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: April 30, 2021
Item 1. Reports to Stockholders.
(a)
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1 |
Beginning Account Value (November 1, 2020) | Ending Account Value (April 30, 2021) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2020 to April 30, 2021) | ||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor | |||||||
Actual | $1,000.00 | $1,350.20 | 0.87% | $ 5.07 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.36 | |||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,351.50 | 0.67 | 3.91 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.67 | 3.36 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,282.40 | 0.87 | 4.92 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.36 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,284.10 | 0.67 | 3.79 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.67 | 3.36 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Actual | 1,000.00 | 1,397.00 | 0.85 | 5.05 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Actual | 1,000.00 | 1,518.50 | 0.85 | 5.31 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Quantitative International Equity Portfolio | |||||||
Actual | 1,000.00 | 1,279.20 | 1.00 | 5.65 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.80 | 1.00 | 5.01 | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 1,371.00 | 0.85 | 5.00 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 1,375.10 | 0.85 | 5.01 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Quantitative U.S. Long/Short Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,123.10 | 2.58 | 13.58 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,012.00 | 2.58 | 12.87 |
2 |
Beginning Account Value (November 1, 2020) | Ending Account Value (April 30, 2021) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2020 to April 30, 2021) | ||||
Quantitative U.S. Long/Short Equity Portfolio – Institutional | |||||||
Actual | $1,000.00 | $1,123.80 | 2.36% | $12.43 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,013.10 | 2.36 | 11.78 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Actual | 1,000.00 | 1,478.30 | 1.84 | 11.31 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,015.70 | 1.84 | 9.20 | |||
Strategic Equity Portfolio | |||||||
Actual | 1,000.00 | 1,323.30 | 0.86 | 4.95 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.86 | 4.31 | |||
Small Cap Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,536.00 | 0.95 | 5.97 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.10 | 0.95 | 4.76 | |||
Small Cap Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,537.10 | 0.75 | 4.72 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.10 | 0.75 | 3.76 | |||
Equity Income Portfolio | |||||||
Actual | 1,000.00 | 1,275.90 | 0.85 | 4.80 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Secured Options Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,180.80 | 0.88 | 4.76 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.40 | 0.88 | 4.41 | |||
Secured Options Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,182.70 | 0.68 | 3.68 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.40 | 0.68 | 3.41 | |||
Global Secured Options Portfolio | |||||||
Actual | 1,000.00 | 1,144.70 | 1.00 | 5.32 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.80 | 1.00 | 5.01 | |||
Core Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 976.20 | 0.54 | 2.65 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.10 | 0.54 | 2.71 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,004.20 | 0.55 | 2.73 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.10 | 0.55 | 2.76 | |||
High Yield Municipal Portfolio | |||||||
Actual | 1,000.00 | 1,054.10 | 1.00 | 5.09 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.80 | 1.00 | 5.01 |
* | 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 (181 days), and divided by the number of days in the calendar year (365 days). |
3 |
Beginning Account Value (November 1, 2020) | Ending Account Value (April 30, 2021) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2020 to April 30, 2021) | ||||
Muni Intermediate Portfolio | |||||||
Actual | $1,000.00 | $1,009.10 | 0.25% | $1.25 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,023.60 | 0.25 | 1.25 |
* | 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 (181 days), and divided by the number of days in the calendar year (365 days). |
4 |
Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 1,395,665,637 | $ 2,130,703,738 | $ 2,216,727 | ||
Repurchase agreements at value1 | 1,905,668 | 3,653,866 | 8,897 | ||
Receivable from Advisor | — | — | 2,449 | ||
Receivable for securities sold | 1,747,236 | — | — | ||
Receivable for fund shares sold | 353,320 | 650,352 | — | ||
Dividends receivable | 1,314,062 | 561,179 | 3,073 | ||
Prepaid expenses | 39,451 | 72,427 | 50 | ||
Total assets | 1,401,025,374 | 2,135,641,562 | 2,231,196 | ||
Liabilities: | |||||
Line of credit interest payable | — | 2,720 | — | ||
Payable for fund shares redeemed | 582,336 | 4,772,294 | — | ||
Payable for Management fees | 633,639 | 1,007,906 | 994 | ||
Payable for Directors’ fees | 41,515 | 69,241 | 37 | ||
Payable for Shareholder Servicing fees | 205,141 | 283,145 | 362 | ||
Accrued expenses | 310,181 | 541,328 | 7,675 | ||
Total liabilities | 1,772,812 | 6,676,634 | 9,068 | ||
Net Assets | $1,399,252,562 | $2,128,964,928 | $ 2,222,128 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 45,040 | $ 59,659 | $ 177 | ||
Paid-in capital in excess of par value | 774,136,953 | 938,398,988 | 1,767,823 | ||
Total distributable earnings | 625,070,569 | 1,190,506,281 | 454,128 | ||
Total Net Assets | $1,399,252,562 | $2,128,964,928 | $ 2,222,128 | ||
Shares Outstanding3 | 45,040,274 | 59,658,908 | 177,444 | ||
Net Asset Value Per Share | $ — | $ — | $ 12.52 | ||
Advisor Class — based on net assets of $1,245,398,148 and $1,694,715,761, respectively and shares outstanding of 40,088,651 and 47,491,523, respectively | 31.07 | 35.68 | — | ||
Institutional Class — based on net assets of $153,854,414 and $434,249,167, respectively and shares outstanding of 4,951,623 and 12,167,385, respectively | 31.07 | 35.69 | — | ||
1 Investments at cost | $ 895,967,937 | $ 1,303,668,944 | $ 1,641,645 | ||
2 Market value of securities on loan | $ — | $ — | $ 12,522 | ||
3 Authorized shares | — | — | 80,000,000 | ||
Authorized shares - Advisor Class | 155,000,000 | 240,000,000 | — | ||
Authorized shares - Institutional Class | 155,000,000 | 140,000,000 | — |
5 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 1,480,909 | $ 54,711,610 | $ 30,249,194 | ||
Repurchase agreements at value1 | 16,371 | 180,799 | — | ||
Cash | — | 12,034 | — | ||
Receivable from Advisor | 2,618 | — | 12,772 | ||
Receivable for securities sold | — | — | 92,160 | ||
Receivable for fund shares sold | — | — | 40,114 | ||
Dividends receivable | 92 | 128,711 | 36,625 | ||
Securities lending income receivable | 2 | 15,880 | — | ||
Foreign tax reclaims receivable | — | 708,618 | — | ||
Prepaid expenses | 28 | 2,301 | 650 | ||
Total assets | 1,500,020 | 55,759,953 | 30,431,515 | ||
Liabilities: | |||||
Due to custodian | — | — | 22,904 | ||
Obligation to return securities lending collateral | — | 5,831,795 | — | ||
Line of credit interest payable | — | 160 | — | ||
Payable for Management fees | 668 | 33,548 | 13,979 | ||
Payable for Directors’ fees | 18 | 3,260 | 502 | ||
Payable for Shareholder Servicing fees | 243 | 10,531 | 5,083 | ||
Accrued expenses | 7,966 | 19,190 | 9,492 | ||
Total liabilities | 8,895 | 5,898,484 | 51,960 | ||
Net Assets | $ 1,491,125 | $ 49,861,469 | $30,379,555 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 103 | $ 3,269 | $ 1,559 | ||
Paid-in capital in excess of par value | 1,012,403 | 47,157,976 | 19,014,432 | ||
Total distributable earnings | 478,619 | 2,700,224 | 11,363,564 | ||
Total Net Assets | $ 1,491,125 | $ 49,861,469 | $30,379,555 | ||
Shares Outstanding3 | 103,063 | 3,269,235 | 1,559,249 | ||
Net Asset Value Per Share | $ 14.47 | $ 15.25 | $ 19.48 | ||
1 Investments at cost | $ 1,077,344 | $ 46,297,916 | $ 20,518,250 | ||
2 Market value of securities on loan | $ 24,998 | $ 9,339,089 | $ — | ||
3 Authorized shares | 80,000,000 | 120,000,000 | 80,000,000 |
6 |
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 | $ 29,693,390 | $ 70,489,318 | $ 45,249,907 | ||
Repurchase agreements at value1 | 23,800 | 650,174 | 240,134 | ||
Receivable from Advisor | 13,180 | — | — | ||
Receivable for securities sold | 142,306 | 191,792 | — | ||
Receivable for fund shares sold | 40,420 | 13 | 431 | ||
Dividends receivable | 46,596 | 63,701 | 16,861 | ||
Securities lending income receivable | 36 | 366 | 127 | ||
Cash collateral on deposit at broker (Note 1) | — | 49,531,095 | — | ||
Prepaid expenses | 616 | 3,478 | 958 | ||
Total assets | 29,960,344 | 120,929,937 | 45,508,418 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | 649,838 | — | — | ||
Line of credit interest payable | — | 280 | — | ||
Payable for fund shares redeemed | — | 286,278 | 64,660 | ||
Dividend payable on securities sold short | — | 17,103 | 1,974 | ||
Payable for securities sold short, at value3 | — | 48,138,245 | 10,357,666 | ||
Payable for Management fees | 13,224 | 81,731 | 37,963 | ||
Payable for Directors’ fees | 462 | 4,327 | 1,109 | ||
Payable for Shareholder Servicing fees | 4,809 | 12,403 | 5,777 | ||
Accrued expenses | 11,384 | 56,033 | 23,030 | ||
Total liabilities | 679,717 | 48,596,400 | 10,492,179 | ||
Net Assets | $29,280,627 | $ 72,333,537 | $ 35,016,239 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 1,582 | $ 5,829 | $ 1,719 | ||
Paid-in capital in excess of par value | 18,677,340 | 58,644,457 | 13,479,362 | ||
Total distributable earnings | 10,601,705 | 13,683,251 | 21,535,158 | ||
Total Net Assets | $29,280,627 | $ 72,333,537 | $ 35,016,239 | ||
Shares Outstanding4 | 1,582,182 | 5,829,325 | 1,719,461 | ||
Net Asset Value Per Share | $ 18.51 | $ — | $ 20.36 | ||
Advisor Class — based on net assets of $72,011,518 and shares outstanding of 5,803,432 | — | 12.41 | — | ||
Institutional Class — based on net assets of $322,019 and shares outstanding of 25,893 | — | 12.44 | — | ||
1 Investments at cost | $ 21,477,939 | $ 46,835,396 | $ 27,978,798 | ||
2 Market value of securities on loan | $ 633,842 | $ 2,958,022 | $ 1,229,511 | ||
3 Proceeds from securities sold short | $ — | $ 42,975,013 | $ 9,768,572 | ||
4 Authorized shares | 80,000,000 | — | 120,000,000 | ||
Authorized shares - Advisor Class | — | 120,000,000 | — | ||
Authorized shares - Institutional Class | — | 120,000,000 | — |
7 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 261,424,024 | $ 1,423,221,868 | $ 21,479,548 | ||
Repurchase agreements at value1 | 1,489,819 | 22,361,515 | 145,505 | ||
Receivable from Advisor | — | — | 2,822 | ||
Receivable for securities sold | 699,774 | — | — | ||
Receivable for fund shares sold | 25,400 | 1,805,054 | — | ||
Dividends receivable | 161,056 | 58,710 | 16,895 | ||
Securities lending income receivable | — | 1,847 | — | ||
Prepaid expenses | 6,341 | 39,261 | 558 | ||
Total assets | 263,806,414 | 1,447,488,255 | 21,645,328 | ||
Liabilities: | |||||
Payable for securities purchased | — | 2,288,115 | — | ||
Obligation to return securities lending collateral | — | 3,028,712 | — | ||
Payable for fund shares redeemed | 50,092 | 789,647 | — | ||
Payable for Management fees | 117,786 | 638,922 | 9,739 | ||
Payable for Directors’ fees | 5,665 | 40,594 | 458 | ||
Payable for Shareholder Servicing fees | 42,831 | 146,956 | 3,541 | ||
Accrued expenses | 59,999 | 301,744 | 10,677 | ||
Total liabilities | 276,373 | 7,234,690 | 24,415 | ||
Net Assets | $263,530,041 | $1,440,253,565 | $21,620,913 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 7,972 | $ 38,986 | $ 1,438 | ||
Paid-in capital in excess of par value | 105,635,637 | 971,756,383 | 14,808,916 | ||
Total distributable earnings | 157,886,432 | 468,458,196 | 6,810,559 | ||
Total Net Assets | $263,530,041 | $1,440,253,565 | $21,620,913 | ||
Shares Outstanding3 | 7,971,986 | 38,986,055 | 1,437,800 | ||
Net Asset Value Per Share | $ 33.06 | $ — | $ 15.04 | ||
Advisor Class — based on net assets of $545,074,802 and shares outstanding of 15,291,558 | — | 35.65 | — | ||
Institutional Class — based on net assets of $895,178,763 and shares outstanding of 23,694,497 | — | 37.78 | — | ||
1 Investments at cost | $ 119,736,079 | $ 958,631,724 | $ 15,196,636 | ||
2 Market value of securities on loan | $ — | $ 22,097,793 | $ — | ||
3 Authorized shares | 150,000,000 | — | 80,000,000 | ||
Authorized shares - Advisor Class | — | 180,000,000 | — | ||
Authorized shares - Institutional Class | — | 135,000,000 | — |
8 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 928,482,994 | $ 31,993,665 | $ 417,869,119 | ||
Repurchase agreements at value1 | 6,440,098 | 1,106,160 | 11,556,946 | ||
Receivable for fund shares sold | 42,717 | 23,727 | 308,867 | ||
Interest receivable | — | — | 2,236,963 | ||
Securities lending income receivable | — | — | 146 | ||
Cash collateral on deposit at broker (Note 1) | 23,849,973 | 539,378 | — | ||
Foreign tax reclaims receivable | — | 33,504 | — | ||
Prepaid expenses | 13,256 | 225 | 11,938 | ||
Total assets | 958,829,038 | 33,696,659 | 431,983,979 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | — | 6,900,750 | ||
Payable for fund shares redeemed | 65,174 | 447 | 74,838 | ||
Options written, at value3 | 550,322,300 | 19,788,780 | — | ||
Payable for Management fees | 182,862 | 8,248 | 121,963 | ||
Payable for Directors’ fees | 13,370 | 102 | 10,848 | ||
Payable for Shareholder Servicing fees | 15,127 | 2,195 | 34,847 | ||
Accrued expenses | 82,425 | 13,626 | 80,105 | ||
Total liabilities | 550,681,258 | 19,813,398 | 7,223,351 | ||
Net Assets | $408,147,780 | $ 13,883,261 | $424,760,628 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 29,392 | $ 2,615 | $ 38,098 | ||
Paid-in capital in excess of par value | 365,551,029 | 19,100,763 | 412,072,434 | ||
Total distributable earnings | 42,567,359 | (5,220,117) | 12,650,096 | ||
Total Net Assets | $408,147,780 | $ 13,883,261 | $424,760,628 | ||
Shares Outstanding4 | 29,392,178 | 2,615,324 | 38,097,818 | ||
Net Asset Value Per Share | $ — | $ 5.31 | $ 11.15 | ||
Advisor Class — based on net assets of $91,247,039 and shares outstanding of 6,619,332 | 13.78 | — | — | ||
Institutional Class — based on net assets of $316,900,741 and shares outstanding of 22,772,846 | 13.92 | — | — | ||
1 Investments at cost | $ 851,348,043 | $ 30,555,173 | $ 416,945,311 | ||
2 Market value of securities on loan | $ — | $ — | $ 6,751,056 | ||
3 Premiums received from options written | $ 485,718,581 | $ 17,378,915 | $ — | ||
4 Authorized shares | — | 120,000,000 | 160,000,000 | ||
Authorized shares - Advisor Class | 160,000,000 | — | — | ||
Authorized shares - Institutional Class | 160,000,000 | — | — |
9 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Assets: | |||
Investments at value1 | $ 52,495,992 | $ 269,868,185 | |
Repurchase agreements at value1 | 487,018 | — | |
Cash | — | 2,261,742 | |
Receivable from Advisor | 3,420 | — | |
Receivable for securities sold | — | 273,534 | |
Receivable for fund shares sold | 100,000 | 110,000 | |
Interest receivable | 537,746 | 3,189,658 | |
Prepaid expenses | 1,482 | 6,244 | |
Total assets | 53,625,658 | 275,709,363 | |
Liabilities: | |||
Payable for securities purchased | — | 19,500 | |
Payable for when-issued securities purchased | 1,294,420 | — | |
Payable for fund shares redeemed | 6,893 | 30,000 | |
Payable for Management fees | 15,379 | 156,428 | |
Payable for Directors’ fees | 1,203 | 4,670 | |
Payable for Shareholder Servicing fees | 4,394 | 55,821 | |
Accrued expenses | 17,598 | 57,195 | |
Total liabilities | 1,339,887 | 323,614 | |
Net Assets | $52,285,771 | $275,385,749 | |
Net Assets consist of: | |||
Par value ($0.001 of shares outstanding) | $ 5,152 | $ 24,859 | |
Paid-in capital in excess of par value | 51,731,270 | 258,136,823 | |
Total distributable earnings | 549,349 | 17,224,067 | |
Total Net Assets | $52,285,771 | $275,385,749 | |
Shares Outstanding2 | 5,151,722 | 24,858,575 | |
Net Asset Value Per Share | $ 10.15 | $ 11.08 | |
1 Investments at cost | $ 52,281,732 | $ 254,070,506 | |
2 Authorized shares | 80,000,000 | 80,000,000 |
10 |
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: | |||||
Dividends | $ 11,369,553 | $ 11,534,435 | $ 23,684 | ||
Income from security lending | 39 | 16 | — | ||
Total investment income | 11,369,592 | 11,534,451 | 23,684 | ||
Expenses: | |||||
Management fees | 3,668,818 | 6,262,257 | 5,427 | ||
Administration, transfer agent and custody fees | 392,978 | 664,042 | 14,859 | ||
Professional fees | 132,918 | 234,597 | 178 | ||
Shareholder report expenses | 81,279 | 195,534 | 692 | ||
Shareholder servicing fees | — | — | 1,973 | ||
Shareholder servicing fees (Advisor Class) | 1,178,495 | 1,703,955 | — | ||
Directors’ fees and expenses | 78,880 | 140,839 | 107 | ||
Interest expense | 3,142 | 18,569 | — | ||
Registration and filing fees | 24,680 | 42,473 | 1,871 | ||
Other expenses | 78,880 | 135,844 | 974 | ||
Total expenses | 5,640,070 | 9,398,110 | 26,081 | ||
Less expenses waived/reimbursed | — | — | (17,695) | ||
Net expenses | 5,640,070 | 9,398,110 | 8,386 | ||
Net investment income | 5,729,522 | 2,136,341 | 15,298 | ||
Realized and unrealized gain: | |||||
Net realized gain on: | |||||
Investment transactions | 121,970,191 | 360,657,760 | 70,128 | ||
Net change in unrealized gain of: | |||||
Investments | 271,737,850 | 206,703,154 | 548,315 | ||
Net realized and unrealized gain | 393,708,041 | 567,360,914 | 618,443 | ||
Net increase in net assets resulting from operations | $399,437,563 | $569,497,255 | $633,741 |
11 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $ 8,164 | $ 820,510 | $ 224,084 | ||
Income from security lending | 16 | 82,966 | — | ||
Total investment income | 8,180 | 903,476 | 224,084 | ||
Expenses: | |||||
Management fees | 3,581 | 205,184 | 75,635 | ||
Administration, transfer agent and custody fees | 15,560 | 18,102 | 30,457 | ||
Professional fees | 107 | 6,435 | 2,382 | ||
Shareholder report expenses | 674 | 2,564 | 1,317 | ||
Shareholder servicing fees | 1,302 | 68,395 | 27,504 | ||
Directors’ fees and expenses | 64 | 4,024 | 1,384 | ||
Interest expense | — | 482 | — | ||
Registration and filing fees | 1,871 | 15,095 | 18,937 | ||
Other expenses | 955 | 5,150 | 2,044 | ||
Total expenses | 24,114 | 325,431 | 159,660 | ||
Less expenses waived/reimbursed | (18,580) | (51,371) | (42,769) | ||
Net expenses | 5,534 | 274,060 | 116,891 | ||
Net investment income | 2,646 | 629,416 | 107,193 | ||
Realized and unrealized gain: | |||||
Net realized gain on: | |||||
Investment transactions | 134,282 | 6,038,316 | 2,477,382 | ||
Foreign currency transactions | — | 7,657 | — | ||
Net realized gain | 134,282 | 6,045,973 | 2,477,382 | ||
Net change in unrealized gain of: | |||||
Investments | 371,901 | 7,131,732 | 5,740,059 | ||
Foreign currency translation | — | 541 | — | ||
Net change in unrealized gain | 371,901 | 7,132,273 | 5,740,059 | ||
Net realized and unrealized gain | 506,183 | 13,178,246 | 8,217,441 | ||
Net increase in net assets resulting from operations | $508,829 | $13,807,662 | $8,324,634 |
1 | The Quantitative U.S. Small Cap Equity Portfolio and the Quantitative International Equity Portfolio had foreign dividend withholding taxes of $24 and $88,660, respectively. |
12 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Investment income: | |||||
Dividends | $ 246,175 | $ 769,235 | $ 322,762 | ||
Income from security lending | 40 | 1,861 | 638 | ||
Total investment income | 246,215 | 771,096 | 323,400 | ||
Expenses: | |||||
Management fees | 71,971 | 512,648 | 200,428 | ||
Administration, transfer agent and custody fees | 23,598 | 42,729 | 27,331 | ||
Professional fees | 2,294 | 10,137 | 3,222 | ||
Shareholder report expenses | 1,366 | 6,578 | 3,167 | ||
Shareholder servicing fees | 26,171 | — | 33,405 | ||
Shareholder servicing fees (Advisor Class) | — | 85,138 | — | ||
Dividends on securities sold short | — | 415,813 | 58,670 | ||
Directors’ fees and expenses | 1,330 | 6,097 | 1,939 | ||
Interest expense | — | 1,005 | 81 | ||
Short position flex fees | — | 152,146 | 40,127 | ||
Registration and filing fees | 18,935 | 21,441 | 11,955 | ||
Other expenses | 2,047 | 9,063 | 3,161 | ||
Total expenses | 147,712 | 1,262,795 | 383,486 | ||
Less expenses waived/reimbursed | (36,483) | (160,125) | (75,829) | ||
Net expenses | 111,229 | 1,102,670 | 307,657 | ||
Net investment income (loss) | 134,986 | (331,574) | 15,743 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 2,617,925 | 21,488,674 | 5,848,058 | ||
Securities sold short | — | (11,254,491) | (1,194,953) | ||
Net realized gain | 2,617,925 | 10,234,183 | 4,653,105 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 5,324,336 | 9,309,148 | 9,865,345 | ||
Securities sold short | — | (8,902,390) | (1,789,275) | ||
Net change in unrealized gain | 5,324,336 | 406,758 | 8,076,070 | ||
Net realized and unrealized gain | 7,942,261 | 10,640,941 | 12,729,175 | ||
Net increase in net assets resulting from operations | $8,077,247 | $ 10,309,367 | $12,744,918 |
13 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Investment income: | |||||
Dividends | $ 1,665,148 | $ 7,105,300 | $ 248,776 | ||
Income from security lending | — | 12,582 | 7 | ||
Total investment income | 1,665,148 | 7,117,882 | 248,783 | ||
Expenses: | |||||
Management fees | 681,199 | 3,838,890 | 55,758 | ||
Administration, transfer agent and custody fees | 72,295 | 459,930 | 39,053 | ||
Professional fees | 23,133 | 138,717 | 1,954 | ||
Shareholder report expenses | 6,689 | 220,414 | 1,253 | ||
Shareholder servicing fees | 247,709 | — | 20,276 | ||
Shareholder servicing fees (Advisor Class) | — | 631,123 | — | ||
Shareholder servicing fees (Institutional Class) | — | 222,765 | — | ||
Directors’ fees and expenses | 13,801 | 82,047 | 1,165 | ||
Interest expense | — | 1,933 | — | ||
Registration and filing fees | 10,621 | 31,732 | 2,680 | ||
Other expenses | 11,186 | 81,047 | 2,040 | ||
Total expenses | 1,066,633 | 5,708,598 | 124,179 | ||
Less expenses waived/reimbursed | — | — | (38,009) | ||
Net expenses | 1,066,633 | 5,708,598 | 86,170 | ||
Net investment income | 598,515 | 1,409,284 | 162,613 | ||
Realized and unrealized gain: | |||||
Net realized gain on: | |||||
Investment transactions | 15,058,769 | 228,193,432 | 634,404 | ||
Net change in unrealized gain of: | |||||
Investments | 52,732,959 | 374,062,822 | 4,098,198 | ||
Net realized and unrealized gain | 67,791,728 | 602,256,254 | 4,732,602 | ||
Net increase in net assets resulting from operations | $68,390,243 | $603,665,538 | $4,895,215 |
14 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Investment income: | |||||
Dividends | $ 142,519 | $ 1,816 | $ — | ||
Interest | 59,338 | 1,577 | 3,868,322 | ||
Income from security lending | — | — | 459 | ||
Total investment income | 201,857 | 3,393 | 3,868,781 | ||
Expenses: | |||||
Management fees | 1,142,998 | 30,714 | 750,408 | ||
Administration, transfer agent and custody fees | 116,021 | 24,764 | 96,190 | ||
Professional fees | 45,338 | 903 | 42,356 | ||
Shareholder report expenses | 23,681 | 162 | 11,460 | ||
Shareholder servicing fees | — | 11,169 | 214,402 | ||
Shareholder servicing fees (Advisor Class) | 94,263 | — | — | ||
Directors’ fees and expenses | 26,772 | 528 | 25,211 | ||
Registration and filing fees | 33,566 | 20,250 | 5,164 | ||
Other expenses | 26,269 | 1,553 | 19,683 | ||
Total expenses | 1,508,908 | 90,043 | 1,164,874 | ||
Less expenses waived/reimbursed | — | (34,199) | — | ||
Net expenses | 1,508,908 | 55,844 | 1,164,874 | ||
Net investment income (loss) | (1,307,051) | (52,451) | 2,703,907 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | — | 17,226 | 663,070 | ||
Written options | (132,952,751) | (1,706,885) | — | ||
Purchased options | 182,888,839 | 2,831,902 | — | ||
Net realized gain | 49,936,088 | 1,142,243 | 663,070 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 4,517,884 | 32,429 | (13,912,960) | ||
Written options | (70,384,437) | (2,393,407) | — | ||
Purchased options | 89,519,341 | 2,724,768 | — | ||
Net change in unrealized gain (loss) | 23,652,788 | 363,790 | (13,912,960) | ||
Net realized and unrealized gain (loss) | 73,588,876 | 1,506,033 | (13,249,890) | ||
Net increase (decrease) in net assets resulting from operations | $ 72,281,825 | $ 1,453,582 | $(10,545,983) |
15 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Investment income: | |||
Dividends | $ 23,991 | $ — | |
Interest | 362,393 | 4,491,088 | |
Income from security lending | 34 | — | |
Total investment income | 386,418 | 4,491,088 | |
Expenses: | |||
Management fees | 91,819 | 824,627 | |
Administration, transfer agent and custody fees | 38,122 | 83,552 | |
Professional fees | 5,051 | 22,688 | |
Shareholder report expenses | 1,594 | 6,661 | |
Shareholder servicing fees | 26,234 | 317,164 | |
Directors’ fees and expenses | 2,977 | 13,332 | |
Interest expense | 81 | — | |
Registration and filing fees | 3,098 | 3,592 | |
Other expenses | 3,289 | 11,974 | |
Total expenses | 172,265 | 1,283,590 | |
Less expenses waived/reimbursed | (27,897) | (14,933) | |
Net expenses | 144,368 | 1,268,657 | |
Net investment income | 242,050 | 3,222,431 | |
Realized and unrealized gain (loss): | |||
Net realized gain (loss) on: | |||
Investment transactions | (37,651) | 1,056,298 | |
Net change in unrealized gain of: | |||
Investments | 18,946 | 8,679,934 | |
Net realized and unrealized gain (loss) | (18,705) | 9,736,232 | |
Net increase in net assets resulting from operations | $223,345 | $12,958,663 |
16 |
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 | $ 5,729,522 | $ 2,136,341 | $ 15,298 | ||
Net realized gain on: | |||||
Investment transactions | 121,970,191 | 360,657,760 | 70,128 | ||
Net change in unrealized gain of: | |||||
Investments | 271,737,850 | 206,703,154 | 548,315 | ||
Net increase in net assets resulting from operations | 399,437,563 | 569,497,255 | 633,741 | ||
Distributions from earnings | — | — | (15,260) | ||
Distributions from earnings: Advisor Class | (93,415,912) | (234,246,836) | — | ||
Distributions from earnings: Institutional Class | (12,555,000) | (79,251,286) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (133,396,347) | (330,251,894) | 16,147 | ||
Net increase (decrease) in net assets | 160,070,304 | (74,252,761) | 634,628 | ||
NET ASSETS: | |||||
Beginning of period | 1,239,182,258 | 2,203,217,689 | 1,587,500 | ||
End of period | $1,399,252,562 | $2,128,964,928 | $2,222,128 |
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 |
17 |
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 | $ 2,646 | $ 629,416 | $ 107,193 | ||
Net realized gain on: | |||||
Investment transactions | 134,282 | 6,038,316 | 2,477,382 | ||
Foreign currency transactions | — | 7,657 | — | ||
Net change in unrealized gain of: | |||||
Investments | 371,901 | 7,131,732 | 5,740,059 | ||
Foreign currency translations | — | 541 | — | ||
Net increase in net assets resulting from operations | 508,829 | 13,807,662 | 8,324,634 | ||
Distributions from earnings | (2,788) | (549,031) | (100,443) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 2,760 | (16,699,278) | (186,185) | ||
Net increase (decrease) in net assets | 508,801 | (3,440,647) | 8,038,006 | ||
NET ASSETS: | |||||
Beginning of period | 982,324 | 53,302,116 | 22,341,549 | ||
End of period | $1,491,125 | $ 49,861,469 | $30,379,555 |
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 |
18 |
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) | $ 134,986 | $ (331,574) | $ 15,743 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 2,617,925 | 21,488,674 | 5,848,058 | ||
Securities sold short | — | (11,254,491) | (1,194,953) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 5,324,336 | 9,309,148 | 9,865,345 | ||
Securities sold short | — | (8,902,390) | (1,789,275) | ||
Net increase in net assets resulting from operations | 8,077,247 | 10,309,367 | 12,744,918 | ||
Distributions from earnings | (119,536) | — | (3,449,063) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (355,444) | (34,988,906) | (2,726,242) | ||
Net increase (decrease) in net assets | 7,602,267 | (24,679,539) | 6,569,613 | ||
NET ASSETS: | |||||
Beginning of period | 21,678,360 | 97,013,076 | 28,446,626 | ||
End of period | $29,280,627 | $ 72,333,537 | $35,016,239 |
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 |
19 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 598,515 | $ 1,409,284 | $ 162,613 | ||
Net realized gain on: | |||||
Investment transactions | 15,058,769 | 228,193,432 | 634,404 | ||
Net change in unrealized gain of: | |||||
Investments | 52,732,959 | 374,062,822 | 4,098,198 | ||
Net increase in net assets resulting from operations | 68,390,243 | 603,665,538 | 4,895,215 | ||
Distributions from earnings | (13,527,251) | — | (162,402) | ||
Distributions from earnings: Advisor Class | — | (433,097) | — | ||
Distributions from earnings: Institutional Class | — | (1,271,658) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (10,779,515) | (401,031,897) | (1,671,720) | ||
Net increase in net assets | 44,083,477 | 200,928,886 | 3,061,093 | ||
NET ASSETS: | |||||
Beginning of period | 219,446,564 | 1,239,324,679 | 18,559,820 | ||
End of period | $263,530,041 | $1,440,253,565 | $21,620,913 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 1,974,998 | $ 3,649,510 | $ 474,154 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 14,495,061 | (112,418,584) | 205,837 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (21,934,091) | 34,905,724 | (1,105,315) | ||
Net increase (decrease) in net assets resulting from operations | (5,464,032) | (73,863,350) | (425,324) | ||
Distributions from earnings | (7,249,473) | — | (478,143) | ||
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) | (4,437,015) | ||
Net increase (decrease) in net assets | (49,586,934) | (802,181,144) | (5,340,482) | ||
NET ASSETS: | |||||
Beginning of year | 269,033,498 | 2,041,505,823 | 23,900,302 | ||
End of year | $219,446,564 | $1,239,324,679 | $18,559,820 |
20 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $ (1,307,051) | $ (52,451) | $ 2,703,907 | ||
Net realized gain (loss) on: | |||||
Investment transactions | — | 17,226 | 663,070 | ||
Options written | (132,952,751) | (1,706,885) | — | ||
Purchased options | 182,888,839 | 2,831,902 | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 4,517,884 | 32,429 | (13,912,960) | ||
Options written | (70,384,437) | (2,393,407) | — | ||
Purchased options | 89,519,341 | 2,724,768 | — | ||
Net increase (decrease) in net assets resulting from operations | 72,281,825 | 1,453,582 | (10,545,983) | ||
Distributions from earnings | — | (425,289) | (10,825,146) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (114,508,954) | 3,207,296 | 9,157,235 | ||
Net increase (decrease) in net assets | (42,227,129) | 4,235,589 | (12,213,894) | ||
NET ASSETS: | |||||
Beginning of period | 450,374,909 | 9,647,672 | 436,974,522 | ||
End of period | $ 408,147,780 | $13,883,261 | $424,760,628 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $ (2,650,478) | $ (51,009) | $ 8,424,927 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 3,281 | (248,440) | 12,432,548 | ||
Options written | (33,912,772) | 2,359,005 | — | ||
Purchased options | 19,802,905 | (1,340,973) | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 1,134,553 | 28,350 | 6,354,560 | ||
Options Written | 17,907,154 | (29,511) | — | ||
Purchased options | (40,988,616) | (241,104) | — | ||
Net increase (decrease) in net assets resulting from operations | (38,703,973) | 476,318 | 27,212,035 | ||
Distributions from earnings | — | (1,977) | (10,373,594) | ||
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) | (141,159,161) | 7,953,777 | (85,466,807) | ||
Net increase (decrease) in net assets | (227,931,814) | 8,428,118 | (68,628,366) | ||
NET ASSETS: | |||||
Beginning of year | 678,306,723 | 1,219,554 | 505,602,888 | ||
End of year | $ 450,374,909 | $ 9,647,672 | $436,974,522 |
21 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $ 242,050 | $ 3,222,431 | |
Net realized gain (loss) on: | |||
Investment transactions | (37,651) | 1,056,298 | |
Net change in unrealized gain of: | |||
Investments | 18,946 | 8,679,934 | |
Net increase in net assets resulting from operations | 223,345 | 12,958,663 | |
Distributions from earnings | (275,140) | (3,309,083) | |
Net increase (decrease) in net assets from capital share transactions (See note 5) | (1,187,082) | 32,953,614 | |
Net increase (decrease) in net assets | (1,238,877) | 42,603,194 | |
NET ASSETS: | |||
Beginning of period | 53,524,648 | 232,782,555 | |
End of period | $52,285,771 | $275,385,749 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $ 589,313 | $ 6,221,073 | |
Net realized gain (loss) on: | |||
Investment transactions | (27,703) | 112,362 | |
Net change in unrealized gain (loss) of: | |||
Investments | 377,357 | (3,856,588) | |
Net increase in net assets resulting from operations | 938,967 | 2,476,847 | |
Distributions from earnings | (571,442) | (6,194,949) | |
Net increase in net assets from capital share transactions (See note 5) | 2,218,210 | 21,081,964 | |
Net increase in net assets | 2,585,735 | 17,363,862 | |
NET ASSETS: | |||
Beginning of year | 50,938,913 | 215,418,693 | |
End of year | $53,524,648 | $232,782,555 |
22 |
Quantitative U.S. Long/Short Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities | |
Net increase in net assets resulting from operations | $ 10,309,367 |
Investments purchased | (17,301,730) |
Investments sold | 69,929,658 |
Purchases to cover securities sold short | (71,414,861) |
Securities sold short | 32,739,742 |
(Purchase)/Sale of short term investments, net | 4,058,240 |
Decrease in Cash collateral on deposit at broker | 18,979,308 |
Increase in Securities lending income receivable | (111) |
Decrease in Dividends receivable | 55,014 |
Increase in Prepaid expenses | (2,529) |
Decrease in Obligation to return securities lending collateral | (1,673,545) |
Increase in Line of credit interest payable | 280 |
Decrease in Dividends payable for securities sold short | (32,190) |
Decrease in Payable for Management fees | (14,701) |
Increase in Payable for Directors’ fees | 156 |
Decrease in Payable for Shareholder Servicing fees | (5,086) |
Decrease in Accrued expenses | (24,752) |
Net realized gain from investments | (21,488,674) |
Net realized loss from securities sold short | 11,254,491 |
Net change in unrealized gain on investments | (9,309,148) |
Net change in unrealized loss on securities sold short | 8,902,390 |
Net cash provided by (used in) operating activities | 34,961,319 |
Cash flows from financing activities | |
Proceeds from shares sold | 1,801,735 |
Payments on shares redeemed | (36,763,054) |
Net cash provided by (used in) financing activities | (34,961,319) |
Net increase (decrease) in cash | — |
Cash at beginning of period | — |
Cash at end of period | $ — |
Supplemental disclosure of cash flow information |
Cash paid for interest was $152,146. |
The Portfolio did not pay any prime broker fees during the period ended April 30, 2021. |
23 |
Quantitative U.S. Total Market Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities | |
Net increase in net assets resulting from operations | $ 12,744,918 |
Investments purchased | (8,804,574) |
Investments sold | 16,833,986 |
Purchases to cover securities sold short | (11,755,274) |
Securities sold short | 10,068,098 |
(Purchase)/Sale of short term investments, net | 93,694 |
Increase in Securities lending income receivable | (41) |
Decrease in Dividends receivable | 4,117 |
Increase in Prepaid expenses | (712) |
Decrease in Obligation to return securities lending collateral | (309,468) |
Decrease in Dividends payable for securities sold short | (4,345) |
Increase in Payable for Management fees | 7,957 |
Increase in Payable for Directors’ fees | 20 |
Increase in Payable for Shareholder Servicing fees | 500 |
Decrease in Accrued expenses | (5,012) |
Net realized gain from investments | (5,848,058) |
Net realized loss from securities sold short | 1,194,953 |
Net change in unrealized gain on investments | (9,865,345) |
Net change in unrealized loss on securities sold short | 1,789,275 |
Net cash provided by (used in) operating activities | 6,144,689 |
Cash flows from financing activities | |
Proceeds from shares sold | 1,347,088 |
Payments on shares redeemed | (7,331,872) |
Cash distributions paid | (158,283) |
Net cash provided by (used in) financing activities | (6,143,067) |
Net increase (decrease) in cash | 1,622 |
Cash at beginning of period | (1,622) |
Cash at end of period | $ — |
Supplemental disclosure of cash flow information |
Cash paid for interest was $40,127. |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $3,290,780. |
The Portfolio did not pay any prime broker fees during the period ended April 30, 2021. |
24 |
Quantitative U.S. Large Cap Core Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 2 | 2019 2 | 2018 2 | 2017 | 2016 2 | |||||||
Net asset value, beginning of period | $ 24.99 | $ 26.89 | $ 27.88 | $ 28.08 | $ 22.36 | $ 22.34 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.12 | 0.29 | 0.35 | 0.29 | 0.23 | 0.25 | |||||
Net realized and unrealized gain (loss) on investments | 8.25 | (0.73) | 1.18 | 0.95 | 5.72 | 0.25 | |||||
Total from investment operations | 8.37 | (0.44) | 1.53 | 1.24 | 5.95 | 0.50 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.13) | (0.29) | (0.35) | (0.28) | (0.23) | (0.25) | |||||
Net realized capital gains | (2.16) | (1.17) | (2.17) | (1.16) | — | (0.23) | |||||
Total distributions | (2.29) | (1.46) | (2.52) | (1.44) | (0.23) | (0.48) | |||||
Net asset value, end of period | $ 31.07 | $ 24.99 | $ 26.89 | $ 27.88 | $ 28.08 | $ 22.36 | |||||
Total return | 35.02% 3 | (1.90)% | 6.42% | 4.42% | 26.74% | 2.34% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,245,398 | $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% 4,5 | 0.87% | 0.86% | 0.85% | 0.86% | 0.88% | |||||
Ratio of net investment income to average net assets | 0.83% 4 | 1.15% | 1.32% | 1.02% | 0.94% | 1.14% | |||||
Portfolio turnover rate6 | 27% | 66% | 80% | 71% | 62% | 111% |
1 | Unaudited. |
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 | The ratio of operating expenses excluding interest expense was 0.87% for the period ended April 30, 2021. |
6 | Portfolio turnover is calculated at the fund level. |
25 |
Quantitative U.S. Large Cap Core Equity Portfolio Institutional Shares | |||||||||||
For the Period Ended April 30, 20212,3 | For The Year Ended October 31, | For the Period December 30, 20151 through October 31, 20163 | |||||||||
2020 3 | 2019 3 | 2018 | 2017 | ||||||||
Net asset value, beginning of period | $ 24.99 | $ 26.91 | $ 27.89 | $ 28.09 | $ 22.37 | $ 21.85 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.15 | 0.34 | 0.40 | 0.34 | 0.27 | 0.29 | |||||
Net realized and unrealized gain (loss) on investments | 8.25 | (0.75) | 1.20 | 0.95 | 5.73 | 0.45 | |||||
Total from investment operations | 8.40 | (0.41) | 1.60 | 1.29 | 6.00 | 0.74 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.16) | (0.34) | (0.41) | (0.33) | (0.28) | (0.22) | |||||
Net realized capital gains | (2.16) | (1.17) | (2.17) | (1.16) | — | — | |||||
Total distributions | (2.32) | (1.51) | (2.58) | (1.49) | (0.28) | (0.22) | |||||
Net asset value, end of period | $ 31.07 | $ 24.99 | $ 26.91 | $ 27.89 | $ 28.09 | $ 22.37 | |||||
Total return | 35.15% 4 | (1.75)% | 6.68% | 4.61% | 26.96% | 3.41% 4 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $153,854 | $173,029 | $673,825 | $767,117 | $549,352 | $274,982 | |||||
Ratio of operating expenses to average net assets | 0.67% 5,6 | 0.67% | 0.66% | 0.65% | 0.66% | 0.68% 5 | |||||
Ratio of net investment income to average net assets | 1.04% 5 | 1.32% | 1.52% | 1.22% | 1.12% | 1.31% 5 | |||||
