UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-05577
The Glenmede Fund, Inc.
(Exact Name of Registrant as Specified in Charter)
1 Lincoln Street, Floor 8
SFC0805
Boston, MA 02111
(Address of Principal Executive Offices)(Zip Code)
Michael P. Malloy, Esq.
Secretary
Faegre Drinker Biddle & Reath LLP
One Logan Square
Suite 2000
Philadelphia, PA 19103-6996
(Name and Address of Agent for Service)
Registrant’s Telephone Number, including Area Code: 1-800-442-8299
Date of Fiscal Year End: October 31
Date of Reporting Period: October 31, 2022
Item 1. Reports to Stockholders.
(a)
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1 | The indices are defined on pages 23 to 25. |
2 | A basis point equals 0.01%. |
3 | ©2022 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. |
The Morningstar Rating™ for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-end mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product’s monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating™ for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating™ metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. | |
As of October 31, 2022, the Glenmede Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class and Institutional Class) was rated against the following numbers of U.S.-domiciled Large Cap Growth Equity funds over the following time periods: 1,129 funds overall and 1,129 funds in the last three years, 1,050 funds in the last five years and 784 funds in the last ten years. With respect to these Large Cap Growth Equity funds, the Glenmede Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) received an Overall Morningstar Rating™ of ★★★★★ stars and a Morningstar Rating™ of ★★★★ stars, ★★★★ stars and ★★★★★ stars for the |
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three-, five- and ten year periods, respectively. With respect to these Large Cap Growth Equity funds, the Glenmede Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★★ stars, ★★★★ stars and ★★★★★ stars for the three-, five- and ten year periods, respectively. As of October 31, 2022, the Glenmede Quantitative U.S. Small Cap Equity Portfolio was rated against the following numbers of U.S.-domiciled Small Blend funds over the following time periods: 589 funds overall and 589 funds in the last three years. With respect to these Small Blend funds, the Glenmede Quantitative U.S. Small Cap Equity Portfolio received an Overall Morningstar Rating™ of ★★★★★ stars and a Morningstar Rating™ of ★★★★★ stars for the three-year period. As of October 31, 2022, the Quantitative U.S. Total Market Equity Portfolio was rated against the following numbers of U.S.- domiciled Mid-Cap Value funds over the following time periods: 391 funds overall, 391 funds in the last three years, 366 funds in the last five years and 269 funds in the last ten years. With respect to these Mid-Cap Value funds, the Quantitative U.S. Total Market Equity Portfolio received an Overall Morningstar Rating™ of ★★★★★ stars and a Morningstar Rating™ of ★★★★ stars, ★★★★ stars and ★★★★★ stars for the three-, five- and ten-year periods, respectively. As of October 31, 2022, the Glenmede Equity Income Portfolio was rated against the following numbers of U.S.- domiciled Large Value Equity funds over the following time periods: 1,139 funds overall, 1,139 funds in the last three years and 1,082 funds in the last five years. With respect to these Large Value Equity funds, the Glenmede Equity Income Portfolio received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★★ stars and ★★★★ stars for the three- and five- year periods, respectively. As of October 31, 2022, the Glenmede Small Cap Equity Portfolio (Advisor Class and Institutional Class) was rated against the following numbers of U.S.-domiciled Small Blend funds over the following time periods: 589 funds overall and 589 funds in the last three years, 545 funds in the last five years and 364 funds in the last ten years. With respect to these Small Blend funds, the Glenmede Small Cap Equity Portfolio (Advisor Class) received an Overall Morningstar Rating™ of ★★★ stars and a Morningstar Rating™ of ★★★★★ stars, ★★★ stars and ★★★ stars for the three-, five- and ten year periods, respectively. With respect to these Small Cap Equity funds, the Glenmede Small Cap Equity Portfolio (Institutional Class) received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★★★ stars, ★★★ stars and ★★★★ stars for the three-, five- and ten year periods, respectively. As of October 31, 2022, the Glenmede Quantitative U.S. Long/Short Equity Portfolio (Advisor Class and Institutional Class) was rated against the following numbers of U.S.-domiciled Long-Short Equity funds over the following time periods: 178 funds overall and 178 funds in the last three years, 161 funds in the last five years and 61 funds in the last ten years. With respect to these Long-Short Equity funds, the Glenmede Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) received an Overall Morningstar Rating™ of ★★★ stars and a Morningstar Rating™ of ★★★★ stars, ★★★ stars and ★★★ stars for the three-, five- and ten year periods, respectively. With respect to these Long-Short Equity funds, the Glenmede Quantitative U.S. Long/Short Equity Portfolio (Institutional Class) received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★★ stars, ★★★ stars and ★★★ stars for the three-, five- and ten year periods, respectively. | |
This material must be preceded or accompanied by a current prospectus. | |
The Glenmede Fund, Inc. and The Glenmede Portfolios are distributed by Quasar Distributors, LLC. 12/22. | |
Bond ratings are grades given to bonds that indicate their credit quality as determined by a private independent rating service such as S&P Global Ratings. The firm evaluates a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from ’AAA’, which is the highest grade, to ’D’, which is the lowest grade. In limited situations when the rating agency has not issued a formal rating, the rating agency will classify the security as non-rated. | |
A Portfolio’s holdings and allocations are subject to change and are not recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to a Portfolio’s Schedule of Portfolio Investments contained in this report for a full listing of portfolio holdings. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor Class | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Index | Morningstar Large Blend Average | |||||
Year ended 10/31/22 | -12.89% | -15.59% | -5.42% | -16.38% | -14.48% | |||||
Five Years ended 10/31/22 | 6.42% | 4.35% | 4.92% | 10.19% | 8.51% | |||||
Ten Years ended 10/31/22 | 11.73% | 10.35% | 9.59% | 12.66% | 10.81% | |||||
Inception (02/27/04) through 10/31/221 | 8.84% | 8.00% | 7.45% | 8.97% | 7.49% | |||||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional Class | ||||||||||
Year ended 10/31/22 | -12.73% | -15.50% | -5.32% | -16.38% | -14.48% | |||||
Five Years Ended 10/31/22 | 6.64% | 4.50% | 5.07% | 10.19% | 8.51% | |||||
Inception (12/30/15) through 10/31/222 | 8.96% | 7.28% | 7.03% | 11.51% | 9.94% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning March 1, 2004 for Morningstar Large Blend Average. | |
2 Returns are for the period beginning January 1, 2016 for Morningstar Large Blend Average. | |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor Class | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Growth Index | Morningstar Large Growth Average | |||||
Year ended 10/31/22 | -16.67% | -20.17% | -6.49% | -24.60% | -28.11% | |||||
Five Years ended 10/31/22 | 11.01% | 7.84% | 8.57% | 12.59% | 9.11% | |||||
Ten Years ended 10/31/22 | 14.79% | 12.87% | 12.24% | 14.69% | 11.95% | |||||
Inception (02/27/04) through 10/31/221 | 10.40% | 9.34% | 8.88% | 10.06% | 8.04% | |||||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional Class | ||||||||||
Year ended 10/31/22 | -16.49% | -20.06% | -6.38% | -24.60% | -28.11% | |||||
Five Years Ended 10/31/22 | 11.24% | 8.00% | 8.73% | 12.59% | 9.11% | |||||
Inception (11/05/15) through 10/31/222 | 11.92% | 9.52% | 9.45% | 13.20% | 10.09% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning March 1, 2004 for Morningstar Large Growth Average. |
2 Returns are for the period beginning December 1, 2015 for Morningstar Large Growth Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Large Cap Value Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Value Index | Morningstar Large Value Average | |||||
Year ended 10/31/22 | -3.49% | -4.13% | -2.01% | -7.00% | -4.53% | |||||
Inception (11/13/17) through 10/31/221 | 6.31% | 5.79% | 4.81% | 7.25% | 6.86% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning December 1, 2017 for Morningstar Large Value Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Small Cap Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 2000® Index | Morningstar Small Blend Average | |||||
Year ended 10/31/22 | -2.97% | -5.41% | -0.15% | -18.54% | -13.55% | |||||
Inception (11/13/17) through 10/31/221 | 8.46% | 7.78% | 6.63% | 5.99% | 4.74% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning December 1, 2017 for Morningstar Small Blend Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative International Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | MSCI World ex-USA Index | Morningstar Foreign Large Value Average | |||||
Year ended 10/31/22 | -17.89% | -19.08% | -10.40% | -22.04% | -18.49% | |||||
Five Years ended 10/31/22 | -1.37% | -1.94% | -0.92% | 0.41% | -1.24% | |||||
Ten Years ended 10/31/22 | 2.58% | 2.15% | 2.13% | 4.11% | 3.00% | |||||
Inception (11/17/88) through 10/31/221 | 5.68% | 4.52% | 4.62% | 4.27% | 5.48% |
MSCI World ex-USA Index and
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning December 1, 1988 for Morningstar Foreign Large Value Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||||||
Return After Taxes on | |||||||||||
Responsible ESG U.S. Equity Portfolio | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Index | Morningstar Large Blend Average | |||||||
Year ended 10/31/22 | -14.02% | -16.10% | -6.66% | -16.38% | -14.48% | ||||||
Five Years ended 10/31/22 | 7.31% | 6.36% | 5.69% | 10.19% | 8.51% | ||||||
Inception (12/22/15) through 10/31/221 | 10.29% | 9.54% | 8.26% | 11.67% | 9.94% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning January 1, 2016 for Morningstar Large Blend Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||||||
Return After Taxes on | |||||||||||
Women in Leadership U.S. Equity Portfolio | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Index | Morningstar Large Value Average | |||||||
Year ended 10/31/22 | -13.15% | -17.06% | -4.58% | -16.38% | -4.53% | ||||||
Five Years ended 10/31/22 | 6.77% | 5.38% | 5.30% | 10.19% | 7.43% | ||||||
Inception (12/22/15) through 10/31/221 | 9.42% | 8.31% | 7.55% | 11.67% | 9.12% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning January 1, 2016 for Morningstar Large Value Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||||||||
Return After Taxes on | ||||||||||||||||
Quantitative U.S. Long/Short Equity Portfolio – Advisor Class | Distributions | Distributions and Sales of Fund Shares | Russell 3000® Index | Bloomberg U.S. Treasury Bellwethers 3-Month Index | Blended Index | Morningstar Long/Short Average | ||||||||||
Year ended 10/31/22 | 8.66% | 8.66% | 5.13% | -16.52% | 0.80% | -4.20% | -6.12% | |||||||||
Five Years ended 10/31/22 | 1.98% | 1.94% | 1.52% | 9.87% | 1.17% | 4.09% | 3.00% | |||||||||
Ten Years ended 10/31/22 | 4.32% | 4.30% | 3.43% | 12.46% | 0.71% | 4.34% | 4.00% | |||||||||
Inception (09/29/06) through 10/31/221 | 2.47% | 2.39% | 1.94% | 8.90% | 1.01% | 3.56% | 2.47% | |||||||||
Quantitative U.S. Long/Short Equity Portfolio – Institutional Class | ||||||||||||||||
Year ended 10/31/22 | 8.86% | 8.86% | 5.24% | -16.52% | 0.80% | -4.20% | -6.12% | |||||||||
Inception (09/13/19) through 10/31/222 | 5.51% | 5.47% | 4.25% | 9.79% | 0.66% | 3.91% | 3.90% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning October 1, 2006 for Morningstar Long/Short Average. |
2 Returns are for the period beginning October 1, 2019 for Morningstar Long/Short Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||||||
Return After Taxes on | |||||||||||
Quantitative U.S. Total Market Equity Portfolio | Distributions | Distributions and Sales of Fund Shares | Russell 3000® Index | Morningstar Mid-Cap Value Average | |||||||
Year ended 10/31/22 | -7.76% | -11.26% | -1.80% | -16.52% | -5.76% | ||||||
Five Years ended 10/31/22 | 8.46% | 6.17% | 6.43% | 9.87% | 6.55% | ||||||
Ten Years ended 10/31/22 | 12.28% | 10.87% | 10.04% | 12.46% | 9.77% | ||||||
Inception (12/21/06) through 10/31/221 | 7.48% | 6.61% | 6.12% | 8.56% | 6.86% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning January 1, 2007 for Morningstar Mid-Cap Value Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||||
Return After Taxes on | ||||||||||||
Strategic Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | S&P 500® Index | Dow Jones Industrial Average | Morningstar Large Blend Average | ||||||
Year ended 10/31/22 | -13.95% | -16.11% | -6.35% | -14.61% | -6.74% | -14.48% | ||||||
Five Years ended 10/31/22 | 8.07% | 6.61% | 6.27% | 10.44% | 9.33% | 8.51% | ||||||
Ten Years ended 10/31/22 | 11.50% | 9.62% | 9.04% | 12.79% | 12.19% | 10.81% | ||||||
Inception (07/20/89) through 10/31/221 | 8.81% | -7.40% | 7.15% | 9.90% | 10.58% | 8.31% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning August 1, 1989 for Morningstar Large Blend Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||||
Small Cap Equity Portfolio – Advisor Class | Russell 2000® Index | Russell 2000® Value Index | S&P 500® Index | Morningstar Small Blend Average | ||||||||
Year ended 10/31/22 | -6.59% | -18.54% | -10.73% | -14.61% | -13.55% | |||||||
Five Years ended 10/31/22 | 7.28% | 5.56% | 5.31% | 10.44% | 5.22% | |||||||
Ten Years ended 10/31/22 | 11.13% | 9.93% | 9.37% | 12.79% | 9.16% | |||||||
Inception (03/01/91) through 10/31/221 | 10.36% | 9.52% | 10.66% | 9.92% | 9.65% | |||||||
Small Cap Equity Portfolio – Institutional Class | ||||||||||||
Year ended 10/31/22 | -6.39% | -18.54% | -10.73% | -14.61% | -13.55% | |||||||
Five Years ended 10/31/22 | 7.51% | 5.56% | 5.31% | 10.44% | 5.22% | |||||||
Ten Years ended 10/31/22 | 11.35% | 9.93% | 9.37% | 12.79% | 9.16% | |||||||
Inception (01/02/98) through 10/31/222 | 8.38% | 7.37% | 7.92% | 7.71% | 7.79% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning April 1, 1991 for Morningstar Small Blend Average. |
2 Returns are for the period beginning February 1, 1998 for Morningstar Small Blend Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||||
Equity Income Portfolio | S&P 500® Index | Russell 1000® Value Index | Morningstar Large Value Average | ||||||
Year ended 10/31/22 | -2.70% | -14.61% | -7.00% | -4.53% | |||||
Five Years ended 10/31/22 | 9.24% | 10.44% | 7.21% | 7.43% | |||||
Inception (12/21/16) through10/31/221 | 9.89% | 11.57% | 7.46% | 8.21% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning January 1, 2017 for Morningstar Large Value Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||
Secured Options Portfolio – Advisor Class | CBOE S&P 500® PutWrite Index | S&P 500® Index | ||||||
Year ended 10/31/22 | -11.29% | -7.65% | -14.61% | |||||
Five Years ended 10/31/22 | 3.93% | 3.99% | 10.44% | |||||
Ten Years ended 10/31/22 | 5.65% | 5.88% | 12.79% | |||||
Inception (06/30/10) through 10/31/22 | 7.59% | 7.54% | 13.54% | |||||
Secured Options Portfolio – Institutional Class | ||||||||
Year ended 10/31/22 | -11.16% | -7.65% | -14.61% | |||||
Five Years ended 10/31/22 | 4.14% | 3.99% | 10.44% | |||||
Inception (11/09/16) through October 31, 2022 | 4.52% | 5.05% | 12.25% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||
Global Secured Options Portfolio | MSCI All Country World Index | Blended PutWrite Index | |||||
Year ended 10/31/22 | -13.35% | -19.96% | -9.28% | ||||
Five Years ended 10/31/22 | 2.35% | 5.24% | 0.38% | ||||
Ten Years ended 10/31/22 | 3.14% | 7.98% | 2.93% | ||||
Inception (09/28/12) through 10/31/22 | 3.26% | 7.78% | 2.98% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||
Core Fixed Income Portfolio | Bloomberg U.S. Aggregate Bond Index | Morningstar Intermediate - Core Bond Average | |||||
Year ended 10/31/22 | -15.80% | -15.68% | -15.94% | ||||
Five Years ended 10/31/22 | -1.17% | -0.54% | -0.78% | ||||
Ten Years ended 10/31/22 | 0.10% | 0.74% | 0.64% | ||||
Inception (11/17/88) through 10/31/221 | 4.81% | 5.28% | 4.71% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning December 1, 1988 for Morningstar Intermediate - Core Bond Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Short Term Tax Aware Fixed Income Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | ICE BofAML 1-3 Year U.S. Municipal Securities Index | Morningstar Muni National Short Average | |||||
Year ended 10/31/22 | -3.40% | -3.67% | -1.97% | -3.47% | -4.08% | |||||
Five Years Ended 10/31/22 | 0.34% | 0.21% | 0.37% | 0.60% | 0.44% | |||||
Inception (06/29/16) through 10/31/221 | 0.36% | 0.24% | 0.37% | 0.60% | 0.45% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning July 1, 2016 for Morningstar Muni National Short Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||||||||
High Yield Municipal Portfolio | HY Muni Blended Index1 | Bloomberg Muni High Yield 5% Tobacco Cap 2% Issuer Cap Index | Bloomberg Muni BBB Index | Bloomberg Municipal Bond Index | Morningstar High Yield Muni Average | ||||||||
Year ended 10/31/22 | -16.42% | -14.76% | -15.68% | -15.30% | -11.98% | -16.63% | |||||||
Five Years ended 10/31/22 | 0.02% | 1.19% | 1.45% | 0.75% | 0.37% | 0.24% | |||||||
Inception (12/22/15) through 10/31/222 | 1.22% | 1.70% | 2.45% | 2.47% | 1.03% | 1.19% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Effective September 29, 2022 the Portfolio’s benchmark changed from the Bloomberg Muni High Yield 5% Tobacco Cap 2% Issuer Cap Index to the HY Muni Blended Index. |
2 Returns are for the period beginning January 1, 2017 for HY Muni Blended Index and January 1, 2016 for Morningstar High Yield Muni Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||
Muni Intermediate Portfolio | Bloomberg Municipal 1-10 Year Blend Index | Morningstar Muni National Intermediate Average | |||||
Year ended 10/31/22 | -7.51% | -7.53% | -11.18% | ||||
Five Years ended 10/31/22 | 0.46% | 0.64% | 0.16% | ||||
Ten Years ended 10/31/22 | 1.02% | 1.37% | 1.12% | ||||
Inception (06/05/92) through 10/31/221 | 3.44% | 3.78% | 3.63% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the periods beginning June 30, 1993 for Bloomberg Municipal 1-10 Year Blend Index and July 1, 1992 for Morningstar Muni National Intermediate Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Beginning Account Value (May 1, 2022) | Ending Account Value (October 31, 2022) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2022 to October 31, 2022) | ||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor | |||||||
Actual | $1,000.00 | $ 938.70 | 0.84% | $ 4.10 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.00 | 0.84 | 4.28 | |||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 939.40 | 0.64 | 3.13 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.00 | 0.64 | 3.26 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 956.10 | 0.83 | 4.09 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.00 | 0.83 | 4.23 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 956.80 | 0.63 | 3.11 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.00 | 0.63 | 3.21 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Actual | 1,000.00 | 981.40 | 0.86 | 4.30 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.86 | 4.38 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Actual | 1,000.00 | 1,049.70 | 0.85 | 4.39 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative International Equity Portfolio | |||||||
Actual | 1,000.00 | 883.20 | 1.00 | 4.75 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 1.00 | 5.09 | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 952.70 | 0.85 | 4.18 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 946.30 | 0.85 | 4.17 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative U.S. Long/Short Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,028.50 | 2.17 | 11.10 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,014.30 | 2.17 | 11.02 | |||
Quantitative U.S. Long/Short Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,030.60 | 1.99 | 10.19 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,015.20 | 1.99 | 10.11 |
26 |
Beginning Account Value (May 1, 2022) | Ending Account Value (October 31, 2022) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2022 to October 31, 2022) | ||||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Actual | $1,000.00 | $ 966.90 | 2.04% | $10.11 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,014.90 | 2.04 | 10.36 | |||
Strategic Equity Portfolio | |||||||
Actual | 1,000.00 | 955.60 | 0.85 | 4.19 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Small Cap Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 976.70 | 0.92 | 4.58 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.92 | 4.69 | |||
Small Cap Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 977.90 | 0.72 | 3.59 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.60 | 0.72 | 3.67 | |||
Equity Income Portfolio | |||||||
Actual | 1,000.00 | 1,022.50 | 0.85 | 4.33 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Secured Options Portfolio – Advisor | |||||||
Actual | 1,000.00 | 909.70 | 0.84 | 4.04 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.00 | 0.84 | 4.28 | |||
Secured Options Portfolio – Institutional | |||||||
Actual | 1,000.00 | 910.10 | 0.64 | 3.08 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.00 | 0.64 | 3.26 | |||
Global Secured Options Portfolio | |||||||
Actual | 1,000.00 | 908.10 | 1.00 | 4.81 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 1.00 | 5.09 | |||
Core Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 931.70 | 0.54 | 2.63 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.50 | 0.54 | 2.75 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 997.50 | 0.55 | 2.77 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.40 | 0.55 | 2.80 | |||
High Yield Municipal Portfolio | |||||||
Actual | 1,000.00 | 913.00 | 0.90 | 4.34 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.70 | 0.90 | 4.58 |
* | Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), which is net of fee waivers, and include dividends on securities sold short, interest expense and expense reimbursements, if any, multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the calendar year (365 days). |
27 |
Beginning Account Value (May 1, 2022) | Ending Account Value (October 31, 2022) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2022 to October 31, 2022) | ||||
Muni Intermediate Portfolio | |||||||
Actual | $1,000.00 | $ 986.20 | 0.25% | $1.25 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,023.90 | 0.25 | 1.28 |
* | Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the calendar year (365 days). |
28 |
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 | $ 994,454,987 | $ 2,177,510,224 | $ 1,668,053 | ||
Repurchase agreements at value1 | 4,676,818 | 5,897,397 | 15,324 | ||
Receivable from Advisor | — | — | 1,635 | ||
Receivable for fund shares sold | 563,315 | 180,314 | — | ||
Dividends receivable | 863,523 | 518,239 | 2,590 | ||
Interest receivable | 130 | 164 | 1 | ||
Securities lending income receivable | 385 | 246 | — | ||
Prepaid expenses | 8,303 | 13,437 | 15 | ||
Total assets | 1,000,567,461 | 2,184,120,021 | 1,687,618 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | 6,920,115 | 14,174,543 | 11,978 | ||
Line of credit interest payable | 829 | 734 | — | ||
Payable for fund shares redeemed | 1,594,443 | 1,503,585 | — | ||
Payable for Management fees | 444,453 | 979,124 | 729 | ||
Payable for Directors’ fees | 32,903 | 64,201 | 66 | ||
Payable for Shareholder Servicing fees | 151,206 | 198,658 | 265 | ||
Accrued expenses | 253,776 | 497,018 | 9,727 | ||
Total liabilities | 9,397,725 | 17,417,863 | 22,765 | ||
Net Assets | $ 991,169,736 | $2,166,702,158 | $ 1,664,853 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 39,414 | $ 77,512 | $ 135 | ||
Paid-in capital in excess of par value | 660,922,425 | 1,641,560,393 | 1,336,122 | ||
Total distributable earnings | 330,207,897 | 525,064,253 | 328,596 | ||
Total Net Assets | $ 991,169,736 | $2,166,702,158 | $ 1,664,853 | ||
Shares Outstanding3 | 39,414,495 | 77,511,960 | 134,622 | ||
Net Asset Value Per Share | $ — | $ — | $ 12.37 | ||
Advisor Class — based on net assets of $924,569,592 and $1,211,342,439, respectively and shares outstanding of 36,766,076 and 43,336,587, respectively | 25.15 | 27.95 | — | ||
Institutional Class — based on net assets of $66,600,144 and $955,359,719, respectively and shares outstanding of 2,648,419 and 34,175,373, respectively | 25.15 | 27.95 | — | ||
1 Investments at cost | $ 840,126,550 | $ 1,802,526,037 | $ 1,419,322 | ||
2 Market value of securities on loan | $ 6,790,940 | $ 14,013,841 | $ 11,754 | ||
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 | — |
29 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 1,527,102 | $ 22,759,837 | $ 24,230,760 | ||
Repurchase agreements at value1 | 23,575 | — | 22,398 | ||
Foreign currency3 | — | 7,307 | — | ||
Receivable from Advisor | 2,136 | 4,906 | 2,348 | ||
Receivable for securities sold | — | 42,834 | 123,807 | ||
Receivable for fund shares sold | — | — | 35,115 | ||
Dividends receivable | 149 | 46,266 | 31,244 | ||
Interest receivable | 1 | — | 1 | ||
Securities lending income receivable | 6 | 143 | 16 | ||
Foreign tax reclaims receivable | — | 677,427 | — | ||
Prepaid expenses | 9 | 283 | 182 | ||
Total assets | 1,552,978 | 23,539,003 | 24,445,871 | ||
Liabilities: | |||||
Due to custodian | — | 9,609 | — | ||
Obligation to return securities lending collateral | 19,157 | 554,453 | 383,250 | ||
Line of credit interest payable | — | 8 | 2 | ||
Payable for fund shares redeemed | — | — | 108,026 | ||
Payable for Management fees | 665 | 14,367 | 10,656 | ||
Payable for Directors’ fees | 41 | 841 | 789 | ||
Payable for Shareholder Servicing fees | 242 | 4,789 | 3,875 | ||
Accrued expenses | 11,852 | 16,339 | 16,589 | ||
Total liabilities | 31,957 | 600,406 | 523,187 | ||
Net Assets | $ 1,521,021 | $ 22,938,597 | $23,922,684 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 116 | $ 1,869 | $ 1,486 | ||
Paid-in capital in excess of par value | 1,183,324 | 25,935,341 | 18,484,473 | ||
Total distributable earnings | 337,581 | (2,998,613) | 5,436,725 | ||
Total Net Assets | $ 1,521,021 | $ 22,938,597 | $23,922,684 | ||
Shares Outstanding4 | 115,800 | 1,869,369 | 1,486,302 | ||
Net Asset Value Per Share | $ 13.13 | $ 12.27 | $ 16.10 | ||
1 Investments at cost | $ 1,329,061 | $ 24,879,185 | $ 20,301,589 | ||
2 Market value of securities on loan | $ 46,916 | $ 682,304 | $ 376,096 | ||
3 Foreign currency at cost | $ — | $ 7,205 | $ — | ||
4 Authorized shares | 80,000,000 | 120,000,000 | 80,000,000 |
30 |
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 | $ 22,129,922 | $ 56,128,100 | $ 56,119,056 | ||
Repurchase agreements at value1 | 94,339 | — | 251,238 | ||
Receivable from Advisor | 2,426 | 4,110 | 2,187 | ||
Receivable for securities sold | 171,985 | 875,147 | — | ||
Receivable for fund shares sold | 30,356 | 59 | 10,726 | ||
Dividends receivable | 31,923 | 29,542 | 45,015 | ||
Interest receivable | 3 | 78,800 | 7 | ||
Securities lending income receivable | — | 73 | 2 | ||
Cash collateral on deposit at broker (Note 1) | — | 39,785,875 | — | ||
Prepaid expenses | 169 | 437 | 207 | ||
Total assets | 22,461,123 | 96,902,143 | 56,428,438 | ||
Liabilities: | |||||
Due to custodian | — | 258,847 | 1,998 | ||
Payable for securities purchased | — | 522,263 | — | ||
Obligation to return securities lending collateral | — | 796,370 | 752,215 | ||
Line of credit interest payable | — | 127 | 124 | ||
Payable for fund shares redeemed | 258,414 | 6,094 | 71,641 | ||
Dividend payable on securities sold short | — | 31,715 | 9,323 | ||
Payable for securities sold short, at value3 | — | 38,263,385 | 11,686,740 | ||
Payable for Management fees | 9,880 | 40,331 | 30,335 | ||
Payable for Directors’ fees | 669 | 1,679 | 1,204 | ||
Payable for Shareholder Servicing fees | 3,593 | 8,064 | 7,138 | ||
Accrued expenses | 16,569 | 33,080 | 31,831 | ||
Total liabilities | 289,125 | 39,961,955 | 12,592,549 | ||
Net Assets | $22,171,998 | $ 56,940,188 | $ 43,835,889 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 1,618 | $ 4,047 | $ 2,462 | ||
Paid-in capital in excess of par value | 19,213,180 | 34,683,700 | 29,494,860 | ||
Total distributable earnings | 2,957,200 | 22,252,441 | 14,338,567 | ||
Total Net Assets | $22,171,998 | $ 56,940,188 | $ 43,835,889 | ||
Shares Outstanding4 | 1,617,936 | 4,047,212 | 2,461,522 | ||
Net Asset Value Per Share | $ 13.70 | $ — | $ 17.81 | ||
Advisor Class — based on net assets of $48,369,594 and shares outstanding of 3,440,709 | — | 14.06 | — | ||
Institutional Class — based on net assets of $8,570,594 and shares outstanding of 606,503 | — | 14.13 | — | ||
1 Investments at cost | $ 19,747,669 | $ 43,011,923 | $ 44,266,253 | ||
2 Market value of securities on loan | $ — | $ 769,516 | $ 776,207 | ||
3 Proceeds from securities sold short | $ — | $ 47,826,711 | $ 14,132,948 | ||
4 Authorized shares | 80,000,000 | — | 120,000,000 | ||
Authorized shares - Advisor Class | — | 120,000,000 | — | ||
Authorized shares - Institutional Class | — | 120,000,000 | — |
31 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 190,722,170 | $ 1,153,915,961 | $ 21,656,422 | ||
Repurchase agreements at value1 | 386,351 | 15,116,000 | 251,190 | ||
Receivable from Advisor | — | — | 1,822 | ||
Receivable for securities sold | 6,486,197 | — | — | ||
Receivable for fund shares sold | 8,000 | 186,803 | 1,968 | ||
Dividends receivable | 131,202 | 103,565 | 18,129 | ||
Interest receivable | 11 | 420 | 7 | ||
Securities lending income receivable | — | 2,511 | — | ||
Prepaid expenses | 1,569 | 8,573 | 130 | ||
Total assets | 197,735,500 | 1,169,333,833 | 21,929,668 | ||
Liabilities: | |||||
Payable for securities purchased | 5,762,219 | — | — | ||
Obligation to return securities lending collateral | — | 56,703,980 | — | ||
Line of credit interest payable | 2 | 28 | — | ||
Payable for fund shares redeemed | 145,950 | 853,551 | — | ||
Payable for Management fees | 86,235 | 491,112 | 9,664 | ||
Payable for Directors’ fees | 6,210 | 36,768 | 599 | ||
Payable for Shareholder Servicing fees | 31,358 | 119,951 | 3,514 | ||
Accrued expenses | 57,635 | 322,414 | 13,795 | ||
Total liabilities | 6,089,609 | 58,527,804 | 27,572 | ||
Net Assets | $191,645,891 | $1,110,806,029 | $21,902,096 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 6,983 | $ 32,463 | $ 1,502 | ||
Paid-in capital in excess of par value | 80,028,659 | 789,626,080 | 15,807,303 | ||
Total distributable earnings | 111,610,249 | 321,147,486 | 6,093,291 | ||
Total Net Assets | $191,645,891 | $1,110,806,029 | $21,902,096 | ||
Shares Outstanding3 | 6,982,594 | 32,462,640 | 1,502,266 | ||
Net Asset Value Per Share | $ 27.45 | $ — | $ 14.58 | ||
Advisor Class — based on net assets of $468,156,948 and shares outstanding of 14,167,770 | — | 33.04 | — | ||
Institutional Class — based on net assets of $642,649,081 and shares outstanding of 18,294,870 | — | 35.13 | — | ||
1 Investments at cost | $ 93,052,779 | $ 935,550,436 | $ 16,319,563 | ||
2 Market value of securities on loan | $ — | $ 54,954,397 | $ — | ||
3 Authorized shares | 150,000,000 | — | 80,000,000 | ||
Authorized shares - Advisor Class | — | 180,000,000 | — | ||
Authorized shares - Institutional Class | — | 135,000,000 | — |
32 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 1,183,880,522 | $ 36,830,286 | $ 326,032,333 | ||
Repurchase agreements at value1 | 206,701 | 46,292 | 1,239,627 | ||
Receivable from Advisor | — | 2,017 | — | ||
Receivable for fund shares sold | 309,162 | 13,075 | 164,000 | ||
Interest receivable | 6 | 1 | 2,256,394 | ||
Securities lending income receivable | — | — | 1,386 | ||
Cash collateral on deposit at broker (Note 1) | 920,204 | 907,518 | — | ||
Foreign tax reclaims receivable | — | 33,745 | — | ||
Prepaid expenses | 2,493 | 85 | 2,587 | ||
Total assets | 1,185,319,088 | 37,833,019 | 329,696,327 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | — | 9,685,150 | ||
Line of credit interest payable | — | 2 | — | ||
Payable for fund shares redeemed | 89,358 | 543 | 14,658 | ||
Options written, at value3 | 683,274,655 | 17,735,775 | — | ||
Payable for Management fees | 230,907 | 8,891 | 96,227 | ||
Payable for Directors’ fees | 12,718 | 502 | 10,239 | ||
Payable for Shareholder Servicing fees | 11,812 | 3,233 | 27,493 | ||
Accrued expenses | 115,636 | 22,025 | 89,918 | ||
Total liabilities | 683,735,086 | 17,770,971 | 9,923,685 | ||
Net Assets | $ 501,584,002 | $ 20,062,048 | $319,772,642 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 42,806 | $ 4,720 | $ 34,927 | ||
Paid-in capital in excess of par value | 543,034,500 | 29,199,315 | 380,727,265 | ||
Total distributable earnings | (41,493,304) | (9,141,987) | (60,989,550) | ||
Total Net Assets | $ 501,584,002 | $ 20,062,048 | $319,772,642 | ||
Shares Outstanding4 | 42,806,054 | 4,719,666 | 34,927,003 | ||
Net Asset Value Per Share | $ — | $ 4.25 | $ 9.16 | ||
Advisor Class — based on net assets of $70,446,997 and shares outstanding of 6,084,340 | 11.58 | — | — | ||
Institutional Class — based on net assets of $431,137,005 and shares outstanding of 36,721,714 | 11.74 | — | — | ||
1 Investments at cost | $ 1,163,159,466 | $ 37,561,220 | $ 378,836,265 | ||
2 Market value of securities on loan | $ — | $ — | $ 9,465,699 | ||
3 Premiums received from options written | $ 684,328,318 | $ 17,994,029 | $ — | ||
4 Authorized shares | — | 120,000,000 | 160,000,000 | ||
Authorized shares - Advisor Class | 160,000,000 | — | — | ||
Authorized shares - Institutional Class | 160,000,000 | — | — |
33 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Assets: | |||
Investments at value1 | $ 55,523,653 | $ 152,733,827 | |
Repurchase agreements at value1 | 235,803 | — | |
Cash | — | 656,085 | |
Receivable from Advisor | 4,034 | — | |
Receivable for securities sold | — | 1,960,181 | |
Receivable for fund shares sold | 551,500 | — | |
Interest receivable | 699,111 | 2,470,910 | |
Prepaid expenses | 322 | 1,656 | |
Total assets | 57,014,423 | 157,822,659 | |
Liabilities: | |||
Payable for when-issued securities purchased | — | 281,622 | |
Line of credit interest payable | 32 | 507 | |
Payable for fund shares redeemed | — | 530,639 | |
Payable for Management fees | 16,811 | 89,499 | |
Payable for Directors’ fees | 1,527 | 6,730 | |
Payable for Shareholder Servicing fees | 4,803 | 23,552 | |
Accrued expenses | 27,840 | 80,091 | |
Total liabilities | 51,013 | 1,012,640 | |
Net Assets | $56,963,410 | $156,810,019 | |
Net Assets consist of: | |||
Par value ($0.001 of shares outstanding) | $ 5,890 | $ 17,536 | |
Paid-in capital in excess of par value | 59,049,711 | 190,731,871 | |
Total distributable earnings | (2,092,191) | (33,939,388) | |
Total Net Assets | $56,963,410 | $156,810,019 | |
Shares Outstanding2 | 5,890,025 | 17,535,669 | |
Net Asset Value Per Share | $ 9.67 | $ 8.94 | |
1 Investments at cost | $ 57,310,795 | $ 177,676,044 | |
2 Authorized shares | 80,000,000 | 80,000,000 |
34 |
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 | $ 21,577,929 | $ 26,444,190 | $ 59,719 | ||
Interest | 5,478 | 14,220 | 34 | ||
Income from security lending | 4,470 | 3,346 | 7 | ||
Total investment income | 21,587,877 | 26,461,756 | 59,760 | ||
Expenses: | |||||
Management fees | 6,615,381 | 12,995,994 | 13,106 | ||
Administration, transfer agent and custody fees | 425,285 | 795,157 | 27,367 | ||
Professional fees | 197,367 | 380,007 | 400 | ||
Shareholder report expenses | 83,555 | 264,989 | 1,778 | ||
Shareholder servicing fees | — | — | 4,766 | ||
Shareholder servicing fees (Advisor Class) | 2,184,121 | 2,892,471 | — | ||
Directors’ fees and expenses | 139,589 | 267,692 | 284 | ||
Interest expense | 5,362 | 7,735 | 62 | ||
Registration and filing fees | 45,383 | 91,175 | 3,644 | ||
Other expenses | 178,370 | 322,467 | 2,620 | ||
Total expenses | 9,874,413 | 18,017,687 | 54,027 | ||
Less expenses waived/reimbursed | — | — | (33,711) | ||
Net expenses | 9,874,413 | 18,017,687 | 20,316 | ||
Net investment income | 11,713,464 | 8,444,069 | 39,444 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain on: | |||||
Investment transactions | 193,752,678 | 160,666,842 | 94,282 | ||
Net change in unrealized loss on: | |||||
Investments | (374,472,637) | (626,839,106) | (303,423) | ||
Net realized and unrealized loss | (180,719,959) | (466,172,264) | (209,141) | ||
Net decrease in net assets resulting from operations | $(169,006,495) | $(457,728,195) | $(169,697) |
35 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $ 27,980 | $ 1,167,676 | $ 538,632 | ||
Interest | 29 | 2,170 | 193 | ||
Income from security lending | 112 | 22,898 | 159 | ||
Total investment income | 28,121 | 1,192,744 | 538,984 | ||
Expenses: | |||||
Management fees | 8,238 | 227,352 | 158,653 | ||
Administration, transfer agent and custody fees | 32,723 | 39,778 | 39,972 | ||
Professional fees | 238 | 4,343 | 4,779 | ||
Shareholder report expenses | 1,735 | 5,368 | 3,326 | ||
Shareholder servicing fees | 2,996 | 75,784 | 57,692 | ||
Directors’ fees and expenses | 171 | 3,009 | 3,409 | ||
Interest expense | — | 1,308 | 428 | ||
Registration and filing fees | 3,638 | 20,175 | 18,833 | ||
Other expenses | 2,515 | 8,753 | 6,224 | ||
Total expenses | 52,254 | 385,870 | 293,316 | ||
Less expenses waived/reimbursed | (39,523) | (81,426) | (47,697) | ||
Net expenses | 12,731 | 304,444 | 245,619 | ||
Net investment income | 15,390 | 888,300 | 293,365 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 117,592 | (18,785) | 1,659,372 | ||
Foreign currency transactions | — | (37,714) | — | ||
Net realized gain (loss) | 117,592 | (56,499) | 1,659,372 | ||
Net change in unrealized loss on: | |||||
Investments | (178,389) | (6,391,166) | (6,394,134) | ||
Foreign currency translation | — | (4,701) | — | ||
Net change in unrealized loss | (178,389) | (6,395,867) | (6,394,134) | ||
Net realized and unrealized loss | (60,797) | (6,452,366) | (4,734,762) | ||
Net decrease in net assets resulting from operations | $ (45,407) | $(5,564,066) | $(4,441,397) |
1 | The Quantitative U.S. Small Cap Equity Portfolio and the Quantitative International Equity Portfolio had foreign dividend withholding taxes of $79 and $124,626, respectively. |
36 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $ 521,801 | $ 1,125,140 | $ 1,054,434 | ||
Interest | 187 | 181,706 | 284 | ||
Income from security lending | 173 | 2,003 | 190 | ||
Total investment income | 522,161 | 1,308,849 | 1,054,908 | ||
Expenses: | |||||
Management fees | 135,183 | 742,885 | 534,025 | ||
Administration, transfer agent and custody fees | 39,017 | 63,627 | 51,675 | ||
Professional fees | 3,964 | 9,339 | 6,737 | ||
Shareholder report expenses | 3,310 | 7,555 | 5,879 | ||
Shareholder servicing fees | 49,158 | — | 89,004 | ||
Shareholder servicing fees (Advisor Class) | — | 108,324 | — | ||
Dividends on securities sold short | — | 687,085 | 229,984 | ||
Directors’ fees and expenses | 2,798 | 6,088 | 5,022 | ||
Interest expense | 40 | 874 | 214 | ||
Short position flex fees | — | — | 96,962 | ||
Registration and filing fees | 18,805 | 42,184 | 20,334 | ||
Other expenses | 6,406 | 25,159 | 8,951 | ||
Total expenses | 258,681 | 1,693,120 | 1,048,787 | ||
Less expenses waived/reimbursed | (49,722) | (246,812) | (165,351) | ||
Net expenses | 208,959 | 1,446,308 | 883,436 | ||
Net investment income (loss) | 313,202 | (137,459) | 171,472 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 474,768 | 2,293,339 | (401,204) | ||
Securities sold short | — | (858,824) | 190,496 | ||
Net realized gain (loss) | 474,768 | 1,434,515 | (210,708) | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (4,312,942) | (6,231,683) | (6,934,443) | ||
Securities sold short | — | 9,655,617 | 2,273,396 | ||
Net change in unrealized gain (loss) | (4,312,942) | 3,423,934 | (4,661,047) | ||
Net realized and unrealized gain (loss) | (3,838,174) | 4,858,449 | (4,871,755) | ||
Net increase (decrease) in net assets resulting from operations | $(3,524,972) | $ 4,720,990 | $(4,700,283) |
1 | The Quantitative U.S. Long/Short Equity Portfolio had foreign dividend withholding taxes of $340. |
37 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Investment income: | |||||
Dividends | $ 2,811,370 | $ 17,013,498 | $ 533,255 | ||
Interest | 2,578 | 30,582 | 1,049 | ||
Income from security lending | 14 | 88,715 | — | ||
Total investment income | 2,813,962 | 17,132,795 | 534,304 | ||
Expenses: | |||||
Management fees | 1,250,486 | 7,387,860 | 121,580 | ||
Administration, transfer agent and custody fees | 102,465 | 770,852 | 31,875 | ||
Professional fees | 35,946 | 224,033 | 3,538 | ||
Shareholder report expenses | 6,107 | 295,846 | 2,930 | ||
Shareholder servicing fees | 454,722 | — | 44,211 | ||
Shareholder servicing fees (Advisor Class) | — | 1,249,058 | — | ||
Shareholder servicing fees (Institutional Class) | — | 421,812 | — | ||
Directors’ fees and expenses | 26,351 | 156,622 | 2,509 | ||
Interest expense | 280 | 7,667 | — | ||
Registration and filing fees | 21,476 | 62,020 | 3,618 | ||
Other expenses | 33,543 | 208,171 | 4,703 | ||
Total expenses | 1,931,376 | 10,783,941 | 214,964 | ||
Less expenses waived/reimbursed | — | — | (27,068) | ||
Net expenses | 1,931,376 | 10,783,941 | 187,896 | ||
Net investment income | 882,586 | 6,348,854 | 346,408 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain on: | |||||
Investment transactions | 15,175,687 | 142,991,756 | 627,015 | ||
Net change in unrealized loss on: | |||||
Investments | (51,143,682) | (259,705,445) | (1,601,958) | ||
Net realized and unrealized loss | (35,967,995) | (116,713,689) | (974,943) | ||
Net decrease in net assets resulting from operations | $(35,085,409) | $(110,364,835) | $ (628,535) |
38 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Investment income: | |||||
Dividends | $ 310,720 | $ 55,299 | $ — | ||
Interest | 1,224,685 | 46,143 | 8,494,070 | ||
Income from security lending | — | — | 16,765 | ||
Total investment income | 1,535,405 | 101,442 | 8,510,835 | ||
Expenses: | |||||
Management fees | 2,601,151 | 102,596 | 1,315,910 | ||
Administration, transfer agent and custody fees | 193,071 | 48,043 | 163,537 | ||
Professional fees | 74,086 | 2,957 | 57,679 | ||
Shareholder report expenses | 28,695 | 3,085 | 12,708 | ||
Shareholder servicing fees | — | 37,308 | 375,974 | ||
Shareholder servicing fees (Advisor Class) | 167,261 | — | — | ||
Directors’ fees and expenses | 51,802 | 2,162 | 42,472 | ||
Interest expense | — | 282 | — | ||
Registration and filing fees | 47,474 | 19,489 | 11,990 | ||
Other expenses | 71,428 | 11,725 | 50,757 | ||
Total expenses | 3,234,968 | 227,647 | 2,031,027 | ||
Less expenses waived/reimbursed | — | (40,826) | — | ||
Net expenses | 3,234,968 | 186,821 | 2,031,027 | ||
Net investment income (loss) | (1,699,563) | (85,379) | 6,479,808 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (11,935) | (447,395) | (8,937,362) | ||
Written options | 158,020,611 | 4,967,908 | — | ||
Purchased options | (218,442,787) | (6,474,287) | — | ||
Net realized loss | (60,434,111) | (1,953,774) | (8,937,362) | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (4,647,754) | (962,339) | (61,619,614) | ||
Written options | 47,227,177 | 2,009,219 | — | ||
Purchased options | (38,710,807) | (1,655,383) | — | ||
Net change in unrealized gain (loss) | 3,868,616 | (608,503) | (61,619,614) | ||
Net realized and unrealized loss | (56,565,495) | (2,562,277) | (70,556,976) | ||
Net decrease in net assets resulting from operations | $ (58,265,058) | $(2,647,656) | $(64,077,168) |
39 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Investment income: | |||
Dividends | $ 10,679 | $ — | |
Interest | 765,340 | 9,115,398 | |
Income from security lending | 10,132 | — | |
Total investment income | 786,151 | 9,115,398 | |
Expenses: | |||
Management fees | 198,122 | 1,511,778 | |
Administration, transfer agent and custody fees | 62,678 | 182,315 | |
Professional fees | 8,973 | 108,618 | |
Shareholder report expenses | 2,366 | 19,570 | |
Shareholder servicing fees | 56,606 | 510,432 | |
Directors’ fees and expenses | 6,322 | 29,032 | |
Interest expense | 154 | 4,250 | |
Registration and filing fees | 4,835 | 6,020 | |
Other expenses | 9,312 | 36,499 | |
Total expenses | 349,368 | 2,408,514 | |
Less expenses waived/reimbursed | (37,879) | (63,806) | |
Net expenses | 311,489 | 2,344,708 | |
Net investment income | 474,662 | 6,770,690 | |
