.0% | |||
26,350 | State Street Navigator Securities Lending Government Money Market Portfolio6 | 26,350 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $26,350) | 26,350 | ||
TOTAL INVESTMENTS (Cost $53,390,256) | 101.0% | $54,072,588 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.0) | (547,940) | |
NET ASSETS | 100.0% | $53,524,648 |
151 |
* | Percentages indicated are based on net assets. |
1 | 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, 2020. |
2 | When-issued security. |
3 | Floating Rate Bond. Rate shown is as of October 31, 2020. |
4 | Zero Coupon Bond. |
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 |
AMT — Alternative Minimum Tax |
BAM — Build America Mutual |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association |
NPFG — National Public Finance Guarantee Corporation |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
152 |
% of Net Assets | Value | ||
SECTOR: | |||
Municipal Bonds | 94.2% | $ 50,434,177 | |
Registered Investment Companies | 1.7 | 889,425 | |
Corporate Notes | 1.2 | 660,471 | |
TOTAL | 97.1% | $51,984,073 | |
REPURCHASE AGREEMENT | 3.9 | 2,062,165 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.0 | 26,350 | |
TOTAL INVESTMENTS | 101.0% | $54,072,588 |
153 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 98.6% | |||
Alabama — 1.2% | |||
$ 500,000 | Jefferson County, AL, Sewer Revenue Warrants, Series E, 0.000% due 10/1/341 | $ 211,515 | |
500,000 | Jefferson County, AL, Sewer Revenue, Series B, (AGMC Insured), 0.000% due 10/1/251 | 453,990 | |
1,070,000 | Jefferson County, AL, Sewer Revenue, Series D, Warrants, 6.000% due 10/1/42 | 1,239,381 | |
500,000 | Montgomery, AL, Medical Clinic, Board Health Care Facility Revenue, Refunding, 5.000% due 3/1/30 | 565,995 | |
250,000 | Selma Industrial Development Board, Gulf Opportunity Zone Revenue, Revenue Bonds, Series A, 2.000% due 11/1/332 | 259,857 | |
2,730,738 | |||
Alaska — 0.6% | |||
1,150,000 | Alaska State, Housing Finance Corp., Revenue Bonds, Series A, 4.000% due 12/1/48 | 1,272,728 | |
Arizona — 2.8% | |||
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/473 | 319,281 | |
500,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/323 | 514,975 | |
Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/493 | 257,652 | |
125,000 | 5.000% due 7/15/493 | 134,944 | |
250,000 | 4.000% due 7/15/503 | 239,093 | |
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/383 | 326,904 | |
738,479 | Arizona State, Industrial Development Authority, Municipal Certificates, Revenue Bonds, Series A, 3.625% due 5/20/33 | 770,463 | |
60,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, 5.000% due 7/1/23 | 62,482 | |
250,000 | Glendale, AZ, Industrial Development Authority, Senior Living Facility, Revenue Bonds, 5.000% due 5/15/39 | 260,517 | |
750,000 | Maricopa County, AZ, Industrial Development Authority, Educational Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/363 | 807,285 | |
375,000 | Maricopa County, AZ, Industrial Development Authority, Revenue Bonds, Series A, 6.000% due 7/1/523 | 421,676 | |
250,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, 5.000% due 7/1/453 | 261,062 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding, 5.000% due 7/1/353 | 530,155 | |
Phoenix, AZ, Industrial Development Authority, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
250,000 | 5.750% due 7/1/243 | 267,565 | |
500,000 | 6.750% due 7/1/443 | 558,085 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/463 | 522,760 | |
135,000 | Pima, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, 5.000% due 6/15/493 | 137,356 | |
150,000 | Tempe, AZ, Industrial Development Authority, Revenue Bonds, 5.000% due 12/1/54 | 145,928 | |
6,538,183 |
154 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — 4.8% | |||
$2,500,000 | California Educational Facilities Authority, Revenue Bonds, Series V-1, 5.000% due 5/1/49 | $ 3,921,825 | |
250,000 | California Public Finance Authority, Revenue Bonds, Refunding, 5.000% due 10/15/47 | 275,000 | |
295,044 | California State, Housing Finance Agency Municipal Certificates, Revenue Bonds, Series A, 4.250% due 1/15/35 | 331,827 | |
California State, Municipal Finance Authority, Educational Revenue, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 401,238 | |
500,000 | 5.000% due 6/1/46 | 546,550 | |
300,000 | California State, Municipal Finance Authority, Revenue Bonds, Series A, 5.000% due 11/1/463 | 312,603 | |
335,000 | California State, School Financing Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/523 | 360,594 | |
250,000 | California State, Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, 5.000% due 5/15/29 | 283,215 | |
500,000 | California State, Statewide Communities Development Authority, Revenue Bonds, Series A, 5.250% due 12/1/563 | 549,890 | |
845,000 | California State, Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 857,692 | |
1,000,000 | Golden, ST, Tobacco Securitization Corp., Tabacco Settelment, Revenue Bonds, Series B, 0.000% due 6/1/471 | 211,970 | |
600,000 | Hastings Campus Housing Finance Authority, Revenue Bonds, 5.000% due 7/1/45 | 625,152 | |
720,000 | Madera, CA, Unified School District, General Obligation Unlimited, (NPFG Insured), 0.000% due 5/1/301 | 615,276 | |
500,000 | Oroville, CA, Revenue Bonds, 5.250% due 4/1/54 | 535,335 | |
500,000 | River Islands, CA, Public Financing Authority, Special Tax, Series A, 5.000% due 9/1/48 | 550,155 | |
1,000,000 | Riverside County, Redevelopment Successor Agency, Revenue Bonds, Series B, 0.000% due 10/1/391 | 621,990 | |
200,000 | Seal Beach, CA, Community Facilities District No. 2005-1, Special Tax, Refunding, 3.000% due 9/1/29 | 206,434 | |
11,206,746 | |||
Colorado — 10.6% | |||
500,000 | Amber Creek, Metropolitan District, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | 505,195 | |
1,000,000 | Arista, CO, Metropolitan District, General Obligation Limited, Series A, 4.375% due 12/1/28 | 1,046,950 | |
Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 10/1/33 | 580,910 | |
400,000 | 5.000% due 10/1/43 | 450,976 | |
500,000 | Base Village Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 516,820 | |
500,000 | Belleview Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, 5.000% due 12/1/36 | 508,395 | |
500,000 | Big Dry Creek, Metropolitan District, General Obligation Limited, Series A, 5.750% due 12/1/47 | 522,080 | |
350,000 | Bradburn, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 358,326 | |
525,000 | Broadway Park North Metropolitan District No 2, General Obligation, 5.000% due 12/1/493 | 535,820 | |
775,000 | Broadway Station Metropolitan District No 3, General Obligation, Ltd., 5.000% due 12/1/49 | 799,288 |
155 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$ 750,000 | Buffalo Ridge, CO, Metropolitan District, General Obligation Limited, Series B, 7.375% due 12/15/47 | $ 763,425 | |
500,000 | Clear Creek Station, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 508,800 | |
625,000 | Colorado International Center, CO, Metropolitan District No. 14, General Obligation Limited, 5.875% due 12/1/46 | 658,819 | |
Colorado State, Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding: | |||
500,000 | 5.000% due 1/1/31 | 534,940 | |
275,000 | 5.000% due 12/1/33 | 301,329 | |
400,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Refunding, 5.000% due 1/1/37 | 423,224 | |
700,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding, Prerefunded 6/1/27 @ 100, 5.000% due 6/1/37 | 897,834 | |
250,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Series A, 4.000% due 9/1/50 | 267,938 | |
660,000 | Colorado State, Health Facilities Authority, Refunding, Series A, Prerefunded 6/1/25 @ 100, 5.000% due 6/1/45 | 798,580 | |
165,000 | Colorado State, Health Facilities Authority, Revenue Bonds, Prerefunded 6/1/23 @ 100, 5.625% due 6/1/43 | 187,453 | |
425,000 | Colorado State, Housing and Finance Authority, Non Amount Non ACE SF Mortgage, Revenue Bonds, Series C, (GNMA Insured), 4.250% due 11/1/48 | 472,052 | |
300,000 | Copper Ridge Metropolitan District, Revenue Bonds, 4.000% due 12/1/29 | 282,681 | |
250,000 | Denver, CO, Urban Renewal Authority, Tax Increment Revenue, Series A, 5.250% due 12/1/393 | 256,788 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/293 | 571,444 | |
500,000 | Dinosaur Ridge Metropolitan District, CO, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | 505,005 | |
150,000 | E-470, CO, Public Highway Authority, Revenue Bonds, Refunding, Series B, (1M USD LIBOR * 0.67 + 1.05%), 1.147% due 9/1/394 | 150,129 | |
1,000,000 | Gardens on Havana, CO, Metropolitan District No. 3, Revenue Bonds, Series A, 4.625% due 12/1/27 | 1,031,310 | |
945,000 | Harmony Technology Park, Metropolitan District No. 2, General Obligation Limited, 4.500% due 12/1/32 | 959,544 | |
500,000 | Hunters Overlook, CO, Metropolitan District No. 5, General Obligation Limited, Series A, 5.000% due 12/1/49 | 514,525 | |
500,000 | Independence Metropolitan District No 3, General Obligation Limited, Series A, 6.250% due 12/1/49 | 525,420 | |
500,000 | Leyden Ranch, Metropolitan District, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 510,765 | |
750,000 | Leyden Rock, Metropolitan District No. 10, General Obligation Limited, Series A, 5.000% due 12/1/45 | 769,177 | |
500,000 | Midcities Metropolitan District No. 2, CO, Special Revenue, Revenue Bonds, Refunding, Series B, 7.750% due 12/15/46 | 509,015 | |
144,000 | Mountain Shadows, CO, Metropolitan District, General Obligation Limited, 3.250% due 12/1/20 | 144,078 | |
500,000 | Parkside, CO, Centre Business Improvement District, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 510,490 | |
500,000 | Serenity Ridge, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/43 | 512,150 | |
750,000 | Solaris, CO, Metropolitan District No. 3, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/36 | 771,960 |
156 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
Southglenn, CO, Metropolitan District, Special Revenue, General Obligation Limited, Refunding: | |||
$ 347,000 | 3.000% due 12/1/21 | $ 345,838 | |
750,000 | 5.000% due 12/1/30 | 774,150 | |
Southlands, CO, Metropolitan District No. 1, General Obligation Unlimited, Series A-2: | |||
215,000 | 3.500% due 12/1/27 | 219,418 | |
325,000 | 5.000% due 12/1/47 | 341,377 | |
555,000 | STC Metropolitan District No 2, General Obligation, Ltd., 3.000% due 12/1/25 | 540,403 | |
500,000 | Tallyns Reach, CO, Metropolitan District No. 3, General Obligation Limited, Series A, 6.750% due 11/1/38 | 510,980 | |
520,000 | Thompson Crossing Metropolitan District No. 4, General Obligation Limited, Refunding, 3.500% due 12/1/29 | 515,559 | |
Vauxmont Metropolitan District, General Obligation Ltd, (AGMC Insured): | |||
250,000 | 5.000% due 12/1/32 | 317,715 | |
160,000 | 5.000% due 12/15/32 | 185,216 | |
250,000 | Village Metropolitan District (The), General Obligation, Ltd., 5.000% due 12/1/40 | 259,925 | |
500,000 | Westcreek Metropolitan District No 2, General Obligation Limited, Series A, 5.375% due 12/1/48 | 513,815 | |
24,688,031 | |||
Connecticut — 0.9% | |||
450,000 | Connecticut State Health & Educational Facilities Authority Revenue, Revenue Bonds, Series A-1, 5.000% due 10/1/393 | 458,221 | |
425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/533 | 432,272 | |
165,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, 5.000% due 7/1/503 | 174,580 | |
125,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 1/1/553 | 131,111 | |
250,000 | Harbor Point, CT, Infrastructure Improvement District, Special Obligation Revenue, Tax Allocation, Refunding, 5.000% due 4/1/303 | 275,728 | |
700,000 | Mohegan Tribe of Indians, CT, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/263 | 729,673 | |
2,201,585 | |||
District Of Columbia — 0.9% | |||
225,000 | District of Columbia, KIPP DC Obligated Group, Revenue Bonds, Series A, 5.000% due 7/1/27 | 269,658 | |
3,415,000 | District of Columbia, Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/461 | 707,212 | |
2,000,000 | Metropolitan Washington, DC, Airports Authority Dulles Toll Road Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/401 | 1,078,280 | |
2,055,150 | |||
Florida — 5.4% | |||
Atlantic, FL, Beach Floating Healthcare Facilities, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 553,384 | |
250,000 | 5.000% due 11/15/53 | 265,968 | |
250,000 | Capital Trust Agency Inc, Revenue Bonds, 5.000% due 10/15/493 | 255,588 | |
255,000 | Capital Trust Agency, FL, Educational Facilities Lease, Revenue Bonds, 5.000% due 12/15/503 | 267,686 |
157 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$ 220,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | $ 232,129 | |
160,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/373 | 166,566 | |
300,000 | Escambia County, FL, Health Facilities Authority, Revenue Bonds, Refunding, Series A, 4.000% due 8/15/45 | 318,825 | |
145,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Series C, 5.000% due 9/15/503 | 153,090 | |
550,000 | Florida Development Finance Corp., Healthcare Facilities Revenue, University of Florida Health Project, Series A, 6.000% due 2/1/33 | 577,561 | |
200,000 | Florida State Higher Educational Facilities Financial Authority, Jacksonville University Project, Revenue Bonds, Series A-1, 5.000% due 6/1/483 | 198,806 | |
1,305,000 | Florida State Housing Finance Corp., Revenue Bonds, Series 1 (GNMA/FNMA/FHLMC Insured), 4.000% due 7/1/49 | 1,423,651 | |
900,000 | Gainesville, FL, Utilities Systems Revenue, Revenue Bonds, Refunding, Series C, 0.140% due 10/1/472 | 900,000 | |
250,000 | Jacksonville, FL, Educational Facilities Revenue, Jacksonville University Project, Revenue Bonds, Series B, 5.000% due 6/1/533 | 246,430 | |
300,000 | Lakewood Ranch, FL, Stewardship District, Special Assessment Revenue, 5.375% due 5/1/47 | 326,067 | |
500,000 | Lee County, FL, Industrial Development Authority, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 546,590 | |
1,250,000 | North Broward, FL, Hospital District, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/48 | 1,399,987 | |
750,000 | Orange County, FL, Health Facilities Authority Revenue, 5.000% due 8/1/40 | 828,765 | |
1,000,000 | Orange County, FL, Health Facilities Authority, Revenue Bonds, Refunding, 5.000% due 8/1/41 | 1,089,400 | |
