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)
One Congress Street, Suite 1
Boston, MA 02114
(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, 2023
Item 1. Reports to Stockholders.
(a)
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1 | The indices are defined on pages 23 to 25. |
2 | ©2023 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. |
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As of October 31, 2023, 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: 1,126 funds overall and 1,126 funds in the last three years, 1,039 funds in the last five years and 808 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 three-, five- and ten year periods, respectively (based on risk adjusted returns). 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 (based on risk adjusted returns). As of October 31, 2023, 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: 595 funds overall, 595 funds in the last three years and 556 funds in the last five 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 and ★★★★★ stars for the three- and five- year periods, respectively (based on risk adjusted returns). As of October 31, 2023, 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: 379 funds overall, 379 funds in the last three years, 363 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 (based on risk adjusted returns). As of October 31, 2023, the Secured Options Portfolio (Advisor Class and Institutional Class) was rated against the following numbers of U.S.- domiciled Option Trading funds over the following time periods: 169 funds overall, 169 funds in the last three years, 83 funds in the last five years and 22 funds in the last ten years. With respect to these Option Trading funds, the Secured Options Portfolio (Advisor Class) received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★★ stars, ★★★ stars and ★★★★★ starts for the three-, five- and ten year periods, respectively (based on risk adjusted returns). With respect to these Option Trading funds, the Secured Options Portfolio (Institutional Class) received an Overall Morningstar Rating™ of ★★★ stars and a Morningstar Rating™ of ★★★★ stars, ★★★ stars and ★★★★★ starts for the three-, five- and ten year periods, respectively (based on risk adjusted returns). | |
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. 12/23. | |
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 10/31/23 | 4.42% | -0.43% | 5.74% | 9.48% | 7.62% | |||||
Five Years ended 10/31/23 | 6.42% | 3.63% | 4.85% | 10.71% | 8.96% | |||||
Ten Years ended 10/31/23 | 9.06% | 7.24% | 7.21% | 10.88% | 8.98% | |||||
Inception (02/27/04) through 10/31/231 | 8.61% | 7.57% | 7.25% | 9.00% | 7.49% | |||||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional Class | ||||||||||
Year ended 10/31/23 | 4.65% | -0.29% | 5.88% | 9.48% | 7.62% | |||||
Five Years Ended 10/31/23 | 6.64% | 3.79% | 5.00% | 10.71% | 8.96% | |||||
Inception (12/30/15) through 10/31/232 | 8.40% | 6.31% | 6.58% | 11.15% | 9.64% |
* | 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 10/31/23 | 6.84% | 4.99% | 5.18% | 18.95% | 14.19% | |||||
Five Years ended 10/31/23 | 11.29% | 7.85% | 8.58% | 14.22% | 10.14% | |||||
Ten Years ended 10/31/23 | 12.24% | 10.20% | 9.87% | 13.82% | 10.52% | |||||
Inception (02/27/04) through 10/31/231 | 10.22% | 9.12% | 8.70% | 10.50% | 8.33% | |||||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional Class | ||||||||||
Year ended 10/31/23 | 7.05% | 5.13% | 5.32% | 18.95% | 14.19% | |||||
Five Years Ended 10/31/23 | 11.51% | 8.01% | 8.74% | 14.22% | 10.14% | |||||
Inception (11/05/15) through 10/31/232 | 11.30% | 8.97% | 8.92% | 13.90% | 10.55% |
* | 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 10/31/23 | -1.46% | -3.02% | -0.08% | 0.13% | 0.68% | |||||
Five Years ended 10/31/23 | 6.10% | 5.36% | 4.67% | 6.60% | 6.92% | |||||
Inception (11/13/17) through 10/31/231 | 4.96% | 4.31% | 3.80% | 6.03% | 5.80% |
* | 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 10/31/23 | -4.52% | -6.58% | -1.29% | -8.56% | -4.86% | |||||
Five Years ended 10/31/23 | 6.80% | 5.71% | 5.33% | 3.31% | 4.20% | |||||
Inception (11/13/17) through 10/31/20231 | 6.17% | 5.24% | 4.85% | 3.40% | 3.04% |
* | 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 10/31/23 | 15.09% | 14.16% | 8.96% | 12.56% | 15.86% | |||||
Five Years ended 10/31/23 | 3.78% | 3.25% | 3.05% | 4.26% | 3.50% | |||||
Ten Years ended 10/31/23 | 1.80% | 1.40% | 1.49% | 3.05% | 2.22% | |||||
Inception (11/17/88) through 10/31/231 | 5.94% | 4.81% | 4.81% | 4.50% | 5.77% |
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 | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Index | Morningstar Large Blend Average | |||||
Year ended 10/31/23 | 2.35% | 0.43% | 2.56% | 9.48% | 7.62% | |||||
Five Years ended 10/31/23 | 6.76% | 5.51% | 5.25% | 10.71% | 8.96% | |||||
Inception (12/22/15) through 10/31/231 | 9.25% | 8.35% | 7.44% | 11.39% | 9.64% |
* | 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 | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Index | Morningstar Large Value Average | |||||
Year ended 10/31/23 | 4.14% | 3.22% | 2.86% | 9.48% | 0.68% | |||||
Five Years ended 10/31/23 | 6.93% | 5.46% | 5.41% | 10.71% | 6.92% | |||||
Inception (12/22/15) through 10/31/231 | 8.74% | 7.67% | 7.00% | 11.39% | 8.02% |
* | 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 | Return Before Taxes | 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 10/31/23 | 5.53% | 4.64% | 3.26% | 8.38% | 4.94% | 6.19% | 3.55% | |||||||
Five Years ended 10/31/23 | 3.59% | 3.37% | 2.70% | 10.23% | 1.81% | 4.67% | 3.70% | |||||||
Ten Years ended 10/31/23 | 3.61% | 3.50% | 2.81% | 10.52% | 1.19% | 4.15% | 3.13% | |||||||
Inception (09/29/06) through 10/31/231 | 2.65% | 2.52% | 2.06% | 8.87% | 1.23% | 3.71% | 2.51% | |||||||
Quantitative U.S. Long/Short Equity Portfolio – Institutional Class | ||||||||||||||
Year ended 10/31/23 | 5.73% | 4.78% | 3.38% | 8.38% | 4.94% | 6.19% | 3.55% | |||||||
Inception (09/13/19) through 10/31/232 | 5.56% | 5.30% | 4.21% | 9.44% | 1.69% | 4.46% | 3.72% |
* | 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. |
12 |
Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Total Market Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 3000® Index | Morningstar Mid-Cap Value Average | |||||
Year ended 10/31/23 | -3.50% | -3.68% | -2.05% | 8.38% | -1.15% | |||||
Five Years ended 10/31/23 | 7.05% | 4.92% | 5.35% | 10.23% | 6.32% | |||||
Ten Years ended 10/31/23 | 8.74% | 7.37% | 6.97% | 10.52% | 6.53% | |||||
Inception (12/21/06) through 10/31/231 | 6.79% | 5.97% | 5.56% | 8.55% | 6.35% |
* | 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. |
13 |
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 10/31/23 | 9.98% | 7.88% | 7.12% | 10.14% | 3.17% | 7.62% | ||||||
Five Years ended 10/31/23 | 9.05% | 7.55% | 7.04% | 11.01% | 7.96% | 8.96% | ||||||
Ten Years ended 10/31/23 | 10.25% | 8.24% | 7.85% | 11.18% | 10.34% | 8.98% | ||||||
Inception (07/20/89) through 10/31/231 | 8.85% | 7.42% | 7.17% | 9.91% | 10.35% | 8.29% |
* | 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. |
14 |
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 10/31/23 | -3.04% | -8.56% | -9.93% | 10.14% | -4.86% | |||||||
Five Years ended 10/31/23 | 6.75% | 3.31% | 3.26% | 11.01% | 4.20% | |||||||
Ten Years ended 10/31/23 | 6.70% | 5.63% | 5.20% | 11.18% | 5.37% | |||||||
Inception (03/01/91) through 10/31/231 | 9.93% | 8.92% | 9.96% | 9.93% | 9.18% | |||||||
Small Cap Equity Portfolio – Institutional Class | ||||||||||||
Year ended 10/31/23 | -2.87% | -8.56% | -9.93% | 10.14% | -4.86% | |||||||
Five Years ended 10/31/23 | 6.96% | 3.31% | 3.26% | 11.01% | 4.20% | |||||||
Ten Years ended 10/31/23 | 6.92% | 5.63% | 5.20% | 11.18% | 5.37% | |||||||
Inception (01/02/98) through 10/31/232 | 7.92% | 6.70% | 7.17% | 7.81% | 7.26% |
* | 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 10/31/23 | -0.60% | 10.14% | 0.13% | 0.68% | |||||
Five Years ended 10/31/23 | 8.51% | 11.01% | 6.60% | 6.92% | |||||
Inception (12/21/16) through10/31/231 | 8.30% | 11.36% | 6.36% | 7.09% |
* | 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. |
16 |
Average Annual Total Return | ||||||||
Secured Options Portfolio – Advisor Class | CBOE S&P 500® PutWrite Index | S&P 500® Index | ||||||
Year ended 10/31/23 | 11.31% | 11.80% | 10.14% | |||||
Five Years ended 10/31/23 | 5.60% | 5.98% | 11.01% | |||||
Ten Years ended 10/31/23 | 5.59% | 6.21% | 11.18% | |||||
Inception (06/30/10) through 10/31/23 | 7.86% | 7.85% | 13.28% | |||||
Secured Options Portfolio – Institutional Class | ||||||||
Year ended 10/31/23 | 11.50% | 11.80% | 10.14% | |||||
Five Years ended 10/31/23 | 5.81% | 5.98% | 11.01% | |||||
Inception (11/09/16) through October 31, 2023 | 5.49% | 5.99% | 11.94% |
* | 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 10/31/23 | 12.74% | 10.50% | 6.91% | ||||
Five Years ended 10/31/23 | 4.99% | 7.47% | 2.28% | ||||
Ten Years ended 10/31/23 | 3.04% | 6.81% | 2.93% | ||||
Inception (09/28/12) through 10/31/23 | 4.08% | 8.02% | 3.33% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 23 to 25. |
18 |
Average Annual Total Return | |||||||
Core Fixed Income Portfolio | Bloomberg U.S. Aggregate Bond Index | Morningstar Intermediate - Core Bond Average | |||||
Year ended 10/31/23 | -0.90% | 0.36% | 0.55% | ||||
Five Years ended 10/31/23 | -0.88% | -0.06% | -0.31% | ||||
Ten Years ended 10/31/23 | 0.17% | 0.88% | 0.73% | ||||
Inception (11/17/88) through 10/31/231 | 4.64% | 5.14% | 4.59% |
* | 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. |
19 |
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 10/31/23 | 2.41% | 1.82% | 1.53% | 2.28% | 2.42% | |||||
Five Years Ended 10/31/23 | 0.80% | 0.61% | 0.69% | 0.98% | 0.90% | |||||
Inception (06/29/16) through 10/31/231 | 0.64% | 0.48% | 0.57% | 0.83% | 0.71% |
* | 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. |
20 |
Average Annual Total Return | ||||||||||||||
Return After Taxes on | ||||||||||||||
High Yield Municipal Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Bloomberg Muni High Yield 5% Tobacco Cap 2% Issuer Cap Index | Bloomberg Municipal Bond Index | HY Municipal Blended Index | Morningstar High Yield Muni Average | |||||||
Years ended 10/31/23 | 1.26% | 0.09% | 1.21% | 3.43% | 2.64% | 3.24% | 1.60% | |||||||
Five Years ended 10/31/23 | 0.06% | -0.23% | 0.56% | 1.29% | 1.00% | 1.23% | 0.20% | |||||||
Inception (12/22/15) through 10/31/231 | 1.23% | 1.00% | 1.47% | 2.59% | 1.23% | 2.31% | 1.26% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning January 1, 2017 for HY Municipal Blended Index and January 1, 2016 for Morningstar High Yield Muni Average. |
The indices and certain terms are defined on pages 23 to 25. |
21 |
Average Annual Total Return | |||||||
Muni Intermediate Portfolio | Bloomberg Municipal 1-10 Year Blend Index | Morningstar Muni National Intermediate Average | |||||
Year ended 10/31/23 | 2.02% | 2.32% | 2.24% | ||||
Five Years ended 10/31/23 | 1.01% | 1.21% | 0.80% | ||||
Ten Years ended 10/31/23 | 1.27% | 1.58% | 1.52% | ||||
Inception (06/05/92) through 10/31/231 | 3.39% | 3.73% | 3.59% |
* | 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, 2023) | Ending Account Value (October 31, 2023) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2023 to October 31, 2023) | ||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor | |||||||
Actual | $1,000.00 | $ 997.80 | 0.85% | $ 4.28 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 998.80 | 0.65 | 3.27 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.90 | 0.65 | 3.31 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,014.00 | 0.86 | 4.37 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.86 | 4.38 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,015.10 | 0.66 | 3.35 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.90 | 0.66 | 3.36 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Actual | 1,000.00 | 981.50 | 0.85 | 4.25 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Actual | 1,000.00 | 989.20 | 0.85 | 4.26 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative International Equity Portfolio | |||||||
Actual | 1,000.00 | 953.00 | 1.00 | 4.92 | |||
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 | 985.30 | 0.85 | 4.25 | |||
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 | 982.00 | 0.85 | 4.25 | |||
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 | 1,050.10 | 2.41 | 12.45 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,013.10 | 2.41 | 12.23 | |||
Quantitative U.S. Long/Short Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,051.60 | 2.21 | 11.43 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,014.10 | 2.21 | 11.22 |
26 |
Beginning Account Value (May 1, 2023) | Ending Account Value (October 31, 2023) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2023 to October 31, 2023) | ||||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Actual | $1,000.00 | $ 956.50 | 1.95% | $ 9.62 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,015.40 | 1.95 | 9.91 | |||
Strategic Equity Portfolio | |||||||
Actual | 1,000.00 | 1,004.60 | 0.86 | 4.35 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.86 | 4.38 | |||
Small Cap Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 951.70 | 0.97 | 4.77 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.30 | 0.97 | 4.94 | |||
Small Cap Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 952.70 | 0.77 | 3.79 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.30 | 0.77 | 3.92 | |||
Equity Income Portfolio | |||||||
Actual | 1,000.00 | 952.90 | 0.85 | 4.18 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Secured Options Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,013.40 | 0.86 | 4.36 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.86 | 4.38 | |||
Secured Options Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,013.90 | 0.66 | 3.35 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.90 | 0.66 | 3.36 | |||
Global Secured Options Portfolio | |||||||
Actual | 1,000.00 | 987.90 | 1.00 | 5.01 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 1.00 | 5.09 | |||