Realized and unrealized loss: | |||
Net realized loss on: | |||
Investment transactions | (419,029) | (9,361,228) | |
Net change in unrealized loss on: | |||
Investments | (1,956,193) | (39,867,953) | |
Net realized and unrealized loss | (2,375,222) | (49,229,181) | |
Net decrease in net assets resulting from operations | $(1,900,560) | $(42,458,491) |
40 |
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 | $ 11,713,464 | $ 8,444,069 | $ 39,444 | ||
Net realized gain on: | |||||
Investment transactions | 193,752,678 | 160,666,842 | 94,282 | ||
Net change in unrealized loss on: | |||||
Investments | (374,472,637) | (626,839,106) | (303,423) | ||
Net increase (decrease) in net assets resulting from operations | (169,006,495) | (457,728,195) | (169,697) | ||
Distributions from earnings | — | — | (37,841) | ||
Distributions from earnings: Advisor Class | (150,805,227) | (302,740,550) | — | ||
Distributions from earnings: Institutional Class | (19,740,872) | (104,880,062) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (90,178,388) | 699,425,959 | (614,744) | ||
Net increase (decrease) in net assets | (429,730,982) | (165,922,848) | (822,282) | ||
NET ASSETS: | |||||
Beginning of year | 1,420,900,718 | 2,332,625,006 | 2,487,135 | ||
End of year | $ 991,169,736 | $2,166,702,158 | $1,664,853 |
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 | $ 10,678,272 | $ 4,403,265 | $ 32,610 | ||
Net realized gain on: | |||||
Investment transactions | 174,197,674 | 472,680,948 | 192,898 | ||
Net change in unrealized gain on: | |||||
Investments | 303,612,374 | 383,735,184 | 531,814 | ||
Net increase in net assets resulting from operations | 488,488,320 | 860,819,397 | 757,322 | ||
Distributions from earnings | — | — | (32,775) | ||
Distributions from earnings: Advisor Class | (97,666,788) | (235,473,637) | — | ||
Distributions from earnings: Institutional Class | (13,261,819) | (80,080,381) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (195,841,253) | (415,858,062) | 175,088 | ||
Net increase in net assets | 181,718,460 | 129,407,317 | 899,635 | ||
NET ASSETS: | |||||
Beginning of year | 1,239,182,258 | 2,203,217,689 | 1,587,500 | ||
End of year | $1,420,900,718 | $2,332,625,006 | $2,487,135 |
41 |
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 | $ 15,390 | $ 888,300 | $ 293,365 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 117,592 | (18,785) | 1,659,372 | ||
Foreign currency transactions | — | (37,714) | — | ||
Net change in unrealized loss on: | |||||
Investments | (178,389) | (6,391,166) | (6,394,134) | ||
Foreign currency translations | — | (4,701) | — | ||
Net increase (decrease) in net assets resulting from operations | (45,407) | (5,564,066) | (4,441,397) | ||
Distributions from earnings | (155,187) | (1,140,214) | (3,071,064) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 166,061 | (11,426,255) | (1,426,217) | ||
Net increase (decrease) in net assets | (34,533) | (18,130,535) | (8,938,678) | ||
NET ASSETS: | |||||
Beginning of year | 1,555,554 | 41,069,132 | 32,861,362 | ||
End of year | $1,521,021 | $ 22,938,597 | $23,922,684 |
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 | $ 7,572 | $ 1,207,251 | $ 218,467 | ||
Net realized gain on: | |||||
Investment transactions | 213,765 | 11,341,780 | 3,795,554 | ||
Foreign currency transactions | — | 6,448 | — | ||
Net change in unrealized gain (loss) on: | |||||
Investments | 351,970 | 2,809,057 | 6,354,818 | ||
Foreign currency translations | — | (578) | — | ||
Net increase in net assets resulting from operations | 573,307 | 15,363,958 | 10,368,839 | ||
Distributions from earnings | (7,665) | (1,099,884) | (218,408) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 7,588 | (26,497,058) | 369,382 | ||
Net increase (decrease) in net assets | 573,230 | (12,232,984) | 10,519,813 | ||
NET ASSETS: | |||||
Beginning of year | 982,324 | 53,302,116 | 22,341,549 | ||
End of year | $1,555,554 | $ 41,069,132 | $32,861,362 |
42 |
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) | $ 313,202 | $ (137,459) | $ 171,472 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 474,768 | 2,293,339 | (401,204) | ||
Securities sold short | — | (858,824) | 190,496 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (4,312,942) | (6,231,683) | (6,934,443) | ||
Securities sold short | — | 9,655,617 | 2,273,396 | ||
Net increase (decrease) in net assets resulting from operations | (3,524,972) | 4,720,990 | (4,700,283) | ||
Distributions from earnings | (4,758,943) | — | (5,752,261) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 2,569,045 | (11,038,120) | 18,327,845 | ||
Net increase (decrease) in net assets | (5,714,870) | (6,317,130) | 7,875,301 | ||
NET ASSETS: | |||||
Beginning of year | 27,886,868 | 63,257,318 | 35,960,588 | ||
End of year | $22,171,998 | $ 56,940,188 | $43,835,889 |
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) | $ 277,748 | $ (598,561) | $ 51,541 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 5,272,363 | 29,703,100 | 8,396,277 | ||
Securities sold short | — | (16,308,336) | (1,956,213) | ||
Net change in unrealized gain (loss) on: | |||||
Investments | 3,874,619 | 4,352,912 | 11,392,586 | ||
Securities sold short | — | (3,831,449) | (1,027,369) | ||
Net increase in net assets resulting from operations | 9,424,730 | 13,317,666 | 16,856,822 | ||
Distributions from earnings | (275,552) | — | (3,468,836) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (2,940,670) | (47,073,424) | (5,874,024) | ||
Net increase (decrease) in net assets | 6,208,508 | (33,755,758) | 7,513,962 | ||
NET ASSETS: | |||||
Beginning of year | 21,678,360 | 97,013,076 | 28,446,626 | ||
End of year | $27,886,868 | $ 63,257,318 | $35,960,588 |
43 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 882,586 | $ 6,348,854 | $ 346,408 | ||
Net realized gain on: | |||||
Investment transactions | 15,175,687 | 142,991,756 | 627,015 | ||
Net change in unrealized loss on: | |||||
Investments | (51,143,682) | (259,705,445) | (1,601,958) | ||
Net increase (decrease) in net assets resulting from operations | (35,085,409) | (110,364,835) | (628,535) | ||
Distributions from earnings | (27,306,344) | — | (1,345,717) | ||
Distributions from earnings: Advisor Class | — | (23,646,969) | — | ||
Distributions from earnings: Institutional Class | — | (43,673,126) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (14,610,145) | (186,351,743) | 1,580,234 | ||
Net increase (decrease) in net assets | (77,001,898) | (364,036,673) | (394,018) | ||
NET ASSETS: | |||||
Beginning of year | 268,647,789 | 1,474,842,702 | 22,296,114 | ||
End of year | $191,645,891 | $1,110,806,029 | $21,902,096 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 977,487 | $ 2,042,406 | $ 326,851 | ||
Net realized gain on: | |||||
Investment transactions | 28,403,863 | 279,610,445 | 1,138,498 | ||
Net change in unrealized gain on: | |||||
Investments | 58,754,619 | 380,298,133 | 4,859,788 | ||
Net increase in net assets resulting from operations | 88,135,969 | 661,950,984 | 6,325,137 | ||
Distributions from earnings | (13,949,594) | — | (333,966) | ||
Distributions from earnings: Advisor Class | — | (675,464) | — | ||
Distributions from earnings: Institutional Class | — | (2,355,570) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (24,985,150) | (423,401,927) | (2,254,877) | ||
Net increase in net assets | 49,201,225 | 235,518,023 | 3,736,294 | ||
NET ASSETS: | |||||
Beginning of year | 219,446,564 | 1,239,324,679 | 18,559,820 | ||
End of year | $268,647,789 | $1,474,842,702 | $22,296,114 |
44 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $ (1,699,563) | $ (85,379) | $ 6,479,808 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (11,935) | (447,395) | (8,937,362) | ||
Options written | 158,020,611 | 4,967,908 | — | ||
Purchased options | (218,442,787) | (6,474,287) | — | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (4,647,754) | (962,339) | (61,619,614) | ||
Options written | 47,227,177 | 2,009,219 | — | ||
Purchased options | (38,710,807) | (1,655,383) | — | ||
Net increase (decrease) in net assets resulting from operations | (58,265,058) | (2,647,656) | (64,077,168) | ||
Distributions from earnings | — | (2,244,214) | (7,978,720) | ||
Distributions from earnings: Advisor Class | (10,623,078) | — | — | ||
Distributions from earnings: Institutional Class | (40,390,275) | — | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 179,474,929 | 7,801,745 | (32,683,376) | ||
Net increase (decrease) in net assets | 70,196,518 | 2,909,875 | (104,739,264) | ||
NET ASSETS: | |||||
Beginning of year | 431,387,484 | 17,152,173 | 424,511,906 | ||
End of year | $ 501,584,002 | $20,062,048 | $ 319,772,642 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $ (2,580,041) | $ (128,344) | $ 5,437,783 | ||
Net realized gain (loss) on: | |||||
Investment transactions | — | 17,310 | 2,358,755 | ||
Options written | (222,593,355) | (5,263,761) | — | ||
Purchased options | 305,688,495 | 7,368,696 | — | ||
Net change in unrealized gain (loss) on: | |||||
Investments | 6,590,096 | 15,767 | (16,338,405) | ||
Options Written | (51,954,232) | (1,734,507) | — | ||
Purchased options | 68,158,398 | 2,129,858 | — | ||
Net increase (decrease) in net assets resulting from operations | 103,309,361 | 2,405,019 | (8,541,867) | ||
Distributions from earnings | — | (425,289) | (14,413,019) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (122,296,786) | 5,524,771 | 10,492,270 | ||
Net increase (decrease) in net assets | (18,987,425) | 7,504,501 | (12,462,616) | ||
NET ASSETS: | |||||
Beginning of year | 450,374,909 | 9,647,672 | 436,974,522 | ||
End of year | $ 431,387,484 | $17,152,173 | $424,511,906 |
45 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $ 474,662 | $ 6,770,690 | |
Net realized loss on: | |||
Investment transactions | (419,029) | (9,361,228) | |
Net change in unrealized loss on: | |||
Investments | (1,956,193) | (39,867,953) | |
Net increase (decrease) in net assets resulting from operations | (1,900,560) | (42,458,491) | |
Distributions from earnings | (444,784) | (9,081,974) | |
Net increase (decrease) in net assets from capital share transactions (See note 5) | 3,024,664 | (74,161,112) | |
Net increase (decrease) in net assets | 679,320 | (125,701,577) | |
NET ASSETS: | |||
Beginning of year | 56,284,090 | 282,511,596 | |
End of year | $56,963,410 | $ 156,810,019 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $ 410,158 | $ 6,472,008 | |
Net realized gain (loss) on: | |||
Investment transactions | (30,408) | 2,179,563 | |
Net change in unrealized gain (loss) on: | |||
Investments | (277,478) | 7,807,991 | |
Net increase in net assets resulting from operations | 102,272 | 16,459,562 | |
Distributions from earnings | (450,263) | (6,432,972) | |
Net increase in net assets from capital share transactions (See note 5) | 3,107,433 | 39,702,451 | |
Net increase in net assets | 2,759,442 | 49,729,041 | |
NET ASSETS: | |||
Beginning of year | 53,524,648 | 232,782,555 | |
End of year | $56,284,090 | $282,511,596 |
46 |
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 | $ 4,720,990 |
Investments purchased | (61,827,903) |
Investments sold | 63,549,711 |
Purchases to cover securities sold short | (54,903,699) |
Securities sold short | 59,091,894 |
(Purchase)/Sale of short term investments, net | 23,297 |
Increase in Interest receivable | (78,800) |
Increase in Receivable from Investment Advisor | (4,110) |
Decrease in Cash collateral on deposit at broker | 4,962,568 |
Decrease in Securities lending income receivable | 69 |
Decrease in Dividends receivable | 2,730 |
Decrease in Prepaid expenses | 289 |
Increase in Obligation to return securities lending collateral | 108,770 |
Increase in Line of credit interest payable | 127 |
Increase in Dividends payable for securities sold short | 14,830 |
Decrease in Payable for Management fees | (31,695) |
Decrease in Payable for Directors’ fees | (1,147) |
Decrease in Payable for Shareholder Servicing fees | (1,626) |
Increase in Accrued expenses | 10,117 |
Net realized gain from investments | (2,293,339) |
Net realized loss from securities sold short | 858,824 |
Net change in unrealized loss on investments | 6,231,683 |
Net change in unrealized gain on securities sold short | (9,655,617) |
Net cash provided by (used in) operating activities | 10,777,963 |
Cash flows from financing activities | |
Proceeds from shares sold | 16,408,642 |
Payments on shares redeemed | (27,445,452) |
Net cash provided by (used in) financing activities | (11,036,810) |
Net increase (decrease) in cash | (258,847) |
Cash at beginning of period | — |
Cash at end of period | $ (258,847) |
Supplemental disclosure of cash flow information |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2022. |
47 |
Quantitative U.S. Total Market Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net decrease in net assets from operations to net cash provided by (used in) operating activities | |
Net decrease in net assets resulting from operations | $ (4,700,283) |
Investments purchased | (63,414,038) |
Investments sold | 46,674,688 |
Purchases to cover securities sold short | (13,019,955) |
Securities sold short | 17,028,832 |
(Purchase)/Sale of short term investments, net | (498,891) |
Increase in Interest receivable | (7) |
Increase in Receivable from Investment Advisor | (2,187) |
Decrease in Securities lending income receivable | 105 |
Increase in Dividends receivable | (30,619) |
Increase in Prepaid expenses | (15) |
Increase in Obligation to return securities lending collateral | 435,257 |
Increase in Line of credit interest payable | 124 |
Increase in Dividends payable for securities sold short | 6,139 |
Decrease in Payable for Management fees | (5,523) |
Increase in Payable for Directors’ fees | 181 |
Increase in Payable for Shareholder Servicing fees | 1,172 |
Increase in Accrued expenses | 12,668 |
Net realized loss from investments | 401,204 |
Net realized loss from securities sold short | (190,496) |
Net change in unrealized loss on investments | 6,934,443 |
Net change in unrealized gain on securities sold short | (2,273,396) |
Net cash provided by (used in) operating activities | (12,640,597) |
Cash flows from financing activities | |
Proceeds from shares sold | 26,417,911 |
Payments on shares redeemed | (13,580,439) |
Cash distributions paid | (198,873) |
Net cash provided by (used in) financing activities | 12,638,599 |
Net increase (decrease) in cash | (1,998) |
Cash at beginning of period | — |
Cash at end of period | $ (1,998) |
Supplemental disclosure of cash flow information |
Cash paid for interest was $96,962. |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $5,553,388. |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2022. |
48 |
Quantitative U.S. Large Cap Core Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 1 | |||||
Net asset value, beginning of year | $ 32.97 | $ 24.99 | $ 26.89 | $ 27.88 | $ 28.08 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.26 | 0.23 | 0.29 | 0.35 | 0.29 | ||||
Net realized and unrealized gain (loss) on investments | (4.01) | 10.15 | (0.73) | 1.18 | 0.95 | ||||
Total from investment operations | (3.75) | 10.38 | (0.44) | 1.53 | 1.24 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.27) | (0.24) | (0.29) | (0.35) | (0.28) | ||||
Net realized capital gains | (3.80) | (2.16) | (1.17) | (2.17) | (1.16) | ||||
Total distributions | (4.07) | (2.40) | (1.46) | (2.52) | (1.44) | ||||
Net asset value, end of year | $ 25.15 | $ 32.97 | $ 24.99 | $ 26.89 | $ 27.88 | ||||
Total return | (12.89)% | 43.77% | (1.90)% | 6.42% | 4.42% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $924,570 | $1,255,795 | $1,066,153 | $1,674,687 | $2,075,264 | ||||
Ratio of operating expenses to average net assets | 0.84% 2 | 0.85% 2 | 0.87% | 0.86% | 0.85% | ||||
Ratio of net investment income to average net assets | 0.96% | 0.75% | 1.15% | 1.32% | 1.02% | ||||
Portfolio turnover rate3 | 66% | 41% | 66% | 80% | 71% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The ratio of operating expenses excluding interest expense was 0.84% and 0.85% for the years ended October 31, 2022 and 2021, respectively. |
3 | Portfolio turnover is calculated at the fund level. |
Quantitative U.S. Large Cap Core Equity Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 32.98 | $ 24.99 | $ 26.91 | $ 27.89 | $ 28.09 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.32 | 0.29 | 0.34 | 0.40 | 0.34 | ||||
Net realized and unrealized gain (loss) on investments | (4.02) | 10.16 | (0.75) | 1.20 | 0.95 | ||||
Total from investment operations | (3.70) | 10.45 | (0.41) | 1.60 | 1.29 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.30) | (0.34) | (0.41) | (0.33) | ||||
Net realized capital gains | (3.80) | (2.16) | (1.17) | (2.17) | (1.16) | ||||
Total distributions | (4.13) | (2.46) | (1.51) | (2.58) | (1.49) | ||||
Net asset value, end of year | $ 25.15 | $ 32.98 | $ 24.99 | $ 26.91 | $ 27.89 | ||||
Total return | (12.73)% | 44.10% | (1.75)% | 6.68% | 4.61% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $66,600 | $165,106 | $173,029 | $673,825 | $767,117 | ||||
Ratio of operating expenses to average net assets | 0.64% 2 | 0.65% 2 | 0.67% | 0.66% | 0.65% | ||||
Ratio of net investment income to average net assets | 1.14% | 0.96% | 1.32% | 1.52% | 1.22% | ||||
Portfolio turnover rate3 | 66% | 41% | 66% | 80% | 71% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The ratio of operating expenses excluding interest expense was 0.64% and 0.65% for the years ended October 31, 2022 and 2021, respectively . |
3 | Portfolio turnover is calculated at the fund level. |
49 |
Quantitative U.S. Large Cap Growth Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 40.64 | $ 32.02 | $ 33.08 | $ 32.52 | $ 31.54 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.09 | 0.05 | 0.12 | 0.16 | 0.16 | ||||
Net realized and unrealized gain (loss) on investments | (5.65) | 13.33 | 3.19 | 4.86 | 1.58 | ||||
Total from investment operations | (5.56) | 13.38 | 3.31 | 5.02 | 1.74 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.09) | (0.05) | (0.14) | (0.15) | (0.17) | ||||
Net realized capital gains | (7.04) | (4.71) | (4.23) | (4.31) | (0.59) | ||||
Total distributions | (7.13) | (4.76) | (4.37) | (4.46) | (0.76) | ||||
Net asset value, end of year | $ 27.95 | $ 40.64 | $ 32.02 | $ 33.08 | $ 32.52 | ||||
Total return | (16.67)% | 46.17% | 10.68% | 18.50% | 5.53% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,211,342 | $1,751,370 | $1,659,543 | $2,237,727 | $2,660,858 | ||||
Ratio of operating expenses to average net assets | 0.84% 2 | 0.85% 2 | 0.88% | 0.86% | 0.85% | ||||
Ratio of net investment income to average net assets | 0.28% | 0.15% | 0.40% | 0.53% | 0.44% | ||||
Portfolio turnover rate3 | 85% | 49% | 69% | 80% | 63% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The ratio of operating expenses excluding interest expense was 0.84% and 0.85% for the years ended October 31, 2022 and 2021, respectively. |
3 | Portfolio turnover is calculated at the fund level. |
Quantitative U.S. Large Cap Growth Equity Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 40.64 | $ 32.02 | $ 33.09 | $ 32.53 | $ 31.55 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.15 | 0.12 | 0.19 | 0.21 | 0.21 | ||||
Net realized and unrealized gain (loss) on investments | (5.65) | 13.34 | 3.18 | 4.88 | 1.59 | ||||
Total from investment operations | (5.50) | 13.46 | 3.37 | 5.09 | 1.80 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.13) | (0.21) | (0.22) | (0.23) | ||||
Net realized capital gains | (7.04) | (4.71) | (4.23) | (4.31) | (0.59) | ||||
Total distributions | (7.19) | (4.84) | (4.44) | (4.53) | (0.82) | ||||
Net asset value, end of year | $ 27.95 | $ 40.64 | $ 32.02 | $ 33.09 | $ 32.53 | ||||
Total return | (16.49)% | 46.47% | 10.89% | 18.74% | 5.74% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $955,360 | $581,255 | $543,675 | $1,250,995 | $746,030 | ||||
Ratio of operating expenses to average net assets | 0.64% 2 | 0.65% 2 | 0.68% | 0.66% | 0.65% | ||||
Ratio of net investment income to average net assets | 0.49% | 0.34% | 0.62% | 0.69% | 0.64% | ||||
Portfolio turnover rate3 | 85% | 49% | 69% | 80% | 63% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The ratio of operating expenses excluding interest expense was 0.64% and 0.65% for the years ended October 31, 2022 and 2021, respectively . |
3 | Portfolio turnover is calculated at the fund level. |
50 |
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||||
For the Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | ||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | ||||||
Net asset value, beginning of year | $13.05 | $ 9.03 | $ 10.29 | $ 9.82 | $10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.21 | 0.18 | 0.20 | 0.21 | 0.14 | ||||
Net realized and unrealized gain (loss) on investments | (0.67) | 4.02 | (1.26) | 0.49 | (0.20) | ||||
Total from investment operations | (0.46) | 4.20 | (1.06) | 0.70 | (0.06) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.18) | (0.20) | (0.23) | (0.12) | ||||
Total distributions | (0.22) | (0.18) | (0.20) | (0.23) | (0.12) | ||||
Net asset value, end of year | $12.37 | $13.05 | $ 9.03 | $10.29 | $ 9.82 | ||||
Total return3 | (3.49)% | 46.66% | (10.19)% | 7.33% | (0.69)% 4 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,665 | $2,487 | $ 1,588 | $2,040 | $1,092 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.27% | 2.45% | 2.66% | 3.20% | 6.52% 5 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 6 | 0.85% | 0.85% | 0.89% | 1.00% 5 | ||||
Ratio of net investment income to average net assets | 1.66% | 1.48% | 2.15% | 2.08% | 1.36% 5 | ||||
Portfolio turnover rate | 76% | 68% | 95% | 77% | 61% 7 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses excluding interest expense was 0.85% for the year ended October 31, 2022. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
51 |
Quantitative U.S. Small Cap Equity Portfolio | |||||||||
For the Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | ||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | ||||||
Net asset value, beginning of year | $15.05 | $ 9.55 | $10.39 | $10.25 | $10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.14 | 0.07 | 0.06 | 0.05 | 0.05 | ||||
Net realized and unrealized gain (loss) on investments | (0.57) | 5.50 | (0.82) | 0.17 | 0.24 | ||||
Total from investment operations | (0.43) | 5.57 | (0.76) | 0.22 | 0.29 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.07) | (0.08) | (0.08) | (0.04) | ||||
Net realized capital gains | (1.34) | — | — | — | — | ||||
Total distributions | (1.49) | (0.07) | (0.08) | (0.08) | (0.04) | ||||
Net asset value, end of year | $13.13 | $15.05 | $ 9.55 | $10.39 | $10.25 | ||||
Total return3 | (2.97)% | 58.45% | (7.37)% | 2.19% | 2.85% 4 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,521 | $1,556 | $ 982 | $1,061 | $1,074 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.49% | 3.45% | 4.63% | 4.12% | 6.48% 5 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.85% | 0.85% | 0.90% | 1.00% 5 | ||||
Ratio of net investment income to average net assets | 1.03% | 0.53% | 0.65% | 0.53% | 0.44% 5 | ||||
Portfolio turnover rate | 94% | 84% | 101% | 133% | 80% 6 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Not annualized. |
5 | Annualized. |
6 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
52 |
Quantitative International Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 15.54 | $ 12.05 | $ 13.97 | $ 13.26 | $ 15.16 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.42 | 0.36 | 0.26 | 0.39 | 0.29 | ||||
Net realized and unrealized gain (loss) on investments | (3.15) | 3.48 | (1.79) | 0.73 | (1.90) | ||||
Total from investment operations | (2.73) | 3.84 | (1.53) | 1.12 | (1.61) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.54) | (0.35) | (0.37) | (0.41) | (0.29) | ||||
Net return of capital | — | — | (0.02) | — | — | ||||
Total distributions | (0.54) | (0.35) | �� | (0.39) | (0.41) | (0.29) | |||
Net asset value, end of year | $ 12.27 | $ 15.54 | $ 12.05 | $ 13.97 | $ 13.26 | ||||
Total return2 | (17.89)% | 31.96% | (11.10)% | 8.60% | (10.80)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $22,939 | $41,069 | $53,302 | $205,629 | $387,188 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.27% | 1.19% | 1.15% | 1.10% | 1.07% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% 3 | 1.00% 3 | 1.00% | 1.00% | 1.00% | ||||
Ratio of net investment income to average net assets | 2.93% | 2.40% | 1.99% | 2.90% | 1.90% | ||||
Portfolio turnover rate | 91% | 79% | 76% | 93% | 78% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 1.00% and 1.00% for the years ended October 31, 2022 and 2021, respectively. |
Responsible ESG U.S. Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 1 | |||||
Net asset value, beginning of year | $ 20.71 | $ 14.26 | $ 14.34 | $ 14.12 | $ 13.61 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.18 | 0.14 | 0.15 | 0.16 | 0.11 | ||||
Net realized and unrealized gain (loss) on investments | (2.86) | 6.45 | (0.02) | 0.74 | 0.57 | ||||
Total from investment operations | (2.68) | 6.59 | 0.13 | 0.90 | 0.68 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.17) | (0.14) | (0.15) | (0.17) | (0.11) | ||||
Net realized capital gains | (1.76) | — | (0.06) | (0.51) | (0.06) | ||||
Total distributions | (1.93) | (0.14) | (0.21) | (0.68) | (0.17) | ||||
Net asset value, end of year | $ 16.10 | $ 20.71 | $ 14.26 | $ 14.34 | $ 14.12 | ||||
Total return2 | (14.02)% | 46.31% | 0.87% | 6.78% | 5.01% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $23,923 | $32,861 | $22,342 | $23,231 | $21,746 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.02% | 1.05% | 1.05% | 1.07% | 1.09% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 3 | 0.85% | 0.85% | 0.90% | 1.00% | ||||
Ratio of net investment income to average net assets | 1.02% | 0.74% | 1.02% | 1.17% | 0.87% | ||||
Portfolio turnover rate | 101% | 74% | 88% | 102% | 61% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | The ratio of operating expenses excluding interest expense was 0.85% for the year ended October 31, 2022. |
53 |
Women in Leadership U.S. Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 1 | |||||
Net asset value, beginning of year | $ 19.27 | $ 13.52 | $ 13.98 | $ 13.34 | $ 13.10 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.19 | 0.18 | 0.16 | 0.15 | 0.12 | ||||
Net realized and unrealized gain (loss) on investments | (2.33) | 5.75 | (0.47) | 1.08 | 0.32 | ||||
Total from investment operations | (2.14) | 5.93 | (0.31) | 1.23 | 0.44 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.19) | (0.18) | (0.15) | (0.15) | (0.11) | ||||
Net realized capital gains | (3.24) | — | — | (0.44) | (0.09) | ||||
Total distributions | (3.43) | (0.18) | (0.15) | (0.59) | (0.20) | ||||
Net asset value, end of year | $ 13.70 | $ 19.27 | $ 13.52 | $ 13.98 | $ 13.34 | ||||
Total return2 | (13.15)% | 43.94% | (2.15)% | 9.75% | 3.36% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $22,172 | $27,887 | $21,678 | $21,047 | $18,974 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.05% | 1.04% | 1.08% | 1.11% | 1.11% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 3 | 0.85% 3 | 0.85% | 0.90% | 1.00% | ||||
Ratio of net investment income to average net assets | 1.27% | 1.01% | 1.19% | 1.14% | 0.88% | ||||
Portfolio turnover rate | 105% | 81% | 105% | 89% | 81% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 0.85% and 0.85% for the years ended October 31, 2022 and 2021, respectively. |
54 |
Quantitative U.S. Long/Short Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 1 | |||||
Net asset value, beginning of year | $ 12.93 | $ 11.05 | $ 11.90 | $ 12.55 | $ 12.86 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.03) | (0.10) | (0.07) | 0.11 | 0.03 | ||||
Net realized and unrealized gain (loss) on investments | 1.16 | 1.98 | (0.77) | (0.65) | (0.34) | ||||
Total from investment operations | 1.13 | 1.88 | (0.84) | (0.54) | (0.31) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | — | — | (0.11) | — | ||||
Net return of capital | — | — | (0.01) | — | — | ||||
Total distributions | — | — | (0.01) | (0.11) | — | ||||
Net asset value, end of year | $ 14.06 | $ 12.93 | $ 11.05 | $ 11.90 | $ 12.55 | ||||
Total return2 | 8.74% 3 | 17.01% | (7.07)% | (4.33)% | (2.41)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $48,370 | $56,002 | $96,702 | $247,209 | $333,806 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.76% | 2.88% | 2.99% | 2.78% | 2.61% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets4 | 2.36% | 2.51% | 2.63% | 2.43% | 2.26% | ||||
Ratio of net investment income (loss) to average net assets | (0.25)% | (0.78)% | (0.59)% | 0.91% | 0.24% | ||||
Portfolio turnover rate5,6 | 118% | 115% | 133% | 108% | 84% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions as shown in the management discussion and analysis and as otherwise reported to shareholders. |
4 | The ratio of operating expenses after waiver/reimbursement excluding interest expenses, dividends on securities sold short and flex fees was 1.25%, 1.25%, 1.25%, 1.21% and 1.15% for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
5 | Portfolio turnover is calculated at the fund level. |
6 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
55 |
Quantitative U.S. Long/Short Equity Portfolio Institutional Shares | |||||||
For The Year Ended October 31, | For the Period September 13, 20191 through October 31, 20192 | ||||||
2022 2 | 2021 2 | 2020 2 | |||||
Net asset value, beginning of year | $12.97 | $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 | 1.16 | 1.93 | (0.71) | (0.08) | |||
Total from investment operations | 1.16 | 1.90 | (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 year | $14.13 | $12.97 | $11.07 | $11.89 | |||
Total return3 | 8.94% 4 | 17.16% 4 | (6.78)% | (0.62)% 5 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $8,571 | $7,255 | $ 311 | $ 16 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.57% | 3.88% | 2.59% | 2.36% 6 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets7 | 2.17% | 3.52% | 2.23% | 2.01% 6 | |||
Ratio of net investment income (loss) to average net assets | (0.01)% | (0.27)% | (0.89)% | 0.36% 6 | |||
Portfolio turnover rate8,9 | 118% | 115% | 133% | 108% |
1 | Shareholder activity commenced on September 13, 2019. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions as shown in the management discussion and analysis and as otherwise reported to shareholders. |
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%, 1.05% and 1.05% for the years ended October 31, 2022, 2021 and 2020, respectively, 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. |
56 |
Quantitative U.S. Total Market Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 22.90 | $ 15.34 | $ 17.88 | $ 18.85 | $ 18.88 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.07 | 0.03 | 0.07 | 0.11 | 0.07 | ||||
Net realized and unrealized gain (loss) on investments | (1.57) | 9.45 | (1.52) | 0.49 | 0.51 | ||||
Total from investment operations | (1.50) | 9.48 | (1.45) | 0.60 | 0.58 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.08) | (0.03) | (0.11) | (0.11) | (0.06) | ||||
Net realized capital gains | (3.51) | (1.89) | (0.98) | (1.46) | (0.55) | ||||
Total distributions | (3.59) | (1.92) | (1.09) | (1.57) | (0.61) | ||||
Net asset value, end of year | $ 17.81 | $ 22.90 | $ 15.34 | $ 17.88 | $ 18.85 | ||||
Total return2 | (7.76)% | 66.37% | (8.82)% | 4.11% | 3.01% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $43,836 | $35,961 | $28,447 | $67,923 | $90,610 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.36% | 2.23% | 2.56% | 2.48% | 2.31% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets3 | 1.99% | 1.83% | 2.06% | 2.07% | 1.96% | ||||
Ratio of net investment income to average net assets | 0.39% | 0.15% | 0.45% | 0.60% | 0.37% | ||||
Portfolio turnover rate4 | 95% | 71% | 98% | 92% | 82% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | The ratio of operating expenses after waiver/reimbursement excluding interest expense, dividends on securities sold short and flex fees was 1.25%, 1.25%, 1.25%, 1.25% and 1.25% for the years ended October 31, 2022, 2021, 2020, 2019 and 2018 respectively. |
4 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
57 |
Strategic Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 35.56 | $ 26.43 | $ 27.22 | $ 24.30 | $ 24.90 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.12 | 0.12 | 0.21 | 0.23 | 0.20 | ||||
Net realized and unrealized gain (loss) on investments | (4.56) | 10.73 | (0.25) | 3.22 | 1.07 | ||||
Total from investment operations | (4.44) | 10.85 | (0.04) | 3.45 | 1.27 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.12) | (0.13) | (0.22) | (0.23) | (0.20) | ||||
Net realized capital gains | (3.55) | (1.59) | (0.53) | (0.30) | (1.67) | ||||
Total distributions | (3.67) | (1.72) | (0.75) | (0.53) | (1.87) | ||||
Net asset value, end of year | $ 27.45 | $ 35.56 | $ 26.43 | $ 27.22 | $ 24.30 | ||||
Total return | (13.95)% | 42.57% | (0.18)% | 14.51% | 5.14% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $191,646 | $268,648 | $219,447 | $269,033 | $226,032 | ||||
Ratio of operating expenses to average net assets | 0.85% 2 | 0.85% | 0.86% | 0.84% | 0.83% | ||||
Ratio of net investment income to average net assets | 0.39% | 0.38% | 0.79% | 0.89% | 0.79% | ||||
Portfolio turnover rate | 20% | 14% | 19% | 19% | 6% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The ratio of operating expenses excluding interest expense was 0.85% for the year ended October 31, 2022. |
Small Cap Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 37.06 | $ 23.23 | $ 23.66 | $ 28.82 | $ 32.13 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.12 | — | 0.02 | 0.05 | 0.02 | ||||
Net realized and unrealized gain (loss) on investments | (2.47) | 13.87 | (0.41) | (1.04) | (0.10) | ||||
Total from investment operations | (2.35) | 13.87 | (0.39) | (0.99) | (0.08) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.11) | (0.04) | (0.04) | (0.07) | (0.02) | ||||
Net realized capital gains | (1.56) | — | — | (4.09) | (3.21) | ||||
Net return of capital | — | — | (0.00) 2 | (0.01) | — | ||||
Total distributions | (1.67) | (0.04) | (0.04) | (4.17) | (3.23) | ||||
Net asset value, end of year | $ 33.04 | $ 37.06 | $ 23.23 | $ 23.66 | $ 28.82 | ||||
Total return | (6.59)% | 59.75% | (1.63)% | (2.61)% | (0.58)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $468,157 | $530,401 | $403,309 | $761,813 | $1,390,136 | ||||
Ratio of operating expenses to average net assets | 0.93% 3 | 0.92% 3 | 0.94% | 0.93% | 0.90% | ||||
Ratio of net investment income to average net assets | 0.35% | 0.01% | 0.11% | 0.21% | 0.07% | ||||
Portfolio turnover rate4 | 28% | 41% | 36% | 54% | 44% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Amount rounds to less than $0.01 per share. |
3 | The ratio of operating expenses excluding interest expense was 0.93% and 0.92% for the years ended October 31, 2022 and 2021, respectively. |
4 | Portfolio turnover is calculated at the fund level. |
58 |
Small Cap Equity Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 39.29 | $ 24.61 | $ 25.07 | $ 30.25 | $ 33.54 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.20 | 0.08 | 0.07 | 0.10 | 0.09 | ||||
Net realized and unrealized gain (loss) on investments | (2.62) | 14.68 | (0.44) | (1.06) | (0.10) | ||||
Total from investment operations | (2.42) | 14.76 | (0.37) | (0.96) | (0.01) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.18) | (0.08) | (0.09) | (0.12) | (0.07) | ||||
Net realized capital gains | (1.56) | — | — | (4.09) | (3.21) | ||||
Net return of capital | — | — | (0.00) 2 | (0.01) | — | ||||
Total distributions | (1.74) | (0.08) | (0.09) | (4.22) | (3.28) | ||||
Net asset value, end of year | $ 35.13 | $ 39.29 | $ 24.61 | $ 25.07 | $ 30.25 | ||||
Total return | (6.39)% | 60.04% | (1.44)% | (2.38)% | (0.36)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $642,649 | $944,442 | $836,015 | $1,279,693 | $2,131,461 | ||||
Ratio of operating expenses to average net assets | 0.73% 3 | 0.72% 3 | 0.74% | 0.73% | 0.70% | ||||
Ratio of net investment income to average net assets | 0.54% | 0.22% | 0.29% | 0.39% | 0.27% | ||||
Portfolio turnover rate4 | 28% | 41% | 36% | 54% | 44% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Amount rounds to less than $0.01 per share. |
3 | The ratio of operating expenses excluding interest expense was 0.73% and 0.72% for the years ended October 31, 2022 and 2021, respectively . |
4 | Portfolio turnover is calculated at the fund level. |
Equity Income Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 15.92 | $ 11.88 | $ 12.22 | $ 11.15 | $ 11.06 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.23 | 0.22 | 0.26 | 0.25 | 0.22 | ||||
Net realized and unrealized gain (loss) on investments | (0.63) | 4.05 | (0.32) | 1.33 | 0.09 | ||||
Total from investment operations | (0.40) | 4.27 | (0.06) | 1.58 | 0.31 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.23) | (0.23) | (0.28) | (0.25) | (0.22) | ||||
Net realized capital gains | (0.71) | — | — | (0.26) | (0.00) 2 | ||||
Total distributions | (0.94) | (0.23) | (0.28) | (0.51) | (0.22) | ||||
Net asset value, end of year | $ 14.58 | $ 15.92 | $ 11.88 | $ 12.22 | $ 11.15 | ||||
Total return3 | (2.70)% | 36.12% | (0.38)% | 14.69% | 2.79% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $21,902 | $22,296 | $18,560 | $23,900 | $18,536 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 0.97% | 1.10% | 1.04% 4 | 1.01% | 1.11% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.85% | 0.85% 4 | 0.85% | 0.85% | ||||
Ratio of net investment income to average net assets | 1.57% | 1.53% | 2.21% 4 | 2.19% | 2.02% | ||||
Portfolio turnover rate | 15% | 27% | 63% | 39% | 29% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Amount rounds to less than $0.01 per share. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
59 |
Secured Options Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 14.83 | $ 11.67 | $ 13.01 | $ 12.30 | $ 12.75 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.07) | (0.11) | (0.07) | (0.04) | (0.06) | ||||
Net realized and unrealized gain (loss) on investments | (1.40) | 3.27 | (0.34) | 1.04 | 0.40 | ||||
Total from investment operations | (1.47) | 3.16 | (0.41) | 1.00 | 0.34 | ||||
Distributions to shareholders from: | |||||||||
Net realized capital gains | (1.78) | — | (0.93) | (0.29) | (0.79) | ||||
Total distributions | (1.78) | — | (0.93) | (0.29) | (0.79) | ||||
Net asset value, end of year | $ 11.58 | $ 14.83 | $ 11.67 | $ 13.01 | $ 12.30 | ||||
Total return | (11.29)% | 27.08% | (3.50)% | 8.43% | 2.81% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $70,447 | $90,143 | $95,701 | $268,478 | $445,946 | ||||
Ratio of operating expenses to average net assets2 | 0.85% | 0.86% | 0.88% | 0.87% 3 | 0.84% | ||||
Ratio of net investment income (loss) to average net assets2 | (0.55)% | (0.77)% | (0.59)% | (0.34)% | (0.50)% | ||||
Portfolio turnover rate4,5 | —% | —% | —% | —% | —% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
3 | The ratio of operating expenses excluding interest expense was 0.86% for the year ended October 31, 2019. |
4 | Portfolio turnover is calculated at the fund level. |
5 | All trading activity in the Portfolio during the year was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
Secured Options Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 1 | |||||
Net asset value, beginning of year | $ 14.99 | $ 11.77 | $ 13.09 | $ 12.34 | $ 12.77 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.04) | (0.08) | (0.05) | (0.02) | (0.04) | ||||
Net realized and unrealized gain (loss) on investments | (1.43) | 3.30 | (0.34) | 1.06 | 0.40 | ||||
Total from investment operations | (1.47) | 3.22 | (0.39) | 1.04 | 0.36 | ||||
Distributions to shareholders from: | |||||||||
Net realized capital gains | (1.78) | — | (0.93) | (0.29) | (0.79) | ||||
Total distributions | (1.78) | — | (0.93) | (0.29) | (0.79) | ||||
Net asset value, end of year | $ 11.74 | $ 14.99 | $ 11.77 | $ 13.09 | $ 12.34 | ||||
Total return | (11.16)% | 27.36% | (3.31)% | 8.73% | 2.97% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $431,137 | $341,245 | $354,674 | $409,829 | $396,523 | ||||
Ratio of operating expenses to average net assets2 | 0.65% | 0.66% | 0.68% | 0.67% 3 | 0.64% | ||||
Ratio of net investment income (loss) to average net assets2 | (0.32)% | (0.57)% | (0.44)% | (0.14)% | (0.30)% | ||||
Portfolio turnover rate4,5 | —% | —% | —% | —% | —% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
3 | The ratio of operating expenses excluding interest expense was 0.66% for the year ended October 31, 2019. |
4 | Portfolio turnover is calculated at the fund level. |
5 | All trading activity in the Portfolio during the year was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
60 |
Global Secured Options Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1,2 | 2019 1,2 | 2018 1,2 | |||||
Net asset value, beginning of year | $ 5.64 | $ 4.84 | $ 4.90 | $104.10 | $105.80 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.02) | (0.05) | (0.04) | 0.02 | 0.10 | ||||
Net realized and unrealized gain (loss) on investments | (0.64) | 1.07 | (0.02) | (5.71) | (0.90) | ||||
Total from investment operations | (0.66) | 1.02 | (0.06) | (5.69) | (0.80) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | — | (0.00) 3 | (0.01) | (0.90) | ||||
Net realized capital gains | (0.73) | (0.22) | — | (93.50) | — | ||||
Total distributions | (0.73) | (0.22) | (0.00) 3 | (93.51) | (0.90) | ||||
Net asset value, end of year | $ 4.25 | $ 5.64 | $ 4.84 | $ 4.90 | $104.10 | ||||
Total return | (13.35)% 4 | 21.59% 4 | (1.07)% 4 | 8.56% 4 | (0.76)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $20,062 | $17,152 | $9,648 | $ 1,220 | $ 2,510 | ||||
Ratio of operating expenses to average net assets5 | —% | —% | —% | —% | 1.17% 6 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets5 | 1.22% | 1.30% | 2.13% | 9.76% | —% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets5 | 1.00% 6 | 1.00% | 1.00% | 1.63% 6 | —% | ||||
Ratio of net investment income to average net assets5 | (0.46)% | (0.96)% | (0.83)% | 0.32% | 0.08% | ||||
Portfolio turnover rate | 152% | —% 7 | 995% | 685% | 224% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | 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. |
3 | Amount rounds to less than $0.01 per share. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
6 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 1.00% for the year ended October 31, 2022 and the ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and interest expense was 1.62% and 1.11% for the years ended October 31, 2019 and 2018, respectively. |
7 | All trading activity in the Portfolio during the year was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
61 |
Core Fixed Income Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 11.11 | $ 11.71 | $ 11.31 | $ 10.49 | $ 11.04 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.18 | 0.14 | 0.21 | 0.25 | 0.25 | ||||
Net realized and unrealized gain (loss) on investments | (1.92) | (0.36) | 0.44 | 0.83 | (0.50) | ||||
Total from investment operations | (1.74) | (0.22) | 0.65 | 1.08 | (0.25) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.21) | (0.20) | (0.25) | (0.26) | (0.26) | ||||
Net realized capital gains | (0.00) 2 | (0.18) | — | — | (0.04) | ||||
Total distributions | (0.21) | (0.38) | (0.25) | (0.26) | (0.30) | ||||
Net asset value, end of year | $ 9.16 | $ 11.11 | $ 11.71 | $ 11.31 | $ 10.49 | ||||
Total return | (15.80)% | (1.91)% | 5.82% | 10.46% | (2.32)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $319,773 | $424,512 | $436,975 | $505,603 | $485,201 | ||||
Ratio of operating expenses to average net assets | 0.54% | 0.54% | 0.54% | 0.53% | 0.52% | ||||
Ratio of net investment income to average net assets | 1.72% | 1.27% | 1.78% | 2.30% | 2.24% | ||||
Portfolio turnover rate | 28% | 24% | 52% | 36% | 29% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Amount rounds to less than $0.01 per share. |
Short Term Tax Aware Fixed Income Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 10.09 | $ 10.16 | $ 10.07 | $ 9.90 | $ 9.98 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.08 | 0.08 | 0.11 | 0.13 | 0.09 | ||||
Net realized and unrealized gain (loss) on investments | (0.42) | (0.06) | 0.09 | 0.17 | (0.08) | ||||
Total from investment operations | (0.34) | 0.02 | 0.20 | 0.30 | 0.01 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.08) | (0.09) | (0.11) | (0.13) | (0.09) | ||||
Total distributions | (0.08) | (0.09) | (0.11) | (0.13) | (0.09) | ||||
Net asset value, end of year | $ 9.67 | $ 10.09 | $ 10.16 | $ 10.07 | $ 9.90 | ||||