145,000 | Palm Beach County Health Facilities Authority, Revenue Bonds, 5.000% due 6/1/55 | 149,325 | |
55,000 | Palm Beach County, FL, Health Facilities Authority, Lifespace Communities, Revenue Bonds, Refunding, Series C, 5.000% due 5/15/25 | 60,289 | |
5,000 | Palm Beach County, Health Facilities Authority, Revenue Bonds, Series B, 5.000% due 11/15/42 | 5,835 | |
Sarasota County, FL, Health Facilities Authority, Retirement Facilities Revenue, Revenue Bonds, Series A: | |||
550,000 | 5.000% due 1/1/37 | 586,327 | |
250,000 | 5.000% due 1/1/42 | 264,885 | |
500,000 | Southeast Overtown Park West Community Redevelopment Agency, FL, Series A-1, 5.000% due 3/1/303 | 553,165 | |
165,000 | Town Center at Palm Coast, FL, Community Development District, Special Assessment, 6.000% due 5/1/36 | 165,056 | |
Winter Garden Village at Fowler Groves, FL, Community Development District, Special Assessment, Refunding: | |||
500,000 | 3.750% due 5/1/31 | 512,485 | |
500,000 | 4.125% due 5/1/37 | 512,480 | |
12,560,340 | |||
Georgia — 1.0% | |||
250,000 | Burke County, GA, Development Authority, Pollution Control Revenue, Revenue Bonds, Series REMK, 1.650% due 11/1/482 | 251,620 | |
375,000 | DeKalb County, GA, Housing Authority, Senior Living Revenue, Revenue Bonds, Refunding, Series A, 5.250% due 1/1/543 | 289,226 |
158 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Georgia — (Continued) | |||
$ 125,000 | Development Authority of Monroe County (The), Revenue Bonds, 1.500% due 1/1/392 | $ 126,430 | |
490,000 | Georgia Housing & Finance Authority, Revenue Bonds, 4.000% due 6/1/50 | 555,680 | |
200,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series A, 5.000% due 7/1/60 | 221,516 | |
200,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series B, 5.000% due 1/1/59 | 233,332 | |
210,000 | Houston Healthcare System, Inc., Revenue Bonds, 5.000% due 10/1/312 | 222,701 | |
340,000 | Macon-Bibb County, GA, Urban Development Authority, Revenue Bonds, 5.750% due 6/15/373 | 352,257 | |
2,252,762 | |||
Guam — 0.3% | |||
175,000 | Guam Department of Education, Certificate Participation, 5.000% due 2/1/40 | 178,229 | |
500,000 | Guam Power Authority, Revenue Bonds, Series A (AGM Insured), 5.000% due 10/1/22 | 539,185 | |
717,414 | |||
Idaho — 0.6% | |||
500,000 | Idaho Health Facilities Authority, Revenue Bonds, Series A, 4.750% due 7/1/443 | 537,750 | |
250,000 | Idaho State, Health Facilities Authority Revenue, Kootenai Health Project, Revenue Bonds, Series A, 4.375% due 7/1/343 | 269,570 | |
Idaho State, Housing and Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A: | |||
365,000 | 6.000% due 7/1/393 | 415,060 | |
250,000 | 5.000% due 7/1/403 | 262,805 | |
1,485,185 | |||
Illinois — 15.3% | |||
250,000 | Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | 247,515 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A: | |||
1,000,000 | 0.000% due 12/1/311 | 679,350 | |
750,000 | 5.000% due 12/1/41 | 755,535 | |
400,000 | 7.000% due 12/1/463 | 493,576 | |
325,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (AGM, AMBAC Insured), 5.500% due 12/1/31 | 429,149 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (NPFG Insured): | |||
500,000 | 0.000% due 12/1/251 | 438,315 | |
170,000 | 5.500% due 12/1/26 | 192,972 | |
600,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B, 7.000% due 12/1/423 | 744,666 | |
210,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B-1 (NPFG Insured), 0.000% due 12/1/201 | 209,660 | |
1,030,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/311 | 699,730 | |
640,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series C, 5.250% due 12/1/39 | 673,210 | |
500,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 526,170 | |
600,000 | Chicago, IL, General Obligation Unlimited, (NPFG Insured), 0.000% due 1/1/311 | 427,446 |
159 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
Chicago, IL, General Obligation Unlimited, Refunding, Series A: | |||
$ 150,000 | 5.000% due 1/1/30 | $ 157,455 | |
250,000 | 5.750% due 1/1/33 | 270,227 | |
1,195,000 | 6.000% due 1/1/38 | 1,305,884 | |
250,000 | Chicago, IL, General Obligation Unlimited, Refunding, Series C, 5.000% due 1/1/24 | 261,588 | |
410,000 | Chicago, IL, General Obligation Unlimited, Series C, 0.000% due 1/1/311 | 270,493 | |
305,000 | Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 384,913 | |
500,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, 5.000% due 11/1/24 | 544,515 | |
150,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, (AMBAC Insured), 5.750% due 11/1/30 | 184,980 | |
500,000 | Cook County, IL, Community College District No. 508, General Obligation Unlimited, 5.250% due 12/1/43 | 521,740 | |
400,000 | Illinois State Finance Authority, Christian Homes, Inc., Revenue Bonds, 5.000% due 5/15/36 | 422,928 | |
150,000 | Illinois State Finance Authority, Presbyterian Homes, Revenue Bonds, Series B, (1M USD LIBOR * 0.70 + 1.35%), 1.454% due 5/1/364 | 150,012 | |
860,000 | Illinois State Finance Authority, Recovery Zone Facility, Navistar International Corp., Project, Revenue Bonds, Refunding, 4.750% due 10/15/402,3 | 872,006 | |
350,000 | Illinois State Finance Authority, Revenue Bonds, 4.000% due 7/1/35 | 394,817 | |
Illinois State Finance Authority, Revenue Bonds, Refunding: | |||
230,000 | 5.000% due 12/1/40 | 260,728 | |
250,000 | 5.000% due 12/1/46 | 280,115 | |
150,000 | Illinois State Finance Authority, Revenue Bonds, Refunding, Lifespace Communities Project, Series A, 5.000% due 5/15/22 | 155,859 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 7/1/35 | 347,274 | |
250,000 | 5.000% due 8/15/37 | 313,562 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series C: | |||
1,000,000 | 5.000% due 2/15/31 | 1,220,790 | |
1,000,000 | 4.125% due 8/15/37 | 1,065,030 | |
500,000 | Illinois State Finance Authority, Silver Cross Hospital & Medical Center, Revenue Bonds, Series C, 5.000% due 8/15/44 | 551,025 | |
Illinois State Finance Authority, Student Housing Revenue, Dekalb II Northern Illinois, Revenue Bonds: | |||
395,000 | 5.750% due 10/1/21 | 402,568 | |
250,000 | 6.875% due 10/1/43 | 254,980 | |
500,000 | Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, 6.000% due 10/1/24 | 511,595 | |
Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 222,910 | |
500,000 | 5.000% due 7/1/47 | 415,995 | |
1,035,000 | Illinois State Finance Authority, Swedish Covenant Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/34 | 1,298,149 | |
455,000 | Illinois State Housing Development Authority, Revenue Bonds, Refunding, Series A (GNMA / FNMA / FHLMC Insured), 4.250% due 10/1/49 | 510,069 | |
575,000 | Illinois State Housing Development Authority, Revenue Bonds, Refunding, Series C, 3.500% due 8/1/46 | 616,889 |
160 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$ 475,000 | Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | $ 516,667 | |
Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, (BAM Insured): | |||
620,000 | 5.000% due 6/15/28 | 752,457 | |
250,000 | 5.000% due 6/15/30 | 294,310 | |
Illinois State Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured): | |||
500,000 | 0.000% due 6/15/231 | 468,260 | |
415,000 | 0.000% due 6/15/261 | 353,572 | |
500,000 | Illinois State University, Revenue Bonds, (AGMC Insured), 5.000% due 4/1/24 | 568,085 | |
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 | 341,258 | |
Illinois State, General Obligation Unlimited: | |||
500,000 | 5.000% due 1/1/30 | 530,855 | |
1,000,000 | 5.000% due 2/1/39 | 1,019,100 | |
200,000 | 5.000% due 1/1/41 | 205,026 | |
335,000 | 5.750% due 5/1/45 | 370,962 | |
1,000,000 | Illinois State, General Obligation Unlimited, Series C, 5.000% due 11/1/29 | 1,069,300 | |
1,000,000 | Illinois State, General Obligation Unlimited, Series D, 5.000% due 11/1/28 | 1,076,830 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding (BAM, NPFG Insured), 0.000% due 6/15/281 | 208,840 | |
1,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 6/15/361 | 572,690 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 6/15/271 | 432,120 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC Insured MBIA), 0.000% due 12/15/291 | 1,579,960 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Series B, 5.000% due 12/15/40 | 535,255 | |
250,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 4/1/221 | 242,138 | |
500,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series B1, 5.000% due 4/1/22 | 514,755 | |
State of Illinois, General Obligation Unlimited: | |||
250,000 | 4.000% due 10/1/33 | 246,765 | |
165,000 | 4.000% due 6/1/35 | 161,954 | |
500,000 | 4.000% due 10/1/42 | 475,425 | |
1,000,000 | University of Illinois, Auxiliary Facilities, Revenue Bonds, Series A, (AGMC Insured), 4.000% due 4/1/36 | 1,087,090 | |
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 | 537,910 | |
497,000 | Yorkville, IL, United City Special Service, Special Tax, (AGMC Insured), 3.000% due 3/1/25 | 536,427 | |
250,000 | Yorkville, IL, United City Special Service, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 266,722 | |
35,651,123 |
161 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Indiana — 1.4% | |||
Indiana Finance Authority, Midwestern Disaster Relief Revenue, Revenue Bonds, Ohio Valley Electric Corp. Project, Series A: | |||
$ 900,000 | 5.000% due 6/1/32 | $ 931,662 | |
300,000 | 5.000% due 6/1/39 | 308,784 | |
Indiana State Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A: | |||
345,000 | 5.750% due 11/15/28 | 363,996 | |
195,000 | 6.500% due 11/15/33 | 207,359 | |
600,000 | Indiana State Finance Authority, Revenue Bonds, Series A, 5.000% due 11/15/38 | 650,190 | |
Knox County, IN, Economic Development Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 4/1/23 | 313,866 | |
350,000 | 5.000% due 4/1/28 | 363,335 | |
3,139,192 | |||
Iowa — 0.8% | |||
500,000 | Iowa State, Finance Authority, Midwestern Disaster Relief Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, Series B, 5.250% due 12/1/502 | 526,210 | |
250,000 | Iowa State, Finance Authority, Revenue Bonds, 5.250% due 12/1/25 | 265,960 | |
250,000 | Iowa State, Finance Authority, Senior Housing Revenue, Revenue Bonds, Series A, 5.000% due 3/1/33 | 264,843 | |
690,000 | Tobacco Settlement Authority, IA, Revenue Bonds, Series C, 5.375% due 6/1/38 | 699,439 | |
1,756,452 | |||
Kansas — 0.1% | |||
30,000 | Wichita, KS, Sales Tax, Special Obligation Revenue, Revenue Bonds, Refunding, 3.000% due 9/1/23 | 30,432 | |
150,000 | Wyandotte County, Kansas City Unified Government, Revenue Bonds, 5.000% due 12/1/34 | 148,203 | |
60,000 | Wyandotte County, KS, Kansas City Unified Government, Wyandotte Plaza Project, Revenue Bonds, 4.000% due 12/1/28 | 58,064 | |
236,699 | |||
Kentucky — 1.2% | |||
305,000 | Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 319,149 | |
100,000 | City of Ashland KY, Revenue Bonds, 4.000% due 2/1/36 | 103,485 | |
785,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Revenue Bonds, Series B, 0.000% due 7/1/211 | 772,958 | |
100,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Series A, 6.000% due 7/1/53 | 108,818 | |
250,000 | Kentucky, KY, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 230,723 | |
Kentucky, KY, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Series B, (NPFG Insured): | |||
500,000 | 0.000% due 10/1/261 | 447,320 | |
500,000 | 0.000% due 10/1/271 | 433,660 | |
250,000 | Louisville & Jefferson County, KY, Metropolitan Government Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 295,337 | |
2,711,450 |
162 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Louisiana — 0.7% | |||
$ 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 | $ 275,763 | |
880,000 | Juban Crossing Economic Development District, LA, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/443 | 754,732 | |
500,000 | Louisiana State, Public Facilities Authority Revenue, Revenue Bonds, Louisiana State University Greenhouse District Phase III Project, Series A, 5.000% due 7/1/59 | 572,590 | |
1,603,085 | |||
Maryland — 1.4% | |||
1,125,000 | Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | 1,177,200 | |
150,000 | Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/36 | 157,682 | |
250,000 | Howard County, MD, Special Obligation, Revenue Bonds, Series A, 4.125% due 2/15/343 | 251,462 | |
360,000 | Maryland State, Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 407,956 | |
100,000 | Maryland State, Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 99,704 | |
250,000 | Maryland State, Economic Development Corp., Special Obligation, Tax Allocation, 4.500% due 7/1/44 | 242,197 | |
500,000 | Prince George’s County, MD, Revenue Authority, Suitland-Naylor Road Project, 5.000% due 7/1/463 | 523,345 | |
500,000 | Prince George’s County, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/483 | 493,245 | |
3,352,791 | |||
Michigan — 2.8% | |||
380,000 | Dearborn, MI, Economic Development Corp., Revenue Bonds, 7.500% due 11/15/443 | 287,880 | |
250,000 | Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 268,677 | |
280,000 | Flint, MI, Hospital Building Authority Rental, Revenue Bonds, Series A, 5.250% due 7/1/39 | 296,898 | |
735,000 | Grand Rapids Charter Township Economic Development Corp., Revenue Bonds, 5.000% due 5/15/44 | 794,586 | |
600,000 | Grand Rapids, MI, Economic Development Corp., Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/37 | 611,340 | |
Kentwood, MI, Economic Development Corp., Revenue Bonds, Refunding: | |||
50,000 | 4.500% due 11/15/21 | 51,076 | |
65,000 | 4.750% due 11/15/22 | 67,236 | |
250,000 | 5.000% due 11/15/37 | 266,453 | |
250,000 | 5.625% due 11/15/41 | 256,618 | |
6,000,000 | Michigan Finance Authority, Revenue Bonds, 0.000% due 6/1/651 | 683,160 | |
2,215,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series C, 4.250% due 6/1/49 | 2,452,869 | |
250,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/29 | 282,480 | |
200,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, Series CC, 1.450% due 9/1/302 | 200,706 | |
6,519,979 |
163 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Minnesota — 0.1% | |||
$ 240,000 | St. Paul, MN, Housing & Redevelopment Authority, Charter School Lease Revenue, Revenue Bonds, Series A, 5.500% due 7/1/383 | $ 259,543 | |
Mississippi — 0.8% | |||
1,920,000 | Mississippi Business Finance Corp., Revenue Bonds, 0.140% due 12/1/302 | 1,920,000 | |