Core Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 930.90 | 0.55 | 2.68 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.40 | 0.55 | 2.80 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,000.60 | 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 | 942.90 | 0.87 | 4.26 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.80 | 0.87 | 4.43 |
* | 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, 2023) | Ending Account Value (October 31, 2023) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2023 to October 31, 2023) | ||||
Muni Intermediate Portfolio | |||||||
Actual | $1,000.00 | $ 975.90 | 0.26% | $1.29 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,023.90 | 0.26 | 1.33 |
* | 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 | $ 756,595,525 | $ 1,920,227,110 | $ 1,636,247 | ||
Repurchase agreements at value1 | 1,243,920 | 11,173,323 | 8,662 | ||
Receivable from Advisor | — | — | 4,170 | ||
Receivable for fund shares sold | 110,779 | 154,930 | — | ||
Dividends receivable | 645,414 | 838,474 | 2,927 | ||
Interest receivable | 55 | 496 | — | ||
Securities lending income receivable | 15 | 146 | — | ||
Prepaid expenses | 7,791 | 18,468 | 15 | ||
Total assets | 758,603,499 | 1,932,412,947 | 1,652,021 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | 1,477,476 | — | ||
Line of credit interest payable | 122 | 3,115 | — | ||
Payable for fund shares redeemed | 337,363 | 1,520,700 | — | ||
Payable for Management fees | 364,959 | 924,841 | 776 | ||
Payable for Directors’ fees | 30,241 | 73,646 | 60 | ||
Payable for Shareholder Servicing fees | 124,629 | 188,339 | 282 | ||
Accrued expenses | 213,734 | 489,525 | 11,324 | ||
Total liabilities | 1,071,048 | 4,677,642 | 12,442 | ||
Net Assets | $757,532,451 | $1,927,735,305 | $ 1,639,579 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 35,582 | $ 69,517 | $ 143 | ||
Paid-in capital in excess of par value | 568,724,826 | 1,419,467,470 | 1,430,750 | ||
Total distributable earnings | 188,772,043 | 508,198,318 | 208,686 | ||
Total Net Assets | $757,532,451 | $1,927,735,305 | $ 1,639,579 | ||
Shares Outstanding3 | 35,582,430 | 69,517,433 | 142,573 | ||
Net Asset Value Per Share | $ — | $ — | $ 11.50 | ||
Advisor Class — based on net assets of $712,480,882 and $1,080,174,513, respectively and shares outstanding of 33,466,023 and 38,953,796, respectively | 21.29 | 27.73 | — | ||
Institutional Class — based on net assets of $45,051,569 and $847,560,792, respectively and shares outstanding of 2,116,407 and 30,563,637, respectively | 21.29 | 27.73 | — | ||
1 Investments at cost | $ 624,551,465 | $ 1,522,604,326 | $ 1,448,810 | ||
2 Market value of securities on loan | $ — | $ 1,480,335 | $ — | ||
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 | $ 1,492,759 | $ 22,208,155 | $ 21,681,814 | ||
Repurchase agreements at value1 | 12,671 | 60,121 | 85,102 | ||
Cash | — | 2,631 | — | ||
Receivable from Advisor | 4,877 | 7,512 | 3,837 | ||
Receivable for fund shares sold | — | — | 3 | ||
Dividends receivable | 365 | 58,456 | 19,137 | ||
Interest receivable | 1 | 3 | 4 | ||
Securities lending income receivable | 18 | 15 | — | ||
Foreign tax reclaims receivable | — | 463,946 | — | ||
Prepaid expenses | 13 | — | 200 | ||
Total assets | 1,510,704 | 22,800,839 | 21,790,097 | ||
Liabilities: | |||||
Foreign cash overdraft3 | — | 181 | — | ||
Obligation to return securities lending collateral | 47,576 | 159,978 | — | ||
Line of credit interest payable | — | 8 | 17 | ||
Payable for fund shares redeemed | — | — | 5,051 | ||
Payable for Management fees | 688 | 14,814 | 10,592 | ||
Payable for Directors’ fees | 54 | 834 | 819 | ||
Payable for Shareholder Servicing fees | 250 | 4,938 | 3,852 | ||
Accrued expenses | 12,488 | 18,655 | 16,544 | ||
Total liabilities | 61,056 | 199,408 | 36,875 | ||
Net Assets | $ 1,449,648 | $ 22,601,431 | $21,753,222 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 126 | $ 1,634 | $ 1,425 | ||
Paid-in capital in excess of par value | 1,310,552 | 22,780,021 | 17,443,127 | ||
Total distributable earnings | 138,970 | (180,224) | 4,308,670 | ||
Total Net Assets | $ 1,449,648 | $ 22,601,431 | $21,753,222 | ||
Shares Outstanding4 | 126,493 | 1,633,535 | 1,425,474 | ||
Net Asset Value Per Share | $ 11.46 | $ 13.84 | $ 15.26 | ||
1 Investments at cost | $ 1,358,943 | $ 21,366,072 | $ 19,292,118 | ||
2 Market value of securities on loan | $ 81,315 | $ 154,266 | $ — | ||
3 Foreign currency at cost | $ — | $ (181) | $ — | ||
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 | $ 19,374,427 | $ 48,149,761 | $ 46,824,180 | ||
Repurchase agreements at value1 | 149,907 | 2,524,545 | 147,871 | ||
Receivable from Advisor | 4,251 | — | 8,286 | ||
Receivable for fund shares sold | — | — | 272 | ||
Dividends receivable | 21,561 | 42,431 | 40,108 | ||
Interest receivable | 7 | 135,603 | 7 | ||
Securities lending income receivable | — | 4 | 34 | ||
Cash collateral on deposit at broker (Note 1) | — | 32,680,005 | — | ||
Prepaid expenses | 196 | 492 | — | ||
Total assets | 19,550,349 | 83,532,841 | 47,020,758 | ||
Liabilities: | |||||
Due to custodian | — | 9,050 | 1,935 | ||
Obligation to return securities lending collateral | — | 844,020 | 880,308 | ||
Line of credit interest payable | — | 12 | 537 | ||
Payable for fund shares redeemed | 5,044 | 783 | 6,755 | ||
Dividend payable on securities sold short | — | 37,956 | 8,181 | ||
Payable for securities sold short, at value3 | — | 32,192,529 | 10,190,775 | ||
Payable for Management fees | 9,474 | 41,952 | 26,617 | ||
Payable for Directors’ fees | 764 | 1,844 | 1,469 | ||
Payable for Shareholder Servicing fees | 3,445 | 7,183 | 6,327 | ||
Accrued expenses | 16,159 | 38,892 | 37,824 | ||
Total liabilities | 34,886 | 33,174,221 | 11,160,728 | ||
Net Assets | $19,515,463 | $ 50,358,620 | $ 35,860,030 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 1,412 | $ 3,464 | $ 2,098 | ||
Paid-in capital in excess of par value | 16,332,644 | 26,419,340 | 22,881,218 | ||
Total distributable earnings | 3,181,407 | 23,935,816 | 12,976,714 | ||
Total Net Assets | $19,515,463 | $ 50,358,620 | $ 35,860,030 | ||
Shares Outstanding4 | 1,411,946 | 3,464,073 | 2,097,625 | ||
Net Asset Value Per Share | $ 13.82 | $ — | $ 17.10 | ||
Advisor Class — based on net assets of $41,894,768 and shares outstanding of 2,884,669 | — | 14.52 | — | ||
Institutional Class — based on net assets of $8,463,852 and shares outstanding of 579,404 | — | 14.61 | — | ||
1 Investments at cost | $ 17,217,163 | $ 41,457,636 | $ 37,831,881 | ||
2 Market value of securities on loan | $ — | $ 794,629 | $ 828,794 | ||
3 Proceeds from securities sold short | $ — | $ 42,947,981 | $ 12,239,986 | ||
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 | $ 165,105,054 | $ 977,341,468 | $ 18,287,813 | ||
Repurchase agreements at value1 | 968,509 | 22,709,821 | 214,530 | ||
Receivable from Advisor | — | — | 4,497 | ||
Receivable for fund shares sold | — | 795,734 | — | ||
Dividends receivable | 113,821 | 92,223 | 19,730 | ||
Interest receivable | 43 | 1,009 | 10 | ||
Securities lending income receivable | — | 4,728 | — | ||
Prepaid expenses | — | 9,170 | 208 | ||
Total assets | 166,187,427 | 1,000,954,153 | 18,526,788 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | 46,063,709 | — | ||
Line of credit interest payable | 6 | 49 | 3 | ||
Payable for fund shares redeemed | 128,091 | 1,428,165 | — | ||
Payable for Management fees | 79,561 | 455,638 | 8,828 | ||
Payable for Directors’ fees | 6,424 | 37,016 | 734 | ||
Payable for Shareholder Servicing fees | 28,931 | 113,487 | 3,210 | ||
Accrued expenses | 57,992 | 294,827 | 15,004 | ||
Total liabilities | 301,005 | 48,392,891 | 27,779 | ||
Net Assets | $165,886,422 | $ 952,561,262 | $18,499,009 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 5,956 | $ 32,275 | $ 1,335 | ||
Paid-in capital in excess of par value | 53,850,637 | 788,879,512 | 13,534,848 | ||
Total distributable earnings | 112,029,829 | 163,649,475 | 4,962,826 | ||
Total Net Assets | $165,886,422 | $ 952,561,262 | $18,499,009 | ||
Shares Outstanding3 | 5,956,087 | 32,274,626 | 1,335,477 | ||
Net Asset Value Per Share | $ 27.85 | $ — | $ 13.85 | ||
Advisor Class — based on net assets of $412,521,158 and shares outstanding of 14,524,365 | — | 28.40 | — | ||
Institutional Class — based on net assets of $540,040,104 and shares outstanding of 17,750,261 | — | 30.42 | — | ||
1 Investments at cost | $ 83,092,710 | $ 889,845,936 | $ 14,518,325 | ||
2 Market value of securities on loan | $ — | $ 55,268,483 | $ — | ||
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 | $ 540,160,219 | $ 23,413,041 | $ 372,395,899 | ||
Repurchase agreements at value1 | 649,281 | 169,490 | 7,089,946 | ||
Receivable from Advisor | — | 8,070 | — | ||
Receivable for securities sold | 6,730,380 | — | — | ||
Receivable for fund shares sold | 97,091 | 10 | 202,192 | ||
Interest receivable | 29 | 8 | 2,733,490 | ||
Securities lending income receivable | — | — | 3,374 | ||
Cash collateral on deposit at broker (Note 1) | 6,951,407 | 255,034 | — | ||
Foreign tax reclaims receivable | — | 32,067 | — | ||
Prepaid expenses | 4,577 | — | — | ||
Total assets | 554,592,984 | 23,877,720 | 382,424,901 | ||
Liabilities: | |||||
Payable for securities purchased | 6,136,730 | — | — | ||
Obligation to return securities lending collateral | — | — | 16,822,512 | ||
Line of credit interest payable | 10 | 2 | — | ||
Payable for fund shares redeemed | 97,006 | — | 311,368 | ||
Options written, at value3 | 35,578,450 | 1,363,010 | — | ||
Payable for Management fees | 242,230 | 10,576 | 108,129 | ||
Payable for Directors’ fees | 17,894 | 778 | 11,731 | ||
Payable for Shareholder Servicing fees | 9,726 | 3,845 | 30,894 | ||
Accrued expenses | 143,106 | 29,889 | 107,795 | ||
Total liabilities | 42,225,152 | 1,408,100 | 17,392,429 | ||
Net Assets | $512,367,832 | $ 22,469,620 | $365,032,472 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 39,228 | $ 4,691 | $ 41,264 | ||
Paid-in capital in excess of par value | 499,519,729 | 29,080,649 | 438,828,824 | ||
Total distributable earnings | 12,808,875 | (6,615,720) | (73,837,616) | ||
Total Net Assets | $512,367,832 | $ 22,469,620 | $365,032,472 | ||
Shares Outstanding4 | 39,227,750 | 4,691,109 | 41,264,216 | ||
Net Asset Value Per Share | $ — | $ 4.79 | $ 8.85 | ||
Advisor Class — based on net assets of $56,074,460 and shares outstanding of 4,354,366 | 12.88 | — | — | ||
Institutional Class — based on net assets of $456,293,372 and shares outstanding of 34,873,384 | 13.08 | — | — | ||
1 Investments at cost | $ 520,771,695 | $ 23,921,593 | $ 442,067,442 | ||
2 Market value of securities on loan | $ — | $ — | $ 16,464,481 | ||
3 Premiums received from options written | $ 30,346,949 | $ 1,258,033 | $ — | ||
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 | $ 36,552,598 | $ 154,583,339 | |
Repurchase agreements at value1 | 973,424 | — | |
Cash | — | 830,882 | |
Receivable from Advisor | 14,114 | — | |
Receivable for securities sold | — | 22,059 | |
Receivable for fund shares sold | — | 650,000 | |
Interest receivable | 446,797 | 2,767,787 | |
Cash collateral on deposit at broker (Note 1) | — | 735,919 | |
Prepaid expenses | 454 | 1,502 | |
Variation margin on centrally cleared swap contracts | — | 11,948 | |
Total assets | 37,987,387 | 159,603,436 | |
Liabilities: | |||
Payable for when-issued securities purchased | 1,037,370 | 3,167,730 | |
Line of credit interest payable | 32 | 2,113 | |
Payable for fund shares redeemed | — | 859,087 | |
Payable for Management fees | 11,219 | 77,363 | |
Payable for Directors’ fees | 1,564 | 6,378 | |
Payable for Shareholder Servicing fees | 3,205 | 20,358 | |
Accrued expenses | 38,086 | 87,561 | |
Total liabilities | 1,091,476 | 4,220,590 | |
Net Assets | $36,895,911 | $155,382,846 | |
Net Assets consist of: | |||
Par value ($0.001 of shares outstanding) | $ 3,789 | $ 17,846 | |
Paid-in capital in excess of par value | 38,467,111 | 193,986,175 | |
Total distributable earnings | (1,574,989) | (38,621,175) | |
Total Net Assets | $36,895,911 | $155,382,846 | |
Shares Outstanding2 | 3,789,220 | 17,846,152 | |
Net Asset Value Per Share | $ 9.74 | $ 8.71 | |
1 Investments at cost | $ 38,308,607 | $ 182,034,646 | |
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: | |||||
Dividends1 | $ 16,334,778 | $ 23,644,888 | $ 46,181 | ||
Interest | 51,870 | 143,597 | 174 | ||
Income from security lending, net | 6,717 | 3,843 | 4 | ||
Total investment income | 16,393,365 | 23,792,328 | 46,359 | ||
Expenses: | |||||
Management fees | 4,721,318 | 11,511,367 | 9,363 | ||
Administration, transfer agent and custody fees | 322,535 | 730,926 | 26,973 | ||
Professional fees | 186,590 | 459,686 | 370 | ||
Shareholder report expenses | 92,954 | 389,886 | 1,988 | ||
Shareholder servicing fees | — | — | 3,405 | ||
Shareholder servicing fees (Advisor Class) | 1,590,423 | 2,339,983 | — | ||
Directors’ fees and expenses | 122,861 | 304,359 | 241 | ||
Interest expense | 26,076 | 35,504 | — | ||
Registration and filing fees | 44,140 | 71,972 | 3,548 | ||
Other expenses | 149,246 | 340,341 | 2,578 | ||
Total expenses | 7,256,143 | 16,184,024 | 48,466 | ||
Less expenses waived/reimbursed | — | — | (33,996) | ||
Net expenses | 7,256,143 | 16,184,024 | 14,470 | ||
Net investment income | 9,137,222 | 7,608,304 | 31,889 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain on: | |||||
Investment transactions | 62,093,598 | 111,183,950 | 12,160 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (25,717,275) | 27,914,523 | (67,956) | ||
Net realized and unrealized gain (loss) | 36,376,323 | 139,098,473 | (55,796) | ||
Net increase (decrease) in net assets resulting from operations | $ 45,513,545 | $146,706,777 | $(23,907) |
1 | The Quantitative U.S. Large Cap Core Equity Portfolio had foreign dividend withholding taxes of $10,181. |
35 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $ 26,691 | $ 757,798 | $ 424,359 | ||
Interest | 177 | 2,007 | 1,718 | ||
Income from security lending, net | 129 | 4,401 | 20 | ||
Total investment income | 26,997 | 764,206 | 426,097 | ||
Expenses: | |||||
Management fees | 8,457 | 178,220 | 128,163 | ||
Administration, transfer agent and custody fees | 26,855 | 38,764 | 33,019 | ||
Professional fees | 342 | 4,717 | 5,021 | ||