Total return2 | (3.40)% | 0.15% | 1.96% | 3.03% | 0.10% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $56,963 | $56,284 | $53,525 | $50,939 | $26,294 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets3 | 0.62% | 0.64% | 0.63% | 0.66% | 0.61% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets3 | 0.55% 4 | 0.55% 4 | 0.55% | 0.55% | 0.55% | ||||
Ratio of net investment income to average net assets3 | 0.84% | 0.77% | 1.08% | 1.33% | 0.92% | ||||
Portfolio turnover rate | 56% | 25% | 59% | 25% | 19% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | This ratio does not include the expenses for any exchange-traded funds and registered investment companies held in the Portfolio. |
4 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 0.55% and 0.55% for the years ended October 31, 2022 and 2021, respectively. |
62 |
High Yield Municipal Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 11.09 | $ 10.65 | $ 10.84 | $ 10.16 | $ 10.35 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.28 | 0.27 | 0.30 | 0.31 | 0.30 | ||||
Net realized and unrealized gain (loss) on investments | (2.06) | 0.44 | (0.19) | 0.68 | (0.19) | ||||
Total from investment operations | (1.78) | 0.71 | 0.11 | 0.99 | 0.11 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.29) | (0.27) | (0.30) | (0.31) | (0.30) | ||||
Net realized capital gains | (0.08) | (0.00) 2 | — | — | — | ||||
Total distributions | (0.37) | (0.27) | (0.30) | (0.31) | (0.30) | ||||
Net asset value, end of year | $ 8.94 | $ 11.09 | $ 10.65 | $ 10.84 | $ 10.16 | ||||
Total return | (16.42)% | 6.68% 3 | 1.09% 3 | 9.90% 3 | 1.04% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $156,810 | $282,512 | $232,783 | $215,419 | $192,319 | ||||
Ratio of operating expenses to average net assets | —% | —% | —% | —% | 0.99% | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 0.98% | 1.01% | 1.02% | 1.00% | —% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.96% 4,5 | 1.00% | 1.00% | 1.00% | —% | ||||
Ratio of net investment income to average net assets | 2.76% | 2.40% | 2.85% | 2.95% | 2.90% | ||||
Portfolio turnover rate | 28% | 19% | 28% | 27% | 44% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Amount rounds to less than $0.01 per share. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Effective May 9, 2022, the management fee payable to the Advisor was reduced from 0.65% to 0.57% of the Portfolio’s average daily net assets. See Note 3. |
5 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 0.95% for the year ended October 31, 2022. |
63 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Aerospace & Defense — 1.7% | |||
46,239 | General Dynamics Corp. | $ 11,550,502 | |
22,120 | L3Harris Technologies, Inc. | 5,451,917 | |
17,002,419 | |||
Auto Components — 1.2% | |||
306,913 | BorgWarner, Inc. | 11,518,445 | |
Banks — 4.2% | |||
405,336 | Citizens Financial Group, Inc. | 16,578,242 | |
857,832 | Regions Financial Corp. | 18,829,413 | |
125,016 | Wells Fargo & Co. | 5,749,486 | |
41,157,141 | |||
Biotechnology — 2.1% | |||
78,206 | Amgen, Inc. | 21,142,992 | |
Building Products — 1.3% | |||
311,801 | Carrier Global Corp. | 12,397,208 | |
Capital Markets — 3.4% | |||
376,439 | Franklin Resources, Inc. | 8,827,495 | |
62,596 | Intercontinental Exchange, Inc. | 5,982,300 | |
54,115 | Northern Trust Corp. | 4,564,600 | |
123,346 | Raymond James Financial, Inc. | 14,572,096 | |
33,946,491 | |||
Chemicals — 1.3% | |||
145,930 | Corteva, Inc. | 9,535,066 | |
82,199 | Dow, Inc. | 3,841,981 | |
13,377,047 | |||
Commercial Services & Supplies — 1.0% | |||
77,628 | Republic Services, Inc. - Class A | 10,295,025 | |
Communications Equipment — 3.5% | |||
119,828 | Arista Networks, Inc.1 | 14,482,412 | |
240,792 | Cisco Systems, Inc. | 10,939,180 | |
302,441 | Juniper Networks, Inc. | 9,254,695 | |
34,676,287 | |||
Consumer Finance — 1.8% | |||
90,516 | Capital One Financial Corp. | 9,596,506 | |
226,508 | Synchrony Financial | 8,054,625 | |
17,651,131 | |||
Distributors — 2.6% | |||
75,699 | Genuine Parts Co. | 13,463,824 | |
228,180 | LKQ Corp. | 12,695,935 | |
26,159,759 | |||
Diversified Consumer Services — 0.6% | |||
105,624 | Service Corp. International | 6,401,871 | |
Diversified Telecommunication Services — 2.1% | |||
237,854 | AT&T, Inc. | 4,336,078 | |
922,682 | Lumen Technologies, Inc.2 | 6,790,940 | |
252,120 | Verizon Communications, Inc. | 9,421,724 | |
20,548,742 | |||
Electric Utilities — 0.9% | |||
100,298 | American Electric Power Co., Inc. | 8,818,200 |
64 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electrical Equipment — 0.7% | |||
51,285 | AMETEK, Inc. | $ 6,649,613 | |
Energy Equipment & Services — 1.7% | |||
601,644 | Baker Hughes Co. Class A | 16,641,473 | |
Entertainment — 0.9% | |||
652,209 | Warner Bros Discovery, Inc.1 | 8,478,717 | |
Equity Real Estate Investment Trusts — 2.4% | |||
56,892 | Crown Castle International Corp. | 7,581,428 | |
34,073 | Extra Space Storage, Inc. | 6,045,913 | |
43,453 | Life Storage, Inc. REIT | 4,806,336 | |
184,052 | Weyerhaeuser Co. | 5,692,729 | |
24,126,406 | |||
Food & Staples Retailing — 1.6% | |||
219,036 | Kroger Co. | 10,358,212 | |
146,942 | Walgreens Boots Alliance, Inc. | 5,363,383 | |
15,721,595 | |||
Food Products — 2.7% | |||
94,888 | Archer-Daniels-Midland Co. | 9,202,238 | |
217,599 | General Mills, Inc. | 17,751,727 | |
26,953,965 | |||
Health Care Equipment & Supplies — 1.0% | |||
37,774 | Danaher Corp. | 9,506,583 | |
Health Care Providers & Services — 6.6% | |||
36,458 | Cigna Corp. | 11,778,122 | |
107,690 | CVS Health Corp. | 10,198,243 | |
174,729 | DaVita, Inc.1 | 12,756,964 | |
36,757 | Elevance Health, Inc. | 20,097,625 | |
28,373 | McKesson Corp. | 11,047,595 | |
65,878,549 | |||
Hotels, Restaurants & Leisure — 1.8% | |||
5,726 | Booking Holdings, Inc.1 | 10,704,643 | |
78,788 | Expedia Group, Inc.1 | 7,364,314 | |
18,068,957 | |||
Household Durables — 1.1% | |||
136,878 | Lennar Corp. - Class A | 11,046,055 | |
Household Products — 0.8% | |||
59,011 | Procter & Gamble Co. | 7,947,011 | |
Insurance — 1.4% | |||
188,161 | MetLife, Inc. | 13,775,267 | |
Interactive Media & Service — 1.7% | |||
174,640 | Alphabet, Inc. - Class A1 | 16,505,226 | |
Internet & Direct Marketing Retail — 1.0% | |||
249,209 | eBay, Inc. | 9,928,487 | |
IT Services — 4.4% | |||
54,964 | Akamai Technologies, Inc.1 | 4,854,970 | |
222,602 | Amdocs, Ltd. | 19,212,778 | |
163,371 | Cognizant Technology Solutions Corp. - Class A | 10,169,845 | |
110,953 | PayPal Holdings, Inc.1 | 9,273,452 | |
43,511,045 |
65 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — 3.7% | |||
108,355 | Agilent Technologies, Inc. | $ 14,990,914 | |
28,078 | IQVIA Holdings, Inc.1 | 5,887,114 | |
7,166 | Mettler-Toledo International, Inc.1 | 9,064,488 | |
13,052 | Thermo Fisher Scientific, Inc. | 6,708,337 | |
36,650,853 | |||
Machinery — 2.1% | |||
47,398 | Parker-Hannifin Corp. | 13,774,807 | |
31,325 | Snap-on, Inc. | 6,955,716 | |
20,730,523 | |||
Media — 4.4% | |||
444,449 | Comcast Corp. - Class A | 14,106,811 | |
380,341 | Fox Corp. - Class A | 10,980,445 | |
188,239 | Interpublic Group of Cos., Inc. | 5,607,640 | |
176,083 | Omnicom Group, Inc. | 12,810,038 | |
43,504,934 | |||
Metals & Mining — 1.8% | |||
138,865 | Nucor Corp. | 18,244,084 | |
Multi-Utilities — 0.9% | |||
347,767 | NiSource, Inc. | 8,934,134 | |
Oil, Gas & Consumable Fuels — 4.8% | |||
98,701 | ConocoPhillips | 12,445,209 | |
390,194 | Kinder Morgan, Inc. | 7,070,315 | |
131,201 | Marathon Petroleum Corp. | 14,907,058 | |
127,458 | Phillips 66 | 13,292,595 | |
47,715,177 | |||
Pharmaceuticals — 2.9% | |||
163,556 | Bristol-Myers Squibb Co. | 12,670,683 | |
55,255 | Merck & Co., Inc. | 5,591,806 | |
220,967 | Pfizer, Inc. | 10,286,014 | |
28,548,503 | |||
Real Estate Management & Development — 0.6% | |||
86,260 | CBRE Group, Inc. - Class A1 | 6,119,284 | |
Road & Rail — 1.0% | |||
351,576 | CSX Corp. | 10,216,799 | |
Semiconductors & Semiconductor Equipment — 4.6% | |||
143,495 | Advanced Micro Devices, Inc.1 | 8,618,310 | |
29,628 | KLA Corp. | 9,375,780 | |
216,439 | ON Semiconductor Corp.1 | 13,295,848 | |
57,496 | Qorvo, Inc.1 | 4,949,256 | |
104,660 | Skyworks Solutions, Inc. | 9,001,806 | |
45,241,000 | |||
Software — 6.9% | |||
32,850 | Adobe, Inc.1 | 10,462,725 | |
88,726 | Cadence Design Systems, Inc.1 | 13,432,229 | |
534,125 | Dropbox, Inc. - Class A1 | 11,617,219 | |
218,385 | Fortinet, Inc.1 | 12,482,886 | |
19,561 | Microsoft Corp. | 4,540,695 | |
54,434 | Synopsys, Inc.1 | 15,924,667 | |
68,460,421 |
66 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Specialty Retail — 2.4% | |||
59,053 | Lowe’s Cos., Inc. | $ 11,512,382 | |
28,839 | Ulta Beauty, Inc.1 | 12,094,212 | |
23,606,594 | |||
Technology Hardware, Storage & Peripherals — 4.9% | |||
257,503 | Dell Technologies, Inc. - Class C | 9,888,115 | |
817,855 | Hewlett Packard Enterprise Co. | 11,670,791 | |
577,284 | HP, Inc. | 15,944,584 | |
159,237 | NetApp, Inc. | 11,030,347 | |
48,533,837 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
163,331 | Tapestry, Inc. | 5,174,326 | |
Tobacco — 0.6% | |||
65,571 | Philip Morris International, Inc. | 6,022,696 | |
TOTAL COMMON STOCKS (Cost $828,529,617) | 987,534,872 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$4,676,818 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $4,676,948, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $4,023,500, coupon rate of 0.625%, due 04/15/2023, market value of $4,770,408) | 4,676,818 | |
TOTAL REPURCHASE AGREEMENT (Cost $4,676,818) | 4,676,818 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.7% | |||
6,920,115 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 6,920,115 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $6,920,115) | 6,920,115 | ||
TOTAL INVESTMENTS (Cost $840,126,550) | 100.8% | $999,131,805 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.8) | (7,962,069) | |
NET ASSETS | 100.0% | $991,169,736 |
* | 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. |
67 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 6.9% | $ 68,460,421 | |
Health Care Providers & Services | 6.6 | 65,878,549 | |
Technology Hardware, Storage & Peripherals | 4.9 | 48,533,837 | |
Oil, Gas & Consumable Fuels | 4.8 | 47,715,177 | |
Semiconductors & Semiconductor Equipment | 4.6 | 45,241,000 | |
IT Services | 4.4 | 43,511,045 | |
Media | 4.4 | 43,504,934 | |
Banks | 4.2 | 41,157,141 | |
Life Sciences Tools & Services | 3.7 | 36,650,853 | |
Communications Equipment | 3.5 | 34,676,287 | |
Capital Markets | 3.4 | 33,946,491 | |
Pharmaceuticals | 2.9 | 28,548,503 | |
Food Products | 2.7 | 26,953,965 | |
Distributors | 2.6 | 26,159,759 | |
Equity Real Estate Investment Trusts | 2.4 | 24,126,406 | |
Specialty Retail | 2.4 | 23,606,594 | |
Biotechnology | 2.1 | 21,142,992 | |
Machinery | 2.1 | 20,730,523 | |
Diversified Telecommunication Services | 2.1 | 20,548,742 | |
Metals & Mining | 1.8 | 18,244,084 | |
Hotels, Restaurants & Leisure | 1.8 | 18,068,957 | |
Consumer Finance | 1.8 | 17,651,131 | |
Aerospace & Defense | 1.7 | 17,002,419 | |
Energy Equipment & Services | 1.7 | 16,641,473 | |
Interactive Media & Service | 1.7 | 16,505,226 | |
Food & Staples Retailing | 1.6 | 15,721,595 | |
Insurance | 1.4 | 13,775,267 | |
Chemicals | 1.3 | 13,377,047 | |
Building Products | 1.3 | 12,397,208 | |
Auto Components | 1.2 | 11,518,445 | |
Household Durables | 1.1 | 11,046,055 | |
Commercial Services & Supplies | 1.0 | 10,295,025 | |
Road & Rail | 1.0 | 10,216,799 | |
Internet & Direct Marketing Retail | 1.0 | 9,928,487 | |
Health Care Equipment & Supplies | 1.0 | 9,506,583 | |
Multi-Utilities | 0.9 | 8,934,134 | |
Electric Utilities | 0.9 | 8,818,200 | |
Entertainment | 0.9 | 8,478,717 | |
Household Products | 0.8 | 7,947,011 | |
Electrical Equipment | 0.7 | 6,649,613 | |
Diversified Consumer Services | 0.6 | 6,401,871 | |
Real Estate Management & Development | 0.6 | 6,119,284 | |
Tobacco | 0.6 | 6,022,696 | |
Textiles, Apparel & Luxury Goods | 0.5 | 5,174,326 | |
TOTAL COMMON STOCKS | 99.6% | $987,534,872 | |
REPURCHASE AGREEMENT | 0.5 | 4,676,818 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.7 | 6,920,115 | |
TOTAL INVESTMENTS | 100.8% | $999,131,805 |
68 |
Shares | Value | ||
COMMON STOCKS* — 99.8% | |||
Air Freight & Logistics — 0.9% | |||
190,246 | Expeditors International of Washington, Inc. | $ 18,615,571 | |
Beverages — 1.2% | |||
440,853 | Coca-Cola Co. | 26,385,052 | |
Biotechnology — 5.7% | |||
79,627 | Amgen, Inc. | 21,527,159 | |
79,582 | Regeneron Pharmaceuticals, Inc.1 | 59,587,023 | |
136,576 | Vertex Pharmaceuticals, Inc.1 | 42,611,712 | |
123,725,894 | |||
Building Products — 1.5% | |||
180,994 | Fortune Brands Home & Security, Inc. | 10,917,558 | |
139,872 | Trane Technologies PLC | 22,327,767 | |
33,245,325 | |||
Capital Markets — 3.0% | |||
218,924 | Charles Schwab Corp. | 17,441,675 | |
164,932 | Intercontinental Exchange, Inc. | 15,762,551 | |
261,055 | Raymond James Financial, Inc. | 30,841,038 | |
64,045,264 | |||
Chemicals — 1.7% | |||
682,412 | Mosaic Co. | 36,679,645 | |
Communications Equipment — 2.8% | |||
494,365 | Arista Networks, Inc.1 | 59,748,954 | |
Containers & Packaging — 0.7% | |||
87,436 | Avery Dennison Corp. | 14,824,774 | |
Distributors — 2.2% | |||
267,408 | Genuine Parts Co. | 47,561,187 | |
Electronic Equipment, Instruments & Components — 8.0% | |||
788,481 | Amphenol Corp. - Class A | 59,790,514 | |
299,147 | CDW Corp. | 51,695,593 | |
229,226 | Jabil, Inc. | 14,727,771 | |
277,452 | Keysight Technologies, Inc.1 | 48,318,266 | |
174,532,144 | |||
Entertainment — 3.1% | |||
217,914 | Electronic Arts, Inc. | 27,448,447 | |
3,055,375 | Warner Bros Discovery, Inc.1 | 39,719,875 | |
67,168,322 | |||
Equity Real Estate Investment Trusts — 1.1% | |||
117,943 | American Tower Corp. | 24,436,610 | |
Food & Staples Retailing — 2.1% | |||
207,373 | BJ’s Wholesale Club Holdings, Inc.1 | 16,050,670 | |
57,589 | Costco Wholesale Corp. | 28,880,884 | |
44,931,554 | |||
Food Products — 2.3% | |||
636,797 | Kellogg Co. | 48,918,746 | |
Health Care Equipment & Supplies — 1.0% | |||
106,755 | Abbott Laboratories | 10,562,340 | |
41,461 | Danaher Corp. | 10,434,490 | |
20,996,830 |
69 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — 5.7% | |||
39,053 | Cigna Corp. | $ 12,616,462 | |
255,885 | DaVita, Inc.1 | 18,682,164 | |
70,027 | Elevance Health, Inc. | 38,288,663 | |
95,438 | UnitedHealth Group, Inc. | 52,982,405 | |
122,569,694 | |||
Hotels, Restaurants & Leisure — 2.9% | |||
143,832 | Airbnb, Inc. Class A1 | 15,377,079 | |
237,088 | Expedia Group, Inc.1 | 22,160,615 | |
326,586 | Wyndham Hotels & Resorts, Inc. | 24,797,675 | |
62,335,369 | |||
Household Durables — 1.2% | |||
319,651 | Lennar Corp. - Class A | 25,795,836 | |
Insurance — 0.6% | |||
77,763 | Marsh & McLennan Cos., Inc. | 12,557,947 | |
Interactive Media & Services — 3.4% | |||
560,800 | Alphabet, Inc. - Class A1 | 53,001,208 | |
866,964 | Pinterest, Inc. Class A1 | 21,327,314 | |
74,328,522 | |||
Internet & Direct Marketing Retail — 0.9% | |||
499,853 | eBay, Inc. | 19,914,143 | |
IT Services — 8.6% | |||
263,568 | Automatic Data Processing, Inc. | 63,704,386 | |
462,771 | Paychex, Inc. | 54,750,437 | |
247,226 | PayPal Holdings, Inc.1 | 20,663,149 | |
227,643 | Visa, Inc. Class A | 47,158,524 | |
186,276,496 | |||
Life Sciences Tools & Services — 1.7% | |||
181,159 | Agilent Technologies, Inc. | 25,063,348 | |
24,149 | Thermo Fisher Scientific, Inc. | 12,411,861 | |
37,475,209 | |||
Machinery — 2.2% | |||
86,297 | Lincoln Electric Holdings, Inc. | 12,254,174 | |
122,656 | Parker-Hannifin Corp. | 35,646,287 | |
47,900,461 | |||
Media — 1.2% | |||
154,075 | Nexstar Media Group, Inc. | 26,393,047 | |
Multi-line Retail — 2.2% | |||
186,431 | Dollar General Corp. | 47,549,227 | |
Oil, Gas & Consumable Fuels — 2.6% | |||
1,001,408 | Coterra Energy, Inc. | 31,173,831 | |
192,544 | EOG Resources, Inc. | 26,286,107 | |
57,459,938 | |||
Professional Services — 1.3% | |||
109,917 | Booz Allen Hamilton Holding Corp. | 11,964,466 | |
199,505 | Robert Half International, Inc. | 15,254,152 | |
27,218,618 | |||
Road & Rail — 0.8% | |||
619,483 | CSX Corp. | 18,002,176 |
70 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Semiconductors & Semiconductor Equipment — 5.3% | |||
714,662 | Advanced Micro Devices, Inc.1 | $ 42,922,600 | |
130,138 | KLA Corp. | 41,182,170 | |
64,687 | Monolithic Power Systems, Inc. | 21,958,002 | |
161,907 | ON Semiconductor Corp.1 | 9,945,947 | |
116,008,719 | |||
Software — 12.3% | |||
71,460 | Adobe, Inc.1 | 22,760,010 | |
338,814 | Cadence Design Systems, Inc.1 | 51,293,052 | |
1,276,764 | Dropbox, Inc. - Class A1 | 27,769,617 | |
1,002,065 | Fortinet, Inc.1 | 57,278,035 | |
242,608 | Microsoft Corp. | 56,316,595 | |
174,644 | Synopsys, Inc.1 | 51,092,102 | |
266,509,411 | |||
Specialty Retail — 5.4% | |||
211,978 | Lowe’s Cos., Inc. | 41,325,111 | |
125,454 | Ulta Beauty, Inc.1 | 52,611,644 | |
189,458 | Williams-Sonoma, Inc.2 | 23,460,584 | |
117,397,339 | |||
Technology Hardware, Storage & Peripherals — 3.7% | |||
309,556 | Apple, Inc. | 47,467,317 | |
1,209,464 | HP, Inc. | 33,405,396 | |
80,872,713 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
345,800 | Tapestry, Inc. | 10,954,944 | |
TOTAL COMMON STOCKS (Cost $1,782,454,097) | 2,163,335,681 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.3% | |||
$ 5,897,397 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $5,897,561, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $5,073,600, coupon rate of 0.625%, due 04/15/2023, market value of $6,015,445) | 5,897,397 | |
TOTAL REPURCHASE AGREEMENT (Cost $5,897,397) | 5,897,397 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.7% | |||
14,174,543 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 14,174,543 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $14,174,543) | 14,174,543 | ||
TOTAL INVESTMENTS (Cost $1,802,526,037) | 100.8% | $2,183,407,621 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.8) | (16,705,463) | |
NET ASSETS | 100.0% | $2,166,702,158 |
* | 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. |
71 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 12.3% | $ 266,509,411 | |
IT Services | 8.6 | 186,276,496 | |
Electronic Equipment, Instruments & Components | 8.0 | 174,532,144 | |
Biotechnology | 5.7 | 123,725,894 | |
Health Care Providers & Services | 5.7 | 122,569,694 | |
Specialty Retail | 5.4 | 117,397,339 | |
Semiconductors & Semiconductor Equipment | 5.3 | 116,008,719 | |
Technology Hardware, Storage & Peripherals | 3.7 | 80,872,713 | |
Interactive Media & Services | 3.4 | 74,328,522 | |
Entertainment | 3.1 | 67,168,322 | |
Capital Markets | 3.0 | 64,045,264 | |
Hotels, Restaurants & Leisure | 2.9 | 62,335,369 | |
Communications Equipment | 2.8 | 59,748,954 | |
Oil, Gas & Consumable Fuels | 2.6 | 57,459,938 | |
Food Products | 2.3 | 48,918,746 | |
Machinery | 2.2 | 47,900,461 | |
Distributors | 2.2 | 47,561,187 | |
Multi-line Retail | 2.2 | 47,549,227 | |
Food & Staples Retailing | 2.1 | 44,931,554 | |
Life Sciences Tools & Services | 1.7 | 37,475,209 | |
Chemicals | 1.7 | 36,679,645 | |
Building Products | 1.5 | 33,245,325 | |
Professional Services | 1.3 | 27,218,618 | |
Media | 1.2 | 26,393,047 | |
Beverages | 1.2 | 26,385,052 | |
Household Durables | 1.2 | 25,795,836 | |
Equity Real Estate Investment Trusts | 1.1 | 24,436,610 | |
Health Care Equipment & Supplies | 1.0 | 20,996,830 | |
Internet & Direct Marketing Retail | 0.9 | 19,914,143 | |
Air Freight & Logistics | 0.9 | 18,615,571 | |
Road & Rail | 0.8 | 18,002,176 | |
Containers & Packaging | 0.7 | 14,824,774 | |
Insurance | 0.6 | 12,557,947 | |
Textiles, Apparel & Luxury Goods | 0.5 | 10,954,944 | |
TOTAL COMMON STOCKS | 99.8% | $2,163,335,681 | |
REPURCHASE AGREEMENT | 0.3 | 5,897,397 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.7 | 14,174,543 | |
TOTAL INVESTMENTS | 100.8% | $2,183,407,621 |
72 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Aerospace & Defense — 2.3% | |||
155 | General Dynamics Corp. | $ 38,719 | |
Auto Components — 1.0% | |||
439 | BorgWarner, Inc. | 16,476 | |
Automobiles — 0.4% | |||
530 | Ford Motor Co. | 7,086 | |
Banks — 7.2% | |||
672 | Citigroup, Inc. | 30,818 | |
479 | Citizens Financial Group, Inc. | 19,591 | |
105 | Comerica, Inc. | 7,403 | |
372 | Fifth Third Bancorp | 13,277 | |
869 | KeyCorp | 15,529 | |
1,530 | Regions Financial Corp. | 33,583 | |
120,201 | |||
Biotechnology — 3.6% | |||
531 | Gilead Sciences, Inc. | 41,662 | |
56 | Vertex Pharmaceuticals, Inc.1 | 17,472 | |
59,134 | |||
Building Products — 1.5% | |||
431 | Carrier Global Corp. | 17,137 | |
139 | Fortune Brands Home & Security, Inc. | 8,384 | |
25,521 | |||
Capital Markets — 4.6% | |||
1,241 | Franklin Resources, Inc. | 29,101 | |
191 | Intercontinental Exchange, Inc. | 18,254 | |
467 | Nasdaq, Inc. | 29,066 | |
76,421 | |||
Chemicals — 0.8% | |||
274 | Dow, Inc. | 12,807 | |
Communications Equipment — 0.7% | |||
254 | Cisco Systems, Inc. | 11,539 | |
Consumer Finance — 3.2% | |||
620 | Ally Financial, Inc. | 17,087 | |
1,031 | Synchrony Financial | 36,663 | |
53,750 | |||
Containers & Packaging — 1.3% | |||
374 | International Paper Co. | 12,570 | |
244 | Westrock Co. | 8,311 | |
20,881 | |||
Distributors — 0.6% | |||
166 | LKQ Corp. | 9,236 | |
Diversified Consumer Services — 0.9% | |||
253 | Service Corp. International | 15,334 | |
Diversified Financial Services — 1.0% | |||
564 | Equitable Holdings, Inc. | 17,270 | |
Diversified Telecommunication Services — 2.7% | |||
1,801 | AT&T, Inc. | 32,832 | |
1,597 | Lumen Technologies, Inc.2 | 11,754 | |
44,586 |
73 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — 0.5% | |||
100 | American Electric Power Co., Inc. | $ 8,792 | |
Equity Real Estate Investment Trusts — 2.3% | |||
44 | Extra Space Storage, Inc. | 7,807 | |
479 | Host Hotels & Resorts, Inc. | 9,044 | |
701 | Weyerhaeuser Co. | 21,682 | |
38,533 | |||
Food & Staples Retailing — 1.8% | |||
441 | Kroger Co. | 20,855 | |
238 | Walgreens Boots Alliance, Inc. | 8,687 | |
29,542 | |||
Food Products — 4.7% | |||
371 | Archer-Daniels-Midland Co. | 35,980 | |
261 | General Mills, Inc. | 21,292 | |
236 | Kraft Heinz Co. | 9,079 | |
160 | Tyson Foods, Inc. Class A | 10,936 | |
77,287 | |||
Health Care Providers & Services — 8.2% | |||
110 | Centene Corp.1 | 9,364 | |
75 | Cigna Corp. | 24,230 | |
279 | CVS Health Corp. | 26,421 | |
67 | Elevance Health, Inc. | 36,634 | |
33 | Laboratory Corp. of America Holdings | 7,321 | |
84 | McKesson Corp. | 32,707 | |
136,677 | |||
Independent Power & Renewable Electricity Producer — 1.5% | |||
930 | AES Corp. | 24,354 | |
Insurance — 2.8% | |||
296 | American International Group, Inc. | 16,872 | |
282 | MetLife, Inc. | 20,645 | |
86 | Prudential Financial, Inc. | 9,047 | |
46,564 | |||
Interactive Media & Service — 0.7% | |||
113 | Alphabet, Inc. - Class A1 | 10,680 | |
IT Services — 2.5% | |||
144 | Amdocs, Ltd. | 12,429 | |
480 | Cognizant Technology Solutions Corp. - Class A | 29,880 | |
42,309 | |||
Life Sciences Tools & Services — 1.8% | |||
229 | PerkinElmer, Inc. | 30,590 | |
Machinery — 3.8% | |||
80 | Cummins, Inc. | 19,561 | |
72 | Parker-Hannifin Corp. | 20,925 | |
104 | Snap-on, Inc. | 23,093 | |
63,579 | |||
Media — 5.7% | |||
1,039 | Comcast Corp. - Class A | 32,978 | |
255 | Fox Corp. - Class A | 7,362 | |
486 | Fox Corp. Class B | 13,219 | |
979 | Interpublic Group of Cos., Inc. | 29,165 |
74 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Media — (Continued) | |||
171 | Omnicom Group, Inc. | $ 12,440 | |
95,164 | |||
Metals & Mining — 3.2% | |||
278 | Nucor Corp. | 36,524 | |
86 | Reliance Steel & Aluminum Co. | 17,327 | |
53,851 | |||
Multi-line Retail — 1.1% | |||
877 | Macy’s, Inc. | 18,285 | |
Multi-Utilities — 2.5% | |||
274 | Sempra Energy | 41,358 | |
Oil, Gas & Consumable Fuels — 9.4% | |||
359 | ConocoPhillips | 45,266 | |
1,449 | Kinder Morgan, Inc. | 26,256 | |
365 | Marathon Petroleum Corp. | 41,471 | |
330 | Phillips 66 | 34,416 | |
77 | Valero Energy Corp. | 9,667 | |
157,076 | |||
Pharmaceuticals — 5.7% | |||
562 | Bristol-Myers Squibb Co. | 43,538 | |
115 | Merck & Co., Inc. | 11,638 | |
867 | Pfizer, Inc. | 40,359 | |
95,535 | |||
Professional Services — 0.6% | |||
99 | Leidos Holdings, Inc. | 10,057 | |
Real Estate Management & Development — 2.1% | |||
302 | CBRE Group, Inc. - Class A1 | 21,424 | |
83 | Jones Lang LaSalle, Inc.1 | 13,204 | |
34,628 | |||
Road & Rail — 0.7% | |||
394 | CSX Corp. | 11,450 | |
Semiconductors & Semiconductor Equipment — 1.8% | |||
267 | Micron Technology, Inc. | 14,445 | |
243 | ON Semiconductor Corp.1 | 14,927 | |
29,372 | |||
Software — 0.5% | |||
101 | Zoom Video Communications, Inc. Class A1 | 8,427 | |
Specialty Retail — 1.0% | |||
135 | Williams-Sonoma, Inc. | 16,717 | |
Technology Hardware, Storage & Peripherals — 2.0% | |||
2,349 | Hewlett Packard Enterprise Co. | 33,520 | |
Textiles, Apparel & Luxury Goods — 0.8% | |||
403 | Tapestry, Inc. | 12,767 | |
TOTAL COMMON STOCKS (Cost $1,392,020) | 1,656,075 |
75 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.9% | |||
$15,324 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $15,325, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $13,200, coupon rate of 0.625%, due 04/15/2023, market value of $15,650) | $ 15,324 | |
TOTAL REPURCHASE AGREEMENT (Cost $15,324) | 15,324 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.7% | |||
11,978 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 11,978 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $11,978) | 11,978 | ||
TOTAL INVESTMENTS (Cost $1,419,322) | 101.1% | $1,683,377 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.1) | (18,524) | |
NET ASSETS | 100.0% | $1,664,853 |
* | 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. |
76 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Oil, Gas & Consumable Fuels | 9.4% | $ 157,076 | |
Health Care Providers & Services | 8.2 | 136,677 | |
Banks | 7.2 | 120,201 | |
Pharmaceuticals | 5.7 | 95,535 | |
Media | 5.7 | 95,164 | |
Food Products | 4.7 | 77,287 | |
Capital Markets | 4.6 | 76,421 | |
Machinery | 3.8 | 63,579 | |
Biotechnology | 3.6 | 59,134 | |
Metals & Mining | 3.2 | 53,851 | |
Consumer Finance | 3.2 | 53,750 | |
Insurance | 2.8 | 46,564 | |
Diversified Telecommunication Services | 2.7 | 44,586 | |
IT Services | 2.5 | 42,309 | |
Multi-Utilities | 2.5 | 41,358 | |
Aerospace & Defense | 2.3 | 38,719 | |
Equity Real Estate Investment Trusts | 2.3 | 38,533 | |
Real Estate Management & Development | 2.1 | 34,628 | |
Technology Hardware, Storage & Peripherals | 2.0 | 33,520 | |
Life Sciences Tools & Services | 1.8 | 30,590 | |
Food & Staples Retailing | 1.8 | 29,542 | |
Semiconductors & Semiconductor Equipment | 1.8 | 29,372 | |
Building Products | 1.5 | 25,521 | |
Independent Power & Renewable Electricity Producer | 1.5 | 24,354 | |
Containers & Packaging | 1.3 | 20,881 | |
Multi-line Retail | 1.1 | 18,285 | |
Diversified Financial Services | 1.0 | 17,270 | |
Specialty Retail | 1.0 | 16,717 | |
Auto Components | 1.0 | 16,476 | |
Diversified Consumer Services | 0.9 | 15,334 | |
Chemicals | 0.8 | 12,807 | |
Textiles, Apparel & Luxury Goods | 0.8 | 12,767 | |
Communications Equipment | 0.7 | 11,539 | |
Road & Rail | 0.7 | 11,450 | |
Interactive Media & Service | 0.7 | 10,680 | |
Professional Services | 0.6 | 10,057 | |
Distributors | 0.6 | 9,236 | |
Electric Utilities | 0.5 | 8,792 | |
Software | 0.5 | 8,427 | |
Automobiles | 0.4 | 7,086 | |
TOTAL COMMON STOCKS | 99.5% | $1,656,075 | |
REPURCHASE AGREEMENT | 0.9 | 15,324 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.7 | 11,978 | |
TOTAL INVESTMENTS | 101.1% | $1,683,377 |
77 |
Shares | Value | ||
COMMON STOCKS* — 99.1% | |||
Aerospace & Defense — 0.4% | |||
77 | Moog, Inc. Class A | $ 6,526 | |
Air Freight & Logistics — 0.8% | |||
118 | Atlas Air Worldwide Holdings, Inc.1 | 11,935 | |
Auto Components — 1.1% | |||
340 | Adient PLC1 | 11,893 | |
434 | Goodyear Tire & Rubber Co.1 | 5,512 | |
17,405 | |||
Automobiles — 0.7% | |||
176 | Winnebago Industries, Inc. | 10,505 | |
Banks — 9.6% | |||
583 | Associated Banc-Corp. | 14,196 | |
137 | Cathay General Bancorp | 6,247 | |
519 | Central Pacific Financial Corp. | 10,650 | |
333 | Eastern Bankshares, Inc. | 6,384 | |
337 | Financial Institutions, Inc. | 8,031 | |
1,455 | First BanCorp | 22,974 | |
211 | First Financial Corp. | 10,231 | |
334 | Hanmi Financial Corp. | 8,945 | |
853 | Hope Bancorp, Inc. | 11,575 | |
232 | Midland States Bancorp, Inc. | 6,505 | |
410 | Northwest Bancshares, Inc. | 6,175 | |
283 | OceanFirst Financial Corp. | 6,390 | |
421 | OFG Bancorp | 11,738 | |
420 | S&T Bancorp, Inc. | 15,880 | |
145,921 | |||
Biotechnology — 8.4% | |||
814 | Atara Biotherapeutics, Inc.1 | 3,793 | |
1,932 | Bluebird Bio, Inc.1 | 12,114 | |
1,973 | Catalyst Pharmaceuticals, Inc.1 | 27,365 | |
271 | Eagle Pharmaceuticals, Inc.1 | 8,528 | |
862 | Intercept Pharmaceuticals, Inc.1 | 11,956 | |
593 | iTeos Therapeutics, Inc.1 | 11,552 | |
2,226 | Karyopharm Therapeutics, Inc.1 | 10,596 | |
2,228 | Sutro Biopharma, Inc.1,2 | 16,331 | |
664 | uniQure NV1 | 12,364 | |
467 | Xencor, Inc.1 | 13,076 | |
127,675 | |||
Building Products — 1.8% | |||
263 | Griffon Corp. | 8,453 | |
337 | Quanex Building Products Corp. | 7,468 | |
504 | Resideo Technologies, Inc.1 | 11,904 | |
27,825 | |||
Capital Markets — 0.8% | |||
301 | Donnelley Financial Solutions, Inc.1 | 12,169 | |
Commercial Services & Supplies — 1.1% | |||
128 | ABM Industries, Inc. | 5,698 | |
727 | ACCO Brands Corp. | 3,344 | |
859 | GEO Group, Inc.1 | 7,267 | |
16,309 | |||
Communications Equipment — 2.0% | |||
1,347 | Harmonic, Inc.1 | 20,811 |
78 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Communications Equipment — (Continued) | |||
281 | NetScout Systems, Inc.1 | $ 10,094 | |
30,905 | |||
Construction & Engineering — 1.1% | |||
135 | Comfort Systems USA, Inc. | 16,643 | |
Consumer Finance — 2.1% | |||
100 | Encore Capital Group, Inc.1 | 5,092 | |
1,789 | EZCORP, Inc. Class A1 | 17,282 | |
530 | Green Dot Corp. Class A1 | 10,086 | |
32,460 | |||
Containers & Packaging — 1.7% | |||
176 | Greif, Inc. Class A | 11,653 | |
859 | O-I Glass, Inc.1 | 14,010 | |
25,663 | |||
Diversified Consumer Services — 1.8% | |||
639 | 2U, Inc.1 | 3,956 | |
520 | Chegg, Inc.1 | 11,216 | |
375 | Stride, Inc.1 | 12,566 | |
27,738 | |||
Diversified Financial Services — 0.7% | |||
332 | A-Mark Precious Metals, Inc. | 10,096 | |
Diversified Telecommunication Services — 2.1% | |||
438 | Bandwidth, Inc. Class A1 | 5,199 | |
480 | EchoStar Corp. Class A1 | 9,058 | |
1,164 | Liberty Latin America Ltd. Class C1 | 9,067 | |
560 | Ooma, Inc.1 | 9,089 | |
32,413 | |||
Electric Utilities — 1.5% | |||
221 | ALLETE, Inc. | 12,436 | |
157 | Otter Tail Corp. | 10,585 | |
23,021 | |||
Electronic Equipment, Instruments & Components — 2.0% | |||
230 | Sanmina Corp.1 | 12,892 | |
778 | TTM Technologies, Inc.1 | 11,911 | |
252 | Vishay Intertechnology, Inc. | 5,269 | |
30,072 | |||
Energy Equipment & Services — 1.2% | |||
1,254 | U.S. Silica Holdings, Inc.1 | 18,045 | |
Equity Real Estate Investment Trusts — 5.8% | |||
822 | City Office REIT, Inc. | 8,730 | |
1,325 | DiamondRock Hospitality Co. | 12,376 | |
61 | EastGroup Properties, Inc. | 9,558 | |
343 | Essential Properties Realty Trust, Inc. REIT | 7,381 | |
331 | National Storage Affiliates Trust | 14,120 | |
1,367 | Paramount Group, Inc. REIT | 8,844 | |
175 | Phillips Edison & Co., Inc. REIT | 5,275 | |
487 | RLJ Lodging Trust | 5,927 | |
181 | STAG Industrial, Inc. | 5,718 | |
961 | Sunstone Hotel Investors, Inc. | 10,715 | |
88,644 |
79 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Food & Staples Retailing — 1.8% | |||
364 | SpartanNash Co. | $ 12,998 | |
483 | Sprouts Farmers Market, Inc.1 | 14,249 | |
27,247 | |||
Food Products — 1.4% | |||
534 | Hostess Brands, Inc.1 | 14,140 | |
200 | Simply Good Foods Co.1 | 7,660 | |
21,800 | |||
Health Care Equipment & Supplies — 3.3% | |||
5,088 | Accuray, Inc.1,2 | 10,380 | |
2,484 | Cue Health, Inc.1 | 9,861 | |
489 | Inogen, Inc.1 | 11,081 | |
363 | Meridian Bioscience, Inc.1 | 11,605 | |
462 | Orthofix Medical, Inc.1 | 7,420 | |
50,347 | |||
Health Care Providers & Services — 2.8% | |||
2,738 | Brookdale Senior Living, Inc.1 | 12,239 | |
1,000 | PetIQ, Inc.1 | 8,220 | |
615 | Select Medical Holdings Corp. | 15,793 | |
150 | Tenet Healthcare Corp.1 | 6,654 | |
42,906 | |||
Health Care Technology — 0.5% | |||
535 | Allscripts Healthcare Solutions, Inc.1 | 7,864 | |
Hotels, Restaurants & Leisure — 0.9% | |||
687 | International Game Technology PLC2 | 13,774 | |
Household Durables — 2.0% | |||
115 | Skyline Champion Corp.1 | 6,694 | |
476 | Taylor Morrison Home Corp.1 | 12,538 | |
629 | Tri Pointe Homes, Inc.1 | 10,536 | |
29,768 | |||
Insurance — 0.8% | |||
2,683 | Genworth Financial, Inc. Class A1 | 12,530 | |
Interactive Media & Service — 0.4% | |||
171 | Yelp, Inc.1 | 6,568 | |
Internet & Direct Marketing Retail — 0.3% | |||
2,081 | Qurate Retail, Inc. | 4,870 | |
IT Services — 3.5% | |||
2,811 | Conduent, Inc.1 | 11,581 | |
122 | CSG Systems International, Inc. | 7,890 | |
710 | Hackett Group, Inc. | 15,507 | |
4,405 | Paysafe Ltd.1,2 | 6,431 | |
1,130 | StoneCo Ltd. Class A1 | 11,865 | |
53,274 | |||
Leisure Equipment & Products — 0.9% | |||
453 | Vista Outdoor, Inc.1 | 13,155 | |
Machinery — 1.4% | |||
173 | Altra Industrial Motion Corp. | 10,404 | |
239 | Hillenbrand, Inc. | 10,559 | |
20,963 |
80 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Media — 0.6% | |||
628 | Gray Television, Inc. | $ 8,886 | |
Metals & Mining — 2.2% | |||
420 | Commercial Metals Co. | 19,110 | |
776 | TimkenSteel Corp.1 | 13,533 | |
32,643 | |||
Multi-Utilities — 1.0% | |||
274 | Unitil Corp. | 14,443 | |
Oil, Gas & Consumable Fuels — 7.8% | |||
169 | California Resources Corp. | 7,624 | |
706 | CVR Energy, Inc. | 27,576 | |
192 | Delek U.S. Holdings, Inc. | 5,695 | |
990 | Dorian LPG Ltd. | 17,889 | |
593 | PBF Energy, Inc. Class A1 | 26,240 | |
300 | Talos Energy, Inc.1 | 6,384 | |
572 | Teekay Tankers Ltd. Class A1 | 18,012 | |
363 | World Fuel Services Corp. | 9,253 | |
118,673 | |||
Paper & Forest Products — 0.8% | |||
289 | Clearwater Paper Corp.1 | 12,855 | |
Personal Products — 0.7% | |||
235 | BellRing Brands, Inc.1 | 5,692 | |
266 | Herbalife Nutrition Ltd.1 | 5,655 | |
11,347 | |||
Pharmaceuticals — 1.7% | |||
380 | Amphastar Pharmaceuticals, Inc.1 | 11,742 | |
763 | Collegium Pharmaceutical, Inc.1 | 13,688 | |
25,430 | |||
Professional Services — 2.0% | |||
314 | Heidrick & Struggles International, Inc. | 8,842 | |
202 | Korn Ferry | 11,229 | |
543 | Resources Connection, Inc. | 9,921 | |
29,992 | |||
Semiconductors & Semiconductor Equipment — 2.3% | |||
160 | Diodes, Inc.1 | 11,467 | |
192 | Kulicke & Soffa Industries, Inc. | 8,052 | |
957 | Photronics, Inc.1 | 15,523 | |
35,042 | |||
Software — 2.4% | |||
366 | Adeia, Inc. | 4,092 | |
585 | eGain Corp.1 | 4,709 | |
222 | Progress Software Corp. | 11,329 | |
146 | Xperi, Inc.1 | 2,039 | |
2,659 | Yext, Inc.1 | 14,146 | |
36,315 | |||
Specialty Retail — 3.1% | |||
245 | Academy Sports & Outdoors, Inc. | 10,787 | |
62 | Group 1 Automotive, Inc. | 10,726 | |
239 | MarineMax, Inc.1 | 7,722 | |
90 | Signet Jewelers Ltd. | 5,872 |
81 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Specialty Retail — (Continued) | |||
247 | Sonic Automotive, Inc. Class A | $ 11,547 | |
46,654 | |||
Thrifts & Mortgage Finance — 2.0% | |||
248 | Enact Holdings, Inc. | 6,358 | |
576 | Provident Financial Services, Inc. | 12,914 | |
540 | Radian Group, Inc. | 11,270 | |
30,542 | |||
Trading Companies & Distributors — 4.9% | |||
194 | Boise Cascade Co. | 12,954 | |
120 | GMS, Inc.1 | 5,664 | |
1,707 | NOW, Inc.1 | 21,730 | |
215 | Rush Enterprises, Inc. Class A | 10,726 | |
175 | WESCO International, Inc.1 | 24,110 | |
75,184 | |||
Wireless Telecommunication Services — 0.9% | |||
759 | Telephone & Data Systems, Inc. | 12,903 | |
TOTAL COMMON STOCKS (Cost $1,286,329) | 1,507,945 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.5% | |||
$23,575 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $23,576, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $20,300, coupon rate of 0.625%, due 04/15/2023, market value of $24,068) | 23,575 | |
TOTAL REPURCHASE AGREEMENT (Cost $23,575) | 23,575 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.3% | |||
19,157 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 19,157 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $19,157) | 19,157 | ||
TOTAL INVESTMENTS (Cost $1,329,061) | 101.9% | $1,550,677 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.9) | (29,656) | |
NET ASSETS | 100.0% | $1,521,021 |
* | 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. |
82 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 9.6% | $ 145,921 | |
Biotechnology | 8.4 | 127,675 | |
Oil, Gas & Consumable Fuels | 7.8 | 118,673 | |
Equity Real Estate Investment Trusts | 5.8 | 88,644 | |
Trading Companies & Distributors | 4.9 | 75,184 | |
IT Services | 3.5 | 53,274 | |
Health Care Equipment & Supplies | 3.3 | 50,347 | |
Specialty Retail | 3.1 | 46,654 | |
Health Care Providers & Services | 2.8 | 42,906 | |
Software | 2.4 | 36,315 | |
Semiconductors & Semiconductor Equipment | 2.3 | 35,042 | |
Metals & Mining | 2.2 | 32,643 | |
Consumer Finance | 2.1 | 32,460 | |
Diversified Telecommunication Services | 2.1 | 32,413 | |
Communications Equipment | 2.0 | 30,905 | |
Thrifts & Mortgage Finance | 2.0 | 30,542 | |
Electronic Equipment, Instruments & Components | 2.0 | 30,072 | |
Professional Services | 2.0 | 29,992 | |
Household Durables | 2.0 | 29,768 | |
Building Products | 1.8 | 27,825 | |
Diversified Consumer Services | 1.8 | 27,738 | |
Food & Staples Retailing | 1.8 | 27,247 | |
Containers & Packaging | 1.7 | 25,663 | |
Pharmaceuticals | 1.7 | 25,430 | |
Electric Utilities | 1.5 | 23,021 | |
Food Products | 1.4 | 21,800 | |
Machinery | 1.4 | 20,963 | |
Energy Equipment & Services | 1.2 | 18,045 | |
Auto Components | 1.1 | 17,405 | |
Construction & Engineering | 1.1 | 16,643 | |
Commercial Services & Supplies | 1.1 | 16,309 | |
Multi-Utilities | 1.0 | 14,443 | |
Hotels, Restaurants & Leisure | 0.9 | 13,774 | |
Leisure Equipment & Products | 0.9 | 13,155 | |
Wireless Telecommunication Services | 0.9 | 12,903 | |
Paper & Forest Products | 0.8 | 12,855 | |
Insurance | 0.8 | 12,530 | |
Capital Markets | 0.8 | 12,169 | |
Air Freight & Logistics | 0.8 | 11,935 | |
Personal Products | 0.7 | 11,347 | |
Automobiles | 0.7 | 10,505 | |
Diversified Financial Services | 0.7 | 10,096 | |
Media | 0.6 | 8,886 | |
Health Care Technology | 0.5 | 7,864 | |
Interactive Media & Service | 0.4 | 6,568 | |
Aerospace & Defense | 0.4 | 6,526 | |
Internet & Direct Marketing Retail | 0.3 | 4,870 | |
TOTAL COMMON STOCKS | 99.1% | $1,507,945 | |
REPURCHASE AGREEMENT | 1.5 | 23,575 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.3 | 19,157 | |
TOTAL INVESTMENTS | 101.9% | $1,550,677 |
83 |
Shares | Value | ||
COMMON STOCKS* — 95.4% | |||
Japan — 19.8% | |||
19,600 | Canon, Inc. | $ 415,740 | |
1,900 | Daito Trust Construction Co. Ltd. | 187,962 | |
8,500 | Dentsu Group, Inc. | 264,955 | |
16,200 | Honda Motor Co. Ltd. | 367,481 | |
9,600 | ITOCHU Corp. | 248,498 | |
26,300 | Japan Post Holdings Co. Ltd. | 176,801 | |
17,600 | Japan Tobacco, Inc. | 291,647 | |
15,900 | Mitsui & Co. Ltd. | 352,121 | |
17,151 | Nitto Denko Corp., ADR1 | 448,670 | |
18,400 | SBI Holdings, Inc. | 332,622 | |
19,500 | Sekisui House Ltd. | 324,574 | |
9,100 | SUMCO Corp. | 115,605 | |
111,200 | Sumitomo Chemical Co. Ltd. | 374,668 | |
8,700 | Suntory Beverage & Food Ltd. | 291,375 | |
400 | Tokyo Electron Ltd. | 106,231 | |
26,700 | Unilever PLC, ADR | 233,969 | |
4,532,919 | |||
France — 13.2% | |||
1,050 | Arkema SA | 83,137 | |
16,300 | AXA SA | 402,712 | |
2,151 | Capgemini SE | 353,402 | |
2,700 | Cie de Saint-Gobain | 110,467 | |
2,300 | Danone SA | 114,421 | |
3,900 | Eiffage SA | 352,811 | |
5,595 | Publicis Groupe SA | 313,730 | |
7,082 | Sanofi | 611,204 | |
1,900 | Sodexo SA | 168,502 | |
7,490 | TotalEnergies SE, ADR | 407,850 | |
1,300 | Vinci SA | 119,711 | |
3,037,947 | |||
United Kingdom — 13.1% | |||
28,000 | BAE Systems PLC | 261,507 | |
91,100 | Barclays PLC | 154,370 | |
15,000 | Burberry Group PLC | 312,216 | |
23,783 | GSK PLC | 389,696 | |
2,700 | Reckitt Benckiser Group PLC | 178,969 | |
13,100 | RELX PLC1 | 351,690 | |
21,870 | Schroders PLC | 98,240 | |
14,800 | Shell PLC | 408,022 | |
9,200 | SSE PLC | 164,167 | |
7,912 | Unilever PLC, ADR1 | 360,075 | |
278,700 | Vodafone Group PLC | 324,855 | |
3,003,807 | |||
Canada — 9.5% | |||
6,460 | Bank of Nova Scotia | 312,147 | |
7,400 | Barrick Gold Corp. | 111,298 | |
4,300 | Canadian Natural Resources Ltd. | 257,902 | |
1,500 | CGI, Inc.2 | 120,828 | |
4,700 | Dollarama, Inc. | 279,271 | |
19,456 | Manulife Financial Corp. | 321,997 | |
3,800 | Nutrien Ltd. | 321,076 | |
7,100 | Toronto-Dominion Bank | 454,398 | |
2,178,917 |
84 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Germany — 7.0% | |||
3,300 | Bayer AG | $ 173,562 | |
3,600 | Bayerische Motoren Werke AG | 282,908 | |
1,400 | Deutsche Boerse AG | 227,802 | |
9,639 | Deutsche Post AG | 342,069 | |
3,500 | GEA Group AG | 122,444 | |
2,600 | HeidelbergCement AG | 119,865 | |
13,900 | Infineon Technologies AG | 338,472 | |
1,607,122 | |||
Spain — 5.2% | |||
22,050 | Iberdrola SA | 223,901 | |
16,900 | Industria de Diseno Textil SA | 383,131 | |
41,587 | Repsol SA | 564,897 | |
2,624 | Telefonica SA | 9,037 | |
1,180,966 | |||
Switzerland — 4.7% | |||
2,700 | Holcim AG | 122,630 | |
500 | Kuehne & Nagel International AG | 106,556 | |
4,200 | Novartis AG | 339,322 | |
1,560 | Roche Holding AG | 518,079 | |
1,086,587 | |||
Denmark — 4.6% | |||
18,607 | Carlsberg AS, ADR | 436,706 | |
3,800 | Novo Nordisk AS Class B | 413,121 | |
4,000 | Pandora AS | 210,823 | |
1,060,650 | |||
Australia — 4.4% | |||
6,500 | ASX Ltd.1 | 281,478 | |
25,000 | Australia & New Zealand Banking Group Ltd. | 408,736 | |
2,400 | Cochlear Ltd. | 306,587 | |
996,801 | |||
Hong Kong — 2.1% | |||
64,300 | CK Asset Holdings Ltd. | 355,509 | |
231,900 | WH Group Ltd.3 | 117,284 | |
472,793 | |||
Israel — 2.0% | |||
36,600 | Bank Leumi Le-Israel BM | 349,577 | |
20,500 | Israel Discount Bank Ltd. Class A | 116,727 | |
466,304 | |||
Netherlands — 1.7% | |||
9,300 | Koninklijke Ahold Delhaize NV | 259,638 | |
44,600 | Koninklijke KPN NV | 124,779 | |
384,417 | |||
Sweden — 1.6% | |||
23,000 | Volvo AB Class B | 376,626 | |
Singapore — 1.5% | |||
17,515 | United Overseas Bank Ltd. | 343,470 | |
New Zealand — 1.4% | |||
110,900 | Spark New Zealand Ltd. | 330,124 |
85 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Austria — 1.0% | |||
14,200 | Mondi PLC | $ 238,161 | |
Norway — 0.9% | |||
5,600 | Equinor ASA | 204,880 | |
Italy — 0.6% | |||
1,100 | DiaSorin SpA | 143,820 | |
Portugal — 0.6% | |||
6,500 | Jeronimo Martins SGPS SA | 134,768 | |
China — 0.5% | |||
33,700 | BOC Hong Kong Holdings Ltd. | 104,754 | |
TOTAL COMMON STOCKS (Cost $23,959,348) | 21,885,833 | ||
PREFERRED STOCKS* — 1.4% | |||
Germany — 1.4% | |||
2,500 | Volkswagen AG | 319,551 | |
TOTAL PREFERRED STOCKS (Cost $365,384) | 319,551 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.4% | |||
554,453 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 554,453 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $554,453) | 554,453 | ||
TOTAL INVESTMENTS (Cost $24,879,185) | 99.2% | $22,759,837 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.8 | 178,760 | |
NET ASSETS | 100.0% | $22,938,597 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Non income-producing security. |
3 | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may be resold in transactions exempt from registration, normally to qualified buyers. At October 31, 2022, these securities, which are not illiquid, amounted to $117,284 or 0.5% of net assets for the Fund. |
4 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
ADR — American Depositary Receipt |
86 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 10.7% | $ 2,444,984 | |
Banks | 9.9 | 2,244,179 | |
Oil, Gas & Consumable Fuels | 8.1 | 1,843,551 | |
Chemicals | 5.4 | 1,227,551 | |
Automobiles | 4.2 | 969,940 | |
Capital Markets | 4.0 | 940,142 | |
Insurance | 3.9 | 901,510 | |
Trading Companies & Distributors | 3.6 | 834,588 | |
Beverages | 3.2 | 728,081 | |
Media | 2.6 | 578,685 | |
Semiconductors & Semiconductor Equipment | 2.5 | 560,308 | |
Textiles, Apparel & Luxury Goods | 2.3 | 523,039 | |
Machinery | 2.1 | 499,070 | |
IT Services | 2.0 | 474,230 | |
Construction & Engineering | 2.0 | 472,522 | |
Diversified Telecommunication Services | 2.0 | 463,940 | |
Health Care Equipment & Supplies | 2.0 | 450,407 | |
Technology Hardware, Storage & Peripherals | 1.8 | 415,740 | |
Food & Staples Retailing | 1.7 | 394,406 | |
Electric Utilities | 1.7 | 388,068 | |
Specialty Retail | 1.7 | 383,131 | |
Personal Products | 1.6 | 360,075 | |
Real Estate Management & Development | 1.6 | 355,509 | |
Professional Services | 1.5 | 351,690 | |
Air Freight & Logistics | 1.5 | 342,069 | |