Missouri — 1.6% | |||
430,000 | Cape Girardeau County, MO, Industrial Development Authority, Southeast Health, Revenue Bonds, Series A, 6.000% due 3/1/33 | 477,708 | |
250,000 | Health and Educational Facilities Authority of the State of Missouri, Revenue Bonds, 5.000% due 8/1/45 | 259,128 | |
80,000 | Lees Summit, MO, Special Obligation Tax Increment, Tax Allocation, Refunding, 3.500% due 11/1/233 | 78,893 | |
475,000 | Maryland Heights, MO, Industrial Development Authority, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 446,134 | |
100,000 | Missouri State Health & Educational Facilities Authority, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 110,271 | |
640,000 | Missouri State Health & Educational Facilities Authority, Revenue Bonds, 5.000% due 2/1/26 | 701,696 | |
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Series A: | |||
100,000 | 5.000% due 2/1/28 | 113,741 | |
250,000 | 5.000% due 2/1/42 | 274,828 | |
355,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | 390,695 | |
625,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 673,581 | |
150,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Revenue, Revenue Bonds, Refunding, 5.000% due 9/1/48 | 158,601 | |
3,685,276 | |||
Nebraska — 0.1% | |||
255,000 | Nebraska State, Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 280,778 | |
Nevada — 0.7% | |||
335,000 | Department of Business & Industry, NV, Revenue Bonds, Series A, 5.000% due 7/15/273 | 370,969 | |
290,000 | Las Vegas, NV, Sales Tax Increment Revenue, 3.500% due 6/15/253 | 289,965 | |
500,000 | Nevada State, Department of Business and Industry, Revenue Bonds, Series A, 5.000% due 12/15/483 | 513,585 | |
400,000 | North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 408,232 | |
1,582,751 | |||
New Hampshire — 0.4% | |||
742,875 | National Finance Authority, Series 1, 4.125% due 1/20/34 | 808,805 | |
New Jersey — 5.7% | |||
500,000 | New Jersey Health Care Facilities Financing Authority Revenue, Revenue Bonds, St Peters Univerdity Hospital, 5.750% due 7/1/37 | 501,425 |
164 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — (Continued) | |||
$1,085,000 | New Jersey State Economic Development Authority Revenue, Refunding, School Facilities Construction, Revenue Bonds, Series NN, 5.000% due 3/1/24 | $ 1,173,612 | |
1,000,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 6/1/29 | 1,210,610 | |
175,000 | New Jersey State Economic Development Authority School Revenue, Beloved Community Chart School, Inc. Project, Revenue Bonds, Series A, 5.000% due 6/15/493 | 181,844 | |
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 | 391,178 | |
500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series I, (SIFMA MUNI SWAP INDEX + 1.60%), 1.720% due 3/1/284 | 494,770 | |
2,500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series XX, 5.000% due 6/15/25 | 2,829,575 | |
885,000 | New Jersey State Housing and Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 1,010,626 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
1,000,000 | 0.000% due 12/15/351 | 583,680 | |
1,300,000 | 0.000% due 12/15/391 | 631,228 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A, (BAM Insured), 0.000% due 12/15/271 | 851,310 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series B, (NPFG Insured), 5.500% due 12/15/21 | 1,051,560 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured): | |||
185,000 | 0.000% due 12/15/321 | 130,655 | |
1,000,000 | 0.000% due 12/15/341 | 657,940 | |
500,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/351 | 298,420 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/311 | 709,260 | |
500,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/29 | 627,065 | |
13,334,758 | |||
New Mexico — 0.6% | |||
500,000 | New Mexico Hospital Equipment Loan Council First Mortgage, Revenue Bonds, LA Vida Llena Expansion Project, Series A, 5.000% due 7/1/49 | 514,715 | |
590,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 4.250% due 1/1/50 | 660,588 | |
125,000 | Santa Fe, NM, Retirement Facility Revenue, Revenue Bonds, Series A, 5.000% due 5/15/34 | 134,146 | |
1,309,449 | |||
New York — 4.5% | |||
1,100,000 | Brooklyn Arena Local Development Corp., Pilot Revenue, Revenue Bonds, Refunding, 5.000% due 7/15/42 | 1,197,592 | |
435,000 | Brooklyn Arena Local Development Corp., Revenue Bonds, 4.000% due 11/1/555 | 443,482 | |
County of Sullivan NY, Special Assessment: | |||
150,000 | 4.850% due 11/1/313 | 152,606 | |
500,000 | 5.350% due 11/1/493 | 506,205 | |
500,000 | Glen Cove, NY, Local Economic Assistance Corp., Revenue Bonds, Series C, 0.000% due 1/1/55 | 466,435 |
165 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — (Continued) | |||
$ 250,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series A, (SIFMA MUNI SWAP INDEX + 0.50%), 0.620% due 11/15/424 | $ 241,707 | |
Metropolitan Transportation Authority, NY, Revenue Bonds, Series C: | |||
250,000 | 4.750% due 11/15/45 | 264,535 | |
120,000 | 5.000% due 11/15/50 | 129,630 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D, 4.000% due 11/15/46 | 500,700 | |
Metropolitan Transportation Authority, Revenue Bonds: | |||
325,000 | 4.000% due 11/15/48 | 325,263 | |
175,000 | 4.000% due 11/15/49 | 175,142 | |
550,000 | Monroe County Industrial Development Corp/NY, Revenue Bonds, 5.000% due 1/1/40 | 570,482 | |
2,000,000 | New York City Water & Sewer System, Revenue Bonds, 0.140% due 6/15/442 | 2,000,000 | |
100,000 | New York City, NY, Industrial Development Agency, Revenue Bonds, (AMBAC Insured), 5.000% due 1/1/21 | 100,013 | |
2,000,000 | New York City, NY, Municipal Water Finance Authority, Water And Sewer Sytem Revenue, Revenue Bonds, Series A-2, 0.130% due 6/15/442 | 2,000,000 | |
700,000 | New York State, Dormitory Authority Revenue, Non State Supported Debt, Refunding, 5.000% due 12/1/323 | 809,270 | |
490,000 | New York State, Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 524,545 | |
10,407,607 | |||
North Carolina — 0.3% | |||
215,000 | North Carolina Medical Care Commission, Revenue Bonds, 5.000% due 7/1/34 | 233,694 | |
500,000 | North Carolina State, Medical Care Commission, Retirement Facilities Revenue, Revenue Bonds, Series B, 5.000% due 4/1/47 | 479,470 | |
713,164 | |||
North Dakota — 0.2% | |||
500,000 | Ward County, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 547,230 | |
Ohio — 3.9% | |||
450,000 | American Municipal Power, Inc., OH, Combination Hydroelectric Project, Revenue Bonds, Series A, 2.250% due 2/15/482 | 451,750 | |
1,555,000 | Buckeye, OH, Tobacco Settlement Financing Authority, Revenue Bonds, Series B-2, 5.000% due 6/1/55 | 1,663,617 | |
7,320,000 | Buckeye, OH, Tobacco Settlement Financing Authority, Revenue Bonds, Series B-3, 0.000% due 6/1/571 | 1,036,366 | |
600,000 | Centerville, OH, Healthcare Revenue, Refunding, 5.250% due 11/1/50 | 612,306 | |
455,000 | Cuyahoga County, OH, Hospital Revenue, Refunding, 5.500% due 2/15/52 | 528,715 | |
450,000 | Franklin Contry, OH, Revenue Bonds, Series A, 4.000% due 12/1/38 | 517,419 | |
815,000 | Licking County, OH, Health Care Facilities Authority Revenue, Refunding, Series A, 6.000% due 7/1/50 | 567,036 | |
1,000,000 | Lucas County, OH, Hospital Revenue, Promedica Healthcare Obligated Group, Revenue Bonds, Refunding, Series A, 5.250% due 11/15/48 | 1,131,360 | |
475,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 12/1/505 | 510,378 |
166 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Ohio — (Continued) | |||
Southeastern Ohio Port Authority Hospital Facilities, Revenue Bonds: | |||
$ 300,000 | 5.750% due 12/1/32 | $ 313,659 | |
500,000 | 6.000% due 12/1/42 | 516,390 | |
State of Ohio, Revenue Bonds: | |||
250,000 | 5.000% due 12/1/283 | 278,197 | |
250,000 | 5.000% due 12/1/383 | 266,172 | |
300,000 | 5.000% due 12/1/483 | 313,356 | |
420,000 | State of Ohio, Revenue Bonds, Refunding, 5.000% due 12/1/333 | 454,121 | |
9,160,842 | |||
Oklahoma — 0.2% | |||
85,000 | Fort Sill Apache Tribe, OK, Economic Development Authority, Gaming Enterprise Revenue, Series A, 8.500% due 8/25/263 | 90,504 | |
250,000 | Oklahoma, ST, Development Finance Authority, Healthcare System, Revenue Bonds, Series B, 5.500% due 8/15/57 | 290,122 | |
380,626 | |||
Oregon — 0.2% | |||
125,000 | Clackamas County, Hospital Facility Authority, Oregon Senior Living, Revenue Bonds, Series A, 5.125% due 11/15/40 | 132,133 | |
395,000 | Polk County, Oregon Hospital Facility Authority, Revenue Bonds, Series A, 5.125% due 7/1/55 | 396,410 | |
528,543 | |||
Pennsylvania — 4.4% | |||
750,000 | Berks County Industrial Development Authority, Tower Health Project, Revenue Bonds, 5.000% due 11/1/47 | 788,617 | |
125,000 | Chester County, PA, Industrial Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/15/51 | 135,499 | |
500,000 | Chester County, PA, Industrial Development Authority, Special Obligation Revenue, Woodlands at Greystone Project, Revenue Bonds, 5.000% due 3/1/383 | 504,240 | |
Crawford County, PA, Hospital Authority, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 441,536 | |
250,000 | 6.000% due 6/1/46 | 269,770 | |
500,000 | Cumberland County Municipal Authority, Revenue Bonds, 5.000% due 1/1/29 | 516,890 | |
1,000,000 | Doylestown, PA, Hospital Authority, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/41 | 1,096,650 | |
200,000 | Franklin County, PA, Industrial Development Authority, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 208,768 | |
350,000 | Lancaster County, PA, Hospital Authority, Revenue Bonds, 5.000% due 3/1/45 | 362,267 | |
445,000 | Montgomery County, PA, Higher Education & Health Authority, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 473,026 | |
Montgomery County, PA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.250% due 1/15/27 | 653,370 | |
250,000 | 5.250% due 1/15/46 | 260,768 | |
Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding: | |||
105,000 | 5.000% due 11/15/23 | 112,645 | |
500,000 | 5.000% due 11/15/36 | 568,995 | |
100,000 | 5.000% due 12/1/46 | 104,748 | |
250,000 | Montgomery County, PA, Industrial Development Authority, Waverly Heights, Ltd. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | 275,817 |
167 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
Northampton County Industrial Development Authority, Revenue Bonds: | |||
$ 250,000 | 5.000% due 11/1/44 | $ 255,633 | |
300,000 | 5.000% due 11/1/49 | 305,217 | |
2,225,000 | Pennsylvania State, Housing Finance Agency, Revenue Bonds, (GNMA/FNMA/FHLMC Insured), 2.450% due 7/1/222 | 2,254,793 | |
495,000 | Philadelphia Authority of Industrial Development, Revenue Bonds, Mast III Charter School Project, Series A, 6.500% due 6/15/54 | 513,186 | |
150,000 | Washington County, PA, Redevelopment Authority Revenue, Tax Allocation, Refunding, 5.000% due 7/1/28 | 155,354 | |
10,257,789 | |||
Puerto Rico — 5.8% | |||
Cofina Class 2 Trust, Revenue Bonds, AMBAC Insured: | |||
209,663 | 0.000% due 8/1/471 | 57,938 | |
323,124 | 0.000% due 8/1/541 | 61,649 | |
35,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, (AGMC Insured), 4.500% due 7/1/23 | 35,052 | |
425,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, Series A, 5.000% due 7/1/41 | 254,469 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series A: | |||
50,000 | 5.125% due 7/1/37 | 51,500 | |
2,920,000 | 5.250% due 7/1/42 | 3,007,600 | |
350,000 | Puerto Rico Commonwealth, General Obligation Unlimited, Refunding, Series A, (AGC-ICC Insured), 5.500% due 7/1/29 | 399,171 | |
300,000 | Puerto Rico Commonwealth, General Obligation Unlimited, Refunding, Series A, (AGMC Insured), 5.000% due 7/1/35 | 314,130 | |
1,000,000 | Puerto Rico Electric Power Authority, Power Revenue, Revenue Bonds, Series XX, 5.250% due 7/1/406 | 693,750 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/27 | 25,507 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 610,506 | |
75,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 76,521 | |
550,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M USD LIBOR * 0.67 + 0.52%), 0.671% due 7/1/294 | 490,985 | |
500,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series 2013A-RSA-1, 7.000% due 7/1/406 | 359,375 | |
300,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 301,947 | |
505,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 515,241 | |
175,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, (AGMC Insured), 6.250% due 7/1/21 | 180,506 | |
10,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, (AMBAC Insured), 0.000% due 7/1/251 | 8,245 | |
455,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Refunding, Series N, (AMBAC Insured), 2.106% due 7/1/28 | 419,951 | |
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 | 816,000 | |
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 | 259,420 |
168 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
$ 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 | $ 430,795 | |
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 | 99,764 | |
500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, 5.000% due 3/1/36 | 480,250 | |
540,000 | Puerto Rico Infrastructure Financing Authority, Special Tax Revenue,Revenue Bonds, Series A (AMBAC Insured), 0.000% due 7/1/371 | 256,867 | |
9,070 | Puerto Rico Public Buildings Authority, Revenue Bonds, Refunding, Series L, (NPFG Insured), 5.500% due 7/1/21 | 9,169 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
8,000 | 0.000% due 7/1/241 | 7,380 | |
15,000 | 0.000% due 7/1/271 | 12,692 | |
14,000 | 0.000% due 7/1/291 | 10,970 | |
18,000 | 0.000% due 7/1/311 | 12,978 | |
21,000 | 0.000% due 7/1/331 | 13,775 | |
1,000,000 | 0.000% due 7/1/511 | 207,120 | |
1,375,000 | 5.000% due 7/1/58 | 1,461,419 | |
1,000,000 | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-2, 4.784% due 7/1/58 | 1,048,740 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 186,421 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 97,000 | |
150,000 | 5.000% due 6/1/36 | 145,125 | |
13,419,928 | |||
Rhode Island — 1.2% | |||
Rhode Island Health & Educational Building Corp., Revenue Bonds, Refunding, Series B: | |||
900,000 | 5.000% due 9/1/31 | 930,735 | |
750,000 | 5.000% due 9/1/36 | 760,042 | |
535,000 | Rhode Island State, Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA / FNMA / FHLMC Insured), 4.000% due 10/1/48 | 592,224 | |