Portfolio turnover rate7 | 27% | 66% | 80% | 71% | 62% | 111% |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses excluding interest expense was 0.67% for the period ended April 30, 2021. |
7 | Portfolio turnover is calculated at the fund level. |
26 |
Quantitative U.S. Large Cap Growth Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 1 | 2019 1 | 2018 | 2017 | 2016 1 | |||||||
Net asset value, beginning of period | $ 32.02 | $ 33.08 | $ 32.52 | $ 31.54 | $ 24.76 | $ 24.70 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.02 | 0.12 | 0.16 | 0.16 | 0.16 | 0.16 | |||||
Net realized and unrealized gain on investments | 8.38 | 3.19 | 4.86 | 1.58 | 6.77 | 0.05 3 | |||||
Total from investment operations | 8.40 | 3.31 | 5.02 | 1.74 | 6.93 | 0.21 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.03) | (0.14) | (0.15) | (0.17) | (0.15) | (0.15) | |||||
Net realized capital gains | (4.71) | (4.23) | (4.31) | (0.59) | — | — | |||||
Total distributions | (4.74) | (4.37) | (4.46) | (0.76) | (0.15) | (0.15) | |||||
Net asset value, end of period | $ 35.68 | $ 32.02 | $ 33.08 | $ 32.52 | $ 31.54 | $ 24.76 | |||||
Total return | 28.24% 4 | 10.68% | 18.50% | 5.53% | 28.05% | 0.87% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,694,716 | $1,659,543 | $2,237,727 | $2,660,858 | $3,076,616 | $2,988,342 | |||||
Ratio of operating expenses to average net assets | 0.87% 5,6 | 0.88% | 0.86% | 0.85% | 0.86% | 0.88% | |||||
Ratio of net investment income to average net assets | 0.14% 5 | 0.40% | 0.53% | 0.44% | 0.56% | 0.66% | |||||
Portfolio turnover rate7 | 23% | 69% | 80% | 63% | 69% | 88% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Unaudited. |
3 | 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. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses excluding interest expense was 0.87% for the period ended April 30, 2021. |
7 | Portfolio turnover is calculated at the fund level. |
27 |
Quantitative U.S. Large Cap Growth Equity Portfolio Institutional Shares | |||||||||||
For the Period Ended April 30, 20212,3 | For The Year Ended October 31, | For the Period November 5, 20151 through October 31, 20163 | |||||||||
2020 3 | 2019 3 | 2018 | 2017 | ||||||||
Net asset value, beginning of period | $ 32.02 | $ 33.09 | $ 32.53 | $ 31.55 | $ 24.77 | $ 24.83 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.06 | 0.19 | 0.21 | 0.21 | 0.18 | 0.22 | |||||
Net realized and unrealized gain (loss) on investments | 8.38 | 3.18 | 4.88 | 1.59 | 6.80 | (0.08) | |||||
Total from investment operations | 8.44 | 3.37 | 5.09 | 1.80 | 6.98 | 0.14 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.06) | (0.21) | (0.22) | (0.23) | (0.20) | (0.20) | |||||
Net realized capital gains | (4.71) | (4.23) | (4.31) | (0.59) | — | — | |||||
Total distributions | (4.77) | (4.44) | (4.53) | (0.82) | (0.20) | (0.20) | |||||
Net asset value, end of period | $ 35.69 | $ 32.02 | $ 33.09 | $ 32.53 | $ 31.55 | $ 24.77 | |||||
Total return | 28.41% 4 | 10.89% | 18.74% | 5.74% | 28.28% | 0.60% 4 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $434,249 | $543,675 | $1,250,995 | $746,030 | $860,416 | $35,114 | |||||
Ratio of operating expenses to average net assets | 0.67% 5,6 | 0.68% | 0.66% | 0.65% | 0.66% | 0.68% 5 | |||||
Ratio of net investment income to average net assets | 0.34% 5 | 0.62% | 0.69% | 0.64% | 0.66% | 0.90% 5 | |||||
Portfolio turnover rate7 | 23% | 69% | 80% | 63% | 69% | 88% |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses excluding interest expense was 0.67% for the period ended April 30, 2021. |
7 | Portfolio turnover is calculated at the fund level. |
28 |
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
For the Period Ended April 30, 20212,3 | For The Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | |||||
2020 3 | 2019 3 | ||||||
Net asset value, beginning of period | $ 9.03 | $ 10.29 | $ 9.82 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.09 | 0.20 | 0.21 | 0.14 | |||
Net realized and unrealized gain (loss) on investments | 3.49 | (1.26) | 0.49 | (0.20) | |||
Total from investment operations | 3.58 | (1.06) | 0.70 | (0.06) | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.09) | (0.20) | (0.23) | (0.12) | |||
Total distributions | (0.09) | (0.20) | (0.23) | (0.12) | |||
Net asset value, end of period | $12.52 | $ 9.03 | $10.29 | $ 9.82 | |||
Total return4 | 39.70% 5 | (10.19)% | 7.33% | (0.69)% 5 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $2,222 | $ 1,588 | $2,040 | $1,092 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.64% 6 | 2.66% | 3.20% | 6.52% 6 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 6 | 0.85% | 0.89% | 1.00% 6 | |||
Ratio of net investment income to average net assets | 1.55% 6 | 2.15% | 2.08% | 1.36% 6 | |||
Portfolio turnover rate | 39% | 95% | 77% | 61% 7 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
29 |
Quantitative U.S. Small Cap Equity Portfolio | |||||||
For the Period Ended April 30, 20212,3 | For The Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | |||||
2020 3 | 2019 3 | ||||||
Net asset value, beginning of period | $ 9.55 | $10.39 | $10.25 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.03 | 0.06 | 0.05 | 0.05 | |||
Net realized and unrealized gain (loss) on investments | 4.92 | (0.82) | 0.17 | 0.24 | |||
Total from investment operations | 4.95 | (0.76) | 0.22 | 0.29 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.03) | (0.08) | (0.08) | (0.04) | |||
Total distributions | (0.03) | (0.08) | (0.08) | (0.04) | |||
Net asset value, end of period | $14.47 | $ 9.55 | $10.39 | $10.25 | |||
Total return4 | 51.85% 5 | (7.37)% | 2.19% | 2.85% 5 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $1,491 | $ 982 | $1,061 | $1,074 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.70% 6 | 4.63% | 4.12% | 6.48% 6 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 6 | 0.85% | 0.90% | 1.00% 6 | |||
Ratio of net investment income to average net assets | 0.41% 6 | 0.65% | 0.53% | 0.44% 6 | |||
Portfolio turnover rate | 46% | 101% | 133% | 80% 7 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
30 |
Quantitative International Equity Portfolio | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 2 | 2019 2 | 2018 | 2017 2 | 2016 2 | |||||||
Net asset value, beginning of period | $ 12.05 | $ 13.97 | $ 13.26 | $ 15.16 | $ 12.76 | $ 13.45 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.17 | 0.26 | 0.39 | 0.29 | 0.25 | 0.24 | |||||
Net realized and unrealized gain (loss) on investments | 3.19 | (1.79) | 0.73 | (1.90) | 2.41 | (0.71) | |||||
Total from investment operations | 3.36 | (1.53) | 1.12 | (1.61) | 2.66 | (0.47) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.16) | (0.37) | (0.41) | (0.29) | (0.26) | (0.22) | |||||
Net return of capital | — | (0.02) | — | — | — | — | |||||
Total distributions | (0.16) | (0.39) | (0.41) | (0.29) | (0.26) | (0.22) | |||||
Net asset value, end of period | $ 15.25 | $ 12.05 | $ 13.97 | $ 13.26 | $ 15.16 | $ 12.76 | |||||
Total return3 | 27.92% 4 | (11.10)% | 8.60% | (10.80)% | 20.96% | (3.44)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $49,861 | $53,302 | $205,629 | $387,188 | $461,686 | $441,284 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.19% 5 | 1.15% | 1.10% | 1.07% | 1.06% | 1.12% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% 5,6 | 1.00% | 1.00% | 1.00% | 1.00% | 1.04% | |||||
Ratio of net investment income to average net assets | 2.30% 5 | 1.99% | 2.90% | 1.90% | 1.82% | 1.88% | |||||
Portfolio turnover rate | 41% | 76% | 93% | 78% | 75% | 121% |
1 | Unaudited. |
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 interest expense was 1.00% for the period ended April 30, 2021. |
31 |
Responsible ESG U.S. Equity Portfolio | |||||||||||
For the Period Ended April 30, 20212,3 | For The Year Ended October 31, | For the Period December 22, 20151 through October 31, 20163 | |||||||||
2020 3 | 2019 3 | 2018 | 2017 | ||||||||
Net asset value, beginning of period | $ 14.26 | $ 14.34 | $ 14.12 | $ 13.61 | $ 10.84 | $10.00 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.07 | 0.15 | 0.16 | 0.11 | 0.09 | 0.07 | |||||
Net realized and unrealized gain (loss) on investments | 5.21 | (0.02) | 0.74 | 0.57 | 2.77 | 0.82 | |||||
Total from investment operations | 5.28 | 0.13 | 0.90 | 0.68 | 2.86 | 0.89 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.06) | (0.15) | (0.17) | (0.11) | (0.09) | (0.05) | |||||
Net realized capital gains | — | (0.06) | (0.51) | (0.06) | — | — | |||||
Total distributions | (0.06) | (0.21) | (0.68) | (0.17) | (0.09) | (0.05) | |||||
Net asset value, end of period | $ 19.48 | $ 14.26 | $ 14.34 | $ 14.12 | $ 13.61 | $10.84 | |||||
Total return4 | 37.10% 5 | 0.87% | 6.78% | 5.01% | 26.42% | 8.87% 5 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $30,380 | $22,342 | $23,231 | $21,746 | $13,589 | $6,561 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.16% 6 | 1.05% | 1.07% | 1.09% | 1.23% | 2.21% 6 | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 6 | 0.85% | 0.90% | 1.00% | 1.00% | 1.00% 6 | |||||
Ratio of net investment income to average net assets | 0.78% 6 | 1.02% | 1.17% | 0.87% | 0.75% | 0.76% 6 | |||||
Portfolio turnover rate | 39% | 88% | 102% | 61% | 54% | 65% 7 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of December 22, 2015 through October 31, 2016. |
32 |
Women in Leadership U.S. Equity Portfolio | |||||||||||
For the Period Ended April 30, 20212,3 | 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 period | $ 13.52 | $ 13.98 | $ 13.34 | $ 13.10 | $ 10.65 | $10.00 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.08 | 0.16 | 0.15 | 0.12 | 0.11 | 0.14 | |||||
Net realized and unrealized gain (loss) on investments | 4.99 | (0.47) | 1.08 | 0.32 | 2.45 | 0.63 | |||||
Total from investment operations | 5.07 | (0.31) | 1.23 | 0.44 | 2.56 | 0.77 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.08) | (0.15) | (0.15) | (0.11) | (0.11) | (0.12) | |||||
Net realized capital gains | — | — | (0.44) | (0.09) | — | — | |||||
Total distributions | (0.08) | (0.15) | (0.59) | (0.20) | (0.11) | (0.12) | |||||
Net asset value, end of period | $ 18.51 | $ 13.52 | $ 13.98 | $ 13.34 | $ 13.10 | $10.65 | |||||
Total return4 | 37.51% 5 | (2.15)% | 9.75% | 3.36% | 24.11% | 7.73% 5 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $29,281 | $21,678 | $21,047 | $18,974 | $11,853 | $6,517 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.13% 6 | 1.08% | 1.11% | 1.11% | 1.28% | 2.22% 6 | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 6 | 0.85% | 0.90% | 1.00% | 1.00% | 1.00% 6 | |||||
Ratio of net investment income to average net assets | 1.03% 6 | 1.19% | 1.14% | 0.88% | 0.88% | 1.31% 6 | |||||
Portfolio turnover rate | 41% | 105% | 89% | 81% | 70% | 81% 7 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Unaudited. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of December 22, 2015 through October 31, 2016. |
33 |
Quantitative U.S. Long/Short Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 1 | 2019 1 | 2018 1 | 2017 1 | 2016 1 | |||||||
Net asset value, beginning of period | $ 11.05 | $ 11.90 | $ 12.55 | $ 12.86 | $ 11.39 | $ 11.32 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.05) | (0.07) | 0.11 | 0.03 | (0.05) | (0.03) | |||||
Net realized and unrealized gain (loss) on investments | 1.41 | (0.77) | (0.65) | (0.34) | 1.52 | 0.10 | |||||
Total from investment operations | 1.36 | (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 period | $ 12.41 | $ 11.05 | $ 11.90 | $ 12.55 | $ 12.86 | $ 11.39 | |||||
Total return3 | 12.31% 4 | (7.07)% | (4.33)% | (2.41)% | 12.91% | 0.62% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $72,012 | $96,702 | $247,209 | $333,806 | $300,784 | $239,413 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.96% 5 | 2.99% | 2.78% | 2.61% | 2.77% | 2.73% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 2.58% 5 | 2.63% | 2.43% | 2.26% | 2.42% | 2.38% | |||||
Ratio of net investment income (loss) to average net assets | (0.78)% 5 | (0.59)% | 0.91% | 0.24% | (0.43)% | (0.41)% | |||||
Portfolio turnover rate7,8 | 63% | 133% | 108% | 84% | 65% | 98% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Unaudited. |
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 interest expenses, dividends on securities sold short and flex fees was 1.25% for the period ended April 30, 2021 and 1.25%, 1.21%, 1.15%, 1.15% and 1.17% for the years ended October 31, 2020, 2019, 2018, 2017 and 2016, 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. |
34 |
Quantitative U.S. Long/Short Equity Portfolio Institutional Shares | |||||
For the Period Ended April 30, 20212,3 | For The Year Ended October 31, 20202 | For the Period September 13, 20191 through October 31, 20192 | |||
Net asset value, beginning of period | $11.07 | $11.89 | $12.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | (0.03) | (0.10) | 0.01 | ||
Net realized and unrealized gain (loss) on investments | 1.40 | (0.71) | (0.08) | ||
Total from investment operations | 1.37 | (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 | $12.44 | $11.07 | $11.89 | ||
Total return4 | 12.38% 5 | (6.78)% | (0.62)% 5 | ||
Ratios to average net assets/ Supplemental data: | |||||
Net assets, at end of period (in 000s) | $ 322 | $ 311 | $ 16 | ||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.73% 6 | 2.59% | 2.36% 6 | ||
Ratio of operating expenses after waiver/reimbursement to average net assets7 | 2.36% 6 | 2.23% | 2.01% 6 | ||
Ratio of net investment income (loss) to average net assets | (0.56)% 6 | (0.89)% | 0.36% 6 | ||
Portfolio turnover rate8,9 | 63% | 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 | Unaudited. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | The ratio of operating expenses after waiver/reimbursement excluding interest expenses, dividends on securities sold short and flex fees was 1.05% for the period ended April 30, 2021, 1.05% for the year ended October 31, 2020 and 1.01% for the period ended October 31, 2019. |
8 | Portfolio turnover is calculated at the fund level. |
9 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
35 |
Quantitative U.S. Total Market Equity Portfolio | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 2 | 2019 2 | 2018 | 2017 | 2016 | |||||||
Net asset value, beginning of period | $ 15.34 | $ 17.88 | $ 18.85 | $ 18.88 | $ 14.65 | $ 14.68 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.01 | 0.07 | 0.11 | 0.07 | 0.04 | 0.09 | |||||
Net realized and unrealized gain (loss) on investments | 6.92 | (1.52) | 0.49 | 0.51 | 4.23 | (0.04) | |||||
Total from investment operations | 6.93 | (1.45) | 0.60 | 0.58 | 4.27 | 0.05 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.02) | (0.11) | (0.11) | (0.06) | (0.04) | (0.08) | |||||
Net realized capital gains | (1.89) | (0.98) | (1.46) | (0.55) | — | — | |||||
Total distributions | (1.91) | (1.09) | (1.57) | (0.61) | (0.04) | (0.08) | |||||
Net asset value, end of period | $ 20.36 | $ 15.34 | $ 17.88 | $ 18.85 | $ 18.88 | $ 14.65 | |||||
Total return3 | 47.83% 4 | (8.82)% | 4.11% | 3.01% | 29.18% | 0.37% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $35,016 | $28,447 | $67,923 | $90,610 | $74,267 | $61,083 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.30% 5 | 2.56% | 2.48% | 2.31% | 2.40% | 2.59% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 1.84% 5 | 2.06% | 2.07% | 1.96% | 2.05% | 2.16% | |||||
Ratio of net investment income to average net assets | 0.09% 5 | 0.45% | 0.60% | 0.37% | 0.24% | 0.56% | |||||
Portfolio turnover rate7 | 40% | 98% | 92% | 82% | 70% | 88% |
1 | Unaudited. |
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 interest expenses, dividends on securities sold short and flex fees was 1.25% for the period ended April 30, 2021 and 1.25%, 1.25%, 1.25%, 1.23% and 1.25% for the years ended October 31, 2020, 2019, 2018, 2017 and 2016, respectively. |
7 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
36 |
Strategic Equity Portfolio | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 2 | 2019 2 | 2018 | 2017 | 2016 | |||||||
Net asset value, beginning of period | $ 26.43 | $ 27.22 | $ 24.30 | $ 24.90 | $ 20.94 | $ 21.80 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.07 | 0.21 | 0.23 | 0.20 | 0.19 | 0.21 | |||||
Net realized and unrealized gain (loss) on investments | 8.23 | (0.25) | 3.22 | 1.07 | 5.35 | 0.81 | |||||
Total from investment operations | 8.30 | (0.04) | 3.45 | 1.27 | 5.54 | 1.02 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.08) | (0.22) | (0.23) | (0.20) | (0.19) | (0.20) | |||||
Net realized capital gains | (1.59) | (0.53) | (0.30) | (1.67) | (1.39) | (1.68) | |||||
Total distributions | (1.67) | (0.75) | (0.53) | (1.87) | (1.58) | (1.88) | |||||
Net asset value, end of period | $ 33.06 | $ 26.43 | $ 27.22 | $ 24.30 | $ 24.90 | $ 20.94 | |||||
Total return | 32.33% 3 | (0.18)% | 14.51% | 5.14% | 27.83% | 5.22% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $263,530 | $219,447 | $269,033 | $226,032 | $209,339 | $176,864 | |||||
Ratio of operating expenses to average net assets | 0.86% 4 | 0.86% | 0.84% | 0.83% | 0.82% | 0.84% | |||||
Ratio of net investment income to average net assets | 0.48% 4 | 0.79% | 0.89% | 0.79% | 0.84% | 1.00% | |||||
Portfolio turnover rate | 10% | 19% | 19% | 6% | 15% | 22% |
1 | Unaudited. |
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. |
37 |
Small Cap Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 1 | 2019 1 | 2018 | 2017 | 2016 | |||||||
Net asset value, beginning of period | $ 23.23 | $ 23.66 | $ 28.82 | $ 32.13 | $ 25.61 | $ 26.02 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.01 | 0.02 | 0.05 | 0.02 | (0.01) | 0.03 | |||||
Net realized and unrealized gain (loss) on investments | 12.44 | (0.41) | (1.04) | (0.10) | 7.07 | (0.15) | |||||
Total from investment operations | 12.45 | (0.39) | (0.99) | (0.08) | 7.06 | (0.12) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.03) | (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) 3 | (0.01) | — | — | — | |||||
Total distributions | (0.03) | (0.04) | (4.17) | (3.23) | (0.54) | (0.29) | |||||
Net asset value, end of period | $ 35.65 | $ 23.23 | $ 23.66 | $ 28.82 | $ 32.13 | $ 25.61 | |||||
Total return | 53.60% 4 | (1.63)% | (2.61)% | (0.58)% | 27.84% | (0.43)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $545,075 | $403,309 | $761,813 | $1,390,136 | $1,574,979 | $1,367,160 | |||||
Ratio of operating expenses to average net assets | 0.95% 5,6 | 0.94% | 0.93% | 0.90% | 0.90% | 0.91% | |||||
Ratio of net investment income (loss) to average net assets | 0.06% 5 | 0.11% | 0.21% | 0.07% | (0.04)% | 0.12% | |||||
Portfolio turnover rate7 | 33% | 36% | 54% | 44% | 63% | 58% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Unaudited. |
3 | Amount rounds to less than $0.01 per share. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses excluding interest expense was 0.95% for the period ended April 30, 2021. |
7 | Portfolio turnover is calculated at the fund level. |
38 |
Small Cap Equity Portfolio Institutional Shares | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 2 | 2019 2 | 2018 | 2017 | 2016 | |||||||
Net asset value, beginning of period | $ 24.61 | $ 25.07 | $ 30.25 | $ 33.54 | $ 26.67 | $ 27.07 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.05 | 0.07 | 0.10 | 0.09 | 0.05 | 0.08 | |||||
Net realized and unrealized gain (loss) on investments | 13.16 | (0.44) | (1.06) | (0.10) | 7.37 | (0.16) | |||||
Total from investment operations | 13.21 | (0.37) | (0.96) | (0.01) | 7.42 | (0.08) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.04) | (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) 3 | (0.01) | — | — | — | |||||
Total distributions | (0.04) | (0.09) | (4.22) | (3.28) | (0.55) | (0.32) | |||||
Net asset value, end of period | $ 37.78 | $ 24.61 | $ 25.07 | $ 30.25 | $ 33.54 | $ 26.67 | |||||
Total return | 53.71% 4 | (1.44)% | (2.38)% | (0.36)% | 28.10% | (0.25)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $895,179 | $836,015 | $1,279,693 | $2,131,461 | $1,879,657 | $1,264,752 | |||||
Ratio of operating expenses to average net assets | 0.75% 5,6 | 0.74% | 0.73% | 0.70% | 0.70% | 0.71% | |||||
Ratio of net investment income to average net assets | 0.28% 5 | 0.29% | 0.39% | 0.27% | 0.16% | 0.30% | |||||
Portfolio turnover rate7 | 33% | 36% | 54% | 44% | 63% | 58% |
1 | Unaudited. |
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 | Total return calculation is not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses excluding interest expense was 0.75% for the period ended April 30, 2021. |
7 | Portfolio turnover is calculated at the fund level. |
39 |
Equity Income Portfolio | |||||||||
For the Period Ended April 30, 20212,3 | For The Year Ended October 31, | For the Period December 21, 20161 through October 31, 20173 | |||||||
2020 3 | 2019 3 | 2018 | |||||||
Net asset value, beginning of period | $ 11.88 | $ 12.22 | $ 11.15 | $ 11.06 | $ 10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.11 | 0.26 | 0.25 | 0.22 | 0.16 | ||||
Net realized and unrealized gain (loss) on investments | 3.16 | (0.32) | 1.33 | 0.09 | 1.01 | ||||
Total from investment operations | 3.27 | (0.06) | 1.58 | 0.31 | 1.17 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.11) | (0.28) | (0.25) | (0.22) | (0.11) | ||||
Net realized capital gains | — | — | (0.26) | (0.00) 4 | — | ||||
Total distributions | (0.11) | (0.28) | (0.51) | (0.22) | (0.11) | ||||
Net asset value, end of period | $ 15.04 | $ 11.88 | $ 12.22 | $ 11.15 | $ 11.06 | ||||
Total return5 | 27.59% 6 | (0.38)% | 14.69% | 2.79% | 11.77% 6 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $21,621 | $18,560 | $23,900 | $18,536 | $12,970 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.22% 7 | 1.04% 8 | 1.01% | 1.11% | 2.08% 7 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 7 | 0.85% 8 | 0.85% | 0.85% | 0.85% 7 | ||||
Ratio of net investment income to average net assets | 1.60% 7 | 2.21% | 2.19% | 2.02% | 1.82% 7 | ||||
Portfolio turnover rate | 22% | 63% | 39% | 29% | 14% 9 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | Amount rounds to less than $0.01 per share. |
5 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
6 | Total return calculation is not annualized. |
7 | Annualized. |
8 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
9 | Calculations represent portfolio turnover for the Portfolio for the period of December 21, 2016 through October 31, 2017. |
40 |
Secured Options Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 2 | 2019 2 | 2018 | 2017 2 | 2016 2 | |||||||
Net asset value, beginning of period | $ 11.67 | $ 13.01 | $ 12.30 | $ 12.75 | $ 12.45 | $ 12.57 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.05) | (0.07) | (0.04) | (0.06) | (0.08) | (0.09) | |||||
Net realized and unrealized gain (loss) on investments | 2.16 | (0.34) | 1.04 | 0.40 | 0.99 | 0.68 | |||||
Total from investment operations | 2.11 | (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 period | $ 13.78 | $ 11.67 | $ 13.01 | $ 12.30 | $ 12.75 | $ 12.45 | |||||
Total return | 18.08% 3 | (3.50)% | 8.43% | 2.81% | 7.53% | 5.08% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $91,247 | $95,701 | $268,478 | $445,946 | $446,859 | $574,200 | |||||
Ratio of operating expenses to average net assets4 | 0.88% 5 | 0.88% | 0.87% 6 | 0.84% | 0.85% | 0.85% | |||||
Ratio of net investment income (loss) to average net assets4 | (0.78)% 5 | (0.59)% | (0.34)% | (0.50)% | (0.68)% | 0.95% | |||||
Portfolio turnover rate7,8 | —% | —% | —% | —% | —% | —% |
1 | Unaudited. |
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 | Annualized. |
6 | The ratio of operating expenses excluding interest expense was 0.86% for the year ended October 31, 2019. |
7 | Portfolio turnover is calculated at the fund level. |
8 | All trading activity in the Portfolio during the period was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
41 |
Secured Options Portfolio Institutional Shares | |||||||||
For the Period Ended April 30, 20212,3 | For The Year Ended October 31, | For the Period November 9, 20161 through October 31, 20173 | |||||||
2020 3 | 2019 3 | 2018 3 | |||||||
Net asset value, beginning of period | $ 11.77 | $ 13.09 | $ 12.34 | $ 12.77 | $ 12.61 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.04) | (0.05) | (0.02) | (0.04) | (0.06) | ||||
Net realized and unrealized gain (loss) on investments | 2.19 | (0.34) | 1.06 | 0.40 | 0.83 | ||||
Total from investment operations | 2.15 | (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 period | $ 13.92 | $ 11.77 | $ 13.09 | $ 12.34 | $ 12.77 | ||||
Total return | 18.27% 4 | (3.31)% | 8.73% | 2.97% | 6.34% 4 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $316,901 | $354,674 | $409,829 | $396,523 | $365,523 | ||||
Ratio of operating expenses to average net assets5 | 0.68% 6 | 0.68% | 0.67% 7 | 0.64% | 0.65% 6 | ||||
Ratio of net investment income (loss) to average net assets5 | (0.58)% 6 | (0.44)% | (0.14)% | (0.30)% | (0.45)% 6 | ||||
Portfolio turnover rate8,9 | —% | —% | —% | —% | —% |
1 | Class commenced operations on November 9, 2016. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
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 | The ratio of operating expenses excluding interest expense was 0.66% for the year ended October 31, 2019. |
8 | Portfolio turnover is calculated at the fund level. |
9 | All trading activity in the Portfolio during the period was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
42 |
Global Secured Options Portfolio | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 2,3 | 2019 2,3 | 2018 2,3 | 2017 2,3 | 2016 2,3 | |||||||
Net asset value, beginning of period | $ 4.84 | $ 4.90 | $104.10 | $105.80 | $ 96.00 | $ 99.60 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.02) | (0.04) | 0.02 | 0.10 | 0.60 | 1.50 | |||||
Net realized and unrealized gain (loss) on investments | 0.71 | (0.02) | (5.71) | (0.90) | 9.90 | (3.00) | |||||
Total from investment operations | 0.69 | (0.06) | (5.69) | (0.80) | 10.50 | (1.50) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.00) 4 | (0.01) | (0.90) | (0.70) | (2.10) | |||||
Net realized capital gains | (0.22) | — | (93.50) | — | — | — | |||||
Total distributions | (0.22) | (0.00) 4 | (93.51) | (0.90) | (0.70) | (2.10) | |||||
Net asset value, end of period | $ 5.31 | $ 4.84 | $ 4.90 | $104.10 | $105.80 | $ 96.00 | |||||
Total return | 14.47% 5,6 | (1.07)% 5 | 8.56% 5 | (0.76)% | 10.94% | (1.47)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $13,883 | $9,648 | $ 1,220 | $ 2,510 | $10,642 | $28,818 | |||||
Ratio of operating expenses to average net assets7 | —% | —% | —% | 1.17% 8 | 1.13% | 0.91% | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets7 | 1.61% 9 | 2.13% | 9.76% | —% | —% | —% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets7 | 1.00% 9 | 1.00% | 1.63% 8 | —% | —% | —% | |||||
Ratio of net investment income to average net assets7 | (0.94)% 9 | (0.83)% | 0.32% | 0.08% | 0.58% | 1.61% | |||||
Portfolio turnover rate | —% 10 | 995% | 685% | 224% | 9% | 70% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Board authorized a 1-for-10 reverse share split for the Global Secured Options Portfolio effective after the close of trading on March 16, 2020. The impact of the reverse share split was to decrease the number of shares outstanding by a factor of ten, while increasing the NAV of shares outstanding by a factor of ten, resulting in no effect to the net assets of the Portfolio. The financial statements for the Portfolio have been adjusted to reflect the reverse share split. |
4 | Amount rounds to less than $0.01 per share. |
5 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
6 | Total return calculation is not annualized. |
7 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
8 | 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. |
9 | Annualized. |
10 | All trading activity in the Portfolio during the period was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
43 |
Core Fixed Income Portfolio | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 2 | 2019 2 | 2018 | 2017 | 2016 | |||||||
Net asset value, beginning of period | $ 11.71 | $ 11.31 | $ 10.49 | $ 11.04 | $ 11.26 | $ 11.20 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.07 | 0.21 | 0.25 | 0.25 | 0.21 | 0.21 | |||||
Net realized and unrealized gain (loss) on investments | (0.35) | 0.44 | 0.83 | (0.50) | (0.13) | 0.14 | |||||
Total from investment operations | (0.28) | 0.65 | 1.08 | (0.25) | 0.08 | 0.35 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.10) | (0.25) | (0.26) | (0.26) | (0.22) | (0.23) | |||||
Net realized capital gains | (0.18) | — | — | (0.04) | (0.08) | (0.06) | |||||
Total distributions | (0.28) | (0.25) | (0.26) | (0.30) | (0.30) | (0.29) | |||||
Net asset value, end of period | $ 11.15 | $ 11.71 | $ 11.31 | $ 10.49 | $ 11.04 | $ 11.26 | |||||
Total return | (2.38)% 3 | 5.82% | 10.46% | (2.32)% | 0.75% | 3.15% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $424,761 | $436,975 | $505,603 | $485,201 | $488,548 | $486,872 | |||||
Ratio of operating expenses to average net assets | 0.54% 4 | 0.54% | 0.53% | 0.52% | 0.52% | 0.54% | |||||
Ratio of net investment income to average net assets | 1.26% 4 | 1.78% | 2.30% | 2.24% | 1.90% | 1.84% | |||||
Portfolio turnover rate | 8% | 52% | 36% | 29% | 46% | 24% |
1 | Unaudited. |
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. |
44 |
Short Term Tax Aware Fixed Income Portfolio | |||||||||||
For the Period Ended April 30, 20212,3 | 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 period | $ 10.16 | $ 10.07 | $ 9.90 | $ 9.98 | $ 9.99 | $ 10.00 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.05 | 0.11 | 0.13 | 0.09 | 0.07 | 0.02 | |||||
Net realized and unrealized gain (loss) on investments | (0.01) | 0.09 | 0.17 | (0.08) | (0.01) | (0.02) | |||||
Total from investment operations | 0.04 | 0.20 | 0.30 | 0.01 | 0.06 | 0.00 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.05) | (0.11) | (0.13) | (0.09) | (0.07) | (0.01) | |||||
Total distributions | (0.05) | (0.11) | (0.13) | (0.09) | (0.07) | (0.01) | |||||
Net asset value, end of period | $ 10.15 | $ 10.16 | $ 10.07 | $ 9.90 | $ 9.98 | $ 9.99 | |||||
Total return4 | 0.42% 5 | 1.96% | 3.03% | 0.10% | 0.57% | (0.02)% 5 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $52,286 | $53,525 | $50,939 | $26,294 | $33,900 | $30,076 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets6 | 0.66% 7 | 0.63% | 0.66% | 0.61% | 0.69% | 0.90% 7 | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 0.55% 7,8 | 0.55% | 0.55% | 0.55% | 0.55% | 0.55% 7 | |||||
Ratio of net investment income to average net assets6 | 0.92% 7 | 1.08% | 1.33% | 0.92% | 0.69% | 0.46% 7 | |||||
Portfolio turnover rate | 15% | 59% | 25% | 19% | 31% | 35% 9 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Unaudited. |
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 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 0.55% for the period ended April 30, 2021. |
9 | Calculations represent portfolio turnover for the Portfolio for the period of June 29, 2016 through October 31, 2016. |
45 |
High Yield Municipal Portfolio | |||||||||||
For the Period Ended April 30, 20212,3 | For The Year Ended October 31, | For the Period December 22, 20151 through October 31, 20163 | |||||||||
2020 3 | 2019 3 | 2018 | 2017 | ||||||||
Net asset value, beginning of period | $ 10.65 | $ 10.84 | $ 10.16 | $ 10.35 | $ 10.39 | $ 10.00 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.14 | 0.30 | 0.31 | 0.30 | 0.30 | 0.22 | |||||
Net realized and unrealized gain (loss) on investments | 0.43 | (0.19) | 0.68 | (0.19) | (0.01) | 0.34 | |||||
Total from investment operations | 0.57 | 0.11 | 0.99 | 0.11 | 0.29 | 0.56 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.14) | (0.30) | (0.31) | (0.30) | (0.29) | (0.17) | |||||
Net realized capital gains | (0.00) 4 | — | — | — | (0.04) | — | |||||
Total distributions | (0.14) | (0.30) | (0.31) | (0.30) | (0.33) | (0.17) | |||||
Net asset value, end of period | $ 11.08 | $ 10.65 | $ 10.84 | $ 10.16 | $ 10.35 | $ 10.39 | |||||
Total return | 5.41% 5,6 | 1.09% 5 | 9.90% 5 | 1.04% | 2.89% | 5.56% 5,6 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $275,386 | $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 | 1.01% 7 | 1.02% | 1.00% | —% | —% | 1.08% 7 | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% 7 | 1.00% | 1.00% | —% | —% | 1.00% 7 | |||||
Ratio of net investment income to average net assets | 2.54% 7 | 2.85% | 2.95% | 2.90% | 2.92% | 2.44% 7 | |||||
Portfolio turnover rate | 11% 8 | 28% 8 | 27% 8 | 44% 8 | 43% 8 | 73% 9 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | Amount rounds to less than $0.01 per share. |
5 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
6 | Total return calculation is not annualized. |
7 | Annualized. |
8 | Variable Rate Demand Note (VRDN) securities are excluded from the portfolio turnover calculation. |
9 | Calculations represent portfolio turnover for the Portfolio for the period of December 22, 2015 through October 31, 2016. |
46 |
Shares | Value | ||
COMMON STOCKS* — 99.8% | |||
Auto Components — 0.8% | |||
220,826 | BorgWarner, Inc. | $ 10,727,727 | |
Automobiles — 1.8% | |||
447,701 | General Motors Co.1 | 25,617,451 | |
Banks — 5.3% | |||
405,336 | Citizens Financial Group, Inc. | 18,758,950 | |
453,342 | First Horizon Corp. | 8,291,625 | |
370,217 | KeyCorp. | 8,055,922 | |
990,292 | Regions Financial Corp. | 21,588,366 | |
283,633 | US Bancorp | 16,833,618 | |
73,528,481 | |||
Beverages — 1.1% | |||
166,223 | Monster Beverage Corp.1 | 16,131,942 | |
Biotechnology — 2.7% | |||
101,986 | Amgen, Inc. | 24,439,925 | |
58,342 | Vertex Pharmaceuticals, Inc.1 | 12,730,224 | |
37,170,149 | |||
Building Products — 2.1% | |||
311,801 | Carrier Global Corp. | 13,588,287 | |
154,258 | Fortune Brands Home & Security, Inc. | 16,194,005 | |
29,782,292 | |||
Capital Markets — 4.5% | |||
91,923 | Ameriprise Financial, Inc. | 23,752,903 | |
365,013 | Bank of New York Mellon Corp. (The) | 18,206,849 | |
76,676 | Raymond James Financial, Inc. | 10,027,687 | |
139,063 | State Street Corp. | 11,674,339 | |
63,661,778 | |||
Chemicals — 0.9% | |||
207,140 | Dow, Inc. | 12,946,250 | |
Commercial Services & Supplies — 0.5% | |||
51,179 | Tetra Tech, Inc. | 6,531,976 | |
Communications Equipment — 3.3% | |||
29,957 | Arista Networks, Inc.1 | 9,441,548 | |
195,921 | Ciena Corp.1 | 9,888,133 | |
185,978 | Cisco Systems, Inc./Delaware | 9,468,140 | |
94,849 | F5 Networks, Inc.1 | 17,713,999 | |
46,511,820 | |||
Construction & Engineering — 1.2% | |||
178,065 | Quanta Services, Inc. | 17,208,202 | |
Consumer Finance — 1.7% | |||
377,947 | SLM Corp. | 7,430,438 | |
365,043 | Synchrony Financial | 15,966,981 | |
23,397,419 | |||
Containers & Packaging — 1.5% | |||
351,692 | International Paper Co. | 20,398,136 | |
Diversified Telecommunication Services — 1.0% | |||
236,650 | Verizon Communications, Inc. | 13,676,004 | |
Electric Utilities — 1.2% | |||
71,719 | Duke Energy Corp. | 7,221,386 |
47 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — (Continued) | |||
336,944 | PPL Corp. | $ 9,815,179 | |
17,036,565 | |||
Electrical Equipment — 0.5% | |||
51,285 | AMETEK, Inc. | 6,919,885 | |
Energy Equipment & Services — 1.2% | |||
830,302 | Baker Hughes Co. | 16,672,464 | |
Entertainment — 3.1% | |||
251,356 | Activision Blizzard, Inc. | 22,921,153 | |
96,174 | Electronic Arts, Inc. | 13,664,402 | |
41,997 | Take-Two Interactive Software, Inc.1 | 7,365,434 | |
43,950,989 | |||
Equity Real Estate Investment Trusts — 3.1% | |||
47,472 | American Tower Corp. | 12,094,442 | |
33,539 | Crown Castle International Corp. | 6,340,883 | |
215,563 | Prologis, Inc. | 25,119,556 | |
43,554,881 | |||
Food & Staples Retailing — 1.8% | |||
682,375 | Kroger Co. (The) | 24,933,983 | |
Food Products — 1.8% | |||
333,786 | Conagra Brands, Inc. | 12,380,123 | |
217,599 | General Mills, Inc. | 13,243,075 | |
25,623,198 | |||
Health Care Providers & Services — 5.4% | |||
36,757 | Anthem, Inc. | 13,945,238 | |
174,237 | Cardinal Health, Inc. | 10,513,461 | |
63,439 | Cigna Corp. | 15,796,946 | |
107,690 | CVS Health Corp. | 8,227,516 | |
174,729 | DaVita, Inc.1 | 20,361,170 | |
35,672 | McKesson Corp. | 6,690,640 | |
75,534,971 | |||
Household Durables — 1.6% | |||
219,173 | Lennar Corp. - Class A | 22,706,323 | |
Household Products — 1.9% | |||
144,843 | Church & Dwight Co., Inc. | 12,418,839 | |
175,838 | Colgate-Palmolive Co. | 14,190,126 | |
26,608,965 | |||
Independent Power & Renewable Electricity Producer — 1.8% | |||
899,506 | AES Corp. (The) | 25,024,257 | |
Insurance — 2.4% | |||
249,961 | Aflac, Inc. | 13,430,405 | |
167,275 | Fidelity National Financial, Inc. | 7,631,085 | |
188,161 | MetLife, Inc. | 11,972,684 | |
33,034,174 | |||
Interactive Media & Services — 3.8% | |||
11,181 | Alphabet, Inc. - Class A1 | 26,314,484 | |
81,330 | Facebook, Inc. - Class A1 | 26,438,756 | |
52,753,240 |
48 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Internet & Direct Marketing Retail — 1.2% | |||
297,530 | eBay, Inc. | $ 16,599,199 | |
IT Services — 5.8% | |||
75,286 | Accenture PLC - Class A | 21,830,682 | |
295,041 | Amdocs, Ltd. | 22,641,446 | |
161,583 | Cognizant Technology Solutions Corp. - Class A | 12,991,273 | |
88,009 | PayPal Holdings, Inc.1 | 23,083,881 | |
80,547,282 | |||
Life Sciences Tools & Services — 3.7% | |||
108,355 | Agilent Technologies, Inc. | 14,480,562 | |
7,166 | Mettler-Toledo International, Inc.1 | 9,411,251 | |
53,165 | PerkinElmer, Inc. | 6,891,779 | |
28,616 | Thermo Fisher Scientific, Inc. | 13,456,102 | |
24,252 | Waters Corp.1 | 7,272,447 | |
51,512,141 | |||
Machinery — 1.1% | |||
47,398 | Parker-Hannifin Corp. | 14,873,966 | |
Media — 2.8% | |||
444,449 | Comcast Corp. - Class A | 24,955,812 | |
380,341 | Fox Corp. - Class A | 14,232,360 | |
39,188,172 | |||
Multi-line Retail — 1.7% | |||
116,737 | Target Corp. | 24,194,911 | |
Oil, Gas & Consumable Fuels — 0.5% | |||
120,319 | Exxon Mobil Corp. | 6,887,060 | |
Pharmaceuticals — 1.0% | |||
85,476 | Johnson & Johnson | 13,909,509 | |
Professional Services — 1.6% | |||
169,015 | Booz Allen Hamilton Holding Corp. | 14,019,794 | |
317,564 | Nielsen Holdings PLC | 8,145,517 | |
22,165,311 | |||
Real Estate Management & Development — 0.5% | |||
86,260 | CBRE Group, Inc. - Class A1 | 7,349,352 | |
Road & Rail — 1.1% | |||
158,387 | CSX Corp. | 15,957,490 | |
Semiconductors & Semiconductor Equipment — 5.5% | |||
185,411 | Applied Materials, Inc. | 24,605,894 | |
107,926 | Intel Corp. | 6,208,983 | |
17,282 | Lam Research Corp. | 10,722,617 | |
57,496 | Qorvo, Inc.1 | 10,819,022 | |
80,230 | Skyworks Solutions, Inc. | 14,548,106 | |
76,840 | Teradyne, Inc. | 9,611,147 | |
76,515,769 | |||
Software — 8.6% | |||
509,524 | Dropbox, Inc. - Class A1 | 13,094,767 | |
131,979 | Fortinet, Inc.1 | 26,954,071 | |
102,604 | Microsoft Corp. | 25,874,676 | |
337,220 | Oracle Corp. | 25,557,904 | |
93,236 | SS&C Technologies Holdings, Inc. | 6,919,976 |
49 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
88,396 | Synopsys, Inc.1 | $ 21,839,116 | |
120,240,510 | |||
Specialty Retail — 3.5% | |||
181,363 | Best Buy Co., Inc. | 21,087,076 | |
22,965 | Home Depot, Inc. (The) | 7,433,082 | |
104,309 | Lowe’s Cos., Inc. | 20,470,641 | |
48,990,799 | |||
Technology Hardware, Storage & Peripherals — 3.2% | |||
78,595 | Apple, Inc. | 10,332,099 | |
695,964 | Hewlett Packard Enterprise Co. | 11,149,343 | |
692,149 | HP, Inc. | 23,609,202 | |
45,090,644 | |||
TOTAL COMMON STOCKS (Cost $894,062,269) | 1,395,665,637 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.1% | |||
$1,905,668 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $1,905,668, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $1,945,500, coupon rate of 0.125%, due 4/30/23, market value of $1,943,829) | 1,905,668 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,905,668) | 1,905,668 | ||