Wireless Telecommunication Services | 1.4 | 324,855 | |
Household Durables | 1.4 | 324,574 | |
Tobacco | 1.3 | 291,647 | |
Multi-line Retail | 1.2 | 279,271 | |
Aerospace & Defense | 1.1 | 261,507 | |
Construction Materials | 1.0 | 242,495 | |
Paper & Forest Products | 1.0 | 238,161 | |
Food Products | 1.0 | 231,705 | |
Unknown GI | 0.8 | 187,962 | |
Household Products | 0.8 | 178,969 | |
Hotels, Restaurants & Leisure | 0.7 | 168,502 | |
Metals & Mining | 0.5 | 111,298 | |
Building Products | 0.5 | 110,467 | |
Marine | 0.5 | 106,556 | |
TOTAL COMMON STOCKS | 96.8% | $22,205,384 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.4 | 554,453 | |
TOTAL INVESTMENTS | 99.2% | $22,759,837 |
87 |
Shares | Value | ||
COMMON STOCKS* — 99.7% | |||
Aerospace & Defense — 0.8% | |||
419 | Lockheed Martin Corp. | $ 203,919 | |
Auto Components — 0.9% | |||
1,502 | Lear Corp. | 208,342 | |
Automobiles — 2.1% | |||
11,907 | Harley-Davidson, Inc. | 512,001 | |
Banks — 3.7% | |||
3,642 | Bank of America Corp. | 131,258 | |
23,006 | Regions Financial Corp. | 504,982 | |
4,694 | Zions Bancorp NA | 243,806 | |
880,046 | |||
Biotechnology — 3.1% | |||
2,144 | Amgen, Inc. | 579,630 | |
212 | Regeneron Pharmaceuticals, Inc.1 | 158,735 | |
738,365 | |||
Building Products — 2.2% | |||
7,815 | Carrier Global Corp. | 310,724 | |
2,416 | Owens Corning | 206,834 | |
517,558 | |||
Capital Markets — 3.2% | |||
3,696 | Intercontinental Exchange, Inc. | 353,227 | |
6,537 | Nasdaq, Inc. | 406,863 | |
760,090 | |||
Chemicals — 2.2% | |||
7,393 | Dow, Inc. | 345,549 | |
2,300 | LyondellBasell Industries NV Class A | 175,835 | |
521,384 | |||
Commercial Services & Supplies — 0.9% | |||
1,705 | Republic Services, Inc. - Class A | 226,117 | |
Communications Equipment — 3.9% | |||
3,007 | Arista Networks, Inc.1 | 363,426 | |
8,370 | Cisco Systems, Inc. | 380,249 | |
5,963 | Juniper Networks, Inc. | 182,468 | |
926,143 | |||
Construction & Engineering — 1.1% | |||
3,358 | AECOM | 252,790 | |
Consumer Finance — 1.7% | |||
11,551 | Synchrony Financial | 410,754 | |
Distributors — 2.5% | |||
866 | Genuine Parts Co. | 154,027 | |
7,788 | LKQ Corp. | 433,324 | |
587,351 | |||
Diversified Consumer Services — 0.6% | |||
3,671 | H&R Block, Inc. | 151,062 | |
Diversified Telecommunication Services — 2.5% | |||
11,996 | AT&T, Inc. | 218,687 | |
51,100 | Lumen Technologies, Inc.2 | 376,096 | |
594,783 |
88 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — 1.2% | |||
1,674 | Keysight Technologies, Inc.1 | $ 291,527 | |
Equity Real Estate Investment Trusts — 1.4% | |||
10,716 | Weyerhaeuser Co. | 331,446 | |
Food & Staples Retailing — 1.6% | |||
7,997 | Kroger Co. | 378,178 | |
Food Products — 3.9% | |||
2,781 | Archer-Daniels-Midland Co. | 269,701 | |
8,143 | General Mills, Inc. | 664,306 | |
934,007 | |||
Health Care Equipment & Supplies — 1.3% | |||
1,273 | Danaher Corp. | 320,376 | |
Health Care Providers & Services — 6.3% | |||
2,711 | AmerisourceBergen Corp. | 426,223 | |
1,426 | Cigna Corp. | 460,684 | |
1,152 | Elevance Health, Inc. | 629,879 | |
1,516,786 | |||
Hotels, Restaurants & Leisure — 1.6% | |||
199 | Booking Holdings, Inc.1 | 372,027 | |
Household Durables — 0.6% | |||
32 | NVR, Inc.1 | 135,608 | |
Insurance — 1.8% | |||
5,003 | American International Group, Inc. | 285,171 | |
2,049 | MetLife, Inc. | 150,007 | |
435,178 | |||
Interactive Media & Service — 2.2% | |||
5,520 | Alphabet, Inc. - Class A1 | 521,695 | |
IT Services — 1.4% | |||
1,941 | Cognizant Technology Solutions Corp. - Class A | 120,827 | |
2,600 | PayPal Holdings, Inc.1 | 217,308 | |
338,135 | |||
Life Sciences Tools & Services — 3.2% | |||
245 | Mettler-Toledo International, Inc.1 | 309,908 | |
877 | Thermo Fisher Scientific, Inc. | 450,752 | |
760,660 | |||
Machinery — 1.6% | |||
819 | Cummins, Inc. | 200,254 | |
2,100 | Oshkosh Corp. | 184,800 | |
385,054 | |||
Media — 4.5% | |||
9,414 | Comcast Corp. - Class A | 298,800 | |
14,762 | Interpublic Group of Cos., Inc. | 439,760 | |
4,608 | Omnicom Group, Inc. | 335,232 | |
1,073,792 | |||
Metals & Mining — 1.6% | |||
2,868 | Nucor Corp. | 376,798 | |
Multi-Utilities — 1.9% | |||
17,781 | NiSource, Inc. | 456,794 |
89 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Oil, Gas & Consumable Fuels — 6.4% | |||
1,474 | Exxon Mobil Corp. | $ 163,334 | |
5,525 | HF Sinclair Corp. | 337,964 | |
22,757 | Kinder Morgan, Inc. | 412,357 | |
4,400 | Marathon Petroleum Corp. | 499,928 | |
3,800 | Williams Cos., Inc. | 124,374 | |
1,537,957 | |||
Pharmaceuticals — 2.0% | |||
1,600 | Bristol-Myers Squibb Co. | 123,952 | |
7,598 | Pfizer, Inc. | 353,687 | |
477,639 | |||
Real Estate Management & Development — 1.8% | |||
6,194 | CBRE Group, Inc. - Class A1 | 439,402 | |
Road & Rail — 0.6% | |||
3,136 | Knight-Swift Transportation Holdings, Inc. | 150,622 | |
Semiconductors & Semiconductor Equipment — 4.2% | |||
5,400 | Advanced Micro Devices, Inc.1 | 324,324 | |
5,820 | ON Semiconductor Corp.1 | 357,523 | |
3,705 | Skyworks Solutions, Inc. | 318,667 | |
1,000,514 | |||
Software — 9.9% | |||
3,776 | Cadence Design Systems, Inc.1 | 571,649 | |
3,300 | DocuSign, Inc.1 | 159,390 | |
7,352 | Dropbox, Inc. - Class A1 | 159,906 | |
10,920 | Fortinet, Inc.1 | 624,187 | |
2,155 | Microsoft Corp. | 500,240 | |
1,241 | Synopsys, Inc.1 | 363,055 | |
2,378,427 | |||
Specialty Retail — 3.5% | |||
716 | Lowe’s Cos., Inc. | 139,584 | |
941 | Ulta Beauty, Inc.1 | 394,627 | |
2,455 | Williams-Sonoma, Inc. | 304,003 | |
838,214 | |||
Technology Hardware, Storage & Peripherals — 3.3% | |||
12,767 | Hewlett Packard Enterprise Co. | 182,185 | |
14,636 | HP, Inc. | 404,246 | |
6,600 | Pure Storage, Inc. Class A1 | 203,676 | |
790,107 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
1,250 | Ralph Lauren Corp. | 115,862 | |
TOTAL COMMON STOCKS (Cost $19,895,941) | 23,847,510 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.1% | |||
$ 22,398 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $22,398, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $19,300, coupon rate of 0.625%, due 04/15/2023, market value of $22,883) | 22,398 | |
TOTAL REPURCHASE AGREEMENT (Cost $22,398) | 22,398 |
90 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.6% | |||
383,250 | State Street Navigator Securities Lending Government Money Market Portfolio3 | $ 383,250 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $383,250) | 383,250 | ||
TOTAL INVESTMENTS (Cost $20,301,589) | 101.4% | $24,253,158 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.4) | (330,474) | |
NET ASSETS | 100.0% | $23,922,684 |
* | 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. |
91 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 9.9% | $ 2,378,427 | |
Oil, Gas & Consumable Fuels | 6.4 | 1,537,957 | |
Health Care Providers & Services | 6.3 | 1,516,786 | |
Media | 4.5 | 1,073,792 | |
Semiconductors & Semiconductor Equipment | 4.2 | 1,000,514 | |
Food Products | 3.9 | 934,007 | |
Communications Equipment | 3.9 | 926,143 | |
Banks | 3.7 | 880,046 | |
Specialty Retail | 3.5 | 838,214 | |
Technology Hardware, Storage & Peripherals | 3.3 | 790,107 | |
Life Sciences Tools & Services | 3.2 | 760,660 | |
Capital Markets | 3.2 | 760,090 | |
Biotechnology | 3.1 | 738,365 | |
Diversified Telecommunication Services | 2.5 | 594,783 | |
Distributors | 2.5 | 587,351 | |
Interactive Media & Service | 2.2 | 521,695 | |
Chemicals | 2.2 | 521,384 | |
Building Products | 2.2 | 517,558 | |
Automobiles | 2.1 | 512,001 | |
Pharmaceuticals | 2.0 | 477,639 | |
Multi-Utilities | 1.9 | 456,794 | |
Real Estate Management & Development | 1.8 | 439,402 | |
Insurance | 1.8 | 435,178 | |
Consumer Finance | 1.7 | 410,754 | |
Machinery | 1.6 | 385,054 | |
Food & Staples Retailing | 1.6 | 378,178 | |
Metals & Mining | 1.6 | 376,798 | |
Hotels, Restaurants & Leisure | 1.6 | 372,027 | |
IT Services | 1.4 | 338,135 | |
Equity Real Estate Investment Trusts | 1.4 | 331,446 | |
Health Care Equipment & Supplies | 1.3 | 320,376 | |
Electronic Equipment, Instruments & Components | 1.2 | 291,527 | |
Construction & Engineering | 1.1 | 252,790 | |
Commercial Services & Supplies | 0.9 | 226,117 | |
Auto Components | 0.9 | 208,342 | |
Aerospace & Defense | 0.8 | 203,919 | |
Diversified Consumer Services | 0.6 | 151,062 | |
Road & Rail | 0.6 | 150,622 | |
Household Durables | 0.6 | 135,608 | |
Textiles, Apparel & Luxury Goods | 0.5 | 115,862 | |
TOTAL COMMON STOCKS | 99.7% | $23,847,510 | |
REPURCHASE AGREEMENT | 0.1 | 22,398 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.6 | 383,250 | |
TOTAL INVESTMENTS | 101.4% | $24,253,158 |
92 |
Shares | Value | ||
COMMON STOCKS* — 99.8% | |||
Aerospace & Defense — 3.6% | |||
2,055 | General Dynamics Corp. | $ 513,339 | |
537 | Northrop Grumman Corp. | 294,818 | |
808,157 | |||
Auto Components — 1.0% | |||
6,200 | BorgWarner, Inc. | 232,686 | |
Banks — 3.3% | |||
4,795 | Citizens Financial Group, Inc. | 196,116 | |
4,925 | East West Bancorp, Inc. | 352,482 | |
3,378 | Zions Bancorp NA | 175,453 | |
724,051 | |||
Beverages — 0.7% | |||
2,448 | Coca-Cola Co. | 146,513 | |
Biotechnology — 6.0% | |||
2,709 | Amgen, Inc. | 732,378 | |
1,066 | Biogen, Inc.1 | 302,147 | |
931 | Vertex Pharmaceuticals, Inc.1 | 290,472 | |
1,324,997 | |||
Capital Markets — 3.5% | |||
2,900 | Intercontinental Exchange, Inc. | 277,153 | |
4,211 | Raymond James Financial, Inc. | 497,488 | |
774,641 | |||
Chemicals — 1.3% | |||
2,891 | Corteva, Inc. | 188,898 | |
2,285 | Dow, Inc. | 106,801 | |
295,699 | |||
Commercial Services & Supplies — 1.0% | |||
1,682 | Republic Services, Inc. - Class A | 223,067 | |
Communications Equipment — 3.7% | |||
3,691 | Arista Networks, Inc.1 | 446,094 | |
8,458 | Cisco Systems, Inc. | 384,247 | |
830,341 | |||
Consumer Finance — 1.4% | |||
8,622 | Synchrony Financial | 306,598 | |
Containers & Packaging — 0.4% | |||
2,838 | Westrock Co. | 96,662 | |
Diversified Consumer Services — 0.6% | |||
3,016 | H&R Block, Inc. | 124,108 | |
Diversified Telecommunication Services — 1.3% | |||
15,264 | AT&T, Inc. | 278,263 | |
Electrical Equipment — 1.8% | |||
10,934 | nVent Electric PLC | 399,091 | |
Energy Equipment & Services — 2.0% | |||
16,036 | Baker Hughes Co. Class A | 443,556 | |
Equity Real Estate Investment Trusts — 3.0% | |||
551 | American Tower Corp. | 114,162 | |
190 | Equinix, Inc. | 107,624 |
93 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
14,535 | Weyerhaeuser Co. | $ 449,567 | |
671,353 | |||
Food & Staples Retailing — 1.6% | |||
7,357 | Kroger Co. | 347,913 | |
Food Products — 3.2% | |||
5,715 | General Mills, Inc. | 466,230 | |
515 | Hershey Co. | 122,967 | |
1,834 | Mondelez International, Inc. - Class A | 112,754 | |
701,951 | |||
Gas Utilities — 1.0% | |||
6,139 | UGI Corp. | 216,891 | |
Health Care Providers & Services — 6.9% | |||
4,694 | Centene Corp.1 | 399,600 | |
3,090 | CVS Health Corp. | 292,623 | |
326 | Elevance Health, Inc. | 178,247 | |
3,845 | Quest Diagnostics, Inc. | 552,334 | |
212 | UnitedHealth Group, Inc. | 117,692 | |
1,540,496 | |||
Hotels, Restaurants & Leisure — 2.6% | |||
252 | Booking Holdings, Inc.1 | 471,109 | |
1,069 | Expedia Group, Inc.1 | 99,919 | |
571,028 | |||
Household Products — 1.0% | |||
1,648 | Procter & Gamble Co. | 221,936 | |
Insurance — 2.6% | |||
3,024 | Fidelity National Financial, Inc. | 119,085 | |
2,548 | MetLife, Inc. | 186,539 | |
6,100 | Unum Group | 278,099 | |
583,723 | |||
Interactive Media & Service — 1.9% | |||
4,416 | Alphabet, Inc. - Class A1 | 417,356 | |
IT Services — 5.3% | |||
1,236 | Akamai Technologies, Inc.1 | 109,176 | |
3,900 | Amdocs, Ltd. | 336,609 | |
6,104 | Cognizant Technology Solutions Corp. - Class A | 379,974 | |
780 | Gartner, Inc.1 | 235,498 | |
2,516 | Genpact Ltd. | 122,026 | |
1,183,283 | |||
Media — 5.3% | |||
17,864 | Interpublic Group of Cos., Inc. | 532,168 | |
20,049 | News Corp. Class A | 338,227 | |
4,063 | Omnicom Group, Inc. | 295,583 | |
1,165,978 | |||
Metals & Mining — 1.8% | |||
9,400 | Newmont Corp. | 397,808 | |
Multi-Utilities — 0.5% | |||
4,364 | NiSource, Inc. | 112,111 |
94 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Oil, Gas & Consumable Fuels — 4.4% | |||
2,282 | Exxon Mobil Corp. | $ 252,868 | |
5,198 | Marathon Petroleum Corp. | 590,597 | |
1,303 | Phillips 66 | 135,890 | |
979,355 | |||
Pharmaceuticals — 3.8% | |||
4,500 | Bristol-Myers Squibb Co. | 348,615 | |
4,813 | Merck & Co., Inc. | 487,076 | |
835,691 | |||
Road & Rail — 0.8% | |||
860 | Union Pacific Corp. | 169,540 | |
Semiconductors & Semiconductor Equipment — 3.7% | |||
2,752 | Advanced Micro Devices, Inc.1 | 165,285 | |
5,128 | Applied Materials, Inc. | 452,751 | |
3,905 | Micron Technology, Inc. | 211,261 | |
829,297 | |||
Software — 6.7% | |||
22,498 | Dropbox, Inc. - Class A1 | 489,332 | |
1,298 | Microsoft Corp. | 301,305 | |
1,099 | Salesforce, Inc.1 | 178,686 | |
1,760 | Synopsys, Inc.1 | 514,888 | |
1,484,211 | |||
Specialty Retail — 6.3% | |||
2,379 | Lowe’s Cos., Inc. | 463,786 | |
1,120 | Ulta Beauty, Inc.1 | 469,695 | |
3,739 | Williams-Sonoma, Inc. | 463,000 | |
1,396,481 | |||
Technology Hardware, Storage & Peripherals — 4.4% | |||
27,008 | Hewlett Packard Enterprise Co. | 385,404 | |
8,624 | NetApp, Inc. | 597,385 | |
982,789 | |||
Textiles, Apparel & Luxury Goods — 1.4% | |||
9,858 | Tapestry, Inc. | 312,301 | |
TOTAL COMMON STOCKS (Cost $19,653,330) | 22,129,922 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.4% | |||
$94,339 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $94,342, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $81,200, coupon rate of 0.625%, due 04/15/2023, market value of $96,274) | 94,339 | |
TOTAL REPURCHASE AGREEMENT (Cost $94,339) | 94,339 | ||
TOTAL INVESTMENTS (Cost $19,747,669) | 100.2% | $22,224,261 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.2) | (52,263) | |
NET ASSETS | 100.0% | $22,171,998 |
95 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
96 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Health Care Providers & Services | 6.9% | $ 1,540,496 | |
Software | 6.7 | 1,484,211 | |
Specialty Retail | 6.3 | 1,396,481 | |
Biotechnology | 6.0 | 1,324,997 | |
IT Services | 5.3 | 1,183,283 | |
Media | 5.3 | 1,165,978 | |
Technology Hardware, Storage & Peripherals | 4.4 | 982,789 | |
Oil, Gas & Consumable Fuels | 4.4 | 979,355 | |
Pharmaceuticals | 3.8 | 835,691 | |
Communications Equipment | 3.7 | 830,341 | |
Semiconductors & Semiconductor Equipment | 3.7 | 829,297 | |
Aerospace & Defense | 3.6 | 808,157 | |
Capital Markets | 3.5 | 774,641 | |
Banks | 3.3 | 724,051 | |
Food Products | 3.2 | 701,951 | |
Equity Real Estate Investment Trusts | 3.0 | 671,353 | |
Insurance | 2.6 | 583,723 | |
Hotels, Restaurants & Leisure | 2.6 | 571,028 | |
Energy Equipment & Services | 2.0 | 443,556 | |
Interactive Media & Service | 1.9 | 417,356 | |
Electrical Equipment | 1.8 | 399,091 | |
Metals & Mining | 1.8 | 397,808 | |
Food & Staples Retailing | 1.6 | 347,913 | |
Textiles, Apparel & Luxury Goods | 1.4 | 312,301 | |
Consumer Finance | 1.4 | 306,598 | |
Chemicals | 1.3 | 295,699 | |
Diversified Telecommunication Services | 1.3 | 278,263 | |
Auto Components | 1.0 | 232,686 | |
Commercial Services & Supplies | 1.0 | 223,067 | |
Household Products | 1.0 | 221,936 | |
Gas Utilities | 1.0 | 216,891 | |
Road & Rail | 0.8 | 169,540 | |
Beverages | 0.7 | 146,513 | |
Diversified Consumer Services | 0.6 | 124,108 | |
Multi-Utilities | 0.5 | 112,111 | |
Containers & Packaging | 0.4 | 96,662 | |
TOTAL COMMON STOCKS | 99.8% | $22,129,922 | |
REPURCHASE AGREEMENT | 0.4 | 94,339 | |
TOTAL INVESTMENTS | 100.2% | $22,224,261 |
97 |
Shares | Value | ||
COMMON STOCKS* — 97.2% | |||
Aerospace & Defense — 1.6% | |||
12,960 | Howmet Aerospace, Inc.1 | $ 460,728 | |
9,620 | Parsons Corp.1,2 | 450,986 | |
911,714 | |||
Air Freight & Logistics — 2.6% | |||
9,520 | Expeditors International of Washington, Inc. | 931,532 | |
7,240 | Hub Group, Inc. Class A2 | 561,824 | |
1,493,356 | |||
Automobiles — 2.7% | |||
17,300 | General Motors Co. | 679,025 | |
19,720 | Harley-Davidson, Inc. | 847,960 | |
1,526,985 | |||
Banks — 3.8% | |||
16,020 | Bank OZK | 688,540 | |
4,460 | East West Bancorp, Inc. | 319,202 | |
78,220 | FNB Corp. | 1,130,279 | |
2,138,021 | |||
Biotechnology — 1.0% | |||
34,500 | Exelixis, Inc.2 | 572,010 | |
Building Products — 1.1% | |||
16,320 | Carrier Global Corp.1 | 648,883 | |
Capital Markets — 1.1% | |||
8,900 | Federated Hermes, Inc. | 309,275 | |
4,840 | Nasdaq, Inc. | 301,242 | |
610,517 | |||
Chemicals — 4.4% | |||
10,960 | Corteva, Inc. | 716,126 | |
5,960 | Dow, Inc. | 278,570 | |
24,560 | Huntsman Corp. | 657,226 | |
15,980 | Mosaic Co. | 858,925 | |
2,510,847 | |||
Commercial Services & Supplies — 0.8% | |||
3,420 | Republic Services, Inc. - Class A | 453,560 | |
Communications Equipment — 1.2% | |||
14,620 | Cisco Systems, Inc. | 664,187 | |
Construction & Engineering — 3.5% | |||
10,200 | AECOM1 | 767,856 | |
8,725 | EMCOR Group, Inc.1 | 1,231,097 | |
1,998,953 | |||
Consumer Finance — 2.3% | |||
51,840 | SLM Corp. | 860,026 | |
12,940 | Synchrony Financial | 460,146 | |
1,320,172 | |||
Containers & Packaging — 0.5% | |||
8,520 | Westrock Co. | 290,191 | |
Distributors — 1.8% | |||
18,600 | LKQ Corp. | 1,034,904 |
98 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Diversified Consumer Services — 1.9% | |||
13,880 | H&R Block, Inc. | $ 571,162 | |
4,860 | Service Corp. International | 294,564 | |
6,000 | Stride, Inc.2 | 201,060 | |
1,066,786 | |||
Diversified Financial Services — 0.6% | |||
12,080 | Equitable Holdings, Inc. | 369,890 | |
Diversified Telecommunication Services — 2.1% | |||
32,700 | AT&T, Inc. | 596,121 | |
15,820 | Verizon Communications, Inc. | 591,193 | |
1,187,314 | |||
Electric Utilities — 2.1% | |||
3,260 | American Electric Power Co., Inc. | 286,619 | |
9,740 | Evergy, Inc. | 595,406 | |
7,620 | Exelon Corp. | 294,056 | |
1,176,081 | |||
Electronic Equipment, Instruments & Components — 4.7% | |||
16,200 | Jabil, Inc. | 1,040,850 | |
15,740 | Sanmina Corp.2 | 882,227 | |
35,000 | Vishay Intertechnology, Inc. | 731,850 | |
2,654,927 | |||
Energy Equipment & Services — 0.8% | |||
16,560 | Baker Hughes Co. Class A | 458,050 | |
Entertainment — 0.9% | |||
6,440 | World Wrestling Entertainment, Inc. Class A | 508,052 | |
Equity Real Estate Investment Trusts — 6.7% | |||
39,880 | Apple Hospitality REIT, Inc.1 | 682,745 | |
29,760 | Brixmor Property Group, Inc.1 | 634,186 | |
10,760 | Regency Centers Corp. REIT1 | 651,088 | |
61,280 | Sunstone Hotel Investors, Inc.1 | 683,272 | |
36,280 | VICI Properties, Inc.1 | 1,161,685 | |
3,812,976 | |||
Food & Staples Retailing — 1.0% | |||
18,660 | Sprouts Farmers Market, Inc.2 | 550,470 | |
Food Products — 3.8% | |||
9,460 | Archer-Daniels-Midland Co. | 917,431 | |
9,200 | General Mills, Inc. | 750,536 | |
7,620 | Tyson Foods, Inc. Class A | 520,827 | |
2,188,794 | |||
Gas Utilities — 0.6% | |||
4,940 | National Fuel Gas Co. | 333,401 | |
Health Care Equipment & Supplies — 1.0% | |||
19,240 | Dentsply Sirona, Inc. | 592,977 | |
Health Care Providers & Services — 2.6% | |||
12,760 | Centene Corp.2 | 1,086,259 | |
4,300 | CVS Health Corp. | 407,210 | |
1,493,469 | |||
Health Care Technology — 0.5% | |||
8,920 | Evolent Health, Inc. Class A2 | 283,745 |
99 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Hotels, Restaurants & Leisure — 1.3% | |||
38,360 | International Game Technology PLC3 | $ 769,118 | |
Household Durables — 1.6% | |||
22,900 | PulteGroup, Inc. | 915,771 | |
Household Products — 1.0% | |||
7,820 | Colgate-Palmolive Co. | 577,429 | |
Insurance — 4.0% | |||
12,520 | American International Group, Inc. | 713,640 | |
12,580 | Arch Capital Group Ltd.2 | 723,350 | |
18,120 | Unum Group | 826,091 | |
2,263,081 | |||
IT Services — 5.6% | |||
13,120 | Amdocs, Ltd.1 | 1,132,387 | |
9,900 | CSG Systems International, Inc.1 | 640,233 | |
23,460 | Genpact Ltd.1 | 1,137,810 | |
5,420 | SS&C Technologies Holdings, Inc.1 | 278,696 | |
3,189,126 | |||
Life Sciences Tools & Services — 0.5% | |||
16,760 | Maravai LifeSciences Holdings, Inc. Class A2 | 278,216 | |
Media — 2.2% | |||
18,380 | Comcast Corp. - Class A | 583,381 | |
40,900 | News Corp. Class A | 689,983 | |
1,273,364 | |||
Metals & Mining — 1.9% | |||
5,260 | Reliance Steel & Aluminum Co. | 1,059,785 | |
Multi-line Retail — 1.0% | |||
28,184 | Macy’s, Inc. | 587,636 | |
Multi-Utilities — 0.9% | |||
19,140 | NiSource, Inc. | 491,707 | |
Oil, Gas & Consumable Fuels — 3.4% | |||
14,280 | HF Sinclair Corp. | 873,508 | |
9,260 | Marathon Petroleum Corp. | 1,052,121 | |
1,925,629 | |||
Paper & Forest Products — 0.6% | |||
5,740 | Louisiana-Pacific Corp. | 325,171 | |
Pharmaceuticals — 1.0% | |||
12,294 | Pfizer, Inc. | 572,286 | |
Professional Services — 2.3% | |||
2,520 | ASGN, Inc.2 | 213,646 | |
9,580 | CBIZ, Inc.2 | 475,551 | |
12,480 | KBR, Inc.3 | 621,129 | |
1,310,326 | |||
Semiconductors & Semiconductor Equipment — 2.4% | |||
46,700 | Amkor Technology, Inc. | 970,893 | |
5,880 | Diodes, Inc.2 | 421,419 | |
1,392,312 | |||
Software — 3.9% | |||
24,840 | ACI Worldwide, Inc.1,2 | 604,357 |
100 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
13,220 | Box, Inc. Class A1,2 | $ 384,041 | |
40,941 | Dropbox, Inc. - Class A1,2 | 890,467 | |
7,100 | Progress Software Corp.1 | 362,313 | |
2,241,178 | |||
Technology Hardware, Storage & Peripherals — 0.9% | |||
15,760 | Pure Storage, Inc. Class A2 | 486,354 | |
Textiles, Apparel & Luxury Goods — 1.0% | |||
18,480 | Tapestry, Inc. | 585,446 | |
Thrifts & Mortgage Finance — 1.5% | |||
61,260 | MGIC Investment Corp. | 836,199 | |
Trading Companies & Distributors — 2.5% | |||
14,780 | Rush Enterprises, Inc. Class A1 | 737,374 | |
26,020 | Univar Solutions, Inc.1,2 | 662,990 | |
1,400,364 | |||
TOTAL COMMON STOCKS (Cost $42,215,553) | 55,331,730 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.4% | |||
796,370 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 796,370 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $796,370) | 796,370 | ||
TOTAL LONG INVESTMENTS (Cost $43,011,923) | 98.6% | $ 56,128,100 | |
COMMON STOCKS SOLD SHORT* — (67.2)% | |||
Aerospace & Defense — (2.7)% | |||
(3,720) | Boeing Co.2 | (530,137) | |
(4,040) | Raytheon Technologies Corp. | (383,073) | |
(1,060) | TransDigm Group, Inc. | (610,305) | |
(1,523,515) | |||
Banks — (3.2)% | |||
(4,980) | First Republic Bank | (598,098) | |
(11,420) | Glacier Bancorp, Inc. | (654,138) | |
(2,440) | SVB Financial Group2 | (563,542) | |
(1,815,778) | |||
Beverages — (1.0)% | |||
(1,560) | Boston Beer Co., Inc. Class A2 | (582,332) | |
Building Products — (0.6)% | |||
(4,980) | AAON, Inc. | (321,160) | |
Capital Markets — (2.1)% | |||
(780) | BlackRock, Inc. | (503,810) | |
(1,680) | MarketAxess Holdings, Inc. | (409,987) | |
(1,140) | Moody’s Corp. | (301,952) | |
(1,215,749) | |||
Chemicals — (4.1)% | |||
(2,080) | Air Products & Chemicals, Inc. | (520,832) | |
(3,680) | Ecolab, Inc. | (578,018) | |
(4,480) | International Flavors & Fragrances, Inc. | (437,293) | |
(5,320) | PPG Industries, Inc. | (607,437) |
101 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Chemicals — (Continued) | |||
(4,600) | Scotts Miracle-Gro Co. | $ (211,186) | |
(2,354,766) | |||
Commercial Services & Supplies — (2.0)% | |||
(4,240) | MSA Safety, Inc. | (569,178) | |
(13,140) | Stericycle, Inc.2 | (585,781) | |
(1,154,959) | |||
Communications Equipment — (0.7)% | |||
(1,660) | Motorola Solutions, Inc. | (414,519) | |
Construction & Engineering — (0.5)% | |||
(1,920) | Quanta Services, Inc. | (272,717) | |
Containers & Packaging — (1.7)% | |||
(5,240) | AptarGroup, Inc. | (519,546) | |
(8,840) | Ball Corp. | (436,608) | |
(956,154) | |||
Diversified Consumer Services — (0.8)% | |||
(6,840) | Bright Horizons Family Solutions, Inc.2 | (446,789) | |
Electric Utilities — (1.9)% | |||
(13,620) | FirstEnergy Corp. | (513,610) | |
(8,300) | MGE Energy, Inc. | (565,147) | |
(1,078,757) | |||
Electrical Equipment — (1.0)% | |||
(2,200) | Rockwell Automation, Inc. | (561,660) | |
Electronic Equipment, Instruments & Components — (3.7)% | |||
(8,380) | Cognex Corp. | (387,407) | |
(19,740) | Corning, Inc. | (635,036) | |
(1,500) | Teledyne Technologies, Inc.2 | (596,970) | |
(1,800) | Zebra Technologies Corp. Class A2 | (509,796) | |
(2,129,209) | |||
Entertainment — (1.1)% | |||
(5,660) | Walt Disney Co.2 | (603,016) | |
Equity Real Estate Investment Trusts — (6.4)% | |||
(4,420) | Digital Realty Trust, Inc. | (443,105) | |
(28,680) | Elme Communities | (547,501) | |
(27,160) | Healthcare Realty Trust, Inc. Class A | (552,163) | |
(19,700) | Healthpeak Properties, Inc. | (467,481) | |
(11,000) | National Health Investors, Inc. REIT | (623,700) | |
(13,340) | SL Green Realty Corp. REIT | (529,331) | |
(19,240) | Vornado Realty Trust | (453,872) | |
(3,617,153) | |||
Food Products — (2.1)% | |||
(4,040) | J&J Snack Foods Corp. | (596,344) | |
(7,440) | McCormick & Co., Inc. | (585,082) | |
(1,181,426) | |||
Health Care Equipment & Supplies — (2.5)% | |||
(2,680) | Becton Dickinson & Co. | (632,400) | |
(1,160) | Stryker Corp. | (265,918) | |
(4,480) | Zimmer Biomet Holdings, Inc. | (507,808) | |
(1,406,126) |
102 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Hotels, Restaurants & Leisure — (1.9)% | |||
(7,060) | Cracker Barrel Old Country Store, Inc. | $ (806,393) | |
(7,820) | Las Vegas Sands Corp.2 | (297,238) | |
(1,103,631) | |||
Household Durables — (0.9)% | |||
(38,400) | Newell Brands, Inc. | (530,304) | |
Household Products — (0.6)% | |||
(2,840) | Kimberly-Clark Corp. | (353,466) | |
Insurance — (5.3)% | |||
(4,320) | Allstate Corp. | (545,400) | |
(2,820) | Cincinnati Financial Corp. | (291,362) | |
(3,480) | Erie Indemnity Co. Class A | (894,395) | |
(9,400) | First American Financial Corp. | (473,760) | |
(11,700) | Kemper Corp. | (557,739) | |
(9,620) | Mercury General Corp. | (278,980) | |
(3,041,636) | |||
Internet & Direct Marketing Retail — (0.7)% | |||
(4,000) | Amazon.com, Inc.2 | (409,760) | |
IT Services — (0.8)% | |||
(3,440) | International Business Machines Corp. | (475,718) | |
Life Sciences Tools & Services — (0.3)% | |||
(740) | Illumina, Inc.2 | (169,327) | |
Machinery — (2.8)% | |||
(1,580) | Deere & Co. | (625,395) | |
(4,600) | Stanley Black & Decker, Inc. | (361,054) | |
(5,820) | Toro Co. | (613,603) | |
(1,600,052) | |||
Multi-Utilities — (1.0)% | |||
(10,100) | Public Service Enterprise Group, Inc. | (566,307) | |
Oil, Gas & Consumable Fuels — (1.3)% | |||
(5,260) | Hess Corp. | (742,081) | |
Professional Services — (1.0)% | |||
(3,240) | Equifax, Inc. | (549,310) | |
Real Estate Management & Development — (0.1)% | |||
(16,740) | Opendoor Technologies, Inc.2 | (43,357) | |
Road & Rail — (2.1)% | |||
(1,120) | AMERCO | (644,213) | |
(2,720) | Union Pacific Corp. | (536,221) | |
(1,180,434) | |||
Semiconductors & Semiconductor Equipment — (1.2)% | |||
(2,960) | Analog Devices, Inc. | (422,155) | |
(4,980) | Micron Technology, Inc. | (269,418) | |
(691,573) | |||
Software — (5.6)% | |||
(2,300) | ANSYS, Inc.2 | (508,668) | |
(3,020) | Autodesk, Inc.2 | (647,186) | |
(8,960) | Oracle Corp. | (699,507) | |
(4,840) | Pegasystems, Inc. | (180,096) | |
(5,000) | PTC, Inc.2 | (589,150) |
103 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Software — (Continued) | |||
(1,820) | Tyler Technologies, Inc.2 | $ (588,461) | |
(3,213,068) | |||
Specialty Retail — (1.6)% | |||
(19,400) | Monro, Inc. | (926,350) | |
Textiles, Apparel & Luxury Goods — (0.7)% | |||
(13,000) | VF Corp. | (367,250) | |
Water Utilities — (1.2)% | |||
(7,340) | American States Water Co. | (663,976) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(47,826,711)) | (38,263,385) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(47,826,711)) | (67.2)% | $(38,263,385) | |
TOTAL INVESTMENTS (Cost $(4,814,788)) | 31.4% | $ 17,864,715 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 68.6 | 39,075,473 | |
NET ASSETS | 100.0% | $ 56,940,188 |
* | Percentages indicated are based on net assets. |
1 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $8,694,623. |
2 | Non income-producing security. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
104 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Equity Real Estate Investment Trusts | 6.7% | $ 3,812,976 | |
IT Services | 5.6 | 3,189,126 | |
Electronic Equipment, Instruments & Components | 4.7 | 2,654,927 | |
Chemicals | 4.4 | 2,510,847 | |
Insurance | 4.0 | 2,263,081 | |
Software | 3.9 | 2,241,178 | |
Food Products | 3.8 | 2,188,794 | |
Banks | 3.8 | 2,138,021 | |
Construction & Engineering | 3.5 | 1,998,953 | |
Oil, Gas & Consumable Fuels | 3.4 | 1,925,629 | |
Automobiles | 2.7 | 1,526,985 | |
Health Care Providers & Services | 2.6 | 1,493,469 | |
Air Freight & Logistics | 2.6 | 1,493,356 | |
Trading Companies & Distributors | 2.5 | 1,400,364 | |
Semiconductors & Semiconductor Equipment | 2.4 | 1,392,312 | |
Consumer Finance | 2.3 | 1,320,172 | |
Professional Services | 2.3 | 1,310,326 | |
Media | 2.2 | 1,273,364 | |
Diversified Telecommunication Services | 2.1 | 1,187,314 | |
Electric Utilities | 2.1 | 1,176,081 | |
Diversified Consumer Services | 1.9 | 1,066,786 | |
Metals & Mining | 1.9 | 1,059,785 | |
Distributors | 1.8 | 1,034,904 | |
Household Durables | 1.6 | 915,771 | |
Aerospace & Defense | 1.6 | 911,714 | |
Thrifts & Mortgage Finance | 1.5 | 836,199 | |
Hotels, Restaurants & Leisure | 1.3 | 769,118 | |
Communications Equipment | 1.2 | 664,187 | |
Building Products | 1.1 | 648,883 | |
Capital Markets | 1.1 | 610,517 | |
Health Care Equipment & Supplies | 1.0 | 592,977 | |
Multi-line Retail | 1.0 | 587,636 | |
Textiles, Apparel & Luxury Goods | 1.0 | 585,446 | |
Household Products | 1.0 | 577,429 | |
Pharmaceuticals | 1.0 | 572,286 | |
Biotechnology | 1.0 | 572,010 | |
Food & Staples Retailing | 1.0 | 550,470 | |
Entertainment | 0.9 | 508,052 | |
Multi-Utilities | 0.9 | 491,707 | |
Technology Hardware, Storage & Peripherals | 0.9 | 486,354 | |
Energy Equipment & Services | 0.8 | 458,050 | |
Commercial Services & Supplies | 0.8 | 453,560 | |
Diversified Financial Services | 0.6 | 369,890 | |
Gas Utilities | 0.6 | 333,401 | |
Paper & Forest Products | 0.6 | 325,171 | |
Containers & Packaging | 0.5 | 290,191 | |
Health Care Technology | 0.5 | 283,745 | |
Life Sciences Tools & Services | 0.5 | 278,216 | |
Short Positions: | |||
Real Estate Management & Development | (0.1) | (43,357) | |
Life Sciences Tools & Services | (0.3) | (169,327) | |
Construction & Engineering | (0.5) | (272,717) | |
Building Products | (0.6) | (321,160) |
105 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Household Products | (0.6)% | $ (353,466) | |
Textiles, Apparel & Luxury Goods | (0.7) | (367,250) | |
Internet & Direct Marketing Retail | (0.7) | (409,760) | |
Communications Equipment | (0.7) | (414,519) | |
Diversified Consumer Services | (0.8) | (446,789) | |
IT Services | (0.8) | (475,718) | |
Household Durables | (0.9) | (530,304) | |
Professional Services | (1.0) | (549,310) | |
Electrical Equipment | (1.0) | (561,660) | |
Multi-Utilities | (1.0) | (566,307) | |
Beverages | (1.0) | (582,332) | |
Entertainment | (1.1) | (603,016) | |
Water Utilities | (1.2) | (663,976) | |
Semiconductors & Semiconductor Equipment | (1.2) | (691,573) | |
Oil, Gas & Consumable Fuels | (1.3) | (742,081) | |
Specialty Retail | (1.6) | (926,350) | |
Containers & Packaging | (1.7) | (956,154) | |
Electric Utilities | (1.9) | (1,078,757) | |
Hotels, Restaurants & Leisure | (1.9) | (1,103,631) | |
Commercial Services & Supplies | (2.0) | (1,154,959) | |
Road & Rail | (2.1) | (1,180,434) | |
Food Products | (2.1) | (1,181,426) | |
Capital Markets | (2.1) | (1,215,749) | |
Health Care Equipment & Supplies | (2.5) | (1,406,126) | |
Aerospace & Defense | (2.7) | (1,523,515) | |
Machinery | (2.8) | (1,600,052) | |
Banks | (3.2) | (1,815,778) | |
Electronic Equipment, Instruments & Components | (3.7) | (2,129,209) | |
Chemicals | (4.1) | (2,354,766) | |
Insurance | (5.3) | (3,041,636) | |
Software | (5.6) | (3,213,068) | |
Equity Real Estate Investment Trusts | (6.4) | (3,617,153) | |
TOTAL COMMON STOCKS | 30.0% | $17,068,345 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.4 | 796,370 | |
TOTAL INVESTMENTS | 31.4% | $17,864,715 |
106 |
Shares | Value | ||
COMMON STOCKS* — 126.3% | |||
Aerospace & Defense — 0.7% | |||
9,000 | Howmet Aerospace, Inc.1 | $ 319,950 | |
Air Freight & Logistics — 1.6% | |||
9,080 | Hub Group, Inc. Class A1,2 | 704,608 | |
Auto Components — 0.8% | |||
9,780 | BorgWarner, Inc. | 367,043 | |
Automobiles — 3.0% | |||
40,400 | Ford Motor Co.1 | 540,148 | |
18,520 | Harley-Davidson, Inc. | 796,360 | |
1,336,508 | |||
Banks — 3.3% | |||
11,160 | Citizens Financial Group, Inc.1 | 456,444 | |
52,540 | FNB Corp. | 759,203 | |
9,620 | Regions Financial Corp.1 | 211,159 | |
1,426,806 | |||
Biotechnology — 1.2% | |||
32,140 | Exelixis, Inc.2 | 532,881 | |
Building Products — 2.3% | |||
14,660 | Carrier Global Corp.1 | 582,882 | |
7,260 | Fortune Brands Home & Security, Inc.1 | 437,923 | |
1,020,805 | |||
Capital Markets — 1.7% | |||
11,640 | Nasdaq, Inc.1 | 724,474 | |
Chemicals — 3.9% | |||
7,680 | Corteva, Inc.1 | 501,811 | |
18,600 | Huntsman Corp.1 | 497,736 | |
12,800 | Mosaic Co.1 | 688,000 | |
1,687,547 | |||
Commercial Services & Supplies — 0.8% | |||
2,700 | Republic Services, Inc. - Class A1 | 358,074 | |
Communications Equipment — 1.9% | |||
13,020 | Cisco Systems, Inc.1 | 591,499 | |
7,940 | Juniper Networks, Inc. | 242,964 | |
834,463 | |||
Construction & Engineering — 2.4% | |||
7,340 | EMCOR Group, Inc.1 | 1,035,674 | |
Consumer Finance — 3.1% | |||
44,620 | SLM Corp. | 740,246 | |
17,280 | Synchrony Financial1 | 614,477 | |
1,354,723 | |||
Containers & Packaging — 1.8% | |||
10,960 | Silgan Holdings, Inc. | 519,066 | |
7,740 | Westrock Co.1 | 263,624 | |
782,690 | |||
Distributors — 1.8% | |||
14,560 | LKQ Corp.1 | 810,118 | |
Diversified Consumer Services — 1.8% | |||
12,340 | H&R Block, Inc. | 507,791 |
107 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Diversified Consumer Services — (Continued) | |||
8,880 | Stride, Inc.2 | $ 297,569 | |
805,360 | |||
Diversified Financial Services — 1.1% | |||
7,000 | Voya Financial, Inc. | 478,520 | |
Diversified Telecommunication Services — 2.5% | |||
28,820 | AT&T, Inc.1 | 525,389 | |
80,000 | Lumen Technologies, Inc.3 | 588,800 | |
1,114,189 | |||
Electric Utilities — 1.4% | |||
10,280 | Evergy, Inc.1 | 628,416 | |
Electrical Equipment — 0.9% | |||
10,300 | nVent Electric PLC1 | 375,950 | |
Electronic Equipment, Instruments & Components — 2.5% | |||
4,220 | Arrow Electronics, Inc.2 | 427,317 | |
11,760 | Sanmina Corp.2 | 659,148 | |
1,086,465 | |||
Energy Equipment & Services — 1.3% | |||
20,660 | Baker Hughes Co. Class A | 571,456 | |
Entertainment — 1.2% | |||
6,580 | World Wrestling Entertainment, Inc. Class A | 519,096 | |
Equity Real Estate Investment Trusts — 6.7% | |||
26,940 | Brixmor Property Group, Inc.1 | 574,091 | |
36,540 | Host Hotels & Resorts, Inc.1 | 689,875 | |
6,340 | Lamar Advertising Co. Class A1 | 584,738 | |
12,860 | National Retail Properties, Inc.1 | 540,506 | |
16,680 | VICI Properties, Inc.1 | 534,094 | |
2,923,304 | |||
Food & Staples Retailing — 2.8% | |||
12,700 | Kroger Co.1 | 600,583 | |
21,700 | Sprouts Farmers Market, Inc.2 | 640,150 | |
1,240,733 | |||
Food Products — 4.6% | |||
2,600 | Archer-Daniels-Midland Co.1 | 252,148 | |
4,860 | Cal-Maine Foods, Inc. | 274,639 | |
11,380 | Darling Ingredients, Inc.1,2 | 893,102 | |
7,360 | General Mills, Inc.1 | 600,429 | |
2,020,318 | |||
Gas Utilities — 1.1% | |||
3,720 | National Fuel Gas Co.1 | 251,063 | |
6,900 | UGI Corp.1 | 243,777 | |
494,840 | |||
Health Care Equipment & Supplies — 1.3% | |||
18,720 | Dentsply Sirona, Inc. | 576,950 | |
Health Care Providers & Services — 4.5% | |||
7,780 | Centene Corp.1,2 | 662,311 | |
5,480 | DaVita, Inc.2 | 400,095 | |
2,548 | Molina Healthcare, Inc.1,2 | 914,375 | |
1,976,781 |
108 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Hotels, Restaurants & Leisure — 1.5% | |||
32,660 | International Game Technology PLC3 | $ 654,833 | |
Household Durables — 1.7% | |||
4,337 | PulteGroup, Inc.1 | 173,437 | |
22,480 | Taylor Morrison Home Corp.1,2 | 592,123 | |
765,560 | |||
Insurance — 3.4% | |||
9,920 | Arch Capital Group Ltd.1,2 | 570,400 | |
4,140 | Axis Capital Holdings Ltd.1 | 226,334 | |
14,880 | Unum Group1 | 678,379 | |
1,475,113 | |||
Internet & Direct Marketing Retail — 1.3% | |||
13,900 | eBay, Inc. | 553,776 | |
IT Services — 6.7% | |||
6,320 | Akamai Technologies, Inc.2 | 558,245 | |
8,000 | Amdocs, Ltd.1 | 690,480 | |
10,540 | CSG Systems International, Inc. | 681,622 | |
16,560 | Genpact Ltd. | 803,160 | |
3,880 | SS&C Technologies Holdings, Inc.1 | 199,510 | |
2,933,017 | |||
Leisure Product — 0.3% | |||
2,160 | Brunswick Corp.1 | 152,647 | |
Life Sciences Tools & Services — 3.1% | |||
25,320 | Maravai LifeSciences Holdings, Inc. Class A2 | 420,312 | |
4,260 | Medpace Holdings, Inc.2 | 945,635 | |
1,365,947 | |||
Machinery — 1.5% | |||
8,880 | Hillenbrand, Inc. | 392,319 | |
2,580 | PACCAR, Inc.1 | 249,821 | |
642,140 | |||
Media — 5.3% | |||
17,600 | Comcast Corp. - Class A1 | 558,624 | |
19,040 | Interpublic Group of Cos., Inc. | 567,202 | |
33,821 | News Corp. Class A | 570,560 | |
8,480 | Omnicom Group, Inc. | 616,920 | |
2,313,306 | |||
Metals & Mining — 1.2% | |||
2,546 | Reliance Steel & Aluminum Co.1 | 512,968 | |
Multi-Utilities — 1.3% | |||
22,020 | NiSource, Inc.1 | 565,694 | |
Oil, Gas & Consumable Fuels — 5.0% | |||
20,800 | HF Sinclair Corp. | 1,272,336 | |
8,020 | Marathon Petroleum Corp.1 | 911,232 | |
2,183,568 | |||
Pharmaceuticals — 4.8% | |||
10,160 | Amphastar Pharmaceuticals, Inc.2 | 313,944 | |
17,360 | Perrigo Co. PLC | 699,261 | |
13,360 | Pfizer, Inc.1 | 621,908 | |
13,580 | Supernus Pharmaceuticals, Inc.2 | 465,386 | |
2,100,499 |
109 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Professional Services — 1.5% | |||
1,700 | ASGN, Inc.1,2 | $ 144,127 | |
6,400 | CBIZ, Inc.2 | 317,696 | |
2,660 | Robert Half International, Inc.1 | 203,384 | |
665,207 | |||
Road & Rail — 0.8% | |||
7,080 | Knight-Swift Transportation Holdings, Inc.1 | 340,052 | |
Semiconductors & Semiconductor Equipment — 4.4% | |||
26,460 | Amkor Technology, Inc. | 550,104 | |
3,140 | Cirrus Logic, Inc.2 | 210,757 | |
8,860 | Diodes, Inc.2 | 634,996 | |
10,020 | FormFactor, Inc.2 | 202,504 | |
5,180 | ON Semiconductor Corp.1,2 | 318,207 | |
1,916,568 | |||
Software — 6.3% | |||
24,560 | Box, Inc. Class A2 | 713,468 | |
29,080 | Dropbox, Inc. - Class A2 | 632,490 | |
12,780 | Progress Software Corp. | 652,163 | |
6,120 | SPS Commerce, Inc.2 | 774,303 | |
2,772,424 | |||
Specialty Retail — 2.3% | |||
20,040 | Foot Locker, Inc. | 635,268 | |
2,860 | Williams-Sonoma, Inc. | 354,154 | |
989,422 | |||
Technology Hardware, Storage & Peripherals — 5.1% | |||
43,460 | Hewlett Packard Enterprise Co. | 620,174 | |
9,500 | HP, Inc.1 | 262,390 | |
9,580 | NetApp, Inc. | 663,607 | |
22,540 | Pure Storage, Inc. Class A2 | 695,584 | |
2,241,755 | |||
Thrifts & Mortgage Finance — 1.8% | |||
58,820 | MGIC Investment Corp. | 802,893 | |
Trading Companies & Distributors — 3.0% | |||
23,000 | Univar Solutions, Inc.1,2 | 586,040 | |
5,260 | WESCO International, Inc.1,2 | 724,670 | |
1,310,710 | |||
TOTAL COMMON STOCKS (Cost $43,262,800) | 55,366,841 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$251,238 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $251,245, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $216,200, coupon rate of 0.625%, due 04/15/2023, market value of $256,335) | 251,238 | |
TOTAL REPURCHASE AGREEMENT (Cost $251,238) | 251,238 |
110 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.7% | |||
752,215 | State Street Navigator Securities Lending Government Money Market Portfolio4 | $ 752,215 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $752,215) | 752,215 | ||
TOTAL LONG INVESTMENTS (Cost $44,266,253) | 128.6% | $ 56,370,294 | |
COMMON STOCKS SOLD SHORT* — (26.7)% | |||
Aerospace & Defense — (1.7)% | |||
(1,020) | Boeing Co.2 | (145,360) | |
(2,400) | Hexcel Corp. | (133,680) | |
(800) | L3Harris Technologies, Inc. | (197,176) | |
(2,020) | Mercury Systems, Inc.2 | (97,768) | |
(2,040) | Raytheon Technologies Corp. | (193,433) | |
(767,417) | |||
Air Freight & Logistics — (0.3)% | |||
(700) | United Parcel Service, Inc. Class B | (117,439) | |
Auto Components — (0.3)% | |||
(4,440) | Gentex Corp. | (117,616) | |
Banks — (0.9)% | |||
(1,000) | First Republic Bank | (120,100) | |
(3,500) | Glacier Bancorp, Inc. | (200,480) | |
(400) | SVB Financial Group2 | (92,384) | |
(412,964) | |||
Beverages — (0.9)% | |||
(500) | Boston Beer Co., Inc. Class A2 | (186,645) | |
(1,100) | PepsiCo, Inc. | (199,738) | |
(386,383) | |||
Building Products — (0.7)% | |||
(1,820) | AAON, Inc. | (117,372) | |
(1,100) | Advanced Drainage Systems, Inc. | (127,468) | |
(1,200) | Trex Co., Inc.2 | (57,708) | |
(302,548) | |||
Capital Markets — (0.3)% | |||
(240) | MarketAxess Holdings, Inc. | (58,570) | |
(300) | Moody’s Corp. | (79,461) | |
(138,031) | |||
Chemicals — (1.6)% | |||
(800) | Air Products & Chemicals, Inc. | (200,320) | |
(1,100) | Ecolab, Inc. | (172,777) | |
(1,600) | International Flavors & Fragrances, Inc. | (156,176) | |
(1,120) | PPG Industries, Inc. | (127,881) | |
(1,380) | Scotts Miracle-Gro Co. | (63,356) | |
(720,510) | |||
Commercial Services & Supplies — (0.9)% | |||
(1,440) | MSA Safety, Inc. | (193,306) | |
(4,040) | Stericycle, Inc.2 | (180,103) | |
(373,409) | |||
Communications Equipment — (0.8)% | |||
(800) | F5, Inc.2 | (114,328) |
111 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Communications Equipment — (Continued) | |||
(900) | Motorola Solutions, Inc. | $ (224,739) | |
(339,067) | |||
Construction & Engineering — (0.5)% | |||
(1,500) | Quanta Services, Inc. | (213,060) | |
Construction Materials — (0.8)% | |||
(500) | Martin Marietta Materials, Inc. | (167,990) | |
(1,000) | Vulcan Materials Co. | (163,700) | |
(331,690) | |||
Containers & Packaging — (0.6)% | |||
(1,620) | AptarGroup, Inc. | (160,623) | |
(1,800) | Ball Corp. | (88,902) | |
(249,525) | |||
Diversified Consumer Services — (0.1)% | |||
(634) | Bright Horizons Family Solutions, Inc.2 | (41,413) | |
Electric Utilities — (0.6)% | |||
(2,780) | FirstEnergy Corp. | (104,834) | |
(2,280) | MGE Energy, Inc. | (155,245) | |
(260,079) | |||
Electrical Equipment — (1.0)% | |||
(7,340) | Array Technologies, Inc.2 | (132,854) | |
(600) | Hubbell, Inc. | (142,488) | |
(600) | Rockwell Automation, Inc. | (153,180) | |
(428,522) | |||
Electronic Equipment, Instruments & Components — (0.4)% | |||
(1,980) | Cognex Corp. | (91,536) | |
(360) | Zebra Technologies Corp. Class A2 | (101,959) | |
(193,495) | |||
Equity Real Estate Investment Trusts — (3.5)% | |||
(1,000) | Alexandria Real Estate Equities, Inc. | (145,300) | |
(1,420) | Digital Realty Trust, Inc. | (142,355) | |
(5,500) | Equity Commonwealth | (143,880) | |
(6,940) | Healthcare Realty Trust, Inc. Class A | (141,090) | |
(5,640) | Healthpeak Properties, Inc. | (133,837) | |
(3,300) | National Health Investors, Inc. REIT | (187,110) | |
(3,860) | SL Green Realty Corp. REIT | (153,165) | |
(2,920) | Ventas, Inc. | (114,260) | |
(7,786) | Veris Residential, Inc.2 | (123,252) | |
(6,260) | Vornado Realty Trust | (147,673) | |
(1,800) | Welltower, Inc. REIT | (109,872) | |
(1,541,794) | |||
Food Products — (0.6)% | |||
(800) | J&J Snack Foods Corp. | (118,088) | |
(2,100) | McCormick & Co., Inc. | (165,144) | |
(283,232) | |||
Health Care Equipment & Supplies — (0.3)% | |||
(500) | Stryker Corp. | (114,620) | |
Hotels, Restaurants & Leisure — (1.2)% | |||
(1,580) | Cracker Barrel Old Country Store, Inc. | (180,468) | |
(2,620) | Las Vegas Sands Corp.2 | (99,586) |
112 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Hotels, Restaurants & Leisure — (Continued) | |||
(1,880) | Papa John’s International, Inc. | $ (136,544) | |
(1,580) | Wynn Resorts Ltd.2 | (100,962) | |
(517,560) | |||
Household Durables — (0.4)% | |||
(5,320) | Leggett & Platt, Inc. | (179,550) | |
Industrial Conglomerates — (0.3)% | |||
(1,051) | 3M Co. | (132,205) | |
Insurance — (2.5)% | |||
(1,580) | Allstate Corp. | (199,475) | |
(720) | Erie Indemnity Co. Class A | (185,047) | |
(3,120) | First American Financial Corp. | (157,248) | |
(1,700) | Globe Life, Inc. | (196,384) | |
(3,860) | Kemper Corp. | (184,006) | |
(1,480) | Progressive Corp. | (190,032) | |
(1,112,192) | |||
Internet & Direct Marketing Retail — (0.2)% | |||
(800) | Amazon.com, Inc.2 | (81,952) | |
Leisure Product — (0.5)% | |||
(1,980) | Polaris Industries, Inc. | (201,168) | |
Machinery — (0.7)% | |||
(500) | Deere & Co. | (197,910) | |
(1,580) | Stanley Black & Decker, Inc. | (124,014) | |
(321,924) | |||
Multi-Utilities — (0.3)% | |||
(1,300) | DTE Energy Co. | (145,743) | |
Professional Services — (0.3)% | |||
(900) | Equifax, Inc. | (152,586) | |
Road & Rail — (1.3)% | |||
(380) | AMERCO | (218,572) | |