4,000,000 | Tobacco Settlement Financing Corp., RI, Revenue Bonds, Series A, 0.000% due 6/1/521 | 618,400 | |
2,901,401 | |||
South Carolina — 2.3% | |||
2,760,004 | Connector 2000 Association, Inc., Revenue Bonds, Series A-1, 0.000% due 1/1/421 | 615,288 | |
500,000 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Series A-1, 0.000% due 1/1/321 | 229,010 | |
290,000 | South Carolina State, Housing Finance & Development Authority, Revenue Bonds, (GNMA / FNMA / FHLMC/ FHA Insured), 4.000% due 7/1/36 | 313,388 | |
South Carolina State, Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
410,000 | 5.000% due 10/1/363 | 420,947 | |
1,090,000 | 5.000% due 10/1/413 | 1,108,345 | |
800,000 | South Carolina State, Jobs-Economic Development Authority, Residential Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 4/1/47 | 842,504 |
169 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
$ 200,000 | South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | $ 237,070 | |
South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series B: | |||
500,000 | 5.000% due 12/1/37 | 593,615 | |
500,000 | 5.000% due 12/1/41 | 588,160 | |
500,000 | 2.750% due 12/1/512 | 498,610 | |
5,000 | South Carolina State, Public Service Authority, Revenue Bonds, Series E, 5.250% due 12/1/55 | 5,763 | |
5,452,700 | |||
Texas — 3.7% | |||
645,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 696,871 | |
405,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Uplift Education, Series A, 2.750% due 12/1/26 | 409,123 | |
360,000 | Fort Bend County, TX, Industrial Development Corp., NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 372,618 | |
1,510,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,576,561 | |
150,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Series A, 5.000% due 1/1/43 | 152,789 | |
500,000 | Matagorda County, TX, Navigation District No. 1, Revenue Bonds, Refunding (AMBAC Insured), 4.400% due 5/1/30 | 598,410 | |
New Hope Cultural Education Facilities Finance Corp., Revenue Bonds: | |||
250,000 | 5.500% due 1/1/49 | 255,850 | |
400,000 | 5.000% due 1/1/55 | 398,024 | |
950,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/36 | 989,092 | |
375,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/1/35 | 392,096 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, Student Housing Revenue Bonds, Series A, 5.000% due 4/1/42 | 475,990 | |
Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds: | |||
300,000 | 5.000% due 6/15/33 | 306,432 | |
500,000 | 5.000% due 6/15/38 | 508,750 | |
230,000 | Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series A, 5.000% due 6/15/37 | 234,170 | |
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Revenue Bonds, Refunding: | |||
250,000 | 4.000% due 5/15/27 | 258,612 | |
150,000 | 5.000% due 11/15/35 | 156,845 | |
625,000 | 5.000% due 5/15/45 | 658,331 | |
185,000 | Texas State, Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 207,420 | |
8,647,984 | |||
Utah — 0.3% | |||
500,000 | Hideout Local District No. 1, UT, Special Assessment, 6.750% due 8/1/373 | 496,035 | |
290,000 | Mida Mountain Village Public Infrastructure District, Special Assessment, 5.000% due 8/1/50 | 293,408 | |
789,443 |
170 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Virginia — 2.8% | |||
Farmville, VA, Industrial Development Authority Facilities, Revenue Bonds, Refunding, Series A: | |||
$ 750,000 | 5.000% due 1/1/38 | $ 794,775 | |
500,000 | 5.000% due 1/1/50 | 522,115 | |
500,000 | Hanover County, VA, Economic Development Authority, Care Facilities Revenue, Refunding, Covenant Woods, Revenue Bonds, 5.000% due 7/1/38 | 510,755 | |
295,000 | Henrico County, VA, Economic Development Authority Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 317,157 | |
500,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 510,730 | |
600,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series C, 5.000% due 12/1/47 | 633,618 | |
500,000 | Newport News, VA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/463 | 555,285 | |
1,000,000 | Newport News, VA, Industrial Development Authority, System Revenue, Revenue Bonds, 5.330% due 7/1/453 | 1,094,750 | |
750,000 | Norfolk, VA, Redevelopment and Housing Authority, Revenue Bonds, Series A, 5.250% due 1/1/54 | 777,097 | |
250,000 | Virginia Small Business Financing Authority, Revenue Bonds, 4.000% due 1/1/45 | 267,073 | |
500,000 | Virginia State, Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 505,065 | |
6,488,420 | |||
Washington — 1.8% | |||
235,000 | Kalispel Tribe of Indians Priority District, WA, Revenue Bonds, Series B, 5.250% due 1/1/383 | 261,311 | |
500,000 | Washington State Convention Center Public Facilities District, Revenue Bonds, 5.000% due 7/1/58 | 548,675 | |
Washington State, Health Care Facilities Authority, Revenue Bonds: | |||
200,000 | 5.000% due 8/1/30 | 250,606 | |
300,000 | 5.000% due 8/15/34 | 333,957 | |
1,000,000 | 5.000% due 12/1/36 | 1,117,060 | |
100,000 | Washington State, Housing Finance Commission, Refunding, Hearthstone Project, Revenue Bonds, Series B, 3.125% due 7/1/233 | 98,503 | |
625,000 | Washington State, Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/383 | 665,006 | |
Washington State, Housing Finance Commission, Rockwood Retirement Communitie, Revenue Bonds: | |||
500,000 | 5.000% due 1/1/553 | 477,920 | |
500,000 | 5.000% due 1/1/56 | 476,160 | |
4,229,198 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia State, Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 291,380 | |
Wisconsin — 3.7% | |||
Public Finance Authority, Revenue Bonds: | |||
375,000 | 5.000% due 6/1/293 | 404,355 | |
130,000 | 5.000% due 6/1/34 | 139,296 | |
250,000 | 5.000% due 1/1/35 | 276,075 | |
750,000 | 5.000% due 1/1/46 | 812,063 | |
135,000 | 5.000% due 6/1/49 | 139,834 |
171 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
$ 500,000 | Public Finance Authority, WI, Charter School Portfolio Project, Revenue Bonds, Series A-1, 5.000% due 1/1/553 | $ 499,525 | |
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/473 | 520,920 | |
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 9/1/493 | 248,470 | |
500,000 | 5.000% due 9/1/543 | 544,225 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 279,089 | |
325,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, 4.000% due 6/15/293 | 331,383 | |
350,000 | Public Finance Authority, WI, Senior Living Revenue, Mary’s Woods at Marylhurst Project, Revenue Bonds, Refunding, Series A, 5.250% due 5/15/373 | 371,266 | |
85,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, 5.000% due 11/15/243 | 87,346 | |
500,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds (AGMC Insured), 5.000% due 7/1/53 | 573,345 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,126,515 | |
Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding: | |||
955,000 | 5.000% due 6/1/41 | 994,050 | |
390,000 | 0.350% due 2/15/532 | 390,000 | |
865,000 | Wisconsin State, Housing and Economic Development Authority, Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 953,282 | |
8,691,039 | |||
Other Territory — 0.4% | |||
729,216 | Federal Home Loan Mortgage Corporation Multifamily ML-05 Certificates, Revenue Bonds, Class AUS, 3.400% due 1/25/36 | 821,608 | |
TOTAL MUNICIPAL BONDS (Cost $222,472,150) | 229,589,895 | ||
TOTAL INVESTMENTS (Cost $222,472,150) | 98.6% | $229,589,895 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.4 | 3,192,660 | |
NET ASSETS | 100.0% | $232,782,555 |
* | Percentages indicated are based on net assets. |
1 | Zero Coupon Bond. |
2 | 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, 2020. |
3 | 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, 2020, these securities, which are not illiquid, amounted to $31,731,490 or 13.6% of net assets for the Fund. |
4 | Floating Rate Bond. Rate shown is as of October 31, 2020. |
5 | When-issued security. |
6 | This security is in default. See Note 1. |
172 |
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 |
173 |
% of Net Assets | Value | ||
STATE: | |||
Illinois | 15.3% | $ 35,651,123 | |
Colorado | 10.6 | 24,688,031 | |
Puerto Rico | 5.8 | 13,419,928 | |
New Jersey | 5.7 | 13,334,758 | |
Florida | 5.4 | 12,560,340 | |
California | 4.8 | 11,206,746 | |
New York | 4.5 | 10,407,607 | |
Pennsylvania | 4.4 | 10,257,789 | |
Ohio | 3.9 | 9,160,842 | |
Wisconsin | 3.7 | 8,691,039 | |
Texas | 3.7 | 8,647,984 | |
Arizona | 2.8 | 6,538,183 | |
Michigan | 2.8 | 6,519,979 | |
Virginia | 2.8 | 6,488,420 | |
South Carolina | 2.3 | 5,452,700 | |
Washington | 1.8 | 4,229,198 | |
Missouri | 1.6 | 3,685,276 | |
Maryland | 1.4 | 3,352,791 | |
Indiana | 1.4 | 3,139,192 | |
Rhode Island | 1.2 | 2,901,401 | |
Alabama | 1.2 | 2,730,738 | |
Kentucky | 1.2 | 2,711,450 | |
Georgia | 1.0 | 2,252,762 | |
Connecticut | 0.9 | 2,201,585 | |
District of Columbia | 0.9 | 2,055,150 | |
Mississippi | 0.8 | 1,920,000 | |
Iowa | 0.8 | 1,756,452 | |
Louisiana | 0.7 | 1,603,085 | |
Nevada | 0.7 | 1,582,751 | |
Idaho | 0.6 | 1,485,185 | |
New Mexico | 0.6 | 1,309,449 | |
Alaska | 0.6 | 1,272,728 | |
Other Territory | 0.4 | 821,608 | |
New Hampshire | 0.4 | 808,805 | |
Utah | 0.3 | 789,443 | |
Guam | 0.3 | 717,414 | |
North Carolina | 0.3 | 713,164 | |
North Dakota | 0.2 | 547,230 | |
Oregon | 0.2 | 528,543 | |
Oklahoma | 0.2 | 380,626 | |
West Virginia | 0.1 | 291,380 | |
Nebraska | 0.1 | 280,778 | |
Minnesota | 0.1 | 259,543 | |
Kansas | 0.1 | 236,699 | |
TOTAL MUNICIPAL BONDS | 98.6% | $229,589,895 | |
TOTAL INVESTMENTS | 98.6% | $229,589,895 |
174 |
175 |
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 | ||||||||
Air Freight & Logistics | $ 15,133 | $ — | $— | $ 15,133 | ||||
Auto Components | 8,013 | — | — | 8,013 | ||||
Banks | 103,223 | — | — | 103,223 | ||||
Biotechnology | 115,568 | — | — | 115,568 | ||||
Building Products | 23,792 | — | — | 23,792 | ||||
Capital Markets | 29,732 | — | — | 29,732 | ||||
Chemicals | 15,519 | — | — | 15,519 | ||||
Commercial Services & Supplies | 11,636 | — | — | 11,636 | ||||
Communications Equipment | 13,326 | — | — | 13,326 | ||||
Construction & Engineering | 20,908 | — | — | 20,908 | ||||
Construction Materials | 8,757 | — | — | 8,757 | ||||
Consumer Finance | 8,667 | — | — | 8,667 | ||||
Diversified Consumer Services | 19,016 | — | — | 19,016 | ||||
Diversified Telecommunication Services | 4,148 | — | — | 4,148 | ||||
Electric Utilities | 11,919 | — | — | 11,919 | ||||
Electronic Equipment, Instruments & Components | 37,745 | — | — | 37,745 | ||||
Equity Real Estate Investment Trusts | 54,444 | — | — | 54,444 | ||||
Food & Staples Retailing | 15,758 | — | — | 15,758 | ||||
Health Care Equipment & Supplies | 38,158 | — | — | 38,158 |
176 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Health Care Providers & Services | $ 22,621 | $ — | $— | $ 22,621 | ||||
Health Care Technology | 7,358 | — | — | 7,358 | ||||
Hotels, Restaurants & Leisure | 8,859 | — | — | 8,859 | ||||
Household Durables | 34,632 | — | — | 34,632 | ||||
Household Products | 7,290 | — | — | 7,290 | ||||
Insurance | 29,113 | — | — | 29,113 | ||||
Interactive Media & Service | 5,959 | — | — | 5,959 | ||||
IT Services | 33,946 | — | — | 33,946 | ||||
Life Sciences Tools & Services | 6,987 | — | — | 6,987 | ||||
Machinery | 11,228 | — | — | 11,228 | ||||
Media | 7,963 | — | — | 7,963 | ||||
Metals & Mining | 14,337 | — | — | 14,337 | ||||
Mortgage Real Estate Investment Trusts | 12,790 | — | — | 12,790 | ||||
Multi-line Retail | 7,426 | — | — | 7,426 | ||||
Multi-Utilities | 4,008 | — | — | 4,008 | ||||
Oil, Gas & Consumable Fuels | 22,945 | — | — | 22,945 | ||||
Paper & Forest Products | 14,538 | — | — | 14,538 | ||||
Pharmaceuticals | 6,408 | — | 0* | 6,408 | ||||
Professional Services | 14,110 | — | — | 14,110 | ||||
Real Estate Management & Development | 8,392 | — | — | 8,392 | ||||
Semiconductors & Semiconductor Equipment | 39,776 | — | — | 39,776 | ||||
Software | 31,232 | — | — | 31,232 | ||||
Specialty Retail | 32,659 | — | — | 32,659 | ||||
Trading Companies & Distributors | 32,794 | — | — | 32,794 | ||||
Wireless Telecommunication Services | 6,194 | — | — | 6,194 | ||||
Total Common Stocks | 979,027 | — | — | 979,027 | ||||
Repurchase Agreement | — | 6,592 | — | 6,592 | ||||
Investment of Security Lending Collateral | 22,578 | — | — | 22,578 | ||||
Total Investments | 1,001,605 | 6,592 | 0 | 1,008,197 | ||||
Total | $1,001,605 | $6,592 | $ 0 | $1,008,197 |
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 | ||||||||
Australia | $ — | $1,229,595 | $— | $ 1,229,595 | ||||
Canada | 6,178,309 | — | — | 6,178,309 | ||||
Denmark | 370,563 | — | — | 370,563 | ||||
France | 4,248,039 | — | — | 4,248,039 | ||||
Germany | 3,678,012 | — | — | 3,678,012 | ||||
Hong Kong | 1,522,811 | — | — | 1,522,811 | ||||
Ireland | 1,555,669 | — | — | 1,555,669 | ||||
Italy | 298,991 | — | — | 298,991 | ||||
Japan | 13,827,009 | — | — | 13,827,009 | ||||
Netherlands | 2,733,444 | — | — | 2,733,444 |
177 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Singapore | $ 1,527,246 | $ — | $— | $ 1,527,246 | ||||
Spain | 723,703 | — | — | 723,703 | ||||
Sweden | 2,057,680 | — | — | 2,057,680 | ||||
Switzerland | 6,263,921 | — | — | 6,263,921 | ||||
United Kingdom | 6,288,609 | — | — | 6,288,609 | ||||
Total Common Stocks | 51,274,006 | 1,229,595 | — | 52,503,601 | ||||
Repurchase Agreement | — | 208,341 | — | 208,341 | ||||
Investment of Security Lending Collateral | 9,236,137 | — | — | 9,236,137 | ||||
Total Investments | 60,510,143 | 1,437,936 | — | 61,948,079 | ||||
Total | $60,510,143 | $1,437,936 | $— | $61,948,079 |
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 | $ 16,211,134 | $ — | $— | $ 16,211,134 | ||||
U.S. Treasury Bills | — | 109,969,662 | — | 109,969,662 | ||||
Repurchase Agreement | — | 2,462,918 | — | 2,462,918 | ||||
Purchased Options | ||||||||
Calls | 762,720,000 | — | — | 762,720,000 | ||||
Puts | 1,764,000 | — | — | 1,764,000 | ||||
Total Purchased Options | 764,484,000 | — | — | 764,484,000 | ||||
Total Investments | 780,695,134 | 112,432,580 | — | 893,127,714 | ||||
Total | $780,695,134 | $112,432,580 | $— | $893,127,714 |
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 | $(428,601,600) | $— | $— | $(428,601,600) | ||||
Puts | (25,922,900) | — | — | (25,922,900) | ||||
Total Written Options | (454,524,500) | — | — | (454,524,500) | ||||
Total | $(454,524,500) | $— | $— | $(454,524,500) |
178 |