TOTAL INVESTMENTS (Cost $895,967,937) | 99.9% | $1,397,571,305 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 1,681,257 | |
NET ASSETS | 100.0% | $1,399,252,562 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
50 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 8.6% | $ 120,240,510 | |
IT Services | 5.8 | 80,547,282 | |
Semiconductors & Semiconductor Equipment | 5.5 | 76,515,769 | |
Health Care Providers & Services | 5.4 | 75,534,971 | |
Banks | 5.3 | 73,528,481 | |
Capital Markets | 4.5 | 63,661,778 | |
Interactive Media & Services | 3.8 | 52,753,240 | |
Life Sciences Tools & Services | 3.7 | 51,512,141 | |
Specialty Retail | 3.5 | 48,990,799 | |
Communications Equipment | 3.3 | 46,511,820 | |
Technology Hardware, Storage & Peripherals | 3.2 | 45,090,644 | |
Entertainment | 3.1 | 43,950,989 | |
Equity Real Estate Investment Trusts | 3.1 | 43,554,881 | |
Media | 2.8 | 39,188,172 | |
Biotechnology | 2.7 | 37,170,149 | |
Insurance | 2.4 | 33,034,174 | |
Building Products | 2.1 | 29,782,292 | |
Household Products | 1.9 | 26,608,965 | |
Food Products | 1.8 | 25,623,198 | |
Automobiles | 1.8 | 25,617,451 | |
Independent Power & Renewable Electricity Producer | 1.8 | 25,024,257 | |
Food & Staples Retailing | 1.8 | 24,933,983 | |
Multi-line Retail | 1.7 | 24,194,911 | |
Consumer Finance | 1.7 | 23,397,419 | |
Household Durables | 1.6 | 22,706,323 | |
Professional Services | 1.6 | 22,165,311 | |
Containers & Packaging | 1.5 | 20,398,136 | |
Construction & Engineering | 1.2 | 17,208,202 | |
Electric Utilities | 1.2 | 17,036,565 | |
Energy Equipment & Services | 1.2 | 16,672,464 | |
Internet & Direct Marketing Retail | 1.2 | 16,599,199 | |
Beverages | 1.1 | 16,131,942 | |
Road & Rail | 1.1 | 15,957,490 | |
Machinery | 1.1 | 14,873,966 | |
Pharmaceuticals | 1.0 | 13,909,509 | |
Diversified Telecommunication Services | 1.0 | 13,676,004 | |
Chemicals | 0.9 | 12,946,250 | |
Auto Components | 0.8 | 10,727,727 | |
Real Estate Management & Development | 0.5 | 7,349,352 | |
Electrical Equipment | 0.5 | 6,919,885 | |
Oil, Gas & Consumable Fuels | 0.5 | 6,887,060 | |
Commercial Services & Supplies | 0.5 | 6,531,976 | |
TOTAL COMMON STOCKS | 99.8% | $1,395,665,637 | |
REPURCHASE AGREEMENT | 0.1 | 1,905,668 | |
TOTAL INVESTMENTS | 99.9% | $1,397,571,305 |
51 |
Shares | Value | ||
COMMON STOCKS* — 100.1% | |||
Air Freight & Logistics — 1.3% | |||
243,335 | Expeditors International of Washington, Inc. | $ 26,732,783 | |
Auto Components — 0.7% | |||
307,642 | BorgWarner, Inc. | 14,945,248 | |
Beverages — 1.6% | |||
349,893 | Monster Beverage Corp.1 | 33,957,116 | |
Biotechnology — 3.7% | |||
171,732 | Amgen, Inc. | 41,153,856 | |
79,582 | Regeneron Pharmaceuticals, Inc.1 | 38,302,817 | |
79,456,673 | |||
Capital Markets — 2.3% | |||
424,945 | Intercontinental Exchange, Inc. | 50,020,276 | |
Commercial Services & Supplies — 0.6% | |||
314,738 | Rollins, Inc. | 11,733,433 | |
Communications Equipment — 3.1% | |||
206,994 | Arista Networks, Inc.1 | 65,238,299 | |
Construction & Engineering — 0.5% | |||
120,390 | Quanta Services, Inc. | 11,634,490 | |
Containers & Packaging — 2.2% | |||
219,094 | Avery Dennison Corp. | 46,923,362 | |
Electronic Equipment, Instruments & Components — 5.4% | |||
963,072 | Amphenol Corp. - Class A | 64,853,269 | |
283,089 | CDW Corp. | 50,483,261 | |
115,336,530 | |||
Entertainment — 5.8% | |||
252,176 | Activision Blizzard, Inc. | 22,995,930 | |
317,029 | Electronic Arts, Inc. | 45,043,480 | |
41,464 | Netflix, Inc.1 | 21,290,520 | |
198,971 | Take-Two Interactive Software, Inc.1 | 34,895,534 | |
124,225,464 | |||
Equity Real Estate Investment Trusts — 1.3% | |||
109,920 | American Tower Corp. | 28,004,318 | |
Food & Staples Retailing — 1.8% | |||
101,610 | Costco Wholesale Corp. | 37,808,065 | |
Health Care Providers & Services — 4.7% | |||
372,448 | Cardinal Health, Inc. | 22,473,512 | |
169,836 | Centene Corp.1 | 10,485,675 | |
219,832 | McKesson Corp. | 41,231,690 | |
63,895 | UnitedHealth Group, Inc. | 25,481,326 | |
99,672,203 | |||
Household Durables — 1.6% | |||
319,651 | Lennar Corp. - Class A | 33,115,843 | |
Household Products — 0.8% | |||
204,083 | Church & Dwight Co., Inc. | 17,498,076 | |
Insurance — 0.8% | |||
124,533 | Marsh & McLennan Cos., Inc. | 16,899,128 |
52 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Interactive Media & Services — 6.1% | |||
26,571 | Alphabet, Inc. - Class A1 | $ 62,534,849 | |
204,903 | Facebook, Inc. - Class A1 | 66,609,867 | |
129,144,716 | |||
Internet & Direct Marketing Retail — 2.7% | |||
1,025,069 | eBay, Inc. | 57,188,599 | |
IT Services — 7.4% | |||
181,962 | Automatic Data Processing, Inc. | 34,025,074 | |
221,470 | Cognizant Technology Solutions Corp. - Class A | 17,806,188 | |
462,771 | Paychex, Inc. | 45,115,545 | |
230,151 | PayPal Holdings, Inc.1 | 60,366,306 | |
157,313,113 | |||
Life Sciences Tools & Services — 2.9% | |||
87,176 | Agilent Technologies, Inc. | 11,650,201 | |
84,651 | PerkinElmer, Inc. | 10,973,309 | |
84,909 | Thermo Fisher Scientific, Inc. | 39,926,759 | |
62,550,269 | |||
Multi-line Retail — 0.7% | |||
66,927 | Dollar General Corp. | 14,372,573 | |
Pharmaceuticals — 2.0% | |||
262,902 | Johnson & Johnson | 42,782,042 | |
Professional Services — 1.4% | |||
223,176 | Booz Allen Hamilton Holding Corp. | 18,512,449 | |
44,282 | CACI International, Inc. - Class A1 | 11,285,711 | |
29,798,160 | |||
Semiconductors & Semiconductor Equipment — 7.6% | |||
459,881 | Applied Materials, Inc. | 61,030,808 | |
107,050 | KLA Corp. | 33,758,217 | |
28,233 | Lam Research Corp. | 17,517,165 | |
64,687 | Monolithic Power Systems, Inc. | 23,376,588 | |
41,947 | NVIDIA Corp. | 25,184,140 | |
160,866,918 | |||
Software — 18.3% | |||
23,936 | Adobe, Inc.1 | 12,167,626 | |
306,581 | Cadence Design Systems, Inc.1 | 40,398,178 | |
1,276,764 | Dropbox, Inc. - Class A1 | 32,812,835 | |
309,518 | Fortinet, Inc.1 | 63,212,861 | |
242,107 | Microsoft Corp. | 61,054,543 | |
831,611 | Oracle Corp. | 63,027,798 | |
836,040 | SS&C Technologies Holdings, Inc. | 62,050,889 | |
224,941 | Synopsys, Inc.1 | 55,573,924 | |
390,298,654 | |||
Specialty Retail — 8.6% | |||
526,273 | Best Buy Co., Inc. | 61,189,762 | |
139,792 | Home Depot, Inc. (The) | 45,246,476 | |
309,303 | Lowe’s Cos., Inc. | 60,700,714 | |
90,180 | Tractor Supply Co. | 17,007,948 | |
184,144,900 | |||
Technology Hardware, Storage & Peripherals — 2.9% | |||
465,641 | Apple, Inc. | 61,213,166 |
53 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Tobacco — 1.3% | |||
582,813 | Altria Group, Inc. | $ 27,829,321 | |
TOTAL COMMON STOCKS (Cost $1,300,015,078) | 2,130,703,738 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$3,653,866 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $3,653,866, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $3,730,200, coupon rate of 0.125%, due 4/30/23, market value of $3,726,996) | 3,653,866 | |
TOTAL REPURCHASE AGREEMENT (Cost $3,653,866) | 3,653,866 | ||
TOTAL INVESTMENTS (Cost $1,303,668,944) | 100.3% | $2,134,357,604 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.3) | (5,392,676) | |
NET ASSETS | 100.0% | $2,128,964,928 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
54 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 18.3% | $ 390,298,654 | |
Specialty Retail | 8.6 | 184,144,900 | |
Semiconductors & Semiconductor Equipment | 7.6 | 160,866,918 | |
IT Services | 7.4 | 157,313,113 | |
Interactive Media & Services | 6.1 | 129,144,716 | |
Entertainment | 5.8 | 124,225,464 | |
Electronic Equipment, Instruments & Components | 5.4 | 115,336,530 | |
Health Care Providers & Services | 4.7 | 99,672,203 | |
Biotechnology | 3.7 | 79,456,673 | |
Communications Equipment | 3.1 | 65,238,299 | |
Life Sciences Tools & Services | 2.9 | 62,550,269 | |
Technology Hardware, Storage & Peripherals | 2.9 | 61,213,166 | |
Internet & Direct Marketing Retail | 2.7 | 57,188,599 | |
Capital Markets | 2.3 | 50,020,276 | |
Containers & Packaging | 2.2 | 46,923,362 | |
Pharmaceuticals | 2.0 | 42,782,042 | |
Food & Staples Retailing | 1.8 | 37,808,065 | |
Beverages | 1.6 | 33,957,116 | |
Household Durables | 1.6 | 33,115,843 | |
Professional Services | 1.4 | 29,798,160 | |
Equity Real Estate Investment Trusts | 1.3 | 28,004,318 | |
Tobacco | 1.3 | 27,829,321 | |
Air Freight & Logistics | 1.3 | 26,732,783 | |
Household Products | 0.8 | 17,498,076 | |
Insurance | 0.8 | 16,899,128 | |
Auto Components | 0.7 | 14,945,248 | |
Multi-line Retail | 0.7 | �� | 14,372,573 |
Commercial Services & Supplies | 0.6 | 11,733,433 | |
Construction & Engineering | 0.5 | 11,634,490 | |
TOTAL COMMON STOCKS | 100.1% | $2,130,703,738 | |
REPURCHASE AGREEMENT | 0.2 | 3,653,866 | |
TOTAL INVESTMENTS | 100.3% | $2,134,357,604 |
55 |
Shares | Value | ||
COMMON STOCKS* — 99.8% | |||
Automobiles — 1.7% | |||
1,449 | Ford Motor Co.1 | $ 16,722 | |
360 | General Motors Co.1 | 20,599 | |
37,321 | |||
Banks — 8.2% | |||
650 | Citigroup, Inc. | 46,306 | |
386 | Citizens Financial Group, Inc. | 17,864 | |
1,261 | Fifth Third Bancorp | 51,121 | |
1,027 | KeyCorp. | 22,347 | |
2,031 | Regions Financial Corp. | 44,276 | |
181,914 | |||
Building Products — 0.9% | |||
192 | Fortune Brands Home & Security, Inc. | 20,156 | |
Capital Markets — 4.9% | |||
208 | CME Group, Inc. | 42,014 | |
84 | Evercore, Inc. - Class A | 11,771 | |
372 | Intercontinental Exchange, Inc. | 43,788 | |
447 | Invesco, Ltd. | 12,069 | |
109,642 | |||
Chemicals — 1.8% | |||
324 | Axalta Coating Systems, Ltd.1 | 10,333 | |
168 | Dow, Inc. | 10,500 | |
157 | Eastman Chemical Co. | 18,116 | |
38,949 | |||
Commercial Services & Supplies — 0.5% | |||
108 | Republic Services, Inc. | 11,480 | |
Communications Equipment — 0.5% | |||
210 | Cisco Systems, Inc./Delaware | 10,691 | |
Construction & Engineering — 0.7% | |||
165 | Quanta Services, Inc. | 15,946 | |
Consumer Finance — 4.4% | |||
979 | Ally Financial, Inc. | 50,370 | |
1,092 | Synchrony Financial | 47,764 | |
98,134 | |||
Containers & Packaging — 1.8% | |||
705 | International Paper Co. | 40,890 | |
Diversified Consumer Services — 0.5% | |||
192 | Service Corp. International | 10,260 | |
Diversified Financial Services — 0.7% | |||
459 | Equitable Holdings, Inc. | 15,712 | |
Diversified Telecommunication Services — 3.7% | |||
430 | AT&T, Inc. | 13,506 | |
2,161 | Lumen Technologies, Inc. | 27,726 | |
720 | Verizon Communications, Inc. | 41,609 | |
82,841 | |||
Electric Utilities — 3.5% | |||
295 | Evergy, Inc. | 18,871 | |
582 | NRG Energy, Inc. | 20,847 |
56 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — (Continued) | |||
583 | Southern Co. (The) | $ 38,577 | |
78,295 | |||
Electrical Equipment — 1.2% | |||
185 | Eaton Corp. PLC | 26,442 | |
Electronic Equipment, Instruments & Components — 1.2% | |||
121 | Arrow Electronics, Inc.1 | 13,803 | |
292 | Corning, Inc. | 12,909 | |
26,712 | |||
Energy Equipment & Services — 3.8% | |||
1,940 | Baker Hughes Co. | 38,955 | |
1,649 | Schlumberger, Ltd. | 44,606 | |
83,561 | |||
Entertainment — 0.5% | |||
73 | Electronic Arts, Inc. | 10,372 | |
Equity Real Estate Investment Trusts — 2.8% | |||
419 | Prologis, Inc. | 48,826 | |
395 | VICI Properties, Inc.2 | 12,522 | |
61,348 | |||
Food & Staples Retailing — 2.0% | |||
1,232 | Kroger Co. (The) | 45,017 | |
Food Products — 3.2% | |||
186 | Archer-Daniels-Midland Co. | 11,742 | |
556 | General Mills, Inc. | 33,838 | |
324 | Tyson Foods, Inc. - Class A | 25,094 | |
70,674 | |||
Health Care Providers & Services — 6.1% | |||
135 | Cigna Corp. | 33,616 | |
469 | CVS Health Corp. | 35,832 | |
80 | Humana, Inc. | 35,619 | |
159 | McKesson Corp. | 29,822 | |
134,889 | |||
Household Durables — 1.3% | |||
161 | DR Horton, Inc. | 15,825 | |
233 | PulteGroup, Inc. | 13,775 | |
29,600 | |||
Household Products — 1.7% | |||
286 | Procter & Gamble Co. (The) | 38,158 | |
Independent Power & Renewable Electricity Producer — 1.6% | |||
1,300 | AES Corp. (The) | 36,166 | |
Insurance — 3.7% | |||
279 | American International Group, Inc. | 13,518 | |
533 | MetLife, Inc. | 33,915 | |
337 | Prudential Financial, Inc. | 33,821 | |
81,254 | |||
Interactive Media & Service — 0.7% | |||
7 | Alphabet, Inc. - Class A1 | 16,474 |
57 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — 1.2% | |||
203 | Amdocs, Ltd. | $ 15,578 | |
142 | Cognizant Technology Solutions Corp. - Class A | 11,417 | |
26,995 | |||
Life Sciences Tools & Services — 2.1% | |||
124 | Agilent Technologies, Inc. | 16,572 | |
62 | Thermo Fisher Scientific, Inc. | 29,154 | |
45,726 | |||
Machinery — 4.4% | |||
189 | Cummins, Inc. | 47,636 | |
103 | Parker-Hannifin Corp. | 32,322 | |
73 | Snap-on, Inc. | 17,345 | |
97,303 | |||
Media — 5.3% | |||
191 | Comcast Corp. - Class A | 10,725 | |
333 | Discovery, Inc. - Class C1 | 10,759 | |
413 | Fox Corp. - Class A | 15,454 | |
746 | Fox Corp. - Class B | 27,140 | |
443 | Interpublic Group of Cos., Inc. (The) | 14,065 | |
467 | Omnicom Group, Inc. | 38,415 | |
116,558 | |||
Metals & Mining — 1.2% | |||
170 | Reliance Steel & Aluminum Co. | 27,253 | |
Multi-line Retail — 0.6% | |||
63 | Target Corp. | 13,057 | |
Pharmaceuticals — 5.0% | |||
690 | Bristol-Myers Squibb Co. | 43,070 | |
128 | Jazz Pharmaceuticals PLC1 | 21,043 | |
1,202 | Pfizer, Inc. | 46,457 | |
110,570 | |||
Professional Services — 1.1% | |||
474 | Nielsen Holdings PLC | 12,158 | |
140 | Robert Half International, Inc. | 12,265 | |
24,423 | |||
Real Estate Management & Development — 2.4% | |||
620 | CBRE Group, Inc. - Class A1 | 52,824 | |
Road & Rail — 2.2% | |||
375 | CSX Corp. | 37,781 | |
41 | Norfolk Southern Corp. | 11,449 | |
49,230 | |||
Semiconductors & Semiconductor Equipment — 4.1% | |||
447 | Applied Materials, Inc. | 59,322 | |
555 | Intel Corp. | 31,929 | |
91,251 | |||
Software — 2.0% | |||
592 | Oracle Corp. | 44,868 | |
Specialty Retail — 1.4% | |||
266 | Best Buy Co., Inc. | 30,928 |
58 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Technology Hardware, Storage & Peripherals — 0.5% | |||
344 | HP, Inc. | $ 11,734 | |
Thrifts & Mortgage Finance — 0.9% | |||
1,714 | New York Community Bancorp, Inc. | 20,499 | |
Tobacco — 0.5% | |||
121 | Philip Morris International, Inc. | 11,495 | |
Trading Companies & Distributors — 1.3% | |||
91 | United Rentals, Inc.1 | 29,115 | |
TOTAL COMMON STOCKS (Cost $1,632,748) | 2,216,727 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.4% | |||
$8,897 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $8,897, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $9,100, coupon rate of 0.125%, due 4/30/23, market value of $9,092) | 8,897 | |
TOTAL REPURCHASE AGREEMENT (Cost $8,897) | 8,897 | ||
TOTAL INVESTMENTS (Cost $1,641,645) | 100.2% | $2,225,624 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.2) | (3,496) | |
NET ASSETS | 100.0% | $2,222,128 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
59 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 8.2% | $ 181,914 | |
Health Care Providers & Services | 6.1 | 134,889 | |
Media | 5.3 | 116,558 | |
Pharmaceuticals | 5.0 | 110,570 | |
Capital Markets | 4.9 | 109,642 | |
Consumer Finance | 4.4 | 98,134 | |
Machinery | 4.4 | 97,303 | |
Semiconductors & Semiconductor Equipment | 4.1 | 91,251 | |
Energy Equipment & Services | 3.8 | 83,561 | |
Diversified Telecommunication Services | 3.7 | 82,841 | |
Insurance | 3.7 | 81,254 | |
Electric Utilities | 3.5 | 78,295 | |
Food Products | 3.2 | 70,674 | |
Equity Real Estate Investment Trusts | 2.8 | 61,348 | |
Real Estate Management & Development | 2.4 | 52,824 | |
Road & Rail | 2.2 | 49,230 | |
Life Sciences Tools & Services | 2.1 | 45,726 | |
Food & Staples Retailing | 2.0 | 45,017 | |
Software | 2.0 | 44,868 | |
Containers & Packaging | 1.8 | 40,890 | |
Chemicals | 1.8 | 38,949 | |
Household Products | 1.7 | 38,158 | |
Automobiles | 1.7 | 37,321 | |
Independent Power & Renewable Electricity Producer | 1.6 | 36,166 | |
Specialty Retail | 1.4 | 30,928 | |
Household Durables | 1.3 | 29,600 | |
Trading Companies & Distributors | 1.3 | 29,115 | |
Metals & Mining | 1.2 | 27,253 | |
IT Services | 1.2 | 26,995 | |
Electronic Equipment, Instruments & Components | 1.2 | 26,712 | |
Electrical Equipment | 1.2 | 26,442 | |
Professional Services | 1.1 | 24,423 | |
Thrifts & Mortgage Finance | 0.9 | 20,499 | |
Building Products | 0.9 | 20,156 | |
Interactive Media & Service | 0.7 | 16,474 | |
Construction & Engineering | 0.7 | 15,946 | |
Diversified Financial Services | 0.7 | 15,712 | |
Multi-line Retail | 0.6 | 13,057 | |
Technology Hardware, Storage & Peripherals | 0.5 | 11,734 | |
Tobacco | 0.5 | 11,495 | |
Commercial Services & Supplies | 0.5 | 11,480 | |
Communications Equipment | 0.5 | 10,691 | |
Entertainment | 0.5 | 10,372 | |
Diversified Consumer Services | 0.5 | 10,260 | |
TOTAL COMMON STOCKS | 99.8% | $2,216,727 | |
REPURCHASE AGREEMENT | 0.4 | 8,897 | |
TOTAL INVESTMENTS | 100.2% | $2,225,624 |
60 |
Shares | Value | ||
COMMON STOCKS* — 99.3% | |||
Air Freight & Logistics — 0.6% | |||
127 | Atlas Air Worldwide Holdings, Inc.1 | $ 8,625 | |
Auto Components — 2.1% | |||
223 | Adient PLC1 | 10,334 | |
273 | Cooper Tire & Rubber Co. | 15,558 | |
81 | Gentherm, Inc.1 | 5,767 | |
31,659 | |||
Banks — 11.6% | |||
489 | Cadence BanCorp | 10,880 | |
363 | Cathay General Bancorp | 14,694 | |
519 | Central Pacific Financial Corp. | 13,987 | |
257 | Financial Institutions, Inc. | 8,206 | |
1,455 | First BanCorp | 18,289 | |
211 | First Financial Corp. | 9,335 | |
489 | First Foundation, Inc. | 11,638 | |
408 | Hilltop Holdings, Inc. | 14,362 | |
853 | Hope Bancorp, Inc. | 12,804 | |
224 | Independent Bank Group, Inc. | 16,914 | |
985 | Investors Bancorp, Inc. | 14,420 | |
342 | Pacific Premier Bancorp, Inc. | 15,058 | |
906 | Valley National Bancorp | 12,476 | |
173,063 | |||
Beverages — 0.8% | |||
739 | Primo Water Corp. | 12,371 | |
Biotechnology — 11.2% | |||
2,992 | Akebia Therapeutics, Inc.1 | 9,544 | |
375 | AnaptysBio, Inc.1 | 8,756 | |
763 | Avrobio, Inc.1 | 8,912 | |
2,600 | Catalyst Pharmaceuticals, Inc.1 | 11,908 | |
837 | Coherus Biosciences, Inc.1 | 12,387 | |
1,458 | CytomX Therapeutics, Inc.1 | 13,647 | |
85 | Editas Medicine, Inc.1 | 3,146 | |
1,164 | Karyopharm Therapeutics, Inc.1 | 10,872 | |
3,554 | MEI Pharma, Inc.1 | 12,972 | |
753 | Prothena Corp. PLC1 | 19,985 | |
917 | Sangamo BioSciences, Inc.1 | 10,802 | |
3,694 | Spectrum Pharmaceuticals, Inc.1 | 11,488 | |
721 | Travere Therapeutics, Inc.1 | 17,823 | |
621 | Vanda Pharmaceuticals, Inc.1 | 10,309 | |
121 | Xencor, Inc.1 | 5,150 | |
167,701 | |||
Building Products — 2.9% | |||
1,568 | Cornerstone Building Brands, Inc.1 | 22,046 | |
445 | Griffon Corp. | 12,068 | |
337 | Quanex Building Products Corp. | 9,197 | |
43,311 | |||
Capital Markets — 1.4% | |||
363 | Federated Hermes, Inc. | 10,454 | |
338 | StepStone Group, Inc. - Class A | 11,256 | |
21,710 | |||
Chemicals — 0.8% | |||
148 | Minerals Technologies, Inc. | 11,565 |
61 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Commercial Services & Supplies — 2.2% | |||
278 | ABM Industries, Inc. | $ 14,292 | |
634 | ACCO Brands Corp. | 5,440 | |
305 | Herman Miller, Inc. | 12,657 | |
32,389 | |||
Communications Equipment — 1.1% | |||
214 | NETGEAR, Inc.1 | 7,963 | |
545 | Viavi Solutions, Inc.1 | 8,916 | |
16,879 | |||
Construction & Engineering — 0.9% | |||
214 | Primoris Services Corp. | 6,989 | |
408 | Tutor Perini Corp.1 | 6,569 | |
13,558 | |||
Consumer Finance — 2.1% | |||
1,082 | Navient Corp. | 18,210 | |
273 | PROG Holdings, Inc. | 13,907 | |
32,117 | |||
Containers & Packaging — 0.9% | |||
803 | O-I Glass, Inc.1 | 13,241 | |
Diversified Consumer Services — 1.8% | |||
316 | Adtalem Global Education, Inc.1 | 10,842 | |
165 | American Public Education, Inc.1 | 5,026 | |
402 | Stride, Inc.1 | 11,509 | |
27,377 | |||
Diversified Telecommunication Services — 0.3% | |||
294 | Ooma, Inc.1 | 4,860 | |
Electronic Equipment, Instruments & Components — 1.9% | |||
59 | Plexus Corp.1 | 5,454 | |
230 | Sanmina Corp.1 | 9,393 | |
528 | TTM Technologies, Inc.1 | 7,920 | |
252 | Vishay Intertechnology, Inc. | 6,192 | |
28,959 | |||
Equity Real Estate Investment Trusts — 5.2% | |||
799 | Brandywine Realty Trust REIT | 10,811 | |
479 | CareTrust REIT, Inc. | 11,582 | |
822 | City Office REIT, Inc. | 8,984 | |
82 | EastGroup Properties, Inc. | 13,010 | |
331 | National Storage Affiliates Trust | 15,041 | |
110 | PotlatchDeltic Corp. | 6,530 | |
322 | STAG Industrial, Inc. | 11,756 | |
77,714 | |||
Food & Staples Retailing — 1.2% | |||
200 | BJ’s Wholesale Club Holdings, Inc.1 | 8,934 | |
440 | SpartanNash Co. | 8,523 | |
17,457 | |||
Gas Utilities — 2.2% | |||
98 | ONE Gas, Inc. | 7,886 | |
485 | South Jersey Industries, Inc.2 | 12,004 | |
177 | Southwest Gas Holdings, Inc.1 | 12,340 | |
32,230 |
62 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Equipment & Supplies — 2.7% | |||
1,295 | Invacare Corp. | $ 11,694 | |
180 | NuVasive, Inc.1 | 12,861 | |
971 | OraSure Technologies, Inc.1 | 8,885 | |
150 | Orthofix Medical, Inc.1 | 6,652 | |
40,092 | |||
Health Care Providers & Services — 3.3% | |||
70 | ModivCare, Inc.1 | 9,806 | |
209 | Patterson Cos., Inc. | 6,717 | |
615 | Select Medical Holdings Corp.1 | 23,197 | |
150 | Tenet Healthcare Corp.1 | 8,889 | |
48,609 | |||
Health Care Technology — 0.8% | |||
730 | Allscripts Healthcare Solutions, Inc.1 | 11,359 | |
Hotels, Restaurants & Leisure — 0.5% | |||
57 | Jack In The Box, Inc. | 6,877 | |
Household Durables — 1.9% | |||
126 | Meritage Homes Corp.1 | 13,405 | |
629 | Tri Pointe Homes, Inc.1 | 14,983 | |
28,388 | |||
Household Products — 1.1% | |||
104 | Central Garden & Pet Co.1 | 5,630 | |
206 | Central Garden & Pet Co. - Class A1 | 10,150 | |
15,780 | |||
Insurance — 0.8% | |||
209 | Stewart Information Services Corp. | 12,258 | |
Interactive Media & Service — 0.5% | |||
366 | QuinStreet, Inc.1 | 7,419 | |
IT Services — 3.2% | |||
122 | CSG Systems International, Inc. | 5,611 | |
120 | ExlService Holdings, Inc.1 | 11,086 | |
710 | Hackett Group, Inc. (The) | 11,807 | |
120 | Perficient, Inc.1 | 7,873 | |
245 | Sykes Enterprises, Inc.1 | 10,738 | |
47,115 | |||
Leisure Equipment & Products — 1.0% | |||
453 | Vista Outdoor, Inc.1 | 14,772 | |
Life Sciences Tools & Services — 0.8% | |||
317 | Luminex Corp. | 11,631 | |
Machinery — 1.4% | |||
239 | Hillenbrand, Inc. | 11,733 | |
504 | Wabash National Corp. | 8,875 | |
20,608 | |||
Media — 2.7% | |||
579 | EW Scripps Co. (The) - Class A | 12,518 | |
628 | Gray Television, Inc. | 12,761 | |
779 | iHeartMedia, Inc.1 | 14,910 | |
40,189 |
63 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Metals & Mining — 2.4% | |||
629 | Alcoa Corp.1 | $ 23,047 | |
420 | Commercial Metals Co. | 12,272 | |
35,319 | |||
Mortgage Real Estate Investment Trust — 0.8% | |||
1,027 | Great Ajax Corp. | 12,540 | |
Multi-line Retail — 0.7% | |||
156 | Big Lots, Inc. | 10,755 | |
Multi-Utilities — 0.8% | |||
248 | Avista Corp. | 11,413 | |
Oil, Gas & Consumable Fuels — 2.4% | |||
400 | CVR Energy, Inc. | 8,516 | |
1,504 | DHT Holdings, Inc. | 8,874 | |
527 | Teekay Tankers, Ltd. - Class A1 | 7,067 | |
363 | World Fuel Services Corp. | 11,227 | |
35,684 | |||
Paper & Forest Products — 0.8% | |||
297 | Domtar Corp. | 11,708 | |
Personal Products — 0.4% | |||
150 | Edgewell Personal Care Co. | 5,730 | |
Pharmaceuticals — 0.8% | |||
781 | Alder Biopharmaceuticals, Inc.1,3 | 0 | |
395 | Supernus Pharmaceuticals, Inc.1 | 12,028 | |
12,028 | |||
Professional Services — 2.4% | |||
104 | ASGN, Inc.1 | 10,939 | |
314 | Heidrick & Struggles International, Inc. | 13,282 | |
395 | TrueBlue, Inc.1 | 11,178 | |
35,399 | |||
Real Estate Management & Development — 0.9% | |||
752 | Realogy Holdings Corp.1,2 | 12,995 | |
Semiconductors & Semiconductor Equipment — 3.4% | |||
471 | Amkor Technology, Inc. | 9,524 | |
288 | Axcelis Technologies, Inc.1 | 11,961 | |
284 | FormFactor, Inc.1 | 11,118 | |
192 | Kulicke & Soffa Industries, Inc. | 10,915 | |
172 | SMART Global Holdings, Inc.1 | 7,938 | |
51,456 | |||
Software — 2.2% | |||
602 | ChannelAdvisor Corp.1 | 12,732 | |
222 | Progress Software Corp. | 9,693 | |
479 | Xperi Holding Corp. | 9,843 | |
32,268 | |||
Specialty Retail — 3.6% | |||
64 | Asbury Automotive Group, Inc.1 | 12,711 | |
108 | Group 1 Automotive, Inc. | 17,729 | |
239 | MarineMax, Inc.1 | 13,575 | |
236 | Zumiez, Inc.1 | 10,141 | |
54,156 |
64 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Apparel & Luxury Goods — 0.4% | |||
229 | Lakeland Industries, Inc.1 | $ 6,460 | |
Thrifts & Mortgage Finance — 0.9% | |||
576 | Provident Financial Services, Inc. | 13,576 | |
Trading Companies & Distributors — 4.5% | |||
182 | Beacon Roofing Supply, Inc.1 | 10,252 | |
194 | Boise Cascade Co. | 12,944 | |
1,707 | NOW, Inc.1 | 16,763 | |
215 | Rush Enterprises, Inc. - Class A | 10,612 | |
185 | WESCO International, Inc.1 | 16,968 | |
67,539 | |||
TOTAL COMMON STOCKS (Cost $1,060,973) | 1,480,909 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.1% | |||
$16,371 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $16,371, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $16,800, coupon rate of 0.125%, due 4/30/23, market value of $16,786) | 16,371 | |
TOTAL REPURCHASE AGREEMENT (Cost $16,371) | 16,371 | ||
TOTAL INVESTMENTS (Cost $1,077,344) | 100.4% | $1,497,280 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.4) | (6,155) | |
NET ASSETS | 100.0% | $1,491,125 |
* | 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). |
65 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 11.6% | $ 173,063 | |
Biotechnology | 11.2 | 167,701 | |
Equity Real Estate Investment Trusts | 5.2 | 77,714 | |
Trading Companies & Distributors | 4.5 | 67,539 | |
Specialty Retail | 3.6 | 54,156 | |
Semiconductors & Semiconductor Equipment | 3.4 | 51,456 | |
Health Care Providers & Services | 3.3 | 48,609 | |
IT Services | 3.2 | 47,115 | |
Building Products | 2.9 | 43,311 | |
Media | 2.7 | 40,189 | |
Health Care Equipment & Supplies | 2.7 | 40,092 | |
Oil, Gas & Consumable Fuels | 2.4 | 35,684 | |
Professional Services | 2.4 | 35,399 | |
Metals & Mining | 2.4 | 35,319 | |
Commercial Services & Supplies | 2.2 | 32,389 | |
Software | 2.2 | 32,268 | |
Gas Utilities | 2.2 | 32,230 | |
Consumer Finance | 2.1 | 32,117 | |
Auto Components | 2.1 | 31,659 | |
Electronic Equipment, Instruments & Components | 1.9 | 28,959 | |
Household Durables | 1.9 | 28,388 | |
Diversified Consumer Services | 1.8 | 27,377 | |
Capital Markets | 1.4 | 21,710 | |
Machinery | 1.4 | 20,608 | |
Food & Staples Retailing | 1.2 | 17,457 | |
Communications Equipment | 1.1 | 16,879 | |
Household Products | 1.1 | 15,780 | |
Leisure Equipment & Products | 1.0 | 14,772 | |
Thrifts & Mortgage Finance | 0.9 | 13,576 | |
Construction & Engineering | 0.9 | 13,558 | |
Containers & Packaging | 0.9 | 13,241 | |
Real Estate Management & Development | 0.9 | 12,995 | |
Mortgage Real Estate Investment Trust | 0.8 | 12,540 | |
Beverages | 0.8 | 12,371 | |
Insurance | 0.8 | 12,258 | |
Pharmaceuticals | 0.8 | 12,028 | |
Paper & Forest Products | 0.8 | 11,708 | |
Life Sciences Tools & Services | 0.8 | 11,631 | |
Chemicals | 0.8 | 11,565 | |
Multi-Utilities | 0.8 | 11,413 | |
Health Care Technology | 0.8 | 11,359 | |
Multi-line Retail | 0.7 | 10,755 | |
Air Freight & Logistics | 0.6 | 8,625 | |
Interactive Media & Service | 0.5 | 7,419 | |
Hotels, Restaurants & Leisure | 0.5 | 6,877 | |
Textiles, Apparel & Luxury Goods | 0.4 | 6,460 | |
Personal Products | 0.4 | 5,730 | |
Diversified Telecommunication Services | 0.3 | 4,860 | |
TOTAL COMMON STOCKS | 99.3% | $1,480,909 | |
REPURCHASE AGREEMENT | 1.1 | 16,371 | |
TOTAL INVESTMENTS | 100.4% | $1,497,280 |
66 |
Shares | Value | ||
COMMON STOCKS* — 98.0% | |||
Japan — 21.7% | |||
53,316 | Astellas Pharma, Inc., Unsponsored ADR | $ 799,473 | |
62,135 | Dai Nippon Printing Co, Ltd., Sponsored ADR1 | 615,758 | |
27,115 | Daito Trust Construction Co., Ltd., Sponsored ADR1 | 725,869 | |
37,496 | Fujitsu, Ltd., Unsponsored ADR1 | 1,190,685 | |
38,389 | Honda Motor Co., Ltd., Sponsored ADR1 | 1,144,760 | |
41,132 | KDDI Corp., Unsponsored ADR1 | 621,505 | |
11,803 | Nintendo Co, Ltd., Unsponsored ADR | 848,518 | |
13,979 | Nippon Telegraph & Telephone Corp., ADR | 353,669 | |
27,851 | Nitto Denko Corp., Unsponsored ADR1 | 1,154,145 | |
7,489 | Omron Corp., Sponsored ADR1 | 567,067 | |
26,819 | SoftBank Corp., Unsponsored ADR1 | 351,597 | |
11,540 | Sony Corp., Sponsored ADR | 1,155,846 | |
46,877 | Takeda Pharmaceutical Co., Ltd., Sponsored ADR1 | 782,846 | |
41,116 | Toray Industries, Inc., Unsponsored ADR | 510,969 | |
10,822,707 | |||
United Kingdom — 11.1% | |||
21,471 | British American Tobacco PLC, Sponsored ADR | 805,377 | |
244,029 | BT Group PLC2 | 555,908 | |
29,000 | Imperial Brands PLC, Sponsored ADR | 606,825 | |
5,358 | Mondi PLC, Unsponsored ADR1 | 296,654 | |
5,100 | National Grid PLC, Sponsored ADR | 321,198 | |
13,918 | Schroders PLC | 693,510 | |
25,012 | Unilever PLC, Sponsored ADR | 1,468,705 | |
412,614 | Vodafone Group PLC | 779,542 | |
5,527,719 | |||
Switzerland — 10.7% | |||
44,561 | ABB, Ltd., Sponsored ADR1 | 1,445,113 | |
14,312 | Adecco Group AG, Unsponsored ADR | 482,744 | |
52,536 | LafargeHolcim, Ltd., Unsponsored ADR | 644,091 | |
16,964 | Novartis AG, Sponsored ADR | 1,446,012 | |
35,662 | STMicroelectronics N.V.1 | 1,329,836 | |
5,347,796 | |||
Canada — 9.4% | |||
15,009 | Bank of Montreal | 1,415,949 | |
10,660 | Bank of Nova Scotia (The)1 | 678,935 | |
19,456 | Manulife Financial Corp. | 425,114 | |
14,781 | Royal Bank of Canada1 | 1,410,107 | |
14,155 | Sun Life Financial, Inc. | 763,521 | |
4,693,626 | |||
France — 8.2% | |||
13,726 | AXA SA, Sponsored ADR | 387,760 | |
27,303 | BNP Paribas SA, ADR2 | 875,607 | |
4,451 | Capgemini SE | 815,525 | |
1,713 | Cie Generale des Etablissements Michelin SCA | 247,855 | |
7,582 | Sanofi | 795,506 | |
9,056 | Schneider Electric SE, Unsponsored ADR | 288,479 | |
15,567 | TOTAL SE | 689,195 | |
4,099,927 | |||
Germany — 6.6% | |||
80,783 | Brenntag AG, Unsponsored ADR | 1,446,016 | |
29,725 | Daimler AG, Unsponsored ADR | 658,409 | |
36,825 | Deutsche Boerse AG, Unsponsored ADR | 631,033 | |
5,438 | Deutsche Post AG, Sponsored ADR | 320,271 |
67 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Germany — (Continued) | |||
4,846 | Zalando SE, Unsponsored ADR2 | $ 251,846 | |
3,307,575 | |||
Australia — 6.1% | |||
51,609 | Aurizon Holdings, Ltd., Sponsored ADR | 645,113 | |
352,033 | Medibank Pvt, Ltd. | 835,261 | |
35,708 | Sonic Healthcare, Ltd., Sponsored ADR | 988,133 | |
13,294 | Wesfarmers, Ltd. | 554,142 | |
3,022,649 | |||
Sweden — 4.2% | |||
3,904 | Evolution Gaming Group AB, ADR | 771,430 | |
49,438 | SKF AB, Sponsored ADR1 | 1,297,253 | |
2,068,683 | |||
Spain — 4.0% | |||
15,268 | Iberdrola SA, Sponsored ADR1 | 829,969 | |
22,791 | Red Electrica Corp. SA | 418,542 | |
62,887 | Repsol SA | 751,371 | |
1,999,882 | |||
Hong Kong — 3.6% | |||
20,449 | BOC Hong Kong Holdings, Ltd., Sponsored ADR1 | 1,457,809 | |
20,984 | Sun Hung Kai Properties, Ltd., Sponsored ADR1 | 317,488 | |
1,775,297 | |||
Netherlands — 3.3% | |||
11,419 | Akzo Nobel N.V., Sponsored ADR1 | 456,075 | |
35,469 | Koninklijke Ahold Delhaize N.V., Sponsored ADR | 953,407 | |
5,088 | NN Group N.V. | 254,285 | |
1,663,767 | |||
Denmark — 2.0% | |||
28,107 | Carlsberg AS, Sponsored ADR1 | 986,275 | |
Singapore — 1.7% | |||
7,376 | Singapore Exchange, Ltd., Unsponsored ADR1 | 868,155 | |
Italy — 1.7% | |||
48,060 | Snam SpA | 270,411 | |
25,414 | Terna Rete Elettrica Nazionale SPA, Unsponsored ADR | 559,997 | |
830,408 | |||
Ireland — 1.4% | |||
20,836 | James Hardie Industries PLC | 688,589 | |
Norway — 0.6% | |||
6,100 | Yara International ASA | 318,557 | |
New Zealand — 0.6% | |||
12,178 | Fisher & Paykel Healthcare Corp, Ltd. | 313,289 | |
Israel — 0.6% | |||
28,223 | Teva Pharmaceutical Industries, Ltd.2 | 294,103 | |
Austria — 0.5% | |||
5,087 | OMV AG | 250,811 | |
TOTAL COMMON STOCKS (Cost $40,285,322) | 48,879,815 |
68 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL — 11.7% | |||
5,831,795 | State Street Navigator Securities Lending Government Money Market Portfolio3 | $ 5,831,795 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $5,831,795) | 5,831,795 | ||
Face Amount | |||
REPURCHASE AGREEMENT*—0.4% | |||
$ 180,799 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $180,799, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $184,600, coupon rate of 0.125%, due 4/30/23, market value of $184,441) | 180,799 | |
TOTAL REPURCHASE AGREEMENT (Cost $180,799) | 180,799 | ||
TOTAL INVESTMENTS (Cost $46,297,916) | 110.1% | $54,892,409 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (10.1) | (5,030,940) | |
NET ASSETS | 100.0% | $49,861,469 |
* | 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. |
Abbreviations: |
ADR — American Depositary Receipt |
69 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 11.6% | $ 5,838,407 | |
Pharmaceuticals | 8.3 | 4,117,940 | |
Insurance | 5.4 | 2,665,941 | |
Chemicals | 4.8 | 2,439,746 | |
Capital Markets | 4.4 | 2,192,698 | |
IT Services | 4.0 | 2,006,210 | |
Electric Utilities | 3.6 | 1,808,508 | |
Automobiles | 3.6 | 1,803,169 | |
Electrical Equipment | 3.5 | 1,733,592 | |
Oil, Gas & Consumable Fuels | 3.4 | 1,691,377 | |
Personal Products | 3.0 | 1,468,705 | |
Trading Companies & Distributors | 2.9 | 1,446,016 | |
Tobacco | 2.8 | 1,412,202 | |
Wireless Telecommunication Services | 2.9 | 1,401,047 | |
Construction Materials | 2.7 | 1,332,680 | |
Semiconductors & Semiconductor Equipment | 2.6 | 1,329,836 | |
Machinery | 2.6 | 1,297,253 | |
Diversified Telecommunication Services | 2.5 | 1,261,174 | |
Household Durables | 2.3 | 1,155,846 | |
Real Estate Management & Development | 2.2 | 1,043,357 | |
Health Care Providers & Services | 2.0 | 988,133 | |
Beverages | 2.0 | 986,275 | |
Food & Staples Retailing | 1.9 | 953,407 | |
Entertainment | 1.7 | 848,518 | |
Leisure Equipment & Products | 1.6 | 771,430 | |
Road & Rail | 1.3 | 645,113 | |
Commercial Services & Supplies | 1.2 | 615,758 | |
Electronic Equipment, Instruments & Components | 1.1 | 567,067 | |
Multi-line Retail | 1.1 | 554,142 | |
Professional Services | 1.0 | 482,744 | |
Multi-Utilities | 0.6 | 321,198 | |
Air Freight & Logistics | 0.6 | 320,271 | |
Health Care Equipment & Supplies | 0.6 | 313,289 | |
Paper & Forest Products | 0.6 | 296,654 | |
Gas Utilities | 0.6 | 270,411 | |
Internet & Direct Marketing Retail | 0.5 | 251,846 | |
Auto Components | 0.5 | 247,855 | |
TOTAL COMMON STOCKS | 98.0% | $48,879,815 | |
REPURCHASE AGREEMENT | 0.4 | 180,799 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 11.7 | 5,831,795 | |
TOTAL INVESTMENTS | 110.1% | $54,892,409 |
70 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Auto Components — 1.9% | |||
9,247 | BorgWarner, Inc. | $ 449,219 | |
3,802 | Gentex Corp. | 133,755 | |
582,974 | |||
Banks — 5.5% | |||
6,360 | Bank of America Corp. | 257,771 | |
3,369 | East West Bancorp, Inc. | 256,549 | |
23,006 | Regions Financial Corp. | 501,531 | |
11,598 | Zions Bancorp N.A. | 647,168 | |
1,663,019 | |||
Biotechnology — 1.4% | |||
1,812 | Amgen, Inc. | 434,228 | |
Building Products — 0.9% | |||
6,318 | Carrier Global Corp. | 275,338 | |
Capital Markets — 3.9% | |||
1,858 | Ameriprise Financial, Inc. | 480,107 | |
3,019 | Bank of New York Mellon Corp. (The) | 150,588 | |
1,610 | Morgan Stanley | 132,905 | |
2,393 | T Rowe Price Group, Inc. | 428,826 | |
1,192,426 | |||
Chemicals — 0.8% | |||
4,745 | Corteva, Inc. | 231,366 | |
Communications Equipment — 1.8% | |||
6,458 | Ciena Corp.1 | 325,936 | |
1,224 | F5 Networks, Inc.1 | 228,594 | |
554,530 | |||
Consumer Finance — 2.9% | |||
6,813 | Ally Financial, Inc. | 350,529 | |
17,889 | SLM Corp. | 351,698 | |
3,729 | Synchrony Financial | 163,106 | |
865,333 | |||
Containers & Packaging — 1.6% | |||
8,196 | International Paper Co. | 475,368 | |
Diversified Telecommunication Services — 1.5% | |||
7,871 | Verizon Communications, Inc. | 454,865 | |
Electric Utilities — 0.5% | |||
1,554 | Duke Energy Corp. | 156,472 | |
Electronic Equipment, Instruments & Components — 2.7% | |||
5,577 | Corning, Inc. | 246,559 | |
9,523 | FLIR Systems, Inc. | 571,095 | |
817,654 | |||
Energy Equipment & Services — 1.6% | |||
14,456 | Baker Hughes Co. | 290,277 | |
7,700 | Schlumberger, Ltd. | 208,285 | |
498,562 | |||
Entertainment — 4.3% | |||
6,342 | Activision Blizzard, Inc. | 578,327 | |
2,688 | Electronic Arts, Inc. | 381,911 |
71 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Entertainment — (Continued) | |||
1,956 | Take-Two Interactive Software, Inc.1 | $ 343,043 | |
1,303,281 | |||
Equity Real Estate Investment Trusts — 1.5% | |||
690 | American Tower Corp. | 175,791 | |
2,450 | Prologis, Inc. | 285,499 | |
461,290 | |||
Food & Staples Retailing — 1.5% | |||
12,793 | Kroger Co. (The) | 467,456 | |
Food Products — 3.0% | |||
11,576 | Conagra Brands, Inc. | 429,354 | |
2,543 | General Mills, Inc. | 154,767 | |
5,082 | Kellogg Co. | 317,218 | |
901,339 | |||
Health Care Providers & Services — 4.4% | |||
8,160 | Cardinal Health, Inc. | 492,375 | |
1,426 | Cigna Corp. | 355,088 | |
1,059 | Humana, Inc. | 471,509 | |
1,318,972 | |||
Health Care Technology — 1.0% | |||
4,036 | Cerner Corp. | 302,902 | |
Hotels, Restaurants & Leisure — 0.5% | |||
2,108 | Wyndham Hotels & Resorts, Inc. | 154,116 | |
Household Durables — 0.8% | |||
49 | NVR, Inc.1 | 245,887 | |
Household Products — 1.4% | |||
5,220 | Colgate-Palmolive Co. | 421,254 | |
Independent Power & Renewable Electricity Producer — 1.6% | |||
17,153 | AES Corp. (The) | 477,196 | |
Insurance — 1.9% | |||
9,094 | MetLife, Inc. | 578,651 | |
Interactive Media & Service — 2.1% | |||
276 | Alphabet, Inc. - Class A1 | 649,566 | |
Internet & Direct Marketing Retail — 1.8% | |||
9,492 | eBay, Inc. | 529,559 | |
IT Services — 6.0% | |||
1,087 | Accenture PLC - Class A | 315,197 | |
2,449 | Automatic Data Processing, Inc. | 457,939 | |
2,213 | Cognizant Technology Solutions Corp. - Class A | 177,925 | |
1,223 | Fiserv, Inc.1 | 146,907 | |
816 | Gartner, Inc.1 | 159,838 | |
2,149 | PayPal Holdings, Inc.1 | 563,661 | |
1,821,467 | |||
Life Sciences Tools & Services — 4.2% | |||
1,700 | Agilent Technologies, Inc. | 227,188 | |
487 | Charles River Laboratories International, Inc.1 | 161,903 | |
245 | Mettler-Toledo International, Inc.1 | 321,763 | |
877 | Thermo Fisher Scientific, Inc. | 412,392 |
72 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — (Continued) | |||
511 | Waters Corp.1 | $ 153,234 | |
1,276,480 | |||
Machinery — 2.7% | |||
1,372 | Cummins, Inc. | 345,799 | |
1,040 | IDEX Corp. | 233,168 | |
2,000 | Oshkosh Corp. | 248,860 | |
827,827 | |||
Media — 3.1% | |||
14,951 | Discovery, Inc. - Class C1 | 483,067 | |
14,762 | Interpublic Group of Cos., Inc. (The) | 468,693 | |
951,760 | |||
Metals & Mining — 0.8% | |||
4,279 | Steel Dynamics, Inc. | 232,007 | |
Multi-Utilities — 1.0% | |||
3,648 | Dominion Energy, Inc. | 291,475 | |
Pharmaceuticals — 1.8% | |||
1,092 | Eli Lilly & Co. | 199,585 | |
2,019 | Jazz Pharmaceuticals PLC1 | 331,923 | |
531,508 | |||
Professional Services — 2.7% | |||
3,798 | Leidos Holdings, Inc. | 384,662 | |
17,316 | Nielsen Holdings PLC | 444,155 | |
828,817 | |||
Real Estate Management & Development — 1.7% | |||
6,194 | CBRE Group, Inc. - Class A1 | 527,729 | |
Road & Rail — 0.5% | |||
1,556 | CSX Corp. | 156,767 | |
Semiconductors & Semiconductor Equipment — 4.8% | |||
6,245 | Applied Materials, Inc. | 828,774 | |
4,787 | Intel Corp. | 275,396 | |
2,018 | Skyworks Solutions, Inc. | 365,924 | |
1,470,094 | |||
Software — 8.0% | |||
1,020 | Adobe, Inc.1 | 518,507 | |
4,176 | Cadence Design Systems, Inc.1 | 550,272 | |
3,184 | Fortinet, Inc.1 | 650,268 | |
2,772 | Microsoft Corp. | 699,043 | |
2,418,090 | |||
Specialty Retail — 4.4% | |||
4,774 | Best Buy Co., Inc. | 555,073 | |
1,906 | Lowe’s Cos., Inc. | 374,053 | |
2,455 | Williams-Sonoma, Inc. | 419,191 | |
1,348,317 | |||
Technology Hardware, Storage & Peripherals — 3.3% | |||
5,098 | Dell Technologies, Inc. - Class C1 | 501,286 | |
14,636 | HP, Inc. | 499,234 | |
1,000,520 |