Shareholder report expenses | 1,868 | 2,819 | 2,641 | ||
Shareholder servicing fees | 3,075 | 59,407 | 46,605 | ||
Directors’ fees and expenses | 223 | 3,298 | 3,278 | ||
Interest expense | — | 217 | 382 | ||
Registration and filing fees | 3,547 | 19,991 | 18,653 | ||
Other expenses | 2,626 | 6,156 | 5,892 | ||
Total expenses | 46,993 | 313,589 | 243,654 | ||
Less expenses waived/reimbursed | (33,923) | (75,745) | (45,202) | ||
Net expenses | 13,070 | 237,844 | 198,452 | ||
Net investment income | 13,927 | 526,362 | 227,645 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (7,991) | (242,711) | 1,935,029 | ||
Foreign currency transactions | — | (13,677) | — | ||
Net realized gain (loss) | (7,991) | (256,388) | 1,935,029 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (75,129) | 3,021,552 | (1,476,771) | ||
Foreign currency translation | — | 2,160 | — | ||
Net change in unrealized gain (loss) | (75,129) | 3,023,712 | (1,476,771) | ||
Net realized and unrealized gain (loss) | (83,120) | 2,767,324 | 458,258 | ||
Net increase (decrease) in net assets resulting from operations | $(69,193) | $3,293,686 | $ 685,903 |
1 | The Quantitative U.S. Small Cap Equity Portfolio, the Quantitative International Equity Portfolio and the Responsible ESG U.S. Equity Portfolio had foreign dividend withholding taxes of $38, $191,386 and $630, 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 | $ 408,360 | $ 1,065,813 | $ 1,035,315 | ||
Interest | 1,200 | 1,491,985 | 2,019 | ||
Income from security lending, net | — | 671 | 71 | ||
Total investment income | 409,560 | 2,558,469 | 1,037,405 | ||
Expenses: | |||||
Management fees | 119,341 | 630,180 | 499,659 | ||
Administration, transfer agent and custody fees | 32,379 | 71,598 | 54,959 | ||
Professional fees | 4,758 | 11,557 | 8,827 | ||
Shareholder report expenses | 2,879 | 9,867 | 9,014 | ||
Shareholder servicing fees | 43,397 | — | 83,277 | ||
Shareholder servicing fees (Advisor Class) | — | 88,028 | — | ||
Dividends on securities sold short | — | 650,588 | 219,496 | ||
Directors’ fees and expenses | 3,127 | 7,717 | 6,176 | ||
Interest expense | — | 2,085 | 537 | ||
Short position flex fees | — | — | 94,527 | ||
Registration and filing fees | 18,641 | 34,399 | 21,498 | ||
Other expenses | 6,467 | 15,467 | 7,993 | ||
Total expenses | 230,989 | 1,521,486 | 1,005,963 | ||
Less expenses waived/reimbursed | (46,554) | (229,377) | (170,925) | ||
Net expenses | 184,435 | 1,292,109 | 835,038 | ||
Net investment income | 225,125 | 1,266,360 | 202,367 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain on: | |||||
Investment transactions | 946,794 | 3,796,473 | 1,521,410 | ||
Securities sold short | — | 417,535 | 571,497 | ||
Net realized gain | 946,794 | 4,214,008 | 2,092,907 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (169,421) | (3,899,507) | (2,963,871) | ||
Securities sold short | — | 1,192,126 | (396,997) | ||
Net change in unrealized loss | (169,421) | (2,707,381) | (3,360,868) | ||
Net realized and unrealized gain (loss) | 777,373 | 1,506,627 | (1,267,961) | ||
Net increase (decrease) in net assets resulting from operations | $1,002,498 | $ 2,772,987 | $(1,065,594) |
1 | The Women in Leadership U.S. Equity Portfolio, the Quantitative U.S. Long/Short Equity Portfolio and the Quantitative U.S. Total Market Equity Portfolio had foreign dividend withholding taxes of $148, $1,008 and $702, respectively. |
37 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Investment income: | |||||
Dividends | $ 2,468,454 | $ 15,119,421 | $ 534,693 | ||
Interest | 16,732 | 269,107 | 4,934 | ||
Income from security lending, net | — | 45,276 | — | ||
Total investment income | 2,485,186 | 15,433,804 | 539,627 | ||
Expenses: | |||||
Management fees | 1,003,906 | 5,784,976 | 114,562 | ||
Administration, transfer agent and custody fees | 86,900 | 640,588 | 31,926 | ||
Professional fees | 37,174 | 226,064 | 4,609 | ||
Shareholder report expenses | 11,368 | 359,492 | 2,435 | ||
Shareholder servicing fees | 365,057 | — | 41,659 | ||
Shareholder servicing fees (Advisor Class) | — | 1,149,577 | — | ||
Shareholder servicing fees (Institutional Class) | — | 295,991 | — | ||
Directors’ fees and expenses | 26,123 | 148,272 | 3,064 | ||
Interest expense | 1,292 | 6,017 | 892 | ||
Registration and filing fees | 22,132 | 47,613 | 3,474 | ||
Other expenses | 23,552 | 192,354 | 5,771 | ||
Total expenses | 1,577,504 | 8,850,944 | 208,392 | ||
Less expenses waived/reimbursed | — | — | (30,450) | ||
Net expenses | 1,577,504 | 8,850,944 | 177,942 | ||
Net investment income | 907,682 | 6,582,860 | 361,685 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain on: | |||||
Investment transactions | 32,316,681 | 88,418,003 | 1,197,598 | ||
Net change in unrealized loss on: | |||||
Investments | (15,074,889) | (123,276,172) | (1,604,031) | ||
Net realized and unrealized gain (loss) | 17,241,792 | (34,858,169) | (406,433) | ||
Net increase (decrease) in net assets resulting from operations | $ 18,149,474 | $ (28,275,309) | $ (44,748) |
38 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Investment income: | |||||
Dividends | $ 330,686 | $ 111,422 | $ — | ||
Interest | 4,521,313 | 185,871 | 10,242,706 | ||
Income from security lending, net | — | — | 28,172 | ||
Total investment income | 4,851,999 | 297,293 | 10,270,878 | ||
Expenses: | |||||
Management fees | 2,809,043 | 122,156 | 1,176,817 | ||
Administration, transfer agent and custody fees | 211,558 | 47,499 | 166,570 | ||
Professional fees | 112,284 | 4,645 | 68,271 | ||
Shareholder report expenses | 41,364 | 4,061 | 18,133 | ||
Shareholder servicing fees | — | 44,421 | 336,233 | ||
Shareholder servicing fees (Advisor Class) | 119,676 | — | — | ||
Directors’ fees and expenses | 74,938 | 3,216 | 47,518 | ||
Interest expense | 2,576 | 144 | — | ||
Registration and filing fees | 43,694 | 18,597 | 10,729 | ||
Other expenses | 89,871 | 11,282 | 36,171 | ||
Total expenses | 3,505,004 | 256,021 | 1,860,442 | ||
Less expenses waived/reimbursed | — | (33,774) | — | ||
Net expenses | 3,505,004 | 222,247 | 1,860,442 | ||
Net investment income | 1,346,995 | 75,046 | 8,410,436 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (116,423) | (159,111) | (1,719,826) | ||
Written options | (217,658,163) | (6,327,264) | — | ||
Purchased options | 277,904,886 | 8,961,285 | — | ||
Net realized gain (loss) | 60,130,300 | 2,474,910 | (1,719,826) | ||
Net change in unrealized gain (loss) on: | |||||
Investments | 2,593,002 | 536,207 | (11,017,292) | ||
Written options | (6,285,164) | (363,231) | — | ||
Purchased options | (3,482,954) | (190,627) | — | ||
Net change in unrealized loss | (7,175,116) | (17,651) | (11,017,292) | ||
Net realized and unrealized gain (loss) | 52,955,184 | 2,457,259 | (12,737,118) | ||
Net increase (decrease) in net assets resulting from operations | $ 54,302,179 | $ 2,532,305 | $ (4,326,682) |
39 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Investment income: | |||
Interest | $ 979,694 | $ 8,368,417 | |
Income from security lending, net | 5,982 | — | |
Total investment income | 985,676 | 8,368,417 | |
Expenses: | |||
Management fees | 154,906 | 1,029,422 | |
Administration, transfer agent and custody fees | 70,200 | 149,336 | |
Professional fees | 9,949 | 68,750 | |
Shareholder report expenses | 3,266 | 23,297 | |
Shareholder servicing fees | 44,259 | 270,900 | |
Directors’ fees and expenses | 6,725 | 25,673 | |
Interest expense | 217 | 3,599 | |
Registration and filing fees | 4,767 | 5,831 | |
Other expenses | 10,000 | 31,817 | |
Total expenses | 304,289 | 1,608,625 | |
Less expenses waived/reimbursed | (60,649) | — | |
Net expenses | 243,640 | 1,608,625 | |
Net investment income | 742,036 | 6,759,792 | |
Realized and unrealized gain (loss): | |||
Net realized loss on: | |||
Investment transactions | (257,645) | (1,725,877) | |
Swap contracts | — | (262,165) | |
Net realized loss | (257,645) | (1,988,042) | |
Net change in unrealized gain (loss) on: | |||
Investments | 768,754 | (2,509,090) | |
Swap contracts | — | (21,098) | |
Net change in unrealized gain (loss) | 768,754 | (2,530,188) | |
Net realized and unrealized gain (loss) | 511,109 | (4,518,230) | |
Net increase in net assets resulting from operations | $1,253,145 | $ 2,241,562 |
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 | $ 9,137,222 | $ 7,608,304 | $ 31,889 | ||
Net realized gain on: | |||||
Investment transactions | 62,093,598 | 111,183,950 | 12,160 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (25,717,275) | 27,914,523 | (67,956) | ||
Net increase (decrease) in net assets resulting from operations | 45,513,545 | 146,706,777 | (23,907) | ||
Distributions from earnings | — | — | (96,169) | ||
Distributions from earnings: Advisor Class | (155,573,383) | (84,059,903) | — | ||
Distributions from earnings: Institutional Class | (23,971,269) | (68,195,218) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (99,606,178) | (233,418,509) | 94,802 | ||
Net increase (decrease) in net assets | (233,637,285) | (238,966,853) | (25,274) | ||
NET ASSETS: | |||||
Beginning of year | 991,169,736 | 2,166,702,158 | 1,664,853 | ||
End of year | $ 757,532,451 | $1,927,735,305 | $1,639,579 |
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 |
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 | $ 13,927 | $ 526,362 | $ 227,645 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (7,991) | (242,711) | 1,935,029 | ||
Foreign currency transactions | — | (13,677) | — | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (75,129) | 3,021,552 | (1,476,771) | ||
Foreign currency translations | — | 2,160 | — | ||
Net increase (decrease) in net assets resulting from operations | (69,193) | 3,293,686 | 685,903 | ||
Distributions from earnings | (129,428) | (475,297) | (1,674,983) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 127,248 | (3,155,555) | (1,180,382) | ||
Net increase (decrease) in net assets | (71,373) | (337,166) | (2,169,462) | ||
NET ASSETS: | |||||
Beginning of year | 1,521,021 | 22,938,597 | 23,922,684 | ||
End of year | $1,449,648 | $22,601,431 | $21,753,222 |
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 |
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 | $ 225,125 | $ 1,266,360 | $ 202,367 | ||
Net realized gain on: | |||||
Investment transactions | 946,794 | 3,796,473 | 1,521,410 | ||
Securities sold short | — | 417,535 | 571,497 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (169,421) | (3,899,507) | (2,963,871) | ||
Securities sold short | — | 1,192,126 | (396,997) | ||
Net increase (decrease) in net assets resulting from operations | 1,002,498 | 2,772,987 | (1,065,594) | ||
Distributions from earnings | (684,881) | — | (207,152) | ||
Distributions from earnings: Advisor Class | — | (899,560) | — | ||
Distributions from earnings: Institutional Class | — | (190,052) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (2,974,152) | (8,264,943) | (6,703,113) | ||
Net increase (decrease) in net assets | (2,656,535) | (6,581,568) | (7,975,859) | ||
NET ASSETS: | |||||
Beginning of year | 22,171,998 | 56,940,188 | 43,835,889 | ||
End of year | $19,515,463 | $50,358,620 | $35,860,030 |
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 |
43 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 907,682 | $ 6,582,860 | $ 361,685 | ||
Net realized gain on: | |||||
Investment transactions | 32,316,681 | 88,418,003 | 1,197,598 | ||
Net change in unrealized loss on: | |||||
Investments | (15,074,889) | (123,276,172) | (1,604,031) | ||
Net increase (decrease) in net assets resulting from operations | 18,149,474 | (28,275,309) | (44,748) | ||
Distributions from earnings | (14,605,183) | — | (981,989) | ||
Distributions from earnings: Advisor Class | — | (52,262,940) | — | ||
Distributions from earnings: Institutional Class | — | (67,676,601) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (29,303,760) | (10,029,917) | (2,376,350) | ||
Net increase (decrease) in net assets | (25,759,469) | (158,244,767) | (3,403,087) | ||
NET ASSETS: | |||||
Beginning of year | 191,645,891 | 1,110,806,029 | 21,902,096 | ||
End of year | $165,886,422 | $ 952,561,262 | $18,499,009 |
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 |
44 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 1,346,995 | $ 75,046 | $ 8,410,436 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (116,423) | (159,111) | (1,719,826) | ||
Options written | (217,658,163) | (6,327,264) | — | ||
Purchased options | 277,904,886 | 8,961,285 | — | ||
Net change in unrealized gain (loss) on: | |||||
Investments | 2,593,002 | 536,207 | (11,017,292) | ||
Options written | (6,285,164) | (363,231) | — | ||
Purchased options | (3,482,954) | (190,627) | — | ||
Net increase (decrease) in net assets resulting from operations | 54,302,179 | 2,532,305 | (4,326,682) | ||
Distributions from earnings | — | (6,038) | (8,521,384) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (43,518,349) | (118,695) | 58,107,896 | ||
Net increase in net assets | 10,783,830 | 2,407,572 | 45,259,830 | ||
NET ASSETS: | |||||
Beginning of year | 501,584,002 | 20,062,048 | 319,772,642 | ||
End of year | $ 512,367,832 | $22,469,620 | $365,032,472 |
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 |
45 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $ 742,036 | $ 6,759,792 | |
Net realized loss on: | |||
Investment transactions | (257,645) | (1,725,877) | |
Swap Contracts | — | (262,165) | |
Net change in unrealized gain (loss) on: | |||
Investments | 768,754 | (2,509,090) | |
Swap Contracts | — | (21,098) | |
Net increase in net assets resulting from operations | 1,253,145 | 2,241,562 | |
Distributions from earnings | (735,943) | (6,923,349) | |
Net increase (decrease) in net assets from capital share transactions (See note 5) | (20,584,701) | 3,254,614 | |
Net increase (decrease) in net assets | (20,067,499) | (1,427,173) | |
NET ASSETS: | |||
Beginning of year | 56,963,410 | 156,810,019 | |
End of year | $ 36,895,911 | $155,382,846 |
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 |
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 | $ 2,772,987 |
Investments purchased | (38,820,667) |
Investments sold | 47,096,505 |
Purchases to cover securities sold short | (45,704,976) |
Securities sold short | 41,243,782 |