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 Fund | $ 156,485 | $ — | $— | $ 156,485 | ||||
U.S. Treasury Bills | — | 2,699,183 | — | 2,699,183 | ||||
Repurchase Agreement | — | 869,531 | — | 869,531 | ||||
Purchased Options | ||||||||
Calls | 9,080,000 | — | — | 9,080,000 | ||||
Puts | 21,000 | — | — | 21,000 | ||||
Total Purchased Options | 9,101,000 | — | — | 9,101,000 | ||||
Total Investments | 9,257,485 | 3,568,714 | — | 12,826,199 | ||||
Total | $9,257,485 | $3,568,714 | $— | $12,826,199 |
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 | $(5,102,400) | $— | $— | $(5,102,400) | ||||
Puts | (525,175) | — | — | (525,175) | ||||
Total Written Options | (5,627,575) | — | — | (5,627,575) | ||||
Total | $(5,627,575) | $— | $— | $(5,627,575) |
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 | $ — | $ 29,553,714 | $— | $ 29,553,714 | ||||
Federal National Mortgage Association | — | 29,884,749 | — | 29,884,749 | ||||
Total Agency Notes | — | 59,438,463 | — | 59,438,463 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 55,738,641 | — | 55,738,641 | ||||
Federal National Mortgage Association | — | 101,014,655 | — | 101,014,655 | ||||
Government National Mortgage Association | — | 875,283 | — | 875,283 | ||||
Total Mortgage-Backed Securities | — | 157,628,579 | — | 157,628,579 | ||||
Corporate Notes | ||||||||
Banking | — | 16,920,903 | — | 16,920,903 | ||||
Beverages, Food & Tobacco | — | 13,123,723 | — | 13,123,723 | ||||
Communications | — | 19,050,780 | — | 19,050,780 | ||||
Computer Software & Processing | — | 30,860,968 | — | 30,860,968 |
179 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Heavy Machinery | $ — | $ 4,786,267 | $— | $ 4,786,267 | ||||
Insurance | — | 5,612,084 | — | 5,612,084 | ||||
Pharmaceuticals | — | 10,371,571 | — | 10,371,571 | ||||
Total Corporate Notes | — | 100,726,296 | — | 100,726,296 | ||||
U.S. Treasury Notes/Bonds | — | 100,876,367 | — | 100,876,367 | ||||
Repurchase Agreement | — | 23,325,790 | — | 23,325,790 | ||||
Investment of Security Lending Collateral | 45,473 | — | — | 45,473 | ||||
Total Investments | 45,473 | 441,995,495 | — | 442,040,968 | ||||
Total | $45,473 | $441,995,495 | $— | $442,040,968 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Corporate Notes | ||||||||
Health Care Services | $ — | $ 250,658 | $— | $ 250,658 | ||||
Media - Broadcasting & Publishing | — | 409,813 | — | 409,813 | ||||
Total Corporate Notes | — | 660,471 | — | 660,471 | ||||
Municipal Bonds | ||||||||
Alabama | — | 875,729 | — | 875,729 | ||||
Arizona | — | 707,091 | — | 707,091 | ||||
California | — | 1,075,037 | — | 1,075,037 | ||||
Colorado | — | 1,559,104 | — | 1,559,104 | ||||
Connecticut | — | 2,231,626 | — | 2,231,626 | ||||
District of Columbia | — | 1,164,520 | — | 1,164,520 | ||||
Florida | — | 2,141,150 | — | 2,141,150 | ||||
Georgia | — | 209,918 | — | 209,918 | ||||
Illinois | — | 3,447,890 | — | 3,447,890 | ||||
Kentucky | — | 1,031,558 | — | 1,031,558 | ||||
Louisiana | — | 1,255,023 | — | 1,255,023 | ||||
Maryland | — | 587,390 | — | 587,390 | ||||
Massachusetts | — | 302,307 | — | 302,307 | ||||
Michigan | — | 3,011,997 | — | 3,011,997 | ||||
Minnesota | — | 835,087 | — | 835,087 | ||||
Mississippi | — | 509,290 | — | 509,290 | ||||
Nebraska | — | 99,759 | — | 99,759 | ||||
New Jersey | — | 1,250,892 | — | 1,250,892 | ||||
New York | — | 3,956,884 | — | 3,956,884 | ||||
North Carolina | — | 104,085 | — | 104,085 | ||||
Ohio | — | 2,805,604 | — | 2,805,604 | ||||
Pennsylvania | — | 8,799,432 | — | 8,799,432 | ||||
Rhode Island | — | 426,948 | — | 426,948 | ||||
South Carolina | — | 349,478 | — | 349,478 | ||||
South Dakota | — | 229,494 | — | 229,494 | ||||
Tennessee | — | 978,975 | — | 978,975 | ||||
Texas | — | 5,304,106 | — | 5,304,106 | ||||
Virginia | — | 752,717 | — | 752,717 |
180 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Washington | $ — | $ 3,045,032 | $— | $ 3,045,032 | ||||
Wisconsin | — | 975,410 | — | 975,410 | ||||
Wyoming | — | 410,644 | — | 410,644 | ||||
Total Municipal Bonds | — | 50,434,177 | — | 50,434,177 | ||||
Repurchase Agreement | — | 2,062,165 | — | 2,062,165 | ||||
Investment of Security Lending Collateral | 26,350 | — | — | 26,350 | ||||
Registered Investment Companies | 889,425 | — | — | 889,425 | ||||
Total Investments | 915,775 | 53,156,813 | — | 54,072,588 | ||||
Total | $915,775 | $53,156,813 | $— | $54,072,588 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $7,364,666 | $(7,364,666) | $— | $— | $— |
181 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $13,512,189 | $(13,512,189) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $9,041 | $(9,041) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $6,592 | $(6,592) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $208,341 | $(208,341) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $88,260 | $(88,260) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $121,207 | $(121,207) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $3,034,869 | $(3,034,869) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $24,360 | $(24,360) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,654,860 | $(1,654,860) | $— | $— | $— |
182 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $15,285,160 | $(15,285,160) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $299,909 | $(299,909) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $396,744 | $(396,744) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,462,918 | $(2,462,918) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $869,531 | $(869,531) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $23,325,790 | $(23,325,790) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,062,165 | $(2,062,165) | $— | $— | $— |
183 |
184 |
185 |
Portfolio | Unlimited (Short Term) | Unlimited (Long Term) | ||
Quantitative U.S. Large Cap Value Equity Portfolio | $ 199,846 | $ 3,399 | ||
Quantitative U.S. Small Cap Equity Portfolio | 75,331 | — | ||
Quantitative International Equity Portfolio | 11,978,742 | — | ||
Responsible ESG U.S. Equity Portfolio | 849,259 | — | ||
Women in Leadership U.S. Equity Portfolio | 289,275 | — | ||
Quantitative U.S. Long/Short Equity Portfolio | 15,114,900 | — |
186 |
Portfolio | Unlimited (Short Term) | Unlimited (Long Term) | ||
Small Cap Equity Portfolio | $147,980,146 | $62,335,609 | ||
Large Cap Value Portfolio | 1,543,216 | 319,135 | ||
Equity Income Portfolio | 76,040 | — | ||
Secured Options Portfolio | 14,873,252 | 22,314,799 | ||
Global Secured Options Portfolio* | 4,936,735 | 1,642,909 | ||
Short Term Tax Aware Fixed Income Portfolio | 115,284 | 36,299 |
Equity Income Portfolio | $152,012 |
Global Secured Options Portfolio | 148,318 |
Core Fixed Income Portfolio | 3,900,981 |
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 | $ — | $1,685,508 | $ 99,911,069 | $230,007,341 | $ — | $ — | $ 331,603,918 | |||||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | — | 311,190,111 | 623,317,037 | — | — | 934,507,148 | |||||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 2,300 | — | 36,592 | — | (203,245) | (164,353) | |||||||
Quantitative U.S. Small Cap Equity Portfolio | — | — | — | 47,911 | (2) | (75,331) | (27,422) | |||||||
Quantitative International Equity Portfolio | — | — | — | 1,420,335 | — | (11,978,742) | (10,558,407) | |||||||
Responsible ESG U.S. Equity Portfolio | — | 16,473 | — | 3,972,159 | — | (849,259) | 3,139,373 | |||||||
Women in Leadership U.S. Equity Portfolio | — | 25,557 | — | 2,907,714 | (2) | (289,275) | 2,643,994 | |||||||
Quantitative U.S. Long/Short Equity Portfolio | — | — | — | 18,673,261 | (184,477) | (15,114,900) | 3,373,884 |
187 |
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. Total Market Equity Portfolio | $ — | $ — | $ 3,422,865 | $ 8,819,324 | $ (2,886) | $ — | $ 12,239,303 | |||||||
Strategic Equity Portfolio | — | 173,372 | 12,912,846 | 89,937,222 | — | — | 103,023,440 | |||||||
Small Cap Equity Portfolio | — | — | — | 76,813,168 | — | (210,315,755) | (133,502,587) | |||||||
Large Cap Value Portfolio | — | 25,120 | — | 841,816 | (3) | (1,862,351) | (995,418) | |||||||
Equity Income Portfolio | — | 20,508 | — | 2,133,278 | — | (76,040) | 2,077,746 | |||||||
Secured Options Portfolio | — | — | — | 9,790,529 | (2,316,943) | (37,188,051) | (29,714,465) | |||||||
Global Secured Options Portfolio | — | 199,515 | 225,463 | (93,745) | 1 | (6,579,644)** | (6,248,410) | |||||||
Core Fixed Income Portfolio | — | 2,551,907 | 5,075,603 | 26,393,714 | 1 | — | 34,021,225 | |||||||
Short Term Tax Aware Fixed Income Portfolio | 70,394 | — | — | 682,333 | — | (151,583) | 601,144 | |||||||
High Yield Municipal Portfolio | 598,689 | — | 20,865 | 6,954,952 | (19) | — | 7,574,487 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | Return of Capital | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $ — | $18,713,284 | $ 98,397,908 | $ — | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 14,981,564 | 436,456,750 | — | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 40,984 | — | — | ||||
Quantitative U.S. Small Cap Equity Portfolio | — | 7,684 | — | — | ||||
Quantitative International Equity Portfolio | — | 2,704,110 | — | 220,626 | ||||
Responsible ESG U.S. Equity Portfolio | — | 237,515 | 92,525 | — | ||||
Women in Leadership U.S. Equity Portfolio | — | 239,220 | — | — | ||||
Quantitative U.S. Long/Short Equity Portfolio | — | — | — | 182,295 | ||||
Quantitative U.S. Total Market Equity Portfolio | — | 242,731 | 3,387,071 | — | ||||
Strategic Equity Portfolio | — | 2,023,010 | 5,226,463 | — | ||||
Small Cap Equity Portfolio | — | 5,011,864 | — | 255,593 | ||||
Large Cap Value Portfolio | — | 605,288 | 3,345,842 | — | ||||
Equity Income Portfolio | — | 478,143 | — | — | ||||
Secured Options Portfolio | — | 18,271,570 | 29,797,110 | — | ||||
Global Secured Options Portfolio | — | 1,977 | — | — | ||||
Core Fixed Income Portfolio | — | 10,373,594 | — | — | ||||
Short Term Tax Aware Fixed Income Portfolio | 457,915 | 113,527 | — | — | ||||
High Yield Municipal Portfolio | 6,132,977 | 61,972 | — | — |
188 |
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 | — | ||||
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 | — | ||||
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 | Total distributable earnings | Paid-in capital | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $ (31,684,417) | $ 31,684,417 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | (127,921,046) | 127,921,046 | ||
Quantitative U.S. Small Cap Equity Portfolio | 983 | (983) | ||
Quantitative U.S. Long/Short Equity Portfolio | 618,848 | (618,848) | ||
Quantitative U.S. Total Market Equity Portfolio | (1,314,667) | 1,314,667 | ||
Strategic Equity Portfolio | (2,055,464) | 2,055,464 | ||
Small Cap Equity Portfolio | 2,583,675 | (2,583,675) | ||
Secured Options Portfolio | 352,159 | (352,159) |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $1,009,902,909 | $270,957,348 | $ 40,950,007 | $230,007,341 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,583,253,256 | 635,315,793 | 11,998,756 | 623,317,037 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,551,908 | 172,681 | 136,089 | 36,592 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 960,286 | 134,284 | 86,373 | 47,911 | ||||
Quantitative International Equity Portfolio | 60,527,492 | 5,850,183 | 4,429,596 | 1,420,587 | ||||
Responsible ESG U.S. Equity Portfolio | 18,314,206 | 4,360,856 | 388,697 | 3,972,159 | ||||
Women in Leadership U.S. Equity Portfolio | 18,708,040 | 3,358,168 | 450,454 | 2,907,714 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 12,873,237 | 27,292,079 | 8,618,818 | 18,673,261 | ||||
Quantitative U.S. Total Market Equity Portfolio | 19,886,179 | 9,790,669 | 971,345 | 8,819,324 | ||||
Strategic Equity Portfolio | 129,211,285 | 92,833,919 | 2,896,697 | 89,937,222 | ||||
Small Cap Equity Portfolio | 1,187,485,891 | 211,765,281 | 134,952,113 | 76,813,168 | ||||
Large Cap Value Portfolio | 18,442,846 | 1,759,147 | 917,331 | 841,816 | ||||
Equity Income Portfolio | 16,495,214 | 2,744,900 | 611,622 | 2,133,278 | ||||
Secured Options Portfolio | 428,812,685 | 30,189,389 | 20,398,860 | 9,790,529 | ||||
Global Secured Options Portfolio | 7,292,369 | 271,402 | 365,147 | (93,745) | ||||
Core Fixed Income Portfolio | 415,647,254 | 27,252,565 | 858,851 | 26,393,714 |
189 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Short Term Tax Aware Fixed Income Portfolio | $ 53,390,255 | $ 731,422 | $ 49,089 | $ 682,333 | ||||
High Yield Municipal Portfolio | 222,634,943 | 9,059,247 | 2,104,295 | 6,954,952 |
Equity Contracts Risk | Total | ||
Options Purchased1 | $764,484,000 | $764,484,000 | |
Total Value | $764,484,000 | $764,484,000 |
Equity Contracts Risk | Total | ||
Options Written2 | $(454,524,500) | $(454,524,500) | |
Total Value | $(454,524,500) | $(454,524,500) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $ 19,802,905 | $ 19,802,905 | |
Options Written4 | (33,912,772) | (33,912,772) | |
Total Realized Gain (Loss) | $(14,109,867) | $(14,109,867) |
Equity Contracts Risk | Total | ||
Options Purchased5 | $(40,988,616) | $(40,988,616) | |
Options Written6 | 17,907,154 | 17,907,154 | |
Total Change in Appreciation (Depreciation) | $(23,081,462) | $(23,081,462) |
Equity Contracts Risk | Total | ||
Options Purchased7 | 7,953 | 7,953 | |
Options Written7 | (9,572) | (9,572) |
190 |
Equity Contracts Risk | Total | ||
Options Purchased1 | $9,101,000 | $9,101,000 | |
Total Value | $9,101,000 | $9,101,000 |
Equity Contracts Risk | Total | ||
Options Written2 | $(5,627,575) | $(5,627,575) | |
Total Value | $(5,627,575) | $(5,627,575) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $(1,340,973) | $(1,340,973) | |
Options Written4 | 2,359,005 | 2,359,005 | |
Total Realized Gain (Loss) | $ 1,018,032 | $ 1,018,032 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $(241,104) | $(241,104) | |
Options Written6 | (29,511) | (29,511) | |
Total Change in Appreciation (Depreciation) | $(270,615) | $(270,615) |
Equity Contracts Risk | Total | ||
Options Purchased7 | 51 | 51 | |
Options Written7 | (426) | (426) |
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 purchased options. |
4 | Statement of Operations location: Amount is included in Net realized gain (loss) on written options. |
5 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of purchased options. |