73 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Apparel & Luxury Goods — 0.6% | |||
1,728 | Carter’s, Inc. | $ 187,989 | |
Trading Companies & Distributors — 1.2% | |||
1,140 | United Rentals, Inc.1 | 364,743 | |
TOTAL COMMON STOCKS (Cost $20,518,250) | 30,249,194 | ||
TOTAL INVESTMENTS (Cost $20,518,250) | 99.6% | $30,249,194 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.4 | 130,361 | |
NET ASSETS | 100.0% | $30,379,555 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
74 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 8.0% | $ 2,418,090 | |
IT Services | 6.0 | 1,821,467 | |
Banks | 5.5 | 1,663,019 | |
Semiconductors & Semiconductor Equipment | 4.8 | 1,470,094 | |
Specialty Retail | 4.4 | 1,348,317 | |
Health Care Providers & Services | 4.4 | 1,318,972 | |
Entertainment | 4.3 | 1,303,281 | |
Life Sciences Tools & Services | 4.2 | 1,276,480 | |
Capital Markets | 3.9 | 1,192,426 | |
Technology Hardware, Storage & Peripherals | 3.3 | 1,000,520 | |
Media | 3.1 | 951,760 | |
Food Products | 3.0 | 901,339 | |
Consumer Finance | 2.9 | 865,333 | |
Professional Services | 2.7 | 828,817 | |
Machinery | 2.7 | 827,827 | |
Electronic Equipment, Instruments & Components | 2.7 | 817,654 | |
Interactive Media & Service | 2.1 | 649,566 | |
Auto Components | 1.9 | 582,974 | |
Insurance | 1.9 | 578,651 | |
Communications Equipment | 1.8 | 554,530 | |
Pharmaceuticals | 1.8 | 531,508 | |
Internet & Direct Marketing Retail | 1.8 | 529,559 | |
Real Estate Management & Development | 1.7 | 527,729 | |
Energy Equipment & Services | 1.6 | 498,562 | |
Independent Power & Renewable Electricity Producer | 1.6 | 477,196 | |
Containers & Packaging | 1.6 | 475,368 | |
Food & Staples Retailing | 1.5 | 467,456 | |
Equity Real Estate Investment Trusts | 1.5 | 461,290 | |
Diversified Telecommunication Services | 1.5 | 454,865 | |
Biotechnology | 1.4 | 434,228 | |
Household Products | 1.4 | 421,254 | |
Trading Companies & Distributors | 1.2 | 364,743 | |
Health Care Technology | 1.0 | 302,902 | |
Multi-Utilities | 1.0 | 291,475 | |
Building Products | 0.9 | 275,338 | |
Household Durables | 0.8 | 245,887 | |
Metals & Mining | 0.8 | 232,007 | |
Chemicals | 0.8 | 231,366 | |
Textiles, Apparel & Luxury Goods | 0.6 | 187,989 | |
Road & Rail | 0.5 | 156,767 | |
Electric Utilities | 0.5 | 156,472 | |
Hotels, Restaurants & Leisure | 0.5 | 154,116 | |
TOTAL COMMON STOCKS | 99.6% | $30,249,194 | |
TOTAL INVESTMENTS | 99.6% | $30,249,194 |
75 |
Shares | Value | ||
COMMON STOCKS* — 99.2% | |||
Aerospace & Defense — 0.8% | |||
633 | Northrop Grumman Corp. | $ 224,360 | |
Air Freight & Logistics — 1.4% | |||
3,816 | Expeditors International of Washington, Inc. | 419,226 | |
Auto Components — 0.5% | |||
3,273 | BorgWarner, Inc. | 159,002 | |
Automobiles — 1.4% | |||
7,174 | General Motors Co.1 | 410,496 | |
Banks — 4.7% | |||
16,968 | Citizens Financial Group, Inc. | 785,279 | |
7,957 | East West Bancorp, Inc. | 605,926 | |
1,391,205 | |||
Biotechnology — 1.8% | |||
3,185 | Alexion Pharmaceuticals, Inc.1 | 537,246 | |
Building Products — 0.7% | |||
1,986 | Owens Corning | 192,265 | |
Capital Markets — 3.8% | |||
1,069 | Ameriprise Financial, Inc. | 276,230 | |
5,000 | Bank of New York Mellon Corp. (The) | 249,400 | |
3,258 | T Rowe Price Group, Inc. | 583,833 | |
1,109,463 | |||
Chemicals — 1.8% | |||
4,525 | Eastman Chemical Co. | 522,140 | |
Communications Equipment — 1.8% | |||
6,600 | Ciena Corp.1 | 333,102 | |
1,020 | F5 Networks, Inc.1 | 190,495 | |
523,597 | |||
Consumer Finance — 2.9% | |||
8,020 | Ally Financial, Inc. | 412,629 | |
10,078 | Synchrony Financial | 440,812 | |
853,441 | |||
Containers & Packaging — 2.7% | |||
7,400 | Graphic Packaging Holding Co. | 137,270 | |
11,412 | International Paper Co. | 661,896 | |
799,166 | |||
Diversified Consumer Services — 0.9% | |||
4,843 | Service Corp. International | 258,810 | |
Diversified Telecommunication Services — 3.2% | |||
15,547 | AT&T, Inc. | 488,331 | |
7,658 | Verizon Communications, Inc. | 442,556 | |
930,887 | |||
Electric Utilities — 1.1% | |||
4,700 | Southern Co. (The) | 310,999 | |
Energy Equipment & Services — 1.9% | |||
27,595 | Baker Hughes Co. | 554,108 | |
Entertainment — 1.1% | |||
1,869 | Take-Two Interactive Software, Inc.1 | 327,785 |
76 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — 3.3% | |||
1,343 | American Tower Corp. | $ 342,156 | |
19,995 | VICI Properties, Inc.2 | 633,842 | |
975,998 | |||
Food & Staples Retailing — 2.1% | |||
16,569 | Kroger Co. (The) | 605,431 | |
Food Products — 2.7% | |||
13,332 | Conagra Brands, Inc. | 494,484 | |
4,637 | General Mills, Inc. | 282,208 | |
776,692 | |||
Gas Utilities — 1.4% | |||
9,175 | UGI Corp. | 401,039 | |
Health Care Providers & Services — 4.7% | |||
6,076 | Cardinal Health, Inc. | 366,626 | |
3,090 | CVS Health Corp. | 236,076 | |
1,416 | Humana, Inc. | 630,460 | |
1,145 | Quest Diagnostics, Inc. | 151,002 | |
1,384,164 | |||
Household Products — 1.4% | |||
4,904 | Colgate-Palmolive Co. | 395,753 | |
Independent Power & Renewable Electricity Producer — 0.5% | |||
5,600 | AES Corp. (The) | 155,792 | |
Insurance — 2.4% | |||
1,663 | Allstate Corp. (The) | 210,868 | |
5,019 | MetLife, Inc. | 319,359 | |
6,100 | Unum Group | 172,386 | |
702,613 | |||
Interactive Media & Services — 5.0% | |||
278 | Alphabet, Inc. - Class A1 | 654,273 | |
2,525 | Facebook, Inc. - Class A1 | 820,827 | |
1,475,100 | |||
Internet & Direct Marketing Retail — 0.6% | |||
3,000 | eBay, Inc. | 167,370 | |
IT Services — 6.7% | |||
1,414 | Accenture PLC - Class A | 410,017 | |
5,377 | Akamai Technologies, Inc.1 | 584,480 | |
5,179 | Cognizant Technology Solutions Corp. - Class A | 416,392 | |
2,071 | PayPal Holdings, Inc.1 | 543,203 | |
1,954,092 | |||
Leisure Product — 0.5% | |||
1,415 | Brunswick Corp. | 151,589 | |
Life Sciences Tools & Services — 1.9% | |||
1,470 | Agilent Technologies, Inc. | 196,451 | |
1,161 | Waters Corp.1 | 348,149 | |
544,600 | |||
Machinery — 3.3% | |||
2,512 | Cummins, Inc. | 633,125 | |
3,536 | ITT, Inc. | 333,480 | |
966,605 |
77 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Media — 3.3% | |||
2,516 | Comcast Corp. - Class A | $ 141,273 | |
17,864 | Interpublic Group of Cos., Inc. (The) | 567,182 | |
3,303 | Omnicom Group, Inc. | 271,705 | |
980,160 | |||
Multi-line Retail — 1.0% | |||
1,359 | Target Corp. | 281,666 | |
Pharmaceuticals — 3.3% | |||
2,425 | Jazz Pharmaceuticals PLC1 | 398,670 | |
3,499 | Johnson & Johnson | 569,392 | |
968,062 | |||
Professional Services — 1.0% | |||
10,976 | Nielsen Holdings PLC | 281,534 | |
Semiconductors & Semiconductor Equipment — 5.3% | |||
6,564 | Applied Materials, Inc. | 871,107 | |
9,134 | Intel Corp. | 525,479 | |
1,232 | Teradyne, Inc. | 154,099 | |
1,550,685 | |||
Software — 8.0% | |||
1,878 | Dolby Laboratories, Inc. - Class A | 190,561 | |
6,148 | Dropbox, Inc. - Class A1 | 158,004 | |
3,345 | Fortinet, Inc.1 | 683,149 | |
2,712 | Microsoft Corp. | 683,912 | |
8,363 | Oracle Corp. | 633,832 | |
2,349,458 | |||
Specialty Retail — 4.6% | |||
5,434 | Best Buy Co., Inc. | 631,811 | |
1,164 | Home Depot, Inc. (The) | 376,752 | |
1,763 | Lowe’s Cos., Inc. | 345,989 | |
1,354,552 | |||
Technology Hardware, Storage & Peripherals — 3.7% | |||
2,911 | Dell Technologies, Inc. - Class C1 | 286,239 | |
10,847 | NetApp, Inc. | 810,162 | |
1,096,401 | |||
TOTAL COMMON STOCKS (Cost $20,804,301) | 29,043,552 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.1% | |||
$ 23,800 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $23,800, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $24,300, coupon rate of 0.125%, due 4/30/23, market value of $24,279) | 23,800 | |
TOTAL REPURCHASE AGREEMENT (Cost $23,800) | 23,800 |
78 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.2% | |||
649,838 | State Street Navigator Securities Lending Government Money Market Portfolio3 | $ 649,838 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $649,838) | 649,838 | ||
TOTAL INVESTMENTS (Cost $21,477,939) | 101.5% | $29,717,190 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.5) | (436,563) | |
NET ASSETS | 100.0% | $29,280,627 |
* | 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. |
79 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 8.0% | $ 2,349,458 | |
IT Services | 6.7 | 1,954,092 | |
Semiconductors & Semiconductor Equipment | 5.3 | 1,550,685 | |
Interactive Media & Services | 5.0 | 1,475,100 | |
Banks | 4.7 | 1,391,205 | |
Health Care Providers & Services | 4.7 | 1,384,164 | |
Specialty Retail | 4.6 | 1,354,552 | |
Capital Markets | 3.8 | 1,109,463 | |
Technology Hardware, Storage & Peripherals | 3.7 | 1,096,401 | |
Media | 3.3 | 980,160 | |
Equity Real Estate Investment Trusts | 3.3 | 975,998 | |
Pharmaceuticals | 3.3 | 968,062 | |
Machinery | 3.3 | 966,605 | |
Diversified Telecommunication Services | 3.2 | 930,887 | |
Consumer Finance | 2.9 | 853,441 | |
Containers & Packaging | 2.7 | 799,166 | |
Food Products | 2.7 | 776,692 | |
Insurance | 2.4 | 702,613 | |
Food & Staples Retailing | 2.1 | 605,431 | |
Energy Equipment & Services | 1.9 | 554,108 | |
Life Sciences Tools & Services | 1.9 | 544,600 | |
Biotechnology | 1.8 | 537,246 | |
Communications Equipment | 1.8 | 523,597 | |
Chemicals | 1.8 | 522,140 | |
Air Freight & Logistics | 1.4 | 419,226 | |
Automobiles | 1.4 | 410,496 | |
Gas Utilities | 1.4 | 401,039 | |
Household Products | 1.4 | 395,753 | |
Entertainment | 1.1 | 327,785 | |
Electric Utilities | 1.1 | 310,999 | |
Multi-line Retail | 1.0 | 281,666 | |
Professional Services | 1.0 | 281,534 | |
Diversified Consumer Services | 0.9 | 258,810 | |
Aerospace & Defense | 0.8 | 224,360 | |
Building Products | 0.7 | 192,265 | |
Internet & Direct Marketing Retail | 0.6 | 167,370 | |
Auto Components | 0.5 | 159,002 | |
Independent Power & Renewable Electricity Producer | 0.5 | 155,792 | |
Leisure Product | 0.5 | 151,589 | |
TOTAL COMMON STOCKS | 99.2% | $29,043,552 | |
REPURCHASE AGREEMENT | 0.1 | 23,800 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.2 | 649,838 | |
TOTAL INVESTMENTS | 101.5% | $29,717,190 |
80 |
Shares | Value | ||
COMMON STOCKS* — 97.4% | |||
Air Freight & Logistics — 2.8% | |||
13,980 | Expeditors International of Washington, Inc. | $ 1,535,843 | |
7,240 | Hub Group, Inc. - Class A1 | 475,813 | |
2,011,656 | |||
Banks — 4.7% | |||
19,900 | Bank OZK | 815,701 | |
21,060 | East West Bancorp, Inc.2 | 1,603,719 | |
78,220 | FNB Corp. | 1,008,256 | |
3,427,676 | |||
Beverages — 0.9% | |||
6,380 | Monster Beverage Corp.1 | 619,179 | |
Biotechnology — 1.8% | |||
28,820 | Coherus Biosciences, Inc.1 | 426,536 | |
34,500 | Exelixis, Inc.1 | 849,390 | |
1,275,926 | |||
Capital Markets — 5.3% | |||
30,360 | Federated Hermes, Inc. | 874,368 | |
15,280 | Franklin Resources, Inc. | 458,400 | |
19,480 | Invesco, Ltd. | 525,960 | |
15,840 | SEI Investments Co. | 973,210 | |
14,790 | Stifel Financial Corp. | 1,023,320 | |
3,855,258 | |||
Chemicals — 1.6% | |||
18,460 | Dow, Inc. | 1,153,750 | |
Commercial Services & Supplies — 2.7% | |||
27,640 | ABM Industries, Inc. | 1,420,972 | |
4,720 | Republic Services, Inc. | 501,736 | |
1,922,708 | |||
Construction & Engineering — 2.9% | |||
10,200 | AECOM1 | 677,586 | |
11,820 | EMCOR Group, Inc.2 | 1,416,036 | |
2,093,622 | |||
Consumer Finance — 1.4% | |||
51,840 | SLM Corp. | 1,019,174 | |
Distributors — 1.2% | |||
18,600 | LKQ Corp.1,2 | 868,806 | |
Diversified Consumer Services — 1.0% | |||
21,340 | Adtalem Global Education, Inc.1 | 732,175 | |
Diversified Telecommunication Services — 1.5% | |||
18,620 | Verizon Communications, Inc. | 1,076,050 | |
Electric Utilities — 1.1% | |||
18,300 | Exelon Corp.2 | 822,402 | |
Electrical Equipment — 2.1% | |||
10,600 | Regal Beloit Corp. | 1,530,958 | |
Electronic Equipment, Instruments & Components — 3.3% | |||
7,840 | Arrow Electronics, Inc.1 | 894,309 | |
28,780 | Jabil, Inc. | 1,508,648 | |
2,402,957 |
81 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — 0.9% | |||
32,560 | Baker Hughes Co. | $ 653,805 | |
Entertainment — 1.4% | |||
11,420 | Activision Blizzard, Inc. | 1,041,390 | |
Equity Real Estate Investment Trusts — 6.4% | |||
9,960 | Gaming and Leisure Properties, Inc. | 463,040 | |
17,940 | Invitation Homes, Inc. | 628,977 | |
25,960 | Medical Properties Trust, Inc. | 572,418 | |
37,700 | Omega Healthcare Investors, Inc. | 1,432,600 | |
47,020 | VICI Properties, Inc.3 | 1,490,534 | |
4,587,569 | |||
Food & Staples Retailing — 2.7% | |||
30,940 | Kroger Co. (The) | 1,130,547 | |
30,560 | Sprouts Farmers Market, Inc.1 | 782,642 | |
1,913,189 | |||
Health Care Equipment & Supplies — 1.5% | |||
15,560 | DENTSPLY SIRONA, Inc. | 1,050,456 | |
Health Care Providers & Services — 2.5% | |||
15,230 | Centene Corp.1,2 | 940,300 | |
11,660 | CVS Health Corp. | 890,824 | |
1,831,124 | |||
Hotels, Restaurants & Leisure — 2.0% | |||
85,220 | International Game Technology PLC1,3 | 1,467,488 | |
Household Durables — 3.7% | |||
26,705 | KB Home | 1,287,982 | |
23,580 | PulteGroup, Inc. | 1,394,050 | |
2,682,032 | |||
Insurance — 5.0% | |||
25,980 | Fidelity National Financial, Inc. | 1,185,208 | |
24,760 | MetLife, Inc. | 1,575,479 | |
35,320 | Old Republic International Corp. | 869,578 | |
3,630,265 | |||
Internet & Direct Marketing Retail — 1.4% | |||
18,260 | eBay, Inc.2 | 1,018,725 | |
IT Services — 4.3% | |||
19,900 | Amdocs, Ltd. | 1,527,126 | |
33,280 | Genpact, Ltd. | 1,581,799 | |
3,108,925 | |||
Machinery — 3.1% | |||
16,720 | ITT, Inc. | 1,576,863 | |
9,900 | Pentair PLC | 638,649 | |
2,215,512 | |||
Media — 2.8% | |||
14,008 | Comcast Corp. - Class A2 | 786,549 | |
22,480 | Discovery, Inc. - Class A1 | 846,597 | |
10,920 | Fox Corp. - Class A | 408,627 | |
2,041,773 | |||
Metals & Mining — 3.0% | |||
29,500 | Commercial Metals Co. | 861,990 |
82 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Metals & Mining — (Continued) | |||
8,320 | Reliance Steel & Aluminum Co.2 | $ 1,333,779 | |
2,195,769 | |||
Multi-Utilities — 2.4% | |||
12,780 | MDU Resources Group, Inc. | 427,619 | |
20,900 | Public Service Enterprise Group, Inc. | 1,320,044 | |
1,747,663 | |||
Oil, Gas & Consumable Fuels — 1.6% | |||
49,980 | Devon Energy Corp. | 1,168,532 | |
Paper & Forest Products — 1.0% | |||
10,740 | Louisiana-Pacific Corp. | 707,551 | |
Pharmaceuticals — 1.4% | |||
26,260 | Pfizer, Inc. | 1,014,949 | |
Professional Services — 2.0% | |||
8,880 | ASGN, Inc.1 | 933,998 | |
18,880 | Nielsen Holdings PLC | 484,272 | |
1,418,270 | |||
Semiconductors & Semiconductor Equipment — 3.6% | |||
60,020 | Amkor Technology, Inc. | 1,213,604 | |
5,880 | Diodes, Inc.1 | 451,643 | |
16,600 | Intel Corp. | 954,998 | |
2,620,245 | |||
Software — 5.9% | |||
57,560 | Cloudera, Inc.1,2 | 730,436 | |
55,280 | Dropbox, Inc. - Class A1 | 1,420,696 | |
16,880 | Oracle Corp. | 1,279,335 | |
11,320 | SS&C Technologies Holdings, Inc.2 | 840,171 | |
4,270,638 | |||
Specialty Retail — 1.7% | |||
10,460 | Best Buy Co., Inc.2 | 1,216,184 | |
Thrifts & Mortgage Finance — 2.0% | |||
96,200 | MGIC Investment Corp.2 | 1,466,088 | |
Wireless Telecommunication Services — 0.8% | |||
17,840 | United States Cellular Corp.1 | 608,879 | |
TOTAL COMMON STOCKS (Cost $46,185,222) | 70,489,318 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.9% | |||
$ 650,174 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $650,174, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $663,800, coupon rate of 0.125%, due 4/30/23, market value of $663,230) | 650,174 | |
TOTAL REPURCHASE AGREEMENT (Cost $650,174) | 650,174 | ||
TOTAL LONG INVESTMENTS (Cost $46,835,396) | 98.3% | $ 71,139,492 |
83 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (66.5)% | |||
Aerospace & Defense — (3.7)% | |||
(5,960) | Boeing Co. (The)1 | $ (1,396,488) | |
(2,080) | TransDigm Group, Inc.1 | (1,276,579) | |
(2,673,067) | |||
Airlines — (4.3)% | |||
(16,180) | Alaska Air Group, Inc.1 | (1,118,685) | |
(14,260) | Southwest Airlines Co.1 | (895,243) | |
(20,220) | United Airlines Holdings, Inc.1 | (1,099,968) | |
(3,113,896) | |||
Banks — (2.7)% | |||
(11,680) | Commerce Bancshares, Inc. | (908,821) | |
(21,740) | First Financial Bankshares, Inc. | (1,066,999) | |
(1,975,820) | |||
Beverages — (0.7)% | |||
(400) | Boston Beer Co., Inc. (The) Class A1 | (486,596) | |
Building Products — (1.3)% | |||
(2,720) | Lennox International, Inc. | (912,125) | |
Capital Markets — (0.6)% | |||
(520) | BlackRock, Inc. | (426,036) | |
Chemicals — (2.9)% | |||
(3,340) | Air Products and Chemicals, Inc. | (963,523) | |
(3,900) | Albemarle Corp. | (655,863) | |
(2,000) | Ecolab, Inc. | (448,240) | |
(2,067,626) | |||
Commercial Services & Supplies — (1.7)% | |||
(82,040) | Covanta Holding Corp. | (1,233,882) | |
Consumer Finance — (2.2)% | |||
(10,520) | American Express Co. | (1,613,242) | |
Containers & Packaging — (1.1)% | |||
(8,580) | Ball Corp. | (803,431) | |
Diversified Consumer Services — (1.0)% | |||
(4,980) | Bright Horizons Family Solutions, Inc.1 | (721,253) | |
Electric Utilities — (1.3)% | |||
(12,800) | MGE Energy, Inc. | (957,568) | |
Electrical Equipment — (1.3)% | |||
(3,460) | Rockwell Automation, Inc. | (914,340) | |
Electronic Equipment, Instruments & Components — (1.2)% | |||
(20,040) | National Instruments Corp. | (829,856) | |
Entertainment — (1.3)% | |||
(11,900) | Live Nation Entertainment, Inc.1 | (974,372) | |
Equity Real Estate Investment Trusts — (5.1)% | |||
(58,420) | Host Hotels & Resorts, Inc. | (1,060,907) | |
(100,660) | Mack-Cali Realty Corp. | (1,646,798) | |
(21,960) | Vornado Realty Trust | (1,004,670) | |
(3,712,375) | |||
Food Products — (1.2)% | |||
(5,440) | J&J Snack Foods Corp. | (895,478) |
84 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Health Care Equipment & Supplies — (3.4)% | |||
(11,420) | Edwards Lifesciences Corp.1 | $ (1,090,838) | |
(580) | Intuitive Surgical, Inc.1 | (501,700) | |
(3,360) | Stryker Corp. | (882,437) | |
(2,474,975) | |||
Hotels, Restaurants & Leisure — (4.3)% | |||
(360) | Booking Holdings, Inc.1 | (887,789) | |
(9,140) | Cracker Barrel Old Country Store, Inc. | (1,530,676) | |
(11,360) | Las Vegas Sands Corp.1 | (695,913) | |
(3,114,378) | |||
Household Durables — (1.2)% | |||
(17,820) | Leggett & Platt, Inc. | (885,119) | |
Insurance — (4.3)% | |||
(3,480) | Erie Indemnity Co. - Class A | (744,790) | |
(12,700) | Progressive Corp. (The) | (1,279,398) | |
(13,400) | W R Berkley Corp. | (1,068,248) | |
(3,092,436) | |||
IT Services — (2.3)% | |||
(7,800) | Fidelity National Information Services, Inc. | (1,192,620) | |
(1,160) | MasterCard, Inc. - Class A | (443,190) | |
(1,635,810) | |||
Leisure Product — (1.4)% | |||
(10,140) | Hasbro, Inc. | (1,008,423) | |
Machinery — (1.7)% | |||
(12,180) | Kennametal, Inc. | (489,149) | |
(5,900) | Woodward, Inc. | (737,559) | |
(1,226,708) | |||
Metals & Mining — (1.3)% | |||
(13,380) | Compass Minerals International, Inc. | (908,770) | |
Mortgage Real Estate Investment Trust — (1.1)% | |||
(24,960) | Blackstone Mortgage Trust, Inc. - Class A | (810,950) | |
Oil, Gas & Consumable Fuels — (2.3)% | |||
(21,740) | Cheniere Energy, Inc.1 | (1,685,285) | |
Semiconductors & Semiconductor Equipment — (1.8)% | |||
(13,120) | Cree, Inc.1 | (1,304,390) | |
Software — (4.5)% | |||
(4,120) | ANSYS, Inc.1 | (1,506,519) | |
(2,840) | Autodesk, Inc.1 | (829,025) | |
(17,700) | Nuance Communications, Inc.1 | (941,109) | |
(3,276,653) | |||
Specialty Retail — (2.2)% | |||
(22,900) | Monro, Inc. | (1,616,511) |
85 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Thrifts & Mortgage Finance — (1.1)% | |||
(60,880) | Capitol Federal Financial, Inc. | $ (786,874) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(42,975,013)) | (48,138,245) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(42,975,013)) | (66.5)% | $(48,138,245) | |
TOTAL INVESTMENTS (Cost $3,860,383) | 31.8% | $ 23,001,247 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 68.2 | 49,332,290 | |
NET ASSETS | 100.0% | $ 72,333,537 |
* | 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 $10,958,386. |
3 | Securities or partial securities on loan. See Note 1. |
86 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Equity Real Estate Investment Trusts | 6.4% | $ 4,587,569 | |
Software | 5.9 | 4,270,638 | |
Capital Markets | 5.3 | 3,855,258 | |
Insurance | 5.0 | 3,630,265 | |
Banks | 4.7 | 3,427,676 | |
IT Services | 4.3 | 3,108,925 | |
Household Durables | 3.7 | 2,682,032 | |
Semiconductors & Semiconductor Equipment | 3.6 | 2,620,245 | |
Electronic Equipment, Instruments & Components | 3.3 | 2,402,957 | |
Machinery | 3.1 | 2,215,512 | |
Metals & Mining | 3.0 | 2,195,769 | |
Construction & Engineering | 2.9 | 2,093,622 | |
Media | 2.8 | 2,041,773 | |
Air Freight & Logistics | 2.8 | 2,011,656 | |
Commercial Services & Supplies | 2.7 | 1,922,708 | |
Food & Staples Retailing | 2.7 | 1,913,189 | |
Health Care Providers & Services | 2.5 | 1,831,124 | |
Multi-Utilities | 2.4 | 1,747,663 | |
Electrical Equipment | 2.1 | 1,530,958 | |
Hotels, Restaurants & Leisure | 2.0 | 1,467,488 | |
Thrifts & Mortgage Finance | 2.0 | 1,466,088 | |
Professional Services | 2.0 | 1,418,270 | |
Biotechnology | 1.8 | 1,275,926 | |
Specialty Retail | 1.7 | 1,216,184 | |
Oil, Gas & Consumable Fuels | 1.6 | 1,168,532 | |
Chemicals | 1.6 | 1,153,750 | |
Diversified Telecommunication Services | 1.5 | 1,076,050 | |
Health Care Equipment & Supplies | 1.5 | 1,050,456 | |
Entertainment | 1.4 | 1,041,390 | |
Consumer Finance | 1.4 | 1,019,174 | |
Internet & Direct Marketing Retail | 1.4 | 1,018,725 | |
Pharmaceuticals | 1.4 | 1,014,949 | |
Distributors | 1.2 | 868,806 | |
Electric Utilities | 1.1 | 822,402 | |
Diversified Consumer Services | 1.0 | 732,175 | |
Paper & Forest Products | 1.0 | 707,551 | |
Energy Equipment & Services | 0.9 | 653,805 | |
Beverages | 0.9 | 619,179 | |
Wireless Telecommunication Services | 0.8 | 608,879 | |
Short Positions: | |||
Capital Markets | (0.6) | (426,036) | |
Beverages | (0.7) | (486,596) | |
Diversified Consumer Services | (1.0) | (721,253) | |
Thrifts & Mortgage Finance | (1.1) | (786,874) | |
Containers & Packaging | (1.1) | (803,431) | |
Mortgage Real Estate Investment Trust | (1.1) | (810,950) | |
Electronic Equipment, Instruments & Components | (1.2) | (829,856) | |
Household Durables | (1.2) | (885,119) | |
Food Products | (1.2) | (895,478) | |
Metals & Mining | (1.3) | (908,770) | |
Building Products | (1.3) | (912,125) | |
Electrical Equipment | (1.3) | (914,340) | |
Electric Utilities | (1.3) | (957,568) |
87 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Entertainment | (1.3)% | $ (974,372) | |
Leisure Product | (1.4) | (1,008,423) | |
Machinery | (1.7) | (1,226,708) | |
Commercial Services & Supplies | (1.7) | (1,233,882) | |
Semiconductors & Semiconductor Equipment | (1.8) | (1,304,390) | |
Consumer Finance | (2.2) | (1,613,242) | |
Specialty Retail | (2.2) | (1,616,511) | |
IT Services | (2.3) | (1,635,810) | |
Oil, Gas & Consumable Fuels | (2.3) | (1,685,285) | |
Banks | (2.7) | (1,975,820) | |
Chemicals | (2.9) | (2,067,626) | |
Health Care Equipment & Supplies | (3.4) | (2,474,975) | |
Aerospace & Defense | (3.7) | (2,673,067) | |
Insurance | (4.3) | (3,092,436) | |
Airlines | (4.3) | (3,113,896) | |
Hotels, Restaurants & Leisure | (4.3) | (3,114,378) | |
Software | (4.5) | (3,276,653) | |
Equity Real Estate Investment Trusts | (5.1) | (3,712,375) | |
TOTAL COMMON STOCKS | 30.9% | $22,351,073 | |
REPURCHASE AGREEMENT | 0.9 | 650,174 | |
TOTAL INVESTMENTS | 31.8% | $23,001,247 |
88 |
Shares | Value | ||
COMMON STOCKS* — 129.2% | |||
Air Freight & Logistics — 3.5% | |||
5,680 | Expeditors International of Washington, Inc. | $ 624,005 | |
9,080 | Hub Group, Inc. - Class A1 | 596,737 | |
1,220,742 | |||
Automobiles — 2.3% | |||
69,560 | Ford Motor Co.1 | 802,722 | |
Banks — 5.1% | |||
13,660 | Citizens Financial Group, Inc. | 632,185 | |
49,520 | First Horizon Corp. | 905,721 | |
16,400 | Huntington Bancshares, Inc. | 251,248 | |
1,789,154 | |||
Beverages — 0.6% | |||
2,160 | Monster Beverage Corp.1 | 209,628 | |
Biotechnology — 1.8% | |||
12,260 | Coherus Biosciences, Inc.1 | 181,448 | |
18,480 | Exelixis, Inc.1 | 454,978 | |
636,426 | |||
Building Products — 2.3% | |||
7,620 | Fortune Brands Home & Security, Inc. | 799,948 | |
Capital Markets — 4.5% | |||
4,860 | Federated Hermes, Inc. | 139,968 | |
5,300 | Intercontinental Exchange, Inc. | 623,863 | |
3,880 | Nasdaq, Inc. | 626,775 | |
6,120 | Virtu Financial, Inc. - Class A | 181,336 | |
1,571,942 | |||
Chemicals — 1.5% | |||
18,600 | Huntsman Corp. | 533,262 | |
Commercial Services & Supplies — 0.8% | |||
2,700 | Republic Services, Inc. | 287,010 | |
Communications Equipment — 1.5% | |||
20,380 | Juniper Networks, Inc. | 517,448 | |
Construction & Engineering — 3.8% | |||
7,920 | EMCOR Group, Inc.2 | 948,816 | |
3,940 | Quanta Services, Inc. | 380,762 | |
1,329,578 | |||
Consumer Finance — 2.7% | |||
48,120 | SLM Corp.2 | 946,039 | |
Containers & Packaging — 1.0% | |||
8,160 | Silgan Holdings, Inc. | 344,107 | |
Distributors — 1.4% | |||
10,400 | LKQ Corp.1 | 485,784 | |
Diversified Consumer Services — 0.4% | |||
4,420 | Adtalem Global Education, Inc.1 | 151,650 | |
Diversified Financial Services — 0.5% | |||
5,220 | Equitable Holdings, Inc. | 178,681 | |
Diversified Telecommunication Services — 1.8% | |||
26,200 | Lumen Technologies, Inc. | 336,146 |
89 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Diversified Telecommunication Services — (Continued) | |||
4,860 | Verizon Communications, Inc. | $ 280,859 | |
617,005 | |||
Electric Utilities — 1.7% | |||
13,300 | Exelon Corp.2 | 597,702 | |
Electrical Equipment — 2.3% | |||
5,560 | Regal Beloit Corp.2 | 803,031 | |
Electronic Equipment, Instruments & Components — 2.0% | |||
6,040 | Arrow Electronics, Inc.1 | 688,983 | |
Energy Equipment & Services — 0.6% | |||
10,620 | Baker Hughes Co. | 213,250 | |
Entertainment — 2.2% | |||
8,480 | Activision Blizzard, Inc.2 | 773,291 | |
Equity Real Estate Investment Trusts — 4.0% | |||
5,560 | American Homes 4 Rent - Class A | 205,942 | |
9,240 | Lamar Advertising Co. - Class A2 | 915,130 | |
8,340 | VICI Properties, Inc.3 | 264,378 | |
1,385,450 | |||
Food & Staples Retailing — 3.5% | |||
12,900 | Kroger Co. (The) | 471,366 | |
14,087 | Sprouts Farmers Market, Inc.1 | 360,768 | |
2,740 | Walmart, Inc. | 383,353 | |
1,215,487 | |||
Food Products — 2.5% | |||
12,500 | Darling Ingredients, Inc.1 | 868,125 | |
Gas Utilities — 1.4% | |||
10,920 | UGI Corp. | 477,313 | |
Health Care Equipment & Supplies — 0.9% | |||
4,900 | DENTSPLY SIRONA, Inc. | 330,799 | |
Health Care Providers & Services — 5.7% | |||
7,180 | Centene Corp.1 | 443,293 | |
7,820 | DaVita, Inc.1,2 | 911,264 | |
2,548 | Molina Healthcare, Inc.1,2 | 649,995 | |
2,004,552 | |||
Hotels, Restaurants & Leisure — 2.8% | |||
56,200 | International Game Technology PLC1,3 | 967,764 | |
Household Durables — 2.6% | |||
6,620 | DR Horton, Inc. | 650,680 | |
4,337 | PulteGroup, Inc. | 256,403 | |
907,083 | |||
Household Products — 0.9% | |||
6,280 | Central Garden & Pet Co. - Class A1 | 309,416 | |
Insurance — 3.3% | |||
10,580 | Fidelity National Financial, Inc. | 482,660 | |
18,000 | Old Republic International Corp. | 443,160 | |
8,000 | Unum Group | 226,080 | |
1,151,900 |
90 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Internet & Direct Marketing Retail — 0.9% | |||
5,620 | eBay, Inc. | $ 313,540 | |
IT Services — 4.0% | |||
5,100 | Amdocs, Ltd. | 391,374 | |
2,720 | Cognizant Technology Solutions Corp. - Class A | 218,688 | |
16,560 | Genpact, Ltd.2 | 787,097 | |
1,397,159 | |||
Leisure Product — 0.7% | |||
2,160 | Brunswick Corp. | 231,401 | |
Life Sciences Tools & Services — 2.6% | |||
5,400 | Medpace Holdings, Inc.1,2 | 916,272 | |
Media — 6.5% | |||
11,360 | Comcast Corp. - Class A2 | 637,864 | |
5,242 | Discovery, Inc. - Class A1 | 197,414 | |
10,440 | Fox Corp. - Class A | 390,665 | |
3,960 | New York Times Co. (The) - Class A | 179,823 | |
33,821 | News Corp. - Class A2 | 885,941 | |
2,291,707 | |||
Metals & Mining — 1.6% | |||
5,680 | Commercial Metals Co. | 165,970 | |
2,546 | Reliance Steel & Aluminum Co.2 | 408,149 | |
574,119 | |||
Multi-line Retail — 2.7% | |||
4,500 | Target Corp.2 | 932,670 | |
Multi-Utilities — 0.5% | |||
5,540 | MDU Resources Group, Inc. | 185,368 | |
Oil, Gas & Consumable Fuels — 2.1% | |||
32,200 | Devon Energy Corp. | 752,836 | |
Paper & Forest Products — 0.8% | |||
4,400 | Louisiana-Pacific Corp. | 289,872 | |
Pharmaceuticals — 3.0% | |||
1,000 | Johnson & Johnson | 162,730 | |
12,720 | Pfizer, Inc. | 491,628 | |
13,580 | Supernus Pharmaceuticals, Inc.1 | 413,511 | |
1,067,869 | |||
Professional Services — 2.0% | |||
4,480 | ASGN, Inc.1 | 471,206 | |
2,660 | Robert Half International, Inc. | 233,043 | |
704,249 | |||
Semiconductors & Semiconductor Equipment — 5.8% | |||
6,500 | Applied Materials, Inc. | 862,615 | |
9,920 | Diodes, Inc.1,2 | 761,955 | |
7,060 | Intel Corp.2 | 406,162 | |
2,030,732 | |||
Software — 10.9% | |||
18,560 | Box, Inc. - Class A1 | 395,328 | |
30,260 | Cloudera, Inc.1 | 383,999 | |
6,440 | Dolby Laboratories, Inc. - Class A | 653,467 | |
18,580 | Dropbox, Inc. - Class A1,2 | 477,506 |
91 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
9,200 | Oracle Corp. | $ 697,268 | |
3,420 | Progress Software Corp. | 149,317 | |
7,820 | SPS Commerce, Inc.1 | 801,081 | |
3,600 | SS&C Technologies Holdings, Inc. | 267,192 | |
3,825,158 | |||
Specialty Retail — 2.4% | |||
1,600 | Best Buy Co., Inc.2 | 186,032 | |
3,760 | Williams-Sonoma, Inc.2 | 642,020 | |
828,052 | |||
Technology Hardware, Storage & Peripherals — 5.4% | |||
3,420 | Dell Technologies, Inc. - Class C1 | 336,289 | |
25,120 | HP, Inc. | 856,843 | |
9,580 | NetApp, Inc. | 715,530 | |
1,908,662 | |||
Thrifts & Mortgage Finance — 3.4% | |||
64,780 | MGIC Investment Corp.2 | 987,247 | |
8,640 | Radian Group, Inc. | 212,890 | |
1,200,137 | |||
Trading Companies & Distributors — 1.4% | |||
5,260 | WESCO International, Inc.1 | 482,447 | |
Wireless Telecommunication Services — 0.6% | |||
8,807 | Telephone & Data Systems, Inc. | 202,385 | |
TOTAL COMMON STOCKS (Cost $27,738,664) | 45,249,907 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.7% | |||
$240,134 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $240,134, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $245,200, coupon rate of 0.125%, due 4/30/23, market value of $244,989) | 240,134 | |
TOTAL REPURCHASE AGREEMENT (Cost $240,134) | 240,134 | ||
TOTAL LONG INVESTMENTS (Cost $27,978,798) | 129.9% | $ 45,490,041 | |
Shares | |||
COMMON STOCKS SOLD SHORT* — (29.6)% | |||
Aerospace & Defense — (2.3)% | |||
(600) | Boeing Co. (The)1 | (140,586) | |
(2,400) | Hexcel Corp.1 | (135,384) | |
(700) | L3Harris Technologies, Inc. | (146,461) | |
(300) | Teledyne Technologies, Inc.1 | (134,325) | |
(380) | TransDigm Group, Inc.1 | (233,221) | |
(789,977) | |||
Airlines — (1.5)% | |||
(2,500) | Alaska Air Group, Inc.1 | (172,850) | |
(3,340) | Southwest Airlines Co.1 | (209,685) | |
(2,700) | United Airlines Holdings, Inc.1 | (146,880) | |
(529,415) |
92 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Banks — (1.7)% | |||
(1,500) | Bank of Hawaii Corp. | $ (136,335) | |
(1,800) | Commerce Bancshares, Inc. | (140,058) | |
(2,000) | Community Bank System, Inc. | (155,260) | |
(3,320) | First Financial Bankshares, Inc. | (162,946) | |
(594,599) | |||
Beverages — (0.7)% | |||
(100) | Boston Beer Co., Inc. (The) Class A1 | (121,649) | |
(900) | PepsiCo, Inc. | (129,744) | |
(251,393) | |||
Capital Markets — (0.5)% | |||
(600) | Morningstar, Inc. | (159,006) | |
Chemicals — (1.5)% | |||
(500) | Air Products and Chemicals, Inc. | (144,240) | |
(750) | Albemarle Corp. | (126,127) | |
(1) | Dow, Inc. | (63) | |
(720) | Ecolab, Inc. | (161,366) | |
(320) | NewMarket Corp. | (110,909) | |
(542,705) | |||
Commercial Services & Supplies — (0.5)% | |||
(460) | Cintas Corp. | (158,764) | |
Consumer Finance — (0.3)% | |||
(580) | American Express Co. | (88,943) | |
Containers & Packaging — (0.5)% | |||
(1,980) | Ball Corp. | (185,407) | |
Diversified Consumer Services — (0.3)% | |||
(634) | Bright Horizons Family Solutions, Inc.1 | (91,822) | |
Electrical Equipment — (0.4)% | |||
(1,380) | Vicor Corp.1 | (127,277) | |
Electronic Equipment, Instruments & Components — (1.2)% | |||
(1,520) | Itron, Inc.1 | (136,709) | |
(1,000) | Keysight Technologies, Inc.1 | (144,350) | |
(3,020) | National Instruments Corp. | (125,058) | |
(406,117) | |||
Entertainment — (0.3)% | |||
(1,440) | Live Nation Entertainment, Inc.1 | (117,907) | |
Equity Real Estate Investment Trusts — (1.4)% | |||
(8,120) | Acadia Realty Trust | (169,627) | |
(9,240) | Host Hotels & Resorts, Inc. | (167,798) | |
(2,400) | Regency Centers Corp. | (152,784) | |
(490,209) | |||
Food & Staples Retailing — (0.4)% | |||
(1,720) | Sysco Corp. | (145,736) | |
Food Products — (0.8)% | |||
(5,760) | Flowers Foods, Inc. | (138,010) | |
(800) | J&J Snack Foods Corp. | (131,688) | |
(269,698) | |||
Health Care Equipment & Supplies — (0.3)% | |||
(480) | Becton Dickinson and Co. | (119,429) |
93 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Hotels, Restaurants & Leisure — (3.0)% | |||
(60) | Booking Holdings, Inc.1 | $ (147,965) | |
(736) | Churchill Downs, Inc. | (155,664) | |
(1,580) | Cracker Barrel Old Country Store, Inc. | (264,603) | |
(3,600) | Dave & Buster’s Entertainment, Inc.1 | (164,376) | |
(2,620) | Las Vegas Sands Corp.1 | (160,501) | |
(1,600) | Texas Roadhouse, Inc. | (171,232) | |
(1,064,341) | |||
Household Durables — (0.4)% | |||
(2,960) | Leggett & Platt, Inc. | (147,023) | |
Insurance — (2.1)% | |||
(1,040) | Assurant, Inc. | (161,824) | |
(540) | Erie Indemnity Co. - Class A | (115,571) | |
(1,460) | Globe Life, Inc. | (149,635) | |
(2,320) | Lincoln National Corp. | (148,782) | |
(2,920) | Loews Corp. | (162,790) | |
(738,602) | |||
IT Services — (0.3)% | |||
(800) | Fidelity National Information Services, Inc. | (122,320) | |
Machinery — (0.8)% | |||
(3,400) | Kennametal, Inc. | (136,544) | |
(1,100) | Woodward, Inc. | (137,511) | |
(274,055) | |||
Metals & Mining — (0.4)% | |||
(1,900) | Compass Minerals International, Inc. | (129,048) | |
Mortgage Real Estate Investment Trust — (0.4)% | |||
(15,620) | Annaly Capital Management, Inc. | (141,830) | |
Oil, Gas & Consumable Fuels — (0.7)% | |||
(7,040) | Cabot Oil & Gas Corp. | (117,357) | |
(1,700) | Cheniere Energy, Inc.1 | (131,784) | |
(249,141) | |||
Road & Rail — (1.3)% | |||
(940) | JB Hunt Transport Services, Inc. | (160,467) | |
(530) | Norfolk Southern Corp. | (147,997) | |
(640) | Union Pacific Corp. | (142,138) | |
(450,602) | |||
Semiconductors & Semiconductor Equipment — (0.9)% | |||
(1,210) | CMC Materials, Inc. | (221,950) | |
(1,100) | Cree, Inc.1 | (109,362) | |
(331,312) | |||
Software — (0.8)% | |||
(200) | MicroStrategy, Inc. - Class A1 | (131,432) | |
(2,960) | Nuance Communications, Inc.1 | (157,383) | |
(288,815) | |||
Specialty Retail — (1.5)% | |||
(7,900) | Designer Brands, Inc. - Class A | (139,830) | |
(3,440) | Monro, Inc. | (242,830) | |
(1,100) | Ross Stores, Inc. | (144,034) | |
(526,694) |
94 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Textiles, Apparel & Luxury Goods — (1.2)% | |||
(1,660) | Oxford Industries, Inc. | $ (151,442) | |
(3,600) | Steven Madden, Ltd. | (146,412) | |
(1,500) | VF Corp. | (131,490) | |
(429,344) | |||
Thrifts & Mortgage Finance — (0.4)% | |||
(9,980) | Capitol Federal Financial, Inc. | (128,991) | |
Trading Companies & Distributors — (0.8)% | |||
(1,280) | MSC Industrial Direct Co., Inc. | (115,405) | |
(350) | WW Grainger, Inc. | (151,739) | |
(267,144) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(9,768,572)) | (10,357,666) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(9,768,572)) | (29.6)% | $(10,357,666) | |
TOTAL INVESTMENTS (Cost $18,210,226) | 100.3% | $ 35,132,375 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.3) | (116,136) | |
NET ASSETS | 100.0% | $ 35,016,239 |
* | 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 $12,953,829. |
3 | Securities or partial securities on loan. See Note 1. |
95 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Software | 10.9% | $ 3,825,158 | |
Media | 6.5 | 2,291,707 | |
Semiconductors & Semiconductor Equipment | 5.8 | 2,030,732 | |
Health Care Providers & Services | 5.7 | 2,004,552 | |
Technology Hardware, Storage & Peripherals | 5.4 | 1,908,662 | |
Banks | 5.1 | 1,789,154 | |
Capital Markets | 4.5 | 1,571,942 | |
IT Services | 4.0 | 1,397,159 | |
Equity Real Estate Investment Trusts | 4.0 | 1,385,450 | |
Construction & Engineering | 3.8 | 1,329,578 | |
Air Freight & Logistics | 3.5 | 1,220,742 | |
Food & Staples Retailing | 3.5 | 1,215,487 | |
Thrifts & Mortgage Finance | 3.4 | 1,200,137 | |
Insurance | 3.3 | 1,151,900 | |
Pharmaceuticals | 3.0 | 1,067,869 | |
Hotels, Restaurants & Leisure | 2.8 | 967,764 | |
Consumer Finance | 2.7 | 946,039 | |
Multi-line Retail | 2.7 | 932,670 | |
Life Sciences Tools & Services | 2.6 | 916,272 | |
Household Durables | 2.6 | 907,083 | |
Food Products | 2.5 | 868,125 | |
Specialty Retail | 2.4 | 828,052 | |
Electrical Equipment | 2.3 | 803,031 | |
Automobiles | 2.3 | 802,722 | |
Building Products | 2.3 | 799,948 | |
Entertainment | 2.2 | 773,291 | |
Oil, Gas & Consumable Fuels | 2.1 | 752,836 | |
Professional Services | 2.0 | 704,249 | |
Electronic Equipment, Instruments & Components | 2.0 | 688,983 | |
Biotechnology | 1.8 | 636,426 | |
Diversified Telecommunication Services | 1.8 | 617,005 | |
Electric Utilities | 1.7 | 597,702 | |
Metals & Mining | 1.6 | 574,119 | |
Chemicals | 1.5 | 533,262 | |
Communications Equipment | 1.5 | 517,448 | |
Distributors | 1.4 | 485,784 | |
Trading Companies & Distributors | 1.4 | 482,447 | |
Gas Utilities | 1.4 | 477,313 | |
Containers & Packaging | 1.0 | 344,107 | |
Health Care Equipment & Supplies | 0.9 | 330,799 | |
Internet & Direct Marketing Retail | 0.9 | 313,540 | |
Household Products | 0.9 | 309,416 | |
Paper & Forest Products | 0.8 | 289,872 | |
Commercial Services & Supplies | 0.8 | 287,010 | |
Leisure Product | 0.7 | 231,401 | |
Energy Equipment & Services | 0.6 | 213,250 | |
Beverages | 0.6 | 209,628 | |
Wireless Telecommunication Services | 0.6 | 202,385 | |
Multi-Utilities | 0.5 | 185,368 | |
Diversified Financial Services | 0.5 | 178,681 | |
Diversified Consumer Services | 0.4 | 151,650 |
96 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: | |||
Consumer Finance | (0.3)% | $ (88,943) | |
Diversified Consumer Services | (0.3) | (91,822) | |
Entertainment | (0.3) | (117,907) | |
Health Care Equipment & Supplies | (0.3) | (119,429) | |
IT Services | (0.3) | (122,320) | |
Electrical Equipment | (0.4) | (127,277) | |
Thrifts & Mortgage Finance | (0.4) | (128,991) | |
Metals & Mining | (0.4) | (129,048) | |
Mortgage Real Estate Investment Trust | (0.4) | (141,830) | |
Food & Staples Retailing | (0.4) | (145,736) | |
Household Durables | (0.4) | (147,023) | |
Commercial Services & Supplies | (0.5) | (158,764) | |
Capital Markets | (0.5) | (159,006) | |
Containers & Packaging | (0.5) | (185,407) | |
Oil, Gas & Consumable Fuels | (0.7) | (249,141) | |
Beverages | (0.7) | (251,393) | |
Trading Companies & Distributors | (0.8) | (267,144) | |
Food Products | (0.8) | (269,698) | |
Machinery | (0.8) | (274,055) | |
Software | (0.8) | (288,815) | |
Semiconductors & Semiconductor Equipment | (0.9) | (331,312) | |
Electronic Equipment, Instruments & Components | (1.2) | (406,117) | |
Textiles, Apparel & Luxury Goods | (1.2) | (429,344) | |
Road & Rail | (1.3) | (450,602) | |
Equity Real Estate Investment Trusts | (1.4) | (490,209) | |
Specialty Retail | (1.5) | (526,694) | |
Airlines | (1.5) | (529,415) | |
Chemicals | (1.5) | (542,705) | |
Banks | (1.7) | (594,599) | |
Insurance | (2.1) | (738,602) | |
Aerospace & Defense | (2.3) | (789,977) | |
Hotels, Restaurants & Leisure | (3.0) | (1,064,341) | |
TOTAL COMMON STOCKS | 99.6% | $34,892,241 | |
REPURCHASE AGREEMENT | 0.7 | 240,134 | |
TOTAL INVESTMENTS | 100.3% | $35,132,375 |
97 |
Shares | Value | ||
COMMON STOCKS* — 99.2% | |||