(Purchase)/Sale of short term investments, net | (2,572,195) |
Increase in Interest receivable | (56,803) |
Decrease in Receivable from Investment Advisor | 4,110 |
Decrease in Cash collateral on deposit at broker | 7,105,870 |
Decrease in Securities lending income receivable | 69 |
Increase in Dividends receivable | (12,889) |
Increase in Prepaid expenses | (55) |
Increase in Obligation to return securities lending collateral | 47,650 |
Decrease in Line of credit interest payable | (115) |
Increase in Dividends payable for securities sold short | 6,241 |
Increase in Payable for Management fees | 1,621 |
Increase in Payable for Directors’ fees | 165 |
Decrease in Payable for Shareholder Servicing fees | (881) |
Increase in Accrued expenses | 5,812 |
Net realized gain from investments | (3,796,473) |
Net realized loss from securities sold short | (417,535) |
Net change in unrealized loss on investments | 3,899,507 |
Net change in unrealized gain on securities sold short | (1,192,126) |
Net cash provided by (used in) operating activities | 9,609,604 |
Cash flows from financing activities | |
Proceeds from shares sold | 1,107,330 |
Payments on shares redeemed | (9,634,172) |
Cash distributions paid | (832,965) |
Net cash provided by (used in) financing activities | (9,359,807) |
Net increase (decrease) in cash | 249,797 |
Cash at beginning of period | (258,847) |
Cash at end of period | $ (9,050) |
Supplemental disclosure of cash flow information |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $256,647. |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2023. |
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 | $ (1,065,594) |
Investments purchased | (40,676,731) |
Investments sold | 48,657,240 |
Purchases to cover securities sold short | (13,748,490) |
Securities sold short | 12,427,024 |
(Purchase)/Sale of short term investments, net | (24,726) |
Increase in Receivable from Investment Advisor | (6,099) |
Increase in Securities lending income receivable | (32) |
Decrease in Dividends receivable | 4,907 |
Decrease in Prepaid expenses | 207 |
Increase in Obligation to return securities lending collateral | 128,093 |
Increase in Line of credit interest payable | 413 |
Decrease in Dividends payable for securities sold short | (1,142) |
Decrease in Payable for Management fees | (3,718) |
Increase in Payable for Directors’ fees | 265 |
Decrease in Payable for Shareholder Servicing fees | (811) |
Increase in Accrued expenses | 5,993 |
Net realized gain from investments | (1,521,410) |
Net realized loss from securities sold short | (571,497) |
Net change in unrealized loss on investments | 2,963,871 |
Net change in unrealized loss on securities sold short | 396,997 |
Net cash provided by (used in) operating activities | 6,964,760 |
Cash flows from financing activities | |
Proceeds from shares sold | 3,269,548 |
Payments on shares redeemed | (10,188,506) |
Cash distributions paid | (45,739) |
Net cash provided by (used in) financing activities | (6,964,697) |
Net increase (decrease) in cash | 63 |
Cash at beginning of period | (1,998) |
Cash at end of period | $ (1,935) |
Supplemental disclosure of cash flow information |
Cash paid for interest was $94,527. |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $161,413. |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2023. |
48 |
Quantitative U.S. Large Cap Core Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 25.15 | $ 32.97 | $ 24.99 | $ 26.89 | $ 27.88 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.23 | 0.26 | 0.23 | 0.29 | 0.35 | ||||
Net realized and unrealized gain (loss) on investments | 0.78 | (4.01) | 10.15 | (0.73) | 1.18 | ||||
Total from investment operations | 1.01 | (3.75) | 10.38 | (0.44) | 1.53 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.26) | (0.27) | (0.24) | (0.29) | (0.35) | ||||
Net realized capital gains | (4.61) | (3.80) | (2.16) | (1.17) | (2.17) | ||||
Total distributions | (4.87) | (4.07) | (2.40) | (1.46) | (2.52) | ||||
Net asset value, end of year | $ 21.29 | $ 25.15 | $ 32.97 | $ 24.99 | $ 26.89 | ||||
Total return | 4.42% | (12.89)% | 43.77% | (1.90)% | 6.42% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $712,481 | $924,570 | $1,255,795 | $1,066,153 | $1,674,687 | ||||
Ratio of operating expenses to average net assets | 0.86% 2 | 0.84% 2 | 0.85% 2 | 0.87% | 0.86% | ||||
Ratio of net investment income to average net assets | 1.04% | 0.96% | 0.75% | 1.15% | 1.32% | ||||
Portfolio turnover rate3 | 78% | 66% | 41% | 66% | 80% |
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 0.86%, 0.84% and 0.85% for the years ended October 31, 2023, 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, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 25.15 | $ 32.98 | $ 24.99 | $ 26.91 | $ 27.89 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.30 | 0.32 | 0.29 | 0.34 | 0.40 | ||||
Net realized and unrealized gain (loss) on investments | 0.75 | (4.02) | 10.16 | (0.75) | 1.20 | ||||
Total from investment operations | 1.05 | (3.70) | 10.45 | (0.41) | 1.60 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.33) | (0.30) | (0.34) | (0.41) | ||||
Net realized capital gains | (4.61) | (3.80) | (2.16) | (1.17) | (2.17) | ||||
Total distributions | (4.91) | (4.13) | (2.46) | (1.51) | (2.58) | ||||
Net asset value, end of year | $ 21.29 | $ 25.15 | $ 32.98 | $ 24.99 | $ 26.91 | ||||
Total return | 4.65% | (12.73)% | 44.10% | (1.75)% | 6.68% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $45,052 | $66,600 | $165,106 | $173,029 | $673,825 | ||||
Ratio of operating expenses to average net assets | 0.66% 2 | 0.64% 2 | 0.65% 2 | 0.67% | 0.66% | ||||
Ratio of net investment income to average net assets | 1.31% | 1.14% | 0.96% | 1.32% | 1.52% | ||||
Portfolio turnover rate3 | 78% | 66% | 41% | 66% | 80% |
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 0.66%, 0.64% and 0.65% for the years ended October 31, 2023, 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, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 27.95 | $ 40.64 | $ 32.02 | $ 33.08 | $ 32.52 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.08 | 0.09 | 0.05 | 0.12 | 0.16 | ||||
Net realized and unrealized gain (loss) on investments | 1.71 | (5.65) | 13.33 | 3.19 | 4.86 | ||||
Total from investment operations | 1.79 | (5.56) | 13.38 | 3.31 | 5.02 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.08) | (0.09) | (0.05) | (0.14) | (0.15) | ||||
Net realized capital gains | (1.93) | (7.04) | (4.71) | (4.23) | (4.31) | ||||
Total distributions | (2.01) | (7.13) | (4.76) | (4.37) | (4.46) | ||||
Net asset value, end of year | $ 27.73 | $ 27.95 | $ 40.64 | $ 32.02 | $ 33.08 | ||||
Total return | 6.84% | (16.67)% | 46.17% | 10.68% | 18.50% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,080,175 | $1,211,342 | $1,751,370 | $1,659,543 | $2,237,727 | ||||
Ratio of operating expenses to average net assets | 0.86% 2 | 0.84% 2 | 0.85% 2 | 0.88% | 0.86% | ||||
Ratio of net investment income to average net assets | 0.27% | 0.28% | 0.15% | 0.40% | 0.53% | ||||
Portfolio turnover rate3 | 78% | 85% | 49% | 69% | 80% |
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 0.86%, 0.84% and 0.85% for the years ended October 31, 2023, 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, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 27.95 | $ 40.64 | $ 32.02 | $ 33.09 | $ 32.53 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.13 | 0.15 | 0.12 | 0.19 | 0.21 | ||||
Net realized and unrealized gain (loss) on investments | 1.72 | (5.65) | 13.34 | 3.18 | 4.88 | ||||
Total from investment operations | 1.85 | (5.50) | 13.46 | 3.37 | 5.09 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.14) | (0.15) | (0.13) | (0.21) | (0.22) | ||||
Net realized capital gains | (1.93) | (7.04) | (4.71) | (4.23) | (4.31) | ||||
Total distributions | (2.07) | (7.19) | (4.84) | (4.44) | (4.53) | ||||
Net asset value, end of year | $ 27.73 | $ 27.95 | $ 40.64 | $ 32.02 | $ 33.09 | ||||
Total return | 7.05% | (16.49)% | 46.47% | 10.89% | 18.74% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $847,561 | $955,360 | $581,255 | $543,675 | $1,250,995 | ||||
Ratio of operating expenses to average net assets | 0.66% 2 | 0.64% 2 | 0.65% 2 | 0.68% | 0.66% | ||||
Ratio of net investment income to average net assets | 0.48% | 0.49% | 0.34% | 0.62% | 0.69% | ||||
Portfolio turnover rate3 | 78% | 85% | 49% | 69% | 80% |
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 0.66%, 0.64% and 0.65% for the years ended October 31, 2023, 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, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $12.37 | $13.05 | $ 9.03 | $ 10.29 | $ 9.82 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.23 | 0.21 | 0.18 | 0.20 | 0.21 | ||||
Net realized and unrealized gain (loss) on investments | (0.39) | (0.67) | 4.02 | (1.26) | 0.49 | ||||
Total from investment operations | (0.16) | (0.46) | 4.20 | (1.06) | 0.70 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.22) | (0.18) | (0.20) | (0.23) | ||||
Net realized capital gains | (0.49) | — | — | — | — | ||||
Total distributions | (0.71) | (0.22) | (0.18) | (0.20) | (0.23) | ||||
Net asset value, end of year | $11.50 | $12.37 | $13.05 | $ 9.03 | $10.29 | ||||
Total return2 | (1.46)% | (3.49)% | 46.66% | (10.19)% | 7.33% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,640 | $1,665 | $2,487 | $ 1,588 | $2,040 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.85% | 2.27% | 2.45% | 2.66% | 3.20% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.85% 3 | 0.85% | 0.85% | 0.89% | ||||
Ratio of net investment income to average net assets | 1.87% | 1.66% | 1.48% | 2.15% | 2.08% | ||||
Portfolio turnover rate | 81% | 76% | 68% | 95% | 77% |
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. |
Quantitative U.S. Small Cap Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $13.13 | $15.05 | $ 9.55 | $10.39 | $10.25 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.11 | 0.14 | 0.07 | 0.06 | 0.05 | ||||
Net realized and unrealized gain (loss) on investments | (0.67) | (0.57) | 5.50 | (0.82) | 0.17 | ||||
Total from investment operations | (0.56) | (0.43) | 5.57 | (0.76) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.11) | (0.15) | (0.07) | (0.08) | (0.08) | ||||
Net realized capital gains | (1.00) | (1.34) | — | — | — | ||||
Total distributions | (1.11) | (1.49) | (0.07) | (0.08) | (0.08) | ||||
Net asset value, end of year | $11.46 | $13.13 | $15.05 | $ 9.55 | $10.39 | ||||
Total return2 | (4.52)% | (2.97)% | 58.45% | (7.37)% | 2.19% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,450 | $1,521 | $1,556 | $ 982 | $1,061 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.06% | 3.49% | 3.45% | 4.63% | 4.12% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.85% | 0.85% | 0.85% | 0.90% | ||||
Ratio of net investment income to average net assets | 0.91% | 1.03% | 0.53% | 0.65% | 0.53% | ||||
Portfolio turnover rate | 85% | 94% | 84% | 101% | 133% |
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. |
51 |
Quantitative International Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 12.27 | $ 15.54 | $ 12.05 | $ 13.97 | $ 13.26 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.32 | 0.42 | 0.36 | 0.26 | 0.39 | ||||
Net realized and unrealized gain (loss) on investments | 1.54 | (3.15) | 3.48 | (1.79) | 0.73 | ||||
Total from investment operations | 1.86 | (2.73) | 3.84 | (1.53) | 1.12 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.29) | (0.54) | (0.35) | (0.37) | (0.41) | ||||
Net return of capital | — | — | — | (0.02) | — | ||||
Total distributions | (0.29) | (0.54) | (0.35) | (0.39) | (0.41) | ||||
Net asset value, end of year | $ 13.84 | $ 12.27 | $ 15.54 | $ 12.05 | $ 13.97 | ||||
Total return2 | 15.09% | (17.89)% | 31.96% | (11.10)% | 8.60% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $22,601 | $22,939 | $41,069 | $53,302 | $205,629 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.32% | 1.27% | 1.19% | 1.15% | 1.10% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% 3 | 1.00% 3 | 1.00% 3 | 1.00% | 1.00% | ||||
Ratio of net investment income to average net assets | 2.22% | 2.93% | 2.40% | 1.99% | 2.90% | ||||
Portfolio turnover rate | 84% | 91% | 79% | 76% | 93% |
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%, 1.00% and 1.00% for the years ended October 31, 2023, 2022 and 2021, respectively. |
52 |
Responsible ESG U.S. Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 16.10 | $ 20.71 | $ 14.26 | $ 14.34 | $ 14.12 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.16 | 0.18 | 0.14 | 0.15 | 0.16 | ||||
Net realized and unrealized gain (loss) on investments | 0.21 | (2.86) | 6.45 | (0.02) | 0.74 | ||||
Total from investment operations | 0.37 | (2.68) | 6.59 | 0.13 | 0.90 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.17) | (0.14) | (0.15) | (0.17) | ||||
Net realized capital gains | (1.06) | (1.76) | — | (0.06) | (0.51) | ||||
Total distributions | (1.21) | (1.93) | (0.14) | (0.21) | (0.68) | ||||
Net asset value, end of year | $ 15.26 | $ 16.10 | $ 20.71 | $ 14.26 | $ 14.34 | ||||
Total return2 | 2.35% | (14.02)% | 46.31% | 0.87% | 6.78% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $21,753 | $23,923 | $32,861 | $22,342 | $23,231 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.05% | 1.02% | 1.05% | 1.05% | 1.07% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 3 | 0.85% 3 | 0.85% | 0.85% | 0.90% | ||||
Ratio of net investment income to average net assets | 0.98% | 1.02% | 0.74% | 1.02% | 1.17% | ||||
Portfolio turnover rate | 87% | 101% | 74% | 88% | 102% |
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% and 0.85% for the years ended October 31, 2023 and 2022, respectively. |
Women in Leadership U.S. Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 13.70 | $ 19.27 | $ 13.52 | $ 13.98 | $ 13.34 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.15 | 0.19 | 0.18 | 0.16 | 0.15 | ||||
Net realized and unrealized gain (loss) on investments | 0.41 | (2.33) | 5.75 | (0.47) | 1.08 | ||||
Total from investment operations | 0.56 | (2.14) | 5.93 | (0.31) | 1.23 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.16) | (0.19) | (0.18) | (0.15) | (0.15) | ||||