(740) | Norfolk Southern Corp. | (168,772) | |
(900) | Union Pacific Corp. | (177,426) | |
(564,770) | |||
Software — (0.7)% | |||
(280) | ANSYS, Inc.2 | (61,925) | |
(500) | Autodesk, Inc.2 | (107,150) | |
(400) | Tyler Technologies, Inc.2 | (129,332) | |
(298,407) | |||
Specialty Retail — (0.2)% | |||
(1,500) | CarMax, Inc.2 | (94,515) | |
Textiles, Apparel & Luxury Goods — (0.1)% | |||
(1,660) | VF Corp. | (46,895) | |
Water Utilities — (1.2)% | |||
(2,000) | American States Water Co. | (180,920) | |
(3,660) | California Water Service Group | (227,139) |
113 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Water Utilities — (Continued) | |||
(2,180) | Essential Utilities, Inc. | $ (96,400) | |
(504,459) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(14,132,948)) | (11,686,740) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(14,132,948)) | (26.7)% | $(11,686,740) | |
TOTAL INVESTMENTS (Cost $30,133,305) | 101.9% | $ 44,683,554 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.9) | (847,665) | |
NET ASSETS | 100.0% | $ 43,835,889 |
* | Percentages indicated are based on net assets. |
1 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $13,843,279. |
2 | Non income-producing security. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
114 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
IT Services | 6.7% | $ 2,933,017 | |
Equity Real Estate Investment Trusts | 6.7 | 2,923,304 | |
Software | 6.3 | 2,772,424 | |
Media | 5.3 | 2,313,306 | |
Technology Hardware, Storage & Peripherals | 5.1 | 2,241,755 | |
Oil, Gas & Consumable Fuels | 5.0 | 2,183,568 | |
Pharmaceuticals | 4.8 | 2,100,499 | |
Food Products | 4.6 | 2,020,318 | |
Health Care Providers & Services | 4.5 | 1,976,781 | |
Semiconductors & Semiconductor Equipment | 4.4 | 1,916,568 | |
Chemicals | 3.9 | 1,687,547 | |
Insurance | 3.4 | 1,475,113 | |
Banks | 3.3 | 1,426,806 | |
Life Sciences Tools & Services | 3.1 | 1,365,947 | |
Consumer Finance | 3.1 | 1,354,723 | |
Automobiles | 3.0 | 1,336,508 | |
Trading Companies & Distributors | 3.0 | 1,310,710 | |
Food & Staples Retailing | 2.8 | 1,240,733 | |
Diversified Telecommunication Services | 2.5 | 1,114,189 | |
Electronic Equipment, Instruments & Components | 2.5 | 1,086,465 | |
Construction & Engineering | 2.4 | 1,035,674 | |
Building Products | 2.3 | 1,020,805 | |
Specialty Retail | 2.3 | 989,422 | |
Communications Equipment | 1.9 | 834,463 | |
Distributors | 1.8 | 810,118 | |
Diversified Consumer Services | 1.8 | 805,360 | |
Thrifts & Mortgage Finance | 1.8 | 802,893 | |
Containers & Packaging | 1.8 | 782,690 | |
Household Durables | 1.7 | 765,560 | |
Capital Markets | 1.7 | 724,474 | |
Air Freight & Logistics | 1.6 | 704,608 | |
Professional Services | 1.5 | 665,207 | |
Hotels, Restaurants & Leisure | 1.5 | 654,833 | |
Machinery | 1.5 | 642,140 | |
Electric Utilities | 1.4 | 628,416 | |
Health Care Equipment & Supplies | 1.3 | 576,950 | |
Energy Equipment & Services | 1.3 | 571,456 | |
Multi-Utilities | 1.3 | 565,694 | |
Internet & Direct Marketing Retail | 1.3 | 553,776 | |
Biotechnology | 1.2 | 532,881 | |
Entertainment | 1.2 | 519,096 | |
Metals & Mining | 1.2 | 512,968 | |
Gas Utilities | 1.1 | 494,840 | |
Diversified Financial Services | 1.1 | 478,520 | |
Electrical Equipment | 0.9 | 375,950 | |
Auto Components | 0.8 | 367,043 | |
Commercial Services & Supplies | 0.8 | 358,074 | |
Road & Rail | 0.8 | 340,052 | |
Aerospace & Defense | 0.7 | 319,950 | |
Leisure Product | 0.3 | 152,647 | |
Short Positions: | |||
Diversified Consumer Services | (0.1) | (41,413) | |
Textiles, Apparel & Luxury Goods | (0.1) | (46,895) |
115 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Internet & Direct Marketing Retail | (0.2)% | $ (81,952) | |
Specialty Retail | (0.2) | (94,515) | |
Health Care Equipment & Supplies | (0.3) | (114,620) | |
Air Freight & Logistics | (0.3) | (117,439) | |
Auto Components | (0.3) | (117,616) | |
Industrial Conglomerates | (0.3) | (132,205) | |
Capital Markets | (0.3) | (138,031) | |
Multi-Utilities | (0.3) | (145,743) | |
Professional Services | (0.3) | (152,586) | |
Household Durables | (0.4) | (179,550) | |
Electronic Equipment, Instruments & Components | (0.4) | (193,495) | |
Leisure Product | (0.5) | (201,168) | |
Construction & Engineering | (0.5) | (213,060) | |
Containers & Packaging | (0.6) | (249,525) | |
Electric Utilities | (0.6) | (260,079) | |
Food Products | (0.6) | (283,232) | |
Software | (0.7) | (298,407) | |
Building Products | (0.7) | (302,548) | |
Machinery | (0.7) | (321,924) | |
Construction Materials | (0.8) | (331,690) | |
Communications Equipment | (0.8) | (339,067) | |
Commercial Services & Supplies | (0.9) | (373,409) | |
Beverages | (0.9) | (386,383) | |
Banks | (0.9) | (412,964) | |
Electrical Equipment | (1.0) | (428,522) | |
Water Utilities | (1.2) | (504,459) | |
Hotels, Restaurants & Leisure | (1.2) | (517,560) | |
Road & Rail | (1.3) | (564,770) | |
Chemicals | (1.6) | (720,510) | |
Aerospace & Defense | (1.7) | (767,417) | |
Insurance | (2.5) | (1,112,192) | |
Equity Real Estate Investment Trusts | (3.5) | (1,541,794) | |
TOTAL COMMON STOCKS | 99.6% | $43,680,101 | |
REPURCHASE AGREEMENT | 0.6 | 251,238 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.7 | 752,215 | |
TOTAL INVESTMENTS | 101.9% | $44,683,554 |
116 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Aerospace & Defense — 3.4% | |||
69,410 | Raytheon Technologies Corp. | $ 6,581,456 | |
Banks — 5.0% | |||
33,609 | JPMorgan Chase & Co. | 4,230,701 | |
32,645 | PNC Financial Services Group, Inc. | 5,282,940 | |
9,513,641 | |||
Beverages — 2.5% | |||
25,968 | PepsiCo, Inc. | 4,715,269 | |
Capital Markets — 1.5% | |||
34,489 | Northern Trust Corp. | 2,909,147 | |
Chemicals — 1.5% | |||
24,492 | PPG Industries, Inc. | 2,796,497 | |
Communications Equipment — 1.9% | |||
80,409 | Cisco Systems, Inc. | 3,652,981 | |
Construction Materials — 2.9% | |||
16,640 | Martin Marietta Materials, Inc. | 5,590,707 | |
Electrical Equipment — 3.1% | |||
45,871 | AMETEK, Inc. | 5,947,634 | |
Electronic Equipment, Instruments & Components — 3.6% | |||
92,008 | Amphenol Corp. - Class A | 6,976,967 | |
Health Care Equipment & Supplies — 3.7% | |||
29,426 | Abbott Laboratories | 2,911,408 | |
18,506 | Stryker Corp. | 4,242,316 | |
7,153,724 | |||
Health Care Providers & Services — 3.9% | |||
21,520 | Laboratory Corp. of America Holdings | 4,774,427 | |
4,923 | UnitedHealth Group, Inc. | 2,733,004 | |
7,507,431 | |||
Hotels, Restaurants & Leisure — 3.0% | |||
3,069 | Booking Holdings, Inc.1 | 5,737,434 | |
Household Products — 1.4% | |||
37,168 | Church & Dwight Co., Inc. | 2,755,264 | |
Insurance — 3.1% | |||
27,945 | Chubb, Ltd. | 6,005,101 | |
Interactive Media & Service — 4.6% | |||
92,395 | Alphabet, Inc. - Class C1 | 8,746,111 | |
Internet & Direct Marketing Retail — 0.7% | |||
13,179 | Amazon.com, Inc.1 | 1,350,057 | |
IT Services — 10.9% | |||
13,952 | Accenture PLC - Class A | 3,960,973 | |
15,037 | Gartner, Inc.1 | 4,539,971 | |
34,918 | Global Payments, Inc. | 3,989,731 | |
25,545 | Mastercard, Inc. - Class A | 8,383,358 | |
20,874,033 | |||
Life Sciences Tools & Services — 2.3% | |||
14,849 | Waters Corp.1 | 4,442,375 | |
Machinery — 2.2% | |||
14,317 | Parker-Hannifin Corp. | 4,160,806 |
117 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Multi-line Retail — 2.6% | |||
19,111 | Dollar General Corp. | $ 4,874,260 | |
Oil, Gas & Consumable Fuels — 4.1% | |||
43,460 | Chevron Corp. | 7,861,914 | |
Pharmaceuticals — 7.2% | |||
60,228 | Bristol-Myers Squibb Co. | 4,665,863 | |
16,302 | Eli Lilly & Co. | 5,902,791 | |
21,512 | Zoetis, Inc. | 3,243,580 | |
13,812,234 | |||
Road & Rail — 3.6% | |||
14,889 | Old Dominion Freight Line, Inc. | 4,088,519 | |
14,662 | Union Pacific Corp. | 2,890,467 | |
6,978,986 | |||
Software — 8.3% | |||
6,834 | Adobe, Inc.1 | 2,176,629 | |
40,977 | Microsoft Corp. | 9,511,991 | |
54,040 | Oracle Corp. | 4,218,903 | |
15,907,523 | |||
Specialty Retail — 7.9% | |||
13,655 | Home Depot, Inc. | 4,043,655 | |
57,160 | Ross Stores, Inc. | 5,469,640 | |
13,321 | Ulta Beauty, Inc.1 | 5,586,428 | |
15,099,723 | |||
Technology Hardware, Storage & Peripherals — 4.6% | |||
57,199 | Apple, Inc. | 8,770,895 | |
TOTAL COMMON STOCKS (Cost $92,666,428) | 190,722,170 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$386,351 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $386,362, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $332,400, coupon rate of 0.625%, due 04/15/2023, market value of $394,106) | 386,351 | |
TOTAL REPURCHASE AGREEMENT (Cost $386,351) | 386,351 | ||
TOTAL INVESTMENTS (Cost $93,052,779) | 99.7% | $191,108,521 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.3 | 537,370 | |
NET ASSETS | 100.0% | $191,645,891 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
118 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 10.9% | $ 20,874,033 | |
Software | 8.3 | 15,907,523 | |
Specialty Retail | 7.9 | 15,099,723 | |
Pharmaceuticals | 7.2 | 13,812,234 | |
Banks | 5.0 | 9,513,641 | |
Technology Hardware, Storage & Peripherals | 4.6 | 8,770,895 | |
Interactive Media & Service | 4.6 | 8,746,111 | |
Oil, Gas & Consumable Fuels | 4.1 | 7,861,914 | |
Health Care Providers & Services | 3.9 | 7,507,431 | |
Health Care Equipment & Supplies | 3.7 | 7,153,724 | |
Road & Rail | 3.6 | 6,978,986 | |
Electronic Equipment, Instruments & Components | 3.6 | 6,976,967 | |
Aerospace & Defense | 3.4 | 6,581,456 | |
Insurance | 3.1 | 6,005,101 | |
Electrical Equipment | 3.1 | 5,947,634 | |
Hotels, Restaurants & Leisure | 3.0 | 5,737,434 | |
Construction Materials | 2.9 | 5,590,707 | |
Multi-line Retail | 2.6 | 4,874,260 | |
Beverages | 2.5 | 4,715,269 | |
Life Sciences Tools & Services | 2.3 | 4,442,375 | |
Machinery | 2.2 | 4,160,806 | |
Communications Equipment | 1.9 | 3,652,981 | |
Capital Markets | 1.5 | 2,909,147 | |
Chemicals | 1.5 | 2,796,497 | |
Household Products | 1.4 | 2,755,264 | |
Internet & Direct Marketing Retail | 0.7 | 1,350,057 | |
TOTAL COMMON STOCKS | 99.5% | $190,722,170 | |
REPURCHASE AGREEMENT | 0.2 | 386,351 | |
TOTAL INVESTMENTS | 99.7% | $191,108,521 |
119 |
Shares | Value | ||
COMMON STOCKS* — 98.8% | |||
Auto Components — 0.8% | |||
82,305 | LCI Industries | $ 8,733,384 | |
Banks — 11.2% | |||
321,275 | Ameris Bancorp | 16,548,875 | |
277,086 | BankUnited, Inc. | 9,961,242 | |
311,288 | Cathay General Bancorp | 14,194,733 | |
1,395,752 | FNB Corp. | 20,168,616 | |
336,992 | Hancock Whitney Corp. | 18,827,743 | |
472,703 | Simmons First National Corp. Class A | 11,283,421 | |
906,613 | Umpqua Holdings Corp. | 18,023,466 | |
167,690 | Wintrust Financial Corp. | 15,699,138 | |
124,707,234 | |||
Biotechnology — 3.6% | |||
499,736 | Alkermes PLC1 | 11,344,007 | |
352,345 | Halozyme Therapeutics, Inc.1 | 16,845,615 | |
1,062,677 | Ironwood Pharmaceuticals, Inc.1,2 | 11,625,686 | |
39,815,308 | |||
Building Products — 0.9% | |||
140,721 | Masonite International Corp.1 | 10,065,773 | |
Capital Markets — 3.1% | |||
107,489 | Evercore, Inc. Class A | 11,297,094 | |
224,314 | Stifel Financial Corp. | 13,878,307 | |
419,293 | Virtu Financial, Inc. Class A | 9,383,777 | |
34,559,178 | |||
Chemicals — 2.4% | |||
171,353 | Ingevity Corp.1 | 11,526,916 | |
533,011 | Valvoline, Inc. | 15,649,203 | |
27,176,119 | |||
Construction & Engineering — 5.2% | |||
201,208 | Arcosa, Inc. | 12,917,554 | |
118,133 | Dycom Industries, Inc.1 | 13,960,958 | |
118,134 | EMCOR Group, Inc. | 16,668,707 | |
182,517 | MasTec, Inc.1 | 14,068,410 | |
57,615,629 | |||
Containers & Packaging — 2.3% | |||
597,657 | Graphic Packaging Holding Co. | 13,722,205 | |
250,276 | Silgan Holdings, Inc. | 11,853,071 | |
25,575,276 | |||
Diversified Consumer Services — 1.0% | |||
484,009 | Frontdoor, Inc.1 | 10,677,239 | |
Electric Utilities — 1.0% | |||
235,174 | Portland General Electric Co.2 | 10,568,720 | |
Electrical Equipment — 1.0% | |||
165,087 | EnerSys | 10,943,617 | |
Electronic Equipment, Instruments & Components — 1.1% | |||
818,340 | TTM Technologies, Inc.1 | 12,528,785 | |
Energy Equipment & Services — 1.1% | |||
254,293 | Helmerich & Payne, Inc. | 12,590,046 | |
Equity Real Estate Investment Trusts — 4.4% | |||
1,041,485 | LXP Industrial Trust | 10,081,575 | |
507,565 | Outfront Media, Inc.2 | 9,161,548 |
120 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
858,317 | Piedmont Office Realty Trust, Inc. Class A | $ 8,969,413 | |
353,166 | STAG Industrial, Inc. | 11,156,514 | |
1,165,619 | Uniti Group, Inc. | 9,045,203 | |
48,414,253 | |||
Food & Staples Retailing — 1.1% | |||
236,101 | Performance Food Group Co.1 | 12,286,696 | |
Food Products — 2.2% | |||
905,055 | Hostess Brands, Inc.1 | 23,965,856 | |
Gas Utilities — 1.1% | |||
278,771 | New Jersey Resources Corp. | 12,444,337 | |
Health Care Equipment & Supplies — 4.2% | |||
108,008 | CONMED Corp.2 | 8,611,478 | |
213,928 | Merit Medical Systems, Inc.1 | 14,711,828 | |
48,052 | Mesa Laboratories, Inc.2 | 6,352,955 | |
536,188 | Neogen Corp.1 | 7,077,682 | |
216,790 | NuVasive, Inc.1 | 9,566,943 | |
46,320,886 | |||
Health Care Providers & Services — 4.1% | |||
156,559 | AMN Healthcare Services, Inc.1 | 19,648,155 | |
233,964 | HealthEquity, Inc.1 | 18,228,135 | |
444,339 | R1 RCM, Inc.1 | 7,847,027 | |
45,723,317 | |||
Health Care Technology — 2.1% | |||
664,211 | Certara, Inc.1 | 8,123,301 | |
495,752 | Evolent Health, Inc. Class A1 | 15,769,871 | |
23,893,172 | |||
Hotels, Restaurants & Leisure — 1.6% | |||
313,365 | Boyd Gaming Corp. | 18,099,962 | |
Household Durables — 1.5% | |||
333,454 | La-Z-Boy, Inc. | 8,259,656 | |
486,796 | Tri Pointe Homes, Inc.1 | 8,153,833 | |
16,413,489 | |||
Household Products — 0.9% | |||
344,262 | Energizer Holdings, Inc. | 9,945,729 | |
Insurance — 0.8% | |||
217,304 | Stewart Information Services Corp. | 8,466,164 | |
Interactive Media & Services — 1.6% | |||
587,955 | Cargurus, Inc.1 | 8,560,625 | |
116,835 | Ziff Davis, Inc.1 | 9,041,860 | |
17,602,485 | |||
IT Services — 0.9% | |||
291,039 | DigitalOcean Holdings, Inc.1 | 10,454,121 | |
Leisure Product — 0.8% | |||
260,857 | YETI Holdings, Inc.1 | 8,368,293 | |
Life Sciences Tools & Services — 2.7% | |||
94,176 | Medpace Holdings, Inc.1 | 20,905,189 | |
1,162,795 | NeoGenomics, Inc.1 | 8,843,056 | |
29,748,245 |
121 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — 1.3% | |||
317,260 | Hillenbrand, Inc. | $ 14,016,547 | |
Media — 1.3% | |||
83,084 | Nexstar Media Group, Inc. | 14,232,289 | |
Multi-line Retail — 1.1% | |||
391,107 | Kohl’s Corp. | 11,713,655 | |
Oil, Gas & Consumable Fuels — 7.7% | |||
979,830 | CNX Resources Corp.1 | 16,470,942 | |
322,193 | Matador Resources Co. | 21,409,725 | |
208,256 | PDC Energy, Inc. | 15,023,588 | |
403,976 | SM Energy Co. | 18,170,840 | |
655,263 | Talos Energy, Inc.1 | 13,943,997 | |
85,019,092 | |||
Pharmaceuticals — 2.2% | |||
185,117 | Pacira BioSciences, Inc.1 | 9,581,656 | |
280,132 | Prestige Consumer Healthcare, Inc.1 | 15,261,591 | |
24,843,247 | |||
Professional Services — 2.4% | |||
142,799 | ASGN, Inc.1 | 12,106,499 | |
48,553 | CACI International, Inc. Class A1 | 14,761,569 | |
26,868,068 | |||
Real Estate Management & Development — 1.6% | |||
738,146 | Cushman & Wakefield PLC1,2 | 8,525,586 | |
543,101 | Kennedy-Wilson Holdings, Inc. | 9,020,908 | |
17,546,494 | |||
Semiconductors & Semiconductor Equipment — 2.7% | |||
211,855 | Diodes, Inc.1 | 15,183,648 | |
509,384 | Rambus, Inc.1 | 15,363,021 | |
30,546,669 | |||
Software — 4.2% | |||
221,980 | CommVault Systems, Inc.1 | 13,516,362 | |
257,286 | Progress Software Corp. | 13,129,305 | |
95,027 | SPS Commerce, Inc.1 | 12,022,816 | |
237,116 | Verint Systems, Inc.1 | 8,401,020 | |
47,069,503 | |||
Specialty Retail — 2.4% | |||
78,671 | Asbury Automotive Group, Inc.1,2 | 12,410,350 | |
467,372 | Foot Locker, Inc. | 14,815,693 | |
27,226,043 | |||
Textiles, Apparel & Luxury Goods — 1.0% | |||
318,103 | Kontoor Brands, Inc.2 | 11,356,277 | |
Thrifts & Mortgage Finance — 0.9% | |||
473,555 | Radian Group, Inc. | 9,883,093 | |
Trading Companies & Distributors — 5.3% | |||
283,770 | Beacon Roofing Supply, Inc.1 | 15,990,440 | |
185,633 | Boise Cascade Co. | 12,394,715 | |
601,032 | Univar Solutions, Inc.1 | 15,314,295 | |
112,421 | WESCO International, Inc.1 | 15,488,241 | |
59,187,691 | |||
TOTAL COMMON STOCKS (Cost $863,730,456) | 1,097,211,981 |
122 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 1.3% | |||
$15,116,000 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $15,116,420, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $13,004,300, coupon rate of 0.625%, due 04/15/2023, market value of $15,418,371) | $ 15,116,000 | |
TOTAL REPURCHASE AGREEMENT (Cost $15,116,000) | 15,116,000 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 5.1% | |||
56,703,980 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 56,703,980 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $56,703,980) | 56,703,980 | ||
TOTAL INVESTMENTS (Cost $935,550,436) | 105.2% | $1,169,031,961 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (5.2) | (58,225,932) | |
NET ASSETS | 100.0% | $1,110,806,029 |
* | 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. |
123 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 11.2% | $ 124,707,234 | |
Oil, Gas & Consumable Fuels | 7.7 | 85,019,092 | |
Trading Companies & Distributors | 5.3 | 59,187,691 | |
Construction & Engineering | 5.2 | 57,615,629 | |
Equity Real Estate Investment Trusts | 4.4 | 48,414,253 | |
Software | 4.2 | 47,069,503 | |
Health Care Equipment & Supplies | 4.2 | 46,320,886 | |
Health Care Providers & Services | 4.1 | 45,723,317 | |
Biotechnology | 3.6 | 39,815,308 | |
Capital Markets | 3.1 | 34,559,178 | |
Semiconductors & Semiconductor Equipment | 2.7 | 30,546,669 | |
Life Sciences Tools & Services | 2.7 | 29,748,245 | |
Specialty Retail | 2.4 | 27,226,043 | |
Chemicals | 2.4 | 27,176,119 | |
Professional Services | 2.4 | 26,868,068 | |
Containers & Packaging | 2.3 | 25,575,276 | |
Pharmaceuticals | 2.2 | 24,843,247 | |
Food Products | 2.2 | 23,965,856 | |
Health Care Technology | 2.1 | 23,893,172 | |
Hotels, Restaurants & Leisure | 1.6 | 18,099,962 | |
Interactive Media & Services | 1.6 | 17,602,485 | |
Real Estate Management & Development | 1.6 | 17,546,494 | |
Household Durables | 1.5 | 16,413,489 | |
Media | 1.3 | 14,232,289 | |
Machinery | 1.3 | 14,016,547 | |
Energy Equipment & Services | 1.1 | 12,590,046 | |
Electronic Equipment, Instruments & Components | 1.1 | 12,528,785 | |
Gas Utilities | 1.1 | 12,444,337 | |
Food & Staples Retailing | 1.1 | 12,286,696 | |
Multi-line Retail | 1.1 | 11,713,655 | |
Textiles, Apparel & Luxury Goods | 1.0 | 11,356,277 | |
Electrical Equipment | 1.0 | 10,943,617 | |
Diversified Consumer Services | 1.0 | 10,677,239 | |
Electric Utilities | 1.0 | 10,568,720 | |
IT Services | 0.9 | 10,454,121 | |
Building Products | 0.9 | 10,065,773 | |
Household Products | 0.9 | 9,945,729 | |
Thrifts & Mortgage Finance | 0.9 | 9,883,093 | |
Auto Components | 0.8 | 8,733,384 | |
Insurance | 0.8 | 8,466,164 | |
Leisure Product | 0.8 | 8,368,293 | |
TOTAL COMMON STOCKS | 98.8% | $1,097,211,981 | |
REPURCHASE AGREEMENT | 1.3 | 15,116,000 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 5.1 | 56,703,980 | |
TOTAL INVESTMENTS | 105.2% | $1,169,031,961 |
124 |
Shares | Value | ||
COMMON STOCKS* — 98.9% | |||
Aerospace & Defense — 2.4% | |||
5,460 | Raytheon Technologies Corp. | $ 517,717 | |
Air Freight & Logistics — 1.6% | |||
2,155 | United Parcel Service, Inc. - Class B | 361,544 | |
Banks — 2.6% | |||
4,517 | JPMorgan Chase & Co. | 568,600 | |
Beverages — 3.0% | |||
3,564 | PepsiCo, Inc. | 647,151 | |
Biotechnology — 2.5% | |||
2,046 | Amgen, Inc. | 553,136 | |
Capital Markets — 5.8% | |||
1,361 | Ameriprise Financial, Inc. | 420,712 | |
427 | BlackRock, Inc. | 275,804 | |
4,420 | Charles Schwab Corp. | 352,141 | |
2,750 | Northern Trust Corp. | 231,963 | |
1,280,620 | |||
Chemicals — 3.0% | |||
1,301 | Air Products & Chemicals, Inc. | 325,771 | |
2,879 | PPG Industries, Inc. | 328,724 | |
654,495 | |||
Communications Equipment — 1.7% | |||
8,030 | Cisco Systems, Inc. | 364,803 | |
Distributors — 1.7% | |||
2,104 | Genuine Parts Co. | 374,217 | |
Electric Utilities — 1.6% | |||
8,877 | Exelon Corp. | 342,563 | |
Electrical Equipment — 3.5% | |||
2,741 | Eaton Corp. PLC | 411,342 | |
1,409 | Rockwell Automation, Inc. | 359,718 | |
771,060 | |||
Electronic Equipment, Instruments & Components — 1.9% | |||
3,325 | TE Connectivity Ltd. | 406,415 | |
Food Products — 3.6% | |||
2,006 | Hershey Co. | 478,973 | |
5,078 | Mondelez International, Inc. - Class A | 312,195 | |
791,168 | |||
Health Care Equipment & Supplies — 3.0% | |||
3,507 | Abbott Laboratories | 346,983 | |
3,641 | Medtronic PLC | 318,005 | |
664,988 | |||
Health Care Providers & Services — 2.1% | |||
3,211 | Quest Diagnostics, Inc. | 461,260 | |
Hotels, Restaurants & Leisure — 3.8% | |||
2,000 | McDonald’s Corp. | 545,320 | |
3,242 | Starbucks Corp. | 280,725 | |
826,045 | |||
Household Products — 3.5% | |||
5,084 | Colgate-Palmolive Co. | 375,402 |
125 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Products — (Continued) | |||
2,879 | Procter & Gamble Co. | $ 387,715 | |
763,117 | |||
Insurance — 8.2% | |||
6,196 | Aflac, Inc. | 403,422 | |
3,354 | Allstate Corp. | 423,442 | |
1,331 | Everest Re Group, Ltd. | 429,460 | |
6,244 | Principal Financial Group, Inc. | 550,284 | |
1,806,608 | |||
IT Services — 4.7% | |||
731 | Accenture PLC - Class A | 207,531 | |
4,662 | Fidelity National Information Services, Inc. | 386,899 | |
3,758 | Paychex, Inc. | 444,609 | |
1,039,039 | |||
Machinery — 5.4% | |||
1,609 | Cummins, Inc. | 393,416 | |
1,439 | Illinois Tool Works, Inc. | 307,270 | |
2,194 | Snap-on, Inc. | 487,178 | |
1,187,864 | |||
Media — 3.3% | |||
10,843 | Comcast Corp. - Class A | 344,157 | |
12,574 | Interpublic Group of Cos., Inc. | 374,579 | |
718,736 | |||
Multi-Utilities — 3.1% | |||
5,501 | Dominion Energy, Inc. | 384,905 | |
2,552 | DTE Energy Co. | 286,105 | |
671,010 | |||
Oil, Gas & Consumable Fuels — 5.1% | |||
3,575 | Chevron Corp. | 646,718 | |
4,452 | Phillips 66 | 464,299 | |
1,111,017 | |||
Pharmaceuticals — 9.6% | |||
7,556 | Bristol-Myers Squibb Co. | 585,363 | |
1,543 | Eli Lilly & Co. | 558,705 | |
3,792 | Johnson & Johnson | 659,694 | |
6,463 | Pfizer, Inc. | 300,853 | |
2,104,615 | |||
Road & Rail — 1.8% | |||
2,035 | Union Pacific Corp. | 401,180 | |
Semiconductors & Semiconductor Equipment — 2.6% | |||
3,593 | Texas Instruments, Inc. | 577,144 | |
Software — 2.0% | |||
5,556 | Oracle Corp. | 433,757 | |
Specialty Retail — 4.1% | |||
1,707 | Home Depot, Inc. | 505,494 | |
4,018 | Ross Stores, Inc. | 384,482 | |
889,976 | |||
Technology Hardware, Storage & Peripherals — 1.7% | |||
5,292 | NetApp, Inc. | 366,577 | |
TOTAL COMMON STOCKS (Cost $16,068,373) | 21,656,422 |
126 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 1.1% | |||
$251,190 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $251,197, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $216,100, coupon rate of 0.625%, due 04/15/2023, market value of $256,216) | $ 251,190 | |
TOTAL REPURCHASE AGREEMENT (Cost $251,190) | 251,190 | ||
TOTAL INVESTMENTS (Cost $16,319,563) | 100.0% | $21,907,612 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (5,516) | |
NET ASSETS | 100.0% | $21,902,096 |
* | Percentages indicated are based on net assets. |
127 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 9.6% | $ 2,104,615 | |
Insurance | 8.2 | 1,806,608 | |
Capital Markets | 5.8 | 1,280,620 | |
Machinery | 5.4 | 1,187,864 | |
Oil, Gas & Consumable Fuels | 5.1 | 1,111,017 | |
IT Services | 4.7 | 1,039,039 | |
Specialty Retail | 4.1 | 889,976 | |
Hotels, Restaurants & Leisure | 3.8 | 826,045 | |
Food Products | 3.6 | 791,168 | |
Electrical Equipment | 3.5 | 771,060 | |
Household Products | 3.5 | 763,117 | |
Media | 3.3 | 718,736 | |
Multi-Utilities | 3.1 | 671,010 | |
Health Care Equipment & Supplies | 3.0 | 664,988 | |
Chemicals | 3.0 | 654,495 | |
Beverages | 3.0 | 647,151 | |
Semiconductors & Semiconductor Equipment | 2.6 | 577,144 | |
Banks | 2.6 | 568,600 | |
Biotechnology | 2.5 | 553,136 | |
Aerospace & Defense | 2.4 | 517,717 | |
Health Care Providers & Services | 2.1 | 461,260 | |
Software | 2.0 | 433,757 | |
Electronic Equipment, Instruments & Components | 1.9 | 406,415 | |
Road & Rail | 1.8 | 401,180 | |
Distributors | 1.7 | 374,217 | |
Technology Hardware, Storage & Peripherals | 1.7 | 366,577 | |
Communications Equipment | 1.7 | 364,803 | |
Air Freight & Logistics | 1.6 | 361,544 | |
Electric Utilities | 1.6 | 342,563 | |
TOTAL COMMON STOCKS | 98.9% | $21,656,422 | |
REPURCHASE AGREEMENT | 1.1 | 251,190 | |
TOTAL INVESTMENTS | 100.0% | $21,907,612 |
128 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 3.8% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $ 8,535,241 | |
30,000 | Vanguard S&P 500 ETF1 | 10,648,500 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 19,183,741 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 26.1% | |||
$49,500,000 | U.S. Treasury Bill, 2.450% due 02/23/231 | 48,857,847 | |
54,000,000 | U.S. Treasury Bill, 1.761% due 03/23/231 | 53,105,799 | |
20,000,000 | U.S. Treasury Bill, 3.113% due 07/13/231 | 19,403,806 | |
10,000,000 | U.S. Treasury Bill, 3.960% due 09/7/231 | 9,628,754 | |
TOTAL U.S. TREASURY BILLS (Cost $132,016,469) | 130,996,206 | ||
REPURCHASE AGREEMENT* — 0.1% | |||
206,701 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $206,707, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $177,900, coupon rate of 0.625%, due 04/15/2023, market value of $210,925) | 206,701 | |
TOTAL REPURCHASE AGREEMENT (Cost $206,701) | 206,701 | ||
TOTAL PURCHASED OPTIONS (Cost $1,024,505,687) | 206.1% | 1,033,700,575 | |
TOTAL INVESTMENTS (Cost $1,163,159,466) | 236.1% | $1,184,087,223 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (136.1) | (682,503,221) | |
NET ASSETS2 | 100.0% | $ 501,584,002 |
* | 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 $920,204 is held as collateral to secure the open written call and put options contracts. |
129 |
Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/16/22 | USD | 1,874 | $ 725,609,052 | $ 537,491,310 | $ 532,494,809 | $ 4,996,501 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 03/17/23 | USD | 1,727 | 668,690,946 | 495,294,965 | 489,675,307 | 5,619,658 | ||||||||
TOTAL CALLS | $ 1,394,299,998 | $1,032,786,275 | $1,022,170,116 | $10,616,159 | |||||||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/16/22 | USD | 1,874 | 725,609,052 | 42,165 | 563,669 | (521,504) | ||||||||
S&P 500 Index | OCC** | 2,000.00 | 03/17/23 | USD | 1,727 | 668,690,946 | 872,135 | 1,771,902 | (899,767) | ||||||||
TOTAL PUTS | $ 1,394,299,998 | $ 914,300 | $ 2,335,571 | $ (1,421,271) | |||||||||||||
TOTAL PURCHASED OPTIONS | $ 2,788,599,996 | $1,033,700,575 | $1,024,505,687 | $ 9,194,888 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/16/22 | USD | 1,874 | (725,609,052) | (351,084,530) | (347,197,001) | (3,887,529) | ||||||||
S&P 500 Index | OCC** | 2,000.00 | 03/17/23 | USD | 1,727 | (668,690,946) | (326,247,570) | (321,962,883) | (4,284,687) | ||||||||
TOTAL CALLS | $(1,394,299,998) | $ (677,332,100) | $ (669,159,884) | $ (8,172,216) | |||||||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 3,500.00 | 11/18/22 | USD | 99 | (38,332,602) | (69,300) | (435,452) | 366,152 | ||||||||
S&P 500 Index | OCC** | 3,675.00 | 11/18/22 | USD | 396 | (153,330,408) | (1,029,600) | (3,335,211) | 2,305,611 | ||||||||
S&P 500 Index | OCC** | 3,800.00 | 11/18/22 | USD | 143 | (55,369,314) | (844,415) | (2,769,754) | 1,925,339 | ||||||||
S&P 500 Index | OCC** | 3,850.00 | 11/18/22 | USD | 496 | (192,050,208) | (3,903,520) | (8,368,958) | 4,465,438 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/16/22 | USD | 1,874 | (725,609,052) | (9,370) | (44,911) | 35,541 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 03/17/23 | USD | 1,727 | (668,690,946) | (86,350) | (214,148) | 127,798 | ||||||||
TOTAL PUTS | $(1,833,382,530) | $ (5,942,555) | $ (15,168,434) | $ 9,225,879 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(3,227,682,528) | $ (683,274,655) | $ (684,328,318) | $ 1,053,663 |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 206.1% | $ 1,033,700,575 | |
U.S. Treasury Bills | 26.1 | 130,996,206 | |
Exchange-Traded Funds | 3.8 | 19,183,741 | |
TOTAL | 236.0% | $1,183,880,522 | |
REPURCHASE AGREEMENT | 0.1 | 206,701 | |
TOTAL INVESTMENTS | 236.1% | $1,184,087,223 |
* | This table does not include written options. Please refer to the Schedule of Portfolio Investments for information on written options. |
130 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 29.9% | |||
46,900 | iShares MSCI EAFE ETF | $ 2,781,639 | |
94,000 | iShares MSCI Emerging Markets ETF | 3,213,860 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,881,525) | 5,995,499 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 20.6% | |||
$2,000,000 | U.S. Treasury Bill, 2.450% due 02/23/231 | 1,974,054 | |
2,200,000 | U.S. Treasury Bill, 1.761% due 03/23/231 | 2,163,570 | |
TOTAL U.S. TREASURY BILLS (Cost $4,169,612) | 4,137,624 | ||
REPURCHASE AGREEMENT* — 0.2% | |||
46,292 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $46,293, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $39,900, coupon rate of 0.625%, due 04/15/2023, market value of $47,307) | 46,292 | |
TOTAL REPURCHASE AGREEMENT (Cost $46,292) | 46,292 | ||
TOTAL PURCHASED OPTIONS (Cost $26,463,791) | 133.1% | 26,697,163 | |
TOTAL INVESTMENTS (Cost $37,561,220) | 183.8% | $ 36,876,578 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (83.8) | (16,814,530) | |
NET ASSETS2 | 100.0% | $ 20,062,048 |
* | 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 $907,518 is held as collateral to secure the open written call and put options contracts. |
131 |
Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/16/22 | USD | 47 | $ 18,198,306 | $ 13,480,305 | $ 13,359,562 | $ 120,743 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 03/17/23 | USD | 46 | 17,811,108 | 13,192,570 | 13,042,886 | 149,684 | ||||||||
TOTAL CALLS | $ 36,009,414 | $ 26,672,875 | $ 26,402,448 | $ 270,427 | |||||||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/16/22 | USD | 47 | 18,198,306 | 1,058 | 14,147 | (13,089) | ||||||||
S&P 500 Index | OCC** | 2,000.00 | 03/17/23 | USD | 46 | 17,811,108 | 23,230 | 47,196 | (23,966) | ||||||||
TOTAL PUTS | $ 36,009,414 | $ 24,288 | $ 61,343 | $ (37,055) | |||||||||||||
TOTAL PURCHASED OPTIONS | $ 72,018,828 | $ 26,697,163 | $ 26,463,791 | $ 233,372 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/16/22 | USD | 47 | (18,198,306) | (8,805,215) | (8,712,343) | (92,872) | ||||||||
S&P 500 Index | OCC** | 2,000.00 | 03/17/23 | USD | 46 | (17,811,108) | (8,689,860) | (8,575,734) | (114,126) | ||||||||
TOTAL CALLS | $(36,009,414) | $(17,495,075) | $(17,288,077) | $(206,998) | |||||||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Market ETF | OCC** | 35.00 | 11/18/22 | USD | 130 | (444,470) | (15,730) | (23,565) | 7,835 | ||||||||
iShares MSCI EAFE ETF | OCC** | 60.00 | 11/18/22 | USD | 100 | (593,100) | (17,100) | (31,220) | 14,120 | ||||||||
iShares MSCI EAFE ETF | OCC** | 65.00 | 11/18/22 | USD | 40 | (237,240) | (23,500) | (30,110) | 6,610 | ||||||||
Russell 2000 Index | OCC** | 1,800.00 | 11/18/22 | USD | 11 | (2,031,546) | (34,210) | (130,005) | 95,795 | ||||||||
S&P 500 Index | OCC** | 3,800.00 | 11/18/22 | USD | 25 | (9,679,950) | (147,625) | (484,220) | 336,595 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/16/22 | USD | 47 | (18,198,306) | (235) | (1,128) | 893 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 03/17/23 | USD | 46 | (17,811,108) | (2,300) | (5,704) | 3,404 | ||||||||
TOTAL PUTS | $(48,995,720) | $ (240,700) | $ (705,952) | $ 465,252 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(85,005,134) | $(17,735,775) | $(17,994,029) | $ 258,254 |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 133.1% | $ 26,697,163 | |
Exchange-Traded Funds | 29.9 | 5,995,499 | |
U.S. Treasury Bills | 20.6 | 4,137,624 | |
TOTAL | 183.6% | $36,830,286 | |
REPURCHASE AGREEMENT | 0.2 | 46,292 | |
TOTAL INVESTMENTS | 183.8% | $36,876,578 |
* | This table does not include written options. Please refer to the Schedule of Portfolio Investments for information on written options. |
132 |
Face Amount | Value | ||
AGENCY NOTES* — 12.8% | |||
Federal Home Loan Bank — 9.8% | |||
$15,000,000 | 2.750% due 12/13/24 | $ 14,425,891 | |
7,000,000 | 0.375% due 9/23/251 | 6,227,544 | |
11,500,000 | 3.250% due 11/16/281 | 10,845,168 | |
31,498,603 | |||
Federal National Mortgage Association — 3.0% | |||
6,000,000 | 2.625% due 9/6/241 | 5,788,485 | |
3,960,000 | 2.125% due 4/24/261 | 3,666,407 | |
9,454,892 | |||
TOTAL AGENCY NOTES (Cost $44,824,581) | 40,953,495 | ||
MORTGAGE-BACKED SECURITIES*,2 — 30.9% | |||
Federal Home Loan Mortgage Corporation — 15.1% | |||
2,218 | # G13396, 5.500% due 12/1/23 | 2,214 | |
25,383 | # D78677, 8.000% due 3/1/27 | 25,464 | |
42,597 | # C00742, 6.500% due 4/1/29 | 43,967 | |
1,412,231 | # J38111, 3.000% due 12/1/32 | 1,305,261 | |
11,846 | # A68937, 6.000% due 11/1/37 | 11,959 | |
135,690 | # A69653, 5.500% due 12/1/37 | 138,787 | |
168,306 | # A73370, 5.000% due 2/1/38 | 168,691 | |
127,264 | # A90421, 4.500% due 12/1/39 | 123,299 | |
40,014 | # A92890, 4.500% due 7/1/40 | 37,997 | |
508,472 | # A97620, 4.500% due 3/1/41 | 492,687 | |
813,271 | # C03770, 3.500% due 2/1/42 | 738,830 | |
423,598 | # Q07651, 3.500% due 4/1/42 | 383,037 | |
890,872 | # Q41208, 3.500% due 6/1/46 | 804,058 | |
3,549,001 | # G08737, 3.000% due 12/1/46 | 3,082,269 | |
1,250,128 | # Q45735, 3.000% due 1/1/47 | 1,084,752 | |
2,277,366 | # Q46279, 3.500% due 2/1/47 | 2,051,240 | |
2,373,006 | # Q47596, 4.000% due 4/1/47 | 2,205,441 | |
7,433,826 | # RA3173, 3.000% due 7/1/50 | 6,359,118 | |
11,392,522 | # SD8152, 3.000% due 6/1/51 | 9,734,003 | |
7,668,317 | # SD8196, 3.500% due 2/1/52 | 6,752,926 | |
14,849,348 | # SD8201, 3.000% due 3/1/52 | 12,661,697 | |
48,207,697 | |||
Federal National Mortgage Association — 15.7% | |||
162 | # 125275, 7.000% due 3/1/24 | 162 | |
141,518 | # AH6827, 4.000% due 3/1/26 | 138,476 | |
135,322 | # AI1657, 4.000% due 4/1/26 | 132,714 | |
259,582 | # AB3900, 3.000% due 11/1/26 | 250,802 | |
12,084 | # 373328, 8.000% due 3/1/27 | 12,071 | |
412,910 | # AK4751, 3.000% due 4/1/27 | 399,222 | |
2,698 | # 390895, 8.000% due 6/1/27 | 2,692 | |
744,600 | # AO0533, 3.000% due 6/1/27 | 718,097 | |
22,132 | # 397602, 8.000% due 8/1/27 | 22,168 | |
2,374 | # 252806, 7.500% due 10/1/29 | 2,481 | |
133 | # 523497, 7.500% due 11/1/29 | 135 | |
1,701,098 | # BC2462, 3.000% due 2/1/31 | 1,596,039 | |
759 | # 588945, 7.000% due 6/1/31 | 764 | |
3,599,872 | # AS7429, 2.500% due 6/1/31 | 3,345,116 | |
33,069 | # 607862, 7.000% due 9/1/31 | 33,075 | |
1,615 | # 656872, 6.500% due 8/1/32 | 1,665 | |
2,365,227 | # MA3391, 3.000% due 6/1/33 | 2,183,074 | |
72,901 | # 789856, 6.000% due 8/1/34 | 73,671 | |
16,434 | # 829202, 5.000% due 7/1/35 | 16,167 | |
55,055 | # 826586, 5.000% due 8/1/35 | 55,112 | |
15,101 | # 256216, 7.000% due 4/1/36 | 15,819 | |
41,772 | # 898412, 5.000% due 10/1/36 | 40,390 |
133 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,2 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$ 6,111 | # 910894, 5.000% due 2/1/37 | $ 5,906 | |
14,043 | # 912456, 6.500% due 3/1/37 | 14,479 | |
174,711 | # 973241, 5.000% due 3/1/38 | 174,893 | |
41,843 | # 975593, 5.000% due 6/1/38 | 41,737 | |
72,040 | # 257573, 5.500% due 2/1/39 | 73,870 | |
172,576 | # AD7128, 4.500% due 7/1/40 | 166,302 | |
8,627,947 | # MA4152, 2.000% due 10/1/40 | 7,131,823 | |
1,781,698 | # AH1568, 4.500% due 12/1/40 | 1,724,284 | |
686,795 | # AH6991, 4.000% due 1/1/41 | 644,579 | |
466,067 | # AH4004, 4.500% due 3/1/41 | 450,575 | |
420,496 | # AH8351, 4.000% due 3/1/41 | 394,642 | |
469,767 | # AJ1315, 4.000% due 9/1/41 | 442,880 | |
555,488 | # AI8779, 4.000% due 11/1/41 | 521,330 | |
818,451 | # AJ5958, 4.000% due 12/1/41 | 768,116 | |
271,395 | # AK5070, 3.500% due 3/1/42 | 246,065 | |
1,182,648 | # AK5426, 3.500% due 3/1/42 | 1,073,059 | |
3,123,862 | # AT7682, 3.500% due 6/1/43 | 2,832,441 | |
1,470,298 | # AS6326, 3.500% due 12/1/45 | 1,323,034 | |
1,178,394 | # AS6881, 3.500% due 3/1/46 | 1,060,361 | |
1,571,656 | # BC0960, 4.000% due 6/1/46 | 1,461,938 | |
869,662 | # AS8966, 4.000% due 3/1/47 | 810,737 | |
1,203,341 | # AS9988, 4.500% due 7/1/47 | 1,147,600 | |
1,554,168 | # MA3210, 3.500% due 12/1/47 | 1,392,695 | |
1,253,142 | # BJ9251, 3.500% due 6/1/48 | 1,123,025 | |
4,976,074 | # FM3727, 3.000% due 7/1/50 | 4,258,861 | |
5,276,703 | # BQ2863, 2.500% due 9/1/50 | 4,366,887 | |
8,867,559 | # CA7231, 2.500% due 10/1/50 | 7,314,520 | |
50,006,551 | |||
Government National Mortgage Association* — 0.1% | |||
7,959 | # 476259, 7.000% due 8/15/28 | 7,958 | |
1,624 | # 485264, 7.500% due 2/15/31 | 1,624 | |
6,099 | # 559304, 7.000% due 9/15/31 | 6,109 | |
115,066 | # 651859, 5.000% due 6/15/36 | 115,256 | |
77,984 | # 782150, 5.500% due 4/15/37 | 80,081 | |
12,928 | # 662521, 6.000% due 8/15/37 | 13,418 | |
19,019 | # 677545, 6.000% due 11/15/37 | 19,407 | |
19,712 | # 676291, 6.000% due 12/15/37 | 20,117 | |
18,974 | # 685836, 5.500% due 4/15/38 | 19,070 | |
140,968 | # 698235, 5.000% due 6/15/39 | 141,475 | |
424,515 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $116,749,825) | 98,638,763 | ||
CORPORATE NOTES* — 22.7% | |||
Banking — 5.0% | |||
5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.51 + 3.71%), 3.705% due 4/24/283 | 4,523,247 | |
6,000,000 | JPMorgan Chase & Co., (3M USD LIBOR * 0.95 + 3.51%), 3.509% due 1/23/293 | 5,296,136 | |
6,500,000 | PNC Bank NA, 3.250% due 6/1/25 | 6,181,415 | |
16,000,798 | |||
Beverages, Food & Tobacco — 2.7% | |||
10,000,000 | Archer-Daniels-Midland Co., 3.250% due 3/27/30 | 8,820,163 |
134 |
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Computer Software & Processing — 2.3% | |||
$ 1,000,000 | Alphabet, Inc., 2.050% due 8/15/50 | $ 571,814 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 6,854,974 | |
7,426,788 | |||
Electric Utilities — 1.0% | |||
4,140,000 | DTE Electric Co., 4.300% due 7/1/44 | 3,347,787 | |
Electronics — 2.1% | |||
4,000,000 | Emerson Electric Co., 1.800% due 10/15/27 | 3,425,861 | |
4,000,000 | QUALCOMM, Inc., 1.300% due 5/20/28 | 3,274,060 | |
6,699,921 | |||
Heavy Machinery — 2.5% | |||
4,000,000 | Caterpillar, Inc., 2.600% due 4/9/30 | 3,383,452 | |
4,750,000 | John Deere Capital Corp., 0.700% due 7/5/23 | 4,623,470 | |
8,006,922 | |||
Insurance — 2.7% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/26 | 4,704,270 | |
4,000,000 | MetLife, Inc., 4.550% due 3/23/30 | 3,797,826 | |
8,502,096 | |||
Media - Broadcasting & Publishing — 2.0% | |||
7,000,000 | Comcast Corp., 3.150% due 2/15/28 | 6,306,795 | |
Pharmaceuticals — 2.4% | |||
5,000,000 | Johnson & Johnson, 2.450% due 9/1/60 | 2,825,502 | |
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 4,776,936 | |
7,602,438 | |||
TOTAL CORPORATE NOTES (Cost $85,330,605) | 72,713,708 | ||
U.S. TREASURY BILL* — 0.6% | |||
2,000,000 | U.S. Treasury Bill, 3.497% due 03/9/23 | 1,970,240 | |
TOTAL U.S. TREASURY BILL (Cost $1,975,584) | 1,970,240 | ||
U.S. TREASURY NOTES/BONDS* — 31.9% | |||
4,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 4,346,875 | |
7,000,000 | U.S. Treasury Bonds, 3.500% due 2/15/39 | 6,355,234 | |
4,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | 3,319,844 | |
5,000,000 | U.S. Treasury Bonds, 3.250% due 5/15/42 | 4,227,344 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 8,125,664 |
135 |
Face Amount | Value | ||
U.S. TREASURY NOTES/BONDS* — (Continued) | |||
$10,000,000 | U.S. Treasury Bonds, 2.250% due 8/15/46 | $ 6,767,969 | |
9,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 7,079,414 | |
4,000,000 | U.S. Treasury Notes, 1.625% due 5/31/231 | 3,933,125 | |
5,000,000 | U.S. Treasury Notes, 3.000% due 7/31/24 | 4,866,602 | |
9,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | 8,648,438 | |
10,000,000 | U.S. Treasury Notes, 1.875% due 7/31/26 | 9,142,187 | |
6,000,000 | U.S. Treasury Notes, 2.250% due 8/15/27 | 5,475,938 | |
5,000,000 | U.S. Treasury Notes, 3.125% due 11/15/28 | 4,699,219 | |
8,000,000 | U.S. Treasury Notes, 2.750% due 5/31/29 | 7,325,312 | |
10,000,000 | U.S. Treasury Notes, 3.250% due 6/30/29 | 9,442,187 | |
10,000,000 | U.S. Treasury Notes, 1.875% due 2/15/32 | 8,315,625 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $119,030,893) | 102,070,977 | ||
REPURCHASE AGREEMENT* — 0.4% | |||
1,239,627 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $1,239,662, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $1,066,500, coupon rate of 0.625%, due 04/15/2023, market value of $1,264,481) | 1,239,627 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,239,627) | 1,239,627 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.0% | |||
9,685,150 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 9,685,150 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $9,685,150) | 9,685,150 | ||
TOTAL INVESTMENTS (Cost $378,836,265) | 102.3% | $327,271,960 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.3) | (7,499,318) | |
NET ASSETS | 100.0% | $319,772,642 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Represents current face amount at October 31, 2022. |
3 | Floating Rate Bond. Rate shown is as of October 31, 2022. |
4 | Represents an investment of securities lending cash collateral. |
136 |
% of Net Assets | Value | ||
Sector: | |||
U.S. Treasury Notes/Bonds | 31.9% | $ 102,070,977 | |
Corporate | 22.7 | 72,713,708 | |
Federal National Mortgage Association | 18.7 | 59,461,443 | |
Federal Home Loan Mortgage Corporation | 15.1 | 48,207,697 | |
Federal Home Loan Bank | 9.8 | 31,498,603 | |
U.S. Treasury Bill | 0.6 | 1,970,240 | |
Government National Mortgage Association | 0.1 | 424,515 | |
TOTAL | 98.9% | $316,347,183 | |
REPURCHASE AGREEMENT | 0.4 | 1,239,627 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 3.0 | 9,685,150 | |
TOTAL INVESTMENTS | 102.3% | $327,271,960 |
137 |
Face Amount | Value | ||
CORPORATE NOTES* — 1.8% | |||
Health Care Services — 1.8% | |||
$1,000,000 | CommonSpirit Health, 6.073% due 11/1/27 | $ 1,001,639 | |
TOTAL CORPORATE NOTES (Cost $1,000,000) | 1,001,639 | ||
MUNICIPAL BONDS* — 95.7% | |||
Alabama — 2.0% | |||
185,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Series A, 4.000% due 12/1/481 | 183,898 | |
150,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Series D1, 4.000% due 12/1/24 | 148,734 | |
225,000 | City of Birmingham, AL, General Obligation Limited, Prerefunded 09/01/25 @100, 5.000% due 3/1/45 | 235,495 | |
230,000 | City of Homewood, AL, General Obligation Unlimited, Warrants, Refunding, 5.000% due 9/1/26 | 243,552 | |
200,000 | County of Mobile, AL, General Obligation Unlimited, Warrants, Refunding, Series B, 5.000% due 8/1/26 | 211,552 | |
100,000 | Southeast Energy Authority, AL, Cooperative District, Project No.1, Revenue Bonds, Series A, 4.000% due 10/1/23 | 99,444 | |
1,122,675 | |||
Arizona — 1.6% | |||
200,000 | City of Phoenix, AZ, Civic Improvement Corp, Revenue Bonds, Series A, 5.000% due 7/1/26 | 206,713 | |
250,000 | City of Phoenix, AZ, Civic Improvement Corp., Junior Line Airport, Revenue Bonds, AMT, Series B, 5.000% due 7/1/23 | 252,114 | |
175,000 | City of Yuma, AZ, Revenue Bonds, Refunding, 4.000% due 7/1/23 | 175,814 | |
250,000 | Pima County Unified School District No. 10 Amphitheater, AZ, General Obligation, Refunding, 5.000% due 7/1/26 | 263,270 | |
897,911 | |||
California — 6.5% | |||
320,000 | California Health Facilities Financing Authority, Revenue Bonds, Series A, Prerefunded 11/15/25 @ 100, 3.250% due 11/15/36 | 319,698 | |
400,000 | California Infrastructure and Economic Development Bank, Revenue Bonds, Refunding, 4.000% due 4/1/26 | 410,917 | |
350,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, AMT, Series D, 5.000% due 5/15/23 | 352,322 | |
500,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, Refunding, AMT, Series A, 5.000% due 5/15/25 | 514,917 | |
200,000 | Foothill-De Anza Community College District, CA, General Obligation Unlimited, Refunding Bonds, 4.000% due 8/1/25 | 204,494 | |
450,000 | Golden State Tobacco Securitization Corp, CA, Revenue Bonds, Taxable Refunding, (State Appropriations), 1.400% due 6/1/25 | 409,497 | |
350,000 | San Francisco City & County Airport Comm-San Francisco International Airport, CA, Revenue Bonds, Series A, 5.000% due 5/1/25 | 364,028 | |
315,000 | San Francisco Unified School District, CA, General Obligation Unlimited, Proposition A, Series F&C, 5.000% due 6/15/26 | 323,520 | |
180,000 | Santa Barbara Unified School District, CA, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/25 | 188,794 | |
605,000 | State of California, General Obligation Unlimited, 5.000% due 3/1/26 | 628,575 | |
3,716,762 | |||
Colorado — 1.6% | |||