Aerospace & Defense — 2.7% | |||
85,941 | Raytheon Technologies Corp. | $ 7,153,729 | |
Banks — 5.3% | |||
41,611 | JPMorgan Chase & Co. | 6,400,188 | |
40,404 | PNC Financial Services Group, Inc. (The) | 7,553,528 | |
13,953,716 | |||
Beverages — 1.8% | |||
32,216 | PepsiCo, Inc. | 4,644,259 | |
Biotechnology — 1.5% | |||
14,279 | Biogen, Inc.1 | 3,817,205 | |
Capital Markets — 1.8% | |||
42,729 | Northern Trust Corp. | 4,862,560 | |
Chemicals — 2.4% | |||
36,674 | PPG Industries, Inc. | 6,280,056 | |
Communications Equipment — 1.9% | |||
99,564 | Cisco Systems, Inc./Delaware | 5,068,803 | |
Consumer Finance — 2.6% | |||
60,121 | Discover Financial Services | 6,853,794 | |
Electrical Equipment — 2.9% | |||
56,820 | AMETEK, Inc. | 7,666,723 | |
Electronic Equipment, Instruments & Components — 2.9% | |||
115,257 | Amphenol Corp. - Class A | 7,761,406 | |
Food & Staples Retailing — 1.8% | |||
33,237 | Walmart, Inc. | 4,650,189 | |
Health Care Equipment & Supplies — 3.9% | |||
36,417 | Abbott Laboratories | 4,372,953 | |
22,923 | Stryker Corp. | 6,020,268 | |
10,393,221 | |||
Health Care Providers & Services — 2.8% | |||
27,401 | Laboratory Corp. of America Holdings1 | 7,285,104 | |
Hotels, Restaurants & Leisure — 3.5% | |||
3,790 | Booking Holdings, Inc.1 | 9,346,443 | |
Household Products — 1.5% | |||
49,027 | Colgate-Palmolive Co. | 3,956,479 | |
Insurance — 2.3% | |||
34,615 | Chubb, Ltd. | 5,939,588 | |
Interactive Media & Services — 8.0% | |||
5,271 | Alphabet, Inc. - Class C1 | 12,703,743 | |
25,616 | Facebook, Inc. - Class A1 | 8,327,249 | |
21,030,992 | |||
Internet & Direct Marketing Retail — 1.9% | |||
1,479 | Amazon.com, Inc.1 | 5,128,314 | |
IT Services — 12.4% | |||
21,237 | Accenture PLC - Class A | 6,158,093 | |
57,442 | Cognizant Technology Solutions Corp. - Class A | 4,618,337 | |
18,620 | Gartner, Inc.1 | 3,647,286 | |
36,488 | Global Payments, Inc. | 7,831,419 |
98 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
27,599 | Mastercard, Inc. - Class A | $ 10,544,474 | |
32,799,609 | |||
Life Sciences Tools & Services — 2.2% | |||
19,227 | Waters Corp.1 | 5,765,600 | |
Machinery — 3.0% | |||
24,978 | Parker-Hannifin Corp. | 7,838,346 | |
Media — 2.9% | |||
136,049 | Comcast Corp. - Class A | 7,639,151 | |
Multi-line Retail — 3.2% | |||
39,204 | Dollar General Corp. | 8,419,059 | |
Oil, Gas & Consumable Fuels — 2.1% | |||
53,819 | Chevron Corp. | 5,547,124 | |
Pharmaceuticals — 5.0% | |||
74,632 | Bristol-Myers Squibb Co. | 4,658,530 | |
20,518 | Eli Lilly & Co. | 3,750,075 | |
27,041 | Zoetis, Inc. | 4,678,904 | |
13,087,509 | |||
Road & Rail — 1.4% | |||
14,178 | Old Dominion Freight Line, Inc. | 3,655,230 | |
Software — 5.7% | |||
34,920 | Microsoft Corp. | 8,806,125 | |
82,154 | Oracle Corp. | 6,226,452 | |
15,032,577 | |||
Specialty Retail — 6.2% | |||
19,802 | Home Depot, Inc. (The) | 6,409,313 | |
14,566 | Tractor Supply Co. | 2,747,148 | |
21,819 | Ulta Beauty, Inc.1 | 7,186,088 | |
16,342,549 | |||
Technology Hardware, Storage & Peripherals — 3.6% | |||
72,301 | Apple, Inc. | 9,504,689 | |
TOTAL COMMON STOCKS (Cost $118,246,260) | 261,424,024 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$1,489,819 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $1,489,819, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $1,521,000, coupon rate of 0.125%, due 4/30/23, market value of $1,519,693) | 1,489,819 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,489,819) | 1,489,819 | ||
TOTAL INVESTMENTS (Cost $119,736,079) | 99.8% | $262,913,843 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.2 | 616,198 | |
NET ASSETS | 100.0% | $263,530,041 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
99 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 12.4% | $ 32,799,609 | |
Interactive Media & Services | 8.0 | 21,030,992 | |
Specialty Retail | 6.2 | 16,342,549 | |
Software | 5.7 | 15,032,577 | |
Banks | 5.3 | 13,953,716 | |
Pharmaceuticals | 5.0 | 13,087,509 | |
Health Care Equipment & Supplies | 3.9 | 10,393,221 | |
Technology Hardware, Storage & Peripherals | 3.6 | 9,504,689 | |
Hotels, Restaurants & Leisure | 3.5 | 9,346,443 | |
Multi-line Retail | 3.2 | 8,419,059 | |
Machinery | 3.0 | 7,838,346 | |
Electronic Equipment, Instruments & Components | 2.9 | 7,761,406 | |
Electrical Equipment | 2.9 | 7,666,723 | |
Media | 2.9 | 7,639,151 | |
Health Care Providers & Services | 2.8 | 7,285,104 | |
Aerospace & Defense | 2.7 | 7,153,729 | |
Consumer Finance | 2.6 | 6,853,794 | |
Chemicals | 2.4 | 6,280,056 | |
Insurance | 2.3 | 5,939,588 | |
Life Sciences Tools & Services | 2.2 | 5,765,600 | |
Oil, Gas & Consumable Fuels | 2.1 | 5,547,124 | |
Internet & Direct Marketing Retail | 1.9 | 5,128,314 | |
Communications Equipment | 1.9 | 5,068,803 | |
Capital Markets | 1.8 | 4,862,560 | |
Food & Staples Retailing | 1.8 | 4,650,189 | |
Beverages | 1.8 | 4,644,259 | |
Household Products | 1.5 | 3,956,479 | |
Biotechnology | 1.5 | 3,817,205 | |
Road & Rail | 1.4 | 3,655,230 | |
TOTAL COMMON STOCKS | 99.2% | $261,424,024 | |
REPURCHASE AGREEMENT | 0.6 | 1,489,819 | |
TOTAL INVESTMENTS | 99.8% | $262,913,843 |
100 |
Shares | Value | ||
COMMON STOCKS — 98.6% | |||
Aerospace & Defense — 1.0% | |||
359,931 | AAR Corp. | $ 14,483,623 | |
Air Freight & Logistics — 1.2% | |||
261,753 | Atlas Air Worldwide Holdings, Inc.1 | 17,775,646 | |
Auto Components — 1.1% | |||
105,568 | LCI Industries | 15,465,712 | |
Banks — 10.6% | |||
280,402 | Ameris Bancorp | 15,166,944 | |
1,319,759 | First Horizon Corp. | 24,138,392 | |
1,790,317 | FNB Corp. | 23,077,186 | |
432,259 | Hancock Whitney Corp. | 19,987,656 | |
503,858 | Simmons First National Corp. - Class A | 14,359,953 | |
1,162,906 | Umpqua Holdings Corp. | 21,676,568 | |
349,004 | United Community Banks, Inc. | 11,419,411 | |
290,394 | Wintrust Financial Corp. | 22,389,378 | |
152,215,488 | |||
Biotechnology — 0.8% | |||
1,003,675 | Ironwood Pharmaceuticals, Inc.1 | 11,080,572 | |
Building Products — 1.6% | |||
180,497 | Masonite International Corp.1 | 22,794,966 | |
Capital Markets — 4.2% | |||
174,835 | Evercore, Inc. - Class A | 24,499,629 | |
287,729 | Stifel Financial Corp. | 19,907,969 | |
534,778 | Virtu Financial, Inc. - Class A | 15,845,472 | |
60,253,070 | |||
Chemicals — 2.7% | |||
218,452 | Ingevity Corp.1 | 17,056,732 | |
680,544 | Valvoline, Inc. | 21,369,082 | |
38,425,814 | |||
Communications Equipment — 1.1% | |||
303,714 | Ciena Corp.1 | 15,328,446 | |
Construction & Engineering — 5.0% | |||
258,090 | Arcosa, Inc. | 15,560,246 | |
151,524 | Dycom Industries, Inc.1 | 14,214,467 | |
151,524 | EMCOR Group, Inc. | 18,152,575 | |
234,114 | MasTec, Inc.1,2 | 24,432,137 | |
72,359,425 | |||
Containers & Packaging — 1.9% | |||
766,612 | Graphic Packaging Holding Co. | 14,220,653 | |
319,025 | Silgan Holdings, Inc. | 13,453,284 | |
27,673,937 | |||
Distributors — 1.5% | |||
499,143 | Core-Mark Holding Co., Inc. | 21,243,526 | |
Diversified Telecommunication Services — 1.2% | |||
1,306,438 | Vonage Holdings Corp.1 | 17,702,235 | |
Electric Utilities — 1.6% | |||
243,104 | Otter Tail Corp. | 11,481,802 | |
239,107 | Portland General Electric Co. | 12,160,982 | |
23,642,784 | |||
Electrical Equipment — 1.1% | |||
171,505 | EnerSys | 15,706,428 |
101 |
Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Electronic Equipment, Instruments & Components — 1.1% | |||
1,049,679 | TTM Technologies, Inc.1 | $ 15,745,185 | |
Equity Real Estate Investment Trusts — 5.7% | |||
277,071 | Hannon Armstrong Sustainable Infrastructure Capital, Inc.2 | 14,518,520 | |
378,311 | Hudson Pacific Properties, Inc. | 10,634,322 | |
1,363,717 | Lexington Realty Trust | 16,691,896 | |
533,165 | Outfront Media, Inc. | 12,993,231 | |
485,876 | STAG Industrial, Inc. | 17,739,333 | |
433,925 | Washington Real Estate Investment Trust REIT | 10,075,739 | |
82,653,041 | |||
Food Products — 1.2% | |||
1,096,499 | Hostess Brands, Inc.1 | 16,765,470 | |
Gas Utilities — 0.9% | |||
296,720 | New Jersey Resources Corp. | 12,447,404 | |
Health Care Equipment & Supplies — 5.4% | |||
67,287 | ICU Medical, Inc.1 | 14,013,864 | |
272,934 | Merit Medical Systems, Inc.1 | 17,358,602 | |
60,806 | Mesa Laboratories, Inc.2 | 15,119,412 | |
155,520 | Neogen Corp.1 | 14,931,475 | |
228,869 | NuVasive, Inc.1 | 16,352,690 | |
77,776,043 | |||
Health Care Providers & Services — 3.3% | |||
199,668 | AMN Healthcare Services, Inc.1 | 15,833,672 | |
215,797 | HealthEquity, Inc.1 | 16,394,098 | |
543,402 | R1 RCM, Inc.1 | 14,824,007 | |
47,051,777 | |||
Health Care Technology — 2.3% | |||
869,515 | Evolent Health, Inc. - Class A1 | 18,833,695 | |
394,962 | Vocera Communications, Inc.1,2 | 14,285,775 | |
33,119,470 | |||
Hotels, Restaurants & Leisure — 1.8% | |||
401,482 | Boyd Gaming Corp.1 | 26,558,034 | |
Household Durables — 3.1% | |||
51,618 | Helen of Troy, Ltd.1 | 10,902,238 | |
423,997 | La-Z-Boy, Inc. | 18,850,906 | |
624,412 | Tri Pointe Homes, Inc.1 | 14,873,494 | |
44,626,638 | |||
Household Products — 1.1% | |||
312,705 | Energizer Holdings, Inc. | 15,416,357 | |
Insurance — 1.1% | |||
278,737 | Stewart Information Services Corp. | 16,347,925 | |
Interactive Media & Service — 1.0% | |||
571,324 | Cargurus, Inc.1 | 14,100,276 | |
Life Sciences Tools & Services — 2.2% | |||
304,713 | NeoGenomics, Inc.1,2 | 14,927,890 | |
205,805 | Syneos Health, Inc.1 | 17,462,554 | |
32,390,444 | |||
Machinery — 4.0% | |||
406,950 | Hillenbrand, Inc. | 19,977,176 | |
378,643 | Rexnord Corp. | 18,905,645 |
102 |
Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Machinery — (Continued) | |||
229,784 | Timken Co. (The) | $ 19,271,984 | |
58,154,805 | |||
Media — 1.1% | |||
106,181 | Nexstar Media Group, Inc. - Class A | 15,652,141 | |
Multi-line Retail — 1.1% | |||
268,916 | Kohl’s Corp. | 15,774,613 | |
Oil, Gas & Consumable Fuels — 2.4% | |||
1,257,211 | CNX Resources Corp.1 | 16,871,771 | |
256,968 | Delek US Holdings, Inc. | 6,097,851 | |
413,277 | Matador Resources Co. | 10,873,318 | |
33,842,940 | |||
Pharmaceuticals — 3.0% | |||
184,492 | Pacira BioSciences, Inc.1 | 11,656,204 | |
359,328 | Prestige Consumer Healthcare, Inc.1 | 15,652,328 | |
502,516 | Supernus Pharmaceuticals, Inc.1 | 15,301,612 | |
42,610,144 | |||
Professional Services — 2.4% | |||
183,161 | ASGN, Inc.1 | 19,264,874 | |
62,275 | CACI International, Inc. - Class A1 | 15,871,406 | |
35,136,280 | |||
Semiconductors & Semiconductor Equipment — 1.4% | |||
271,744 | Diodes, Inc.1 | 20,872,657 | |
Software — 5.6% | |||
284,731 | CommVault Systems, Inc.1 | 19,791,652 | |
867,517 | FireEye, Inc.1 | 17,241,900 | |
149,859 | J2 Global, Inc.1 | 18,132,939 | |
121,952 | SPS Commerce, Inc.1 | 12,492,763 | |
260,421 | Verint Systems, Inc.1 | 12,648,648 | |
80,307,902 | |||
Specialty Retail — 2.8% | |||
100,426 | Asbury Automotive Group, Inc.1 | 19,945,608 | |
344,077 | Foot Locker, Inc. | 20,293,661 | |
40,239,269 | |||
Technology Hardware, Storage & Peripherals — 1.9% | |||
607,428 | NCR Corp.1 | 27,789,831 | |
Thrifts & Mortgage Finance — 1.0% | |||
607,428 | Radian Group, Inc. | 14,967,026 | |
Trading Companies & Distributors — 5.1% | |||
363,990 | Beacon Roofing Supply, Inc.1 | 20,503,557 | |
238,108 | Boise Cascade Co. | 15,886,566 | |
770,941 | Univar Solutions, Inc.1 | 18,001,472 | |
210,469 | WESCO International, Inc.1 | 19,304,217 | |
73,695,812 | |||
TOTAL COMMON STOCKS (Cost $933,241,497) | 1,420,193,156 |
103 |
Face Amount | Value | ||
REPURCHASE AGREEMENT — 1.6% | |||
$22,361,515 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $22,361,515, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $22,828,400, coupon rate of 0.125%, due 4/30/23, market value of $22,808,790) | $ 22,361,515 | |
TOTAL REPURCHASE AGREEMENT (Cost $22,361,515) | 22,361,515 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL — 0.2% | |||
3,028,712 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 3,028,712 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $3,028,712) | 3,028,712 | ||
TOTAL INVESTMENTS (Cost $958,631,724) | 100.4% | $1,445,583,383 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.4) | (5,329,818) | |
NET ASSETS | 100.0% | $1,440,253,565 |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents an investment of securities lending cash collateral. |
104 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 10.6% | $ 152,215,488 | |
Equity Real Estate Investment Trusts | 5.7 | 82,653,041 | |
Software | 5.6 | 80,307,902 | |
Health Care Equipment & Supplies | 5.4 | 77,776,043 | |
Trading Companies & Distributors | 5.1 | 73,695,812 | |
Construction & Engineering | 5.0 | 72,359,425 | |
Capital Markets | 4.2 | 60,253,070 | |
Machinery | 4.0 | 58,154,805 | |
Health Care Providers & Services | 3.3 | 47,051,777 | |
Household Durables | 3.1 | 44,626,638 | |
Pharmaceuticals | 3.0 | 42,610,144 | |
Specialty Retail | 2.8 | 40,239,269 | |
Chemicals | 2.7 | 38,425,814 | |
Professional Services | 2.4 | 35,136,280 | |
Oil, Gas & Consumable Fuels | 2.4 | 33,842,940 | |
Health Care Technology | 2.3 | 33,119,470 | |
Life Sciences Tools & Services | 2.2 | 32,390,444 | |
Technology Hardware, Storage & Peripherals | 1.9 | 27,789,831 | |
Containers & Packaging | 1.9 | 27,673,937 | |
Hotels, Restaurants & Leisure | 1.8 | 26,558,034 | |
Electric Utilities | 1.6 | 23,642,784 | |
Building Products | 1.6 | 22,794,966 | |
Distributors | 1.5 | 21,243,526 | |
Semiconductors & Semiconductor Equipment | 1.4 | 20,872,657 | |
Air Freight & Logistics | 1.2 | 17,775,646 | |
Diversified Telecommunication Services | 1.2 | 17,702,235 | |
Food Products | 1.2 | 16,765,470 | |
Insurance | 1.1 | 16,347,925 | |
Multi-line Retail | 1.1 | 15,774,613 | |
Electronic Equipment, Instruments & Components | 1.1 | 15,745,185 | |
Electrical Equipment | 1.1 | 15,706,428 | |
Media | 1.1 | 15,652,141 | |
Auto Components | 1.1 | 15,465,712 | |
Household Products | 1.1 | 15,416,357 | |
Communications Equipment | 1.1 | 15,328,446 | |
Thrifts & Mortgage Finance | 1.0 | 14,967,026 | |
Aerospace & Defense | 1.0 | 14,483,623 | |
Interactive Media & Service | 1.0 | 14,100,276 | |
Gas Utilities | 0.9 | 12,447,404 | |
Biotechnology | 0.8 | 11,080,572 | |
TOTAL COMMON STOCKS | 98.6% | $1,420,193,156 | |
REPURCHASE AGREEMENT | 1.6 | 22,361,515 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.2 | 3,028,712 | |
TOTAL INVESTMENTS | 100.4% | $1,445,583,383 |
105 |
Shares | Value | ||
COMMON STOCKS* — 99.3% | |||
Aerospace & Defense — 2.1% | |||
5,506 | Raytheon Technologies Corp. | $ 458,319 | |
Banks — 2.0% | |||
2,799 | JPMorgan Chase & Co. | 430,514 | |
Beverages — 2.4% | |||
3,616 | PepsiCo, Inc. | 521,283 | |
Biotechnology — 2.3% | |||
2,090 | Amgen, Inc. | 500,848 | |
Capital Markets — 8.2% | |||
1,306 | Ameriprise Financial, Inc. | 337,470 | |
428 | BlackRock, Inc. | 350,660 | |
7,334 | Charles Schwab Corp. (The) | 516,314 | |
2,779 | Northern Trust Corp. | 316,250 | |
1,349 | T Rowe Price Group, Inc. | 241,741 | |
1,762,435 | |||
Chemicals — 5.5% | |||
1,289 | Air Products and Chemicals, Inc. | 371,851 | |
2,901 | PPG Industries, Inc. | 496,767 | |
3,269 | RPM International, Inc. | 310,032 | |
1,178,650 | |||
Communications Equipment — 2.7% | |||
11,592 | Cisco Systems, Inc./Delaware | 590,149 | |
Distributors — 1.1% | |||
1,909 | Genuine Parts Co. | 238,568 | |
Electrical Equipment — 5.3% | |||
2,778 | Eaton Corp. PLC | 397,060 | |
4,116 | Emerson Electric Co. | 372,457 | |
1,451 | Rockwell Automation, Inc. | 383,441 | |
1,152,958 | |||
Electronic Equipment, Instruments & Components — 2.1% | |||
3,320 | TE Connectivity, Ltd. | 446,440 | |
Food Products — 3.0% | |||
2,052 | Hershey Co. (The) | 337,143 | |
5,138 | Mondelez International, Inc. - Class A | 312,442 | |
649,585 | |||
Gas Utilities — 2.0% | |||
10,071 | UGI Corp. | 440,203 | |
Health Care Equipment & Supplies — 4.0% | |||
3,513 | Abbott Laboratories | 421,841 | |
3,310 | Medtronic PLC | 433,345 | |
855,186 | |||
Health Care Providers & Services — 2.0% | |||
3,238 | Quest Diagnostics, Inc. | 427,027 | |
Hotels, Restaurants & Leisure — 3.7% | |||
2,023 | McDonald’s Corp. | 477,590 | |
2,881 | Starbucks Corp. | 329,845 | |
807,435 | |||
Household Durables — 1.7% | |||
2,624 | Garmin, Ltd. | 360,118 |
106 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Products — 3.7% | |||
5,198 | Colgate-Palmolive Co. | $ 419,479 | |
2,922 | Procter & Gamble Co. (The) | 389,853 | |
809,332 | |||
Industrial Conglomerates — 1.9% | |||
2,093 | 3M Co. | 412,614 | |
Insurance — 6.1% | |||
6,331 | Aflac, Inc. | 340,165 | |
1,567 | Allstate Corp. (The) | 198,696 | |
1,368 | Everest Re Group, Ltd. | 378,867 | |
6,363 | Principal Financial Group, Inc. | 406,405 | |
1,324,133 | |||
IT Services — 3.5% | |||
1,021 | Accenture PLC - Class A | 296,059 | |
4,699 | Paychex, Inc. | 458,106 | |
754,165 | |||
Machinery — 5.9% | |||
1,613 | Cummins, Inc. | 406,541 | |
1,470 | Illinois Tool Works, Inc. | 338,776 | |
2,247 | Snap-on, Inc. | 533,887 | |
1,279,204 | |||
Media — 4.3% | |||
9,907 | Comcast Corp. - Class A | 556,278 | |
12,021 | Interpublic Group of Cos., Inc. (The) | 381,667 | |
937,945 | |||
Multi-Utilities — 3.6% | |||
5,505 | Dominion Energy, Inc. | 439,850 | |
2,461 | DTE Energy Co. | 344,589 | |
784,439 | |||
Oil, Gas & Consumable Fuels — 3.4% | |||
3,513 | Chevron Corp. | 362,085 | |
4,505 | Phillips 66 | 364,499 | |
726,584 | |||
Pharmaceuticals — 8.8% | |||
7,660 | Bristol-Myers Squibb Co. | 478,137 | |
2,973 | Eli Lilly & Co. | 543,375 | |
3,841 | Johnson & Johnson | 625,046 | |
6,619 | Pfizer, Inc. | 255,825 | |
1,902,383 | |||
Semiconductors & Semiconductor Equipment — 3.1% | |||
3,688 | Texas Instruments, Inc. | 665,721 | |
Specialty Retail — 2.6% | |||
1,746 | Home Depot, Inc. (The) | 565,128 | |
Technology Hardware, Storage & Peripherals — 2.3% | |||
6,670 | NetApp, Inc. | 498,182 | |
TOTAL COMMON STOCKS (Cost $15,051,131) | 21,479,548 |
107 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.7% | |||
$145,505 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $145,505, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $148,600, coupon rate of 0.125%, due 4/30/23, market value of $148,472) | $ 145,505 | |
TOTAL REPURCHASE AGREEMENT (Cost $145,505) | 145,505 | ||
TOTAL INVESTMENTS (Cost $15,196,636) | 100.0% | $21,625,053 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (4,140) | |
NET ASSETS | 100.0% | $21,620,913 |
* | Percentages indicated are based on net assets. |
108 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 8.8% | $ 1,902,383 | |
Capital Markets | 8.2 | 1,762,435 | |
Insurance | 6.1 | 1,324,133 | |
Machinery | 5.9 | 1,279,204 | |
Chemicals | 5.5 | 1,178,650 | |
Electrical Equipment | 5.3 | 1,152,958 | |
Media | 4.3 | 937,945 | |
Health Care Equipment & Supplies | 4.0 | 855,186 | |
Household Products | 3.7 | 809,332 | |
Hotels, Restaurants & Leisure | 3.7 | 807,435 | |
Multi-Utilities | 3.6 | 784,439 | |
IT Services | 3.5 | 754,165 | |
Oil, Gas & Consumable Fuels | 3.4 | 726,584 | |
Semiconductors & Semiconductor Equipment | 3.1 | 665,721 | |
Food Products | 3.0 | 649,585 | |
Communications Equipment | 2.7 | 590,149 | |
Specialty Retail | 2.6 | 565,128 | |
Beverages | 2.4 | 521,283 | |
Biotechnology | 2.3 | 500,848 | |
Technology Hardware, Storage & Peripherals | 2.3 | 498,182 | |
Aerospace & Defense | 2.1 | 458,319 | |
Electronic Equipment, Instruments & Components | 2.1 | 446,440 | |
Gas Utilities | 2.0 | 440,203 | |
Banks | 2.0 | 430,514 | |
Health Care Providers & Services | 2.0 | 427,027 | |
Industrial Conglomerates | 1.9 | 412,614 | |
Household Durables | 1.7 | 360,118 | |
Distributors | 1.1 | 238,568 | |
TOTAL COMMON STOCKS | 99.3% | $21,479,548 | |
REPURCHASE AGREEMENT | 0.7 | 145,505 | |
TOTAL INVESTMENTS | 100.0% | $21,625,053 |
109 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 5.1% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $ 9,222,330 | |
30,000 | Vanguard S&P 500 ETF1 | 11,507,100 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 20,729,430 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 26.9% | |||
$60,000,000 | U.S. Treasury Bill, 0.072% due 07/8/211 | 59,998,350 | |
50,000,000 | U.S. Treasury Bill, 0.026% due 10/7/211 | 49,995,639 | |
TOTAL U.S. TREASURY BILLS (Cost $109,984,399) | 109,993,989 | ||
REPURCHASE AGREEMENT* — 1.6% | |||
6,440,098 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $6,440,098, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $6,574,600, coupon rate of 0.125%, due 4/30/23, market value of $6,568,952) | 6,440,098 | |
TOTAL REPURCHASE AGREEMENT (Cost $6,440,098) | 6,440,098 | ||
TOTAL PURCHASED OPTIONS (Cost $728,492,937) | 195.5% | 797,759,575 | |
TOTAL INVESTMENTS (Cost $851,348,043) | 229.1% | $ 934,923,092 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (129.1) | (526,775,312) | |
NET ASSETS2 | 100.0% | $ 408,147,780 |
* | 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 $23,849,973 is held as collateral to secure the open written call and put options contracts. |
110 |
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 | 06/18/21 | USD | 2,510 | $ 1,049,473,670 | $ 797,665,450 | $ 727,699,777 | $ 69,965,673 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/18/21 | USD | 2,510 | 1,049,473,670 | 94,125 | 793,160 | (699,035) | ||||||||
TOTAL PURCHASED OPTIONS | $ 2,098,947,340 | $ 797,759,575 | $ 728,492,937 | $ 69,266,638 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALL: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/18/21 | USD | 2,510 | (1,049,473,670) | (546,903,900) | (477,675,590) | (69,228,310) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 4,000.00 | 05/21/21 | USD | 440 | (183,971,480) | (798,600) | (4,297,580) | 3,498,980 | ||||||||
S&P 500 Index | OCC** | 4,100.00 | 05/21/21 | USD | 110 | (45,992,870) | (355,300) | (471,845) | 116,545 | ||||||||
S&P 500 Index | OCC** | 4,175.00 | 05/21/21 | USD | 30 | (12,543,510) | (155,850) | (236,345) | 80,495 | ||||||||
S&P 500 Index | OCC** | 4,200.00 | 05/21/21 | USD | 340 | (142,159,780) | (2,096,100) | (2,964,431) | 868,331 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/18/21 | USD | 2,510 | (1,049,473,670) | (12,550) | (72,790) | 60,240 | ||||||||
TOTAL PUTS | $(1,434,141,310) | $ (3,418,400) | $ (8,042,991) | $ 4,624,591 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(2,483,614,980) | $(550,322,300) | $(485,718,581) | $(64,603,719) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 195.5% | $ 797,759,575 | |
U.S. Treasury Bills | 26.9 | 109,993,989 | |
Exchange-Traded Funds | 5.1 | 20,729,430 | |
TOTAL | 227.5% | $928,482,994 | |
REPURCHASE AGREEMENT | 1.6 | 6,440,098 | |
TOTAL INVESTMENTS | 229.1% | $934,923,092 |
* | This table does not include written options. Please refer to the schedule of investments for information on written options. |
111 |
Shares | Value | ||
EXCHANGE-TRADED FUND* — 1.4% | |||
3,500 | iShares MSCI Emerging Markets ETF | $ 188,930 | |
TOTAL EXCHANGE-TRADED FUND (Cost $128,152) | 188,930 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 23.0% | |||
$1,500,000 | U.S. Treasury Bill, 0.072% due 07/8/211 | 1,499,959 | |
1,700,000 | U.S. Treasury Bill, 0.026% due 10/7/211 | 1,699,851 | |
TOTAL U.S. TREASURY BILLS (Cost $3,199,601) | 3,199,810 | ||
REPURCHASE AGREEMENT* — 8.0% | |||
1,106,160 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $1,106,160, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $1,129,300, coupon rate of 0.125%, due 4/30/23, market value of $1,128,330) | 1,106,160 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,106,160) | 1,106,160 | ||
TOTAL PURCHASED OPTIONS (Cost $26,121,260) | 206.0% | 28,604,925 | |
TOTAL INVESTMENTS (Cost $30,555,173) | 238.4% | $ 33,099,825 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (138.4) | (19,216,564) | |
NET ASSETS2 | 100.0% | $ 13,883,261 |
* | 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 $539,378 is held as collateral to secure the open written call and put options contracts. |
112 |
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 | 06/18/21 | USD | 90 | $ 37,630,530 | $ 28,601,550 | $ 26,092,820 | $ 2,508,730 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/18/21 | USD | 90 | 37,630,530 | 3,375 | 28,440 | (25,065) | ||||||||
TOTAL PURCHASED OPTIONS | $ 75,261,060 | $ 28,604,925 | $ 26,121,260 | $ 2,483,665 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALL: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/18/21 | USD | 90 | (37,630,530) | (19,610,100) | (17,127,810) | (2,482,290) | ||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Market ETF | OCC** | 55.00 | 05/21/21 | USD | 250 | (1,349,500) | (36,250) | (35,375) | (875) | ||||||||
iShares MSCI EAFE ETF | OCC** | 79.00 | 05/21/21 | USD | 200 | (1,037,800) | (28,800) | (36,510) | 7,710 | ||||||||
Russell 2000 Index | OCC** | 2,150.00 | 05/21/21 | USD | 6 | (1,359,870) | (10,350) | (22,905) | 12,555 | ||||||||
S&P 500 Index | OCC** | 4,225.00 | 05/21/21 | USD | 14 | (5,853,638) | (102,830) | (153,705) | 50,875 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/18/21 | USD | 90 | (37,630,530) | (450) | (2,610) | 2,160 | ||||||||
TOTAL PUTS | $(47,231,338) | $ (178,680) | $ (251,105) | $ 72,425 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(84,861,868) | $(19,788,780) | $(17,378,915) | $(2,409,865) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 206.0% | $ 28,604,925 | |
U.S. Treasury Bills | 23.0 | 3,199,810 | |
Exchange-Traded Fund | 1.4 | 188,930 | |
TOTAL | 230.4% | $31,993,665 | |
REPURCHASE AGREEMENT | 8.0 | 1,106,160 | |
TOTAL INVESTMENTS | 238.4% | $33,099,825 |
* | This table does not include written options. Please refer to the schedule of investments for information on written options. |
113 |
Face Amount | Value | ||
AGENCY NOTES* — 14.9% | |||
Federal Home Loan Bank — 8.0% | |||
$ 5,000,000 | 0.250% due 12/4/23 | $ 5,001,365 | |
15,000,000 | 2.750% due 12/13/24 | 16,190,951 | |
7,000,000 | 0.375% due 9/23/25 | 6,891,484 | |
4,000,000 | 5.500% due 7/15/36 | 5,828,291 | |
33,912,091 | |||
Federal National Mortgage Association — 6.9% | |||
10,000,000 | 2.000% due 10/5/221 | 10,268,911 | |
10,000,000 | 2.625% due 9/6/24 | 10,735,220 | |
7,960,000 | 2.125% due 4/24/261 | 8,449,061 | |
29,453,192 | |||
TOTAL AGENCY NOTES (Cost $60,817,099) | 63,365,283 | ||
MORTGAGE-BACKED SECURITIES*,2 — 32.0% | |||
Federal Home Loan Mortgage Corporation — 10.2% | |||
252 | # G12342, 5.500% due 8/1/21 | 253 | |
3,638 | # J03604, 5.500% due 10/1/21 | 3,655 | |
136 | # J03649, 5.500% due 10/1/21 | 136 | |
7,829 | # J03536, 5.500% due 11/1/21 | 7,861 | |
1,945 | # G18163, 5.500% due 1/1/22 | 1,964 | |
22,475 | # G13396, 5.500% due 12/1/23 | 23,063 | |
34,432 | # D78677, 8.000% due 3/1/27 | 35,148 | |
74,964 | # C00742, 6.500% due 4/1/29 | 84,764 | |
2,203,105 | # J38111, 3.000% due 12/1/32 | 2,344,298 | |
13,066 | # A68937, 6.000% due 11/1/37 | 14,770 | |
188,022 | # A69653, 5.500% due 12/1/37 | 219,837 | |
240,503 | # A73370, 5.000% due 2/1/38 | 278,240 | |
190,844 | # A90421, 4.500% due 12/1/39 | 215,609 | |
140,495 | # A92890, 4.500% due 7/1/40 | 154,618 | |
824,321 | # A97620, 4.500% due 3/1/41 | 926,143 | |
1,268,467 | # C03770, 3.500% due 2/1/42 | 1,382,211 | |
798,174 | # Q07651, 3.500% due 4/1/42 | 870,217 | |
1,592,443 | # Q41208, 3.500% due 6/1/46 | 1,720,591 | |
5,688,653 | # G08737, 3.000% due 12/1/46 | 6,016,485 | |
1,936,301 | # Q45735, 3.000% due 1/1/47 | 2,045,008 | |
4,417,667 | # Q46279, 3.500% due 2/1/47 | 4,735,753 | |
4,496,611 | # Q47596, 4.000% due 4/1/47 | 4,873,116 | |
12,458,547 | # RA3173, 3.000% due 7/1/50 | 13,076,174 | |
4,084,894 | # SD8083, 2.500% due 8/1/50 | 4,242,016 | |
43,271,930 | |||
Federal National Mortgage Association — 21.6% | |||
403 | # 125275, 7.000% due 3/1/24 | 426 | |
286,913 | # AH6827, 4.000% due 3/1/26 | 306,487 | |
243,539 | # AI1657, 4.000% due 4/1/26 | 259,895 | |
466,061 | # AB3900, 3.000% due 11/1/26 | 491,832 | |
15,512 | # 373328, 8.000% due 3/1/27 | 15,578 | |
673,059 | # AK4751, 3.000% due 4/1/27 | 713,190 | |
10,029 | # 390895, 8.000% due 6/1/27 | 10,178 | |
1,375,253 | # AO0533, 3.000% due 6/1/27 | 1,451,409 | |
31,966 | # 397602, 8.000% due 8/1/27 | 32,802 | |
528 | # 499335, 6.500% due 8/1/29 | 593 | |
3,335 | # 252806, 7.500% due 10/1/29 | 3,907 | |
207 | # 523497, 7.500% due 11/1/29 | 233 | |
3,146,751 | # BC2462, 3.000% due 2/1/31 | 3,318,841 | |
1,501 | # 588945, 7.000% due 6/1/31 | 1,663 | |
5,506,778 | # AS7429, 2.500% due 6/1/31 | 5,754,769 | |
47,426 | # 607862, 7.000% due 9/1/31 | 52,923 | |
2,133 | # 656872, 6.500% due 8/1/32 | 2,396 |
114 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,2 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$ 4,112,265 | # MA3391, 3.000% due 6/1/33 | $ 4,334,118 | |
113,454 | # 789856, 6.000% due 8/1/34 | 131,907 | |
36,828 | # 829202, 5.000% due 7/1/35 | 42,024 | |
85,586 | # 826586, 5.000% due 8/1/35 | 98,985 | |
17,968 | # 256216, 7.000% due 4/1/36 | 21,388 | |
56,087 | # 898412, 5.000% due 10/1/36 | 62,602 | |
9,575 | # 910894, 5.000% due 2/1/37 | 10,749 | |
16,663 | # 912456, 6.500% due 3/1/37 | 18,881 | |
239,387 | # 973241, 5.000% due 3/1/38 | 276,527 | |
65,966 | # 975593, 5.000% due 6/1/38 | 76,242 | |
86,251 | # 257573, 5.500% due 2/1/39 | 100,650 | |
265,711 | # AD7128, 4.500% due 7/1/40 | 298,370 | |
11,154,286 | # MA4152, 2.000% due 10/1/40 | 11,395,657 | |
3,034,976 | # AH1568, 4.500% due 12/1/40 | 3,408,452 | |
1,282,297 | # AH6991, 4.000% due 1/1/41 | 1,421,103 | |
583,044 | # AH4004, 4.500% due 3/1/41 | 657,828 | |
627,417 | # AH8351, 4.000% due 3/1/41 | 691,075 | |
626,726 | # AJ1315, 4.000% due 9/1/41 | 690,484 | |
771,280 | # AI8779, 4.000% due 11/1/41 | 854,922 | |
1,135,621 | # AJ5958, 4.000% due 12/1/41 | 1,246,882 | |
429,916 | # AK5070, 3.500% due 3/1/42 | 465,450 | |
1,956,278 | # AK5426, 3.500% due 3/1/42 | 2,130,985 | |
3,959,012 | # AT7682, 3.500% due 6/1/43 | 4,336,224 | |
2,509,144 | # AS6326, 3.500% due 12/1/45 | 2,704,378 | |
2,338,584 | # AS6881, 3.500% due 3/1/46 | 2,519,836 | |
2,842,094 | # BC0960, 4.000% due 6/1/46 | 3,101,228 | |
2,048,464 | # AS8966, 4.000% due 3/1/47 | 2,216,677 | |
2,591,222 | # AS9988, 4.500% due 7/1/47 | 2,842,122 | |
2,850,201 | # MA3210, 3.500% due 12/1/47 | 3,047,097 | |
2,519,005 | # BJ9251, 3.500% due 6/1/48 | 2,683,400 | |
8,339,434 | # FM3727, 3.000% due 7/1/50 | 8,755,856 | |
6,683,060 | # BQ2863, 2.500% due 9/1/50 | 6,941,161 | |
11,268,893 | # CA7231, 2.500% due 10/1/50 | 11,720,700 | |
91,721,082 | |||
Government National Mortgage Association — 0.2% | |||
9,872 | # 476259, 7.000% due 8/15/28 | 9,911 | |
4,797 | # 485264, 7.500% due 2/15/31 | 4,817 | |
6,943 | # 559304, 7.000% due 9/15/31 | 7,051 | |
197,458 | # 651859, 5.000% due 6/15/36 | 229,196 | |
113,928 | # 782150, 5.500% due 4/15/37 | 133,365 | |
17,971 | # 662521, 6.000% due 8/15/37 | 20,951 | |
38,422 | # 677545, 6.000% due 11/15/37 | 43,437 | |
34,910 | # 676291, 6.000% due 12/15/37 | 39,521 | |
34,695 | # 685836, 5.500% due 4/15/38 | 38,658 | |
222,008 | # 698235, 5.000% due 6/15/39 | 257,592 | |
784,499 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $132,945,033) | 135,777,511 | ||
CORPORATE NOTES* — 27.4% | |||
Banking — 7.7% | |||
5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.51 + 3.71%), 3.705% due 4/24/283 | 5,513,255 | |
5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.81 + 4.42%), 4.244% due 4/24/383 | 5,781,752 | |
3,000,000 | Bank of America Corp., (SOFR* 1.01 + 1.20%), 1.197% due 10/24/263 | 2,979,581 | |
6,000,000 | JPMorgan Chase & Co., (3M USD LIBOR * 0.95 + 3.51%), 3.509% due 1/23/293 | 6,551,915 |
115 |
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Banking — (Continued) | |||
$ 5,000,000 | JPMorgan Chase & Co., (SOFR* 1.11 + 1.76%), 1.764% due 11/19/313 | $ 4,698,189 | |
6,500,000 | PNC Bank NA, 3.250% due 6/1/25 | 7,075,862 | |
32,600,554 | |||
Beverages, Food & Tobacco — 3.0% | |||
1,000,000 | Archer-Daniels-Midland Co., 2.750% due 3/27/25 | 1,068,722 | |
5,000,000 | Coca-Cola Co. (The), 2.875% due 10/27/25 | 5,433,674 | |
6,000,000 | Coca-Cola Co. (The), 2.250% due 9/1/261 | 6,390,673 | |
12,893,069 | |||
Communications — 4.2% | |||
14,000,000 | Amazon.com, Inc., 4.800% due 12/5/34 | 17,750,755 | |
Computer Software & Processing — 6.8% | |||
1,000,000 | Alphabet, Inc., 2.050% due 8/15/50 | 838,813 | |
11,250,000 | Apple, Inc., 4.500% due 2/23/36 | 13,937,076 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 8,918,877 | |
5,000,000 | Oracle Corp., 2.800% due 4/1/27 | 5,300,260 | |
28,995,026 | |||
Heavy Machinery — 2.1% | |||
4,000,000 | Caterpillar, Inc., 2.600% due 4/9/30 | 4,173,187 | |
4,750,000 | John Deere Capital Corp., 0.700% due 7/5/23 | 4,791,280 | |
8,964,467 | |||
Insurance — 1.3% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/26 | 5,486,487 | |
Pharmaceuticals — 2.3% | |||
5,000,000 | Johnson & Johnson, 2.450% due 9/1/60 | 4,438,144 | |
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 5,342,112 | |
9,780,256 | |||
TOTAL CORPORATE NOTES (Cost $110,408,625) | 116,470,614 | ||
U.S. TREASURY NOTES/BONDS* — 22.5% | |||
5,000,000 | U.S. Treasury Bonds, 6.250% due 8/15/23 | 5,687,500 | |
8,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 10,526,875 | |
7,000,000 | U.S. Treasury Bonds, 3.500% due 2/15/39 | 8,522,773 | |
4,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | 4,642,344 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 11,476,406 |
116 |
Face Amount | Value | ||
U.S. TREASURY NOTES/BONDS* — (Continued) | |||
$10,000,000 | U.S. Treasury Bonds, 2.250% due 8/15/46 | $ 9,930,078 | |
3,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 3,429,141 | |
10,000,000 | U.S. Treasury Notes, 2.500% due 1/31/24 | 10,605,859 | |
10,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | 10,913,281 | |
7,000,000 | U.S. Treasury Notes, 2.625% due 12/31/25 | 7,596,094 | |
6,000,000 | U.S. Treasury Notes, 2.250% due 8/15/27 | 6,397,266 | |
5,000,000 | U.S. Treasury Notes, 3.125% due 11/15/28 | 5,627,344 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $94,316,858) | 95,354,961 | ||
REPURCHASE AGREEMENT* — 2.7% | |||
11,556,946 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $11,556,946, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $11,798,300, coupon rate of 0.125%, due 4/30/23, market value of $11,788,165) | 11,556,946 | |
TOTAL REPURCHASE AGREEMENT (Cost $11,556,946) | 11,556,946 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.6% | |||
6,900,750 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 6,900,750 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $6,900,750) | 6,900,750 | ||
TOTAL INVESTMENTS (Cost $416,945,311) | 101.1% | $429,426,065 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.1) | (4,665,437) | |
NET ASSETS | 100.0% | $424,760,628 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Represents current face amount at April 30, 2021. |
3 | Floating Rate Bond. Rate shown is as of April 30, 2021. |
4 | Represents an investment of securities lending cash collateral. |
117 |
% of Net Assets | Value | ||
Sector: | |||
Federal National Mortgage Association | 28.5% | $ 121,174,274 | |
Corporate | 27.4 | 116,470,614 | |
U.S. Treasury Notes/Bonds | 13.9 | 58,700,157 | |
Federal Home Loan Mortgage Corporation | 10.2 | 43,271,930 | |
U.S. Treasury | 8.6 | 36,654,804 | |
Federal Home Loan Bank | 8.0 | 33,912,091 | |
Government National Mortgage Association | 0.2 | 784,499 | |
TOTAL | 96.8% | $410,968,369 | |
REPURCHASE AGREEMENT | 2.7 | 11,556,946 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.6 | 6,900,750 | |
TOTAL INVESTMENTS | 101.1% | $429,426,065 |
118 |
Face Amount | Value | ||
CORPORATE NOTES* — 1.0% | |||
Health Care Services — 1.0% | |||
$ 500,000 | CommonSpirit Health, 1.547% due 10/1/25 | $ 504,308 | |
TOTAL CORPORATE NOTES (Cost $502,292) | 504,308 | ||
MUNICIPAL BONDS* — 98.6% | |||
Alabama — 0.9% | |||
325,000 | Alabama State Public School and College Authority, Revenue Bonds, Series C, 5.000% due 9/1/22 | 346,036 | |
100,000 | Southeast Energy Authority, AL, Cooperative District, Revenue Bonds, Series A, 4.000% due 10/1/23 | 108,568 | |
454,604 | |||
Arizona — 1.9% | |||
250,000 | City of Phoenix, AZ, Civic Improvement Corporation Airport, AMT, Junior Line Airport, Revenue Bonds, Series B, 5.000% due 7/1/23 | 274,403 | |
100,000 | City of Yuma AZ, Revenue Bonds, Taxable, 0.527% due 7/15/23 | 99,999 | |
175,000 | City of Yuma AZ, Revenue Bonds,Refunding, 4.000% due 7/1/23 | 188,840 | |
400,000 | Yuma, AZ, Municipal Property Corp., Excise Tax Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/22 | 422,202 | |
985,444 | |||
California — 3.1% | |||
340,000 | California State University, Revenue Bonds, Series D, 0.885% due 11/1/25 | 338,138 | |
California State, General Obligation Unlimited, Refunding: | |||
500,000 | 5.000% due 9/1/231 | 547,037 | |
300,000 | 5.000% due 4/1/24 | 342,006 | |
350,000 | City of Los Angeles, CA, Department of Airports, Airports, Revenue Bonds, Series D, 5.000% due 5/15/23 | 383,802 | |
1,610,983 | |||
Colorado — 2.0% | |||
450,000 | City and County of Denver, CO, Airport, Revenue Bonds, Variable Refunding, Govermental, Series C, 0.877% due 11/15/23 | 452,520 | |
200,000 | City and County of Denver, CO, Airport, Revenue Bonds, Variable Refunding, Govermental, Series D, 5.000% due 11/15/312 | 214,375 | |
125,000 | Colorado State Housing and Finance Authority, Revenue Bonds, AMT - Class 1 Bonds, Series A (GNMA Insured), 1.400% due 11/1/22 | 126,468 | |
250,000 | Larimer Weld and Boulder County, CO School District R-2J Thompson, General Obligation Unlimited,Refunding, 5.000% due 12/15/21 | 257,532 | |
1,050,895 | |||
Connecticut — 4.9% | |||
605,000 | Connecticut Housing Finance Authority, Revenue Bonds, Series A, 0.300% due 11/15/22 | 605,067 | |
750,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Refunding, Nuvance Halthe Issue, Series A, 1.100% due 7/1/482 | 761,841 | |
500,000 | Connecticut State, Special Tax Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/231 | 527,815 | |
285,000 | Connecticut, CT, General Obligation Unlimited, Refunding, Series C, 5.000% due 6/1/24 | 299,719 | |
100,000 | Metropolitan District (The), CT, Revenue Bonds, 0.411% due 4/1/22 | 100,138 |
119 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — (Continued) | |||
$ 250,000 | University of Connecticut, Revenue Bonds, Series A, 5.000% due 11/15/23 | $ 267,931 | |
2,562,511 | |||
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 | 1,153,367 | |
Florida — 4.8% | |||
275,000 | Central Florida Expressway Authority Senior Line, Revenue Bonds, Series A, 5.000% due 7/1/23 | 303,162 | |
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 | 374,934 | |
500,000 | County of Broward FL Port Facilities, Revenue Bonds, Refunding, Subordinate Bond, Series D, 5.000% due 9/1/24 | 567,009 | |
390,000 | Manatee County, FL, Port Authority, Revenue Bonds,Taxable Refunding, 0.619% due 10/1/241 | 389,773 | |
255,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 269,399 | |
535,000 | Orlando, FL, Utilities Commission, Revenue Bonds, Series A, 5.000% due 10/1/23 | 596,934 | |
2,501,211 | |||
Georgia — 0.4% | |||
200,000 | Atlanta, GA, Airport General Revenue, Revenue Bonds, Series C, 5.000% due 1/1/23 | 206,150 | |
Illinois — 5.9% | |||
500,000 | Chicago, IL, O’Hare International Airport, Revenue Bonds, Refunding, Series B, 5.672% due 1/1/22 | 517,453 | |
300,000 | Cook County, IL, School District No. 100 South Berwyn, General Obligation Unlimited, Refunding, (BAM), 4.000% due 12/1/23 | 326,877 | |
500,000 | DeKalb County, IL, Community Unit School District No. 428 DeKalb, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 561,025 | |
225,000 | Illinois State Toll Highway Authority, Revenue Bonds, Series D, 5.000% due 1/1/23 | 242,792 | |
500,000 | Illinois State, General Obligation Unlimited, Series A, 4.000% due 3/1/24 | 546,513 | |
255,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 287,117 | |
300,000 | Regional Transportation Authority, IL, Revenue Bonds, Series A, 5.000% due 6/1/21 | 301,086 | |
295,000 | St. Clair County, IL, Community Unit School District No 19, General Obligation, Refunding, 4.000% due 2/1/22 | 303,325 | |