Net realized capital gains | (0.28) | (3.24) | — | — | (0.44) | ||||
Total distributions | (0.44) | (3.43) | (0.18) | (0.15) | (0.59) | ||||
Net asset value, end of year | $ 13.82 | $ 13.70 | $ 19.27 | $ 13.52 | $ 13.98 | ||||
Total return2 | 4.14% | (13.15)% | 43.94% | (2.15)% | 9.75% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $19,515 | $22,172 | $27,887 | $21,678 | $21,047 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.06% | 1.05% | 1.04% | 1.08% | 1.11% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.85% 3 | 0.85% 3 | 0.85% | 0.90% | ||||
Ratio of net investment income to average net assets | 1.04% | 1.27% | 1.01% | 1.19% | 1.14% | ||||
Portfolio turnover rate | 83% | 105% | 81% | 105% | 89% |
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. |
53 |
Quantitative U.S. Long/Short Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 14.06 | $ 12.93 | $ 11.05 | $ 11.90 | $ 12.55 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.34 | (0.03) | (0.10) | (0.07) | 0.11 | ||||
Net realized and unrealized gain (loss) on investments | 0.42 | 1.16 | 1.98 | (0.77) | (0.65) | ||||
Total from investment operations | 0.76 | 1.13 | 1.88 | (0.84) | (0.54) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | — | — | — | (0.11) | ||||
Net return of capital | — | — | — | (0.01) | — | ||||
Total distributions | (0.30) | — | — | (0.01) | (0.11) | ||||
Net asset value, end of year | $ 14.52 | $ 14.06 | $ 12.93 | $ 11.05 | $ 11.90 | ||||
Total return2 | 5.46% 3 | 8.74% 3 | 17.01% | (7.07)% | (4.33)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $41,895 | $48,370 | $56,002 | $96,702 | $247,209 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.93% | 2.76% | 2.88% | 2.99% | 2.78% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets4 | 2.49% | 2.36% | 2.51% | 2.63% | 2.43% | ||||
Ratio of net investment income (loss) to average net assets | 2.38% | (0.25)% | (0.78)% | (0.59)% | 0.91% | ||||
Portfolio turnover rate5,6 | 99% | 118% | 115% | 133% | 108% |
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 expense, dividends on securities sold short and flex fees was 1.25%, 1.25%, 1.25%, 1.25% and 1.21% for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, 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. |
54 |
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 | ||||||||
2023 2 | 2022 2 | 2021 2 | 2020 2 | ||||||
Net asset value, beginning of year | $14.13 | $12.97 | $11.07 | $11.89 | $12.00 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.37 | — | (0.03) | (0.10) | 0.01 | ||||
Net realized and unrealized gain (loss) on investments | 0.43 | 1.16 | 1.93 | (0.71) | (0.08) | ||||
Total from investment operations | 0.80 | 1.16 | 1.90 | (0.81) | (0.07) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | — | — | — | (0.04) | ||||
Net return of capital | — | — | — | (0.01) | — | ||||
Total distributions | (0.32) | — | — | (0.01) | (0.04) | ||||
Net asset value, end of year | $14.61 | $14.13 | $12.97 | $11.07 | $11.89 | ||||
Total return3 | 5.73% | 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) | $8,464 | $8,571 | $7,255 | $ 311 | $ 16 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.73% | 2.57% | 3.88% | 2.59% | 2.36% 6 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets7 | 2.29% | 2.17% | 3.52% | 2.23% | 2.01% 6 | ||||
Ratio of net investment income (loss) to average net assets | 2.59% | (0.01)% | (0.27)% | (0.89)% | 0.36% 6 | ||||
Portfolio turnover rate8,9 | 99% | 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 | Not annualized. |
6 | Annualized. |
7 | The ratio of operating expenses after waiver/reimbursement excluding interest expense, dividends on securities sold short and flex fees was 1.05%, 1.05%, 1.05% and 1.05% for the years ended October 31, 2023, 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. |
55 |
Quantitative U.S. Total Market Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 17.81 | $ 22.90 | $ 15.34 | $ 17.88 | $ 18.85 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.09 | 0.07 | 0.03 | 0.07 | 0.11 | ||||
Net realized and unrealized gain (loss) on investments | (0.71) | (1.57) | 9.45 | (1.52) | 0.49 | ||||
Total from investment operations | (0.62) | (1.50) | 9.48 | (1.45) | 0.60 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.09) | (0.08) | (0.03) | (0.11) | (0.11) | ||||
Net realized capital gains | — | (3.51) | (1.89) | (0.98) | (1.46) | ||||
Total distributions | (0.09) | (3.59) | (1.92) | (1.09) | (1.57) | ||||
Net asset value, end of year | $ 17.10 | $ 17.81 | $ 22.90 | $ 15.34 | $ 17.88 | ||||
Total return2 | (3.50)% | (7.76)% | 66.37% | (8.82)% | 4.11% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $35,860 | $43,836 | $35,961 | $28,447 | $67,923 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.42% | 2.36% | 2.23% | 2.56% | 2.48% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets3 | 2.01% | 1.99% | 1.83% | 2.06% | 2.07% | ||||
Ratio of net investment income to average net assets | 0.49% | 0.39% | 0.15% | 0.45% | 0.60% | ||||
Portfolio turnover rate4 | 84% | 95% | 71% | 98% | 92% |
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, 2023, 2022, 2021, 2020 and 2019, respectively. |
4 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
56 |
Strategic Equity Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 27.45 | $ 35.56 | $ 26.43 | $ 27.22 | $ 24.30 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.14 | 0.12 | 0.12 | 0.21 | 0.23 | ||||
Net realized and unrealized gain (loss) on investments | 2.45 | (4.56) | 10.73 | (0.25) | 3.22 | ||||
Total from investment operations | 2.59 | (4.44) | 10.85 | (0.04) | 3.45 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.12) | (0.13) | (0.22) | (0.23) | ||||
Net realized capital gains | (2.04) | (3.55) | (1.59) | (0.53) | (0.30) | ||||
Total distributions | (2.19) | (3.67) | (1.72) | (0.75) | (0.53) | ||||
Net asset value, end of year | $ 27.85 | $ 27.45 | $ 35.56 | $ 26.43 | $ 27.22 | ||||
Total return | 9.98% | (13.95)% | 42.57% | (0.18)% | 14.51% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $165,886 | $191,646 | $268,648 | $219,447 | $269,033 | ||||
Ratio of operating expenses to average net assets | 0.86% 2 | 0.85% 2 | 0.85% | 0.86% | 0.84% | ||||
Ratio of net investment income to average net assets | 0.50% | 0.39% | 0.38% | 0.79% | 0.89% | ||||
Portfolio turnover rate | 14% | 20% | 14% | 19% | 19% |
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 0.86% and 0.85% for the years ended October 31, 2023 and 2022, respectively. |
Small Cap Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 33.04 | $ 37.06 | $ 23.23 | $ 23.66 | $ 28.82 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.16 | 0.12 | — | 0.02 | 0.05 | ||||
Net realized and unrealized gain (loss) on investments | (1.07) | (2.47) | 13.87 | (0.41) | (1.04) | ||||
Total from investment operations | (0.91) | (2.35) | 13.87 | (0.39) | (0.99) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.18) | (0.11) | (0.04) | (0.04) | (0.07) | ||||
Net realized capital gains | (3.55) | (1.56) | — | — | (4.09) | ||||
Net return of capital | — | — | — | (0.00) 2 | (0.01) | ||||
Total distributions | (3.73) | (1.67) | (0.04) | (0.04) | (4.17) | ||||
Net asset value, end of year | $ 28.40 | $ 33.04 | $ 37.06 | $ 23.23 | $ 23.66 | ||||
Total return | (3.04)% | (6.59)% | 59.75% | (1.63)% | (2.61)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $412,521 | $468,157 | $530,401 | $403,309 | $761,813 | ||||
Ratio of operating expenses to average net assets | 0.95% 3 | 0.93% 3 | 0.92% 3 | 0.94% | 0.93% | ||||
Ratio of net investment income to average net assets | 0.51% | 0.35% | 0.01% | 0.11% | 0.21% | ||||
Portfolio turnover rate4 | 20% | 28% | 41% | 36% | 54% |
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 0.95%, 0.93% and 0.92% for the years ended October 31, 2023, 2022 and 2021, respectively. |
4 | Portfolio turnover is calculated at the fund level. |
57 |
Small Cap Equity Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 35.13 | $ 39.29 | $ 24.61 | $ 25.07 | $ 30.25 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.24 | 0.20 | 0.08 | 0.07 | 0.10 | ||||
Net realized and unrealized gain (loss) on investments | (1.15) | (2.62) | 14.68 | (0.44) | (1.06) | ||||
Total from investment operations | (0.91) | (2.42) | 14.76 | (0.37) | (0.96) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.18) | (0.08) | (0.09) | (0.12) | ||||
Net realized capital gains | (3.55) | (1.56) | — | — | (4.09) | ||||
Net return of capital | — | — | — | (0.00) 2 | (0.01) | ||||
Total distributions | (3.80) | (1.74) | (0.08) | (0.09) | (4.22) | ||||
Net asset value, end of year | $ 30.42 | $ 35.13 | $ 39.29 | $ 24.61 | $ 25.07 | ||||
Total return | (2.87)% | (6.39)% | 60.04% | (1.44)% | (2.38)% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $540,040 | $642,649 | $944,442 | $836,015 | $1,279,693 | ||||
Ratio of operating expenses to average net assets | 0.75% 3 | 0.73% 3 | 0.72% 3 | 0.74% | 0.73% | ||||
Ratio of net investment income to average net assets | 0.72% | 0.54% | 0.22% | 0.29% | 0.39% | ||||
Portfolio turnover rate4 | 20% | 28% | 41% | 36% | 54% |
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 0.75%, 0.73% and 0.72% for the years ended October 31, 2023, 2022 and 2021, respectively. |
4 | Portfolio turnover is calculated at the fund level. |
Equity Income Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 14.58 | $ 15.92 | $ 11.88 | $ 12.22 | $ 11.15 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.25 | 0.23 | 0.22 | 0.26 | 0.25 | ||||
Net realized and unrealized gain (loss) on investments | (0.31) | (0.63) | 4.05 | (0.32) | 1.33 | ||||
Total from investment operations | (0.06) | (0.40) | 4.27 | (0.06) | 1.58 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.23) | (0.23) | (0.28) | (0.25) | ||||
Net realized capital gains | (0.42) | (0.71) | — | — | (0.26) | ||||
Total distributions | (0.67) | (0.94) | (0.23) | (0.28) | (0.51) | ||||
Net asset value, end of year | $ 13.85 | $ 14.58 | $ 15.92 | $ 11.88 | $ 12.22 | ||||
Total return2 | (0.60)% | (2.70)% | 36.12% | (0.38)% | 14.69% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $18,499 | $21,902 | $22,296 | $18,560 | $23,900 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.00% | 0.97% | 1.10% | 1.04% 3 | 1.01% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 4 | 0.85% | 0.85% | 0.85% 3 | 0.85% | ||||
Ratio of net investment income to average net assets | 1.74% | 1.57% | 1.53% | 2.21% 3 | 2.19% | ||||
Portfolio turnover rate | 21% | 15% | 27% | 63% | 39% |
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 held in the Portfolio. |
4 | The ratio of operating expenses excluding interest expense was 0.85% for the year ended October 31, 2023. |
58 |
Secured Options Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 11.58 | $ 14.83 | $ 11.67 | $ 13.01 | $ 12.30 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.01 | (0.07) | (0.11) | (0.07) | (0.04) | ||||
Net realized and unrealized gain (loss) on investments | 1.29 | (1.40) | 3.27 | (0.34) | 1.04 | ||||
Total from investment operations | 1.30 | (1.47) | 3.16 | (0.41) | 1.00 | ||||
Distributions to shareholders from: | |||||||||
Net realized capital gains | — | (1.78) | — | (0.93) | (0.29) | ||||
Total distributions | — | (1.78) | — | (0.93) | (0.29) | ||||
Net asset value, end of year | $ 12.88 | $ 11.58 | $ 14.83 | $ 11.67 | $ 13.01 | ||||
Total return | 11.23% 2 | (11.29)% | 27.08% | (3.50)% | 8.43% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $56,074 | $70,447 | $90,143 | $95,701 | $268,478 | ||||
Ratio of operating expenses to average net assets3 | 0.86% 4 | 0.85% | 0.86% | 0.88% | 0.87% 4 | ||||
Ratio of net investment income (loss) to average net assets3 | 0.08% | (0.55)% | (0.77)% | (0.59)% | (0.34)% | ||||
Portfolio turnover rate5,6 | —% | —% | —% | —% | —% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions as shown in the management discussion and analysis and as otherwise reported to shareholders. |
3 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
4 | The ratio of operating expenses excluding interest expense was 0.86% and 0.86% for the years ended October 31, 2023 and 2019, respectively. |
5 | Portfolio turnover is calculated at the fund level. |
6 | 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. |
59 |
Secured Options Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 11.74 | $ 14.99 | $ 11.77 | $ 13.09 | $ 12.34 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.04 | (0.04) | (0.08) | (0.05) | (0.02) | ||||
Net realized and unrealized gain (loss) on investments | 1.30 | (1.43) | 3.30 | (0.34) | 1.06 | ||||
Total from investment operations | 1.34 | (1.47) | 3.22 | (0.39) | 1.04 | ||||
Distributions to shareholders from: | |||||||||
Net realized capital gains | — | (1.78) | — | (0.93) | (0.29) | ||||
Total distributions | — | (1.78) | — | (0.93) | (0.29) | ||||
Net asset value, end of year | $ 13.08 | $ 11.74 | $ 14.99 | $ 11.77 | $ 13.09 | ||||
Total return | 11.41% 2 | (11.16)% | 27.36% | (3.31)% | 8.73% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $456,293 | $431,137 | $341,245 | $354,674 | $409,829 | ||||
Ratio of operating expenses to average net assets3 | 0.66% 4 | 0.65% | 0.66% | 0.68% | 0.67% 4 | ||||
Ratio of net investment income (loss) to average net assets3 | 0.29% | (0.32)% | (0.57)% | (0.44)% | (0.14)% | ||||
Portfolio turnover rate5,6 | —% | —% | —% | —% | —% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions as shown in the management discussion and analysis and as otherwise reported to shareholders. |
3 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
4 | The ratio of operating expenses excluding interest expense was 0.66% and 0.66% for the years ended October 31, 2023 and 2019, respectively. |
5 | Portfolio turnover is calculated at the fund level. |
6 | 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, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1,2 | 2019 1,2 | |||||
Net asset value, beginning of year | $ 4.25 | $ 5.64 | $ 4.84 | $ 4.90 | $104.10 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.02 | (0.02) | (0.05) | (0.04) | 0.02 | ||||
Net realized and unrealized gain (loss) on investments | 0.52 | (0.64) | 1.07 | (0.02) | (5.71) | ||||