6 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of written options. |
7 | Amounts disclosed represent average number of contracts outstanding during the period ended October 31, 2020. |
191 |
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%** | |
Core Fixed Income Portfolio | 0.35% | |
Short Term Tax Aware Fixed Income Portfolio | 0.35%**** | |
High Yield Municipal Portfolio | 0.65%** |
192 |
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 | 0.25% |
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% |
Core Fixed Income Portfolio | 0.10% |
Short Term Tax Aware Fixed Income Portfolio | 0.10% |
High Yield Municipal Portfolio | 0.25% |
193 |
Portfolio | Purchases | Sales | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $1,108,226,741 | $2,052,102,592 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | 2,010,420,727 | 3,479,864,280 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,765,335 | 1,955,031 | ||
Quantitative U.S. Small Cap Equity Portfolio | 1,009,123 | 988,544 | ||
Quantitative International Equity Portfolio | 92,573,229 | 218,647,950 | ||
Responsible ESG U.S. Equity Portfolio | 20,130,102 | 21,105,398 | ||
Women in Leadership U.S. Equity Portfolio | 23,622,374 | 22,235,551 | ||
Quantitative U.S. Long/Short Equity Portfolio | 370,972,198 | 398,427,854 | ||
Quantitative U.S. Total Market Equity Portfolio | 69,350,206 | 101,487,608 | ||
Strategic Equity Portfolio | 45,938,893 | 83,618,802 | ||
Small Cap Equity Portfolio | 567,619,424 | 1,303,163,435 | ||
Large Cap Value Portfolio | 25,271,132 | 39,860,399 | ||
Equity Income Portfolio | 13,294,828 | 17,855,438 | ||
Secured Options Portfolio | — | — | ||
Global Secured Options Portfolio | 2,827,321 | 2,204,131 | ||
Core Fixed Income Portfolio | 47,828,545 | 123,027,004 | ||
Short Term Tax Aware Fixed Income Portfolio | 35,821,001 | 25,464,269 | ||
High Yield Municipal Portfolio | 82,087,300 | 60,404,653 |
Portfolio | Purchases | Sales | ||
Core Fixed Income Portfolio | $190,324,378 | $201,129,646 | ||
Short Term Tax Aware Fixed Income Portfolio | 3,028,192 | 4,182,954 |
Year Ended 10/31/20 | Year Ended 10/31/19 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Advisor | |||||||
Sold | 2,937,363 | $ 71,382,611 | 7,795,697 | $ 200,527,651 | |||
Issued as reinvestment of dividends | 2,803,174 | 74,973,328 | 6,632,270 | 162,530,319 | |||
Redeemed | (25,345,432) | (615,432,867) | (26,601,586) | (689,595,773) | |||
Net Decrease | (19,604,895) | $(469,076,928) | (12,173,619) | $ (326,537,803) | |||
Quantitative U.S. Large Cap Core Equity Portfolio — Institutional | |||||||
Sold | 1,571,404 | $ 40,527,775 | 6,223,832 | $ 160,412,886 | |||
Issued as reinvestment of dividends | 1,112,383 | 29,864,050 | 2,444,794 | 60,113,584 | |||
Redeemed | (20,804,189) | (458,443,013) | (11,128,916) | (289,880,553) | |||
Net Decrease | (18,120,402) | $(388,051,188) | (2,460,290) | $ (69,354,083) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Advisor | |||||||
Sold | 5,449,450 | $ 163,682,444 | 6,251,770 | $ 187,484,487 | |||
Issued as reinvestment of dividends | 8,853,403 | 270,669,218 | 11,736,683 | 318,634,125 | |||
Redeemed | (30,120,042) | (898,362,063) | (32,158,941) | (967,311,629) | |||
Net Decrease | (15,817,189) | $(464,010,401) | (14,170,488) | $ (461,193,017) |
194 |
Year Ended 10/31/20 | Year Ended 10/31/19 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio — Institutional | |||||||
Sold | 7,148,924 | $ 217,338,099 | 21,708,941 | $ 669,349,023 | |||
Issued as reinvestment of dividends | 4,964,570 | 151,609,541 | 3,802,032 | 103,584,948 | |||
Redeemed | (32,941,800) | (975,838,608) | (10,636,669) | (317,105,397) | |||
Net Increase (Decrease) | (20,828,306) | $(606,890,968) | 14,874,304 | $ 455,828,574 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Sold | 5,004 | $ 52,000 | 84,484 | $ 818,192 | |||
Issued as reinvestment of dividends | 2,441 | 21,484 | 2,467 | 23,800 | |||
Redeemed | (29,802) | (277,736) | — | — | |||
Net Increase (Decrease) | (22,357) | $ (204,252) | 86,951 | $ 841,992 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Sold | — | $ — | 38,055 | $ 375,000 | |||
Issued as reinvestment of dividends | 786 | 7,605 | 814 | 7,935 | |||
Redeemed | — | — | (41,564) | (424,197) | |||
Net Increase (Decrease) | 786 | $ 7,605 | (2,695) | $ (41,262) | |||
Quantitative International Equity Portfolio | |||||||
Sold | 62,957 | $ 798,506 | 1,707,547 | $ 22,694,078 | |||
Issued as reinvestment of dividends | 25,222 | 327,675 | 14,174 | 191,807 | |||
Redeemed | (10,385,416) | (128,510,960) | (16,190,535) | (213,723,145) | |||
Net Decrease | (10,297,237) | $(127,384,779) | (14,468,814) | $ (190,837,260) | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Sold | 239,876 | $ 3,278,585 | 340,644 | $ 4,666,957 | |||
Issued as reinvestment of dividends | 16,877 | 241,623 | 59,587 | 775,280 | |||
Redeemed | (310,331) | (4,327,625) | (320,104) | (4,445,511) | |||
Net Increase (Decrease) | (53,578) | $ (807,417) | 80,127 | $ 996,726 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Sold | 444,566 | $ 5,637,718 | 250,378 | $ 3,189,225 | |||
Issued as reinvestment of dividends | 10,162 | 130,588 | 50,420 | 620,117 | |||
Redeemed | (356,959) | (4,627,117) | (217,072) | (2,896,608) | |||
Net Increase | 97,769 | $ 1,141,189 | 83,726 | $ 912,734 | |||
Quantitative U.S. Long/Short Equity Portfolio — Advisor1 | |||||||
Sold | 750,382 | $ 8,863,412 | 2,148,043 | $ 26,106,820 | |||
Issued as reinvestment of dividends | 1,645 | 20,118 | 25,663 | 309,335 | |||
Redeemed | (12,785,690) | (139,987,603) | (7,986,021) | (97,111,910) | |||
Net Decrease | (12,033,663) | $(131,104,073) | (5,812,315) | $ (70,695,755) | |||
Quantitative U.S. Long/Short Equity Portfolio — Institutional2 | |||||||
Sold | 30,611 | $ 340,725 | 6,573 | $ 79,077 | |||
Issued as reinvestment of dividends | — | — | 1 | 10 | |||
Redeemed | (3,782) | (41,850) | (5,266) | (62,160) | |||
Net Increase | 26,829 | $ 298,875 | 1,308 | $ 16,927 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Sold | 93,429 | $ 1,427,350 | 304,466 | $ 5,243,981 | |||
Issued as reinvestment of dividends | 184,352 | 3,278,150 | 390,151 | 6,292,714 | |||
Redeemed | (2,222,180) | (33,498,188) | (1,703,453) | (29,706,478) | |||
Net Decrease | (1,944,399) | $ (28,792,688) | (1,008,836) | $ (18,169,783) |
195 |
Year Ended 10/31/20 | Year Ended 10/31/19 | ||||||
Shares | Amount | Shares | Amount | ||||
Strategic Equity Portfolio | |||||||
Sold | 983,611 | $ 25,229,443 | 1,528,095 | $ 37,551,565 | |||
Issued as reinvestment of dividends | 183,160 | 5,060,706 | 116,017 | 2,661,608 | |||
Redeemed | (2,746,390) | (67,163,578) | (1,062,348) | (25,923,889) | |||
Net Increase (Decrease) | (1,579,619) | $ (36,873,429) | 581,764 | $ 14,289,284 | |||
Small Cap Equity Portfolio — Advisor | |||||||
Sold | 2,865,149 | $ 61,415,528 | 5,383,381 | $ 128,229,998 | |||
Issued as reinvestment of dividends | 29,370 | 650,585 | 6,936,672 | 155,558,152 | |||
Redeemed | (17,726,725) | (370,465,102) | (28,366,130) | (683,387,615) | |||
Net Decrease | (14,832,206) | $(308,398,989) | (16,046,077) | $ (399,599,465) | |||
Small Cap Equity Portfolio — Institutional | |||||||
Sold | 19,808,990 | $ 414,797,518 | 27,259,996 | $ 674,098,610 | |||
Issued as reinvestment of dividends | 66,868 | 1,528,106 | 4,272,361 | 101,455,044 | |||
Redeemed | (36,951,403) | (830,976,972) | (50,946,241) | (1,296,888,306) | |||
Net Decrease | (17,075,545) | $(414,651,348) | (19,413,884) | $ (521,334,652) | |||
Large Cap Value Portfolio | |||||||
Sold | 156,086 | $ 1,309,487 | 896,656 | $ 8,288,686 | |||
Issued as reinvestment of dividends | 378,135 | 3,553,322 | 706,384 | 6,354,950 | |||
Redeemed | (2,018,713) | (16,059,441) | (4,410,904) | (42,476,737) | |||
Net Decrease | (1,484,492) | $ (11,196,632) | (2,807,864) | $ (27,833,101) | |||
Equity Income Portfolio | |||||||
Sold | 573,383 | $ 6,849,468 | 650,257 | $ 7,164,362 | |||
Issued as reinvestment of dividends | 2,550 | 28,960 | 41,016 | 438,870 | |||
Redeemed | (969,738) | (11,315,443) | (397,619) | (4,424,496) | |||
Net Increase (Decrease) | (393,805) | $ (4,437,015) | 293,654 | $ 3,178,736 | |||
Secured Options Portfolio — Advisor | |||||||
Sold | 1,628,661 | $ 19,275,364 | 6,503,407 | $ 78,070,901 | |||
Issued as reinvestment of dividends | 1,509,519 | 18,536,927 | 780,736 | 9,103,403 | |||
Redeemed | (15,576,933) | (170,266,139) | (22,911,514) | (275,711,096) | |||
Net Decrease | (12,438,753) | $(132,453,848) | (15,627,371) | $ (188,536,792) | |||
Secured Options Portfolio — Institutional | |||||||
Sold | 9,628,347 | $ 109,212,855 | 14,730,158 | $ 175,748,953 | |||
Issued as reinvestment of dividends | 1,204,044 | 14,881,983 | 599,104 | 7,015,540 | |||
Redeemed | (12,015,486) | (132,800,151) | (16,133,072) | (189,249,615) | |||
Net Decrease | (1,183,095) | $ (8,705,313) | (803,810) | $ (6,485,122) | |||
Global Secured Options Portfolio3 | |||||||
Sold | 1,931,686 | $ 8,794,981 | 2,533 | $ 250,000 | |||
Issued as reinvestment of dividends | 395 | 1,977 | 249,158 | 1,497,340 | |||
Redeemed | (185,161) | (843,181) | (28,670) | (1,643,199) | |||
Net Increase | 1,746,920 | $ 7,953,777 | 223,021 | $ 104,141 | |||
Core Fixed Income Portfolio | |||||||
Sold | 6,379,234 | $ 73,933,974 | 7,817,327 | $ 84,892,934 | |||
Issued as reinvestment of dividends | 165,629 | 1,905,937 | 46,014 | 501,378 | |||
Redeemed | (13,948,961) | (161,306,718) | (9,412,603) | (102,899,799) | |||
Net Decrease | (7,404,098) | $ (85,466,807) | (1,549,262) | $ (17,505,487) | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Sold | 4,531,171 | $ 45,802,969 | 3,821,249 | $ 38,271,385 | |||
Issued as reinvestment of dividends | 7,353 | 74,252 | — | — | |||
Redeemed | (4,327,300) | (43,659,011) | (1,419,694) | (14,227,653) | |||
Net Increase | 211,224 | $ 2,218,210 | 2,401,555 | $ 24,043,732 |
196 |
Year Ended 10/31/20 | Year Ended 10/31/19 | ||||||
Shares | Amount | Shares | Amount | ||||
High Yield Municipal Portfolio | |||||||
Sold | 4,360,207 | $ 46,092,528 | 2,512,452 | $ 26,294,842 | |||
Issued as reinvestment of dividends | 12,476 | 132,118 | — | — | |||
Redeemed | (2,392,062) | (25,142,682) | (1,561,558) | (16,391,271) | |||
Net Increase | 1,980,621 | $ 21,081,964 | 950,894 | $ 9,903,571 |
1 | Class was re-named Advisor Class on February 14, 2019. |
2 | Class commenced operations on September 13, 2019. |
3 | On March 16, 2020, the Global Secured Options Portfolio underwent a 1-for-10 reverse share split. The capital share activity presented here has been retroactively adjusted to reflect this split. See Note 6. |
5% or Greater Shareholders | ||||
Portfolio | # of Shareholders | % of Shares Held | ||
Quantitative U.S Large Cap Core Equity Portfolio (Advisor Class) | 2 | 42 | ||
Quantitative U.S. Large Cap Core Equity Portfolio (Institutional Class) | 4 | 88 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 2 | 69 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) | 5 | 86 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 5 | 90 | ||
Quantitative U.S. Small Cap Equity Portfolio | 1 | 99 | ||
Responsible ESG U.S. Equity Portfolio | 4 | 29 | ||
Women in Leadership U.S. Equity Portfolio | 4 | 30 | ||
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 3 | 18 | ||
Quantitative U.S. Long/Short Equity Portfolio (Institutional Class) | 1 | 100 | ||
Quantitative U.S. Total Market Equity Portfolio | 2 | 45 | ||
Small Cap Equity Portfolio (Advisor Class) | 2 | 52 | ||
Small Cap Equity Portfolio (Institutional Class) | 2 | 83 | ||
Large Cap Value Portfolio | 2 | 32 | ||
Equity Income Portfolio | 1 | 7 | ||
Secured Options Portfolio (Advisor Class) | 4 | 54 | ||
Secured Options Portfolio (Institutional Class) | 4 | 93 | ||
Global Secured Options Portfolio | 2 | 100 | ||
Short Term Tax Aware Fixed Income Portfolio | 2 | 18 |
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. Small Cap Equity Portfolio | $ 46,299 | $ 22,578 | 28,962 | 4.58 | ||||
Quantitative International Equity Portfolio | 11,524,274 | 9,236,137 | 2,654,452 | 18.31 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 2,696,651 | 1,673,545 | 1,110,843 | 1.62 |
197 |
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. Total Market Equity Portfolio | $ 910,366 | $ 309,468 | 634,772 | 2.39 | ||||
Small Cap Equity Portfolio | 36,822,864 | 24,422,056 | 14,197,102 | 2.91 | ||||
Core Fixed Income Portfolio | 44,577 | 45,473 | — | 0.01 | ||||
Short Term Tax Aware Fixed Income Portfolio | 25,500 | 26,350 | — | 0.05 |
198 |
Quantitative U.S. Large Cap Core Equity Portfolio, Quantitative U.S. Large Cap Growth Equity Portfolio, Quantitative U.S. Large Cap Value Equity Portfolio, Quantitative U.S. Small Cap 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, 2020 and statements of changes in net assets for the years ended October 31, 2020 and 2019 |
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, 2020 and statements of changes in net assets for the years ended October 31, 2020 and 2019 |
199 |
December 18, 2020
200 |
Muni Intermediate Portfolio | |
Assets: | |
Investments at value1 | $ 307,041,307 |
Cash | 14,863,729 |
Receivable for fund shares sold | 17,500 |
Interest receivable | 3,527,615 |
Prepaid expenses | 1,206 |
Total assets | 325,451,357 |
Liabilities: | |
Payable for when-issued securities purchased | 3,355,750 |
Payable for fund shares redeemed | 40,604 |
Payable for Trustees’ fees | 10,518 |
Payable for Shareholder Servicing fees | 41,204 |
Accrued expenses | 64,206 |
Total liabilities | 3,512,282 |
Net Assets | $321,939,075 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $ 28,222 |
Paid-in capital in excess of par value | 306,742,419 |
Total distributable earnings | 15,168,434 |
Total Net Assets | $321,939,075 |
Shares Outstanding | 28,221,994 |
Net Asset Value Per Share | $ 11.41 |
1 Investments at cost | $295,785,818 |
201 |
Muni Intermediate Portfolio | |
Investment income: | |
Interest | $ 6,394,382 |
Total investment income | 6,394,382 |
Expenses: | |
Administration, transfer agent and custody fees | 192,769 |
Professional fees | 39,131 |
Shareholder report expenses | 4,198 |
Shareholder servicing fees | 467,994 |
Trustees’ fees and expenses | 40,954 |
Registration and filing fees | 8,710 |
Other expenses | 14,359 |
Total expenses | 768,115 |
Net investment income | 5,626,267 |