3,086,188 | |||
Kansas — 0.8% | |||
375,000 | Wyandotte County-Kansas City Unified Government, General Obligation Unlimited, Series A, (AGMC Insured), 4.000% due 8/1/24 | 418,446 | |
Kentucky — 2.1% | |||
260,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding Project No. 112, Series B, 5.000% due 11/1/21 | 266,195 | |
300,000 | Louisville & Jefferson County, KY, Metropolitan Government Health System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/23 | 333,728 | |
500,000 | McCracken County, KY,School District Finance Corp, Revenue Bonds, Series A (State Aid Intercept), 2.500% due 7/1/21 | 501,707 | |
1,101,630 |
120 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Louisiana — 2.3% | |||
$ 300,000 | Ernest N Morial-New Orleans, LA, Exhibition Hall Authority, Special Tax, Refunding, 5.000% due 7/15/21 | $ 302,601 | |
400,000 | Louisiana State, General Obligation Unlimited, Series A, 4.000% due 9/1/21 | 405,041 | |
500,000 | New Orleans, LA, Sewage Service Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/22 | 524,646 | |
1,232,288 | |||
Maryland — 1.6% | |||
250,000 | Maryland State Department of Transportation, Revenue Bonds, Series A, 0.806% due 8/1/25 | 248,387 | |
500,000 | Maryland State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/24 | 576,996 | |
825,383 | |||
Michigan — 6.8% | |||
400,000 | Detroit, MI, City School District, General Obligation Unlimited, Series A, (QSBLF Insured), 6.000% due 5/1/21 | 400,000 | |
500,000 | Hazel Park, MI, School District, General Obligation Unlimited, Refunding, Q-SBLF, 4.000% due 5/1/24 | 554,292 | |
425,000 | Maple Valley, MI, Schools, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/23 | 454,793 | |
500,000 | Michigan State Building Authority, Revenue Bonds, 0.461% due 10/15/22 | 501,783 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/23 | 218,544 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 224,181 | |
250,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Taxable-Refunding-Trainity Health Credit Group, Series T, 2.208% due 12/1/23 | 259,990 | |
500,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/442 | 522,371 | |
400,000 | Ypsilanti, MI, School District, General Obligation Unlimited, Refunding, Series B, (QSBLF Insured), 2.250% due 5/1/21 | 400,000 | |
3,535,954 | |||
Minnesota — 1.6% | |||
500,000 | Minneapolis-St Paul, MN, Metropolitan Airports Commission, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/25 | 577,706 | |
250,000 | St. Paul, MN, Housing & Redevelopment Authority Health Care, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/21 | 251,862 | |
829,568 | |||
Nebraska — 0.2% | |||
100,000 | City of Lincoln NE Electric System Revenue, Revenue Bonds, Series B, 0.399% due 9/1/23 | 100,164 | |
Nevada — 1.0% | |||
210,000 | Clark County School District, General Obligation, Ltd., Series A, 5.000% due 6/15/24 | 239,696 | |
240,000 | Clark County School District, General Obligation, Ltd., Series D, 5.000% due 6/15/24 | 273,939 | |
513,635 | |||
New Jersey — 5.0% | |||
250,000 | County of Morris NJ, County Improvement Authority Revenue, Revenue Bonds, Series B, 0.571% due 2/1/24 | 249,314 | |
300,000 | New Jersey Building Authority, Revenue Bonds, Unrefunded, Series A, 4.000% due 6/15/21 | 301,280 | |
525,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, Series NN, 5.000% due 3/1/22 | 545,538 |
121 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — (Continued) | |||
$ 180,000 | New Jersey State Turnpike Authority, Revenue Bonds ,Series B, 5.000% due 1/1/23 | $ 193,983 | |
525,000 | New Jersey Turnpike Authority, Revenue Bonds, Taxable Refunding, Series B, 0.638% due 1/1/24 | 524,472 | |
500,000 | State of New Jersey, General Obligation Unlimited, Series A, 4.000% due 6/1/23 | 538,746 | |
275,000 | Township of Pennsauken NJ, General Obligation Unlimited, Taxable Refunding, 0.760% due 8/15/23 | 275,303 | |
2,628,636 | |||
New York — 7.5% | |||
615,000 | City of New York, General Obligation Unlimited,Refunding, Series B, 5.000% due 8/1/23 | 680,598 | |
500,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, 2.800% due 11/1/23 | 529,641 | |
New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series A: | |||
125,000 | 4.000% due 12/15/22 | 132,859 | |
250,000 | 5.000% due 3/15/24 | 283,907 | |
New York State Dormitory Authority, Sales Tax Revenue, Revenue Bonds, Series 2015B-A: | |||
210,000 | 5.000% due 3/15/23 | 228,991 | |
150,000 | 5.000% due 3/15/24 | 170,437 | |
New York State Urban Development Corp., Personal Income Tax, Revenue Bonds: | |||
250,000 | 5.000% due 3/15/22 | 260,553 | |
365,000 | 0.720% due 3/15/23 | 366,434 | |
350,000 | New York, Metropolitan Transportation Authority Revenue, Dedicated Tax Fund, Series A, 5.255% due 11/15/22 | 375,320 | |
Port Authority of New York and New Jersey, Revenue Bonds: | |||
310,000 | 1.086% due 7/1/23 | 314,826 | |
200,000 | 5.000% due 10/15/231 | 220,394 | |
295,000 | Triborough Bridge and Tunnel Authority, NY, General Revenue Bonds, Refunding, Series A, 5.000% due 11/15/24 | 343,373 | |
3,907,333 | |||
North Carolina — 0.2% | |||
100,000 | New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/21 | 101,920 | |
Ohio — 3.8% | |||
City of Akron OH Income Tax Revenue, Revenue Bonds: | |||
355,000 | 4.000% due 12/1/22 | 375,102 | |
360,000 | 4.000% due 12/1/23 | 392,447 | |
325,000 | Ohio State, Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 358,228 | |
425,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/15/23 | 439,205 | |
390,000 | State of Ohio, General Obligation Unlimited, Series C, 5.000% due 3/1/24 | 442,534 | |
2,007,516 | |||
Pennsylvania — 16.9% | |||
475,000 | Allegheny County, PA, General Obligation Unlimited, Refunding, Series C-75, 4.000% due 11/1/21 | 483,913 | |
325,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Refunding University of Pittsburgh Center Series A, 5.000% due 7/15/25 | 385,603 | |
300,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Series A, 5.000% due 7/15/23 | 331,181 | |
Bensalem Township, PA, School District, General Obligation, Taxable Refunding: | |||
145,000 | 1.835% due 6/1/21 | 145,151 | |
175,000 | 1.855% due 6/1/22 | 177,561 | |
160,000 | 1.917% due 6/1/23 | 164,343 | |
215,000 | 1.972% due 6/1/24 | 222,973 |
122 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$ 400,000 | Bucks County, PA, Centennial School District, General Obligation Limited, Refunding, Series B, (State Aid Withholding), 5.000% due 12/15/21 | $ 411,924 | |
675,000 | City of Philadelphia PA, General Obligation Unlimited, Refunding, 5.000% due 8/1/22 | 715,158 | |
515,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, AMT Refunding, Series B, 5.000% due 7/1/24 | 587,895 | |
750,000 | Delaware Valley, PA, Regional Finance Authority, Revenue Bonds, 5.000% due 11/1/24 | 863,298 | |
460,000 | East Norriton-Plymouth-Whitpain, PA, Joint Sewer Authority, Revenue Bonds, Refunding, 0.904% due 8/1/23 | 460,401 | |
400,000 | Lehigh Country, PA, General Purpose Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 441,329 | |
425,000 | Montgomery County, PA, Higher Education and Health Authority, Revenue Bonds, Refunding, 5.000% due 9/1/23 | 469,112 | |
100,000 | Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding, 4.000% due 12/1/22 | 104,900 | |
290,000 | New Castle Sanitation Authority, Revenue Bonds, Taxable Refunding, 1.017% due 6/1/24 | 288,927 | |
510,000 | New Kensington, PA, Municipal Sanitary Authority, Revenue Bonds, (AGMC Insured), 0.592% due 12/1/23 | 509,626 | |
500,000 | Pennsylvania State University, Taxable, Revenue Bonds, Series B, 1.780% due 9/1/25 | 520,038 | |
400,000 | Pennsylvania State University, Tax-Exempt, Revenue Bonds, Series E, 5.000% due 3/1/24 | 453,274 | |
200,000 | Philadelphia, PA, School District, General Obligation Ltd, Series A (State Aid Withholding), 5.000% due 9/1/23 | 220,268 | |
200,000 | Pittsburgh, PA, School District, General Obligation Unlimited, Refunding, Series A, (State Aid Withholding), 5.000% due 9/1/22 | 203,130 | |
105,000 | Public Parking Authority of Pittsburgh, Revenue Bonds, Prefunded, Series A, 5.000% due 12/1/23 | 117,793 | |
195,000 | Public Parking Authority of Pittsburgh, Revenue Bonds, Unrefunded ,Series A, 5.000% due 12/1/23 | 215,704 | |
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 | 371,342 | |
8,864,844 | |||
Rhode Island — 0.8% | |||
400,000 | Rhode Island State, Health and Educational Building Corporation, Public School Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/22 | 418,946 | |
South Carolina — 0.7% | |||
350,000 | Charleston, SC, Educational Excellence Finance Corp., Revenue Bonds, 0.527% due 12/1/22 | 351,197 | |
South Dakota — 0.4% | |||
230,000 | South Dakota State Building Authority, Revenue Bonds, Refunding, Series B, 0.676% due 9/1/23 | 229,988 | |
Tennessee — 1.2% | |||
250,000 | Memphis-Shelby County Airport Authority, Revenue Bonds, Refunding, Series C, 5.000% due 7/1/231 | 274,973 | |
370,000 | Tennessee, TN, Housing Development Agency Residential Finance Program Revenue, Revenue Bonds, 1.400% due 1/1/22 | 372,701 | |
647,674 | |||
Texas — 10.3% | |||
Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, (PSF Guaranteed): | |||
325,000 | 5.000% due 8/15/22 | 344,984 | |
310,000 | 5.000% due 8/15/23 | 342,562 |
123 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
$ 100,000 | Central Texas Regional Mobility Authority, Revenue Bonds, Series C, 1.345% due 1/1/24 | $ 100,860 | |
Cities of Dallas and Fort Worth International Airport, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 11/1/24 | 580,241 | |
285,000 | 2.039% due 11/1/24 | 296,765 | |
City of Houston TX Airport System Revenue, Revenue Bonds: | |||
100,000 | 1.054% due 7/1/23 | 101,034 | |
170,000 | 5.000% due 7/1/24 | 194,062 | |
300,000 | 1.272% due 7/1/24 | 304,804 | |
300,000 | Harris County, TX, Senior Lien, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/21 | 304,157 | |
170,000 | Harris County, TX, Toll Road Authority, Revenue Bonds, Refunding, 5.000% due 8/15/22 | 180,748 | |
225,000 | Houston, TX, Community College, General Obligation Limited, 5.000% due 2/15/23 | 244,270 | |
190,000 | North East, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 1.420% due 8/1/402 | 190,601 | |
695,000 | North Texas Tollway Authority, Revenue Bonds, 1.020% due 1/1/25 | 695,284 | |
555,000 | North Texas, Tollway Authority Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/23 | 597,923 | |
320,000 | Texas State, TX, A&M University Revenue, Revenue Bonds, Series B, Prerefunded 5/15/23 @ 100, 5.000% due 5/15/32 | 351,248 | |
565,000 | Texas, TX, College Student Loan, General Obligation Unlimited, 5.500% due 8/1/21 | 572,229 | |
5,401,772 | |||
Virginia — 2.0% | |||
200,000 | County of Fairfax VA,General Obligation Unlimited, Refunding, Series B (State Aid Withholding), 0.645% due 10/1/25 | 197,228 | |
250,000 | Greater Richmond, VA, Convention Center Authority, Revenue Bonds, 5.000% due 6/15/23 | 272,590 | |
520,000 | Virginia College Building Authority, Revenue Bonds, 5.000% due 2/1/23 | 564,136 | |
1,033,954 | |||
Washington — 4.3% | |||
425,000 | Central Puget Sound Regional Transit Authority, Revenue Bonds, Refunding ,Series S-1, 5.000% due 11/1/25 | 455,317 | |
350,000 | Chelan County, WA, Public Utility District No 1, Revenue Bonds, Refunding, Series A (NPFG Insured), 0.000% due 6/1/233 | 346,943 | |
550,000 | Energy Northwest, WA, Taxable Columbia Generating Electicity Reveune, Revenue Bonds, Series E, 2.803% due 7/1/21 | 552,251 | |
425,000 | Klickitat Country, WA, Public Utility Distic, Revenue Bonds, Refunding, Series B (AGMC Insured), 2.277% due 12/1/23 | 441,732 | |
125,000 | Lewis County, WA, Public Utility District No 1, Cowlitz Falls Hydroelectric Project, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 133,599 | |
120,000 | Port of Seattle WA, Revenue Bonds, Refunding, Series A, 5.000% due 8/1/25 | 127,126 | |
Washington State Housing Finance Commission, Revenue Bonds, AMT - Refunding, Series 2A (GNMA / FNMA / FHLMC): | |||
65,000 | 1.650% due 6/1/21 | 65,057 | |
110,000 | 1.700% due 12/1/21 | 110,700 | |
2,232,725 | |||
Wisconsin — 2.2% | |||
150,000 | City of Milwaukee WI, General Obligation Unlimited, Series N-4, 5.000% due 4/1/25 | 175,449 | |
215,000 | Eau Claire WI, General Obligation Unlimited, Series D, 1.400% due 4/1/24 | 218,499 | |
150,000 | Wisconsin Housing and Economic Development Authority, Revenue Bonds, Series A, 1.550% due 11/1/382 | 150,153 |
124 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
$ 250,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/23 | $ 279,527 | |
325,000 | Wisconsin State, WI, Transportation Revenue, Revenue Bonds, Series 2, 5.000% due 7/1/23 | 343,392 | |
1,167,020 | |||
Wyoming — 0.8% | |||
400,000 | Wyoming State, Community Development Authority, Revenue Bonds, Series 1, 1.950% due 12/1/22 | 409,782 | |
TOTAL MUNICIPAL BONDS (Cost $50,886,975) | 51,571,728 | ||
Shares | |||
REGISTERED INVESTMENT COMPANIES* — 0.8% | |||
41,460 | ESC CEF Blackrock Municipal | 0 | |
6,700 | VanEck Vectors High-Yield Municipal Index ETF | 419,956 | |
TOTAL REGISTERED INVESTMENT COMPANIES (Cost $405,447) | 419,956 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.9% | |||
487,018 | With Fixed Income Clearing Corp., dated 4/30/21, 0.00%, principal and interest in the amount of $487,018, due 5/3/21, (collateralized by a U.S. Treasury Note with a par value of $497,200, coupon rate of 0.125%, due 4/30/23, market value of $496,773) | 487,018 | |
TOTAL REPURCHASE AGREEMENT (Cost $487,018) | 487,018 | ||
TOTAL INVESTMENTS (Cost $52,281,732) | 101.3% | $52,983,010 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.3) | (697,239) | |
NET ASSETS | 100.0% | $52,285,771 |
* | 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 April 30, 2021. |
3 | Zero Coupon Bond. |
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 |
125 |
% of Net Assets | Value | ||
SECTOR: | |||
Municipal Bonds | 98.6% | $ 51,571,728 | |
Corporate Notes | 1.0 | 504,308 | |
Registered Investment Companies | 0.8 | 419,956 | |
TOTAL | 100.4% | $52,495,992 | |
REPURCHASE AGREEMENT | 0.9 | 487,018 | |
TOTAL INVESTMENTS | 101.3% | $52,983,010 |
126 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 98.0% | |||
Alabama — 1.0% | |||
$ 500,000 | Jefferson County, AL, Sewer Revenue Warrants, Series E, 0.000% due 10/1/341 | $ 216,488 | |
500,000 | Jefferson County, AL, Sewer Revenue, Series B, (AGMC Insured), 0.000% due 10/1/251 | 456,955 | |
1,070,000 | Jefferson County, AL, Sewer Revenue, Warrants, Series D, 6.000% due 10/1/42 | 1,248,912 | |
500,000 | Montgomery, AL, Medical Clinic, Board Health Care Facility Revenue, Refunding, 5.000% due 3/1/30 | 569,423 | |
250,000 | Selma Industrial Development Board, Gulf Opportunity Zone Revenue, Revenue Bonds, Series A, 2.000% due 11/1/332 | 261,444 | |
2,753,222 | |||
Alaska — 0.4% | |||
1,065,000 | Alaska State, Housing Finance Corp., Revenue Bonds, Series A, 4.000% due 12/1/48 | 1,179,086 | |
Arizona — 3.1% | |||
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/473 | 335,063 | |
500,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/323 | 517,391 | |
Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/493 | 264,042 | |
125,000 | 5.000% due 7/15/493 | 140,390 | |
250,000 | 4.000% due 7/15/503 | 263,086 | |
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/383 | 344,471 | |
974,963 | Arizona State, Industrial Development Authority, Municipal Certificates, Revenue Bonds, Series A, 3.625% due 5/20/33 | 1,118,559 | |
60,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, 5.000% due 7/1/23 | 62,332 | |
250,000 | Glendale, AZ, Industrial Development Authority, Senior Living Facility, Revenue Bonds, 5.000% due 5/15/39 | 272,158 | |
290,000 | La Paz County, AZ, Industrial Development Authority, Revenue Bonds,Series A, 5.000% due 2/15/463 | 294,807 | |
750,000 | Maricopa County, AZ, Industrial Development Authority, Educational Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/363 | 834,810 | |
375,000 | Maricopa County, AZ, Industrial Development Authority, Revenue Bonds, Series A, 6.000% due 7/1/523 | 442,734 | |
250,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, 5.000% due 7/1/453 | 271,644 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding, 5.000% due 7/1/353 | 550,933 | |
Phoenix, AZ, Industrial Development Authority, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
250,000 | 5.750% due 7/1/243 | 268,227 | |
500,000 | 6.750% due 7/1/443 | 576,558 | |
1,000,000 | 0.020% due 11/15/522 | 1,000,000 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/463 | 547,191 | |
135,000 | Pima, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, 5.000% due 6/15/493 | 142,664 | |
150,000 | Tempe, AZ, Industrial Development Authority, Revenue Bonds, 5.000% due 12/1/54 | 153,247 | |
8,400,307 |
127 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — 3.9% | |||
California Community Housing Agency, Revenue Bonds, Series A: | |||
$ 250,000 | 5.000% due 8/1/493 | $ 285,278 | |
195,000 | 4.000% due 2/1/563 | 215,336 | |
1,000,000 | California Health Facilities Financing Authority, Revenue Bonds, Series A, 5.000% due 11/1/47 | 1,499,201 | |
179,788 | California Housing Finance Agency, Revenue Bonds, 3.500% due 11/20/35 | 209,044 | |
250,000 | California Public Finance Authority, Revenue Bonds, Refunding, 5.000% due 10/15/47 | 285,717 | |
400,000 | California School Finance Authority, Revenue Bonds, Series A, 6.375% due 7/1/463 | 451,054 | |
292,821 | California State, Housing Finance Agency Municipal Certificates, Revenue Bonds, Series A, 4.250% due 1/15/35 | 353,493 | |
California State, Municipal Finance Authority, Educational Revenue, Revenue Bonds, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 412,218 | |
500,000 | 5.000% due 6/1/46 | 564,176 | |
300,000 | California State, Municipal Finance Authority, Revenue Bonds, Series A, 5.000% due 11/1/463 | 334,998 | |
335,000 | California State, School Financing Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/523 | 370,397 | |
250,000 | California State, Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, Refunding, 5.000% due 5/15/29 | 295,570 | |
500,000 | California State, Statewide Communities Development Authority, Revenue Bonds, Series A, 5.250% due 12/1/563 | 563,342 | |
845,000 | California State, Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 887,109 | |
250,000 | Cscda Community Improvement Authority, CA, Revenue Bonds, Series A, 4.000% due 10/1/563 | 266,658 | |
1,000,000 | Golden, CA, Tobacco Securitization Corp., Tabacco Settelment, Revenue Bonds, Series B, 0.000% due 6/1/471 | 221,768 | |
600,000 | Hastings Campus Housing Finance Authority, CA, Revenue Bonds, 5.000% due 7/1/45 | 695,966 | |
500,000 | Hastings Campus Housing Finance Authority, CA, Revenue Bonds, Series A, 5.000% due 7/1/61 | 571,790 | |
720,000 | Madera, CA, Unified School District, General Obligation Unlimited, (NPFG Insured), 0.000% due 5/1/301 | 621,752 | |
250,000 | Oroville, CA, Revenue Bonds, 5.250% due 4/1/54 | 284,425 | |
500,000 | River Islands, CA, Public Financing Authority, Special Tax, Series A, 5.000% due 9/1/48 | 566,613 | |
1,000,000 | Riverside County, CA, Redevelopment Successor Agency, Revenue Bonds, Series B, 0.000% due 10/1/391 | 625,850 | |
200,000 | Seal Beach, CA, Community Facilities District No. 2005-1, Special Tax, Refunding, 3.000% due 9/1/29 | 206,795 | |
10,788,550 | |||
Colorado — 9.3% | |||
500,000 | Amber Creek Metropolitan District, CO, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | 526,183 | |
1,000,000 | Arista, CO, Metropolitan District, General Obligation Limited, Refunding, Series A, 4.375% due 12/1/28 | 1,079,597 | |
Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 10/1/33 | 593,575 | |
400,000 | 5.000% due 10/1/43 | 463,146 | |
500,000 | Base Village Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 521,892 | |
500,000 | Belleview Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, 5.000% due 12/1/36 | 519,911 |
128 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$ 500,000 | Big Dry Creek Metropolitan District, CO, General Obligation Limited, Series A, 5.750% due 12/1/47 | $ 531,683 | |
278,000 | Bradburn, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 296,708 | |
525,000 | Broadway Park North Metropolitan District No 2, CO, General Obligation, 5.000% due 12/1/493 | 574,977 | |
750,000 | Buffalo Ridge, CO, Metropolitan District, General Obligation Limited, Series B, 7.375% due 12/15/47 | 798,456 | |
500,000 | Clear Creek Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 526,645 | |
625,000 | Colorado International Center, CO, Metropolitan District No. 14, General Obligation Limited, 5.875% due 12/1/46 | 678,278 | |
Colorado State, Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding: | |||
500,000 | 5.000% due 1/1/31 | 539,141 | |
275,000 | 5.000% due 12/1/33 | 295,928 | |
400,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Refunding, 5.000% due 1/1/37 | 427,244 | |
700,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding, Prerefunded 6/1/27 @ 100, 5.000% due 6/1/37 | 873,520 | |
250,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Series A, 4.000% due 9/1/50 | 280,710 | |
660,000 | Colorado State, Health Facilities Authority, Refunding, Series A, Prerefunded 6/1/25 @ 100, 5.000% due 6/1/45 | 782,590 | |
250,000 | Colorado State, Health Facilities Authority, Revenue Bonds, 5.000% due 1/1/38 | 277,177 | |
165,000 | Colorado State, Health Facilities Authority, Revenue Bonds, Prerefunded 6/1/23 @ 100, 5.625% due 6/1/43 | 183,599 | |
390,000 | Colorado State, Housing and Finance Authority, Non Amount Non ACE SF Mortgage, Revenue Bonds, Series C, (GNMA Insured), 4.250% due 11/1/48 | 433,119 | |
300,000 | Copper Ridge Metropolitan District, CO, Revenue Bonds, 4.000% due 12/1/29 | 306,448 | |
250,000 | Denver, CO, Urban Renewal Authority, Tax Increment Revenue, Series A, 5.250% due 12/1/393 | 274,404 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/293 | 615,590 | |
495,000 | Dinosaur Ridge Metropolitan District, CO, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | 529,522 | |
150,000 | E-470, CO, Public Highway Authority, Revenue Bonds, Refunding, Series B, (1M USD LIBOR * 0.67 + 1.05%), 1.124% due 9/1/394 | 150,049 | |
1,000,000 | Gardens on Havana, CO, Metropolitan District No. 3, Revenue Bonds, Series A, 4.625% due 12/1/27 | 1,061,772 | |
945,000 | Harmony Technology Park, CO, Metropolitan District No. 2, General Obligation Limited, 4.500% due 12/1/32 | 1,035,373 | |
500,000 | Hunters Overlook, CO, Metropolitan District No. 5, General Obligation Limited, Series A, 5.000% due 12/1/49 | 540,819 | |
500,000 | Independence Metropolitan District No 3, CO, General Obligation Limited, Series A, 6.250% due 12/1/49 | 541,962 | |
500,000 | Leyden Ranch, CO, Metropolitan District, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 527,382 | |
750,000 | Leyden Rock, CO, Metropolitan District No. 10, General Obligation Limited, Series A, 5.000% due 12/1/45 | 779,888 | |
500,000 | Midcities Metropolitan District No. 2, CO, Special Revenue, Revenue Bonds, Refunding, Series B, 7.750% due 12/15/46 | 517,603 | |
500,000 | Parkside, CO, Centre Business Improvement District, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 533,886 | |
500,000 | Rocky Mountain Rail Park Metropolitan District,CO,Revenu Bonds, Series A, 5.000% due 12/1/513 | 536,400 |
129 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$ 500,000 | Serenity Ridge, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/43 | $ 535,281 | |
750,000 | Solaris, CO, Metropolitan District No. 3, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/36 | 785,479 | |
Southglenn, CO, Metropolitan District, Special Revenue, General Obligation Limited, Refunding: | |||
195,000 | 3.000% due 12/1/21 | 196,100 | |
750,000 | 5.000% due 12/1/30 | 781,283 | |
Southlands, CO, Metropolitan District No. 1, General Obligation Unlimited, Series A-2: | |||
215,000 | 3.500% due 12/1/27 | 231,235 | |
325,000 | 5.000% due 12/1/47 | 364,755 | |
555,000 | STC Metropolitan District No 2, CO, General Obligation, Ltd., 3.000% due 12/1/25 | 579,293 | |
500,000 | Tallyns Reach, CO, Metropolitan District No. 3, General Obligation Limited, Series A, 6.750% due 11/1/38 | 519,397 | |
520,000 | Thompson Crossing Metropolitan District No. 4, CO, General Obligation Limited, Refunding, 3.500% due 12/1/29 | 552,558 | |
Vauxmont Metropolitan District, CO, General Obligation Ltd, (AGMC Insured): | |||
250,000 | 5.000% due 12/1/32 | 321,691 | |
160,000 | 5.000% due 12/15/32 | 186,052 | |
250,000 | Village Metropolitan District (The), CO, General Obligation, Ltd., 5.000% due 12/1/40 | 277,244 | |
500,000 | Westcreek Metropolitan District No 2, CO, General Obligation Limited, Series A, 5.375% due 12/1/48 | 539,836 | |
500,000 | Westerly Metropolitan District No. 4, CO, General Obligation, Ltd. Series A, 5.000% due 12/1/50 | 545,463 | |
25,570,844 | |||
Connecticut — 0.8% | |||
450,000 | Connecticut State Health & Educational Facilities Authority Revenue, Revenue Bonds, Series A-1, 5.000% due 10/1/393 | 477,997 | |
425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/533 | 465,870 | |
165,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds Refunding, Series G-1, 5.000% due 7/1/503 | 184,388 | |
125,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 1/1/553 | 137,390 | |
250,000 | Harbor Point, CT, Infrastructure Improvement District, Special Obligation Revenue, Tax Allocation, Refunding, 5.000% due 4/1/303 | 294,133 | |
700,000 | Mohegan Tribe of Indians, CT, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/263 | 737,275 | |
2,297,053 | |||
District Of Columbia — 0.8% | |||
225,000 | District of Columbia, KIPP DC Obligated Group, Revenue Bonds, Refunding, Series A (MBIA Insured), 5.000% due 7/1/27 | 273,388 | |
3,415,000 | District of Columbia, Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/461 | 728,056 | |
2,000,000 | Metropolitan Washington, DC, Airports Authority Dulles Toll Road Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/401 | 1,287,658 | |
2,289,102 | |||
Florida — 4.4% | |||
Atlantic Beach, FL, Healthcare Facilities, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 576,529 | |
250,000 | 5.000% due 11/15/53 | 278,719 | |
250,000 | Capital Trust Agency Inc, FL, Revenue Bonds, 5.000% due 10/15/493 | 269,973 | |
290,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series A, 5.000% due 7/1/563 | 326,321 |
130 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$8,455,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series B, 0.000% due 7/1/611,3 | $ 569,919 | |
195,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | 207,635 | |
160,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/373 | 175,873 | |
300,000 | Escambia County, FL, Health Facilities Authority, Revenue Bonds, Refunding, Series A, (MBIA Insecured), 4.000% due 8/15/45 | 342,278 | |
145,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Series C, 5.000% due 9/15/503 | 159,564 | |
550,000 | Florida Development Finance Corp., Healthcare Facilities Revenue, University of Florida Health Project, Series A, Revenue Bonds, 6.000% due 2/1/33 | 593,285 | |
1,220,000 | Florida State Housing Finance Corp., Revenue Bonds, Series 1 (GNMA/FNMA/FHLMC Insured), 4.000% due 7/1/49 | 1,328,529 | |
300,000 | Lakewood Ranch, FL, Stewardship District, Special Assessment Revenue, 5.375% due 5/1/47 | 335,354 | |
500,000 | Lee County, FL, Industrial Development Authority, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 582,947 | |
1,250,000 | North Broward, FL, Hospital District, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/48 | 1,457,686 | |
750,000 | Orange County, FL, Health Facilities Authority Revenue, Revenue Bonds, 5.000% due 8/1/40 | 841,505 | |
1,000,000 | Orange County, FL, Health Facilities Authority, Revenue Bonds, Refunding, 5.000% due 8/1/41 | 1,093,374 | |
55,000 | Palm Beach County, FL, Health Facilities Authority, Lifespace Communities, Revenue Bonds, Refunding, Series C, 5.000% due 5/15/25 | 63,293 | |
145,000 | Palm Beach County, FL, Health Facilities Authority, Revenue Bonds, 5.000% due 6/1/55 | 153,946 | |
5,000 | Palm Beach County, FL, Health Facilities Authority, Revenue Bonds, Series B, 5.000% due 11/15/42 | 6,001 | |
Sarasota County, FL, Health Facilities Authority, Retirement Facilities Revenue, Revenue Bonds, Series A: | |||
550,000 | 5.000% due 1/1/37 | 595,499 | |
250,000 | 5.000% due 1/1/42 | 269,335 | |
500,000 | Southeast Overtown Park West Community Redevelopment Agency, FL, Series A-1, 5.000% due 3/1/303 | 551,601 | |
165,000 | Town Center at Palm Coast, FL, Community Development District, Special Assessment, 6.000% due 5/1/36 | 165,129 | |
Winter Garden Village at Fowler Groves, FL, Community Development District, Special Assessment, Refunding: | |||
500,000 | 3.750% due 5/1/31 | 523,886 | |
500,000 | 4.125% due 5/1/37 | 523,768 | |
11,991,949 | |||
Georgia — 1.0% | |||
250,000 | Burke County, GA, Development Authority, Pollution Control Revenue, Revenue Bonds, Series REMK, 1.650% due 11/1/482 | 250,412 | |
375,000 | DeKalb County, GA, Housing Authority, Senior Living Revenue, Revenue Bonds, Refunding, Series A, 5.250% due 1/1/543 | 307,035 | |
125,000 | Development Authority of Monroe County (The), GA, Revenue Bonds, 1.500% due 1/1/392 | 128,215 | |
600,000 | Geoge L Smith II Georgia World Congress Center Aurtority, GA, Revenue Bonds, Series B, 5.000% due 1/1/543 | 681,215 | |
475,000 | Georgia Housing & Finance Authority, Revenue Bonds, 4.000% due 6/1/50 | 534,449 | |
200,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series A, 5.000% due 7/1/60 | 226,033 |
131 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Georgia — (Continued) | |||
$ 210,000 | Houston Healthcare System, Inc., GA, Revenue Bonds, 5.000% due 10/1/312 | $ 227,670 | |
340,000 | Macon-Bibb County, GA, Urban Development Authority, Revenue Bonds, 5.750% due 6/15/373 | 370,434 | |
2,725,463 | |||
Guam — 0.3% | |||
175,000 | Guam Department of Education, Certificate Participation, Refunding, 5.000% due 2/1/40 | 189,530 | |
500,000 | Guam Power Authority, Revenue Bonds, Series A (AGMC Insured), 5.000% due 10/1/22 | 531,939 | |
721,469 | |||
Idaho — 0.7% | |||
500,000 | Idaho Health Facilities Authority, Revenue Bonds, Series A, 4.750% due 7/1/443 | 535,852 | |
250,000 | Idaho State, Health Facilities Authority Revenue, Kootenai Health Project, Revenue Bonds, Series A, 4.375% due 7/1/343 | 268,362 | |
Idaho State, Housing and Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A: | |||
735,000 | 6.000% due 7/1/393 | 883,933 | |
250,000 | 5.000% due 7/1/403 | 279,084 | |
1,967,231 | |||
Illinois — 14.4% | |||
250,000 | Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | 261,945 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A: | |||
1,150,000 | 0.000% due 12/1/311 | 891,283 | |
750,000 | 5.000% due 12/1/41 | 762,992 | |
400,000 | 7.000% due 12/1/463 | 512,177 | |
325,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (AGMC, AMBAC Insured), 5.500% due 12/1/31 | 446,544 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (NPFG Insured): | |||
150,000 | 0.000% due 12/1/231 | 146,293 | |
560,000 | 0.000% due 12/1/251 | 525,464 | |
170,000 | 5.500% due 12/1/26 | 199,889 | |
550,000 | 0.000% due 12/1/291 | 456,713 | |
600,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B, 7.000% due 12/1/423 | 774,921 | |
1,125,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/311 | 871,907 | |
640,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series C, 5.250% due 12/1/39 | 706,784 | |
500,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 575,302 | |
600,000 | Chicago, IL, General Obligation Unlimited, (NPFG Insured), 0.000% due 1/1/311 | 471,831 | |
Chicago, IL, General Obligation Unlimited, Refunding, Series A: | |||
150,000 | 5.000% due 1/1/30 | 187,723 | |
250,000 | 5.750% due 1/1/33 | 301,362 | |
1,195,000 | 6.000% due 1/1/38 | 1,448,062 | |
250,000 | Chicago, IL, General Obligation Unlimited, Refunding, Series C, 5.000% due 1/1/24 | 276,649 | |
Chicago, IL, General Obligation Unlimited, Series C: | |||
250,000 | 0.000% due 1/1/271 | 220,691 | |
435,000 | 0.000% due 1/1/311 | 330,225 | |
305,000 | Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 377,540 | |
500,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, 5.000% due 11/1/24 | 535,029 |
132 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$ 150,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, Refunding (AMBAC Insured), 5.750% due 11/1/30 | $ 183,967 | |
500,000 | Cook County, IL, Community College District No. 508, General Obligation Unlimited, 5.250% due 12/1/43 | 542,417 | |
320,000 | Illinois Housing Development Authority, Revenue Bonds, Series A, 3.000% due 4/1/51 | 350,784 | |
400,000 | Illinois State Finance Authority, Christian Homes, Inc., Revenue Bonds, 5.000% due 5/15/36 | 439,839 | |
390,000 | Illinois State Finance Authority, Recovery Zone Facility, Navistar International Corp., Project, Revenue Bonds, Refunding, 4.750% due 10/15/402,3 | 412,638 | |
350,000 | Illinois State Finance Authority, Revenue Bonds, 4.000% due 7/1/35 | 397,275 | |
Illinois State Finance Authority, Revenue Bonds, Refunding: | |||
230,000 | 5.000% due 12/1/40 | 273,811 | |
250,000 | 5.000% due 12/1/46 | 295,396 | |
150,000 | Illinois State Finance Authority, Revenue Bonds, Refunding, Lifespace Communities Project, Series A, 5.000% due 5/15/22 | 156,373 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 7/1/35 | 356,299 | |
250,000 | 5.000% due 8/15/37 | 307,382 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series C: | |||
1,000,000 | 5.000% due 2/15/31 | 1,223,959 | |
1,000,000 | 4.125% due 8/15/37 | 1,081,551 | |
500,000 | Illinois State Finance Authority, Silver Cross Hospital & Medical Center, Revenue Bonds, Series C, 5.000% due 8/15/44 | 561,300 | |
Illinois State Finance Authority, Student Housing Revenue, Dekalb II Northern Illinois, Revenue Bonds: | |||
395,000 | 5.750% due 10/1/21 | 399,648 | |
250,000 | 6.875% due 10/1/43 | 252,903 | |
500,000 | Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, 6.000% due 10/1/24 | 506,655 | |
Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 232,444 | |
500,000 | 5.000% due 7/1/47 | 439,787 | |
1,035,000 | Illinois State Finance Authority, Swedish Covenant Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/34 | 1,272,560 | |
425,000 | Illinois State Housing Development Authority, Revenue Bonds, Series A (GNMA / FNMA / FHLMC Insured), 4.250% due 10/1/49 | 475,693 | |
515,000 | Illinois State Housing Development Authority, Revenue Bonds, Series C, 3.500% due 8/1/46 | 553,850 | |
475,000 | Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | 527,015 | |
Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, (BAM Insured): | |||
620,000 | 5.000% due 6/15/28 | 773,465 | |
250,000 | 5.000% due 6/15/30 | 314,936 | |
Illinois State Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured): | |||
500,000 | 0.000% due 6/15/231 | 486,627 | |
415,000 | 0.000% due 6/15/261 | 376,590 | |
500,000 | Illinois State University, Revenue Bonds, (AGMC Insured), 5.000% due 4/1/24 | 561,302 | |
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 | 356,843 | |
Illinois State, General Obligation Unlimited: | |||
500,000 | 5.000% due 1/1/30 | 576,486 | |
1,000,000 | 5.000% due 2/1/39 | 1,087,647 | |
200,000 | 5.000% due 1/1/41 | 224,895 |
133 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$ 750,000 | Illinois State, General Obligation Unlimited, Series C, 5.000% due 11/1/29 | $ 893,382 | |
1,000,000 | Illinois State, General Obligation Unlimited, Series D, 5.000% due 11/1/28 | 1,201,334 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding (BAM, NPFG Insured), 0.000% due 6/15/281 | 223,360 | |
Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured): | |||
485,000 | 0.000% due 6/15/311 | 385,146 | |
1,000,000 | 0.000% due 12/15/341 | 707,646 | |
1,000,000 | 0.000% due 6/15/361 | 668,427 | |
525,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 6/15/271 | 481,682 | |
100,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Refunding, Series B, (AGMC Insured), 0.000% due 6/15/441 | 52,094 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC Insured MBIA), 0.000% due 12/15/291 | 1,706,046 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series B, 5.000% due 12/15/40 | 570,288 | |
250,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 4/1/221 | 247,188 | |
500,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series B1, 5.000% due 4/1/22 | 513,289 | |
State of Illinois, General Obligation Unlimited: | |||
1,000,000 | 5.500% due 5/1/30 | 1,295,310 | |
250,000 | 4.000% due 10/1/33 | 291,158 | |
165,000 | 4.000% due 6/1/35 | 180,407 | |
500,000 | 4.000% due 10/1/42 | 565,503 | |
1,000,000 | University of Illinois, Auxiliary Facilities, Revenue Bonds, Series A, (AGMC Insured), 4.000% due 4/1/36 | 1,124,714 | |
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 | 535,075 | |
496,000 | Yorkville, IL, United City Special Service, Special Tax, (AGMC Insured), 3.000% due 3/1/25 | 532,342 | |
250,000 | Yorkville, IL, United City Special Service, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 267,752 | |
39,725,806 | |||
Indiana — 1.8% | |||
Indiana Finance Authority, Midwestern Disaster Relief Revenue, Revenue Bonds, Ohio Valley Electric Corp. Project, Series A: | |||
900,000 | 5.000% due 6/1/32 | 928,765 | |
300,000 | 5.000% due 6/1/39 | 308,600 | |
1,500,000 | Indiana Finance Authority, Revenue Bonds, Series A, 4.000% due 7/1/50 | 1,710,541 | |
Indiana State Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A: | |||
345,000 | 5.750% due 11/15/28 | 366,477 | |
195,000 | 6.500% due 11/15/33 | 208,510 | |
600,000 | Indiana State Finance Authority, Revenue Bonds, Series A, 5.000% due 11/15/38 | 678,008 | |
Knox County, IN, Economic Development Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 4/1/23 | 311,705 | |
350,000 | 5.000% due 4/1/28 | 362,677 | |
4,875,283 |
134 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
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 | $ 552,562 | |
250,000 | Iowa State, Finance Authority, Revenue Bonds, 5.250% due 12/1/25 | 273,857 | |
250,000 | Iowa State, Finance Authority, Senior Housing Revenue, Revenue Bonds, Series A, 5.000% due 3/1/33 | 271,691 | |
210,000 | lowa State Finance Aurthority Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/51 | 216,620 | |
940,000 | Tobacco Settlement Authority, IA, Revenue Bonds, Series C, 5.375% due 6/1/38 | 940,276 | |
2,255,006 | |||
Kansas — 0.1% | |||
150,000 | Wyandotte County, KS, Kansas City Unified Government, Revenue Bonds, 5.000% due 12/1/34 | 153,540 | |
60,000 | Wyandotte County, KS, Kansas City Unified Government, Wyandotte Plaza Project, Revenue Bonds, 4.000% due 12/1/28 | 60,737 | |
214,277 | |||
Kentucky — 1.0% | |||
305,000 | Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 324,728 | |
100,000 | City of Ashland, KY, Revenue Bonds, Refunding, 4.000% due 2/1/36 | 105,713 | |
785,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Revenue Bonds, Series B, 0.000% due 7/1/211 | 783,459 | |
100,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Series A, 6.000% due 7/1/53 | 110,716 | |
250,000 | Kentucky, KY, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 254,172 | |
Kentucky, KY, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Series B, (NPFG Insured): | |||
500,000 | 0.000% due 10/1/261 | 457,612 | |
500,000 | 0.000% due 10/1/271 | 445,178 | |
250,000 | Louisville & Jefferson County, KY, Metropolitan Government Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 300,815 | |
2,782,393 | |||
Louisiana — 2.0% | |||
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 | 276,682 | |
2,500,000 | Industrial Development Board OF Parish, LA, East Baton Rouge Inc, Revenue Bonds, Series B, 0.040% due 12/1/402 | 2,500,000 | |
875,000 | Juban Crossing Economic Development District, LA, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/443 | 853,315 | |