Total from investment operations | 0.54 | (0.66) | 1.02 | (0.06) | (5.69) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.00) 3 | — | — | (0.00) 3 | (0.01) | ||||
Net realized capital gains | — | (0.73) | (0.22) | — | (93.50) | ||||
Total distributions | (0.00) 3 | (0.73) | (0.22) | (0.00) 3 | (93.51) | ||||
Net asset value, end of year | $ 4.79 | $ 4.25 | $ 5.64 | $ 4.84 | $ 4.90 | ||||
Total return4 | 12.74% | (13.35)% | 21.59% | (1.07)% | 8.56% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $22,470 | $20,062 | $17,152 | $9,648 | $ 1,220 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets5 | 1.15% | 1.22% | 1.30% | 2.13% | 9.76% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets5 | 1.00% 6 | 1.00% 6 | 1.00% | 1.00% | 1.63% 6 | ||||
Ratio of net investment income to average net assets5 | 0.34% | (0.46)% | (0.96)% | (0.83)% | 0.32% | ||||
Portfolio turnover rate | 117% | 152% | —% 7 | 995% | 685% |
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% and 1.00% for the years ended October 31, 2023 and 2022, respectively and the ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and interest expense was 1.62% for the year ended October 31, 2019. |
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, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 9.16 | $ 11.11 | $ 11.71 | $ 11.31 | $ 10.49 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.23 | 0.18 | 0.14 | 0.21 | 0.25 | ||||
Net realized and unrealized gain (loss) on investments | (0.30) | (1.92) | (0.36) | 0.44 | 0.83 | ||||
Total from investment operations | (0.07) | (1.74) | (0.22) | 0.65 | 1.08 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.24) | (0.21) | (0.20) | (0.25) | (0.26) | ||||
Net realized capital gains | — | (0.00) 2 | (0.18) | — | — | ||||
Total distributions | (0.24) | (0.21) | (0.38) | (0.25) | (0.26) | ||||
Net asset value, end of year | $ 8.85 | $ 9.16 | $ 11.11 | $ 11.71 | $ 11.31 | ||||
Total return | (0.90)% | (15.80)% | (1.91)% | 5.82% | 10.46% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $365,032 | $319,773 | $424,512 | $436,975 | $505,603 | ||||
Ratio of operating expenses to average net assets | 0.55% | 0.54% | 0.54% | 0.54% | 0.53% | ||||
Ratio of net investment income to average net assets | 2.50% | 1.72% | 1.27% | 1.78% | 2.30% | ||||
Portfolio turnover rate | 13% | 28% | 24% | 52% | 36% |
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, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 9.67 | $ 10.09 | $ 10.16 | $ 10.07 | $ 9.90 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.16 | 0.08 | 0.08 | 0.11 | 0.13 | ||||
Net realized and unrealized gain (loss) on investments | 0.07 | (0.42) | (0.06) | 0.09 | 0.17 | ||||
Total from investment operations | 0.23 | (0.34) | 0.02 | 0.20 | 0.30 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.16) | (0.08) | (0.09) | (0.11) | (0.13) | ||||
Total distributions | (0.16) | (0.08) | (0.09) | (0.11) | (0.13) | ||||
Net asset value, end of year | $ 9.74 | $ 9.67 | $ 10.09 | $ 10.16 | $ 10.07 | ||||
Total return2 | 2.41% | (3.40)% | 0.15% | 1.96% | 3.03% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $36,896 | $56,963 | $56,284 | $53,525 | $50,939 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 0.69% | 0.62% | 0.64% 3 | 0.63% 3 | 0.66% 3 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.55% 4 | 0.55% 4 | 0.55% 3,4 | 0.55% 3 | 0.55% 3 | ||||
Ratio of net investment income to average net assets | 1.68% | 0.84% | 0.77% | 1.08% | 1.33% | ||||
Portfolio turnover rate | 45% | 56% | 25% | 59% | 25% |
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%, 0.55% and 0.55% for the years ended October 31, 2023, 2022 and 2021, respectively. |
62 |
High Yield Municipal Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 8.94 | $ 11.09 | $ 10.65 | $ 10.84 | $ 10.16 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.35 | 0.28 | 0.27 | 0.30 | 0.31 | ||||
Net realized and unrealized gain (loss) on investments | (0.22) | (2.06) | 0.44 | (0.19) | 0.68 | ||||
Total from investment operations | 0.13 | (1.78) | 0.71 | 0.11 | 0.99 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.36) | (0.29) | (0.27) | (0.30) | (0.31) | ||||
Net realized capital gains | — | (0.08) | (0.00) 2 | — | — | ||||
Total distributions | (0.36) | (0.37) | (0.27) | (0.30) | (0.31) | ||||
Net asset value, end of year | $ 8.71 | $ 8.94 | $ 11.09 | $ 10.65 | $ 10.84 | ||||
Total return | 1.26% | (16.42)% 3 | 6.68% 3 | 1.09% 3 | 9.90% 3 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $155,383 | $156,810 | $282,512 | $232,783 | $215,419 | ||||
Ratio of operating expenses to average net assets | 0.89% 4 | —% | —% | —% | —% | ||||
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% 5,6 | 1.00% | 1.00% | 1.00% | ||||
Ratio of net investment income to average net assets | 3.74% | 2.76% | 2.40% | 2.85% | 2.95% | ||||
Portfolio turnover rate | 25% | 28% | 19% | 28% | 27% |
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 | The ratio of operating expenses excluding interest expense was 0.89% for the year ended October 31, 2023. |
5 | 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. |
6 | 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* — 99.9% | |||
Automobile Components — 1.1% | |||
220,826 | BorgWarner, Inc. | $ 8,148,479 | |
Automobiles — 0.8% | |||
204,406 | General Motors Co. | 5,764,249 | |
Banks — 2.1% | |||
112,862 | Comerica, Inc. | 4,446,763 | |
509,778 | Regions Financial Corp. | 7,407,074 | |
104,710 | Wells Fargo & Co. | 4,164,317 | |
16,018,154 | |||
Beverages — 1.1% | |||
146,395 | Coca-Cola Co. | 8,269,854 | |
Biotechnology — 5.1% | |||
54,821 | Amgen, Inc. | 14,017,730 | |
101,080 | Gilead Sciences, Inc. | 7,938,823 | |
36,842 | United Therapeutics Corp.1 | 8,210,608 | |
23,114 | Vertex Pharmaceuticals, Inc.1 | 8,369,811 | |
38,536,972 | |||
Broadline Retail — 1.0% | |||
192,224 | eBay, Inc. | 7,540,948 | |
Building Products — 2.2% | |||
250,298 | Carrier Global Corp. | 11,929,203 | |
44,613 | Owens Corning | 5,057,776 | |
16,986,979 | |||
Capital Markets — 3.6% | |||
157,506 | Bank of New York Mellon Corp. | 6,694,005 | |
58,912 | CME Group, Inc. | 12,575,356 | |
76,612 | Intercontinental Exchange, Inc. | 8,231,193 | |
27,500,554 | |||
Commercial Services & Supplies — 0.6% | |||
31,435 | Clean Harbors, Inc.1 | 4,830,616 | |
Communications Equipment — 3.9% | |||
84,476 | Arista Networks, Inc.1 | 16,926,456 | |
240,792 | Cisco Systems, Inc. | 12,552,487 | |
29,478,943 | |||
Consumer Staples Distribution & Retail — 1.9% | |||
17,299 | Casey’s General Stores, Inc. | 4,703,771 | |
219,036 | Kroger Co. | 9,937,663 | |
14,641,434 | |||
Containers & Packaging — 0.7% | |||
92,183 | Berry Global Group, Inc. | 5,070,065 | |
Distributors — 1.9% | |||
55,699 | Genuine Parts Co. | 7,177,373 | |
161,119 | LKQ Corp. | 7,076,347 | |
14,253,720 | |||
Diversified Telecommunication Services — 1.2% | |||
603,081 | AT&T, Inc. | 9,287,447 | |
Electrical Equipment — 1.0% | |||
51,285 | AMETEK, Inc. | 7,219,389 |
64 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — 1.1% | |||
70,917 | Jabil, Inc. | $ 8,708,608 | |
Energy Equipment & Services — 1.5% | |||
322,277 | Baker Hughes Co. Class A | 11,092,774 | |
Entertainment — 0.5% | |||
9,561 | Netflix, Inc.1 | 3,936,168 | |
Financial Services — 2.6% | |||
39,627 | FleetCor Technologies, Inc.1 | 8,922,811 | |
127,030 | PayPal Holdings, Inc.1 | 6,580,154 | |
387,720 | Western Union Co. | 4,377,359 | |
19,880,324 | |||
Food Products — 2.1% | |||
53,465 | Archer-Daniels-Midland Co. | 3,826,490 | |
181,338 | General Mills, Inc. | 11,830,491 | |
15,656,981 | |||
Ground Transportation — 1.2% | |||
311,958 | CSX Corp. | 9,311,946 | |
Health Care Providers & Services — 7.5% | |||
126,428 | Centene Corp.1 | 8,721,003 | |
29,833 | Cigna Group | 9,224,364 | |
107,690 | CVS Health Corp. | 7,431,687 | |
28,142 | Elevance Health, Inc. | 12,666,433 | |
14,493 | Humana, Inc. | 7,589,839 | |
15,484 | McKesson Corp. | 7,050,794 | |
8,188 | UnitedHealth Group, Inc. | 4,385,165 | |
57,069,285 | |||
Hotels, Restaurants & Leisure — 2.7% | |||
30,830 | Airbnb, Inc. Class A1 | 3,646,881 | |
3,422 | Booking Holdings, Inc.1 | 9,545,874 | |
72,628 | Expedia Group, Inc.1 | 6,920,722 | |
20,113,477 | |||
Household Durables — 1.4% | |||
67,257 | Lennar Corp. Class A | 7,174,977 | |
52,090 | Toll Brothers, Inc. | 3,683,284 | |
10,858,261 | |||
Household Products — 1.1% | |||
88,306 | Church & Dwight Co., Inc. | 8,030,548 | |
Insurance — 1.9% | |||
51,638 | Aflac, Inc. | 4,033,444 | |
28,868 | Marsh & McLennan Cos., Inc. | 5,474,816 | |
95,760 | Unum Group | 4,682,664 | |
14,190,924 | |||
Interactive Media & Services — 2.4% | |||
91,600 | Alphabet, Inc. Class A1 | 11,365,728 | |
23,347 | Meta Platforms, Inc. Class A1 | 7,033,751 | |
18,399,479 | |||
IT Services — 3.5% | |||
108,888 | Akamai Technologies, Inc.1 | 11,251,397 | |
94,782 | Amdocs Ltd. | 7,597,725 |
65 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
113,799 | Okta, Inc.1 | $ 7,671,191 | |
26,520,313 | |||
Machinery — 3.1% | |||
61,544 | PACCAR, Inc. | 5,079,226 | |
35,382 | Parker-Hannifin Corp. | 13,052,774 | |
21,500 | Snap-on, Inc. | 5,545,710 | |
23,677,710 | |||
Media — 5.0% | |||
345,787 | Comcast Corp. Class A | 14,277,545 | |
187,273 | Fox Corp. Class A | 5,691,227 | |
193,211 | Interpublic Group of Cos., Inc. | 5,487,192 | |
169,383 | Omnicom Group, Inc. | 12,688,481 | |
38,144,445 | |||
Metals & Mining — 2.0% | |||
73,114 | Nucor Corp. | 10,805,518 | |
39,346 | Steel Dynamics, Inc. | 4,190,743 | |
14,996,261 | |||
Multi-Utilities — 1.6% | |||
300,486 | NiSource, Inc. | 7,560,228 | |
69,122 | Public Service Enterprise Group, Inc. | 4,261,371 | |
11,821,599 | |||
Oil, Gas & Consumable Fuels — 3.3% | |||
90,786 | HF Sinclair Corp. | 5,027,729 | |
103,226 | Marathon Petroleum Corp. | 15,612,932 | |
39,222 | Phillips 66 | 4,474,054 | |
25,114,715 | |||
Personal Care Products — 1.0% | |||
397,993 | Kenvue, Inc. | 7,402,670 | |
Pharmaceuticals — 2.4% | |||
36,150 | Johnson & Johnson | 5,362,491 | |
260,366 | Perrigo Co. PLC | 7,196,516 | |
218,763 | Royalty Pharma PLC Class A | 5,878,162 | |
18,437,169 | |||
Real Estate Management & Development — 0.6% | |||
60,139 | CBRE Group, Inc. Class A1 | 4,170,038 | |
Semiconductors & Semiconductor Equipment — 5.4% | |||
59,075 | Applied Materials, Inc. | 7,818,576 | |
29,628 | KLA Corp. | 13,916,272 | |
23,965 | NXP Semiconductors NV | 4,132,285 | |
148,108 | ON Semiconductor Corp.1 | 9,277,485 | |
62,109 | Qorvo, Inc.1 | 5,429,569 | |
40,574,187 | |||
Software — 8.5% | |||
28,498 | Adobe, Inc.1 | 15,162,646 | |
115,832 | DocuSign, Inc.1 | 4,503,548 | |
534,125 | Dropbox, Inc. Class A1 | 14,047,488 | |
218,385 | Fortinet, Inc.1 | 12,485,070 | |
486,444 | UiPath, Inc. Class A1 | 7,554,475 | |
19,719 | Workday, Inc. Class A1 | 4,174,709 |
66 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
111,871 | Zoom Video Communications, Inc. Class A1 | $ 6,710,023 | |
64,637,959 | |||
Specialized REITs — 2.4% | |||
13,269 | Equinix, Inc. | 9,681,593 | |
36,452 | Public Storage | 8,701,457 | |
18,383,050 | |||
Specialty Retail — 3.1% | |||
114,588 | Best Buy Co., Inc. | 7,656,770 | |
60,468 | Ross Stores, Inc. | 7,012,474 | |
97,916 | TJX Cos., Inc. | 8,623,462 | |
23,292,706 | |||
Technology Hardware, Storage & Peripherals — 3.3% | |||
709,260 | Hewlett Packard Enterprise Co. | 10,908,419 | |
134,482 | HP, Inc. | 3,540,911 | |
316,854 | Pure Storage, Inc. Class A1 | 10,712,834 | |
25,162,164 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
125,688 | Tapestry, Inc. | 3,463,961 | |
TOTAL COMMON STOCKS (Cost $623,307,545) | 756,595,525 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.1% | |||
$1,243,920 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $1,243,975, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $1,269,900, coupon rate of 5.000%, due 10/31/2025, market value of $1,268,858) | 1,243,920 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,243,920) | 1,243,920 | ||
TOTAL INVESTMENTS (Cost $624,551,465) | 100.0% | $757,839,445 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (306,994) | |
NET ASSETS | 100.0% | $757,532,451 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
67 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 8.5% | $ 64,637,959 | |
Health Care Providers & Services | 7.5 | 57,069,285 | |
Semiconductors & Semiconductor Equipment | 5.4 | 40,574,187 | |
Biotechnology | 5.1 | 38,536,972 | |
Media | 5.0 | 38,144,445 | |
Communications Equipment | 3.9 | 29,478,943 | |
Capital Markets | 3.6 | 27,500,554 | |
IT Services | 3.5 | 26,520,313 | |
Technology Hardware, Storage & Peripherals | 3.3 | 25,162,164 | |
Oil, Gas & Consumable Fuels | 3.3 | 25,114,715 | |
Machinery | 3.1 | 23,677,710 | |
Specialty Retail | 3.1 | 23,292,706 | |
Hotels, Restaurants & Leisure | 2.7 | 20,113,477 | |
Financial Services | 2.6 | 19,880,324 | |
Pharmaceuticals | 2.4 | 18,437,169 | |
Interactive Media & Services | 2.4 | 18,399,479 | |
Specialized REITs | 2.4 | 18,383,050 | |
Building Products | 2.2 | 16,986,979 | |
Banks | 2.1 | 16,018,154 | |
Food Products | 2.1 | 15,656,981 | |
Metals & Mining | 2.0 | 14,996,261 | |
Consumer Staples Distribution & Retail | 1.9 | 14,641,434 | |
Distributors | 1.9 | 14,253,720 | |
Insurance | 1.9 | 14,190,924 | |
Multi-Utilities | 1.6 | 11,821,599 | |
Energy Equipment & Services | 1.5 | 11,092,774 | |
Household Durables | 1.4 | 10,858,261 | |
Ground Transportation | 1.2 | 9,311,946 | |
Diversified Telecommunication Services | 1.2 | 9,287,447 | |
Electronic Equipment, Instruments & Components | 1.1 | 8,708,608 | |
Beverages | 1.1 | 8,269,854 | |
Automobile Components | 1.1 | 8,148,479 | |
Household Products | 1.1 | 8,030,548 | |
Broadline Retail | 1.0 | 7,540,948 | |
Personal Care Products | 1.0 | 7,402,670 | |
Electrical Equipment | 1.0 | 7,219,389 | |
Automobiles | 0.8 | 5,764,249 | |
Containers & Packaging | 0.7 | 5,070,065 | |
Commercial Services & Supplies | 0.6 | 4,830,616 | |
Real Estate Management & Development | 0.6 | 4,170,038 | |
Entertainment | 0.5 | 3,936,168 | |
Textiles, Apparel & Luxury Goods | 0.5 | 3,463,961 | |
TOTAL COMMON STOCKS | 99.9% | $756,595,525 | |
REPURCHASE AGREEMENT | 0.1 | 1,243,920 | |
TOTAL INVESTMENTS | 100.0% | $757,839,445 |