Realized and unrealized gain: | |
Net realized gain on: | |
Investment transactions | 3,469,398 |
Net change in unrealized gain of: | |
Investments | 1,937,819 |
Net realized and unrealized gain | 5,407,217 |
Net increase in net assets resulting from operations | $11,033,484 |
202 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $ 5,626,267 |
Net realized gain on: | |
Investment transactions | 3,469,398 |
Net change in unrealized gain of: | |
Investments | 1,937,819 |
Net increase in net assets resulting from operations | 11,033,484 |
Distributions from earnings | (6,748,049) |
Net increase in net assets from capital share transactions (See note 4) | 6,334,307 |
Net increase in net assets | 10,619,742 |
NET ASSETS: | |
Beginning of year | 311,319,333 |
End of year | $321,939,075 |
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 |
203 |
Muni Intermediate Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2020 1 | 2019 1 | 2018 | 2017 | 2016 | |||||
Net asset value, beginning of year | $ 11.25 | $ 10.73 | $ 11.01 | $ 11.08 | $ 10.98 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.20 | 0.22 | 0.20 | 0.19 | 0.17 | ||||
Net realized and unrealized gain (loss) on investments | 0.21 | 0.52 | (0.28) | (0.04) | 0.10 | ||||
Total from investment operations | 0.41 | 0.74 | (0.08) | 0.15 | 0.27 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.21) | (0.22) | (0.20) | (0.18) | (0.17) | ||||
Net realized capital gains | (0.04) | — | — | (0.04) | — | ||||
Total distributions | (0.25) | (0.22) | (0.20) | (0.22) | (0.17) | ||||
Net asset value, end of year | $ 11.41 | $ 11.25 | $ 10.73 | $ 11.01 | $ 11.08 | ||||
Total return | 3.64% | 6.90% | (0.73)% | 1.38% | 2.45% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $321,939 | $311,319 | $289,401 | $303,982 | $331,243 | ||||
Ratio of operating expenses to average net assets | 0.25% | 0.24% | 0.23% | 0.23% | 0.25% | ||||
Ratio of net investment income to average net assets | 1.80% | 1.94% | 1.86% | 1.70% | 1.53% | ||||
Portfolio turnover rate | 35% | 34% | 31% | 19% | 34% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
204 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 95.4% | |||
Alabama — 2.0% | |||
$2,500,000 | Alabama State, Public School and College Authority, Revenue Bonds, Refunding , Series A, 5.000% due 11/1/311 | $ 3,396,725 | |
3,000,000 | Black Belt Energy Gas District, AL, Gas Supply Revenue, Revenue Bonds, Series A, 4.000% due 7/1/462 | 3,053,280 | |
6,450,005 | |||
Alaska — 1.4% | |||
1,630,000 | Alaska State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/22 | 1,763,481 | |
2,745,000 | Anchorage, AK, Electric Utility, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/21 | 2,853,290 | |
4,616,771 | |||
Arizona — 0.8% | |||
2,015,000 | Yuma, AZ, Municipal Property Corp., Road & Excise Tax, Revenue Bonds, Refunding, 5.000% due 7/1/26 | 2,429,526 | |
California — 0.6% | |||
1,500,000 | California State, CA, General Obligation Unlimited, 5.000% due 3/1/34 | 1,960,050 | |
Colorado — 1.3% | |||
1,950,000 | Colorado State, CO, Housing and Finance Authority, Revenue Bonds, Series B, 3.750% due 5/1/50 | 2,166,079 | |
1,425,000 | E-470 Public Highway Authority, Revenue Bonds. Series A, 5.000% due 9/1/28 | 1,845,518 | |
4,011,597 | |||
Connecticut — 1.4% | |||
1,965,000 | Connecticut State, Housing Finance Authority, Housing Finance Mortgage Program, Revenue Bonds, Refunding, Series F-1, 3.500% due 11/15/43 | 2,161,677 | |
2,000,000 | State of Connecticut, General Obligation Unlimited, Series C, 4.000% due 6/1/28 | 2,391,540 | |
4,553,217 | |||
Delaware — 1.3% | |||
1,000,000 | Delaware River and Bay Authority, DE, Consisting, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/27 | 1,123,850 | |
2,640,000 | Delaware State, DE, General Obligation Unlimited, Refunding, Series B, 5.000% due 7/1/24 | 3,095,638 | |
4,219,488 | |||
District Of Columbia — 1.4% | |||
2,700,000 | District of Columbia, General Obligation Unlimited, Series D, 5.000% due 6/1/25 | 3,266,730 | |
1,000,000 | Metropolitan Washington, DC, Airports Authority System, Revenue Bonds, Refunding, Series B, 5.000% due 10/1/23 | 1,130,370 | |
4,397,100 | |||
Florida — 7.1% | |||
1,025,000 | Broward County, FL, School Broward Corporation, Certificate of Participation, Refunding, Series A, 5.000% due 7/1/27 | 1,245,713 | |
2,820,000 | Central, FL, Expressway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 3,456,784 | |
2,765,000 | Florida State, Department of Environmental Protection, Preservation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/22 | 2,981,610 |
205 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$2,500,000 | Florida State, Municipal Power Agency, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/27 | $ 3,185,250 | |
2,750,000 | Lakeland, FL, Energy System Revenue Bonds, Refunding, 5.000% due 10/1/25 | 3,361,490 | |
3,000,000 | Lee County, FL, School Board, Certificate of Participation, Series A, 5.000% due 8/1/28 | 3,865,980 | |
2,025,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 2,178,617 | |
2,000,000 | Pasco County, FL, School Board, Certificate Participation, Series C, (AGMC Insured), 5.000% due 8/1/33 | 2,600,320 | |
22,875,764 | |||
Georgia — 1.6% | |||
1,250,000 | City of Atlanta, GA Airport, Revenue Bond, Refunding, Series A, 5.000% due 7/1/28 | 1,615,625 | |
2,675,000 | Georgia State, General Obligation Unltd, Series A, 5.000% due 8/1/28 | 3,537,982 | |
5,153,607 | |||
Illinois — 4.5% | |||
Chicago, IL, O’Hare International Airport Revenue Bonds, Refunding, Series B: | |||
2,545,000 | 5.000% due 1/1/30 | 2,945,634 | |
2,000,000 | 5.000% due 1/1/32 | 2,303,380 | |
4,000,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/25 | 4,760,160 | |
4,000,000 | Regional Transportation Authority, IL, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 4,432,160 | |
14,441,334 | |||
Indiana — 0.8% | |||
2,500,000 | Indiana Health and Educational Facilities Financing Authority, Revenue Bonds, Series B, 1.750% due 11/15/312 | 2,534,293 | |
Iowa — 0.4% | |||
1,160,000 | State of Iowa, Finance Authority, Variable Refunding Health facilities, Revenue Bonds, Series-B1, 0.100% due 2/15/392 | 1,160,000 | |
Kansas — 1.3% | |||
Kansas State, KS, Department of Transportation Highway Revenue, Revenue Bonds, Series C: | |||
1,190,000 | 5.000% due 9/1/23 | 1,289,472 | |
2,750,000 | 5.000% due 9/1/24 | 2,978,828 | |
4,268,300 | |||
Kentucky — 2.1% | |||
2,315,000 | Jefferson County, KY, School District Finance Corp. School Building, Revenue Bonds, Series A, 4.000% due 6/1/29 | 2,760,545 | |
2,000,000 | Kentucky State, Property & Building Commission, Revenue Bonds, Refunding, 4.000% due 8/1/21 | 2,005,360 | |
1,500,000 | Kentucky State, Property & Building Commission, Revenue Bonds, Refunding, Series A, (AGMC Insured), 5.000% due 11/1/27 | 1,891,665 | |
6,657,570 | |||
Maine — 1.1% | |||
Maine State Municipal Bond Bank, Infrastructure Revenue, Refunding, Series A: | |||
1,175,000 | 5.000% due 9/1/21 | 1,221,424 | |
1,985,000 | 5.000% due 9/1/22 | 2,157,596 | |
3,379,020 |
206 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Maryland — 4.4% | |||
$3,000,000 | Frederick County, MD, General Obligation Unlimited, Series A, 3.000% due 8/1/31 | $ 3,443,520 | |
4,000,000 | Maryland State, General Obligation Unlimited, 5.000% due 8/1/24 | 4,699,120 | |
2,000,000 | Maryland State, General Obligation Unlimited, Series A, 5.000% due 3/15/30 | 2,574,560 | |
1,240,000 | Montgomery County, MD, General Obligation, Consolidated Public Improvement, Refunding,, 4.000% due 11/1/28 | 1,511,151 | |
2,000,000 | Washington, MD, Suburban Sanitary Commission, General Obligation Unlimited, Public Improvement, 4.000% due 6/1/21 | 2,043,620 | |
14,271,971 | |||
Massachusetts — 1.7% | |||
2,000,000 | Massachusetts State, General Obligation Limited, Refunding, Series E, 3.000% due 12/1/27 | 2,315,620 | |
2,850,000 | Massachusetts State, General Obligation Limited, Series C, 5.000% due 5/1/30 | 3,176,467 | |
5,492,087 | |||
Michigan — 5.6% | |||
1,045,000 | Brighton Area School District, General Obligation, Series A, (QSBLF Insured), 5.000% due 5/1/28 | 1,327,892 | |
1,015,000 | Byron Center, MI, Public Schools, General Obligation Unlimited, Refunding, (QSBLF Insured), 5.000% due 5/1/24 | 1,175,847 | |
4,000,000 | Detroit, MI, City School District, General Obligation Unlimited, Series A, (QSBLF Insured), 5.000% due 5/1/26 | 4,263,400 | |
3,100,000 | Michigan Finance Authority, Revenue Bonds, Refunding Detroit School District, Series A, (QSBLF Insured), 5.000% due 5/1/21 | 3,170,525 | |
2,000,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/27 | 2,006,480 | |
1,000,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/442 | 1,056,850 | |
1,500,000 | Michigan State, General Obligation Unltd, Environmental Program Bond, Series A, 5.000% due 5/15/32 | 2,010,135 | |
2,700,000 | Michigan State, Housing Development Authority, Revenue Bonds, Series B, 3.500% due 6/1/47 | 2,875,932 | |
17,887,061 | |||
Minnesota — 4.0% | |||
2,275,000 | Hennepin Country, MN, General Obligation Unltd, Series B, 5.000% due 12/1/30 | 3,148,304 | |
3,860,000 | Minnesota State, MN, Housing Finance Agency, Revenue Bonds, Refunding, Series E, (GNMA / FNMA / FHLMC Insured), 4.000% due 1/1/47 | 4,113,448 | |
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 | 5,579,136 | |
12,840,888 | |||
Mississippi — 1.0% | |||
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 | 3,218,713 | |
Missouri — 1.6% | |||
2,000,000 | City of Kansas, MO, Sanitary Sewer System Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 2,353,400 |
207 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Missouri — (Continued) | |||
$2,465,000 | Missouri State, MO, Housing Development Commission Single Family Mortgage, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 11/1/50 | $ 2,734,696 | |
5,088,096 | |||
Nevada — 0.4% | |||
1,000,000 | Clark County School District, Nevada General Obligation,Building and Refunding Bonds, Series C, 5.000% due 6/15/26 | 1,217,780 | |
New Jersey — 0.5% | |||
1,375,000 | New Jersey, NJ, Turnpike Authority, Revenue Bonds, Series A, 5.000% due 1/1/27 | 1,704,189 | |
New Mexico — 0.8% | |||
1,155,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 1/1/51 | 1,280,260 | |
1,110,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series F, (GNMA / FNMA / FHLMC Insured), 3.500% due 7/1/50 | 1,221,510 | |
2,501,770 | |||
New York — 5.2% | |||
1,000,000 | City of New York, NY, General Obligation Unltd, Class C, 5.000% due 8/1/23 | 1,121,240 | |
1,250,000 | City of New York, NY, General Obligation Unltd, Fiscal 2008 Series J, 5.000% due 8/1/28 | 1,592,738 | |
2,000,000 | City of New York, NY, General Obligation, Class C, 5.000% due 8/1/32 | 2,579,820 | |
2,000,000 | New York City, NY, Municipal Water Finanace Authority, Water and Sewer System, Second General resolution Revenue Bonds, Series AA-2, 5.000% due 6/15/30 | 2,700,780 | |
1,650,000 | New York City, NY, Transitional Finance Authority Revenue, Future Tax Secured, Series C, 5.000% due 11/1/26 | 2,055,207 | |
2,275,000 | New York City, NY, Transitional Finance Authority, Future Tax Secured, Revenue Bonds, Subseries E-1, 5.000% due 2/1/30 | 2,741,580 | |
2,440,000 | New York State, NY, Dormitory Authority, Personal Income Tax, Revenue Bonds, Series E, 4.000% due 3/15/28 | 2,793,702 | |
1,070,000 | Triborough Bridge and Tunnel Authority, Revenue Bonds, Series C, 4.000% due 11/15/27 | 1,274,284 | |
16,859,351 | |||
North Carolina — 3.5% | |||
1,220,000 | Duplin County, NC, Limited Obligation, Revenue Bonds, 5.000% due 4/1/23 | 1,340,853 | |
New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding: | |||
775,000 | 5.000% due 10/1/21 | 806,659 | |
2,320,000 | 5.000% due 10/1/22 | 2,517,849 | |
600,000 | 5.000% due 10/1/23 | 675,246 | |
2,940,000 | North Carolina State, General Obligation Unlimited, Refunding, Series A, 5.000% due 6/1/27 | 3,657,213 | |
2,000,000 | Raleigh City, North Carolina, Combined Enterprise System Revenue, Refunding, Series B, 5.000% due 12/1/24 | 2,383,140 | |
11,380,960 | |||
Ohio — 6.1% | |||
2,060,000 | Ohio State, Adult Correctional Capital Facilities, Lease Revenue, Series A, 5.000% due 4/1/21 | 2,099,655 |
208 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Ohio — (Continued) | |||
$3,250,000 | Ohio State, General Obligation Unlimited, Series A, 5.000% due 6/15/28 | $ 3,595,215 | |
1,010,000 | Ohio State, Hospital Refunding Revenue Bonds, Cleveland Clinic Health System, Series A, 5.000% due 1/1/27 | 1,269,671 | |
1,670,000 | Ohio State, Hospital Revenue Bonds, Series A, 5.000% due 1/15/24 | 1,826,496 | |
2,720,000 | Ohio State, Housing Finance Agency Residential Mortgage, Revenue Bonds, (GNMA / FNMA / FHLMC Insured), 4.000% due 3/1/48 | 2,956,041 | |
1,000,000 | Ohio State, Revenue Bonds, Refunding, Series B, 5.000% due 10/1/21 | 1,042,640 | |
1,360,000 | Ohio State, Special Obligation, Revenue Bonds, 5.000% due 10/1/21 | 1,417,990 | |
4,245,000 | Ohio State, Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 5.000% due 6/1/30 | 5,339,064 | |
19,546,772 | |||
Oklahoma — 0.7% | |||
2,000,000 | Grand River, OK, Dam Authority, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/24 | 2,321,960 | |
Pennsylvania — 4.7% | |||
1,950,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/28 | 2,479,211 | |
1,000,000 | City of Philadelphia, PA, Pennsylvania, General Obligation, Series A, 5.000% due 8/1/26 | 1,226,890 | |
1,000,000 | City of Philadelphia, PA, Pennsylvania, General Obligation, Series B, 5.000% due 2/1/28 | 1,269,230 | |
440,000 | Conneaut, PA, School District, Refunding, Series B, (AGMC Insured State Aid Withholding), 5.000% due 11/1/20 | 440,000 | |
2,500,000 | Cumberland County, PA, Municipal Authority, Revenue Bonds, 5.000% due 11/1/31 | 3,182,250 | |
2,500,000 | Pennsylvania State Turnpike Authority, Revenue Bonds, Refunding, 5.000% due 12/1/22 | 2,743,275 | |
1,500,000 | Pennsylvania State, General Obligation Unlimited, Series 2, 5.000% due 9/15/25 | 1,825,080 | |
1,945,000 | Pennsylvania State, Housing Finance Agency Single Family Mortgage Revenue, Revenue Bonds, Series 2019-131A, 3.500% due 4/1/49 | 2,104,587 | |
15,270,523 | |||
Rhode Island — 0.3% | |||
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 | 1,088,717 | |
South Carolina — 0.3% | |||