1,250,000 | Louisiana State Local Govenment Facility & Community Development Aurthority, Revenue Bonds, Series B, 2.500% due 4/1/36 | 1,270,600 | |
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 | 603,188 | |
5,503,785 | |||
Maryland — 1.6% | |||
1,125,000 | Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | 1,225,946 |
135 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Maryland — (Continued) | |||
$ 250,000 | Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/36 | $ 297,722 | |
250,000 | Howard County, MD, Special Obligation, Revenue Bonds, Series A, 4.125% due 2/15/343 | 262,657 | |
750,000 | Maryland Community Development Administration, Revenue Bonds, Series A, 3.000% due 9/1/51 | 822,351 | |
335,000 | Maryland State, Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 379,314 | |
100,000 | Maryland State, Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 108,147 | |
250,000 | Maryland State, Economic Development Corp., Special Obligation, Tax Allocation, 4.500% due 7/1/44 | 267,224 | |
500,000 | Prince George’s County, MD, Revenue Authority, Suitland-Naylor Road Project, 5.000% due 7/1/463 | 541,366 | |
500,000 | Prince George’s County, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/483 | 527,466 | |
4,432,193 | |||
Michigan — 2.5% | |||
380,000 | Dearborn, MI, Economic Development Corp., Revenue Bonds, 7.500% due 11/15/443,5 | 361,000 | |
250,000 | Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 293,645 | |
125,000 | Detroit, MI, General Obligation Unlimited, Series A, 5.000% due 4/1/46 | 151,871 | |
280,000 | Flint, MI, Hospital Building Authority Rental, Revenue Bonds, Series A, 5.250% due 7/1/39 | 296,461 | |
1,000,000 | Grand Rapids Charter Township Economic Development Corp., MI, Revenue Bonds, 5.000% due 5/15/44 | 1,119,239 | |
600,000 | Grand Rapids, MI, Economic Development Corp., Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/37 | 641,165 | |
Kentwood, MI, Economic Development Corp., Revenue Bonds, Refunding: | |||
50,000 | 4.500% due 11/15/21 | 50,715 | |
65,000 | 4.750% due 11/15/22 | 66,929 | |
250,000 | 5.000% due 11/15/37 | 276,916 | |
250,000 | 5.625% due 11/15/41 | 257,664 | |
5,000,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series B, 0.000% due 6/1/651 | 643,436 | |
2,070,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series C, 4.250% due 6/1/49 | 2,289,818 | |
250,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/29 | 291,045 | |
200,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, Series CC, 1.450% due 9/1/302 | 200,792 | |
6,940,696 | |||
Minnesota — 0.2% | |||
274,532 | Minnesota Housing Finance Agency, Revenue Bonds, Series I, 2.800% due 12/1/47 | 288,190 | |
240,000 | St. Paul, MN, Housing & Redevelopment Authority, Charter School Lease Revenue, Revenue Bonds, Series A, 5.500% due 7/1/383 | 272,488 | |
560,678 | |||
Mississippi — 1.4% | |||
2,000,000 | Mississippi Business Finance Corp., Revenue Bonds, Series A, 0.040% due 12/1/302 | 2,000,000 |
136 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Mississippi — (Continued) | |||
$1,920,000 | Mississippi Business Finance Corp., Revenue Bonds, Series D, 0.040% due 12/1/302 | $ 1,920,000 | |
3,920,000 | |||
Missouri — 1.3% | |||
405,000 | Cape Girardeau County, MO, Industrial Development Authority, Southeast Health, Revenue Bonds, Series A, 6.000% due 3/1/33 | 444,845 | |
80,000 | Lees Summit, MO, Special Obligation Tax Increment, Tax Allocation, Refunding, 3.500% due 11/1/233 | 80,723 | |
430,000 | Maryland Heights, MO, Industrial Development Authority, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 411,387 | |
100,000 | Missouri State Health & Educational Facilities Authority, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 110,417 | |
640,000 | Missouri State Health & Educational Facilities Authority, Revenue Bonds, 5.000% due 2/1/26 | 705,205 | |
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Series A: | |||
100,000 | 5.000% due 2/1/28 | 115,711 | |
250,000 | 5.000% due 2/1/42 | 277,863 | |
250,000 | Missouri State, Health and Educational Facilities Authority, Revenue Bonds, 5.000% due 8/1/45 | 270,553 | |
355,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | 410,207 | |
625,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 700,007 | |
150,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Revenue, Revenue Bonds, Refunding, 5.000% due 9/1/48 | 166,887 | |
3,693,805 | |||
Nebraska — 0.1% | |||
225,000 | Nebraska State, Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 247,823 | |
Nevada — 0.6% | |||
335,000 | Department of Business & Industry, NV, Revenue Bonds, Series A, 5.000% due 7/15/273 | 377,129 | |
290,000 | Las Vegas, NV, Sales Tax Increment Revenue, 3.500% due 6/15/253 | 290,321 | |
500,000 | Nevada State, Department of Business and Industry, Revenue Bonds, Series A, 5.000% due 12/15/483 | 546,154 | |
400,000 | North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 444,029 | |
1,657,633 | |||
New Hampshire — 0.4% | |||
983,639 | National Finance Authority, NH, Municipal Certificates, Revenue Bonds, Series 1, 4.125% due 1/20/34 | 1,159,217 | |
New Jersey — 5.9% | |||
500,000 | New Jersey Health Care Facilities Financing Authority Revenue, Revenue Bonds, St Peters Univerdity Hospital, 5.750% due 7/1/37 | 501,506 | |
1,085,000 | New Jersey State Economic Development Authority Revenue, Refunding, School Facilities Construction, Revenue Bonds, Series NN, 5.000% due 3/1/24 | 1,177,495 | |
1,000,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 6/1/29 | 1,226,568 | |
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 | 189,260 |
137 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — (Continued) | |||
$ 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 | $ 399,137 | |
500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series I, (SIFMA MUNI SWAP INDEX + 1.60%), 1.660% due 3/1/284 | 507,962 | |
2,500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series XX, 5.000% due 6/15/25 | 2,940,733 | |
830,000 | New Jersey State Housing and Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 945,143 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
1,000,000 | 0.000% due 12/15/351 | 700,356 | |
1,300,000 | 0.000% due 12/15/391 | 783,715 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A, (BAM Insured), 0.000% due 12/15/271 | 920,483 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series B, (NPFG Insured), 5.500% due 12/15/21 | 1,032,181 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured): | |||
185,000 | 0.000% due 12/15/321 | 148,080 | |
1,000,000 | 0.000% due 12/15/341 | 755,886 | |
550,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/351 | 393,631 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/311 | 808,190 | |
1,000,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/29 | 1,259,524 | |
1,500,000 | Union County NJ Industrial Pollution Control Financing Authority, Revenue Bonds, 0.030% due 7/1/332 | 1,500,000 | |
16,189,850 | |||
New Mexico — 0.5% | |||
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 | 556,018 | |
555,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 4.250% due 1/1/50 | 620,458 | |
275,000 | Santa Fe, NM, Retirement Facility Revenue, Revenue Bonds, Series A, 5.000% due 5/15/34 | 309,680 | |
1,486,156 | |||
New York — 6.0% | |||
1,250,000 | Brooklyn, NY, Arena Local Development Corp., Pilot Revenue, Revenue Bonds, Refunding, 5.000% due 7/15/42 | 1,455,331 | |
435,000 | Brooklyn, NY, Arena Local Development Corp., Revenue Bonds, 4.000% due 11/1/55 | 462,850 | |
315,000 | Build NYC Resource Corp, NY, Revenue Bonds,Series A, 5.000% due 12/1/413 | 360,267 | |
County of Sullivan, NY, Special Assessment: | |||
150,000 | 4.850% due 11/1/313 | 159,068 | |
500,000 | 5.350% due 11/1/493 | 527,261 | |
500,000 | Glen Cove, NY, Local Economic Assistance Corp., Revenue Bonds, Series C, 0.000% due 1/1/551 | 516,225 | |
395,000 | Metropolitan Transportation Aurthority, NY, Revenue Bonds, Refunding, (SOFR*0.67+0.55%), 0.557% due 11/1/324 | 394,969 | |
Metropolitan Transportation Authority, NY, Revenue Bonds: | |||
325,000 | 4.000% due 11/15/48 | 369,656 | |
175,000 | 4.000% due 11/15/49 | 198,880 | |
250,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series A, (SIFMA MUNI SWAP INDEX + 0.50%), 0.560% due 11/15/424 | 249,508 | |
Metropolitan Transportation Authority, NY, Revenue Bonds, Series C: | |||
250,000 | 4.750% due 11/15/45 | 301,063 | |
120,000 | 5.000% due 11/15/50 | 146,821 |
138 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — (Continued) | |||
$ 500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D, 4.000% due 11/15/46 | $ 556,338 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D-2, 4.000% due 11/15/47 | 569,166 | |
275,000 | Monroe County Industrial Development Corp, NY , Revenue Bonds, 5.000% due 1/1/40 | 301,475 | |
1,800,000 | New York City Water & Sewer System, Revenue Bonds, 0.030% due 6/15/442 | 1,800,000 | |
1,900,000 | New York City, NY, General Obligation Unlimited, Series F-3, 0.030% due 3/1/422 | 1,900,000 | |
1,000,000 | New York City, NY, Municipal Water Finance Authority, Water And Sewer Sytem Revenue, Revenue Bonds, Series A-2, 0.030% due 6/15/442 | 1,000,000 | |
460,000 | New York City,NY, Water and Sewer System Revenue, Revenue Bonds,Series BB2, 4.000% due 6/15/42 | 548,864 | |
700,000 | New York State, Dormitory Authority Revenue, Non State Supported Debt, Refunding, 5.000% due 12/1/323 | 815,468 | |
1,000,000 | New York State, Dormitory Authority, Revenue Bonds,Series A, 5.000% due 3/15/40 | 1,248,292 | |
425,000 | New York State, Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 455,430 | |
1,415,000 | New York State, Urban Development Corp., Revenue Bonds, 5.000% due 3/15/50 | 1,787,101 | |
400,000 | The Town OF Huntington Local Development Corp., NY, Revenue Bonds, Series A, 5.250% due 7/1/56 | 423,213 | |
16,547,246 | |||
North Carolina — 1.8% | |||
3,000,000 | North Carolina Capital Facilities Finance Agency, Revenue Bonds, 0.150% due 7/1/342 | 3,000,000 | |
1,000,000 | North Carolina Housing Finance Agency, Revenue Bonds, Series A, 3.000% due 7/1/51 | 1,098,666 | |
215,000 | North Carolina Medical Care Commission, Revenue Bonds, 5.000% due 7/1/34 | 242,929 | |
500,000 | North Carolina State, Medical Care Commission, Retirement Facilities Revenue, Revenue Bonds, Series B, 5.000% due 4/1/47 | 504,814 | |
4,846,409 | |||
North Dakota — 0.2% | |||
500,000 | Ward County, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 575,009 | |
Ohio — 2.5% | |||
250,000 | Buckeye, OH, Tobacco Settlement Financing Authority, Revenue Bonds, Series B-2, 5.000% due 6/1/55 | 280,837 | |
3,180,000 | Buckeye, OH, Tobacco Settlement Financing Authority, Revenue Bonds, Series B-3, 0.000% due 6/1/571 | 495,984 | |
600,000 | Centerville, OH, Healthcare Revenue, Refunding, 5.250% due 11/1/50 | 627,836 | |
455,000 | Cuyahoga County, OH, Hospital Revenue, Refunding, 5.500% due 2/15/52 | 535,828 | |
345,000 | Franklin Contry, OH, Revenue Bonds, Refunding, 5.250% due 11/15/55 | 380,085 | |
815,000 | Licking County, OH, Health Care Facilities Authority Revenue, Refunding, Series A, 6.000% due 7/1/50 | 595,133 | |
1,000,000 | Lucas County, OH, Hospital Revenue, Promedica Healthcare Obligated Group, Revenue Bonds, Refunding, Series A, 5.250% due 11/15/48 | 1,154,476 | |
475,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 12/1/50 | 533,199 |
139 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Ohio — (Continued) | |||
Southeastern Ohio Port Authority Hospital Facilities, Revenue Bonds: | |||
$ 300,000 | 5.750% due 12/1/32 | $ 315,991 | |
500,000 | 6.000% due 12/1/42 | 515,831 | |
State of Ohio, Revenue Bonds: | |||
250,000 | 5.000% due 12/1/283 | 279,020 | |
250,000 | 5.000% due 12/1/383 | 267,930 | |
300,000 | 5.000% due 12/1/483 | 316,857 | |
420,000 | State of Ohio, Revenue Bonds, Refunding, 5.000% due 12/1/333 | 456,604 | |
6,755,611 | |||
Oklahoma — 0.1% | |||
85,000 | Fort Sill Apache Tribe, OK, Economic Development Authority, Gaming Enterprise Revenue, RevenueBonds, Series A, 8.500% due 8/25/263 | 87,143 | |
250,000 | Oklahoma, ST, Development Finance Authority, Healthcare System, Revenue Bonds, Series B, 5.500% due 8/15/57 | 306,137 | |
393,280 | |||
Oregon — 0.3% | |||
125,000 | Clackamas County, OR, Hospital Facility Authority, Oregon Senior Living, Revenue Bonds, Refunding, Series A, 5.125% due 11/15/40 | 135,467 | |
395,000 | Polk County, OR, Oregon Hospital Facility Authority, Revenue Bonds, Series A, 5.125% due 7/1/55 | 406,414 | |
200,000 | Yamhill County,OR, Hospital Authority, Revenue Bonds, 0.000% due 11/15/241,3 | 192,500 | |
734,381 | |||
Pennsylvania — 4.6% | |||
500,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds,Refunding, Series A, 5.000% due 4/1/47 | 601,114 | |
750,000 | Berks County, PA, Industrial Development Authority, Tower Health Project, Revenue Bonds, Refunding, 5.000% due 11/1/47 | 756,089 | |
270,000 | Bucks Country, PA, Industrial Development Authority, Revenue Bonds, 4.000% due 7/1/46 | 295,806 | |
125,000 | Chester County, PA, Industrial Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/15/51 | 140,074 | |
500,000 | Chester County, PA, Industrial Development Authority, Special Obligation Revenue, Woodlands at Greystone Project, Revenue Bonds, 5.000% due 3/1/383 | 577,289 | |
Crawford County, PA, Hospital Authority, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 442,175 | |
250,000 | 6.000% due 6/1/46 | 271,494 | |
500,000 | Cumberland County, PA, Municipal Authority, Revenue Bonds, Refunding, 5.000% due 1/1/29 | 562,255 | |
500,000 | Delaware Valley, PA, Regional Finance Authority, Revenue Bonds, Series C, (3M USD LIBOR*0.67+0.75%), 0.878% due 6/1/374 | 491,252 | |
1,000,000 | Doylestown, PA, Hospital Authority, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/41 | 1,120,340 | |
200,000 | Franklin County, PA, Industrial Development Authority, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 214,422 | |
350,000 | Lancaster County, PA, Hospital Authority, Revenue Bonds, Refunding, 5.000% due 3/1/45 | 380,631 | |
445,000 | Montgomery County, PA, Higher Education & Health Authority, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 493,237 | |
Montgomery County, PA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.250% due 1/15/27 | 688,527 | |
250,000 | 5.250% due 1/15/46 | 277,678 |
140 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding: | |||
$ 105,000 | 5.000% due 11/15/23 | $ 110,287 | |
500,000 | 5.000% due 11/15/36 | 582,147 | |
100,000 | 5.000% due 12/1/46 | 108,955 | |
250,000 | Montgomery County, PA, Industrial Development Authority, Waverly Heights, Ltd. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | 282,775 | |
Northampton County, PA, Industrial Development Authority, Revenue Bonds: | |||
250,000 | 5.000% due 11/1/44 | 271,495 | |
300,000 | 5.000% due 11/1/49 | 325,167 | |
250,000 | Pennsylvania State Lancaster County Hospital Authority, Revenue Bonds, 5.000% due 3/1/40 | 274,375 | |
2,225,000 | Pennsylvania State, Housing Finance Agency, Revenue Bonds, (GNMA/FNMA/FHLMC Insured), 2.450% due 7/1/222 | 2,232,993 | |
115,000 | Philadelphia Authority for Industrial Development, Revenue Bonds, 5.000% due 6/15/403 | 134,117 | |
495,000 | Philadelphia Authority of Industrial Development, Revenue Bonds, Mast III Charter School Project, Series A, 6.500% due 6/15/54 | 521,651 | |
325,000 | The Berks County Municipal Authority, PA, Revenue Bonds, Series A, 5.000% due 2/1/28 | 358,905 | |
150,000 | Washington County, PA, Redevelopment Authority Revenue, Tax Allocation, Refunding, 5.000% due 7/1/28 | 162,522 | |
100,000 | Westmoreland County Industrial Development Authority, PA, Revenue Bonds, 4.000% due 7/1/25 | 111,109 | |
12,788,881 | |||
Puerto Rico — 6.1% | |||
35,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, (AGMC Insured), 4.500% due 7/1/23 | 35,194 | |
675,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, Series A, 5.000% due 7/1/415 | 543,375 | |
300,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, Series A, (AGMC Insured), 5.000% due 7/1/35 | 312,000 | |
2,000,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, 5.000% due 7/1/353 | 2,372,720 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series A: | |||
20,000 | 5.000% due 7/1/33 | 21,058 | |
60,000 | 5.125% due 7/1/37 | 63,263 | |
2,860,000 | 5.250% due 7/1/42 | 3,019,760 | |
1,000,000 | Puerto Rico Electric Power Authority, Power Revenue, Revenue Bonds, Series XX, 5.250% due 7/1/405 | 927,500 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/27 | 25,697 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 611,382 | |
75,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 77,090 | |
600,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M USD LIBOR * 0.67 + 0.52%), 0.655% due 7/1/294 | 555,767 | |
500,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series 2013A-RSA-1, 7.000% due 7/1/405 | 475,625 | |
85,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series A, 5.000% due 7/1/29 | 78,625 | |
300,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 303,594 | |
510,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 524,211 | |
175,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, (AGMC Insured), 6.250% due 7/1/21 | 176,492 |
141 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
$ 10,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, (AMBAC Insured), 0.000% due 7/1/251 | $ 8,484 | |
455,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Refunding, Series N, (AMBAC Insured), 2.491% due 7/1/28 | 432,405 | |
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 | 804,802 | |
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 | 258,955 | |
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 | 431,204 | |
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 | 99,878 | |
500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, 5.000% due 3/1/36 | 499,408 | |
540,000 | Puerto Rico Infrastructure Financing Authority, Special Tax Revenue,Revenue Bonds, Series A (AMBAC Insured), 0.000% due 7/1/371 | 270,469 | |
9,071 | Puerto Rico Public Buildings Authority, Revenue Bonds, Refunding, Series L, (NPFG Insured), 5.500% due 7/1/21 | 9,110 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
8,000 | 0.000% due 7/1/241 | 7,578 | |
15,000 | 0.000% due 7/1/271 | 13,365 | |
14,000 | 0.000% due 7/1/291 | 11,776 | |
18,000 | 0.000% due 7/1/311 | 14,048 | |
21,000 | 0.000% due 7/1/331 | 15,189 | |
8,743,000 | 0.000% due 7/1/511 | 1,999,844 | |
500,000 | 5.000% due 7/1/58 | 563,280 | |
500,000 | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-2, 4.784% due 7/1/58 | 556,355 | |
Puerto Rico Sales Tax Financing Corp., Revenue Bonds, AMBAC Insured: | |||
209,663 | 0.000% due 8/1/471 | 63,303 | |
323,124 | 0.000% due 8/1/541 | 68,572 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 189,898 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 97,750 | |
150,000 | 5.000% due 6/1/36 | 145,125 | |
16,684,151 | |||
Rhode Island — 1.2% | |||
Rhode Island Health & Educational Building Corp., Revenue Bonds, Refunding, Series B: | |||
900,000 | 5.000% due 9/1/31 | 1,017,613 | |
750,000 | 5.000% due 9/1/36 | 841,240 | |
490,000 | Rhode Island State, Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA / FNMA / FHLMC Insured), 4.000% due 10/1/48 | 542,680 | |
5,000,000 | Tobacco Settlement Financing Corp., RI, Revenue Bonds, Series A, 0.000% due 6/1/521 | 811,038 | |
3,212,571 | |||
South Carolina — 1.9% | |||
2,760,004 | Connector 2000 Association, Inc., SC, Revenue Bonds, Series A-1, 0.000% due 1/1/421 | 691,599 | |
500,000 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Series A-1, 0.000% due 1/1/321 | 252,599 |
142 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
$ 255,000 | South Carolina State, Housing Finance & Development Authority, Revenue Bonds, (GNMA / FNMA / FHLMC/ FHA Insured), 4.000% due 7/1/36 | $ 276,096 | |
South Carolina State, Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
410,000 | 5.000% due 10/1/363 | 430,766 | |
1,090,000 | 5.000% due 10/1/413 | 1,134,967 | |
800,000 | South Carolina State, Jobs-Economic Development Authority, Residential Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 4/1/47 | 856,816 | |
200,000 | South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | 239,915 | |
South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series B: | |||
500,000 | 5.000% due 12/1/37 | 605,410 | |
500,000 | 5.000% due 12/1/41 | 602,352 | |
5,000 | South Carolina State, Public Service Authority, Revenue Bonds, Series E, 5.250% due 12/1/55 | 5,907 | |
5,096,427 | |||
Texas — 3.6% | |||
645,000 | Arlington, TX, Higher Education Finance Corp., Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 728,172 | |
350,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Uplift Education, Series A, 2.750% due 12/1/26 | 361,398 | |
360,000 | Fort Bend County, TX, Industrial Development Corp., NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 378,636 | |
1,510,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,631,596 | |
150,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Series A, 5.000% due 1/1/43 | 154,640 | |
500,000 | Matagorda County, TX, Navigation District No. 1, Revenue Bonds, Refunding (AMBAC Insured), 4.400% due 5/1/30 | 608,946 | |
950,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/36 | 1,010,793 | |
375,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/1/35 | 408,445 | |
New Hope Cultural Education Facilities Finance Corp., TX, Revenue Bonds: | |||
250,000 | 5.500% due 1/1/49 | 259,269 | |
400,000 | 5.000% due 1/1/55 | 411,506 | |
215,000 | New Hope Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Series A, 5.000% due 7/1/40 | 239,361 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, Student Housing Revenue Bonds, Series A, 5.000% due 4/1/42 | 622,583 | |
Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds: | |||
300,000 | 5.000% due 6/15/33 | 310,230 | |
500,000 | 5.000% due 6/15/38 | 515,814 | |
230,000 | Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series A, 5.000% due 6/15/37 | 242,117 | |
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Revenue Bonds, Refunding: | |||
250,000 | 4.000% due 5/15/27 | 266,768 | |
70,000 | 4.000% due 5/15/31 | 73,279 | |
150,000 | 5.000% due 11/15/35 | 164,216 | |
625,000 | 5.000% due 5/15/45 | 668,030 | |
170,000 | Texas State, Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 190,531 | |
500,000 | Texas State, Municipal Gas Acquisition and Supply Corp. I, Revenue Bonds, 6.250% due 12/15/26 | 587,361 | |
9,833,691 |
143 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Utah — 0.8% | |||
$1,000,000 | County of Utah, UT, Revenue Bonds, Series A, 5.000% due 5/15/50 | $ 1,262,706 | |
500,000 | Hideout Local District No. 1, UT, Special Assessment, 6.750% due 8/1/373 | 521,119 | |
250,000 | Mida Mountain Village, UT, Public Infrastructure District, Special Assessment, Series A, 5.000% due 8/1/50 | 280,499 | |
170,000 | Mida Mountain Village, UT, Public Infrastucture District, Special Assessment, 4.000% due 8/1/503 | 174,841 | |
2,239,165 | |||
Virginia — 2.7% | |||
Farmville, VA, Industrial Development Authority Facilities, Revenue Bonds, Refunding, Series A: | |||
750,000 | 5.000% due 1/1/38 | 882,210 | |
500,000 | 5.000% due 1/1/50 | 589,456 | |
500,000 | Hanover County, VA, Economic Development Authority, Care Facilities Revenue, Covenant Woods, Revenue Bonds, Refunding, 5.000% due 7/1/38 | 544,350 | |
295,000 | Henrico County, VA, Economic Development Authority Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 347,080 | |
500,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 537,283 | |
600,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series C, 5.000% due 12/1/47 | 691,201 | |
500,000 | Newport News, VA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/463 | 559,819 | |
1,000,000 | Newport News, VA, Industrial Development Authority, System Revenue, Revenue Bonds, 5.330% due 7/1/453 | 1,096,471 | |
750,000 | Norfolk, VA, Redevelopment and Housing Authority, Revenue Bonds, Series A, 5.250% due 1/1/54 | 796,628 | |
Virginia Small Business Financing Authority, Revenue Bonds: | |||
500,000 | 5.000% due 1/1/32 | 610,962 | |
250,000 | 4.000% due 1/1/45 | 275,900 | |
500,000 | Virginia State, Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 530,184 | |
7,461,544 | |||
Washington — 1.8% | |||
235,000 | Kalispel Tribe of Indians Priority District, WA, Revenue Bonds, Series B, 5.250% due 1/1/383 | 268,670 | |
Washington State Convention Center Public Facilities District, Revenue Bonds: | |||
500,000 | 4.000% due 7/1/31 | 569,581 | |
250,000 | 5.000% due 7/1/35 | 297,340 | |
250,000 | 5.000% due 7/1/58 | 289,819 | |
Washington State, Health Care Facilities Authority, Revenue Bonds: | |||
200,000 | 5.000% due 8/1/30 | 256,478 | |
300,000 | 5.000% due 8/15/34 | 355,828 | |
1,125,000 | 5.000% due 12/1/36 | 1,259,739 | |
625,000 | Washington State, Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/383 | 674,310 | |
Washington State, Housing Finance Commission, Rockwood Retirement Communitie, Revenue Bonds: | |||
500,000 | 5.000% due 1/1/553 | 516,014 | |
500,000 | 5.000% due 1/1/563 | 515,688 | |
5,003,467 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia State, Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 302,656 |
144 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — 3.7% | |||
$ 250,000 | Public Finance Authority, WI, Charter School Portfolio Project, Revenue Bonds, Series A-1, 5.000% due 1/1/553 | $ 278,451 | |
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/473 | 551,504 | |
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 9/1/493 | 257,533 | |
500,000 | 5.000% due 9/1/543 | 555,865 | |
Public Finance Authority, WI, Revenue Bond: | |||
250,000 | 5.000% due 12/1/453 | 279,551 | |
135,000 | 5.000% due 4/1/503 | 155,169 | |
Public Finance Authority, WI, Revenue Bonds: | |||
375,000 | 5.000% due 6/1/293 | 423,468 | |
130,000 | 5.000% due 6/1/34 | 154,886 | |
250,000 | 5.000% due 1/1/35 | 288,141 | |
750,000 | 5.000% due 1/1/46 | 847,776 | |
135,000 | 5.000% due 6/1/49 | 156,118 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 293,819 | |
1,000,000 | Public Finance Authority, WI, Revenue Bonds, Series A, 4.000% due 7/1/51 | 1,136,007 | |
325,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, 4.000% due 6/15/293 | 347,098 | |
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 | 377,957 | |
70,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, 5.000% due 11/15/243 | 73,631 | |
500,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds (AGMC Insured), 5.000% due 7/1/53 | 586,002 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,187,208 | |
Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding: | |||
955,000 | 5.000% due 6/1/41 | 1,019,426 | |
390,000 | 0.180% due 2/15/532 | 390,000 | |
795,000 | Wisconsin State, Housing and Economic Development Authority, Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 876,637 | |
10,236,247 | |||
Other Territory — 0.3% | |||
724,548 | Federal Home Loan Mortgage Corporation Multifamily ML-05 Certificates, Revenue Bonds, Class AUS, 3.400% due 1/25/36 | 828,572 | |
TOTAL MUNICIPAL BONDS (Cost $254,070,506) | 269,868,185 | ||
TOTAL INVESTMENTS (Cost $254,070,506) | 98.0% | $269,868,185 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 2.0 | 5,517,564 | |
NET ASSETS | 100.0% | $275,385,749 |
145 |
* | 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 April 30, 2021. |
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 April 30, 2021, these securities, which are not illiquid, amounted to $39,699,415 or 14.4% of net assets for the Fund. |
4 | Floating Rate Bond. Rate shown is as of April 30, 2021. |
5 | This security is in default. See Note 1. |
Abbreviations: |
AGC — Assurance Guaranty Corporation |
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 |
146 |
% of Net Assets | Value | ||
STATE: | |||
Illinois | 14.4% | $ 39,725,806 | |
Colorado | 9.3 | 25,570,844 | |
Puerto Rico | 6.1 | 16,684,151 | |
New York | 6.0 | 16,547,246 | |
New Jersey | 5.9 | 16,189,850 | |
Pennsylvania | 4.6 | 12,788,881 | |
Florida | 4.4 | 11,991,949 | |
California | 3.9 | 10,788,550 | |
Wisconsin | 3.7 | 10,236,247 | |
Texas | 3.6 | 9,833,691 | |
Arizona | 3.1 | 8,400,307 | |
Virginia | 2.7 | 7,461,544 | |
Michigan | 2.5 | 6,940,696 | |
Ohio | 2.5 | 6,755,611 | |
Louisiana | 2.0 | 5,503,785 | |
South Carolina | 1.9 | 5,096,427 | |
Washington | 1.8 | 5,003,467 | |
Indiana | 1.8 | 4,875,283 | |
North Carolina | 1.8 | 4,846,409 | |
Maryland | 1.6 | 4,432,193 | |
Mississippi | 1.4 | 3,920,000 | |
Missouri | 1.3 | 3,693,805 | |
Rhode Island | 1.2 | 3,212,571 | |
Kentucky | 1.0 | 2,782,393 | |
Alabama | 1.0 | 2,753,222 | |
Georgia | 1.0 | 2,725,463 | |
Connecticut | 0.8 | 2,297,053 | |
District of Columbia | 0.8 | 2,289,102 | |
Iowa | 0.8 | 2,255,006 | |
Utah | 0.8 | 2,239,165 | |
Idaho | 0.7 | 1,967,231 | |
Nevada | 0.6 | 1,657,633 | |
New Mexico | 0.5 | 1,486,156 | |
Alaska | 0.4 | 1,179,086 | |
New Hampshire | 0.4 | 1,159,217 | |
Other Territory | 0.3 | 828,572 | |
Oregon | 0.3 | 734,381 | |
Guam | 0.3 | 721,469 | |
North Dakota | 0.2 | 575,009 | |
Minnesota | 0.2 | 560,678 | |
Oklahoma | 0.1 | 393,280 | |
West Virginia | 0.1 | 302,656 | |
Nebraska | 0.1 | 247,823 | |
Kansas | 0.1 | 214,277 | |
TOTAL MUNICIPAL BONDS | 98.0% | $269,868,185 | |
TOTAL INVESTMENTS | 98.0% | $269,868,185 |
147 |
148 |
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 | $ 8,625 | $ — | $— | $ 8,625 | ||||
Auto Components | 31,659 | — | — | 31,659 | ||||
Banks | 173,063 | — | — | 173,063 | ||||
Beverages | 12,371 | — | — | 12,371 | ||||
Biotechnology | 167,701 | — | — | 167,701 | ||||
Building Products | 43,311 | — | — | 43,311 | ||||
Capital Markets | 21,710 | — | — | 21,710 | ||||
Chemicals | 11,565 | — | — | 11,565 | ||||
Commercial Services & Supplies | 32,389 | — | — | 32,389 | ||||
Communications Equipment | 16,879 | — | — | 16,879 | ||||
Construction & Engineering | 13,558 | — | — | 13,558 | ||||
Consumer Finance | 32,117 | — | — | 32,117 | ||||
Containers & Packaging | 13,241 | — | — | 13,241 | ||||
Diversified Consumer Services | 27,377 | — | — | 27,377 | ||||
Diversified Telecommunication Services | 4,860 | — | — | 4,860 | ||||
Electronic Equipment, Instruments & Components | 28,959 | — | — | 28,959 | ||||
Equity Real Estate Investment Trusts | 77,714 | — | — | 77,714 | ||||
Food & Staples Retailing | 17,457 | — | — | 17,457 | ||||
Gas Utilities | 32,230 | — | — | 32,230 |
149 |
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 Equipment & Supplies | $ 40,092 | $ — | $— | $ 40,092 | ||||
Health Care Providers & Services | 48,609 | — | — | 48,609 | ||||
Health Care Technology | 11,359 | — | — | 11,359 | ||||
Hotels, Restaurants & Leisure | 6,877 | — | — | 6,877 | ||||
Household Durables | 28,388 | — | — | 28,388 | ||||
Household Products | 15,780 | — | — | 15,780 | ||||
Insurance | 12,258 | — | — | 12,258 | ||||
Interactive Media & Service | 7,419 | — | — | 7,419 | ||||
IT Services | 47,115 | — | — | 47,115 | ||||
Leisure Equipment & Products | 14,772 | — | — | 14,772 | ||||
Life Sciences Tools & Services | 11,631 | — | — | 11,631 | ||||
Machinery | 20,608 | — | — | 20,608 | ||||
Media | 40,189 | — | — | 40,189 | ||||
Metals & Mining | 35,319 | — | — | 35,319 | ||||
Mortgage Real Estate Investment Trust | 12,540 | — | — | 12,540 | ||||
Multi-line Retail | 10,755 | — | — | 10,755 | ||||
Multi-Utilities | 11,413 | — | — | 11,413 | ||||
Oil, Gas & Consumable Fuels | 35,684 | — | — | 35,684 | ||||
Paper & Forest Products | 11,708 | — | — | 11,708 | ||||
Personal Products | 5,730 | — | — | 5,730 | ||||
Pharmaceuticals | 12,028 | — | 0* | 12,028 | ||||
Professional Services | 35,399 | — | — | 35,399 | ||||
Real Estate Management & Development | 12,995 | — | — | 12,995 | ||||
Semiconductors & Semiconductor Equipment | 51,456 | — | — | 51,456 | ||||
Software | 32,268 | — | — | 32,268 | ||||
Specialty Retail | 54,156 | — | — | 54,156 | ||||
Textiles, Apparel & Luxury Goods | 6,460 | — | — | 6,460 | ||||
Thrifts & Mortgage Finance | 13,576 | — | — | 13,576 | ||||
Trading Companies & Distributors | 67,539 | — | — | 67,539 | ||||
Total Common Stocks | 1,480,909 | — | — | 1,480,909 | ||||
Repurchase Agreement | — | 16,371 | — | 16,371 | ||||
Total Investments | 1,480,909 | 16,371 | 0 | 1,497,280 | ||||
Total | $1,480,909 | $16,371 | $ 0 | $1,497,280 |
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 | $ 2,377,536 | $645,113 | $— | $ 3,022,649 | ||||
Austria | 250,811 | — | — | 250,811 | ||||
Canada | 4,693,626 | — | — | 4,693,626 | ||||
Denmark | 986,275 | — | — | 986,275 | ||||
France | 4,099,927 | — | — | 4,099,927 | ||||
Germany | 3,307,575 | — | — | 3,307,575 | ||||
Hong Kong | 1,775,297 | — | — | 1,775,297 |
150 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Ireland | $ 688,589 | $ — | $— | $ 688,589 | ||||
Israel | 294,103 | — | — | 294,103 | ||||
Italy | 830,408 | — | — | 830,408 | ||||
Japan | 10,822,707 | — | — | 10,822,707 | ||||
Netherlands | 1,663,767 | — | — | 1,663,767 | ||||
New Zealand | 313,289 | — | — | 313,289 | ||||
Norway | 318,557 | — | — | 318,557 | ||||
Singapore | 868,155 | — | — | 868,155 | ||||
Spain | 1,999,882 | — | — | 1,999,882 | ||||
Sweden | 2,068,683 | — | — | 2,068,683 | ||||
Switzerland | 5,347,796 | — | — | 5,347,796 | ||||
United Kingdom | 5,527,719 | — | — | 5,527,719 | ||||
Total Common Stocks | 48,234,702 | 645,113 | — | 48,879,815 | ||||
Repurchase Agreement | — | 180,799 | — | 180,799 | ||||
Investment of Security Lending Collateral | 5,831,795 | — | — | 5,831,795 | ||||
Total Investments | 54,066,497 | 825,912 | — | 54,892,409 | ||||
Total | $54,066,497 | $825,912 | $— | $54,892,409 |
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 | $ 20,729,430 | $ — | $— | $ 20,729,430 | ||||
U.S. Treasury Bills | — | 109,993,989 | — | 109,993,989 | ||||
Repurchase Agreement | — | 6,440,098 | — | 6,440,098 | ||||
Purchased Options | ||||||||
Calls | 797,665,450 | — | — | 797,665,450 | ||||
Puts | 94,125 | — | — | 94,125 | ||||
Total Purchased Options | 797,759,575 | — | — | 797,759,575 | ||||
Total Investments | 818,489,005 | 116,434,087 | — | 934,923,092 | ||||
Total | $818,489,005 | $116,434,087 | $— | $934,923,092 |
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 | $(546,903,900) | $— | $— | $(546,903,900) | ||||
Puts | (3,418,400) | — | — | (3,418,400) | ||||
Total Written Options | (550,322,300) | — | — | (550,322,300) | ||||
Total | $(550,322,300) | $— | $— | $(550,322,300) |
151 |
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 | $ 188,930 | $ — | $— | $ 188,930 | ||||
U.S. Treasury Bills | — | 3,199,810 | — | 3,199,810 | ||||
Repurchase Agreement | — | 1,106,160 | — | 1,106,160 | ||||
Purchased Options | ||||||||
Calls | 28,601,550 | — | — | 28,601,550 | ||||
Puts | 3,375 | — | — | 3,375 | ||||
Total Purchased Options | 28,604,925 | — | — | 28,604,925 | ||||
Total Investments | 28,793,855 | 4,305,970 | — | 33,099,825 | ||||
Total | $28,793,855 | $4,305,970 | $— | $33,099,825 |
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 | $(19,610,100) | $— | $— | $(19,610,100) | ||||
Puts | (178,680) | — | — | (178,680) | ||||
Total Written Options | (19,788,780) | — | — | (19,788,780) | ||||
Total | $(19,788,780) | $— | $— | $(19,788,780) |
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 | $ — | $ 33,912,091 | $— | $ 33,912,091 | ||||
Federal National Mortgage Association | — | 29,453,192 | — | 29,453,192 | ||||
Total Agency Notes | — | 63,365,283 | — | 63,365,283 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 43,271,930 | — | 43,271,930 | ||||
Federal National Mortgage Association | — | 91,721,082 | — | 91,721,082 | ||||
Government National Mortgage Association | — | 784,499 | — | 784,499 | ||||
Total Mortgage-Backed Securities | — | 135,777,511 | — | 135,777,511 | ||||
Corporate Notes | ||||||||
Banking | — | 32,600,554 | — | 32,600,554 | ||||
Beverages, Food & Tobacco | — | 12,893,069 | — | 12,893,069 | ||||
Communications | — | 17,750,755 | — | 17,750,755 | ||||
Computer Software & Processing | — | 28,995,026 | — | 28,995,026 |
152 |
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 | $ — | $ 8,964,467 | $— | $ 8,964,467 | ||||
Insurance | — | 5,486,487 | — | 5,486,487 | ||||
Pharmaceuticals | — | 9,780,256 | — | 9,780,256 | ||||
Total Corporate Notes | — | 116,470,614 | — | 116,470,614 | ||||
U.S. Treasury Notes/Bonds | — | 95,354,961 | — | 95,354,961 | ||||
Repurchase Agreement | — | 11,556,946 | — | 11,556,946 | ||||
Investment of Security Lending Collateral | 6,900,750 | — | — | 6,900,750 | ||||
Total Investments | 6,900,750 | 422,525,315 | — | 429,426,065 | ||||
Total | $6,900,750 | $422,525,315 | $— | $429,426,065 |
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 | $ — | $ 504,308 | $— | $ 504,308 | ||||
Municipal Bonds | ||||||||
Alabama | — | 454,604 | — | 454,604 | ||||
Arizona | — | 985,444 | — | 985,444 | ||||
California | — | 1,610,983 | — | 1,610,983 | ||||
Colorado | — | 1,050,895 | — | 1,050,895 | ||||
Connecticut | — | 2,562,511 | — | 2,562,511 | ||||
District of Columbia | — | 1,153,367 | — | 1,153,367 | ||||
Florida | — | 2,501,211 | — | 2,501,211 | ||||
Georgia | — | 206,150 | — | 206,150 | ||||
Illinois | — | 3,086,188 | — | 3,086,188 | ||||
Kansas | — | 418,446 | — | 418,446 | ||||
Kentucky | — | 1,101,630 | — | 1,101,630 | ||||
Louisiana | — | 1,232,288 | — | 1,232,288 | ||||
Maryland | — | 825,383 | — | 825,383 | ||||
Michigan | — | 3,535,954 | — | 3,535,954 | ||||
Minnesota | — | 829,568 | — | 829,568 | ||||
Nebraska | — | 100,164 | — | 100,164 | ||||
Nevada | — | 513,635 | — | 513,635 | ||||
New Jersey | — | 2,628,636 | — | 2,628,636 | ||||
New York | — | 3,907,333 | — | 3,907,333 | ||||
North Carolina | — | 101,920 | — | 101,920 | ||||
Ohio | — | 2,007,516 | — | 2,007,516 | ||||
Pennsylvania | — | 8,864,844 | — | 8,864,844 | ||||
Rhode Island | — | 418,946 | — | 418,946 | ||||
South Carolina | — | 351,197 | — | 351,197 | ||||
South Dakota | — | 229,988 | — | 229,988 | ||||
Tennessee | — | 647,674 | — | 647,674 | ||||
Texas | — | 5,401,772 | — | 5,401,772 | ||||
Virginia | — | 1,033,954 | — | 1,033,954 | ||||
Washington | — | 2,232,725 | — | 2,232,725 | ||||
Wisconsin | — | 1,167,020 | — | 1,167,020 |
153 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Wyoming | $ — | $ 409,782 | $— | $ 409,782 | ||||
Total Municipal Bonds | — | 51,571,728 | — | 51,571,728 | ||||
Repurchase Agreement | — | 487,018 | — | 487,018 | ||||
Registered Investment Companies | 419,956 | — | — | 419,956 | ||||
Total Investments | 419,956 | 52,563,054 | — | 52,983,010 | ||||
Total | $419,956 | $52,563,054 | $— | $52,983,010 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,905,668 | $(1,905,668) | $— | $— | $— |
154 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $3,653,866 | $(3,653,866) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $8,897 | $(8,897) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $16,371 | $(16,371) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $180,799 | $(180,799) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $23,800 | $(23,800) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $650,174 | $(650,174) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $240,134 | $(240,134) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,489,819 | $(1,489,819) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $22,361,515 | $(22,361,515) | $— | $— | $— |
155 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $145,505 | $(145,505) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $6,440,098 | $(6,440,098) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,106,160 | $(1,106,160) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $11,556,946 | $(11,556,946) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $487,018 | $(487,018) | $— | $— | $— |
156 |
157 |
158 |
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 | — | ||