68 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Air Freight & Logistics — 1.0% | |||
173,283 | Expeditors International of Washington, Inc. | $ 18,931,168 | |
Beverages — 2.1% | |||
713,133 | Coca-Cola Co. | 40,284,883 | |
Biotechnology — 6.5% | |||
73,157 | Amgen, Inc. | 18,706,245 | |
72,589 | Regeneron Pharmaceuticals, Inc.1 | 56,611,435 | |
136,576 | Vertex Pharmaceuticals, Inc.1 | 49,455,535 | |
124,773,215 | |||
Broadline Retail — 1.7% | |||
839,759 | eBay, Inc. | 32,943,746 | |
Building Products — 1.4% | |||
139,872 | Trane Technologies PLC | 26,619,040 | |
Capital Markets — 0.6% | |||
99,989 | Intercontinental Exchange, Inc. | 10,742,818 | |
Chemicals — 0.7% | |||
539,828 | Axalta Coating Systems Ltd.1 | 14,159,688 | |
Communications Equipment — 3.2% | |||
308,022 | Arista Networks, Inc.1 | 61,718,368 | |
Containers & Packaging — 1.1% | |||
963,189 | Graphic Packaging Holding Co. | 20,718,195 | |
Diversified Consumer Services — 0.5% | |||
238,437 | H&R Block, Inc. | 9,787,839 | |
Electronic Equipment, Instruments & Components — 7.8% | |||
704,991 | Amphenol Corp. Class A | 56,787,025 | |
451,271 | Jabil, Inc. | 55,416,079 | |
312,867 | Keysight Technologies, Inc.1 | 38,185,417 | |
150,388,521 | |||
Entertainment — 2.8% | |||
104,802 | Netflix, Inc.1 | 43,145,935 | |
1,182,702 | Warner Bros Discovery, Inc.1 | 11,756,058 | |
54,901,993 | |||
Financial Services — 4.5% | |||
342,188 | Fiserv, Inc.1 | 38,923,885 | |
204,067 | Visa, Inc. Class A | 47,976,152 | |
86,900,037 | |||
Health Care Providers & Services — 6.2% | |||
75,991 | Cigna Group | 23,496,417 | |
84,824 | Elevance Health, Inc. | 38,178,434 | |
63,040 | Humana, Inc. | 33,013,418 | |
47,916 | UnitedHealth Group, Inc. | 25,661,893 | |
120,350,162 | |||
Hotels, Restaurants & Leisure — 3.8% | |||
224,959 | Airbnb, Inc. Class A1 | 26,610,400 | |
11,643 | Booking Holdings, Inc.1 | 32,478,847 | |
141,022 | Expedia Group, Inc.1 | 13,437,987 | |
72,527,234 |
69 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Durables — 2.2% | |||
319,651 | Lennar Corp. Class A | $ 34,100,369 | |
41,044 | TopBuild Corp.1 | 9,389,225 | |
43,489,594 | |||
Household Products — 2.9% | |||
119,397 | Kimberly-Clark Corp. | 14,284,657 | |
275,343 | Procter & Gamble Co. | 41,309,710 | |
55,594,367 | |||
Insurance — 0.8% | |||
77,763 | Marsh & McLennan Cos., Inc. | 14,747,753 | |
Interactive Media & Services — 7.8% | |||
436,117 | Alphabet, Inc. Class A1 | 54,113,397 | |
175,799 | Meta Platforms, Inc. Class A1 | 52,962,965 | |
1,432,308 | Pinterest, Inc. Class A1 | 42,797,363 | |
149,873,725 | |||
IT Services — 7.1% | |||
142,602 | Accenture PLC Class A | 42,365,628 | |
108,530 | Gartner, Inc.1 | 36,036,301 | |
295,872 | Snowflake, Inc. Class A1 | 42,939,903 | |
317,176 | Twilio, Inc. Class A1 | 16,258,442 | |
137,600,274 | |||
Machinery — 0.8% | |||
86,297 | Lincoln Electric Holdings, Inc. | 15,084,716 | |
Professional Services — 1.7% | |||
95,058 | Automatic Data Processing, Inc. | 20,743,557 | |
102,122 | Paychex, Inc. | 11,340,648 | |
32,084,205 | |||
Semiconductors & Semiconductor Equipment — 7.8% | |||
311,667 | Applied Materials, Inc. | 41,249,127 | |
122,318 | KLA Corp. | 57,452,765 | |
224,183 | Lattice Semiconductor Corp.1 | 12,466,817 | |
640,367 | ON Semiconductor Corp.1 | 40,112,589 | |
151,281,298 | |||
Software — 13.1% | |||
234,571 | Cadence Design Systems, Inc.1 | 56,261,854 | |
291,463 | DocuSign, Inc.1 | 11,332,081 | |
380,105 | Dropbox, Inc. Class A1 | 9,996,762 | |
620,591 | Fortinet, Inc.1 | 35,479,187 | |
182,355 | Microsoft Corp. | 61,656,049 | |
76,461 | Synopsys, Inc.1 | 35,893,852 | |
1,205,975 | UiPath, Inc. Class A1,2 | 18,728,792 | |
114,167 | Workday, Inc. Class A1 | 24,170,296 | |
253,518,873 | |||
Specialized REITs — 0.5% | |||
14,126 | Equinix, Inc. | 10,306,895 | |
Specialty Retail — 9.3% | |||
453,984 | Best Buy Co., Inc. | 30,335,211 | |
97,335 | Dick’s Sporting Goods, Inc. | 10,409,978 | |
211,978 | Lowe’s Cos., Inc. | 40,396,647 | |
280,150 | Ross Stores, Inc. | 32,488,996 | |
538,624 | TJX Cos., Inc. | 47,436,616 |
70 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Specialty Retail — (Continued) | |||
119,016 | Williams-Sonoma, Inc. | $ 17,880,964 | |
178,948,412 | |||
Technology Hardware, Storage & Peripherals — 1.6% | |||
901,290 | Pure Storage, Inc. Class A1 | 30,472,615 | |
TOTAL COMMON STOCKS (Cost $1,509,953,527) | 1,918,749,634 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$11,173,323 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $11,173,820, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $11,406,200, coupon rate of 5.000%, due 10/31/2025, market value of $11,396,843) | 11,173,323 | |
TOTAL REPURCHASE AGREEMENT (Cost $11,173,323) | 11,173,323 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.1% | |||
1,477,476 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 1,477,476 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,477,476) | 1,477,476 | ||
TOTAL INVESTMENTS (Cost $1,522,604,326) | 100.2% | $1,931,400,433 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.2) | (3,665,128) | |
NET ASSETS | 100.0% | $1,927,735,305 |
* | 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 | 13.1% | $ 253,518,873 | |
Specialty Retail | 9.3 | 178,948,412 | |
Semiconductors & Semiconductor Equipment | 7.8 | 151,281,298 | |
Electronic Equipment, Instruments & Components | 7.8 | 150,388,521 | |
Interactive Media & Services | 7.8 | 149,873,725 | |
IT Services | 7.1 | 137,600,274 | |
Biotechnology | 6.5 | 124,773,215 | |
Health Care Providers & Services | 6.2 | 120,350,162 | |
Financial Services | 4.5 | 86,900,037 | |
Hotels, Restaurants & Leisure | 3.8 | 72,527,234 | |
Communications Equipment | 3.2 | 61,718,368 | |
Household Products | 2.9 | 55,594,367 | |
Entertainment | 2.8 | 54,901,993 | |
Household Durables | 2.2 | 43,489,594 | |
Beverages | 2.1 | 40,284,883 | |
Broadline Retail | 1.7 | 32,943,746 | |
Professional Services | 1.7 | 32,084,205 | |
Technology Hardware, Storage & Peripherals | 1.6 | 30,472,615 | |
Building Products | 1.4 | 26,619,040 | |
Containers & Packaging | 1.1 | 20,718,195 | |
Air Freight & Logistics | 1.0 | 18,931,168 | |
Machinery | 0.8 | 15,084,716 | |
Insurance | 0.8 | 14,747,753 | |
Chemicals | 0.7 | 14,159,688 | |
Capital Markets | 0.6 | 10,742,818 | |
Specialized REITs | 0.5 | 10,306,895 | |
Diversified Consumer Services | 0.5 | 9,787,839 | |
TOTAL COMMON STOCKS | 99.5% | $1,918,749,634 | |
REPURCHASE AGREEMENT | 0.6 | 11,173,323 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.1 | 1,477,476 | |
TOTAL INVESTMENTS | 100.2% | $1,931,400,433 |
72 |
Shares | Value | ||
COMMON STOCKS* — 99.8% | |||
Automobile Components — 0.6% | |||
82 | Lear Corp. | $ 10,640 | |
Automobiles — 0.3% | |||
530 | Ford Motor Co. | 5,167 | |
Banks — 5.1% | |||
831 | Bank of America Corp. | 21,889 | |
312 | Citizens Financial Group, Inc. | 7,310 | |
207 | Comerica, Inc. | 8,156 | |
163 | East West Bancorp, Inc. | 8,740 | |
457 | Fifth Third Bancorp | 10,835 | |
1,828 | Regions Financial Corp. | 26,561 | |
83,491 | |||
Biotechnology — 4.9% | |||
531 | Gilead Sciences, Inc. | 41,705 | |
79 | United Therapeutics Corp.1 | 17,606 | |
56 | Vertex Pharmaceuticals, Inc.1 | 20,278 | |
79,589 | |||
Broadline Retail — 0.7% | |||
301 | eBay, Inc. | 11,808 | |
Building Products — 3.6% | |||
431 | Carrier Global Corp. | 20,542 | |
131 | Fortune Brands Innovations, Inc. | 7,310 | |
360 | Johnson Controls International PLC | 17,647 | |
117 | Owens Corning | 13,264 | |
58,763 | |||
Capital Markets — 2.7% | |||
204 | CME Group, Inc. | 43,546 | |
Chemicals — 0.8% | |||
151 | LyondellBasell Industries NV Class A | 13,626 | |
Communications Equipment — 1.7% | |||
534 | Cisco Systems, Inc. | 27,837 | |
Consumer Finance — 3.8% | |||
289 | Capital One Financial Corp. | 29,273 | |
1,156 | Synchrony Financial | 32,426 | |
61,699 | |||
Consumer Staples Distribution & Retail — 1.7% | |||
611 | Kroger Co. | 27,721 | |
Distributors — 0.7% | |||
273 | LKQ Corp. | 11,990 | |
Diversified Consumer Services — 1.0% | |||
400 | H&R Block, Inc. | 16,420 | |
Diversified Telecommunication Services — 3.0% | |||
1,352 | AT&T, Inc. | 20,821 | |
820 | Verizon Communications, Inc. | 28,806 | |
49,627 | |||
Financial Services — 3.2% | |||
1,290 | MGIC Investment Corp. | 21,724 | |
250 | Voya Financial, Inc. | 16,692 |
73 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Financial Services — (Continued) | |||
1,214 | Western Union Co. | $ 13,706 | |
52,122 | |||
Food Products — 3.5% | |||
448 | Archer-Daniels-Midland Co. | 32,063 | |
261 | General Mills, Inc. | 17,028 | |
269 | Kraft Heinz Co. | 8,463 | |
57,554 | |||
Ground Transportation — 1.8% | |||
981 | CSX Corp. | 29,283 | |
Health Care Providers & Services — 8.1% | |||
31 | Cigna Group | 9,585 | |
527 | CVS Health Corp. | 36,368 | |
67 | Elevance Health, Inc. | 30,156 | |
73 | Humana, Inc. | 38,230 | |
41 | McKesson Corp. | 18,670 | |
133,009 | |||
Hotels, Restaurants & Leisure — 1.1% | |||
86 | Expedia Group, Inc.1 | 8,195 | |
127 | Wyndham Hotels & Resorts, Inc. | 9,195 | |
17,390 | |||
Household Durables — 1.0% | |||
225 | Toll Brothers, Inc. | 15,910 | |
Household Products — 2.3% | |||
248 | Procter & Gamble Co. | 37,207 | |
Independent Power & Renewable Electricity Producer — 0.8% | |||
931 | AES Corp. | 13,872 | |
Insurance — 3.7% | |||
302 | American International Group, Inc. | 18,516 | |
334 | Fidelity National Financial, Inc. | 13,056 | |
191 | Hartford Financial Services Group, Inc. | 14,029 | |
320 | Unum Group | 15,648 | |
61,249 | |||
IT Services — 3.0% | |||
194 | Akamai Technologies, Inc.1 | 20,046 | |
144 | Amdocs Ltd. | 11,543 | |
264 | Cognizant Technology Solutions Corp. Class A | 17,020 | |
48,609 | |||
Machinery — 5.3% | |||
51 | Caterpillar, Inc. | 11,529 | |
196 | PACCAR, Inc. | 16,176 | |
72 | Parker-Hannifin Corp. | 26,561 | |
81 | Snap-on, Inc. | 20,893 | |
176 | Timken Co. | 12,165 | |
87,324 | |||
Media — 4.2% | |||
1,039 | Comcast Corp. Class A | 42,900 | |
255 | Fox Corp. Class A | 7,750 | |
358 | Interpublic Group of Cos., Inc. | 10,167 |
74 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Media — (Continued) | |||
108 | Omnicom Group, Inc. | $ 8,090 | |
68,907 | |||
Metals & Mining — 3.4% | |||
229 | Nucor Corp. | 33,844 | |
86 | Reliance Steel & Aluminum Co. | 21,877 | |
55,721 | |||
Multi-Utilities — 3.0% | |||
511 | NiSource, Inc. | 12,857 | |
592 | Public Service Enterprise Group, Inc. | 36,497 | |
49,354 | |||
Oil, Gas & Consumable Fuels — 9.4% | |||
359 | ConocoPhillips | 42,649 | |
558 | Coterra Energy, Inc. | 15,345 | |
346 | Marathon Petroleum Corp. | 52,332 | |
187 | Ovintiv, Inc. | 8,976 | |
155 | Phillips 66 | 17,681 | |
140 | Valero Energy Corp. | 17,780 | |
154,763 | |||
Personal Care Products — 0.5% | |||
421 | Kenvue, Inc. | 7,831 | |
Pharmaceuticals — 3.9% | |||
131 | Johnson & Johnson | 19,433 | |
496 | Perrigo Co. PLC | 13,709 | |
1,164 | Royalty Pharma PLC Class A | 31,277 | |
64,419 | |||
Professional Services — 0.6% | |||
96 | Leidos Holdings, Inc. | 9,515 | |
Real Estate Management & Development — 0.7% | |||
160 | CBRE Group, Inc. Class A1 | 11,094 | |
Residential REITs — 1.5% | |||
735 | American Homes 4 Rent Class A | 24,064 | |
Semiconductors & Semiconductor Equipment — 2.2% | |||
298 | ON Semiconductor Corp.1 | 18,667 | |
200 | Qorvo, Inc.1 | 17,484 | |
36,151 | |||
Specialized REITs — 2.1% | |||
25 | Equinix, Inc. | 18,241 | |
583 | VICI Properties, Inc. | 16,266 | |
34,507 | |||
Specialty Retail — 1.0% | |||
123 | Best Buy Co., Inc. | 8,219 | |
81 | Dick’s Sporting Goods, Inc. | 8,663 | |
16,882 | |||
Technology Hardware, Storage & Peripherals — 0.9% | |||
932 | Hewlett Packard Enterprise Co. | 14,334 | |
Textiles, Apparel & Luxury Goods — 1.1% | |||
69 | Ralph Lauren Corp. Class A | 7,764 |
75 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Apparel & Luxury Goods — (Continued) | |||
403 | Tapestry, Inc. | $ 11,107 | |
18,871 | |||
Tobacco — 0.9% | |||
358 | Altria Group, Inc. | 14,381 | |
TOTAL COMMON STOCKS (Cost $1,440,148) | 1,636,247 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$8,662 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $8,662, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $8,900, coupon rate of 5.000%, due 10/31/2025, market value of $8,893) | 8,662 | |
TOTAL REPURCHASE AGREEMENT (Cost $8,662) | 8,662 | ||
TOTAL INVESTMENTS (Cost $1,448,810) | 100.3% | $1,644,909 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.3) | (5,330) | |
NET ASSETS | 100.0% | $1,639,579 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
76 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Oil, Gas & Consumable Fuels | 9.4% | $ 154,763 | |
Health Care Providers & Services | 8.1 | 133,009 | |
Machinery | 5.3 | 87,324 | |
Banks | 5.1 | 83,491 | |
Biotechnology | 4.9 | 79,589 | |
Media | 4.2 | 68,907 | |
Pharmaceuticals | 3.9 | 64,419 | |
Consumer Finance | 3.8 | 61,699 | |
Insurance | 3.7 | 61,249 | |
Building Products | 3.6 | 58,763 | |
Food Products | 3.5 | 57,554 | |
Metals & Mining | 3.4 | 55,721 | |
Financial Services | 3.2 | 52,122 | |
Diversified Telecommunication Services | 3.0 | 49,627 | |
Multi-Utilities | 3.0 | 49,354 | |
IT Services | 3.0 | 48,609 | |
Capital Markets | 2.7 | 43,546 | |
Household Products | 2.3 | 37,207 | |
Semiconductors & Semiconductor Equipment | 2.2 | 36,151 | |
Specialized REITs | 2.1 | 34,507 | |
Ground Transportation | 1.8 | 29,283 | |
Communications Equipment | 1.7 | 27,837 | |
Consumer Staples Distribution & Retail | 1.7 | 27,721 | |
Residential REITs | 1.5 | 24,064 | |
Textiles, Apparel & Luxury Goods | 1.1 | 18,871 | |
Hotels, Restaurants & Leisure | 1.1 | 17,390 | |
Specialty Retail | 1.0 | 16,882 | |
Diversified Consumer Services | 1.0 | 16,420 | |
Household Durables | 1.0 | 15,910 | |
Tobacco | 0.9 | 14,381 | |
Technology Hardware, Storage & Peripherals | 0.9 | 14,334 | |
Independent Power & Renewable Electricity Producer | 0.8 | 13,872 | |
Chemicals | 0.8 | 13,626 | |
Distributors | 0.7 | 11,990 | |
Broadline Retail | 0.7 | 11,808 | |
Real Estate Management & Development | 0.7 | 11,094 | |
Automobile Components | 0.6 | 10,640 | |
Professional Services | 0.6 | 9,515 | |
Personal Care Products | 0.5 | 7,831 | |
Automobiles | 0.3 | 5,167 | |
TOTAL COMMON STOCKS | 99.8% | $1,636,247 | |