1,010,000 | Beaufort County, SC, General Obligation Unlimited, Series B, (State Aid Withholding), 5.000% due 5/1/22 | 1,081,831 | |
Texas — 13.7% | |||
1,420,000 | Alamo, TX, Community College District, General Obligation Limited, 5.000% due 2/15/23 | 1,438,957 | |
1,065,000 | Alamo, TX, Community College District, General Obligation Limited, Refunding, 5.000% due 2/15/24 | 1,226,837 | |
2,000,000 | Cities of Dallas and Fort Worth, TX, International Airport Joint Revenue, Revenue Bonds, Series A, 5.000% due 11/1/31 | 2,627,240 | |
3,000,000 | Dallas, TX, Area Rapid Transit, Sales Tax Revenue, Revenue Bonds, Refunding, 5.000% due 12/1/25 | 3,686,190 |
209 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
$1,500,000 | Dallas, TX, Fort Worth International Airport, Revenue Bonds, Series B, 5.000% due 11/1/31 | $ 1,500,000 | |
1,000,000 | Dallas, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 2/15/22 | 1,013,500 | |
2,100,000 | Dallas, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 5.000% due 2/15/23 | 2,326,464 | |
Harris County, Texas, Cultural Education Facilities Finance Corp., Revenue Bonds, Refunding, Children’s Hospital Project: | |||
1,850,000 | 5.000% due 10/1/26 | 2,225,199 | |
1,000,000 | 5.000% due 10/1/27 | 1,196,510 | |
3,000,000 | Harris County, Texas, Flood Control District, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/28 | 3,835,920 | |
Harris County, Texas, Revenue Bonds, Refunding, Series A: | |||
1,300,000 | 5.000% due 8/15/24 | 1,522,014 | |
3,000,000 | 5.000% due 8/15/25 | 3,635,160 | |
4,000,000 | North Texas, Tollway Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/30 | 4,672,320 | |
2,550,000 | Texas State, General Obligation Unlimited, Series A, 5.000% due 10/1/26 | 3,212,056 | |
1,000,000 | Texas State, Transportation Commission Highway Fund Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 1,090,910 | |
1,165,000 | Texas State, TX, A&M University Permanent University Fund, Revenue Bonds, 5.000% due 7/1/22 | 1,257,478 | |
3,500,000 | University of Texas, Revenue Bonds, Series D , 5.000% due 8/15/25 | 4,270,700 | |
3,090,000 | Waco, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/23 | 3,491,916 | |
44,229,371 | |||
Utah — 0.8% | |||
2,440,000 | Nebo, UT, School District, General Obligation Unlimited, Series C, 4.000% due 7/1/23 | 2,682,341 | |
Vermont — 0.6% | |||
1,920,000 | Vermon State, Educational and Health Buildings Financing Agency, Revenue Bonds, 0.120% due 7/1/392 | 1,920,000 | |
Virginia — 2.2% | |||
2,800,000 | Richmond, VA, Convention Center Authority, Hotel Tax Revenue Bonds, Refunding, 5.000% due 6/15/27 | 3,199,560 | |
3,555,000 | Virginia State, College Building Authority, Education Facility, Revenue Bonds, Series B, 3.000% due 2/1/33 | 3,900,617 | |
7,100,177 | |||
Washington — 5.5% | |||
3,695,000 | City of Seattle, WA, Municipal Light and Power Revenue, Revenue Bonds, Refunding, 4.000% due 9/1/30 | 4,122,253 | |
1,205,000 | Grays Harbor County, WA, Public Utility District No. 1, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,419,430 | |
3,600,000 | King County, WA, Bellevue School District No. 405, General Obligation Unlimited, 5.000% due 12/1/25 | 4,114,728 | |
4,000,000 | Washington State, General Obligation Unlimited, Refunding, Series R-2013A, 4.000% due 7/1/28 | 4,228,480 | |
3,000,000 | Washington State, General Obligation Unlimited, Series D, 5.000% due 2/1/26 | 3,703,440 | |
17,588,331 |
210 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — 1.4% | |||
$2,100,000 | Wisconsin State, Department of Transportation Revenue, Revenue Bonds, Refunding, Series 2, 5.000% due 7/1/29 | $ 2,659,713 | |
1,470,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 11/15/28 | 1,919,305 | |
4,579,018 | |||
Wyoming — 1.3% | |||
3,715,000 | Wyoming State, Community Development Authority, Housing Revenue, Revenue Bonds, Refunding, Series 3, 4.000% due 6/1/43 | 4,061,758 | |
TOTAL MUNICIPAL BONDS (Cost $295,785,818) | 307,041,307 | ||
TOTAL INVESTMENTS (Cost $295,785,818) | 95.4% | $307,041,307 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 4.6 | 14,897,768 | |
NET ASSETS | 100.0% | $321,939,075 |
* | Percentages indicated are based on net assets. |
1 | When-issued security. |
2 | 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, 2020. |
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 |
211 |
% of Net Assets | Value | ||
STATE: | |||
Texas | 13.7% | $ 44,229,371 | |
Florida | 7.1 | 22,875,764 | |
Ohio | 6.1 | 19,546,772 | |
Michigan | 5.6 | 17,887,061 | |
Washington | 5.5 | 17,588,331 | |
New York | 5.2 | 16,859,351 | |
Pennsylvania | 4.7 | 15,270,523 | |
Illinois | 4.5 | 14,441,334 | |
Maryland | 4.4 | 14,271,971 | |
Minnesota | 4.0 | 12,840,888 | |
North Carolina | 3.5 | 11,380,960 | |
Virginia | 2.2 | 7,100,177 | |
Kentucky | 2.1 | 6,657,570 | |
Alabama | 2.0 | 6,450,005 | |
Massachusetts | 1.7 | 5,492,087 | |
Georgia | 1.6 | 5,153,607 | |
Missouri | 1.6 | 5,088,096 | |
Alaska | 1.4 | 4,616,771 | |
Wisconsin | 1.4 | 4,579,018 | |
Connecticut | 1.4 | 4,553,217 | |
District of Columbia | 1.4 | 4,397,100 | |
Kansas | 1.3 | 4,268,300 | |
Delaware | 1.3 | 4,219,488 | |
Wyoming | 1.3 | 4,061,758 | |
Colorado | 1.3 | 4,011,597 | |
Maine | 1.1 | 3,379,020 | |
Mississippi | 1.0 | 3,218,713 | |
Utah | 0.8 | 2,682,341 | |
Indiana | 0.8 | 2,534,293 | |
New Mexico | 0.8 | 2,501,770 | |
Arizona | 0.8 | 2,429,526 | |
Oklahoma | 0.7 | 2,321,960 | |
California | 0.6 | 1,960,050 | |
Vermont | 0.6 | 1,920,000 | |
New Jersey | 0.5 | 1,704,189 | |
Nevada | 0.4 | 1,217,780 | |
Iowa | 0.4 | 1,160,000 | |
Rhode Island | 0.3 | 1,088,717 | |
South Carolina | 0.3 | 1,081,831 | |
TOTAL MUNICIPAL BONDS | 95.4% | $307,041,307 | |
TOTAL INVESTMENTS | 95.4% | $307,041,307 |
212 |
213 |
Portfolio | Undistributed Tax-exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Total Distributable Earnings | |||||
Muni Intermediate Portfolio | $444,431 | $927,749 | $2,540,765 | $11,255,489 | $15,168,434 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | Return of Capital | ||||
Muni Intermediate Portfolio | $5,680,505 | $465,124 | $602,420 | $— |
Portfolio | Tax Exempt | Ordinary Income | ||
Muni Intermediate Portfolio | $5,808,827 | $81,460 |
214 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Muni Intermediate Portfolio | $295,785,818 | $11,398,402 | $142,913 | $11,255,489 |
Portfolio | Purchases | Sales | ||
Muni Intermediate Portfolio | $108,017,238 | $112,383,134 |
215 |
Year Ended 10/31/20 | Year Ended 10/31/19 | ||||||
Shares | Amount | Shares | Amount | ||||
Muni Intermediate Portfolio | |||||||
Sold | 6,830,268 | $ 77,223,336 | 5,992,921 | $ 65,990,943 | |||
Issued as reinvestment of dividends | 97,052 | 1,085,249 | — | — | |||
Redeemed | (6,381,963) | (71,974,278) | (5,279,393) | (58,124,625) | |||
Net Increase | 545,357 | $ 6,334,307 | 713,528 | $ 7,866,318 |
216 |
December 18, 2020
217 |
Core Fixed Income Portfolio | 68.78% |
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. Total Market Equity Portfolio | 97.97 % |
Strategic Equity Portfolio | 100 % |
Small Cap Equity Portfolio | 100 % |
Large Cap Value Portfolio | 100 % |
Equity Income Portfolio | 100 % |
Short Term Tax Aware Fixed Income Portfolio | 3.58 % |
Portfolio | Total | |
Quantitative International Equity Portfolio | $202,763 |
Quantitative U.S. Large Cap Core Equity Portfolio | $128,906,013 |
Quantitative U.S. Large Cap Growth Equity Portfolio | $564,377,793 |
Responsible ESG U.S. Equity Portfolio | $ 92,525 |
Quantitative U.S. Total Market Equity Portfolio | $ 4,701,738 |
Strategic Equity Portfolio | $ 7,281,927 |
Large Cap Value Portfolio | $ 3,345,842 |
Secured Options Portfolio | $ 29,797,110 |
Muni Intermediate Portfolio | $602,420 |
Quantitative U.S. Large Cap Core Equity Portfolio | $18,713,284 |
Quantitative U.S. Large Cap Growth Equity Portfolio | $14,981,564 |
Quantitative U.S. Large Cap Value Equity Portfolio | $ 40,984 |
Quantitative U.S. Small Cap Equity Portfolio | $ 7,684 |
Quantitative International Equity Portfolio | $ 2,924,736 |
Responsible ESG U.S. Equity Portfolio | $ 237,514 |
Women in Leadership U.S. Equity Portfolio | $ 239,220 |
Quantitative U.S. Long/Short Equity Portfolio | $ 182,295 |
Quantitative U.S. Total Market Equity Portfolio | $ 242,731 |
Strategic Equity Portfolio | $2,023,010 |
218 |
Small Cap Equity Portfolio | $5,267,457 |
Large Cap Value Portfolio | $ 605,288 |
Equity Income Portfolio | $ 478,143 |
Short Term Tax Aware Fixed Income Portfolio | $4,063 |
Secured Options Portfolio | 78.51 % |
Global Secured Options Portfolio | 97.81 % |
Core Fixed Income Portfolio | 13.39 % |
Short Term Tax Aware Fixed Income Portfolio | 1.84 % |
219 |
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: 64 | Director of Glenmede Fund (since March 1991) and Trustee of Glenmede Portfolios (since May 1992) | Professor of Finance and Economics and Executive 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). | 19 | None | ||||
William L. Cobb, Jr. Age: 73 | 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); Vice Chairman, J.P. Morgan Investment Management (1994-1999). | 19 | Director, TCW Direct Lending LLC | ||||
Gail E. Keppler Age: 74 | 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. | 19 | None | ||||
Harry Wong Age: 72 | 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); Managing Director, BIO-IB LLC (healthcare investment banking) (2004-2009); Senior Managing Director, ABN AMRO (investment banking) (1990-2002); Adjunct Faculty Member, Sacred Heart University (2003-2007). | 19 | None |
220 |
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 Age: 77 | 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) and Compensation Committee (since 1993), 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; Board Member, Monell Chemical Senses Center; Director: Thomas Skelton Harrison Foundation and The Catherwood Foundation; Fellow and formerly served on Finance and Investment Committees, and former Board member, College of Physicians of Philadelphia; Former Member, The Women’s Committee and Penn Museum Board of Overseers of the University of Pennsylvania; Former Board Chair, University of Pennsylvania Health System (1991-1999) | 19 | None | ||||
G. Thompson Pew, Jr. Age: 78 | 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 formerly the Compensation Committee, 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. | 19 | None | ||||
Mary Ann B. Wirts Age: 70 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since June 2020) | Managing Director and Chief Administrative Officer of Glenmede Trust (until 2020). Managing Director and Chief Administrative Officer of Glenmede Investment Management LP (2006-2020). First Vice President and Managing Director of Fixed Income of Glenmede Advisers (2000-2006). | 19 | None |
221 |
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: 53 | 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: 54 | Executive Vice President of the Funds since December 1997; Assistant Treasurer of the Funds since December 2020. | 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. | ||
Michael P. Malloy One Logan Square, Suite 2000 Philadelphia, PA 19103- 6996 Age: 61 | Secretary of the Funds since January 1995. | Partner in the law firm of Faegre Drinker Biddle & Reath LLP. | ||
Christopher E. McGuire 1 Iron Street Boston, MA 02210 Age: 47 | Treasurer of the Funds since December 2019. | Director of Administration, Glenmede Investment Management LP (since October 2019); Managing Director, State Street Bank and Trust Company (from 2007 - October 2019). | ||
Eimile J. Moore 690 Taylor Road, Suite 210 Columbus, OH 43230 Age: 51 | 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 Brick 100 Summer Street, Floor 7 Boston, MA 02111 Age: 46 | Assistant Secretary of the Funds since December 2013. | Vice President and Senior Counsel, State Street Bank and Trust Company (2011-present). |
222 |
223 |
224 |
225 |
Item 2. Code of Ethics.
As of October 31, 2020, 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, 2020, 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 Form N-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 $569,517 and $500,906 for the fiscal years ended October 31, 2019 and October 31, 2020, respectively. |
(b) | Audit-Related Fees – There were no fees billed for the fiscal years ended October 31, 2019 and October 31, 2020 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, other tax-related filings, excise tax calculations and final income distributions for liquidating funds were $104,280 and $101,200 for the fiscal years ended October 31, 2019 and October 31, 2020, respectively. |
(d) | All Other Fees – There were no other fees billed for the fiscal years ended October 31, 2019 and October 31, 2020 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 committee pre-approves all audit and non-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 Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-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, 2020 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | The aggregate non-audit fees and services billed by the Registrant’s accountant for each of the last two fiscal years were $104,280 and $101,200 for the fiscal years ended October 31, 2019 and October 31, 2020, respectively, as described above. |
(h) | Not applicable. |
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 for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Investment Management Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of 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 Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-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 Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-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 for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(3) Not applicable.
(a)(4) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | THE GLENMEDE FUND, INC. | |||
By (Signature and Title) | /s/ Kent E. Weaver | |||
Kent E. Weaver President (Principal Executive Officer) | ||||
Date | January 6, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Kent E. Weaver | |||
Kent E. Weaver President (Principal Executive Officer) | ||||
Date | January 6, 2021 | |||
/s/ Christopher E. McGuire | ||||
Christopher E. McGuire Treasurer (Principal Financial Officer) | ||||
Date | January 6, 2021 |