200,000 | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, Refunding, Series D, 5.000% due 11/15/311 | 200,073 |
138 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$ 750,000 | E-470 Public Highway Authority, CO, Revenue Bonds, Variable Refunding, Series B, (SOFR*0.67+0.35%), 2.394% due 9/1/392 | $ 738,610 | |
938,683 | |||
Connecticut — 4.9% | |||
750,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Series 2014A, 1.100% due 7/1/481 | 744,264 | |
500,000 | State of Connecticut, General Obligation Unlimited, Series D, 5.000% due 9/15/26 | 529,172 | |
500,000 | State of Connecticut, Special Tax Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/23 | 501,429 | |
500,000 | State of Connecticut, Special Tax Revenue, Revenue Bonds, Series A, 5.000% due 8/1/26 | 521,381 | |
250,000 | University of Connecticut, Revenue Bonds, Refunding, Series A, 5.000% due 11/15/23 | 250,348 | |
250,000 | University of Connecticut, Revenue Bonds, Series A, 5.000% due 8/15/26 | 252,799 | |
2,799,393 | |||
Delaware — 0.4% | |||
250,000 | Delaware River & Bay Authority, DE, Revenue Bonds, Refunding, 5.000% due 1/1/24 | 254,578 | |
District Of Columbia — 1.8% | |||
1,000,000 | Metropolitan Washington Airports Authority Aviation Revenue, DC, Revenue Bonds, AMT, Refunding, Series A, 5.000% due 10/1/24 | 1,022,428 | |
Florida — 10.8% | |||
275,000 | Central Florida Expressway Authority, Senior Line, Revenue Bonds, Series A, 5.000% due 7/1/23 | 277,886 | |
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 | 340,567 | |
500,000 | County of Broward, FL, Port Facilities Revenue, Revenue Bonds, AMT, Refunding, Subordinate Bond, Series D, 5.000% due 9/1/24 | 511,211 | |
200,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 202,824 | |
250,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/25 | 259,233 | |
955,000 | County of Miami-Dade, FL, Seaport Department, Revenue Bonds, Prerefunded, Series A, 5.500% due 10/1/25 | 973,866 | |
175,000 | Florida Department of Management Services, Certificate of Participation, Series A, 5.000% due 11/1/25 | 183,309 | |
250,000 | Hillsborough County School Board, FL, Master Lease Program,Certificate Participation, Refunding, 5.000% due 7/1/26 | 259,342 | |
385,000 | Hillsborough County School Board, FL, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 10/1/23 | 390,679 | |
390,000 | Manatee County Port Authority, FL, Revenue Bonds,Taxable Refunding, 0.619% due 10/1/24 | 360,629 | |
515,000 | Miami-Dade County Expressway Authority, FL, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 524,421 | |
500,000 | Orange County School Board, FL, Certificate of Participation, Refunding, 5.000% due 8/1/26 | 526,718 | |
Orlando Utilities Commission, FL, Revenue Bonds, Refunding, Series A: | |||
535,000 | 5.000% due 10/1/23 | 543,520 | |
275,000 | 5.000% due 10/1/25 | 287,402 | |
260,000 | School Board of Miami-Dade County, FL, Certificate Participation, Refunding, Series D, 5.000% due 2/1/26 | 271,559 |
139 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$ 245,000 | School District of Broward County, FL, Certificate Participation, Refunding, (BAM-TCRS Insured), 5.000% due 7/1/23 | $ 247,410 | |
6,160,576 | |||
Georgia — 0.2% | |||
105,000 | Municipal Electric Authority of Georgia, Project No.1, Revenue Bonds, Taxable Refunding, Series B, 1.421% due 1/1/25 | 97,083 | |
Illinois — 8.0% | |||
500,000 | Chicago O’Hare International Airport, IL, Revenue Bonds, Refunding, 5.000% due 1/1/24 | 506,581 | |
250,000 | City of Chicago, IL, General Obligation Unlimited, Refunding, Series A, 5.000% due 1/1/24 | 250,820 | |
300,000 | Cook County School District No. 100 South Berwyn, IL, General Obligation Unlimited, Refunding, (BAM Insured), 4.000% due 12/1/23 | 301,651 | |
500,000 | County of Cook, IL, General Obligation Unlimited, Refunding, Series B, 4.000% due 11/15/23 | 502,655 | |
500,000 | DeKalb County Community Unit School District No. 428 DeKalb, IL, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 509,213 | |
325,000 | Illinois Finance Authority, Revenue Bonds, 5.000% due 1/1/25 | 336,440 | |
150,000 | Illinois Finance Authority, Revenue Bonds, Rush University Medical Centre, Series A, 5.000% due 11/15/23 | 152,310 | |
255,000 | McHenry County Conservation District, IL, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 260,172 | |
500,000 | State of Illinois, General Obligation Unlimited, Refunding, Series C, 4.000% due 3/1/24 | 497,878 | |
State of Illinois, General Obligation Unlimited, Series A: | |||
350,000 | 5.000% due 12/1/24 | 352,942 | |
400,000 | 5.000% due 3/1/25 | 403,121 | |
500,000 | State of Illinois, Sales Tax Revenue, Revenue Bonds, Series B, 0.941% due 6/15/24 | 465,201 | |
4,538,984 | |||
Indiana — 0.5% | |||
250,000 | Hanover Middle School Building Corp, IN, Redunding and Improvement Bonds, Revenue Bonds, Refunding, (State Intercept Program), Series A, 5.000% due 1/15/26 | 261,517 | |
Kansas — 0.7% | |||
375,000 | Wyandotte County-Kansas City Unified Government, KS, General Obligation Unlimited, Series A, (AGMC Insured), 4.000% due 8/1/24 | 378,866 | |
Kentucky — 2.8% | |||
435,000 | Kentucky Public Energy Authority, Revenue Bonds, Series A, 4.000% due 4/1/481 | 429,709 | |
185,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 108, Series B, 5.000% due 8/1/24 | 190,113 | |
285,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 112, Series B, (State Appropriations), 5.000% due 11/1/24 | 293,143 | |
250,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 127, Series B, 3.887% due 6/1/23 | 248,115 | |
Louisville & Jefferson County Metropolitan Government, KY, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 10/1/23 | 303,559 | |
125,000 | 5.000% due 10/1/24 | 127,664 | |
1,592,303 |
140 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Louisiana — 0.4% | |||
$ 250,000 | Jefferson Parish Consolidated Waterworks District No 2, LA, Revenue Bonds, Refunding, (BAM Insured), 4.000% due 2/1/26 | $ 254,902 | |
Maryland — 0.6% | |||
300,000 | University System of Maryland, Revenue Bonds, Series A, 5.000% due 4/1/26 | 316,431 | |
Michigan — 4.1% | |||
500,000 | Eaton Rapids Public Schools, MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/25 | 506,712 | |
500,000 | Hazel Park School District, MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/24 | 502,936 | |
425,000 | Maple Valley Schools, MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/23 | 426,431 | |
200,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/23 | 201,667 | |
200,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 203,352 | |
500,000 | Michigan Finance Authority, Revenue Bonds, Series 2019B, 3.500% due 11/15/441 | 500,006 | |
2,341,104 | |||
Minnesota — 2.8% | |||
Minneapolis-St Paul Metropolitan Airports Commission, MN, Revenue Bonds, AMT, Refunding, Series B: | |||
500,000 | 5.000% due 1/1/25 | 509,211 | |
1,065,000 | 5.000% due 1/1/26 | 1,089,446 | |
1,598,657 | |||
Mississippi — 0.5% | |||
250,000 | Mississippi Development Bank, Jackson Public School District, Revenue Bond, General Obligation (BAM Insured), 5.000% due 10/1/24 | 257,051 | |
Nebraska — 0.7% | |||
400,000 | City of Lincoln, NE, Electric System Revenue, Revenue Bonds, Refunding, 5.000% due 9/1/26 | 422,536 | |
Nevada — 1.0% | |||
210,000 | Clark County School District, NV, General Obligation Limited, Refunding, Series A, 5.000% due 6/15/24 | 215,079 | |
240,000 | Clark County School District, NV, General Obligation Limited, Series D, 5.000% due 6/15/24 | 245,804 | |
125,000 | State of Nevada, General Obligation Limited, Refunding, Series H1, 5.000% due 6/1/24 | 126,246 | |
587,129 | |||
New Jersey — 3.4% | |||
300,000 | Maple Shade Township School District, NJ, General Obligation Unlimited, Refunding, (SBRF Insured), 5.000% due 10/1/25 | 312,513 | |
195,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series B, 4.000% due 11/1/25 | 195,313 | |
200,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series II, 5.000% due 3/1/23 | 200,680 | |
375,000 | New Jersey Economic Development Authority, State Government Building Project, Revenue Bonds, Series A, 5.000% due 6/15/25 | 384,818 | |
500,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, 5.000% due 6/15/24 | 510,112 | |
155,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A, 4.000% due 12/15/23 | 155,473 | |
180,000 | New Jersey Turnpike Authority, Revenue Bonds, Series B, 5.000% due 1/1/23 | 180,490 | |
1,939,399 |
141 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Mexico — 0.6% | |||
$ 335,000 | State of New Mexico Severance Tax Permanent Fund, Revenue Bonds, Refunding, Series B, 4.000% due 7/1/24 | $ 339,020 | |
New York — 6.3% | |||
300,000 | City of New York, NY, General Obligation Unlimited, Refunding, Series C, 5.000% due 8/1/25 | 313,046 | |
260,000 | City of New York, NY, General Obligation Unlimited, Series C, 5.000% due 8/1/26 | 274,924 | |
425,000 | Long Island Power Authority, NY, Revenue Bonds, 5.000% due 9/1/26 | 450,041 | |
185,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, NY, Revenue Bonds, Series D-S, 5.000% due 11/1/26 | 195,764 | |
125,000 | New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series A, Escrowed to Maturity, 4.000% due 12/15/22 | 125,139 | |
250,000 | New York State Dormitory Authority, Revenue Bonds, Refunding, Series A, 5.000% due 3/15/25 | 259,182 | |
225,000 | New York State Dormitory Authority, Revenue Bonds, Refunding, Series A, Escrowed to Maturity, 5.000% due 3/15/24 | 230,540 | |
New York State Dormitory Authority, Sales Tax Revenue, Revenue Bonds, Series 2015B-A: | |||
210,000 | 5.000% due 3/15/23 | 211,452 | |
150,000 | 5.000% due 3/15/24 | 153,552 | |
500,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Refunding, 5.000% due 3/15/24 | 511,894 | |
200,000 | Port Authority of New York & New Jersey, Revenue Bonds, AMT, Refunding, Series 226, 5.000% due 10/15/23 | 202,095 | |
500,000 | Port Authority of New York & New Jersey, Revenue Bonds, Refunding, Series 231, 5.000% due 8/1/27 | 518,271 | |
150,000 | Port Authority of New York & New Jersey, Revenue Bonds, Series 179, 5.000% due 12/1/26 | 152,802 | |
3,598,702 | |||
North Carolina — 0.5% | |||
250,000 | City of Charlotte, NC, General Obligation Unlimited, Series A, 5.000% due 6/1/24 | 256,886 | |
Ohio — 2.9% | |||
City of Akron, OH, Income Tax Revenue, Revenue Bonds: | |||
355,000 | 4.000% due 12/1/22 | 355,239 | |
360,000 | 4.000% due 12/1/23 | 362,933 | |
265,000 | Miami University, OH, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/24 | 272,743 | |
325,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 329,735 | |
340,000 | State of Ohio, Hospital Facilities Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/26 | 355,284 | |
1,675,934 | |||
Oregon — 1.0% | |||
350,000 | City of Portland, OR, Sewer System Revenue, Revenue Bonds, Series A, 5.000% due 5/1/26 | 369,605 | |
195,000 | Washington Clackamas & Yamhill Counties School District No. 88J, OR, General Obligation Unlimited, Refunding, (School Bond Guaranty), 5.000% due 6/15/24 | 200,336 | |
569,941 | |||
Pennsylvania — 11.9% | |||
500,000 | Allegheny County Higher Education Building Authority, PA, Revenue Bonds, (SOFR*0.70+0.29%), 2.425% due 2/1/332 | 473,276 |
142 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
Allegheny County Hospital Development Authority, PA, Revenue Bonds, Refunding, University of Pittsburgh Medical Center, Series A: | |||
$ 300,000 | 5.000% due 7/15/23 | $ 303,216 | |
325,000 | 5.000% due 7/15/25 | 336,451 | |
250,000 | Allegheny County Sanitary Authority, PA, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 12/1/25 | 262,091 | |
215,000 | Bensalem Township School District, PA, General Obligation Limited, Taxable Refunding (State Aid Withholding), 1.972% due 6/1/24 | 205,452 | |
160,000 | Bensalem Township School District, PA, General Obligation Limited, Taxable Refunding, Series B (State Aid Withholding), 1.917% due 6/1/23 | 157,287 | |
515,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, AMT, Refunding, Series B, 5.000% due 7/1/24 | 523,589 | |
500,000 | City of Philadelphia, PA, General Obligation Unlimited, Series A, 5.000% due 5/1/26 | 522,120 | |
400,000 | County of Lehigh, PA, General Purpose Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 403,540 | |
125,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, 5.000% due 11/1/26 | 129,810 | |
750,000 | Delaware Valley Regional Finance Authority, PA, Revenue Bonds, Series B, 5.000% due 11/1/24 | 772,891 | |
425,000 | Montgomery County Higher Education and Health Authority, PA, Revenue Bonds, Refunding, Thomas Jefferson University Project, 5.000% due 9/1/23 | 429,622 | |
100,000 | Montgomery County Industrial Development Authority, PA, Revenue Bonds, Refunding, Waverly Heights Ltd. Project, 4.000% due 12/1/22 | 100,007 | |
400,000 | New Castle Area School District, PA, General Obligation Limited, Refunding, (BAM Insured, State Aid withholding), 3.000% due 3/1/23 | 399,286 | |
500,000 | Pennsbury School District, PA, General Obligation Limited, Refunding (State Aid Withholding), 4.000% due 8/1/25 | 508,338 | |
525,000 | Pennsylvania Turnpike Commission Oil Franchise Tax Revenue, Revenue Bonds, Refunding, Series B, 4.000% due 12/1/23 | 528,388 | |
190,000 | Pennsylvania Turnpike Commission, Revenue Bonds, Refunding, Series A-2, 5.000% due 12/1/24 | 196,564 | |
105,000 | Public Parking Authority of Pittsburgh, PA, Revenue Bonds, Prerefunded, Series A, Escrowed to Maturity, 5.000% due 12/1/23 | 106,883 | |
195,000 | Public Parking Authority of Pittsburgh, PA, Revenue Bonds, Unrefunded, Series A, Unrefunded portion, 5.000% due 12/1/23 | 197,604 | |
200,000 | School District of Philadelphia, PA, General Obligation Limited, Series A (State Aid Withholding), 5.000% due 9/1/23 | 202,454 | |
6,758,869 | |||
South Carolina — 1.5% | |||
250,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/24 | 256,354 | |
400,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/24 | 410,167 | |
200,000 | South Carolina Public Service Authority, Revenue Bonds, Series B, 5.000% due 12/1/24 | 205,084 | |
871,605 | |||
Tennessee — 0.8% | |||
200,000 | County of Maury, TN, General Obligation Unlimited, Refunding, 5.000% due 4/1/25 | 207,901 | |
250,000 | Memphis-Shelby County Airport Authority, TN, Revenue Bonds, Refunding, Series C, 5.000% due 7/1/23 | 251,885 | |
459,786 |
143 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — 8.5% | |||
$ 310,000 | Arlington Higher Education Finance Corp., TX, Revenue Bonds, Series A, (PSF Guaranteed), 5.000% due 8/15/23 | $ 314,074 | |
100,000 | Central Texas Regional Mobility Authority, Revenue Bonds, Taxable Refunding, Series C, 1.345% due 1/1/24 | 95,672 | |
260,000 | City of Grand Prairie, TX, Sales and USE Tax, Revenue Bonds, 3.000% due 2/15/24 | 257,211 | |
170,000 | City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Refunding, Series C, 5.000% due 7/1/24 | 172,479 | |
425,000 | City of Houston, TX, Airport System Revenue, Revenue Bonds, Refunding, Series D, 5.000% due 7/1/26 | 446,065 | |
500,000 | Dallas Fort Worth International Airport, TX, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/24 | 513,896 | |
400,000 | Glen Rose Independent School District Unlimited, TX, General Obligation Unlimited, Refunding Bonds, Series 2020, (PSF Guaranteed), 5.000% due 8/15/24 | 411,563 | |
225,000 | Houston Community College system, TX, General Obligation Limited, 5.000% due 2/15/23 | 226,197 | |
1,000,000 | Lower Colorado River Authority, TX, Revenue Bonds, Refunding, Series 2022, 5.000% due 5/15/24 | 1,023,505 | |
230,000 | North Texas Municipal Water District, Revenue Bonds, Refunding and Improvement Bonds, 5.000% due 6/1/24 | 236,120 | |
555,000 | North Texas Tollway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/23 | 556,623 | |
200,000 | Pleasanton Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/15/23 | 202,722 | |
400,000 | Sunnyvale Independent School District, TX, General Obligation Unlimited, Refunding, Series A, (PSF Guaranteed), 5.000% due 2/15/24 | 408,809 | |
4,864,936 | |||
Virginia — 2.2% | |||
1,000,000 | County of Loudoun, VA, General Obligation Unlimited, Refunding, Series B, (State Aid Withholding), 5.000% due 12/1/23 | 1,019,214 | |
250,000 | Greater Richmond Convention Center Authority, VA, Revenue Bonds, Refunding, 5.000% due 6/15/23 | 252,614 | |
1,271,828 | |||
Washington — 1.5% | |||
350,000 | Chelan County Public Utility District No 1, WA, Revenue Bonds, Refunding, Series A, (NPFG Insured), 0.000% due 6/1/233 | 342,943 | |
500,000 | Clark County Public Utility District No. 1 Generating System Revenue, WA, Revenue Bonds, 5.000% due 1/1/24 | 509,098 | |
852,041 | |||
Wisconsin — 2.3% | |||
215,000 | City of Eau Claire, WI, General Obligation Unlimited, Refunding, Series D, 1.400% due 4/1/24 | 206,832 | |
300,000 | City of Milwaukee, WI, General Obligation Unlimited, Refunding, Series N-4, 5.000% due 4/1/25 | 309,456 | |
Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 11/15/23 | 253,977 | |
220,000 | 5.000% due 11/15/25 | 226,065 | |
300,000 | 5.000% due 11/15/26 | 307,396 | |
1,303,726 | |||
Wyoming — 0.4% | |||
200,000 | Wyoming Community Development Authority, Revenue Bonds, Series 1, 1.950% due 12/1/22 | 199,772 | |
TOTAL MUNICIPAL BONDS (Cost $56,074,992) | 54,522,014 |
144 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.4% | |||
$ 235,803 | With Fixed Income Clearing Corp., dated 10/31/22, 1.00%, principal and interest in the amount of $235,809, due 11/1/22, (collateralized by a U.S. Treasury Note with a par value of $202,900, coupon rate of 0.625%, due 04/15/2023, market value of $240,566) | $ 235,803 | |
TOTAL REPURCHASE AGREEMENT (Cost $235,803) | 235,803 | ||
TOTAL INVESTMENTS (Cost $57,310,795) | 97.9% | $55,759,456 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 2.1 | 1,203,954 | |
NET ASSETS | 100.0% | $56,963,410 |
* | Percentages indicated are based on net assets. |
1 | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. Rate presented is as of October 31, 2022. |
2 | Floating Rate Bond. Rate shown is as of October 31, 2022. |
3 | Zero Coupon Bond. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
AMT — Alternative Minimum Tax |
BAM — Build America Mutual |
NPFG — National Public Finance Guarantee Corporation |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
SBRF — School Bond Reserve Fund |
145 |
% of Net Assets | Value | ||
SECTOR: | |||
Municipal Bonds | 95.7% | $ 54,522,014 | |
Corporate Notes | 1.8 | 1,001,639 | |
TOTAL | 97.5% | $55,523,653 | |
REPURCHASE AGREEMENT | 0.4 | 235,803 | |
TOTAL INVESTMENTS | 97.9% | $55,759,456 |
146 |
Face Amount | Value | ||
CORPORATE NOTES* — 0.6% | |||
Lodging — 0.6% | |||
$ 1,000,000 | Wild Rivers Water Park, 8.500% due 11/1/51 | $ 865,000 | |
TOTAL CORPORATE NOTES (Cost $842,928) | 865,000 | ||
MUNICIPAL BONDS* — 96.8% | |||
Alabama — 1.7% | |||
500,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series B, (AGMC Insured), 0.000% due 10/1/251 | 444,851 | |
1,070,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series D, 6.000% due 10/1/42 | 1,141,029 | |
500,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series E, 0.000% due 10/1/341 | 215,420 | |
500,000 | Montgomery Medical Clinic Board, AL, Health Care Facility Revenue, Revenue Bonds, Refunding, 5.000% due 3/1/30 | 472,652 | |
500,000 | Sumter County Industrial Development Authority, AL, Exempt Facilities Revenue, Revenue Bonds, 6.000% due 7/15/52 | 451,436 | |
2,725,388 | |||
Alaska — 0.1% | |||
1,675,000 | Northern Tobacco Securitization Corp., AK, Revenue Bonds, Refunding, Series B-2, 0.000% due 6/1/661 | 145,866 | |
Arizona — 4.1% | |||
555,000 | Arizona Industrial Development Authority, Economic Development Revenue, Revenue Bonds, Series A, 7.750% due 7/1/502 | 486,878 | |
500,000 | Arizona Industrial Development Authority, Economic Development Revenue, Revenue Bonds, Series C, 6.750% due 7/1/302 | 424,277 | |
300,000 | Arizona Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/472 | 280,708 | |
250,000 | Arizona Industrial Development Authority, Education Revenue, Cadence Campus Project, Revenue Bonds, Series A, 4.000% due 7/15/502 | 178,568 | |
315,000 | Arizona Industrial Development Authority, Education Revenue, Macombs Fac Project, Revenue Bonds, Series A, 4.000% due 7/1/36 | 267,010 | |
500,000 | Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/42 | 395,470 | |
Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/492 | 210,520 | |
125,000 | 5.000% due 7/15/492 | 105,390 | |
300,000 | Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/382 | 295,951 | |
25,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, Escrowed to Maturity, 5.000% due 7/1/232 | 25,251 | |
250,000 | Glendale Industrial Development Authority, AZ, Senior Living Facility, Revenue Bonds, Refunding, 5.000% due 5/15/39 | 227,916 | |
Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding: | |||
500,000 | 5.000% due 7/1/352 | 484,461 | |
250,000 | 5.000% due 7/1/452 | 226,395 | |
Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
135,000 | 5.750% due 7/1/242 | 136,179 | |
500,000 | 6.750% due 7/1/442 | 515,129 | |
500,000 | Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/462 | 441,216 |
147 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Arizona — (Continued) | |||
$ 110,000 | Industrial Development Authority of the County of Pima, AZ, Education Revenue, Revenue Bonds, Refunding, 4.000% due 6/15/412 | $ 82,488 | |
290,000 | La Paz County Industrial Development Authority, AZ, Revenue Bonds,Series A, 5.000% due 2/15/462 | 228,816 | |
750,000 | Maricopa County Industrial Development Authority, AZ, Educational Revenue, Paradise Schools Project, Revenue Bonds, Refunding, 5.000% due 7/1/362 | 706,001 | |
375,000 | Maricopa County Industrial Development Authority, AZ, Revenue Bonds, Series A, 6.000% due 7/1/522 | 376,390 | |
150,000 | Tempe Industrial Development Authority, AZ, Revenue Bonds, 5.000% due 12/1/54 | 120,161 | |
250,000 | Tempe Industrial Development Authority, AZ, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/38 | 192,170 | |
6,407,345 | |||
California — 6.5% | |||
2,500,000 | California Community Housing Agency, Revenue Bonds, Series A-2, 0.000% due 8/1/651,2 | 110,554 | |
1,000,000 | California Community Housing Agency, Revenue Bonds, Series B, 5.500% due 2/1/402 | 832,613 | |
250,000 | California Community Housing Agency, Verdant at Green Valley Project, Revenue Bonds, Series A, 5.000% due 8/1/492 | 206,811 | |
285,838 | California Housing Finance Agency, Revenue Bonds, Series A-1, 4.250% due 1/15/35 | 272,092 | |
335,311 | California Housing Finance Agency, Revenue Bonds, Series A-3, 3.145% due 8/20/36 | 274,459 | |
1,875,000 | California Infrastructure & Economic Development Bank, Cabs-Sub-WFCS- Portfolio Project, Revenue Bonds, Series B, 0.000% due 1/1/611,2 | 77,023 | |
California Municipal Finance Authority, Educational Revenue, Revenue Bonds, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 358,988 | |
500,000 | 5.000% due 6/1/46 | 466,468 | |
300,000 | California Municipal Finance Authority, Higher Education Revenue, Revenue Bonds, Series A, 5.000% due 11/1/462 | 278,262 | |
750,000 | California Municipal Finance Authority, Student Housing Revenue Bonds, Series 2021, (BAM Insured), 3.000% due 5/15/51 | 478,844 | |
335,000 | California School Finance Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/522 | 292,899 | |
250,000 | California Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, Refunding, 5.000% due 5/15/29 | 254,449 | |
500,000 | California Statewide Communities Development Authority, Revenue Bonds, Series A, 5.250% due 12/1/562 | 454,056 | |
645,000 | California Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 560,494 | |
110,000 | Chino Valley Unified School District, CA, General Obligation Unlimited, Election of 2016, Series C, 0.000% due 8/1/351 | 61,259 | |
250,000 | City & County of San Francisco, CA, Community Facilities District No. 2016, Revenue Bond, Series 2022-A, 4.000% due 9/1/422 | 207,307 | |
465,000 | CMFA Special Finance Agency XII, CA,Revenue Bonds, Series A-1, 3.250% due 2/1/572 | 288,213 | |
CSCDA Community Improvement Authority, CA, Revenue Bonds, Series A-2: | |||
500,000 | 3.250% due 7/1/562 | 298,135 | |
390,000 | 3.250% due 4/1/572 | 242,896 | |
500,000 | 3.125% due 6/1/572 | 299,795 | |
875,000 | 4.000% due 6/1/582 | 620,850 | |
100,000 | CSCDA Community Improvement Authority, CA, Revenue Bonds, Series B, 4.000% due 12/1/562 | 64,244 | |
Hastings Campus Housing Finance Authority, CA, Revenue Bonds, Series A: | |||
600,000 | 5.000% due 7/1/452 | 492,134 | |
500,000 | 5.000% due 7/1/612 | 381,369 |
148 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — (Continued) | |||
$ 720,000 | Madera Unified School District, CA, General Obligation Unlimited, (NPFG Insured), 0.000% due 5/1/301 | $ 530,065 | |
250,000 | River Islands Public Financing Authority, CA, Special Tax, Series 1, 4.000% due 9/1/41 | 208,345 | |
500,000 | River Islands Public Financing Authority, CA, Special Tax, Series A, 5.000% due 9/1/48 | 468,419 | |
500,000 | River Islands Public Financing Authority, CA, Special Tax, Series B, 5.750% due 9/1/52 | 441,652 | |
1,000,000 | Riverside County Redevelopment Successor Agency, CA, Tax Allocation, Series B, 0.000% due 10/1/391 | 420,048 | |
200,000 | Seal Beach Community Facilities District No. 2005-1, CA, Special Tax, Refunding, 3.000% due 9/1/29 | 176,434 | |
10,119,177 | |||
Colorado — 8.9% | |||
500,000 | Amber Creek Metropolitan District, CO, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | 421,427 | |
500,000 | Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/33 | 497,865 | |
500,000 | Banning Lewis Ranch Metropolitan District No. 8, CO, General Obligation Limited, Series A, 4.875% due 12/1/512 | 364,774 | |
500,000 | Base Village Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 473,630 | |
206,000 | Bradburn Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 190,909 | |
525,000 | Broadway Park North Metropolitan District No 2, CO, General Obligation Limited, 5.000% due 12/1/492 | 446,199 | |
740,000 | Buffalo Ridge Metropolitan District, CO, General Obligation Limited, Series B, 7.375% due 12/15/47 | 660,676 | |
500,000 | Clear Creek Station Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 430,556 | |
Colorado Health Facilities Authority, Frasier Project, Revenue Bonds, Refunding, Series A: | |||
55,000 | 4.000% due 5/15/413 | 41,784 | |
215,000 | 4.000% due 5/15/483 | 149,757 | |
500,000 | Colorado Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding, 5.000% due 1/1/31 | 461,970 | |
250,000 | Colorado Health Facilities Authority, Hospital Revenue, Parkview Medical Center Project, Revenue Bonds, Series A, 4.000% due 9/1/50 | 184,727 | |
Colorado Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding: | |||
400,000 | 5.000% due 1/1/37 | 346,298 | |
35,000 | 4.000% due 1/1/42 | 24,704 | |
250,000 | Colorado Health Facilities Authority, Revenue Bonds, 5.000% due 1/1/38 | 213,295 | |
300,000 | Copper Ridge Metropolitan District, CO, Revenue Bonds, 4.000% due 12/1/29 | 266,919 | |
245,000 | Denver Urban Renewal Authority, CO, Tax Allocation, Series A, 5.250% due 12/1/392 | 237,469 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/292 | 502,407 | |
490,000 | Dinosaur Ridge Metropolitan District, CO, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | 409,406 | |
1,000,000 | Gardens on Havana Metropolitan District No. 3, CO, Revenue Bonds, Series A, 4.625% due 12/1/27 | 964,631 | |
500,000 | Hunters Overlook Metropolitan District No. 5, CO, General Obligation Limited, Series A, 5.000% due 12/1/49 | 417,285 | |
500,000 | Independence Metropolitan District No 3, CO, General Obligation Limited, Series A, 6.250% due 12/1/49 | 420,835 | |
500,000 | Leyden Ranch Metropolitan District, CO, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 432,971 |
149 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$ 750,000 | Longs Peak Metropolitan District, CO, General Obligation Limited, Series 2021, 5.250% due 12/1/512 | $ 582,337 | |
500,000 | Parkside at City Centre Business Improvement District, CO, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 442,290 | |
200,000 | Rampart Range Metropolitan District No. 5, CO, Revenue Bonds, 4.000% due 12/1/51 | 128,624 | |
500,000 | Senac South Metropolitan District No 1, CO, General Obligation Limited, Series A-3, 5.250% due 12/1/51 | 393,062 | |
750,000 | Southglenn Metropolitan District, CO, Special Revenue, General Obligation Limited, Refunding, 5.000% due 12/1/30 | 721,417 | |
Southlands Metropolitan District No. 1, CO, General Obligation Unlimited, Series A-2: | |||
215,000 | 3.500% due 12/1/27 | 192,964 | |
325,000 | 5.000% due 12/1/47 | 280,480 | |
555,000 | STC Metropolitan District No 2, CO, General Obligation Limited, Refunding, Series A, 3.000% due 12/1/25 | 515,960 | |
520,000 | Thompson Crossing Metropolitan District No. 4, CO, General Obligation Limited, Refunding, 3.500% due 12/1/29 | 453,078 | |
160,000 | Vauxmont Metropolitan District, CO, General Obligation Limited, Refunding, (AGMC Insured), 5.000% due 12/15/32 | 168,980 | |
250,000 | Vauxmont Metropolitan District, General, CO, Obligation Limited, Refunding, (AGMC Insured), 5.000% due 12/1/32 | 267,936 | |
500,000 | Waterfront at Foster Lake Metropolitan District No 2, CO, Revenue Bonds, Series 2022, 4.625% due 12/1/28 | 442,278 | |
500,000 | Westcreek Metropolitan District No 2, CO, General Obligation Limited, Series A, 5.375% due 12/1/48 | 436,822 | |
500,000 | Westerly Metropolitan District No. 4, CO, General Obligation Limited, Series A-1, 5.000% due 12/1/50 | 395,633 | |
13,982,355 | |||
Connecticut — 0.9% | |||
425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/532 | 354,721 | |
165,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds Refunding, Series G-1, 5.000% due 7/1/502 | 135,467 | |
125,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 1/1/552 | 107,111 | |
125,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds, Series E, 4.000% due 7/1/41 | 101,092 | |
125,000 | Harbor Point Infrastructure Improvement District, CT, Special Obligation Revenue, Tax Allocation, Harbor Point Project, Refunding, 5.000% due 4/1/302 | 123,171 | |
500,000 | Mohegan Tribe of Indians of Connecticut, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/262 | 500,817 | |
45,000 | SteelPoint Infrastructure Improvement District, CT, Special Obligation Tax Allocation, Steelpointe Harbor Project, 4.000% due 4/1/512 | 33,433 | |
1,355,812 | |||
District Of Columbia — 1.1% | |||
3,415,000 | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/461 | 660,234 | |
225,000 | District of Columbia, KIPP Obligated Group, Revenue Bonds, Refunding, Series A, (MBIA Insured), 5.000% due 7/1/27 | 231,184 | |
2,000,000 | Metropolitan Washington Airports Authority Dulles Toll Road Revenue, DC, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/401 | 790,311 | |
1,681,729 |
150 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — 5.2% | |||
$ 105,000 | Alachua County Health Facilities Authourity, FL, Revenue Bonds, Series 2021, 4.000% due 10/1/40 | $ 84,110 | |
170,000 | Capital Trust Agency Inc, FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | 167,289 | |
160,000 | Capital Trust Agency Inc, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/372 | 147,012 | |
290,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series A-1, 5.000% due 7/1/562 | 241,386 | |
6,500,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series B, 0.000% due 7/1/611,2 | 263,005 | |
250,000 | Capital Trust Agency Inc, FL, Viera Charter Schools Inc Project, Revenue Bonds, Series A, 5.000% due 10/15/492 | 212,379 | |
City of Atlantic Beach, FL, Healthcare Facilities, Fleet Landing Project, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 502,873 | |
250,000 | 5.000% due 11/15/53 | 230,096 | |
500,000 | City of Pompano Beach, FL, John Knox Vlg Project, Revenue Bonds, Series 2021-A, 4.000% due 9/1/56 | 342,930 | |
250,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, 6.000% due 8/15/572 | 212,136 | |
225,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/52 | 160,611 | |
145,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, Series C, 5.000% due 9/15/502 | 121,875 | |
100,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Series 2022, 5.250% due 6/15/292 | 94,743 | |
900,000 | Florida Housing Finance Corp., Revenue Bonds, Series 2, (GNMA/FNMA/FHLMC Insured), 3.000% due 7/1/52 | 844,834 | |
300,000 | Lakewood Ranch Stewardship District, FL, Special Assessment Revenue, Lakewood National & Polo Run Project, 5.375% due 5/1/47 | 280,170 | |
285,000 | Lee County Industrial Development Authority, FL, Healthcare Facilities, Healthpark Florida Inc Project, Revenue Bonds, Series A, 5.250% due 10/1/57 | 232,399 | |
500,000 | Lee County Industrial Development Authority, FL, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 487,125 | |
750,000 | Orange County Health Facilities Authority, FL, Revenue Bonds, 5.000% due 8/1/40 | 753,940 | |
55,000 | Palm Beach County Health Facilities Authority, FL, Lifespace Communities, Revenue Bonds, Refunding, Series C, 5.000% due 5/15/25 | 54,792 | |
Palm Beach County Health Facilities Authority, FL, Revenue Bonds, Series A: | |||
100,000 | 11.500% due 7/1/272 | 95,823 | |
145,000 | 5.000% due 6/1/55 | 124,715 | |
5,000 | Palm Beach County Health Facilities Authority, FL, Revenue Bonds, Series B, 5.000% due 11/15/42 | 4,658 | |
Sarasota County Health Facilities Authority, FL, Retirement Facilities Revenue, Village on the Isle Project, Revenue Bonds, Series A: | |||
550,000 | 5.000% due 1/1/37 | 492,157 | |
250,000 | 5.000% due 1/1/42 | 214,852 | |
210,000 | Sawyers Landing Community Development District, FL, Special Assessment, 4.250% due 5/1/53 | 163,203 | |
500,000 | Southeast Overtown Park, FL, West Community Redevelopment Agency, Tax Allocation, Series A-1, 5.000% due 3/1/302 | 504,324 | |
145,000 | Town Center at Palm Coast Community Development District, FL, Special Assessment, 6.000% due 5/1/36 | 144,607 |
151 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
Winter Garden Village at Fowler Groves Community Development District, FL, Special Assessment, Refunding: | |||
$ 650,000 | 3.750% due 5/1/31 | $ 575,699 | |
500,000 | 4.125% due 5/1/37 | 447,540 | |
8,201,283 | |||
Georgia — 0.9% | |||
150,000 | Atlanta Urban Redevelopment Agency, GA, Revenue Bonds, Series 2021, 3.625% due 7/1/422 | 116,602 | |
375,000 | DeKalb County Housing Authority, GA, Senior Living Revenue, Revenue Bonds, Refunding, Series A, 5.250% due 1/1/542 | 237,259 | |
125,000 | Development Authority of Monroe County, GA, Revenue Bonds, Series A, 1.500% due 1/1/394 | 115,407 | |
390,000 | Georgia Housing & Finance Authority, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/50 | 382,344 | |
340,000 | Macon-Bibb County Urban Development Authority, GA, Revenue Bonds, Series A, 5.750% due 6/15/372 | 328,251 | |
200,000 | Municipal Electric Authority of Georgia, Plant Vogtle Units 3&4 Project, Revenue Bonds, Series A, 5.000% due 7/1/60 | 184,334 | |
1,364,197 | |||
Guam — 0.4% | |||
175,000 | Guam Department of Education, Certificate Participation, Refunding, Series A, 5.000% due 2/1/40 | 156,440 | |
Territory of Guam, Revenue Bonds, Refunding, Series F: | |||
105,000 | 4.000% due 1/1/36 | 88,560 | |
500,000 | 4.000% due 1/1/42 | 391,557 | |
636,557 | |||
Idaho — 1.1% | |||
Idaho Health Facilities Authority, Kootenai Health Project, Revenue Bonds, Series A: | |||
250,000 | 4.375% due 7/1/34 | 243,238 | |
500,000 | 4.750% due 7/1/44 | 476,422 | |
250,000 | Idaho Housing & Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/402 | 230,394 | |
735,000 | Idaho Housing & Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A, 6.000% due 7/1/392 | 759,103 | |
1,709,157 | |||
Illinois — 8.0% | |||
100,000 | Chicago Board of Education, IL, General Obligation Unlimited, Refunding, Series A, 7.000% due 12/1/44 | 104,413 | |
Chicago Board of Education, IL, General Obligation Unlimited, Series A, (NPFG Insured): | |||
150,000 | 0.000% due 12/1/231 | 143,193 | |
710,000 | 0.000% due 12/1/251 | 616,736 | |
170,000 | 5.500% due 12/1/26 | 176,026 | |
550,000 | 0.000% due 12/1/291 | 387,480 | |
1,205,000 | 0.000% due 12/1/311 | 754,295 | |
1,150,000 | Chicago Board of Education, IL, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/311 | 719,866 | |
500,000 | Chicago Board of Education, IL, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 434,995 | |
600,000 | City of Chicago, IL, General Obligation Unlimited, (NPFG Insured), 0.000% due 1/1/311 | 405,700 | |
City of Chicago, IL, General Obligation Unlimited, Refunding, Series C: | |||
250,000 | 0.000% due 1/1/271 | 207,437 | |
435,000 | 0.000% due 1/1/311 | 289,714 | |
305,000 | City of Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 319,067 |
152 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$ 150,000 | City of Chicago, IL, Waterworks Revenue, Revenue Bonds, Refunding, (AMBAC Insured), 5.750% due 11/1/30 | $ 157,180 | |
500,000 | Cook County Community College District No. 508, IL, General Obligation Unlimited, 5.250% due 12/1/43 | 477,097 | |
320,000 | Illinois Finance Authority, Charter School Revenue, Refunding and Improvement, Chicago International Charter School Project, Revenue Bonds, 5.000% due 12/1/47 | 298,478 | |
400,000 | Illinois Finance Authority, Christian Homes, Inc., Revenue Bonds, Refunding, 5.000% due 5/15/36 | 352,764 | |
Illinois Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 205,410 | |
500,000 | 5.000% due 7/1/47 | 359,525 | |
355,000 | Illinois Housing Development Authority, Revenue Bonds, Refunding, Series C, 3.500% due 8/1/46 | 346,735 | |
Illinois Housing Development Authority, Revenue Bonds, Series A, (FHLMC/ FNMA / GNMA Insured): | |||
270,000 | 4.250% due 10/1/49 | 266,952 | |
290,000 | 3.000% due 4/1/51 | 273,347 | |
475,000 | Illinois Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | 478,350 | |
440,000 | Illinois Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured), 0.000% due 6/15/261 | 375,826 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding, (BAM, NPFG Insured), 0.000% due 6/15/281 | 195,016 | |
525,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding, Series B-1, (AGMC Insured), 0.000% due 6/15/271 | 429,954 | |
Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured): | |||
485,000 | 0.000% due 6/15/311 | 314,364 | |
1,000,000 | 0.000% due 6/15/361 | 473,234 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC, MBIA Insured), 0.000% due 12/15/291 | 1,449,819 | |
175,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series A, 0.000% due 12/15/371 | 74,199 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series B, 5.000% due 12/15/40 | 476,497 | |
250,000 | United City of Yorkville, IL, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 238,267 | |
250,000 | Village of Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | 215,170 | |
500,000 | Volo Village, IL, Special Service Area No. 3 & 6, Special Tax, Symphony Meadows/Lancaster Falls Project, Refunding, (AGMC Insured), 2.875% due 3/1/25 | 484,813 | |
12,501,919 | |||
Indiana — 1.9% | |||
Indiana Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A: | |||
345,000 | 5.750% due 11/15/28 | 352,681 | |
330,000 | 6.500% due 11/15/33 | 339,605 | |
250,000 | Indiana Finance Authority, Ohio Valley Electric Corp Project, Revenue Bonds, Series B, 3.000% due 11/1/30 | 211,899 | |
260,000 | Indiana Finance Authority, Pollution Control, Ohio Valley Electric Corp Project, Revenue Bonds, Series B, 2.500% due 11/1/30 | 212,608 | |
1,000,000 | Indiana Finance Authority, Revenue Bonds, Refunding, Series 2019, 7.000% due 3/1/392 | 727,915 |
153 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Indiana — (Continued) | |||
Indiana Finance Authority, Revenue Bonds, Refunding, Series A: | |||
$ 250,000 | 1.400% due 8/1/29 | $ 200,060 | |
455,000 | 4.000% due 11/15/43 | 339,971 | |
Indiana Finance Authority, Revenue Bonds, Series A: | |||
600,000 | 5.000% due 11/15/38 | 564,028 | |
100,000 | 5.250% due 11/15/46 | 92,792 | |
3,041,559 | |||
Iowa — 0.4% | |||
730,000 | Iowa Finance Authority, Midwestern Disaster Area Revenue, Iowa Fertilizer Company Project, Revenue Bonds, Refunding, 5.000% due 12/1/50 | 630,546 | |
Kansas — 0.1% | |||
150,000 | Wyandotte County-Kansas City Unified Government, KS, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 133,787 | |
35,000 | Wyandotte County-Kansas City Unified Government, KS, Wyandotte Plaza Project, Revenue Bonds, Refunding, 4.000% due 12/1/28 | 31,465 | |
165,252 | |||
Kentucky — 1.2% | |||
305,000 | City of Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 280,485 | |
350,000 | City of Ashland, KY, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/36 | 298,749 | |
Kentucky Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Series B, (NPFG Insured): | |||
500,000 | 0.000% due 10/1/261 | 422,682 | |
500,000 | 0.000% due 10/1/271 | 403,622 | |
250,000 | Kentucky Economic Development Finance Authority, Healthcare Revenue, Rosedale Green Project, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 208,295 | |
95,000 | Kentucky Public Transportation Infrastructure Authority, Revenue Bonds, Refunding, Series B, (AGMC Insured), 4.000% due 7/1/53 | 80,456 | |
250,000 | Louisville & Jefferson County Metropolitan Government, KY, Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 255,102 | |
1,949,391 | |||
Louisiana — 1.5% | |||
250,000 | Calcasieu Parish Memorial Hospital Service District, LA, Hospital Revenue, Lake Charles Memorial Hospital Project, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 246,521 | |
860,000 | Juban Crossing Economic Development District, LA, Gen Infrastructure Project, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/442 | 701,513 | |
1,250,000 | Louisiana Local Government Environmental Facility & Community Development Authority, Entergy Louisiana LLC Project, Revenue Bonds, Series B, 2.500% due 4/1/36 | 923,547 | |
500,000 | Louisiana Public Facilities Authority, Revenue Bonds, Louisiana State University Greenhouse District Phase III Project, Series A, 5.000% due 7/1/59 | 475,503 | |
2,347,084 | |||
Maryland — 2.8% | |||
1,125,000 | City of Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | 1,072,792 | |
250,000 | City of Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/36 | 242,298 |
154 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Maryland — (Continued) | |||
$ 250,000 | County of Howard, MD, Special Obligation, Tax Allocation, Downtown Columbia Project, Series A, 4.125% due 2/15/342 | $ 222,332 | |
500,000 | County of Prince George’s, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/482 | 400,341 | |
260,000 | Maryland Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 258,629 | |
710,000 | Maryland Community Development Administration, Revenue Bonds, Refunding, Series A, 3.000% due 9/1/51 | 670,994 | |
285,000 | Maryland Community Development Administration, Revenue Bonds, Refunding, Series C, 3.000% due 9/1/51 | 266,723 | |
500,000 | Maryland Economic Development Corp., Morgan State University Project, Revenue Bonds, 5.000% due 7/1/56 | 438,400 | |
90,000 | Maryland Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 84,865 | |
250,000 | Maryland Economic Development Corp., Special Obligation, Tax Allocation, Metro Centre Owings Mills Project, 4.500% due 7/1/44 | 211,872 | |
500,000 | Prince George’s County Revenue Authority, MD, Tax Allocation, Suitland-Naylor Road Project, 5.000% due 7/1/462 | 481,112 | |
4,350,358 | |||
Massachusetts — 0.1% | |||
100,000 | Massachusetts Development Finance Agency, Revenue Bonds, Refunding, 5.125% due 1/1/40 | 87,868 | |
Michigan — 1.3% | |||
250,000 | City of Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 248,889 | |
125,000 | City of Detroit, MI, General Obligation Unlimited, Series A, 5.000% due 4/1/46 | 114,437 | |
250,000 | Flint Hospital Building Authority, MI, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/38 | 206,259 | |
280,000 | Flint Hospital Building Authority, MI, Revenue Bonds, Series A, 5.250% due 7/1/39 | 275,264 | |
Grand Rapids Economic Development Corp., MI, Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.000% due 11/1/37 | 512,023 | |
250,000 | 5.000% due 11/1/55 | 186,707 | |
325,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series B-2, 0.000% due 6/1/651 | 21,774 | |
520,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series A, 2.700% due 10/1/56 | 296,028 | |
3,500,000 | Michigan Tobacco Settlement Finance Authority, Revenue Bonds, Series C, 0.000% due 6/1/581 | 138,054 | |
1,999,435 | |||
Minnesota — 0.1% | |||
172,855 | Minnesota Housing Finance Agency, Non AMT Non ACE SF Mortgage, Revenue Bonds, Series I, (GNMA / FNMA / FHLMC Insured), 2.800% due 12/1/47 | 162,195 | |
Mississippi — 0.1% | |||
220,000 | Mississippi Business Finance Corp., Revenue Bonds, 2.375% due 6/1/44 | 130,946 | |
Missouri — 2.0% | |||