Small Cap Equity Portfolio | 147,980,146 | 62,335,609 | ||
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 |
159 |
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 | |||||||
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) | |||||||
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 |
160 |
Portfolio | Undistributed Tax-exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Other Temporary Differences | Loss Carryforwards | Total Distributable Earnings | |||||||
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 | ||||
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 | — | — |
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) |
161 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $ 895,510,956 | $502,568,546 | $ 508,197 | $502,060,349 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,303,960,793 | 831,515,459 | 1,118,648 | 830,396,811 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,641,302 | 587,628 | 3,306 | 584,322 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 1,076,703 | 429,687 | 9,109 | 420,578 | ||||
Quantitative International Equity Portfolio | 46,339,668 | 9,192,947 | 640,206 | 8,552,741 | ||||
Responsible ESG U.S. Equity Portfolio | 20,515,829 | 9,742,353 | 8,988 | 9,733,365 | ||||
Women in Leadership U.S. Equity Portfolio | 21,479,035 | 8,240,643 | 2,487 | 8,238,156 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 3,875,922 | 26,068,978 | 6,943,653 | 19,125,325 | ||||
Quantitative U.S. Total Market Equity Portfolio | 18,209,223 | 17,893,521 | 970,369 | 16,923,152 | ||||
Strategic Equity Portfolio | 120,206,112 | 142,707,731 | — | 142,707,731 | ||||
Small Cap Equity Portfolio | 989,225,617 | 461,710,356 | 5,352,590 | 456,357,766 | ||||
Equity Income Portfolio | 15,359,707 | 6,265,346 | — | 6,265,346 | ||||
Secured Options Portfolio | 370,292,381 | 14,308,411 | — | 14,308,411 | ||||
Global Secured Options Portfolio | 13,297,647 | 14,273 | 875 | 13,398 | ||||
Core Fixed Income Portfolio | 416,945,311 | 18,168,499 | 5,687,745 | 12,480,754 | ||||
Short Term Tax Aware Fixed Income Portfolio | 52,281,732 | 725,390 | 24,112 | 701,278 | ||||
High Yield Municipal Portfolio | 254,223,787 | 16,401,528 | 757,130 | 15,644,398 |
Equity Contracts Risk | Total | ||
Options Purchased1 | $797,759,575 | $797,759,575 | |
Total Value | $797,759,575 | $797,759,575 |
Equity Contracts Risk | Total | ||
Options Written2 | $(550,322,300) | $(550,322,300) | |
Total Value | $(550,322,300) | $(550,322,300) |
162 |
Equity Contracts Risk | Total | ||
Options Purchased3 | $ 182,888,839 | $ 182,888,839 | |
Options Written4 | (132,952,751) | (132,952,751) | |
Total Realized Gain (Loss) | $ 49,936,088 | $ 49,936,088 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $ 89,519,341 | $ 89,519,341 | |
Options Written6 | (70,384,437) | (70,384,437) | |
Total Change in Appreciation (Depreciation) | $ 19,134,904 | $ 19,134,904 |
Equity Contracts Risk | Total | ||
Options Purchased7 | 5,233 | 5,233 | |
Options Written7 | (6,203) | (6,203) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $28,604,925 | $28,604,925 | |
Total Value | $28,604,925 | $28,604,925 |
Equity Contracts Risk | Total | ||
Options Written2 | $(19,788,780) | $(19,788,780) | |
Total Value | $(19,788,780) | $(19,788,780) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $ 2,831,902 | $ 2,831,902 | |
Options Written4 | (1,706,885) | (1,706,885) | |
Total Realized Gain (Loss) | $ 1,125,017 | $ 1,125,017 |
163 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $ 2,724,768 | $ 2,724,768 | |
Options Written6 | (2,393,407) | (2,393,407) | |
Total Change in Appreciation (Depreciation) | $ 331,361 | $ 331,361 |
Equity Contracts Risk | Total | ||
Options Purchased7 | 133 | 133 | |
Options Written7 | (622) | (622) |
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 April 30, 2021. |
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% | |
Equity Income Portfolio | 0.55%* | |
Secured Options Portfolio | 0.55% |
164 |
Fund Name | Management Fee on Net Assets | |
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%** |
Shareholder Servicing Fee on Net Assets | |
Quantitative U.S. Large Cap Core Equity Portfolio (Advisor Class) | 0.20% |
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 0.20% |
Quantitative U.S. Large Cap Value Equity Portfolio | 0.20% |
Quantitative U.S. Small Cap Equity Portfolio | 0.20% |
Quantitative International Equity Portfolio | 0.25% |
Responsible ESG U.S. Equity Portfolio | 0.20% |
Women in Leadership U.S. Equity Portfolio | 0.20% |
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 0.20% |
Quantitative U.S. Total Market Equity Portfolio | 0.20% |
Strategic Equity Portfolio | 0.20% |
Small Cap Equity Portfolio (Advisor Class) | 0.25% |
Small Cap Equity Portfolio (Institutional Class) | 0.05% |
165 |
Shareholder Servicing Fee on Net Assets | |
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% |
Portfolio | Purchases | Sales | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $356,757,827 | $ 587,304,922 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | 508,115,655 | 1,137,830,797 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 768,946 | 750,121 | ||
Quantitative U.S. Small Cap Equity Portfolio | 584,085 | 588,386 | ||
Quantitative International Equity Portfolio | 21,325,672 | 38,070,568 | ||
Responsible ESG U.S. Equity Portfolio | 10,405,354 | 10,571,706 | ||
Women in Leadership U.S. Equity Portfolio | 10,570,886 | 10,964,141 | ||
Quantitative U.S. Long/Short Equity Portfolio | 87,737,401 | 102,861,189 | ||
Quantitative U.S. Total Market Equity Portfolio | 20,465,031 | 26,673,057 | ||
Strategic Equity Portfolio | 23,117,580 | 46,978,932 | ||
Small Cap Equity Portfolio | 445,573,280 | 852,228,113 | ||
Equity Income Portfolio | 4,379,949 | 5,864,752 | ||
Secured Options Portfolio | — | — | ||
Global Secured Options Portfolio | — | — | ||
Core Fixed Income Portfolio | 21,004,960 | — | ||
Short Term Tax Aware Fixed Income Portfolio | 10,207,163 | 7,384,674 | ||
High Yield Municipal Portfolio | 46,674,429 | 25,061,661 |
Portfolio | Purchases | Sales | ||
Core Fixed Income Portfolio | $21,222,474 | $34,775,965 |
166 |
Period Ended 04/30/21 | Year Ended 10/31/20 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Advisor | |||||||
Sold | 1,035,917 | $ 30,077,816 | 2,937,363 | $ 71,382,611 | |||
Issued as reinvestment of dividends | 3,209,368 | 85,337,293 | 2,803,174 | 74,973,328 | |||
Redeemed | (6,821,247) | (192,957,029) | (25,345,432) | (615,432,867) | |||
Net Decrease | (2,575,962) | $ (77,541,920) | (19,604,895) | $(469,076,928) | |||
Quantitative U.S. Large Cap Core Equity Portfolio — Institutional | |||||||
Sold | 364,872 | $ 10,269,613 | 1,571,404 | $ 40,527,775 | |||
Issued as reinvestment of dividends | 403,399 | 10,743,935 | 1,112,383 | 29,864,050 | |||
Redeemed | (2,739,684) | (76,867,975) | (20,804,189) | (458,443,013) | |||
Net Decrease | (1,971,413) | $ (55,854,427) | (18,120,402) | $(388,051,188) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Advisor | |||||||
Sold | 1,549,178 | $ 51,584,129 | 5,449,450 | $ 163,682,444 | |||
Issued as reinvestment of dividends | 6,961,233 | 218,480,698 | 8,853,403 | 270,669,218 | |||
Redeemed | (12,847,967) | (427,816,056) | (30,120,042) | (898,362,063) | |||
Net Decrease | (4,337,556) | $(157,751,229) | (15,817,189) | $(464,010,401) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Institutional | |||||||
Sold | 4,057,156 | $ 130,177,510 | 7,148,924 | $ 217,338,099 | |||
Issued as reinvestment of dividends | 2,248,196 | 70,561,773 | 4,964,570 | 151,609,541 | |||
Redeemed | (11,115,402) | (373,239,948) | (32,941,800) | (975,838,608) | |||
Net Decrease | (4,810,050) | $(172,500,665) | (20,828,306) | $(606,890,968) | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Sold | 4,040 | $ 45,000 | 5,004 | $ 52,000 | |||
Issued as reinvestment of dividends | 814 | 9,243 | 2,441 | 21,484 | |||
Redeemed | (3,186) | (38,096) | (29,802) | (277,736) | |||
Net Increase (Decrease) | 1,668 | $ 16,147 | (22,357) | $ (204,252) | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Issued as reinvestment of dividends | 222 | $ 2,760 | 786 | $ 7,605 | |||
Net Increase | 222 | $ 2,760 | 786 | $ 7,605 | |||
Quantitative International Equity Portfolio | |||||||
Sold | 24,620 | $ 335,455 | 62,957 | $ 798,506 | |||
Issued as reinvestment of dividends | 7,349 | 111,343 | 25,222 | 327,675 | |||
Redeemed | (1,186,741) | (17,146,076) | (10,385,416) | (128,510,960) | |||
Net Decrease | (1,154,772) | $ (16,699,278) | (10,297,237) | $(127,384,779) | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Sold | 117,251 | $ 2,077,860 | 239,876 | $ 3,278,585 | |||
Issued as reinvestment of dividends | 3,492 | 61,773 | 16,877 | 241,623 | |||
Redeemed | (128,092) | (2,325,818) | (310,331) | (4,327,625) | |||
Net Decrease | (7,349) | $ (186,185) | (53,578) | $ (807,417) | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Sold | 107,618 | $ 1,774,191 | 444,566 | $ 5,637,718 | |||
Issued as reinvestment of dividends | 3,767 | 64,343 | 10,162 | 130,588 | |||
Redeemed | (132,720) | (2,193,978) | (356,959) | (4,627,117) | |||
Net Increase (Decrease) | (21,335) | $ (355,444) | 97,769 | $ 1,141,189 |
167 |
Period Ended 04/30/21 | Year Ended 10/31/20 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Long/Short Equity Portfolio — Advisor | |||||||
Sold | 148,229 | $ 1,760,937 | 750,382 | $ 8,863,412 | |||
Issued as reinvestment of dividends | — | — | 1,645 | 20,118 | |||
Redeemed | (3,092,702) | (36,724,978) | (12,785,690) | (139,987,603) | |||
Net Decrease | (2,944,473) | $ (34,964,041) | (12,033,663) | $(131,104,073) | |||
Quantitative U.S. Long/Short Equity Portfolio — Institutional | |||||||
Sold | 1,664 | $ 20,547 | 30,611 | $ 340,725 | |||
Redeemed | (3,908) | (45,412) | (3,782) | (41,850) | |||
Net Increase (Decrease) | (2,244) | $ (24,865) | 26,829 | $ 298,875 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Sold | 70,760 | $ 1,347,470 | 93,429 | $ 1,427,350 | |||
Issued as reinvestment of dividends | 196,553 | 3,290,780 | 184,352 | 3,278,150 | |||
Redeemed | (402,073) | (7,364,492) | (2,222,180) | (33,498,188) | |||
Net Decrease | (134,760) | $ (2,726,242) | (1,944,399) | $ (28,792,688) | |||
Strategic Equity Portfolio | |||||||
Sold | 164,500 | $ 4,922,781 | 983,611 | $ 25,229,443 | |||
Issued as reinvestment of dividends | 426,304 | 12,232,073 | 183,160 | 5,060,706 | |||
Redeemed | (922,996) | (27,934,369) | (2,746,390) | (67,163,578) | |||
Net Decrease | (332,192) | $ (10,779,515) | (1,579,619) | $ (36,873,429) | |||
Small Cap Equity Portfolio — Advisor | |||||||
Sold | 785,220 | $ 24,447,674 | 2,865,149 | $ 61,415,528 | |||
Issued as reinvestment of dividends | 9,057 | 262,669 | 29,370 | 650,585 | |||
Redeemed | (2,864,732) | (89,073,916) | (17,726,725) | (370,465,102) | |||
Net Decrease | (2,070,455) | $ (64,363,573) | (14,832,206) | $(308,398,989) | |||
Small Cap Equity Portfolio — Institutional | |||||||
Sold | 5,942,030 | $ 200,559,006 | 19,808,990 | $ 414,797,518 | |||
Issued as reinvestment of dividends | 12,905 | 396,308 | 66,868 | 1,528,106 | |||
Redeemed | (16,237,866) | (537,623,638) | (36,951,403) | (830,976,972) | |||
Net Decrease | (10,282,931) | $(336,668,324) | (17,075,545) | $(414,651,348) | |||
Equity Income Portfolio | |||||||
Sold | 9,445 | $ 138,380 | 573,383 | $ 6,849,468 | |||
Issued as reinvestment of dividends | 834 | 11,627 | 2,550 | 28,960 | |||
Redeemed | (134,404) | (1,821,727) | (969,738) | (11,315,443) | |||
Net Decrease | (124,125) | $ (1,671,720) | (393,805) | $ (4,437,015) | |||
Secured Options Portfolio — Advisor | |||||||
Sold | 548,250 | $ 7,237,619 | 1,628,661 | $ 19,275,364 | |||
Issued as reinvestment of dividends | — | — | 1,509,519 | 18,536,927 | |||
Redeemed | (2,129,349) | (27,665,852) | (15,576,933) | (170,266,139) | |||
Net Decrease | (1,581,099) | $ (20,428,233) | (12,438,753) | $(132,453,848) | |||
Secured Options Portfolio — Institutional | |||||||
Sold | 1,655,451 | $ 22,013,063 | 9,628,347 | $ 109,212,855 | |||
Issued as reinvestment of dividends | — | — | 1,204,044 | 14,881,983 | |||
Redeemed | (9,018,264) | (116,093,784) | (12,015,486) | (132,800,151) | |||
Net Decrease | (7,362,813) | $ (94,080,721) | (1,183,095) | $ (8,705,313) | |||
Global Secured Options Portfolio1 | |||||||
Sold | 666,221 | $ 3,441,741 | 1,931,686 | $ 8,794,981 | |||
Issued as reinvestment of dividends | 12,133 | 60,299 | 395 | 1,977 | |||
Redeemed | (57,078) | (294,744) | (185,161) | (843,181) | |||
Net Increase | 621,276 | $ 3,207,296 | 1,746,920 | $ 7,953,777 |
168 |
Period Ended 04/30/21 | Year Ended 10/31/20 | ||||||
Shares | Amount | Shares | Amount | ||||
Core Fixed Income Portfolio | |||||||
Sold | 3,190,010 | $ 36,322,045 | 6,379,234 | $ 73,933,974 | |||
Issued as reinvestment of dividends | 626,750 | 7,205,820 | 165,629 | 1,905,937 | |||
Redeemed | (3,024,593) | (34,370,630) | (13,948,961) | (161,306,718) | |||
Net Increase (Decrease) | 792,167 | $ 9,157,235 | (7,404,098) | $ (85,466,807) | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Sold | 1,152,833 | $ 11,711,259 | 4,531,171 | $ 45,802,969 | |||
Issued as reinvestment of dividends | 3,436 | 34,892 | 7,353 | 74,252 | |||
Redeemed | (1,273,682) | (12,933,233) | (4,327,300) | (43,659,011) | |||
Net Increase (Decrease) | (117,413) | $ (1,187,082) | 211,224 | $ 2,218,210 | |||
High Yield Municipal Portfolio | |||||||
Sold | 4,057,048 | $ 44,495,652 | 4,360,207 | $ 46,092,528 | |||
Issued as reinvestment of dividends | 7,475 | 81,295 | 12,476 | 132,118 | |||
Redeemed | (1,063,051) | (11,623,333) | (2,392,062) | (25,142,682) | |||
Net Increase | 3,001,472 | $ 32,953,614 | 1,980,621 | $ 21,081,964 |
1 | The Board authorized a 1-for-10 reverse share split for the Global Secured Options Portfolio effective after the close of trading on March 16, 2020. The impact of the reverse share split was to decrease the number of shares outstanding by a factor of ten, while increasing the NAV of shares outstanding by a factor of ten, resulting in no effect to the net assets of the Portfolio. The financial statements for the Portfolio have been adjusted to reflect the reverse share split. |
5% or Greater Shareholders | ||||
Portfolio | # of Shareholders | % of Shares Held | ||
Quantitative U.S. Large Cap Core Equity Portfolio (Advisor Class) | 2 | 39 | ||
Quantitative U.S. Large Cap Core Equity Portfolio (Institutional Class) | 3 | 79 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 2 | 68 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) | 6 | 93 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 4 | 92 | ||
Quantitative U.S. Small Cap Equity Portfolio | 1 | 99 | ||
Responsible ESG U.S. Equity Portfolio | 4 | 29 | ||
Women in Leadership U.S. Equity Portfolio | 6 | 48 | ||
Quantitative International Equity Portfolio | 3 | 20 | ||
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 2 | 17 | ||
Quantitative U.S. Long/Short Equity Portfolio (Institutional Class) | 1 | 99 | ||
Quantitative U.S. Total Market Equity Portfolio | 2 | 48 | ||
Small Cap Equity Portfolio (Advisor Class) | 3 | 56 | ||
Small Cap Equity Portfolio (Institutional Class) | 4 | 92 | ||
Equity Income Portfolio | 3 | 22 | ||
Secured Options Portfolio (Advisor Class) | 4 | 61 | ||
Secured Options Portfolio (Institutional Class) | 4 | 94 | ||
Global Secured Options Portfolio | 2 | 100 | ||
Short Term Tax Aware Fixed Income Portfolio | 3 | 23 |
169 |
Portfolio | Market Value of Loaned Securities | Market Value of Cash Collateral | Market Value of Non-Cash Collateral | % of Total Assets on Loan | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | $ 12,522 | $ — | 12,815 | 0.56 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 24,998 | — | 25,677 | 1.67 | ||||
Quantitative International Equity Portfolio | 9,339,089 | 5,831,795 | 3,867,880 | 16.75 | ||||
Women in Leadership U.S. Equity Portfolio | 633,842 | 649,838 | — | 2.12 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 2,958,022 | — | 3,083,773 | 2.45 | ||||
Quantitative U.S. Total Market Equity Portfolio | 1,229,511 | — | 1,296,544 | 2.70 | ||||
Small Cap Equity Portfolio | 22,097,793 | 3,028,712 | 19,787,416 | 1.53 | ||||
Core Fixed Income Portfolio | 6,751,056 | 6,900,750 | — | 1.56 |
Amount Outstanding at April 30, 2021 | Average Borrowings* | Days Outstanding* | Average Rate | Maxium Borrowings* | |||||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $ 4,588,235 | 17 | 1.45 % | $25,000,000 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 12,819,444 | 36 | 1.45 % | 83,000,000 | ||||
Quantitative International Equity Portfolio | — | 1,000,000 | 12 | 1.45 % | 1,000,000 | ||||
Quantitative U.S. Long/Short Equity Portfolio | — | 1,666,667 | 15 | 1.45 % | 6,000,000 | ||||
Quantitative U.S. Total Market Equity Portfolio | — | 1,000,000 | 2 | 1.45 % | 1,000,000 | ||||
Small Cap Equity Portfolio | — | 12,000,000 | 4 | 1.45 % | 12,000,000 | ||||
Short Term Tax Aware Fixed Income Portfolio | — | 1,000,000 | 2 | 1.45 % | 1,000,000 | ||||
170 |
171 |
Muni Intermediate Portfolio | |
Assets: | |
Investments at value1 | $ 308,000,102 |
Cash | 20,696,460 |
Receivable for fund shares sold | 321,000 |
Interest receivable | 3,854,501 |
Prepaid expenses | 8,274 |
Total assets | 332,880,337 |
Liabilities: | |
Payable for when-issued securities purchased | 1,244,130 |
Payable for fund shares redeemed | 51,313 |
Payable for Trustees’ fees | 10,321 |
Payable for Shareholder Servicing fees | 40,726 |
Accrued expenses | 64,137 |
Total liabilities | 1,410,627 |
Net Assets | $331,469,710 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $ 29,342 |
Paid-in capital in excess of par value | 319,421,018 |
Total distributable earnings | 12,019,350 |
Total Net Assets | $331,469,710 |
Shares Outstanding | 29,341,619 |
Net Asset Value Per Share | $ 11.30 |
1 Investments at cost | $297,373,042 |
172 |
Muni Intermediate Portfolio | |
Investment income: | |
Interest | $2,933,948 |
Total investment income | 2,933,948 |
Expenses: | |
Administration, transfer agent and custody fees | 78,831 |
Professional fees | 30,083 |
Shareholder report expenses | 8,579 |
Shareholder servicing fees | 242,298 |
Trustees’ fees and expenses | 20,826 |
Registration and filing fees | 5,875 |
Other expenses | 13,852 |
Total expenses | 400,344 |
Net investment income | 2,533,604 |
Realized and unrealized gain (loss): | |
Net realized gain on: | |
Investment transactions | 965,646 |
Net change in unrealized loss of: | |
Investments | (628,429) |
Net realized and unrealized gain | 337,217 |
Net increase in net assets resulting from operations | $2,870,821 |
173 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $ 2,533,604 |
Net realized gain on: | |
Investment transactions | 965,646 |
Net change in unrealized loss of: | |
Investments | (628,429) |
Net increase in net assets resulting from operations | 2,870,821 |
Distributions from earnings | (6,019,905) |
Net increase in net assets from capital share transactions (See note 4) | 12,679,719 |
Net increase in net assets | 9,530,635 |
NET ASSETS: | |
Beginning of period | 321,939,075 |
End of period | $331,469,710 |
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 |
174 |
Muni Intermediate Portfolio | |||||||||||
For the Period Ended April 30, 20211,2 | For The Year Ended October 31, | ||||||||||
2020 2 | 2019 2 | 2018 | 2017 | 2016 | |||||||
Net asset value, beginning of period | $ 11.41 | $ 11.25 | $ 10.73 | $ 11.01 | $ 11.08 | $ 10.98 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.09 | 0.20 | 0.22 | 0.20 | 0.19 | 0.17 | |||||
Net realized and unrealized gain (loss) on investments | 0.01 | 0.21 | 0.52 | (0.28) | (0.04) | 0.10 | |||||
Total from investment operations | 0.10 | 0.41 | 0.74 | (0.08) | 0.15 | 0.27 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.21) | (0.22) | (0.20) | (0.18) | (0.17) | |||||
Net realized capital gains | (0.12) | (0.04) | — | — | (0.04) | — | |||||
Total distributions | (0.21) | (0.25) | (0.22) | (0.20) | (0.22) | (0.17) | |||||
Net asset value, end of period | $ 11.30 | $ 11.41 | $ 11.25 | $ 10.73 | $ 11.01 | $ 11.08 | |||||
Total return | 0.91% 3 | 3.64% | 6.90% | (0.73)% | 1.38% | 2.45% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $331,470 | $321,939 | $311,319 | $289,401 | $303,982 | $331,243 | |||||
Ratio of operating expenses to average net assets | 0.25% 4 | 0.25% | 0.24% | 0.23% | 0.23% | 0.25% | |||||
Ratio of net investment income to average net assets | 1.57% 4 | 1.80% | 1.94% | 1.86% | 1.70% | 1.53% | |||||
Portfolio turnover rate | 19% | 35% | 34% | 31% | 19% | 34% |
1 | Unaudited. |
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. |
175 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 92.9% | |||
Alabama — 1.4% | |||
$2,500,000 | Alabama State, Public School and College Authority, Revenue Bonds, Refunding , Series A, 5.000% due 11/1/31 | $ 3,381,695 | |
1,000,000 | Southeast Energy Authority A Cooperative District, Revenue Bonds, 4.000% due 11/1/511 | 1,187,303 | |
4,568,998 | |||
Alaska — 1.4% | |||
1,630,000 | Alaska State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/22 | 1,728,661 | |
2,745,000 | Anchorage, AK, Electric Utility, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/21 | 2,805,071 | |
4,533,732 | |||
Arizona — 0.7% | |||
2,015,000 | Yuma, AZ, Municipal Property Corp., Road & Excise Tax, Revenue Bonds, Refunding, 5.000% due 7/1/26 | 2,381,309 | |
California — 1.0% | |||
1,500,000 | California State, General Obligation Unlimited, 5.000% due 3/1/34 | 1,966,763 | |
1,000,000 | California State, General Obligation Unlimited, Refunding, 5.000% due 9/1/272 | 1,244,801 | |
3,211,564 | |||
Colorado — 1.2% | |||
1,865,000 | Colorado State, Housing and Finance Authority, Revenue Bonds, Series B, 3.750% due 5/1/50 | 2,064,392 | |
1,425,000 | E-470 Public Highway Authority, Revenue Bonds. Series A, 5.000% due 9/1/28 | 1,822,394 | |
3,886,786 | |||
Connecticut — 2.6% | |||
1,890,000 | Connecticut State, Housing Finance Authority, Housing Finance Mortgage Program, Revenue Bonds, Refunding, Series F-1, 3.500% due 11/15/43 | 2,072,267 | |
2,000,000 | State of Connecticut, General Obligation Unlimited, Series C, 4.000% due 6/1/28 | 2,417,193 | |
State of Connecticut, Special Tax Obligation Bonds, Revenue Bonds, Series A: | |||
2,000,000 | 5.000% due 5/1/31 | 2,638,713 | |
1,250,000 | 5.000% due 5/1/32 | 1,640,691 | |
8,768,864 | |||
Delaware — 1.2% | |||
1,000,000 | Delaware River and Bay Authority, DE, Consisting, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/27 | 1,115,550 | |
2,640,000 | Delaware State, General Obligation Unlimited, Refunding, Series B, 5.000% due 7/1/24 | 3,036,149 | |
4,151,699 | |||
District Of Columbia — 1.9% | |||
2,700,000 | District of Columbia, General Obligation Unlimited, Series D, 5.000% due 6/1/25 | 3,212,299 | |
Metropolitan Washington, DC, Airports Authority System, Revenue Bonds, Refunding, Series B: | |||
1,000,000 | 5.000% due 10/1/23 | 1,114,993 | |
1,570,000 | 5.000% due 10/1/28 | 2,037,231 | |
6,364,523 |
176 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — 8.4% | |||
$1,000,000 | Central Florida, Expressway Authority, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 7/1/30 | $ 1,337,883 | |
2,820,000 | Central Florida, Expressway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 3,439,115 | |
2,765,000 | Florida State, Department of Environmental Protection, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/22 | 2,921,803 | |
Florida State, Municipal Power Agency, Revenue Bonds, Refunding, Series A: | |||
2,500,000 | 5.000% due 10/1/27 | 3,152,761 | |
1,340,000 | 5.000% due 10/1/28 | 1,639,928 | |
1,130,000 | JEA Electric System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/27 | 1,260,828 | |
2,750,000 | Lakeland, FL, Energy System Revenue Bonds, Refunding, 5.000% due 10/1/25 | 3,293,186 | |
3,000,000 | Lee County, FL, School Board, Certificate of Participation, Series A, 5.000% due 8/1/28 | 3,829,973 | |
2,025,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 2,139,349 | |
1,000,000 | Orlando Utilities Commission, Revenue Bonds, Series B, 1.250% due 10/1/461 | 1,012,653 | |
2,000,000 | Pasco County, FL, School Board, Certificate Participation, Series C, (AGMC Insured), 5.000% due 8/1/33 | 2,596,717 | |
1,025,000 | School District of Broward County, FL, Certificate of Participation, Refunding, Series A, 5.000% due 7/1/27 | 1,246,545 | |
27,870,741 | |||
Georgia — 0.5% | |||
1,250,000 | City of Atlanta, GA Airport, Revenue Bond, Refunding, Series A, 5.000% due 7/1/28 | 1,612,980 | |
Illinois — 6.5% | |||
Chicago, IL, O’Hare International Airport Revenue Bonds, Refunding, Series B: | |||
2,545,000 | 5.000% due 1/1/30 | 2,941,525 | |
2,000,000 | 5.000% due 1/1/32 | 2,306,901 | |
County of Cook, IL, General Obligation Unlimited, Refunding, Series A: | |||
1,000,000 | 5.000% due 11/15/25 | 1,192,828 | |
1,360,000 | 5.000% due 11/15/26 | 1,668,387 | |
3,500,000 | Illinois State, Toll Highway Authority, Revenue Bonds, Refunding, 5.000% due 1/1/28 | 4,424,786 | |
4,000,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/25 | 4,667,907 | |
4,000,000 | Regional Transportation Authority, IL, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 4,379,544 | |
21,581,878 | |||
Indiana — 1.1% | |||
2,340,000 | Indiana Health and Educational Facilities Financing Authority, Revenue Bonds, Series B, 1.750% due 11/15/311 | 2,358,560 | |
1,025,000 | Indiana Municipal Power Agency, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,187,704 | |
3,546,264 | |||
Iowa — 0.3% | |||
1,135,000 | State of Iowa, Finance Authority, Variable Refunding Health facilities, Revenue Bonds, Series-B1, 0.040% due 2/15/391 | 1,135,000 | |
Kansas — 2.3% | |||
Kansas State, Department of Transportation Highway Revenue, Revenue Bonds, Series C: | |||
1,190,000 | 5.000% due 9/1/23 | 1,265,843 | |
2,750,000 | 5.000% due 9/1/24 | 2,924,888 |
177 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Kansas — (Continued) | |||
Wyandotte County-Kansas City Unified Government, General Obligation Unlimited, Series A, (AGMC Insured): | |||
$1,000,000 | 4.000% due 8/1/24 | $ 1,115,857 | |
2,120,000 | 4.000% due 8/1/25 | 2,430,142 | |
7,736,730 | |||
Kentucky — 3.0% | |||
2,315,000 | Jefferson County, KY, School District Finance Corp. School Building, Revenue Bonds, Series A, 4.000% due 6/1/29 | 2,777,670 | |
2,000,000 | Kentucky Infrastructure Authority, Revenue Bonds, Series A, 5.000% due 2/1/28 | 2,072,788 | |
Kentucky State, Property & Building Commission, Revenue Bonds, Refunding: | |||
2,000,000 | 4.000% due 8/1/21 | 2,005,771 | |
1,000,000 | 5.000% due 5/1/33 | 1,249,953 | |
1,500,000 | Kentucky State, Property & Building Commission, Revenue Bonds, Refunding, Series A, (AGMC Insured), 5.000% due 11/1/27 | 1,890,077 | |
9,996,259 | |||
Louisiana — 1.3% | |||
3,905,000 | State of Louisiana Gasoline and Fuels Tax Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 5/1/43 | 4,283,149 | |
Maine — 1.0% | |||
Maine State Municipal Bond Bank, Infrastructure Revenue, Refunding, Series A: | |||
1,175,000 | 5.000% due 9/1/21 | 1,193,703 | |
1,985,000 | 5.000% due 9/1/22 | 2,113,481 | |
3,307,184 | |||
Maryland — 2.6% | |||
4,000,000 | Maryland State, General Obligation Unlimited, 5.000% due 8/1/24 | 4,615,968 | |
2,000,000 | Maryland State, General Obligation Unlimited, Series A, 5.000% due 3/15/30 | 2,544,059 | |
1,240,000 | Montgomery County, MD, General Obligation, Consolidated Public Improvement, Refunding, 4.000% due 11/1/28 | 1,491,617 | |
8,651,644 | |||
Massachusetts — 0.9% | |||
2,850,000 | Massachusetts State, General Obligation Limited, Series C, 5.000% due 5/1/30 | 3,114,211 | |
Michigan — 4.9% | |||
1,045,000 | Brighton Area School District, General Obligation, Series A, (QSBLF Insured), 5.000% due 5/1/28 | 1,343,317 | |
1,015,000 | Byron Center, MI, Public Schools, General Obligation Unlimited, Refunding, (QSBLF Insured), 5.000% due 5/1/24 | 1,157,026 | |
4,000,000 | Detroit, MI, City School District, General Obligation Unlimited, Series A, (QSBLF Insured), 5.000% due 5/1/26 | 4,188,907 | |
3,100,000 | Michigan Finance Authority, Revenue Bonds, Refunding Detroit School District, Series A, (QSBLF Insured), 5.000% due 5/1/21 | 3,100,000 | |
2,275,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Refunding, 5.500% due 12/1/26 | 2,728,105 | |
1,000,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/441 | 1,044,742 | |
2,415,000 | Michigan State, Housing Development Authority, Revenue Bonds, Series B, 3.500% due 6/1/47 | 2,577,111 | |
16,139,208 |
178 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Minnesota — 2.7% | |||
$3,275,000 | Minnesota State, Housing Finance Agency, Revenue Bonds, Refunding, Series E, (GNMA / FNMA / FHLMC Insured), 4.000% due 1/1/47 | $ 3,495,206 | |
4,800,000 | St. Paul, MN, Housing & Redevelopment Authority Revenue Bonds, Refunding, HealthPartners Obligated Group, Series A, 5.000% due 7/1/28 | 5,599,299 | |
9,094,505 | |||
Missouri — 1.5% | |||
2,000,000 | City of Kansas, MO, Sanitary Sewer System Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 2,323,788 | |
2,395,000 | Missouri State, MO, Housing Development Commission Single Family Mortgage, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 11/1/50 | 2,647,486 | |
4,971,274 | |||
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 | 1,212,366 | |
New Jersey — 0.5% | |||
1,375,000 | New Jersey, NJ, Turnpike Authority, Revenue Bonds, Series A, 5.000% due 1/1/27 | 1,696,766 | |
New Mexico — 0.7% | |||
1,125,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 1/1/51 | 1,240,818 | |
1,050,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series F, (GNMA / FNMA / FHLMC Insured), 3.500% due 7/1/50 | 1,149,964 | |
2,390,782 | |||
New York — 6.5% | |||
1,000,000 | City of New York, NY, General Obligation Unlimited, Class C, 5.000% due 8/1/23 | 1,106,663 | |
1,250,000 | City of New York, NY, General Obligation Unlimited, Fiscal 2008 Series J, 5.000% due 8/1/28 | 1,601,848 | |
1,865,000 | City of New York, NY, General Obligation Unlimited, REMK Series L, 5.000% due 4/1/33 | 2,477,927 | |
1,000,000 | Metropolitan Transportation Aurthority, NY, Revenue Bonds, Refunding, (AGMC Insured), 0.001% due 11/1/321 | 999,922 | |
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 | 2,689,663 | |
1,650,000 | New York City, NY, Transitional Finance Authority Revenue, Future Tax Secured, Series C, 5.000% due 11/1/26 | 2,044,128 | |
2,275,000 | New York City, NY, Transitional Finance Authority, Future Tax Secured, Revenue Bonds, Subseries E-1, 5.000% due 2/1/30 | 2,727,520 | |
New York State Thruway Authority, Highway Revenue Tolls, Revenue Bonds, Series K: | |||
1,000,000 | 5.000% due 1/1/31 | 1,157,773 | |
1,200,000 | 5.000% due 1/1/32 | 1,388,383 | |
2,440,000 | New York State, NY, Dormitory Authority, Personal Income Tax, Revenue Bonds, Series E, 4.000% due 3/15/28 | 2,798,104 | |
Triborough Bridge and Tunnel Authority, Revenue Bonds, Series C: | |||
1,070,000 | 4.000% due 11/15/27 | 1,292,259 | |
1,000,000 | 5.000% due 11/15/29 | 1,235,874 | |
21,520,064 |
179 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
North Carolina — 2.7% | |||
$1,220,000 | Duplin County, NC, Limited Obligation, Revenue Bonds, 5.000% due 4/1/23 | $ 1,326,577 | |
New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding: | |||
775,000 | 5.000% due 10/1/21 | 789,883 | |
2,320,000 | 5.000% due 10/1/22 | 2,472,779 | |
600,000 | 5.000% due 10/1/23 | 667,157 | |
2,940,000 | North Carolina State, General Obligation Unlimited, Refunding, Series A, 5.000% due 6/1/27 | 3,592,532 | |
8,848,928 | |||
Ohio — 5.5% | |||
3,250,000 | Ohio State, General Obligation Unlimited, Series A, 5.000% due 6/15/28 | 3,533,588 | |
1,010,000 | Ohio State, Hospital Refunding Revenue Bonds, Cleveland Clinic Health System, Series A, 5.000% due 1/1/27 | 1,256,486 | |
1,670,000 | Ohio State, Hospital Revenue Bonds, Series A, 5.000% due 1/15/24 | 1,802,013 | |
2,440,000 | Ohio State, Housing Finance Agency Residential Mortgage, Revenue Bonds, (GNMA / FNMA / FHLMC Insured), 4.000% due 3/1/48 | 2,655,723 | |
1,000,000 | Ohio State, Mental Health Facilities , Revenue Bonds, 5.000% due 6/1/26 | 1,221,118 | |
1,000,000 | Ohio State, Revenue Bonds, Refunding, Series B, 5.000% due 10/1/21 | 1,019,873 | |
1,360,000 | Ohio State, Special Obligation, Revenue Bonds, 5.000% due 10/1/21 | 1,387,027 | |
4,245,000 | Ohio State, Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 5.000% due 6/1/30 | 5,287,593 | |
18,163,421 | |||
Oklahoma — 0.7% | |||
2,000,000 | Grand River, OK, Dam Authority, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/24 | 2,284,281 | |
Pennsylvania — 5.2% | |||
1,950,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/28 | 2,486,671 | |
1,000,000 | City of Philadelphia, PA, Pennsylvania, General Obligation, Series A, 5.000% due 8/1/26 | 1,223,005 | |
1,000,000 | City of Philadelphia, PA, Pennsylvania, General Obligation, Series B, 5.000% due 2/1/28 | 1,265,892 | |
1,500,000 | Commonwealth of Pennsylvania, General Obligation Unlimited, Series 2, 5.000% due 9/15/25 | 1,795,814 | |
2,500,000 | Cumberland County, PA, Municipal Authority, Revenue Bonds, 5.000% due 11/1/31 | 3,257,629 | |
2,185,000 | Pennsylvania State Public School Building Authority, Revenue Bonds, 5.000% due 5/1/23 | 2,387,395 | |
2,500,000 | Pennsylvania State Turnpike Commission, Revenue Bonds, Refunding, 5.000% due 12/1/22 | 2,692,736 | |
1,850,000 | Pennsylvania State, Housing Finance Agency Single Family Mortgage Revenue, Revenue Bonds, Series 2019-131A, 3.500% due 4/1/49 | 1,999,412 | |
17,108,554 | |||
Rhode Island — 0.3% | |||
1,020,000 | Rhode Island State, Health and Educational Building Corporation, Public School Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/22 | 1,068,313 |
180 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — 0.3% | |||
$1,010,000 | Beaufort County, SC, General Obligation Unlimited, Series B, (State Aid Withholding), 5.000% due 5/1/22 | $ 1,059,145 | |
Texas — 12.6% | |||
1,065,000 | Alamo, TX, Community College District, General Obligation Limited, Refunding, 5.000% due 2/15/24 | 1,205,677 | |
2,000,000 | Cities of Dallas and Fort Worth, TX, International Airport Joint Revenue, Revenue Bonds, Series A, 5.000% due 11/1/31 | 2,662,864 | |
2,000,000 | City of Temple TX Utility System Revenue, Water Revenue, Revenue Bonds, 5.000% due 8/1/29 | 2,627,661 | |
3,000,000 | Dallas, TX, Area Rapid Transit, Sales Tax Revenue, Revenue Bonds, Refunding, 5.000% due 12/1/25 | 3,613,444 | |
Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Refunding, Children’s Hospital Project: | |||
1,850,000 | 5.000% due 10/1/26 | 2,199,363 | |
1,000,000 | 5.000% due 10/1/27 | 1,182,624 | |
3,000,000 | Harris County, TX, Flood Control District, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/28 | 3,822,771 | |
Harris County, TX, Revenue Bonds, Refunding, Series A: | |||
1,300,000 | 5.000% due 8/15/24 | 1,500,502 | |
3,000,000 | 5.000% due 8/15/25 | 3,581,758 | |
Lower Colorado River Authority, Revenue Bonds, Refunding: | |||
1,125,000 | 5.000% due 5/15/25 | 1,322,523 | |
1,000,000 | 5.000% due 5/15/29 | 1,295,831 | |
1,000,000 | North Texas, Tollway Authority, Revenue Bonds, Refunding, 5.000% due 1/1/32 | 1,241,114 | |
4,000,000 | North Texas, Tollway Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/30 | 4,634,243 | |
2,550,000 | Texas State, General Obligation Unlimited, Series A, 5.000% due 10/1/26 | 3,156,194 | |
3,500,000 | University of Texas, Revenue Bonds, Series D , 5.000% due 8/15/25 | 4,180,364 | |
3,090,000 | Waco, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/23 | 3,426,544 | |
41,653,477 | |||
Vermont — 0.6% | |||
1,920,000 | Vermon State, Educational and Health Buildings Financing Agency, Revenue Bonds, 0.040% due 7/1/391 | 1,920,000 | |
Virginia — 1.0% | |||
2,800,000 | Richmond, VA, Convention Center Authority, Hotel Tax Revenue Bonds, Refunding, 5.000% due 6/15/27 | 3,303,189 | |
Washington — 5.2% | |||
3,695,000 | City of Seattle, WA, Municipal Light and Power Revenue, Revenue Bonds, Refunding, 4.000% due 9/1/30 | 4,061,563 | |
1,205,000 | Grays Harbor County, WA, Public Utility District No. 1, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,394,168 | |
3,600,000 | King County, WA, Bellevue School District No. 405, General Obligation Unlimited, 5.000% due 12/1/25 | 4,037,230 | |
4,000,000 | Washington State, General Obligation Unlimited, Refunding, Series R-2013A, 4.000% due 7/1/28 | 4,165,020 | |
3,000,000 | Washington State, General Obligation Unlimited, Series D, 5.000% due 2/1/26 | 3,640,477 | |
17,298,458 |
181 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — 1.2% | |||
$2,100,000 | Wisconsin State, Department of Transportation Revenue, Revenue Bonds, Refunding, Series 2, 5.000% due 7/1/29 | $ 2,636,110 | |
1,000,000 | Wisconsin State, Revenue Bonds, Series A, 5.000% due 5/1/28 | 1,250,919 | |
3,887,029 | |||
Wyoming — 1.1% | |||
3,365,000 | Wyoming State, Community Development Authority, Housing Revenue, Revenue Bonds, Refunding, Series 3, 4.000% due 6/1/43 | 3,676,827 | |
TOTAL MUNICIPAL BONDS (Cost $297,373,042) | 308,000,102 | ||
TOTAL INVESTMENTS (Cost $297,373,042) | 92.9% | $308,000,102 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 7.1 | 23,469,608 | |
NET ASSETS | 100.0% | $331,469,710 |
* | 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 April 30, 2021. |
2 | When-issued security. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
182 |
% of Net Assets | Value | ||
STATE: | |||
Texas | 12.6% | $ 41,653,477 | |
Florida | 8.4 | 27,870,741 | |
Illinois | 6.5 | 21,581,878 | |
New York | 6.5 | 21,520,064 | |
Ohio | 5.5 | 18,163,421 | |
Washington | 5.2 | 17,298,458 | |
Pennsylvania | 5.2 | 17,108,554 | |
Michigan | 4.9 | 16,139,208 | |
Kentucky | 3.0 | 9,996,259 | |
Minnesota | 2.7 | 9,094,505 | |
North Carolina | 2.7 | 8,848,928 | |
Connecticut | 2.6 | 8,768,864 | |
Maryland | 2.6 | 8,651,644 | |
Kansas | 2.3 | 7,736,730 | |
District of Columbia | 1.9 | 6,364,523 | |
Missouri | 1.5 | 4,971,274 | |
Alabama | 1.4 | 4,568,998 | |
Alaska | 1.4 | 4,533,732 | |
Louisiana | 1.3 | 4,283,149 | |
Delaware | 1.2 | 4,151,699 | |
Wisconsin | 1.2 | 3,887,029 | |
Colorado | 1.2 | 3,886,786 | |
Wyoming | 1.1 | 3,676,827 | |
Indiana | 1.1 | 3,546,264 | |
Maine | 1.0 | 3,307,184 | |
Virginia | 1.0 | 3,303,189 | |
California | 1.0 | 3,211,564 | |
Massachusetts | 0.9 | 3,114,211 | |
New Mexico | 0.7 | 2,390,782 | |
Arizona | 0.7 | 2,381,309 | |
Oklahoma | 0.7 | 2,284,281 | |
Vermont | 0.6 | 1,920,000 | |
New Jersey | 0.5 | 1,696,766 | |
Georgia | 0.5 | 1,612,980 | |
Nevada | 0.4 | 1,212,366 | |
Iowa | 0.3 | 1,135,000 | |
Rhode Island | 0.3 | 1,068,313 | |
South Carolina | 0.3 | 1,059,145 | |
TOTAL MUNICIPAL BONDS | 92.9% | $308,000,102 | |
TOTAL INVESTMENTS | 92.9% | $308,000,102 |
183 |
184 |
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 | |||
Muni Intermediate Portfolio | $5,680,505 | $465,124 | $602,420 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Muni Intermediate Portfolio | $297,373,042 | $10,844,816 | $217,756 | $10,627,060 |
185 |
Portfolio | Purchases | Sales | ||
Muni Intermediate Portfolio | $60,420,399 | $57,590,522 |
Period Ended 04/30/21 | Year Ended 10/31/20 | ||||||
Shares | Amount | Shares | Amount | ||||
Muni Intermediate Portfolio | |||||||
Sold | 2,759,582 | $ 31,281,114 | 6,830,268 | $ 77,223,336 | |||
Issued as reinvestment of dividends | 304,684 | 3,458,157 | 97,052 | 1,085,249 | |||
Redeemed | (1,944,641) | (22,059,552) | (6,381,963) | (71,974,278) | |||
Net Increase | 1,119,625 | $ 12,679,719 | 545,357 | $ 6,334,307 |
186 |
187 |
188 |
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
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)(1) Not applicable.
(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 | June 30, 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 | June 30, 2021 |
/s/ Christopher E. McGuire | ||
Christopher E. McGuire Treasurer (Principal Financial Officer) |
Date | June 30, 2021 |