380,000 | Cape Girardeau County Industrial Development Authority, MO, Southeast Health, Revenue Bonds, Refunding, Series A, 6.000% due 3/1/33 | 393,693 |
155 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Missouri — (Continued) | |||
$ 100,000 | Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | $ 100,436 | |
250,000 | Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior SVC Project, Revenue Bonds, Series A, 5.000% due 2/1/42 | 232,723 | |
Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | |||
1,000,000 | 5.000% due 2/1/26 | 1,003,160 | |
250,000 | 5.000% due 8/1/45 | 229,915 | |
100,000 | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds, Series A, 5.000% due 2/1/28 | 100,200 | |
400,000 | Maryland Heights Industrial Development Authority, MO, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 359,404 | |
60,000 | Plaza at Noah’s Ark Community Improvement District, MO, Refunding, Revenue Bonds, 3.000% due 5/1/26 | 55,792 | |
355,000 | St. Louis County Industrial Development Authority, MO, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | 321,285 | |
500,000 | St. Louis County Industrial Development Authority, MO, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 407,032 | |
3,203,640 | |||
Nebraska — 0.1% | |||
135,000 | Nebraska Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 132,800 | |
Nevada — 1.4% | |||
100,000 | City of Las Vegas, NV, Sales Tax Increment Revenue, Revenue Bonds, 3.500% due 6/15/252 | 93,996 | |
225,000 | City of Las Vegas, NV, Special Improvement District No. 816, Sales Tax Increment, Special Assessment, 2.750% due 6/1/31 | 180,042 | |
380,000 | City of North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 322,490 | |
1,000,000 | City of Sparks, NV, Tourism improvement district, Revenue Bonds, Series A, 2.750% due 6/15/282 | 865,010 | |
State of Nevada Department of Business & Industry, Revenue Bonds, Series A: | |||
335,000 | 5.000% due 7/15/272 | 329,882 | |
500,000 | 5.000% due 12/15/482 | 440,398 | |
2,231,818 | |||
New Jersey — 4.0% | |||
345,000 | New Jersey Economic Development Authority, Foundation Academy Charter School Project, Revenue Bonds, Series A, 5.000% due 7/1/38 | 329,141 | |
500,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series I, (State Appropriations), (SIFMA MUNI SWAP INDEX + 1.60%), 3.640% due 3/1/285 | 500,318 | |
635,000 | New Jersey Housing & Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 635,127 | |
New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
1,000,000 | 0.000% due 12/15/351 | 506,942 | |
1,300,000 | 0.000% due 12/15/391 | 510,559 | |
185,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured), 0.000% due 12/15/321 | 114,411 | |
550,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/351 | 282,046 | |
1,000,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/311 | 652,425 | |
1,000,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/29 | 1,033,447 |
156 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — (Continued) | |||
$ 1,880,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series B, 5.000% due 6/1/46 | $ 1,726,299 | |
6,290,715 | |||
New Mexico — 0.5% | |||
275,000 | City of Santa Fe, NM, Retirement Facility Revenue, EL Castillo Retirement Project, Revenue Bonds, Series A, 5.000% due 5/15/34 | 245,367 | |
250,000 | New Mexico Hospital Equipment Loan Council, Revenue Bonds, LA Vida Llena Expansion Project, Series A, 5.000% due 7/1/49 | 192,665 | |
420,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A-1, Class I, (GNMA / FNMA / FHLMC Insured), 4.250% due 1/1/50 | 415,234 | |
853,266 | |||
New York — 2.2% | |||
435,000 | Brookhaven Local Development Corp., NY, Jefferson’s Ferry Project, Revenue Bonds, Series A, 4.000% due 11/1/55 | 326,087 | |
100,000 | Build NYC Resource Corp, NY, Revenue Bonds, Series A, 4.000% due 6/15/51 | 68,872 | |
500,000 | Glen Cove Local Economic Assistance Corp., NY, Revenue Bonds, Series C, 0.000% due 1/1/551 | 386,535 | |
250,000 | Huntington Local Development Corp., NY, Fountaingate Garden Project, Revenue Bonds, Series A, 5.250% due 7/1/56 | 191,567 | |
395,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Refunding, Series D-2-B, (AGMC Insured), (SOFR* 0.67 + 0.55%), 3.096% due 11/1/325 | 386,178 | |
250,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series C-1, 4.750% due 11/15/45 | 221,499 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series C-2, 0.000% due 11/15/321 | 310,618 | |
115,000 | Monroe County Industrial Development Corp, NY, St. Ann’s Community Project, Revenue Bonds, 5.000% due 1/1/50 | 86,530 | |
150,000 | Monroe County Industrial Development Corp, NY, St. Ann’s Community Project, Revenue Bonds, Refunding, 5.000% due 1/1/40 | 121,574 | |
500,000 | New York City Industrial Development Agency, NY, Revenue Bonds, Refunding, (AGMC Insured), 3.000% due 1/1/46 | 326,909 | |
230,000 | Niagara Area Development Corp., NY, Catholic Health System Inc Project, Revenue Bonds, 5.000% due 7/1/52 | 173,760 | |
245,000 | State of New York Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 242,739 | |
150,000 | Sullivan County, NY, Special Assessment, Adelaar Infrastructure Project, Special Assessment, Series E-1, 4.850% due 11/1/312 | 135,848 | |
500,000 | Sullivan County, NY, Special Assessment, Adelaar Infrastructure Project, Special Assessment, Series E-2, 5.350% due 11/1/492 | 418,043 | |
3,396,759 | |||
North Carolina — 0.9% | |||
920,000 | North Carolina Housing Finance Agency, Revenue Bonds, Series 46-A, (GNMA / FNMA / FHLMC Insured), 3.000% due 7/1/51 | 867,264 | |
500,000 | North Carolina Medical Care Commission, Retirement Facilities Revenue, 1st Mortgage-Carolina Vlg Project, Revenue Bonds, Series B, 5.000% due 4/1/47 | 410,372 | |
215,000 | North Carolina Medical Care Commission, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/34 | 204,044 | |
1,481,680 | |||
North Dakota — 0.4% | |||
500,000 | County of Ward, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 412,064 |
157 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
North Dakota — (Continued) | |||
$ 190,000 | North Dakota Housing Finance Agency, Revenue Bonds, Series A, 3.000% due 1/1/52 | $ 179,010 | |
591,074 | |||
Ohio — 1.9% | |||
600,000 | City of Centerville, OH, Healthcare Revenue, Revenue Bonds, Refunding, 5.250% due 11/1/50 | 502,518 | |
100,000 | Cleveland-Cuyahoga County Port Authority, OH, Tax Allocation, Sub-Flats East Bank Project, Refunding, Series B, 4.500% due 12/1/552 | 73,222 | |
345,000 | County of Franklin, OH, Revenue Bonds, Refunding, 5.250% due 11/15/55 | 285,859 | |
700,000 | County of Washington, OH, Hospital Revenue, Revenue Bonds, Refunding, 6.750% due 12/1/52 | 623,391 | |
475,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/50 | 412,014 | |
State of Ohio, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 12/1/282 | 236,283 | |
420,000 | 5.000% due 12/1/332 | 373,442 | |
250,000 | 5.000% due 12/1/382 | 210,888 | |
300,000 | 5.000% due 12/1/482 | 235,965 | |
2,953,582 | |||
Oklahoma — 0.9% | |||
635,000 | Norman Regional Hospital Authority, OK, Revenue Bonds, Refunding, 4.000% due 9/1/37 | 537,720 | |
Oklahoma Development Finance Authority, Revenue Bonds, Series A: | |||
1,000,000 | 5.500% due 8/15/44 | 867,302 | |
375,000 | 5.000% due 8/1/526 | 375 | |
1,405,397 | |||
Oregon — 0.9% | |||
125,000 | Clackamas County Hospital Facility Authority, OR, Oregon Senior Living, Rose Villa Project, Revenue Bonds, Refunding, Series A, 5.125% due 11/15/40 | 109,789 | |
250,000 | Hospital Facilities Authority of Multnomah Country Oregon, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/56 | 165,445 | |
395,000 | Polk County Hospital Facility Authority, OR, Dollas Retirement Vlg Project, Revenue Bonds, Series A, 5.125% due 7/1/55 | 308,195 | |
1,000,000 | Salem Hospital Facility Authority, OR, Oregon Revenue, Capital Manor Project, Revenue Bonds, Refunding, 4.000% due 5/15/40 | 792,247 | |
1,375,676 | |||
Pennsylvania — 3.8% | |||
Berks County Industrial Development Authority, PA, Tower Health Project, Revenue Bonds, Refunding: | |||
1,000,000 | 5.000% due 11/1/47 | 679,375 | |
250,000 | 4.000% due 11/1/47 | 142,240 | |
325,000 | Berks County Municipal Authority, PA, Tower Health Project, Revenue Bonds, Refunding, Series A, 5.000% due 2/1/28 | 285,998 | |
150,000 | Berks County Municipal Authority, PA, Tower Health Project, Revenue Bonds, Series B-3, 5.000% due 2/1/404 | 125,279 | |
270,000 | Bucks Country Industrial Development Authority, PA, Grand view Hospital Project, Revenue Bonds, 4.000% due 7/1/46 | 188,458 | |
125,000 | Chester County Industrial Development Authority, PA, Revenue Bonds, Avon Grove Chart School Project, Refunding, Series A, 5.000% due 12/15/51 | 112,065 | |
Crawford County Hospital Authority, PA, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 404,738 | |
250,000 | 6.000% due 6/1/46 | 246,536 | |
500,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, Refunding, 5.000% due 1/1/29 | 485,011 |
158 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$ 250,000 | Delaware Valley Regional Finance Authority, PA, Revenue Bonds, Series C, (3M USD LIBOR * 0.67 + 0.75%), 2.815% due 6/1/375 | $ 220,014 | |
200,000 | Franklin County Industrial Development Authority, PA, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 160,167 | |
445,000 | Montgomery County Higher Education and Health Authority, PA, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 404,780 | |
Montgomery County Industrial Development Authority, PA, Revenue Bonds, Refunding: | |||
500,000 | 5.000% due 11/15/36 | 480,959 | |
100,000 | 5.000% due 12/1/46 | 92,848 | |
250,000 | Montgomery County Industrial Development Authority, PA, Waverly Heights, Limited. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | 251,526 | |
800,000 | Pennsylvania Economic Development Financing Authority, PA, Revenue Bonds, Series 2022, 7.000% due 12/1/29 | 759,786 | |
Philadelphia Authority for Industrial Development, PA, Revenue Bonds, Refunding: | |||
100,000 | 5.000% due 8/1/30 | 100,448 | |
115,000 | 5.000% due 6/15/402 | 102,474 | |
425,000 | 5.000% due 8/1/40 | 399,210 | |
150,000 | Redevelopment Authority of The County of Washington, PA, Tax Allocation, Refunding, 5.000% due 7/1/28 | 146,026 | |
100,000 | Westmoreland County Industrial Development Authority, PA, Excela Health Project, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/25 | 99,000 | |
5,886,938 | |||
Puerto Rico — 7.4% | |||
785,000 | Commonwealth of Puerto Rico, Notes, 5.069% due 11/1/51 | 334,606 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Refunding, Series A: | |||
1,500,000 | 5.000% due 7/1/352 | 1,374,964 | |
250,000 | 5.000% due 7/1/372 | 225,281 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/27 | 25,467 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 606,795 | |
75,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 76,400 | |
900,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M USD LIBOR * 0.67 + 0.52%), 3.036% due 7/1/295 | 843,195 | |
Puerto Rico Electric Power Authority, Revenue Bonds, Series A: | |||
85,000 | 5.000% due 7/1/29 | 63,750 | |
500,000 | 7.000% due 7/1/40 | 383,750 | |
300,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 280,796 | |
510,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 519,521 | |
1,000,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series XX, 5.250% due 7/1/40 | 750,000 | |
10,000 | Puerto Rico Highway & Transportation Authority, Revenue Bonds, (AMBAC Insured), 0.000% due 7/1/251 | 8,745 | |
455,000 | Puerto Rico Highway & Transportation Authority, Revenue Bonds, Refunding, Series N, (AMBAC Insured), (Consumer Price Index YoY + 1.12%), 9.383% due 7/1/285 | 419,919 | |
430,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, (NPFG Insured), 4.500% due 10/1/29 | 430,424 |
159 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, Refunding: | |||
$ 250,000 | 5.000% due 10/1/31 | $ 250,183 | |
400,000 | 4.000% due 7/1/40 | 320,127 | |
Puerto Rico of Commonwealth, General Obligation Unlimited, Restructured, Series A-1: | |||
54,010 | 5.250% due 7/1/23 | 54,090 | |
32,339 | 0.000% due 7/1/241 | 29,414 | |
107,721 | 5.375% due 7/1/25 | 107,659 | |
106,745 | 5.625% due 7/1/27 | 107,496 | |
105,012 | 5.625% due 7/1/29 | 105,619 | |
101,998 | 5.750% due 7/1/31 | 102,611 | |
96,721 | 4.000% due 7/1/33 | 81,842 | |
124,470 | 0.000% due 7/1/331 | 63,250 | |
86,939 | 4.000% due 7/1/35 | 71,054 | |
74,617 | 4.000% due 7/1/37 | 59,350 | |
1,651,605 | Puerto Rico of Commonwealth, Series A-1, 0.000% due 11/1/431 | 753,545 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A, Class 2, (AMBAC Insured): | |||
209,663 | 0.000% due 8/1/471 | 72,874 | |
323,124 | 0.000% due 8/1/541 | 79,911 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
5,000 | 0.000% due 7/1/241 | 4,591 | |
14,000 | 0.000% due 7/1/291 | 9,711 | |
18,000 | 0.000% due 7/1/311 | 10,985 | |
3,188,000 | 0.000% due 7/1/461 | 690,376 | |
11,743,000 | 0.000% due 7/1/511 | 1,812,922 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 184,329 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 97,528 | |
150,000 | 5.000% due 6/1/36 | 137,753 | |
11,550,833 | |||
Rhode Island — 0.2% | |||
350,000 | Rhode Island Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA / FNMA / FHLMC Insured), 4.000% due 10/1/48 | 342,499 | |
South Carolina — 2.3% | |||
2,760,004 | Connector 2000 Association, Inc., SC, Revenue Bonds, Series A-1, 0.000% due 1/1/421 | 592,867 | |
500,000 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Revenue Bonds, Series A-1, 0.000% due 1/1/321 | 249,972 | |
380,000 | South Carolina Jobs-Economic Development Authority, Economic Development Revenue, Revenue Bonds, 0.000% due 6/1/521 | 231,962 | |
105,000 | South Carolina Jobs-Economic Development Authority, Green Charter Schools Project, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/562 | 69,016 | |
South Carolina Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
410,000 | 5.000% due 10/1/362 | 374,921 | |
1,090,000 | 5.000% due 10/1/412 | 955,358 | |
300,000 | South Carolina Jobs-Economic Development Authority, Solid Waste Disposal Revenue, Revenue Bonds, 6.250% due 6/1/402 | 217,213 | |
200,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | 201,912 | |
500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series B, 5.000% due 12/1/37 | 494,954 |
160 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
$ 160,000 | South Carolina State Housing Finance & Development Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC/ FHA Insured), 4.000% due 7/1/36 | $ 158,052 | |
3,546,227 | |||
Tennessee — 0.4% | |||
1,000,000 | Bristol Industrial Development Board, TN, Revenue Bonds, Series B, 0.000% due 12/1/311,2 | 591,419 | |
40,000 | Metropolitan Government Nashville & Davidson Country Industrial Development Board, TN, Special Assessment, Series 2021A, 4.000% due 6/1/512 | 29,088 | |
300,000 | Metropolitan Government Nashville & Davidson Country Industrial Development Board, TN, Special Assessment, Series 2021B, 0.000% due 6/1/431,2 | 83,364 | |
703,871 | |||
Texas — 5.5% | |||
500,000 | Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Refunding, Series 2021, 4.500% due 6/15/562 | 471,704 | |
645,000 | Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 588,468 | |
295,000 | Arlington Higher Education Finance Corp., TX, Revenue Bonds, Refunding, Uplift Education, Series A, 2.750% due 12/1/26 | 267,496 | |
650,000 | Brazoria County Industrial Development Corp., TX, Revenue Bonds, Series 2022, 10.000% due 6/1/422 | 637,201 | |
500,000 | City of Plano, TX, Special Assessment, 4.000% due 9/15/512 | 365,173 | |
360,000 | Fort Bend County Industrial Development Corp., TX, NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 329,305 | |
1,510,000 | Harris County Cultural Education Facilities Finance Corp., TX, Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,221,541 | |
150,000 | Harris County Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Series A, 5.000% due 1/1/43 | 125,790 | |
500,000 | Matagorda County Navigation District No. 1, TX, Revenue Bonds, Refunding, Series A, (AMBAC Insured), 4.400% due 5/1/30 | 489,783 | |
215,000 | New Hope Cultural Education Facilities Finance Corp., TX, Blinn College Project, Revenue Bonds, Series A, 5.000% due 7/1/40 | 181,995 | |
375,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Morningside Ministries Project, Revenue Bonds, Series A, 5.000% due 1/1/35 | 335,150 | |
250,000 | New Hope Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Refunding, 4.000% due 8/15/512 | 176,616 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, The Outlook At Windhaven Project, Revenue Bonds, Series A, 6.875% due 10/1/57 | 450,214 | |
250,000 | New Hope Cultural Education Facilities Finance Corp., TX, Wesleyan Homes Inc Project, Revenue Bonds, 5.500% due 1/1/49 | 197,049 | |
400,000 | New Hope Cultural Education Facilities Finance Corp., TX, Wesleyan Homes Inc Project, Revenue Bonds, Refunding, 5.000% due 1/1/55 | 277,675 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villages Project, Revenue Bonds, Refunding: | |||
70,000 | 4.000% due 5/15/31 | 61,609 | |
625,000 | 5.000% due 5/15/45 | 534,571 | |
250,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villiages Project, Revenue Bonds, Refunding, 4.000% due 5/15/27 | 235,599 |
161 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
$ 150,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Revenue Bonds, Refunding, 5.000% due 11/15/35 | $ 145,570 | |
125,000 | Texas Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 125,070 | |
875,000 | Texas Municipal Gas Acquisition and Supply Corp. II, Revenue Bonds, Series A, (3M USD LIBOR * 0.66 + 0.69%), 2.863% due 9/15/275 | 840,009 | |
700,000 | Town of Little Elm, TX, Special Assessment, Series A, 5.375% due 9/1/512 | 618,556 | |
8,676,144 | |||
Utah — 0.4% | |||
500,000 | Mida Mountain Village Public Infrastructure District, UT, Special Assessment, 4.000% due 8/1/502 | 354,879 | |
250,000 | Mida Mountain Village Public Infrastructure District, UT, Special Assessment, Series A, 5.000% due 8/1/502 | 211,287 | |
566,166 | |||
Vermont — 0.4% | |||
260,000 | Vermont Economic Development Authority, Revenue Bonds, Refunding, Series A, 4.000% due 5/1/37 | 202,032 | |
500,000 | Vermont Economic Development Authority, Revenue Bonds, Series A -1, 5.000% due 6/1/522,4 | 481,947 | |
683,979 | |||
Virginia — 4.6% | |||
165,000 | Albemarle County Economic Development Authority, VA, Revenue Bonds, Refunding, Series 2022-A, 4.000% due 6/1/42 | 136,413 | |
750,000 | Farmville Industrial Development Authority, VA, Longwood University Student Project, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/38 | 715,419 | |
Hanover County Economic Development Authority, VA, Care Facilities Revenue, Covenant Woods, Revenue Bonds, Refunding: | |||
255,000 | 4.000% due 7/1/302 | 225,311 | |
500,000 | 5.000% due 7/1/38 | 471,433 | |
295,000 | Henrico County Economic Development Authority, VA, Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 289,174 | |
500,000 | Henrico County Economic Development Authority, VA, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 444,059 | |
600,000 | Henrico County Economic Development Authority, VA, Residencial Care Facility Revenue, Revenue Bonds, Series C, 5.000% due 12/1/47 | 560,962 | |
James City County Economic Development Authority, VA, Revenue Bonds, Series A: | |||
500,000 | 4.000% due 12/1/40 | 385,471 | |
140,000 | 4.000% due 6/1/41 | 103,164 | |
500,000 | Newport News Industrial Development Authority, VA, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/462 | 456,110 | |
1,000,000 | Newport News Industrial Development Authority, VA, System Revenue, Revenue Bonds, 5.330% due 7/1/452 | 967,042 | |
500,000 | Virginia Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 469,093 | |
Virginia Small Business Financing Authority, Revenue Bonds: | |||
655,000 | 6.500% due 6/1/292 | 614,634 | |
760,000 | 8.500% due 6/1/422 | 679,984 | |
50,000 | Virginia Small Business Financing Authority, Revenue Bonds, Refunding, 4.000% due 12/1/51 | 37,311 |
162 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Virginia — (Continued) | |||
Virginia Small Business Financing Authority, Revenue Bonds, Refunding, Series A: | |||
$ 500,000 | 5.000% due 1/1/32 | $ 516,331 | |
250,000 | 4.000% due 1/1/45 | 204,016 | |
7,275,927 | |||
Washington — 2.4% | |||
235,000 | Kalispel Tribe of Indians, WA, Priority District, Revenue Bonds, Series B, 5.250% due 1/1/382 | 242,770 | |
1,125,000 | Washington Health Care Facilities Authority, Revenue Bonds, 5.000% due 12/1/36 | 1,087,126 | |
200,000 | Washington Health Care Facilities Authority, Revenue Bonds, Refunding, Series A-2, 5.000% due 8/1/30 | 205,891 | |
Washington State Convention Center Public Facilities District, Revenue Bonds, Refunding, Series B: | |||
260,000 | 4.000% due 7/1/31 | 240,721 | |
295,000 | 3.000% due 7/1/35 | 223,546 | |
265,000 | 3.000% due 7/1/58 | 143,851 | |
625,000 | Washington State Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/382 | 539,192 | |
489,829 | Washington State Housing Finance Commission, Revenue Bonds, Series A-1, 3.500% due 12/20/35 | 413,897 | |
500,000 | Washington State Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, 5.000% due 1/1/552 | 352,074 | |
500,000 | Washington State Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, Series A, 5.000% due 1/1/562 | 350,514 | |
3,799,582 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 232,200 | |
Wisconsin — 5.1% | |||
250,000 | Public Finance Authority, WI, Charter Day School Inc Project, Revenue Bonds, Series A, 5.000% due 12/1/452 | 214,367 | |
250,000 | Public Finance Authority, WI, Charter School Portfolio Project, Revenue Bonds, Series A-1, 5.000% due 1/1/552 | 176,266 | |
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/472 | 458,758 | |
500,000 | Public Finance Authority, WI, Grand Hyatt San Antonio Hotel Acquisition Project, Revenue Bonds, Series B, 6.000% due 2/1/622 | 429,556 | |
115,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/41 | 90,473 | |
110,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Series A-1, 4.000% due 7/1/512 | 75,739 | |
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 9/1/492 | 187,167 | |
500,000 | 5.000% due 9/1/542 | 415,844 | |
135,000 | Public Finance Authority, WI, Revenue Bonds, 5.000% due 4/1/502 | 112,528 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 249,519 | |
Public Finance Authority, WI, Revenue Bonds, Refunding, Series A: | |||
375,000 | 5.000% due 6/1/292 | 360,347 | |
250,000 | 5.000% due 1/1/35 | 243,102 | |
750,000 | 5.000% due 1/1/46 | 684,688 | |
500,000 | Public Finance Authority, WI, Revenue Bonds, Series A, 4.500% due 6/1/562 | 334,734 | |
265,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, 4.000% due 6/15/292 | 243,180 |
163 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
Public Finance Authority, WI, Senior Living Revenue, Mary’s Woods at Marylhurst Project, Revenue Bonds, Refunding, Series A: | |||
$ 350,000 | 5.250% due 5/15/372 | $ 314,411 | |
100,000 | 4.000% due 10/1/51 | 72,912 | |
55,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, 5.000% due 11/15/242 | 55,853 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,061,874 | |
50,000 | Public Finance Authority, WI, The obligated Group of National Senior Communities, Revenue Bonds, 4.000% due 1/1/52 | 37,612 | |
Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding: | |||
955,000 | 5.000% due 6/1/41 | 834,321 | |
70,000 | 4.000% due 12/1/41 | 52,521 | |
110,000 | 4.000% due 1/1/47 | 78,805 | |
1,000,000 | 4.000% due 1/1/57 | 668,514 | |
565,000 | Wisconsin Housing & Economic Development Authority Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 555,603 | |
35,000 | Wisconsin Housing & Economic Development Authority Housing Revenue, Home Ownership Revenue, Revenue Bonds, Refunding, Series B, 0.400% due 5/1/454 | 33,724 | |
8,042,418 | |||
Other Territory — 0.6% | |||
708,816 | Federal Home Loan Mortgage Corporation Multifamily 2019ML-05 Certificates, Revenue Bonds, Class AUS, 3.400% due 1/25/36 | 635,220 | |
261,411 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class AUS, 2.032% due 1/25/38 | 194,427 | |
710,249 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class XUS, 2.057% due 1/25/384 | 120,570 | |
950,217 | |||
TOTAL MUNICIPAL BONDS (Cost $176,833,116) | 151,868,827 | ||
TOTAL INVESTMENTS (Cost $177,676,044) | 97.4% | $152,733,827 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 2.6 | 4,076,192 | |
NET ASSETS | 100.0% | $156,810,019 |
* | Percentages indicated are based on net assets. |
1 | Zero Coupon Bond. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may be resold in transactions exempt from registration, normally to qualified buyers. At October 31, 2022, these securities, which are not illiquid, amounted to $38,397,009 or 24.5% of net assets for the Fund. |
3 | When-issued security. |
4 | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. Rate presented is as of October 31, 2022. |
5 | Floating Rate Bond. Rate shown is as of October 31, 2022. |
6 | This security is in default. See Note 1. |
164 |
Abbreviations: |
AGC — Assurance Guaranty Corporation |
AGMC — Assured Guaranty Municipal Corporation |
AMBAC — American Municipal Bond Assurance Corporation |
AMT — Alternative Minimum Tax |
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 |
165 |
% of Net Assets | Value | ||
STATE: | |||
Colorado | 8.9% | $ 13,982,355 | |
Illinois | 8.0 | 12,501,919 | |
Puerto Rico | 7.4 | 11,550,833 | |
California | 6.5 | 10,119,177 | |
Texas | 5.5 | 8,676,144 | |
Florida | 5.2 | 8,201,283 | |
Wisconsin | 5.1 | 8,042,418 | |
Virginia | 4.6 | 7,275,927 | |
Arizona | 4.1 | 6,407,345 | |
New Jersey | 4.0 | 6,290,715 | |
Pennsylvania | 3.8 | 5,886,938 | |
Maryland | 2.8 | 4,350,358 | |
Washington | 2.4 | 3,799,582 | |
South Carolina | 2.3 | 3,546,227 | |
New York | 2.2 | 3,396,759 | |
Missouri | 2.0 | 3,203,640 | |
Indiana | 1.9 | 3,041,559 | |
Ohio | 1.9 | 2,953,582 | |
Alabama | 1.7 | 2,725,388 | |
Louisiana | 1.5 | 2,347,084 | |
Nevada | 1.4 | 2,231,818 | |
Michigan | 1.3 | 1,999,435 | |
Kentucky | 1.2 | 1,949,391 | |
Idaho | 1.1 | 1,709,157 | |
District of Columbia | 1.1 | 1,681,729 | |
North Carolina | 0.9 | 1,481,680 | |
Oklahoma | 0.9 | 1,405,397 | |
Oregon | 0.9 | 1,375,676 | |
Georgia | 0.9 | 1,364,197 | |
Connecticut | 0.9 | 1,355,812 | |
Other Territory | 0.6 | 950,217 | |
New Mexico | 0.5 | 853,266 | |
Tennessee | 0.4 | 703,871 | |
Vermont | 0.4 | 683,979 | |
Guam | 0.4 | 636,557 | |
Iowa | 0.4 | 630,546 | |
North Dakota | 0.4 | 591,074 | |
Utah | 0.4 | 566,166 | |
Rhode Island | 0.2 | 342,499 | |
West Virginia | 0.1 | 232,200 | |
Kansas | 0.1 | 165,252 | |
Minnesota | 0.1 | 162,195 | |
Alaska | 0.1 | 145,866 | |
Nebraska | 0.1 | 132,800 | |
Mississippi | 0.1 | 130,946 | |
Massachusetts | 0.1 | 87,868 | |
TOTAL MUNICIPAL BONDS | 96.8% | $151,868,827 | |
TOTAL INVESTMENTS | 96.8% | $151,868,827 |
166 |
167 |
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 | $ 19,183,741 | $ — | $— | $ 19,183,741 | ||||
U.S. Treasury Bills | — | 130,996,206 | — | 130,996,206 | ||||
Repurchase Agreement | — | 206,701 | — | 206,701 |
168 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Purchased Options | ||||||||
Calls | $1,032,786,275 | $ — | $— | $1,032,786,275 | ||||
Puts | 914,300 | — | — | 914,300 | ||||
Total Purchased Options | 1,033,700,575 | — | — | 1,033,700,575 | ||||
Total Investments | 1,052,884,316 | 131,202,907 | — | 1,184,087,223 | ||||
Total | $1,052,884,316 | $131,202,907 | $— | $1,184,087,223 |
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 | ||||||||
Calls | $(677,332,100) | $— | $— | $(677,332,100) | ||||
Puts | (5,942,555) | — | — | (5,942,555) | ||||
Total Written Options | (683,274,655) | — | — | (683,274,655) | ||||
Total | $(683,274,655) | $— | $— | $(683,274,655) |
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 | $ 5,995,499 | $ — | $— | $ 5,995,499 | ||||
U.S. Treasury Bills | — | 4,137,624 | — | 4,137,624 | ||||
Repurchase Agreement | — | 46,292 | — | 46,292 | ||||
Purchased Options | ||||||||
Calls | 26,672,875 | — | — | 26,672,875 | ||||
Puts | 24,288 | — | — | 24,288 | ||||
Total Purchased Options | 26,697,163 | — | — | 26,697,163 | ||||
Total Investments | 32,692,662 | 4,183,916 | — | 36,876,578 | ||||
Total | $32,692,662 | $4,183,916 | $— | $36,876,578 |
169 |
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 | ||||||||
Calls | $(17,495,075) | $— | $— | $(17,495,075) | ||||
Puts | (240,700) | — | — | (240,700) | ||||
Total Written Options | (17,735,775) | — | — | (17,735,775) | ||||
Total | $(17,735,775) | $— | $— | $(17,735,775) |
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 | $ — | $ 31,498,603 | $— | $ 31,498,603 | ||||
Federal National Mortgage Association | — | 9,454,892 | — | 9,454,892 | ||||
Total Agency Notes | — | 40,953,495 | — | 40,953,495 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 48,207,697 | — | 48,207,697 | ||||
Federal National Mortgage Association | — | 50,006,551 | — | 50,006,551 | ||||
Government National Mortgage Association | — | 424,515 | — | 424,515 | ||||
Total Mortgage-Backed Securities | — | 98,638,763 | — | 98,638,763 | ||||
Corporate Notes | ||||||||
Banking | — | 16,000,798 | — | 16,000,798 | ||||
Beverages, Food & Tobacco | — | 8,820,163 | — | 8,820,163 | ||||
Computer Software & Processing | — | 7,426,788 | — | 7,426,788 | ||||
Electric Utilities | — | 3,347,787 | — | 3,347,787 | ||||
Electronics | — | 6,699,921 | — | 6,699,921 | ||||
Heavy Machinery | — | 8,006,922 | — | 8,006,922 | ||||
Insurance | — | 8,502,096 | — | 8,502,096 | ||||
Media - Broadcasting & Publishing | — | 6,306,795 | — | 6,306,795 | ||||
Pharmaceuticals | — | 7,602,438 | — | 7,602,438 | ||||
Total Corporate Notes | — | 72,713,708 | — | 72,713,708 | ||||
U.S. Treasury Bill | — | 1,970,240 | — | 1,970,240 | ||||
U.S. Treasury Notes/Bonds | — | 102,070,977 | — | 102,070,977 | ||||
Repurchase Agreement | — | 1,239,627 | — | 1,239,627 | ||||
Investment of Security Lending Collateral | 9,685,150 | — | — | 9,685,150 | ||||
Total Investments | 9,685,150 | 317,586,810 | — | 327,271,960 | ||||
Total | $9,685,150 | $317,586,810 | $— | $327,271,960 |
170 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $4,676,818 | $(4,676,818) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $5,897,397 | $(5,897,397) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $15,324 | $(15,324) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $23,575 | $(23,575) | $— | $— | $— |
171 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $22,398 | $(22,398) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $94,339 | $(94,339) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $251,238 | $(251,238) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $386,351 | $(386,351) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $15,116,000 | $(15,116,000) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $251,190 | $(251,190) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $206,701 | $(206,701) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $46,292 | $(46,292) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,239,627 | $(1,239,627) | $— | $— | $— |
172 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $235,803 | $(235,803) | $— | $— | $— |
173 |
174 |
175 |
176 |
Portfolio | Unlimited (Short Term) | Unlimited (Long Term) | ||
Quantitative International Equity Portfolio | $ 891,699 | $ — | ||
Quantitative U.S. Long/Short Equity Portfolio | 353,779 | — | ||
Quantitative U.S. Total Market Equity Portfolio | 82,852 | — | ||
Secured Options Portfolio | 20,774,257 | 31,143,483 | ||
Global Secured Options Portfolio* | 5,743,877 | 1,996,102 | ||
Core Fixed Income Portfolio | 2,983,969 | 7,161,570 | ||
Short Term Tax Aware Fixed Income Portfolio | 227,640 | 373,380 | ||
High Yield Municipal Portfolio | 4,987,805 | 4,533,793 |
Quantitative U.S. Large Cap Value Equity Portfolio | $9,577 |
Quantitative U.S. Long/Short Equity Portfolio | 1,405,651 |
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 | $ — | $1,181,502 | $169,821,617 | $159,204,778 | $ — | $ — | $330,207,897 | |||||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 17,587 | 144,343,064 | 380,703,602 | — | — | 525,064,253 | |||||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 2,370 | 65,701 | 260,525 | — | — | 328,596 | |||||||
Quantitative U.S. Small Cap Equity Portfolio | — | — | 115,966 | 221,615 | — | — | 337,581 | |||||||
Quantitative International Equity Portfolio | — | 18,585 | — | (2,125,499) | — | (891,699) | (2,998,613) | |||||||
Responsible ESG U.S. Equity Portfolio | — | 20,481 | 1,454,102 | 3,962,142 | — | — | 5,436,725 | |||||||
Women in Leadership U.S. Equity Portfolio | — | 38,878 | 441,731 | 2,476,591 | — | — | 2,957,200 | |||||||
Quantitative U.S. Long/Short Equity Portfolio | — | — | — | 22,679,325 | (73,105) (a) | (353,779) | 22,252,441 | |||||||
Quantitative U.S. Total Market Equity Portfolio | — | 15,103 | — | 14,406,316 | — | (82,852) | 14,338,567 | |||||||
Strategic Equity Portfolio | — | 139,168 | 13,663,242 | 97,807,839 | — | — | 111,610,249 | |||||||
Small Cap Equity Portfolio | — | 8,758,544 | 104,804,187 | 207,584,755 | — | — | 321,147,486 |
177 |
Portfolio | Undistributed Tax-exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Other Temporary Differences | Loss Carryforwards | Total Distributable Earnings | |||||||
Equity Income Portfolio | $ — | $ 24,519 | $ 625,035 | $ 5,443,737 | $ — | $ — | $ 6,093,291 | |||||||
Secured Options Portfolio | — | — | — | 11,732,870 | (1,308,434) (b) | (51,917,740) | (41,493,304) | |||||||
Global Secured Options Portfolio | — | — | — | (1,334,638) | (67,370) (c) | (7,739,979) (d) | (9,141,987) | |||||||
Core Fixed Income Portfolio | — | 720,294 | — | (51,564,305) | — | (10,145,539) | (60,989,550) | |||||||
Short Term Tax Aware Fixed Income Portfolio | 60,167 | — | — | (1,551,338) | — | (601,020) | (2,092,191) | |||||||
High Yield Municipal Portfolio | 806,512 | — | — | (25,224,302) | — | (9,521,598) | (33,939,388) |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Quantitative U.S. Large Cap Core Equity Portfolio | $ — | $16,517,199 | $154,028,900 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 15,692,238 | 391,928,374 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 37,841 | — | |||
Quantitative U.S. Small Cap Equity Portfolio | — | 15,350 | 139,837 | |||
Quantitative International Equity Portfolio | — | 1,140,214 | — | |||
Responsible ESG U.S. Equity Portfolio | — | 271,463 | 2,799,601 | |||
Women in Leadership U.S. Equity Portfolio | — | 300,262 | 4,458,681 | |||
Quantitative U.S. Total Market Equity Portfolio | — | 184,797 | 5,567,464 | |||
Strategic Equity Portfolio | — | 1,269,860 | 26,036,484 | |||
Small Cap Equity Portfolio | — | 5,781,456 | 61,538,639 | |||
Equity Income Portfolio | — | 428,852 | 916,865 | |||
Secured Options Portfolio | — | 19,962,120 | 31,051,233 | |||
Global Secured Options Portfolio | — | 1,114,852 | 1,129,362 | |||
Core Fixed Income Portfolio | — | 7,818,298 | 160,422 | |||
Short Term Tax Aware Fixed Income Portfolio | 328,931 | 115,853 | — | |||
High Yield Municipal Portfolio | 6,819,670 | 968,769 | 1,293,535 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Quantitative U.S. Large Cap Core Equity Portfolio | $ — | $11,013,057 | $ 99,915,550 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 4,362,589 | 311,191,429 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 32,775 | — | |||
Quantitative U.S. Small Cap Equity Portfolio | — | 7,532 | 133 | |||
Quantitative International Equity Portfolio | — | 1,099,884 | — | |||
Responsible ESG U.S. Equity Portfolio | — | 218,408 | — | |||
Women in Leadership U.S. Equity Portfolio | — | 275,552 | — |
178 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Quantitative U.S. Total Market Equity Portfolio | $ — | $ 45,803 | $ 3,423,033 | |||
Strategic Equity Portfolio | — | 1,036,605 | 12,912,989 | |||
Small Cap Equity Portfolio | — | 2,196,950 | 834,084 | |||
Equity Income Portfolio | — | 333,966 | — | |||
Global Secured Options Portfolio | — | 199,638 | 225,651 | |||
Core Fixed Income Portfolio | — | 9,331,322 | 5,081,697 | |||
Short Term Tax Aware Fixed Income Portfolio | 368,711 | 81,552 | — | |||
High Yield Municipal Portfolio | 6,333,610 | 77,009 | 22,353 |
Portfolio | Total distributable earnings | Paid-in capital | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $(23,945,794) | $23,945,794 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | (16,297,585) | 16,297,585 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | (24,060) | 24,060 | ||
Responsible ESG U.S. Equity Portfolio | (204,274) | 204,274 | ||
Women in Leadership U.S. Equity Portfolio | (32,647) | 32,647 | ||
Quantitative U.S. Long/Short Equity Portfolio | 527,039 | (527,039) | ||
Quantitative U.S. Total Market Equity Portfolio | (440) | 440 | ||
Strategic Equity Portfolio | (1,395,318) | 1,395,318 | ||
Small Cap Equity Portfolio | (26,638,281) | 26,638,281 | ||
Secured Options Portfolio | 403,919 | (403,919) | ||
Global Secured Options Portfolio | 18,563 | (18,563) |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $ 839,927,028 | $205,203,858 | $ 45,999,081 | $159,204,777 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,802,704,019 | 471,451,883 | 90,748,281 | 380,703,602 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,422,852 | 319,319 | 58,794 | 260,525 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 1,329,061 | 302,003 | 80,387 | 221,616 | ||||
Quantitative International Equity Portfolio | 24,879,805 | 601,443 | 2,721,411 | (2,119,968) | ||||
Responsible ESG U.S. Equity Portfolio | 20,291,017 | 4,315,853 | 353,712 | 3,962,141 | ||||
Women in Leadership U.S. Equity Portfolio | 19,747,669 | 2,945,111 | 468,519 | 2,476,592 | ||||
Quantitative U.S. Long/Short Equity Portfolio | (4,814,610) | 23,880,140 | 1,200,815 | 22,679,325 | ||||
Quantitative U.S. Total Market Equity Portfolio | 30,277,238 | 15,997,003 | 1,590,687 | 14,406,316 | ||||
Strategic Equity Portfolio | 93,300,682 | 98,921,617 | 1,113,778 | 97,807,839 | ||||
Small Cap Equity Portfolio | 961,447,205 | 307,588,283 | 100,003,527 | 207,584,756 | ||||
Equity Income Portfolio | 16,463,875 | 6,095,547 | 651,810 | 5,443,737 | ||||
Secured Options Portfolio | 489,079,699 | 24,864,052 | 13,131,183 | 11,732,869 | ||||
Global Secured Options Portfolio | 20,475,441 | 383,587 | 1,718,225 | (1,334,638) | ||||
Core Fixed Income Portfolio | 378,836,265 | 13,663 | 51,577,968 | (51,564,305) | ||||
Short Term Tax Aware Fixed Income Portfolio | 57,310,795 | 2,343 | 1,553,682 | (1,551,339) | ||||
High Yield Municipal Portfolio | 177,958,130 | 219,962 | 25,444,265 | (25,224,303) |
179 |
Equity Contracts Risk | Total | ||
Options Purchased1 | $1,033,700,575 | $1,033,700,575 | |
Total Value | $1,033,700,575 | $1,033,700,575 |
Equity Contracts Risk | Total | ||
Options Written2 | $(683,274,655) | $(683,274,655) | |
Total Value | $(683,274,655) | $(683,274,655) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $(218,442,787) | $(218,442,787) | |
Options Written4 | 158,020,611 | 158,020,611 | |
Total Realized Gain (Loss) | $ (60,422,176) | $ (60,422,176) |
Equity Contracts Risk | Total | ||
Options Purchased5 | $(38,710,807) | $(38,710,807) | |
Options Written6 | 47,227,177 | 47,227,177 | |
Total Change in Appreciation (Depreciation) | $ 8,516,370 | $ 8,516,370 |
Equity Contracts Risk | Total | ||
Options Purchased7 | 6,749 | 6,749 | |
Options Written7 | (7,792) | (7,792) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $26,697,163 | $26,697,163 | |
Total Value | $26,697,163 | $26,697,163 |
180 |
Equity Contracts Risk | Total | ||
Options Written2 | $(17,735,775) | $(17,735,775) | |
Total Value | $(17,735,775) | $(17,735,775) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $(6,474,287) | $(6,474,287) | |
Options Written4 | 4,967,908 | 4,967,908 | |
Total Realized Gain (Loss) | $(1,506,379) | $(1,506,379) |
Equity Contracts Risk | Total | ||
Options Purchased5 | $(1,655,383) | $(1,655,383) | |
Options Written6 | 2,009,219 | 2,009,219 | |
Total Change in Appreciation (Depreciation) | $ 353,836 | $ 353,836 |
Equity Contracts Risk | Total | ||
Options Purchased7 | 215 | 215 | |
Options Written7 | (892) | (892) |
1 | Statement of Assets and Liabilities location: Investments at value. |
2 | Statement of Assets and Liabilities location: Options written, at value. |
3 | Statement of Operations location: Amount is included in Net realized gain (loss) on purchased options. |
4 | Statement of Operations location: Amount is included in Net realized gain (loss) on written options. |
5 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of purchased options. |
6 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of written options. |
7 | Amounts disclosed represent average number of contracts outstanding during the period ended October 31, 2022. |
181 |
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% | |
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 | 0.57%** |
182 |
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% |
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 | 0.15%* |
* Prior to May 9, 2022, the shareholder servicing fee paid by the High Yield Municipal Portfolio to Glenmede Trust was 0.25%. |
183 |
Portfolio | Purchases | Sales | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $ 789,993,826 | $1,035,348,848 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | 2,301,676,111 | 1,998,326,796 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,754,275 | 2,364,046 | ||
Quantitative U.S. Small Cap Equity Portfolio | 1,410,451 | 1,390,016 | ||
Quantitative International Equity Portfolio | 26,799,249 | 38,345,502 | ||
Responsible ESG U.S. Equity Portfolio | 28,776,148 | 32,791,911 | ||
Women in Leadership U.S. Equity Portfolio | 25,717,110 | 27,415,657 | ||
Quantitative U.S. Long/Short Equity Portfolio | 116,488,695 | 123,119,806 | ||
Quantitative U.S. Total Market Equity Portfolio | 76,470,133 | 63,703,520 | ||
Strategic Equity Portfolio | 44,332,748 | 84,621,138 | ||
Small Cap Equity Portfolio | 370,424,771 | 611,278,145 | ||
Equity Income Portfolio | 3,605,827 | 3,149,921 | ||
Secured Options Portfolio | — | — | ||
Global Secured Options Portfolio | 11,898,504 | 4,073,364 | ||
Core Fixed Income Portfolio | 23,370,557 | 44,109,490 | ||
Short Term Tax Aware Fixed Income Portfolio | 33,852,730 | 29,487,276 | ||
High Yield Municipal Portfolio | 63,077,240 | 125,267,410 |
Portfolio | Purchases | Sales | ||
Core Fixed Income Portfolio | $80,593,567 | $96,125,324 | ||
High Yield Municipal Portfolio | — | 2,731 |
Year Ended 10/31/22 | Year Ended 10/31/21 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Advisor | |||||||
Sold | 2,429,893 | $ 68,931,574 | 2,100,409 | $ 64,054,495 | |||
Issued as reinvestment of dividends | 4,878,722 | 141,210,266 | 3,270,039 | 87,263,628 | |||
Redeemed | (8,629,706) | (238,383,232) | (9,947,894) | (293,104,464) | |||
Net Decrease | (1,321,091) | $ (28,241,392) | (4,577,446) | $(141,786,341) | |||
Quantitative U.S. Large Cap Core Equity Portfolio — Institutional | |||||||
Sold | 938,359 | $ 26,349,978 | 847,885 | $ 25,801,902 | |||
Issued as reinvestment of dividends | 632,929 | 18,301,778 | 423,886 | 11,394,364 | |||
Redeemed | (3,929,590) | (106,588,752) | (3,188,086) | (91,251,178) | |||
Net Decrease | (2,358,302) | $ (61,936,996) | (1,916,315) | $ (54,054,912) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Advisor | |||||||
Sold | 3,948,541 | $ 126,267,379 | 2,352,574 | $ 82,095,688 | |||
Issued as reinvestment of dividends | 8,443,422 | 285,141,335 | 6,987,144 | 219,467,955 | |||
Redeemed | (12,152,143) | (376,828,707) | (18,072,030) | (626,816,029) | |||
Net Increase (Decrease) | 239,820 | $ 34,580,007 | (8,732,312) | $(325,252,386) |
184 |
Year Ended 10/31/22 | Year Ended 10/31/21 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio — Institutional | |||||||
Sold | 24,386,959 | $ 795,673,375 | 8,458,065 | $ 297,765,281 | |||
Issued as reinvestment of dividends | 2,913,113 | 97,812,096 | 2,266,759 | 71,268,792 | |||
Redeemed | (7,426,101) | (228,639,519) | (13,400,857) | (459,639,749) | |||
Net Increase (Decrease) | 19,873,971 | $ 664,845,952 | (2,676,033) | $ (90,605,676) | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Sold | 928 | $ 12,500 | 24,366 | $ 295,000 | |||
Issued as reinvestment of dividends | 2,372 | 29,166 | 1,743 | 20,983 | |||
Redeemed | (59,220) | (656,410) | (11,343) | (140,895) | |||
Net Increase (Decrease) | (55,920) | $ (614,744) | 14,766 | $ 175,088 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Sold | 920 | $ 12,500 | — | $ — | |||
Issued as reinvestment of dividends | 11,488 | 153,561 | 551 | 7,588 | |||
Net Increase | 12,408 | $ 166,061 | 551 | $ 7,588 | |||
Quantitative International Equity Portfolio | |||||||
Sold | 152,283 | $ 2,215,713 | 33,779 | $ 479,232 | |||
Issued as reinvestment of dividends | 19,338 | 264,791 | 14,942 | 228,413 | |||
Redeemed | (944,697) | (13,906,759) | (1,830,283) | (27,204,703) | |||
Net Decrease | (773,076) | $ (11,426,255) | (1,781,562) | $ (26,497,058) | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Sold | 125,489 | $ 2,261,859 | 201,565 | $ 3,768,049 | |||
Issued as reinvestment of dividends | 158,400 | 2,920,149 | 6,883 | 129,297 | |||
Redeemed | (384,689) | (6,608,225) | (187,944) | (3,527,964) | |||
Net Increase (Decrease) | (100,800) | $ (1,426,217) | 20,504 | $ 369,382 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Sold | 165,562 | $ 2,583,025 | 183,350 | $ 3,215,887 | |||
Issued as reinvestment of dividends | 296,222 | 4,637,372 | 8,413 | 152,570 | |||
Redeemed | (290,686) | (4,651,352) | (348,442) | (6,309,127) | |||
Net Increase (Decrease) | 171,098 | $ 2,569,045 | (156,679) | $ (2,940,670) | |||
Quantitative U.S. Long/Short Equity Portfolio — Advisor | |||||||
Sold | 1,048,989 | $ 14,521,789 | 231,228 | $ 2,833,951 | |||
Redeemed | (1,938,341) | (26,207,201) | (4,649,072) | (56,802,686) | |||
Net Decrease | (889,352) | $ (11,685,412) | (4,417,844) | $ (53,968,735) | |||
Quantitative U.S. Long/Short Equity Portfolio — Institutional | |||||||
Sold | 137,385 | $ 1,881,412 | 547,595 | $ 7,105,284 | |||
Redeemed | (90,057) | (1,234,120) | (16,557) | (209,973) | |||
Net Increase | 47,328 | $ 647,292 | 531,038 | $ 6,895,311 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Sold | 1,354,988 | $ 26,424,079 | 153,035 | $ 3,138,822 | |||
Issued as reinvestment of dividends | 286,877 | 5,553,388 | 197,089 | 3,302,532 | |||
Redeemed | (750,418) | (13,649,622) | (634,270) | (12,315,378) | |||
Net Increase (Decrease) | 891,447 | $ 18,327,845 | (284,146) | $ (5,874,024) | |||
Strategic Equity Portfolio | |||||||
Sold | 106,633 | $ 3,165,189 | 225,690 | $ 7,026,380 | |||
Issued as reinvestment of dividends | 763,258 | 24,516,049 | 426,978 | 12,255,189 | |||
Redeemed | (1,441,599) | (42,291,383) | (1,402,544) | (44,266,719) | |||
Net Decrease | (571,708) | $ (14,610,145) | (749,876) | $ (24,985,150) |
185 |
Year Ended 10/31/22 | Year Ended 10/31/21 | ||||||
Shares | Amount | Shares | Amount | ||||
Small Cap Equity Portfolio — Advisor | |||||||
Sold | 1,324,335 | $ 45,922,789 | 1,266,694 | $ 41,682,328 | |||
Issued as reinvestment of dividends | 607,337 | 21,396,322 | 13,013 | 405,614 | |||
Redeemed | (2,075,225) | (71,530,054) | (4,330,396) | (141,283,194) | |||
Net Decrease | (143,553) | $ (4,210,943) | (3,050,689) | $ (99,195,252) | |||
Small Cap Equity Portfolio — Institutional | |||||||
Sold | 8,037,573 | $ 302,799,384 | 9,212,748 | $ 324,077,025 | |||
Issued as reinvestment of dividends | 428,691 | 15,995,496 | 23,933 | 815,748 | |||
Redeemed | (14,209,188) | (500,935,680) | (19,176,316) | (649,099,448) | |||
Net Decrease | (5,742,924) | $(182,140,800) | (9,939,635) | $(324,206,675) | |||
Equity Income Portfolio | |||||||
Sold | 136,724 | $ 2,026,389 | 21,941 | $ 331,439 | |||
Issued as reinvestment of dividends | 66,619 | 1,028,822 | 1,676 | 24,654 | |||
Redeemed | (101,565) | (1,474,977) | (185,054) | (2,610,970) | |||
Net Increase (Decrease) | 101,778 | $ 1,580,234 | (161,437) | $ (2,254,877) | |||
Secured Options Portfolio — Advisor | |||||||
Sold | 1,219,393 | $ 15,992,808 | 940,671 | $ 12,846,984 | |||
Issued as reinvestment of dividends | 808,851 | 10,595,950 | — | — | |||
Redeemed | (2,020,911) | (25,810,946) | (3,064,095) | (41,110,090) | |||
Net Increase (Decrease) | 7,333 | $ 777,812 | (2,123,424) | $ (28,263,106) | |||
Secured Options Portfolio — Institutional | |||||||
Sold | 18,204,948 | $ 233,763,186 | 3,429,440 | $ 47,712,901 | |||
Issued as reinvestment of dividends | 2,730,613 | 36,207,927 | — | — | |||
Redeemed | (6,980,155) | (91,273,996) | (10,798,791) | (141,746,581) | |||
Net Increase (Decrease) | 13,955,406 | $ 178,697,117 | (7,369,351) | $ (94,033,680) | |||
Global Secured Options Portfolio | |||||||
Sold | 3,310,207 | $ 15,746,872 | 1,130,339 | $ 5,984,091 | |||
Issued as reinvestment of dividends | 48,018 | 232,886 | 12,132 | 60,299 | |||
Redeemed | (1,677,037) | (8,178,013) | (98,041) | (519,619) | |||
Net Increase | 1,681,188 | $ 7,801,745 | 1,044,430 | $ 5,524,771 | |||
Core Fixed Income Portfolio | |||||||
Sold | 6,750,991 | $ 68,365,232 | 5,261,656 | $ 59,459,214 | |||
Issued as reinvestment of dividends | 89,556 | 930,832 | 657,354 | 7,548,663 | |||
Redeemed | (10,134,141) | (101,979,440) | (5,004,064) | (56,515,607) | |||
Net Increase (Decrease) | (3,293,594) | $ (32,683,376) | 914,946 | $ 10,492,270 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Sold | 2,588,172 | $ 25,437,020 | 2,093,822 | $ 21,242,499 | |||
Issued as reinvestment of dividends | 5,276 | 51,991 | 5,604 | 56,862 | |||
Redeemed | (2,279,488) | (22,464,347) | (1,792,496) | (18,191,928) | |||
Net Increase | 313,960 | $ 3,024,664 | 306,930 | $ 3,107,433 | |||
High Yield Municipal Portfolio | |||||||
Sold | 3,292,275 | $ 34,100,462 | 6,406,515 | $ 70,820,808 | |||
Issued as reinvestment of dividends | 201,393 | 2,217,177 | 12,156 | 133,646 | |||
Redeemed | (11,422,712) | (110,478,751) | (2,811,061) | (31,252,003) | |||
Net Increase (Decrease) | (7,929,044) | $ (74,161,112) | 3,607,610 | $ 39,702,451 |
186 |
5% or Greater Shareholders | ||||
Portfolio | # of Shareholders | % of Shares Held | ||
Quantitative U.S Large Cap Core Equity Portfolio (Advisor Class) | 2 | 36% | ||
Quantitative U.S. Large Cap Core Equity Portfolio (Institutional Class) | 6 | 86% | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 2 | 68% | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) | 2 | 88% | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 1 | 97% | ||
Quantitative U.S. Small Cap Equity Portfolio | 1 | 98% | ||
Responsible ESG U.S. Equity Portfolio | 3 | 25% | ||
Women in Leadership U.S. Equity Portfolio | 5 | 40% | ||
Quantitative International Equity Portfolio | 2 | 25% | ||
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 1 | 7% | ||
Quantitative U.S. Long/Short Equity Portfolio (Institutional Class) | 3 | 37% | ||
Quantitative U.S. Total Market Equity Portfolio | 2 | 66% | ||
Small Cap Equity Portfolio (Advisor Class) | 3 | 53% | ||
Small Cap Equity Portfolio (Institutional Class) | 3 | 90% | ||
Equity Income Portfolio | 3 | 22% | ||
Secured Options Portfolio (Advisor Class) | 4 | 62% | ||
Secured Options Portfolio (Institutional Class) | 4 | 97% | ||
Global Secured Options Portfolio | 2 | 100% | ||
Short Term Tax Aware Fixed Income Portfolio | 2 | 18% |
Portfolio | Market Value of Loaned Securities | Market Value of Cash Collateral | Market Value of Non-Cash Collateral | % of Total Assets on Loan | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $ 6,790,940 | $ 6,920,115 | $ — | 0.68 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 14,013,841 | 14,174,543 | — | 0.64 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 11,754 | 11,978 | — | 0.70 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 46,916 | 19,157 | 30,999 | 3.02 | ||||
Quantitative International Equity Portfolio | 682,304 | 554,453 | 157,677 | 2.90 | ||||
Responsible ESG U.S. Equity Portfolio | 376,096 | 383,250 | — | 1.54 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 769,516 | 796,370 | — | 0.79 | ||||
Quantitative U.S. Total Market Equity Portfolio | 776,207 | 752,215 | 49,202 | 1.38 | ||||
Small Cap Equity Portfolio | 54,954,397 | 56,703,980 | 348,306 | 4.70 | ||||
Core Fixed Income Portfolio | 9,465,699 | 9,685,150 | — | 2.87 |
187 |
Amount Outstanding at October 31, 2022 | Average Borrowings* | Days Outstanding* | Average Rate | Maximum Borrowings* | |||||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $ 5,843,750 | 16 | 2.06% | $38,000,000 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 13,576,923 | 13 | 1.58 | 71,000,000 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 500,000 | 1 | 4.43 | 500,000 | ||||
Quantitative International Equity Portfolio | — | 859,375 | 32 | 1.71 | 1,500,000 | ||||
Responsible ESG U.S. Equity Portfolio | — | 1,500,000 | 4 | 2.57 | 1,500,000 | ||||
Women in Leadership U.S. Equity Portfolio | — | 1,000,000 | 1 | 1.44 | 1,000,000 | ||||
Quantitative U.S. Long/Short Equity Portfolio | — | 1,928,571 | 7 | 2.33 | 3,000,000 | ||||
Quantitative U.S. Total Market Equity Portfolio | — | 1,250,000 | 2 | 3.09 | 1,500,000 | ||||
Strategic Equity Portfolio | — | 1,166,667 | 6 | 1.44 | 1,500,000 | ||||
Small Cap Equity Portfolio | — | 14,285,714 | 7 | 2.76 | 46,500,000 | ||||
Global Secured Options Portfolio | — | 3,000,000 | 2 | 1.69 | 4,000,000 | ||||
Short Term Tax Aware Fixed Income Portfolio | — | 1,500,000 | 1 | 3.69 | 1,500,000 | ||||
High Yield Municipal Portfolio | — | 4,250,000 | 12 | 3.00 | 7,000,000 |
188 |
December 19, 2022
189 |
Muni Intermediate Portfolio | |
Assets: | |
Investments at value1 | $ 217,871,441 |
Cash | 852,082 |
Receivable for fund shares sold | 304,471 |
Interest receivable | 2,993,597 |
Prepaid expenses | 2,014 |
Total assets | 222,023,605 |
Liabilities: | |
Payable for fund shares redeemed | 1,621 |
Payable for Trustees’ fees | 8,299 |
Payable for Shareholder Servicing fees | 30,792 |
Accrued expenses | 75,399 |
Total liabilities | 116,111 |
Net Assets | $221,907,494 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $ 21,899 |
Paid-in capital in excess of par value | 241,816,247 |
Total distributable earnings | (19,930,652) |
Total Net Assets | $221,907,494 |
Shares Outstanding | 21,898,599 |
Net Asset Value Per Share | $ 10.13 |
1 Investments at cost | $228,004,971 |
190 |
Muni Intermediate Portfolio | |
Investment income: | |
Interest | $ 5,187,775 |
Total investment income | 5,187,775 |
Expenses: | |
Administration, transfer agent and custody fees | 138,644 |
Professional fees | 48,220 |
Shareholder report expenses | 10,971 |
Shareholder servicing fees | 439,473 |
Trustees’ fees and expenses | 35,805 |
Registration and filing fees | 10,559 |
Other expenses | 40,290 |
Total expenses | 723,962 |
Net investment income | 4,463,813 |
Realized and unrealized loss: | |
Net realized loss on: | |
Investment transactions | (10,210,110) |
Net change in unrealized loss on: | |
Investments | (16,620,749) |
Net realized and unrealized loss | (26,830,859) |
Net decrease in net assets resulting from operations | $(22,367,046) |
191 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $ 4,463,813 |
Net realized loss on: | |
Investment transactions | (10,210,110) |
Net change in unrealized loss on: | |
Investments | (16,620,749) |
Net increase (decrease) in net assets resulting from operations | (22,367,046) |
Distributions from earnings | (6,472,523) |
Net increase (decrease) in net assets from capital share transactions (See note 4) | (85,316,853) |
Net increase (decrease) in net assets | (114,156,422) |
NET ASSETS: | |
Beginning of year | 336,063,916 |
End of year | $ 221,907,494 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $ 4,808,130 |
Net realized gain on: | |
Investment transactions | 1,993,943 |
Net change in unrealized loss on: | |
Investments | (4,768,270) |
Net increase in net assets resulting from operations | 2,033,803 |
Distributions from earnings | (8,293,320) |
Net increase in net assets from capital share transactions (See note 4) | 20,384,358 |
Net increase in net assets | 14,124,841 |
NET ASSETS: | |
Beginning of year | 321,939,075 |
End of year | $336,063,916 |
192 |
Muni Intermediate Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||
Net asset value, beginning of year | $ 11.19 | $ 11.41 | $ 11.25 | $ 10.73 | $ 11.01 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.16 | 0.16 | 0.20 | 0.22 | 0.20 | ||||
Net realized and unrealized gain (loss) on investments | (0.99) | (0.09) | 0.21 | 0.52 | (0.28) | ||||
Total from investment operations | (0.83) | 0.07 | 0.41 | 0.74 | (0.08) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.16) | (0.17) | (0.21) | (0.22) | (0.20) | ||||
Net realized capital gains | (0.07) | (0.12) | (0.04) | — | — | ||||
Total distributions | (0.23) | (0.29) | (0.25) | (0.22) | (0.20) | ||||
Net asset value, end of year | $ 10.13 | $ 11.19 | $ 11.41 | $ 11.25 | $ 10.73 | ||||
Total return | (7.51)% | 0.60% | 3.64% | 6.90% | (0.73)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $221,907 | $336,064 | $321,939 | $311,319 | $289,401 | ||||
Ratio of operating expenses to average net assets | 0.25% | 0.24% | 0.25% | 0.24% | 0.23% | ||||
Ratio of net investment income to average net assets | 1.52% | 1.45% | 1.80% | 1.94% | 1.86% | ||||
Portfolio turnover rate | 61% | 31% | 35% | 34% | 31% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
193 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 98.2% | |||
Arizona — 0.9% | |||
$2,015,000 | Yuma Municipal Property Corp., AZ, Road & Excise Tax, Revenue Bonds, Refunding, 5.000% due 7/1/26 | $ 2,093,898 | |
California — 10.9% | |||
1,000,000 | California State University, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/27 | 1,057,177 | |
1,675,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, Refunding, Series B, 5.000% due 5/15/27 | 1,790,457 | |
1,500,000 | City of Los Angeles, CA, Revenue Notes, 4.000% due 6/29/23 | 1,508,145 | |
1,000,000 | East Bay Municipal Utility District Water System Revenue, CA, Revenue Bonds, Refunding, Series B-2, 5.000% due 6/1/26 | 1,059,277 | |
2,820,000 | Los Angeles County Metropolitan Transportation Authority, CA, Sales Tax Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/31 | 2,842,616 | |
1,560,000 | Los Angeles Department of Water and Power System, CA, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 1,699,278 | |
1,500,000 | Regents of The University of California Medical Centre Pooled Revenue, Revenue Bonds, Series 2022 P, 5.000% due 5/15/34 | 1,601,443 | |
1,835,000 | San Diego Unified School District, CA, General Obligation Unlimited, Refunding, Series R, 5.000% due 7/1/29 | 1,950,311 | |
1,810,000 | San Francisco City and County Airport Comm-San Francisco International Airport, CA, Revenue Bonds, Refunding, Series A, 5.000% due 5/1/26 | 1,900,389 | |
750,000 | San Francisco Unified School District, CA, General Obligation Unlimited, Series C, 5.000% due 6/15/26 | 793,835 | |
1,500,000 | Santa Ana Unified School District, CA, General Obligation Unlimited, Refunding, 5.000% due 8/1/30 | 1,621,173 | |
State of California, General Obligation Unlimited: | |||
2,500,000 | 5.000% due 9/1/31 | 2,784,783 | |
1,500,000 | 4.000% due 10/1/34 | 1,478,679 | |
2,000,000 | State of California, General Obligation Unlimited, Refunding, Series B, 5.000% due 4/1/33 | 2,155,932 | |
24,243,495 | |||
Colorado — 2.4% | |||
1,010,000 | Adams & Arapahoe Joint School District 28J Aurora, CO, General Obligation Unlimited, Refunding, Series A, (State Aid Withholding), 5.000% due 12/1/23 | 1,029,082 | |
1,195,000 | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, Series A, 5.000% due 11/15/24 | 1,222,426 | |
1,495,000 | Colorado Housing and Finance Authority, Revenue Bonds, Series B, 3.750% due 5/1/50 | 1,460,805 | |
1,425,000 | E-470 Public Highway Authority, CO, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/28 | 1,530,306 | |
5,242,619 | |||
Connecticut — 2.0% | |||
1,475,000 | Connecticut Housing Finance Authority, Housing Finance Mortgage Program, Revenue Bonds, Refunding, Series F-1, 3.500% due 11/15/43 | 1,431,781 | |
State of Connecticut, General Obligation Unlimited, Refunding, Series D: | |||
1,500,000 | 5.000% due 7/15/23 | 1,519,219 | |
1,300,000 | 5.000% due 9/15/31 | 1,428,561 | |
4,379,561 |
194 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Delaware — 1.9% | |||
$ 535,000 | Delaware River & Bay Authority, Revenue Bonds, Refunding, 5.000% due 1/1/31 | $ 587,106 | |
1,000,000 | Delaware River & Bay Authority, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/27 | 1,017,622 | |
2,640,000 | State of Delaware, General Obligation Unlimited, Series B, 5.000% due 7/1/24 | 2,716,242 | |
4,320,970 | |||
District Of Columbia — 1.2% | |||
1,550,000 | District of Columbia, General Obligation Unlimited, Series A, 5.000% due 6/1/32 | 1,603,525 | |
1,000,000 | Metropolitan Washington Airports Authority System, DC, Revenue Bonds, Refunding, Series B, 5.000% due 10/1/23 | 1,015,022 | |
2,618,547 | |||
Florida — 6.3% | |||
2,820,000 | Central Florida Expressway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 2,954,830 | |
2,750,000 | City of Lakeland, FL, Department of Electric Utilities, Revenue Bonds, Refunding, 5.000% due 10/1/25 | 2,879,474 | |
4,500,000 | County of Miami-Dade, FL, Seaport Department, Revenue Bonds, Prerefunded, Series A, 5.500% due 10/1/25 | 4,588,899 | |
2,610,000 | County of Miami-Dade, FL, Water and Sewer System Revenue, Revenue Bonds, Refunding, Series B, 4.000% due 10/1/35 | 2,549,516 | |
1,025,000 | School District of Broward County, FL, Certificate Participation, Refunding, Series A, 5.000% due 7/1/27 | 1,074,367 | |
14,047,086 | |||
Georgia — 0.8% | |||
1,715,000 | Municipal Electric Authority of Georgia, Project one, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/31 | 1,783,502 | |
Illinois — 1.9% | |||
2,000,000 | Chicago O’Hare International Airport, IL, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/32 | 2,035,115 | |
1,000,000 | County of Cook, IL, General Obligation Unlimited, Refunding, Series A, 5.000% due 11/15/25 | 1,038,647 | |
1,000,000 | Illinois Finance Authority, Revenue Bonds, Refunding, Series C, 5.000% due 2/15/27 | 1,053,675 | |
4,127,437 | |||
Indiana — 0.5% | |||
1,025,000 | Indiana Municipal Power Agency, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,054,374 | |
Kansas — 0.4% | |||
1,000,000 | Wyandotte County-Kansas City Unified Government, KS, General Obligation Unlimited, Series A, (AGMC Insured), 4.000% due 8/1/24 | 1,010,308 | |
Kentucky — 0.5% | |||
1,000,000 | Kentucky State Property & Building Commission, Revenue Bonds, Project No. 119, (BAM Insured), 5.000% due 5/1/33 | 1,052,344 | |
Maryland — 3.4% | |||
3,000,000 | County of Baltimore, MD, General Obligation Unlimited, Refunding, 5.000% due 8/1/24 | 3,090,652 | |
1,240,000 | County of Montgomery, MD, General Obligation Unlimited, Consolidated Public Improvement, Refunding, Series D, 4.000% due 11/1/28 | 1,275,272 |
195 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Maryland — (Continued) | |||
$1,000,000 | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds, Series B, 5.000% due 4/15/32 | $ 1,045,063 | |
2,000,000 | State of Maryland, General Obligation Unlimited, Series B, 5.000% due 8/1/24 | 2,060,434 | |
7,471,421 | |||
Massachusetts — 2.5% | |||
1,435,000 | Commonwealth of Massachusetts, General Obligation Limited, Refunding, Series B, 5.000% due 7/1/33 | 1,556,091 | |
2,850,000 | Commonwealth of Massachusetts, General Obligation Limited, Series C, 5.000% due 5/1/30 | 2,870,509 | |
1,100,000 | Commonwealth of Massachusetts, General Obligation Limited, Series E, 5.000% due 9/1/32 | 1,176,243 | |
5,602,843 | |||
Michigan — 2.2% | |||
1,015,000 | Byron Center Public Schools, MI, General Obligation Unlimited, Refunding, (QSBLF Insured), 5.000% due 5/1/24 | 1,040,401 | |
1,500,000 | Michigan Finance Authority, Revenue Bonds, Hospital Revenue Refunding Bonds, Series 2022 A, 5.000% due 4/15/28 | 1,604,182 | |
715,000 | Michigan Finance Authority, Revenue Bonds, Series 2014D, (AGMC Insured), 5.000% due 7/1/24 | 733,776 | |
1,630,000 | Michigan State Housing Development Authority, Revenue Bonds, AMT, Series B, 3.500% due 6/1/47 | 1,599,233 | |
4,977,592 | |||
Minnesota — 1.7% | |||
1,825,000 | Minnesota Housing Finance Agency, Revenue Bonds, Refunding, Series E, (GNMA / FNMA / FHLMC Insured), 4.000% due 1/1/47 | 1,808,348 | |
1,800,000 | State of Minnesota, General Obligation Unlimited, Series A, 5.000% due 8/1/32 | 1,954,930 | |
3,763,278 | |||
Missouri — 1.8% | |||
2,000,000 | City of Kansas City, MO, Sanitary Sewer System, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 2,067,014 | |
1,935,000 | Missouri Housing Development Commission, Single Family Mortgage, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 11/1/50 | 1,871,781 | |
3,938,795 | |||
Nevada — 0.5% | |||
1,000,000 | Clark County School District, NV, General Obligation Limited, Building and Refunding Bonds, Series C, 5.000% due 6/15/26 | 1,049,034 | |
New Jersey — 2.1% | |||
2,000,000 | New Jersey Economic Development Authority, Revenue Bonds, Series-AAA, 5.500% due 6/15/31 | 2,169,602 | |
1,375,000 | New Jersey Turnpike Authority, Revenue Bonds, Series A, 5.000% due 1/1/27 | 1,457,889 | |
1,000,000 | New Jersey Turnpike Authority, Revenue Bonds, Series E, 5.000% due 1/1/32 | 1,024,848 | |
4,652,339 | |||
New Mexico — 2.0% | |||
925,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 1/1/51 | 892,655 |
196 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Mexico — (Continued) | |||
$ 825,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series F, (GNMA / FNMA / FHLMC Insured), 3.500% due 7/1/50 | $ 796,551 | |
2,500,000 | State of New Mexico, Severance Tax Permanent Fund, Revenue Bonds, Series B, 5.000% due 7/1/28 | 2,709,745 | |
4,398,951 | |||
New York — 15.0% | |||
1,250,000 | City of New York, General Obligation Unlimited, Fiscal 2008 Series J, 5.000% due 8/1/28 | 1,351,402 | |
1,185,000 | Long Island Power Authority, NY, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/33 | 1,259,420 | |
1,000,000 | Metropolitan Transportation Aurthority, NY, Revenue Bonds, (AGMC Insured), (SOFR*0.67+0.55%), 2.587% due 11/1/321 | 977,666 | |
1,000,000 | New York City Municipal Water Finanace Authority, NY, Water and Sewer System, Revenue Bonds, Series BB-2, 5.000% due 6/15/27 | 1,052,248 | |
1,465,000 | New York City Transitional Finance Authority Building Aid Revenue, NY, Revenue Bonds, Refunding, Series S-1, (State Aid Withholding), 5.000% due 7/15/31 | 1,508,270 | |
1,500,000 | New York City Transitional Finance Authority Building Aid Revenue, NY, Revenue Bonds, Refunding, Series S-1A, (State Aid Withholding), 5.000% due 7/15/30 | 1,646,863 | |
1,650,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, NY, Revenue Bonds, Refunding, Series C, 5.000% due 11/1/26 | 1,746,002 | |
1,160,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, NY, Revenue Bonds, Refunding, Subseries F-1, 5.000% due 11/1/26 | 1,227,493 | |
2,275,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, NY, Revenue Bonds, Subseries E-1, 5.000% due 2/1/30 | 2,362,682 | |
1,930,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, NY, Revenue Bonds, Subseries F-1, 5.000% due 5/1/31 | 2,026,117 | |
1,000,000 | New York State Dormitory Authority, Memorial Sloan-Kettering Cancer Center, Revenue Bonds, 5.000% due 7/1/35 | 1,027,712 | |
1,415,000 | New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series A, 5.000% due 3/15/28 | 1,520,584 | |
2,440,000 | New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series E, 4.000% due 3/15/28 | 2,484,024 | |
New York State Thruway Authority, Highway Revenue Tolls, Revenue Bonds, Refunding, Series K: | |||
1,000,000 | 5.000% due 1/1/31 | 1,028,448 | |
1,200,000 | 5.000% due 1/1/32 | 1,233,129 | |
3,000,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Refunding, 5.000% due 9/15/28 | 3,237,742 | |
1,025,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Refunding, Series A, 5.000% due 3/15/28 | 1,087,425 | |
1,400,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Series A, 5.000% due 3/15/35 | 1,486,449 | |
1,700,000 | Port Authority of New York & New Jersey, Revenue Bonds, Refunding, 5.000% due 11/15/33 | 1,782,260 | |
2,000,000 | Port Authority of New York & New Jersey, Revenue Bonds, Refunding, Series 231, 5.000% due 8/1/27 | 2,073,085 | |
1,070,000 | Triborough Bridge & Tunnel Authority, NY, Revenue Bonds, Series C, 4.000% due 11/15/27 | 1,099,588 | |
33,218,609 |
197 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
North Carolina — 0.3% | |||
$ 600,000 | Country of New Hanover, NC, Hospital Revenue, Revenue Bonds, Refunding, Escrowed to Maurity, 5.000% due 10/1/23 | $ 609,176 | |
Ohio — 3.7% | |||
500,000 | Miami University, OH, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/30 | 544,110 | |
1,665,000 | Ohio Housing Finance Agency, Residential Mortgage, Revenue Bonds, Series D, (GNMA / FNMA / FHLMC Insured), 4.000% due 3/1/48 | 1,643,514 | |
3,250,000 | State of Ohio, General Obligation Unlimited, Series A, 5.000% due 6/15/28 | 3,270,544 | |
1,000,000 | State of Ohio, Hospital Refunding, Revenue Bonds, 5.000% due 1/1/28 | 1,068,296 | |
1,670,000 | State of Ohio, Hospital Revenue Bonds, Series A, 5.000% due 1/15/24 | 1,675,279 | |
8,201,743 | |||
Oklahoma — 0.9% | |||
2,000,000 | Grand River Dam Authority, OK, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/24 | 2,051,662 | |
Pennsylvania — 4.7% | |||
1,000,000 | Allegheny County Sanitary Authority, PA, Revenue Bonds, Refunding, (BAM Insured), 5.000% due 12/1/30 | 1,041,812 | |
1,000,000 | City of Philadelphia, PA, General Obligation Unlimited, Series A, 5.000% due 8/1/26 | 1,047,699 | |
1,505,000 | Commonwealth of Pennsylvania, General Obligation Unlimited, Refunding, 5.000% due 7/15/23 | 1,523,757 | |
1,500,000 | Commonwealth of Pennsylvania, General Obligation Unlimited, Series 2, 5.000% due 9/15/25 | 1,568,350 | |
2,500,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, 5.000% due 11/1/31 | 2,601,516 | |
1,360,000 | Pennsylvania Housing Finance Agency Single Family Mortgage Revenue, Revenue Bonds, Series 2019-131A, 3.500% due 4/1/49 | 1,328,560 | |
1,250,000 | Pennsylvania State University, Revenue Bonds, Series A, 5.000% due 9/1/31 | 1,350,416 | |
10,462,110 | |||
South Carolina — 3.3% | |||
1,500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/34 | 1,506,975 | |
1,500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A(Power), 4.000% due 12/1/33 | 1,375,081 | |
3,060,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/24 | 3,137,777 | |
350,000 | South Carolina Public Service Authority, Revenue Bonds, Series A(Utilities), 5.000% due 12/1/27 | 366,124 | |
1,000,000 | South Carolina Public Service Authority, Revenue Bonds, Series B, 5.000% due 12/1/27 | 1,046,069 | |
7,432,026 | |||
Texas — 10.2% | |||
1,065,000 | Alamo Community College District, TX, General Obligation Limited, Refunding, 5.000% due 2/15/24 | 1,088,183 | |
3,500,000 | Board of Regents of the University of Texas System, TX, Revenue Bonds, Series D, 5.000% due 8/15/25 | 3,659,903 | |
1,000,000 | City of Dallas, TX, Waterworks and Sewer System Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 10/1/33 | 1,085,534 |
198 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
$1,100,000 | City of Dallas, TX, Waterworks and Sewer System Revenue, Revenue Bonds, Series C, 4.000% due 10/1/33 | $ 1,101,538 | |
1,300,000 | County of Harris, TX, Revenue Bonds, Series A, 5.000% due 8/15/24 | 1,338,494 | |
Harris County Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Refunding, Children’s Hospital Project: | |||
1,850,000 | 5.000% due 10/1/26 | 1,921,583 | |
1,000,000 | 5.000% due 10/1/27 | 1,036,813 | |
1,125,000 | Lower Colorado River Authority, TX, Revenue Bonds, Refunding, 5.000% due 5/15/25 | 1,164,627 | |
1,000,000 | North Texas Tollway Authority, Revenue Bonds, Refunding, 5.000% due 1/1/32 | 1,042,365 | |
4,000,000 | North Texas Tollway Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/30 | 4,100,943 | |
1,000,000 | San Antonio Independent School District, TX, General Obligation Unlimited, Series 2022, (PSF Guaranteed), 5.000% due 8/15/24 | 1,030,841 | |
1,500,000 | San Antonio Water System, TX, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/28 | 1,619,571 | |
1,375,000 | State of Texas, General Obligation Unlimited, Series B, 4.000% due 8/1/29 | 1,390,996 | |
1,090,000 | Waco Independent School District, TX, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/23 | 1,105,516 | |
22,686,907 | |||
Virginia — 3.3% | |||
1,500,000 | County of Arlington, VA, General Obligation Unlimited, Series 2021, 5.000% due 6/15/33 | 1,656,649 | |
5,500,000 | County of Loudoun, VA, General Obligation Unlimited, Refunding, Series B, (State Aid Withholding), 5.000% due 12/1/23 | 5,605,678 | |
7,262,327 | |||
Washington — 7.2% | |||
Central Puget Sound Regional Transit Authority, WA, Revenue Bonds, Refunding, Series S-1: | |||
1,000,000 | 5.000% due 11/1/30 | 1,107,588 | |
2,000,000 | 5.000% due 11/1/34 | 2,188,901 | |
1,250,000 | Energy Northwest, WA, Revenue Bonds, Series A, 5.000% due 7/1/28 | 1,320,763 | |
1,205,000 | Grays Harbor County Public Utility District No. 1, WA, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,240,293 | |
3,600,000 | King County Bellevue School District No. 405 Bellevue, WA, General Obligation Unlimited, (School Bond Guaranty), 5.000% due 12/1/25 | 3,668,016 | |
2,000,000 | Port of Seattle, WA, Revenue Bonds, Refunding, 5.000% due 6/1/33 | 2,141,338 | |
1,500,000 | Port of Seattle, WA, Revenue Bonds, Refunding, Series B, 5.000% due 3/1/35 | 1,522,995 | |
2,500,000 | State of Washington, General Obligation Unlimited, Series A, 5.000% due 8/1/35 | 2,697,165 | |
15,887,059 | |||
Wisconsin — 2.6% | |||
3,000,000 | Wisconsin Department of Transportation, Revenue Bonds, Refunding, Series 2, 5.000% due 7/1/30 | 3,202,037 | |
2,500,000 | Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding, 5.000% due 11/15/23 | 2,540,283 | |
5,742,320 |
199 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wyoming — 1.1% | |||
$2,525,000 | Wyoming Community Development Authority, Housing Revenue, Revenue Bonds, Refunding, Series 3, 4.000% due 6/1/43 | $ 2,489,108 | |
TOTAL MUNICIPAL BONDS (Cost $228,004,971) | 217,871,441 | ||
TOTAL INVESTMENTS (Cost $228,004,971) | 98.2% | $217,871,441 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.8 | 4,036,053 | |
NET ASSETS | 100.0% | $221,907,494 |
* | Percentages indicated are based on net assets. |
1 | Floating Rate Bond. Rate shown is as of October 31, 2022. |
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 |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
200 |
% of Net Assets | Value | ||
STATE: | |||
New York | 15.0% | $ 33,218,609 | |
California | 10.9 | 24,243,495 | |
Texas | 10.2 | 22,686,907 | |
Washington | 7.2 | 15,887,059 | |
Florida | 6.3 | 14,047,086 | |
Pennsylvania | 4.7 | 10,462,110 | |
Ohio | 3.7 | 8,201,743 | |
Maryland | 3.4 | 7,471,421 | |
South Carolina | 3.3 | 7,432,026 | |
Virginia | 3.3 | 7,262,327 | |
Wisconsin | 2.6 | 5,742,320 | |
Massachusetts | 2.5 | 5,602,843 | |
Colorado | 2.4 | 5,242,619 | |
Michigan | 2.2 | 4,977,592 | |
New Jersey | 2.1 | 4,652,339 | |
New Mexico | 2.0 | 4,398,951 | |
Connecticut | 2.0 | 4,379,561 | |
Delaware | 1.9 | 4,320,970 | |
Illinois | 1.9 | 4,127,437 | |
Missouri | 1.8 | 3,938,795 | |
Minnesota | 1.7 | 3,763,278 | |
District of Columbia | 1.2 | 2,618,547 | |
Wyoming | 1.1 | 2,489,108 | |
Arizona | 0.9 | 2,093,898 | |
Oklahoma | 0.9 | 2,051,662 | |
Georgia | 0.8 | 1,783,502 | |
Indiana | 0.5 | 1,054,374 | |
Kentucky | 0.5 | 1,052,344 | |
Nevada | 0.5 | 1,049,034 | |
Kansas | 0.4 | 1,010,308 | |
North Carolina | 0.3 | 609,176 | |
TOTAL MUNICIPAL BONDS | 98.2% | $217,871,441 | |
TOTAL INVESTMENTS | 98.2% | $217,871,441 |
201 |
202 |
203 |
Portfolio | Unlimited (Short Term) | Unlimited (Long Term) | ||
Muni Intermediate Portfolio | $4,795,321 | $5,414,789 |
Portfolio | Undistributed Tax-exempt Income | Unrealized Appreciation/ (Depreciation) | Loss Carryforwards | Total Distributable Earnings | ||||
Muni Intermediate Portfolio | $412,988 | $(10,133,530) | $(10,210,110) | $(19,930,652) |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Muni Intermediate Portfolio | $4,464,310 | $17,024 | $1,991,189 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Muni Intermediate Portfolio | $4,821,963 | $927,838 | $2,543,519 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Muni Intermediate Portfolio | $228,004,971 | $2,057 | $10,135,587 | $(10,133,530) |
204 |
Portfolio | Purchases | Sales | ||
Muni Intermediate Portfolio | $169,740,393 | $239,691,270 |
Year Ended 10/31/22 | Year Ended 10/31/21 | ||||||
Shares | Amount | Shares | Amount | ||||
Muni Intermediate Portfolio | |||||||
Sold | 8,584,040 | $ 90,149,323 | 4,515,164 | $ 51,089,006 | |||
Issued as reinvestment of dividends | 179,197 | 1,993,939 | 305,295 | 3,465,064 | |||
Redeemed | (16,889,273) | (177,460,115) | (3,017,818) | (34,169,712) | |||
Net Increase (Decrease) | (8,126,036) | $ (85,316,853) | 1,802,641 | $ 20,384,358 |
205 |
December 19, 2022
206 |
Core Fixed Income Portfolio | 71.23% |
Quantitative U.S. Large Cap Core Equity Portfolio | 100 % |
Quantitative U.S. Large Cap Growth Equity Portfolio | 100 % |
Quantitative U.S. Large Cap Value Equity Portfolio | 100 % |
Quantitative U.S. Small Cap Equity Portfolio | 100 % |
Responsible ESG U.S. Equity Portfolio | 100 % |
Women in Leadership U.S. Equity Portfolio | 100 % |
Quantitative U.S. Total Market Equity Portfolio | 100 % |
Strategic Equity Portfolio | 100 % |
Small Cap Equity Portfolio | 100 % |
Equity Income Portfolio | 100 % |
Portfolio | Total | |
Quantitative International Equity Portfolio | $122,864 |
Quantitative U.S. Large Cap Core Equity Portfolio | $177,975,880 |
Quantitative U.S. Large Cap Growth Equity Portfolio | $408,237,216 |
Quantitative U.S. Large Cap Value Equity Portfolio | $ 24,060 |
Quantitative U.S. Small Cap Equity Portfolio | $ 139,837 |
Responsible ESG U.S. Equity Portfolio | $ 3,003,875 |
Women in Leadership U.S. Equity Portfolio | $ 4,492,326 |
Quantitative U.S. Total Market Equity Portfolio | $ 5,567,464 |
Strategic Equity Portfolio | $ 27,431,802 |
Small Cap Equity Portfolio | $ 88,176,921 |
Equity Income Portfolio | $ 916,865 |
Secured Options Portfolio | $ 31,051,233 |
Global Secured Options Portfolio | $ 1,129,362 |
Core Fixed Income Portfolio | $ 160,422 |
High Yield Municipal Portfolio | $ 1,293,535 |
Muni Intermediate Portfolio | $1,991,189 |
Quantitative U.S. Large Cap Core Equity Portfolio | $16,517,199 |
Quantitative U.S. Large Cap Growth Equity Portfolio | $15,692,238 |
Quantitative U.S. Large Cap Value Equity Portfolio | $ 37,841 |
Quantitative U.S. Small Cap Equity Portfolio | $ 15,350 |
Quantitative International Equity Portfolio | $1,140,214 |
207 |
Responsible ESG U.S. Equity Portfolio | $271,463 |
Women in Leadership U.S. Equity Portfolio | $ 300,262 |
Quantitative U.S. Total Market Equity Portfolio | $ 184,797 |
Strategic Equity Portfolio | $ 1,269,860 |
Small Cap Equity Portfolio | $ 5,781,456 |
Equity Income Portfolio | $428,852 |
Secured Options Portfolio | 77.47 % |
Global Secured Options Portfolio | 44.36 % |
Core Fixed Income Portfolio | 21.05 % |
Short Term Tax Aware Fixed Income Portfolio | 7.25 % |
208 |
Name and Age | Positions Held with the Funds/Time Served | Principal Occupations(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Director/Trustee | Other Directorships Held by Director/ Trustee | ||||
Andrew Phillips Age: 60 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since September 2022) | Adjunct Professor - College of Management (since 2021), Long Island University; Senior Performance Officer (2013-2015), Global Head of Institutional and Alternatives Product Strategy (2012-2013), Global Chief Performance Officer (2010-2012), Global Chief Operating Officer (2007-2010) and Managing Director - Americas Fixed Income Executive Team, BlackRock, Inc. | 18 | None | ||||
H. Franklin Allen, Ph.D. Age: 66 | Director of Glenmede Fund (since March 1991) and Trustee of Glenmede Portfolios (since May 1992) | Vice Dean Research and Faculty of the Imperial College Business School (since 2019); Professor of Finance and Economics and Executive Director of the Brevan Howard Centre for Financial Analysis at the Imperial College London (since 2014); Professor Emeritus of Finance, The Wharton School of The University of Pennsylvania since June 2016; Professor of Finance and Economics (1990-1994); Vice Dean and Director of Wharton Doctoral Programs (1990-1993). Employed by The University of Pennsylvania (from 1980-2016). | 18 | None | ||||
William L. Cobb, Jr. Age: 75 | Director of Glenmede Fund, Trustee of Glenmede Portfolios (since February 2007) and Chairman of the Funds (since December 2021) | Former Executive Vice President and Former Chief Investment Officer, The Church Pension Fund (defined benefit plan for retired clergy of the Episcopal Church) (1999-2014); Chair and Member, Investment Committee, The Minister and Missionaries Benefit Board of the American Baptist Church (until 2013); Chair and Member, Investment Committee, The Minister and Missionaries Benefit Board of the American Baptist Church (until 2013); Vice Chairman, J.P. Morgan Investment Management (1994-1999). | 18 | Director, TCW Direct Lending LLC |
209 |
Name and Age | Positions Held with the Funds/Time Served | Principal Occupations(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Director/Trustee | Other Directorships Held by Director/ Trustee | ||||
Harry Wong Age: 74 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since February 2007) | Former Managing Director, Knight Capital Americas, L.P., an operating subsidiary of Knight Capital Group Inc. (investment banking) (2009-2011); Managing Director, Long Point Advisors, LLC (business consulting) (2003-2012); Managing Director, BIO-IB LLC (healthcare investment banking) (2004-2009); Senior Managing Director, ABN AMRO (investment banking) (1990-2002); Adjunct Faculty Member, Sacred Heart University (2003-2007). | 18 | None | ||||
(1)Independent Directors/Trustees are those Directors/Trustees who are not “interested persons” of the Funds as defined in the 1940 Act. |
210 |
Interested Directors/Trustees(2) | ||||||||
Name and Age | Positions Held with the Funds/Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Director/Trustee | Other Directorships Held by Director/ Trustee | ||||
Susan W. Catherwood(2) Age: 79 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since February 2007) | Director (since 1988) and Member of the Investment Review/Relationship Oversight Committee (since 2001), Compensation Committee (since 1993) and Nominating Committee (Since 2018), Glenmede Trust; Director, The Glenmede Corporation (since 1988); Board Member, The Pew Charitable Trusts; Charter Trustee, The University of Pennsylvania; Chairman Emeritus, The University Museum of The University of Pennsylvania; Chairman of the Board of Managers, The Christopher Ludwick Foundation; Board Member, Monell Chemical Senses Center; Director: Thomas Skelton Harrison Foundation and The Catherwood Foundation; Fellow and serves on Finance and Investment Committees, and former Board member, College of Physicians of Philadelphia; Former Member and Chair, The Women’s Committee and Penn Museum Board of Overseers of the University of Pennsylvania;Former Board Chair, University of Pennsylvanita Health System (1991 - 1999). | 18 | None | ||||
Mary Ann B. Wirts(2) Age: 71 | Director of Glenmede Fund (since June 2020) and Trustee of Glenmede Portfolios (since June 2020) | Managing Director and Chief Administrative Officer of Glenmede Trust (until 2020); Managing Director and Chief Administrative Officer of Glenmede Investment Management LP (2006-2020); First Vice President and Managing Director of Fixed Income of Glenmede Advisers (2000-2006). | 18 | None | ||||
(2)Interested Directors/Trustees are those Directors/Trustees who are “interested persons” of the Funds as defined in the 1940 Act. Susan W. Catherwood and Mary Ann B. Wirts are considered to be “interested” Director/Trustees of the Funds because of their current or prior affiliations with Glenmede Trust, the parent company of the Funds’ investment advisor, GIM, and/or their stock ownership in The Glenmede Corporation, of which GIM is an affiliate. |
211 |
Officers | ||||
Name, Address and Age | Positions Held with the Funds/Time Served | Principal Occupation(s) During Past 5 Years | ||
Kent E. Weaver, Jr. 1650 Market Street, Suite 1200 Philadelphia, PA 19103 Age: 55 | President of the Funds since November 2019. | President of Glenmede Investment Management LP (since 2021); Director of Client Service of Glenmede Investment Management LP (July 2015-2021); Former Director of Client Service and Sales, Chief Compliance Officer of Philadelphia International Advisors, LP (2002-June 2015). | ||
Kimberly C. Osborne 1650 Market Street, Suite 1200 Philadelphia, PA 19103 Age: 56 | Executive Vice President of the Funds since December 1997; Assistant Treasurer of the Funds since December 2020. | Client Service Manager of Glenmede Investment Management LP (since 2006). Vice President of Glenmede Trust and Glenmede Advisers until 2008. Employed by Glenmede Trust 1993-2008 and Glenmede Advisers 2000-2008. | ||
Christopher E. McGuire 1650 Market Street, Suite 1200 Philadelphia, PA 19103 Age: 49 | Treasurer of the Funds since December 2019. | Director of Administration of Glenmede Investment Management LP (since October 2019); Managing Director, State Street Bank and Trust Company (from 2007 - October 2019). | ||
Michael P. Malloy One Logan Square, Suite 2000 Philadelphia, PA 19103- 6996 Age: 63 | Secretary of the Funds since January 1995. | Partner in the law firm of Faegre Drinker Biddle & Reath LLP. | ||
Eimile J. Moore 690 Taylor Road, Suite 210 Columbus, OH 43230 Age: 53 | Chief Compliance Officer of the Funds since December 2017. | Principal Consultant ACA Group (since 2011); Vice President/Business Manager, JP Morgan Distribution Services, Inc. (2006-2011). | ||
Daniel P. Bulger 1 Lincoln Street, Floor 8 Boston, MA 02111 Age: 56 | Assistant Secretary of the Funds since December 2022. | Vice President and Counsel, State Street Bank and Trust Company (2016-present). | ||
Rebecca Tran Savage 1 Lincoln Street, Floor 8 Boston, MA 02111 Age:41 | Assistant Secretary of the Funds since December 2022. | Assistant Vice President and Associate Counsel, State Street Bank and Trust Company (May 2022 - present). |
212 |
213 |
214 |
215 |
(b) Not applicable.
Item 2. Code of Ethics.
As of October 31, 2022, the Registrant has adopted a code of ethics that applies to the Registrant’s President and Treasurer (Principal Executive Officer and Principal Financial Officer). For the year ended October 31, 2022, there were no amendments to a provision of its code of ethics, nor were there any waivers, including implicit waivers granted from a provision of the code of ethics. A copy of the Registrant’s code of ethics is filed with the Form N-CSR under Item 13(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Directors has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial expert serving on the Registrant’s audit committee is Harry Wong, who is “independent” as defined in Item 3(a)(2) of this Form.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees – The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $484,488 and $484,488 for the fiscal years ended October 31, 2021 and October 31, 2022, respectively. |
(b) | Audit-Related Fees – There were no fees billed for the fiscal years ended October 31, 2021 and October 31, 2022 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item. |
(c) | Tax Fees – The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for the review of the Registrant’s tax returns, other tax-related filings, excise tax calculations and final income distributions for liquidating funds were $97,900 and $97,900 for the fiscal years ended October 31, 2021 and October 31, 2022, respectively. |
(d) | All Other Fees – There were no other fees billed for the fiscal years ended October 31, 2021 and October 31, 2022 for products and services provided by the principal accountant, other than the services reported in (a) through (c) of this Item. |
(e) | (1) The Registrant’s audit committee pre-approves all audit and non-audit services to be performed by the Registrant’s accountant before the accountant is engaged by the Registrant to perform such services. |
(2) | There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended October 31, 2022 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | The aggregate non-audit fees and services billed by the Registrant’s accountant for each of the last two fiscal years were $97,900 and $97,900 for the fiscal years ended October 31, 2021 and October 31, 2022, respectively, as described above. |
(h) | Not applicable. |
(i) | Not applicable. |
(j) | 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 Management Investment 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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable.
(b) Not applicable.
Item 13. Exhibits.
(a)(3) Not applicable.
(a)(4) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) THE GLENMEDE FUND, INC. | ||
By (Signature and Title) | /s/ Kent E. Weaver | |
Kent E. Weaver President (Principal Executive Officer) | ||
Date December 27, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Kent E. Weaver | |
Kent E. Weaver President (Principal Executive Officer) | ||
Date December 27, 2022 | ||
/s/ Christopher E. McGuire | ||
Christopher E. McGuire Treasurer (Principal Financial Officer) | ||
Date December 27, 2022 |