REPURCHASE AGREEMENT | 0.5 | 8,662 | |
TOTAL INVESTMENTS | 100.3% | $1,644,909 |
77 |
Shares | Value | ||
COMMON STOCKS* — 99.7% | |||
Aerospace & Defense — 1.2% | |||
145 | Moog, Inc. Class A | $ 16,827 | |
Automobile Components — 1.6% | |||
598 | Modine Manufacturing Co.1 | 23,621 | |
Banks — 7.7% | |||
381 | Bancorp, Inc.1 | 13,583 | |
304 | Byline Bancorp, Inc. | 5,767 | |
359 | Cathay General Bancorp | 12,174 | |
519 | Central Pacific Financial Corp. | 8,190 | |
363 | Customers Bancorp, Inc.1 | 14,596 | |
334 | Hanmi Financial Corp. | 4,903 | |
478 | OFG Bancorp | 14,158 | |
474 | Peoples Bancorp, Inc. | 13,073 | |
711 | Premier Financial Corp. | 12,336 | |
206 | UMB Financial Corp. | 12,920 | |
111,700 | |||
Biotechnology — 3.5% | |||
2,246 | Atara Biotherapeutics, Inc.1 | 2,897 | |
271 | Eagle Pharmaceuticals, Inc.1 | 3,721 | |
1,525 | Emergent BioSolutions, Inc.1 | 3,187 | |
593 | iTeos Therapeutics, Inc.1 | 5,966 | |
7,718 | Karyopharm Therapeutics, Inc.1,2 | 6,715 | |
1,788 | MacroGenics, Inc.1,2 | 9,333 | |
2,228 | Sutro Biopharma, Inc.1 | 6,127 | |
1,871 | Zymeworks, Inc.1,2 | 13,134 | |
51,080 | |||
Building Products — 0.6% | |||
337 | Quanex Building Products Corp. | 9,048 | |
Capital Markets — 0.7% | |||
1,731 | WisdomTree, Inc. | 10,732 | |
Commercial Services & Supplies — 1.5% | |||
859 | GEO Group, Inc.1,2 | 7,508 | |
1,550 | Interface, Inc. | 13,779 | |
21,287 | |||
Communications Equipment — 1.7% | |||
181 | Digi International, Inc.1 | 4,558 | |
256 | Extreme Networks, Inc.1 | 5,279 | |
519 | Harmonic, Inc.1 | 5,600 | |
456 | NetScout Systems, Inc.1 | 9,954 | |
25,391 | |||
Construction & Engineering — 4.3% | |||
135 | Comfort Systems USA, Inc. | 24,550 | |
89 | MYR Group, Inc.1 | 10,309 | |
370 | Sterling Infrastructure, Inc.1 | 26,954 | |
61,813 | |||
Consumer Finance — 1.0% | |||
1,789 | EZCORP, Inc. Class A1,2 | 14,670 | |
Consumer Staples Distribution & Retail — 1.3% | |||
146 | Andersons, Inc. | 7,319 | |
285 | Sprouts Farmers Market, Inc.1 | 11,976 | |
19,295 |
78 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Containers & Packaging — 0.4% | |||
91 | Greif, Inc. Class A | $ 5,779 | |
Diversified Consumer Services — 2.4% | |||
145 | Adtalem Global Education, Inc.1 | 7,511 | |
893 | Chegg, Inc.1 | 6,724 | |
375 | Stride, Inc.1 | 20,618 | |
34,853 | |||
Diversified REITs — 0.6% | |||
938 | Armada Hoffler Properties, Inc. | 9,343 | |
Diversified Telecommunication Services — 1.1% | |||
570 | Bandwidth, Inc. Class A1 | 6,048 | |
883 | Ooma, Inc.1 | 9,633 | |
15,681 | |||
Electric Utilities — 0.8% | |||
221 | ALLETE, Inc. | 11,832 | |
Electronic Equipment, Instruments & Components — 2.4% | |||
142 | Belden, Inc. | 10,068 | |
198 | ePlus, Inc.1 | 12,375 | |
230 | Sanmina Corp.1 | 11,700 | |
34,143 | |||
Energy Equipment & Services — 1.2% | |||
887 | Liberty Energy, Inc. | 17,474 | |
Financial Services — 3.5% | |||
332 | A-Mark Precious Metals, Inc.2 | 8,990 | |
502 | Enact Holdings, Inc. | 13,835 | |
1 | Paysafe Ltd.1 | 10 | |
540 | Radian Group, Inc. | 13,684 | |
1,383 | StoneCo Ltd. Class A1 | 13,712 | |
50,231 | |||
Food Products — 1.4% | |||
1,102 | Dole PLC2 | 12,585 | |
200 | Simply Good Foods Co.1 | 7,458 | |
20,043 | |||
Gas Utilities — 1.6% | |||
331 | Northwest Natural Holding Co. | 12,151 | |
178 | ONE Gas, Inc. | 10,751 | |
22,902 | |||
Ground Transportation — 0.8% | |||
666 | RXO, Inc.1 | 11,662 | |
Health Care Equipment & Supplies — 2.8% | |||
7,357 | Cerus Corp.1 | 10,300 | |
277 | LivaNova PLC1 | 13,587 | |
589 | Orthofix Medical, Inc.1 | 6,503 | |
609 | Varex Imaging Corp.1 | 10,992 | |
41,382 | |||
Health Care Providers & Services — 2.1% | |||
8,980 | 23andMe Holding Co. Class A1,2 | 7,607 | |
707 | Castle Biosciences, Inc.1 | 11,043 | |
609 | PetIQ, Inc.1 | 11,431 | |
30,081 |
79 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Technology — 1.6% | |||
1,700 | Health Catalyst, Inc.1 | $ 12,733 | |
766 | Veradigm, Inc.1 | 10,104 | |
22,837 | |||
Hotel & Resort REITs — 3.0% | |||
2,026 | Hersha Hospitality Trust REIT Class A | 20,098 | |
1,133 | RLJ Lodging Trust | 10,650 | |
1,108 | Xenia Hotels & Resorts, Inc. REIT | 12,886 | |
43,634 | |||
Hotels, Restaurants & Leisure — 1.6% | |||
611 | Accel Entertainment, Inc. Class A1 | 6,018 | |
687 | International Game Technology PLC | 17,464 | |
23,482 | |||
Household Durables — 4.2% | |||
357 | Beazer Homes USA, Inc.1 | 8,636 | |
288 | MDC Holdings, Inc. | 10,930 | |
115 | Skyline Champion Corp.1 | 6,742 | |
476 | Taylor Morrison Home Corp.1 | 18,240 | |
629 | Tri Pointe Homes, Inc.1 | 15,763 | |
60,311 | |||
Household Products — 0.9% | |||
348 | Central Garden & Pet Co. Class A1 | 13,812 | |
Industrial REITs — 1.1% | |||
61 | EastGroup Properties, Inc. | 9,958 | |
181 | STAG Industrial, Inc. | 6,013 | |
15,971 | |||
Insurance — 1.5% | |||
408 | Fidelis Insurance Holdings Ltd.1 | 5,769 | |
2,683 | Genworth Financial, Inc. Class A1 | 16,071 | |
21,840 | |||
Interactive Media & Services — 1.4% | |||
594 | Cargurus, Inc.1 | 10,235 | |
3,245 | Vimeo, Inc.1 | 9,994 | |
20,229 | |||
IT Services — 1.1% | |||
710 | Hackett Group, Inc. | 15,826 | |
Life Sciences Tools & Services — 2.1% | |||
1,794 | AbCellera Biologics, Inc.1,2 | 7,373 | |
1,033 | Quanterix Corp.1 | 22,437 | |
29,810 | |||
Machinery — 1.4% | |||
174 | Columbus McKinnon Corp. | 5,319 | |
804 | Manitowoc Co., Inc.1 | 10,291 | |
110 | Terex Corp. | 5,038 | |
20,648 | |||
Marine Transportation — 0.5% | |||
750 | Costamare, Inc. | 6,773 | |
Media — 0.6% | |||
560 | TEGNA, Inc. | 8,126 |
80 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Metals & Mining — 4.5% | |||
420 | Commercial Metals Co. | $ 17,762 | |
910 | Constellium SE1 | 14,378 | |
351 | Olympic Steel, Inc. | 17,820 | |
354 | TimkenSteel Corp.1 | 7,197 | |
165 | Warrior Met Coal, Inc. | 8,040 | |
65,197 | |||
Oil, Gas & Consumable Fuels — 7.9% | |||
848 | Ardmore Shipping Corp. | 11,270 | |
706 | CVR Energy, Inc. | 23,121 | |
590 | Par Pacific Holdings, Inc.1 | 19,364 | |
396 | PBF Energy, Inc. Class A | 18,822 | |
239 | Scorpio Tankers, Inc. | 13,420 | |
572 | Teekay Tankers Ltd. Class A | 28,428 | |
114,425 | |||
Personal Care Products — 0.9% | |||
947 | Herbalife Ltd.1 | 13,495 | |
Pharmaceuticals — 2.3% | |||
4,365 | Amneal Pharmaceuticals, Inc.1 | 16,892 | |
763 | Collegium Pharmaceutical, Inc.1 | 16,603 | |
33,495 | |||
Professional Services — 1.8% | |||
2,811 | Conduent, Inc.1 | 8,967 | |
314 | Heidrick & Struggles International, Inc. | 7,643 | |
202 | Korn Ferry | 9,195 | |
25,805 | |||
Real Estate Management & Development — 0.6% | |||
1,236 | Cushman & Wakefield PLC1 | 9,109 | |
Retail REITs — 0.4% | |||
433 | Acadia Realty Trust | 6,201 | |
Semiconductors & Semiconductor Equipment — 2.2% | |||
192 | Kulicke & Soffa Industries, Inc. | 7,989 | |
957 | Photronics, Inc.1 | 17,571 | |
259 | Veeco Instruments, Inc.1 | 6,200 | |
31,760 | |||
Software — 4.8% | |||
111 | BlackLine, Inc.1 | 5,450 | |
67 | InterDigital, Inc. | 5,042 | |
205 | LiveRamp Holdings, Inc.1 | 5,670 | |
107 | Progress Software Corp. | 5,498 | |
499 | Q2 Holdings, Inc.1 | 14,985 | |
416 | Sapiens International Corp. NV | 10,608 | |
146 | Xperi, Inc.1 | 1,239 | |
2,659 | Yext, Inc.1 | 16,034 | |
634 | Zuora, Inc. Class A1 | 4,698 | |
69,224 | |||
Specialty Retail — 3.6% | |||
354 | Abercrombie & Fitch Co. Class A1 | 21,530 | |
627 | Guess?, Inc. | 13,481 | |
239 | MarineMax, Inc.1 | 6,544 | |
300 | Urban Outfitters, Inc.1 | 10,386 | |
51,941 |
81 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Trading Companies & Distributors — 3.5% | |||
120 | GMS, Inc.1 | $ 7,018 | |
1,707 | NOW, Inc.1 | 18,811 | |
322 | Rush Enterprises, Inc. Class A | 11,457 | |
102 | WESCO International, Inc. | 13,076 | |
50,362 | |||
TOTAL COMMON STOCKS (Cost $1,298,696) | 1,445,183 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.8% | |||
$12,671 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $12,672, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $11,600, coupon rate of 0.125%, due 10/15/2025, market value of $13,033) | 12,671 | |
TOTAL REPURCHASE AGREEMENT (Cost $12,671) | 12,671 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.3% | |||
47,576 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 47,576 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $47,576) | 47,576 | ||
TOTAL INVESTMENTS (Cost $1,358,943) | 103.8% | $1,505,430 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.8) | (55,782) | |
NET ASSETS | 100.0% | $1,449,648 |
* | 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: | |||
Oil, Gas & Consumable Fuels | 7.9% | $ 114,425 | |
Banks | 7.7 | 111,700 | |
Software | 4.8 | 69,224 | |
Metals & Mining | 4.5 | 65,197 | |
Construction & Engineering | 4.3 | 61,813 | |
Household Durables | 4.2 | 60,311 | |
Specialty Retail | 3.6 | 51,941 | |
Biotechnology | 3.5 | 51,080 | |
Trading Companies & Distributors | 3.5 | 50,362 | |
Financial Services | 3.5 | 50,231 | |
Hotel & Resort REITs | 3.0 | 43,634 | |
Health Care Equipment & Supplies | 2.8 | 41,382 | |
Diversified Consumer Services | 2.4 | 34,853 | |
Electronic Equipment, Instruments & Components | 2.4 | 34,143 | |
Pharmaceuticals | 2.3 | 33,495 | |
Semiconductors & Semiconductor Equipment | 2.2 | 31,760 | |
Health Care Providers & Services | 2.1 | 30,081 | |
Life Sciences Tools & Services | 2.1 | 29,810 | |
Professional Services | 1.8 | 25,805 | |
Communications Equipment | 1.7 | 25,391 | |
Automobile Components | 1.6 | 23,621 | |
Hotels, Restaurants & Leisure | 1.6 | 23,482 | |
Gas Utilities | 1.6 | 22,902 | |
Health Care Technology | 1.6 | 22,837 | |
Insurance | 1.5 | 21,840 | |
Commercial Services & Supplies | 1.5 | 21,287 | |
Machinery | 1.4 | 20,648 | |
Interactive Media & Services | 1.4 | 20,229 | |
Food Products | 1.4 | 20,043 | |
Consumer Staples Distribution & Retail | 1.3 | 19,295 | |
Energy Equipment & Services | 1.2 | 17,474 | |
Aerospace & Defense | 1.2 | 16,827 | |
Industrial REITs | 1.1 | 15,971 | |
IT Services | 1.1 | 15,826 | |
Diversified Telecommunication Services | 1.1 | 15,681 | |
Consumer Finance | 1.0 | 14,670 | |
Household Products | 0.9 | 13,812 | |
Personal Care Products | 0.9 | 13,495 | |
Electric Utilities | 0.8 | 11,832 | |
Ground Transportation | 0.8 | 11,662 | |
Capital Markets | 0.7 | 10,732 | |
Diversified REITs | 0.6 | 9,343 | |
Real Estate Management & Development | 0.6 | 9,109 | |
Building Products | 0.6 | 9,048 | |
Media | 0.6 | 8,126 | |
Marine Transportation | 0.5 | 6,773 | |
Retail REITs | 0.4 | 6,201 | |
Containers & Packaging | 0.4 | 5,779 | |
TOTAL COMMON STOCKS | 99.7% | $1,445,183 | |
REPURCHASE AGREEMENT | 0.8 | 12,671 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 3.3 | 47,576 | |
TOTAL INVESTMENTS | 103.8% | $1,505,430 |
83 |
Shares | Value | ||
COMMON STOCKS* — 96.1% | |||
Japan — 20.3% | |||
5,000 | Asahi Group Holdings Ltd. | $ 179,317 | |
3,200 | Daito Trust Construction Co. Ltd. | 340,953 | |
48,600 | Honda Motor Co. Ltd. | 483,034 | |
17,600 | Japan Tobacco, Inc. | 408,838 | |
6,000 | KDDI Corp. | 177,615 | |
8,500 | Kirin Holdings Co. Ltd. | 118,857 | |
26,700 | Marubeni Corp. | 383,656 | |
15,900 | Mitsui & Co. Ltd. | 568,236 | |
17,000 | Nippon Paint Holdings Co. Ltd. | 112,941 | |
5,300 | Nitto Denko Corp. | 338,578 | |
29,200 | Panasonic Holdings Corp. | 252,171 | |
7,800 | SBI Holdings, Inc. | 166,060 | |
17,600 | Sekisui House Ltd. | 341,259 | |
7,800 | Shionogi & Co. Ltd. | 359,549 | |
5,500 | Sumitomo Corp. | 106,625 | |
13,700 | Yokogawa Electric Corp. | 245,167 | |
4,582,856 | |||
United Kingdom — 12.5% | |||
28,000 | BAE Systems PLC | 375,720 | |
57,300 | BP PLC | 350,037 | |
13,400 | Burberry Group PLC | 275,576 | |
23,783 | GSK PLC | 421,291 | |
43,000 | HSBC Holdings PLC | 309,562 | |
16,500 | Imperial Brands PLC | 351,162 | |
2,700 | Reckitt Benckiser Group PLC1 | 180,560 | |
5,512 | Unilever PLC, ADR1 | 260,993 | |
319,000 | Vodafone Group PLC | 293,510 | |
2,818,411 | |||
France — 12.0% | |||
10,400 | Accor SA | 330,898 | |
16,300 | AXA SA | 482,141 | |
1,300 | Capgemini SE | 229,026 | |
9,400 | Carrefour SA | 164,907 | |
1,600 | Eiffage SA | 145,087 | |
5,595 | Publicis Groupe SA | 424,587 | |
2,700 | Renault SA | 94,420 | |
2,782 | Sanofi SA | 252,269 | |
14,600 | Societe Generale SA | 326,654 | |
1,100 | Sodexo SA | 116,251 | |
1,300 | Vinci SA | 143,715 | |
2,709,955 | |||
Canada — 9.6% | |||
11,400 | ARC Resources Ltd. | 183,403 | |
3,600 | CGI, Inc.2 | 347,552 | |
4,700 | Dollarama, Inc. | 320,959 | |
7,400 | Great-West Lifeco, Inc. | 205,018 | |
18,700 | Manulife Financial Corp. | 325,522 | |
3,900 | Royal Bank of Canada | 311,494 | |
5,500 | Sun Life Financial, Inc. | 251,213 | |
6,800 | Suncor Energy, Inc. | 220,219 | |
2,165,380 | |||
Switzerland — 6.6% | |||
4,700 | ABB Ltd. | 157,278 | |
4,700 | Holcim AG | 289,755 |
84 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Switzerland — (Continued) | |||
1,400 | Kuehne & Nagel International AG | $ 376,299 | |
3,400 | Logitech International SA | 265,975 | |
4,200 | Novartis AG | 390,335 | |
840 | Sandoz Group AG2 | 21,839 | |
1,501,481 | |||
Germany — 5.3% | |||
2,400 | Bayerische Motoren Werke AG | 222,531 | |
2,500 | Bechtle AG | 111,312 | |
1,400 | Deutsche Boerse AG | 229,904 | |
5,700 | Deutsche Telekom AG | 123,489 | |
1,550 | Heidelberg Materials AG | 112,311 | |
13,900 | Infineon Technologies AG | 404,091 | |
1,203,638 | |||
Sweden — 3.9% | |||
4,800 | Assa Abloy AB Class B | 102,128 | |
19,600 | Swedbank AB Class A | 320,888 | |
23,000 | Volvo AB Class B | 455,160 | |
878,176 | |||
Singapore — 3.7% | |||
9,600 | DBS Group Holdings Ltd. | 230,333 | |
18,000 | Oversea-Chinese Banking Corp. Ltd. | 166,702 | |
44,300 | Singapore Airlines Ltd. | 197,694 | |
34,200 | Singapore Exchange Ltd. | 236,551 | |
831,280 | |||
Spain — 3.7% | |||
14,000 | Endesa SA | 263,160 | |
22,417 | Iberdrola SA | 249,054 | |
9,100 | Industria de Diseno Textil SA | 313,415 | |
825,629 | |||
Australia — 3.5% | |||
8,600 | BlueScope Steel Ltd. | 102,562 | |
25,300 | Brambles Ltd. | 210,403 | |
2,400 | Cochlear Ltd. | 366,664 | |
12,300 | Orica Ltd. | 114,385 | |
794,014 | |||
Denmark — 2.7% | |||
2,800 | Demant AS2 | 106,661 | |
2,500 | Novo Nordisk AS Class B | 239,943 | |
2,400 | Pandora AS | 271,583 | |
618,187 | |||
Netherlands — 2.5% | |||
17,200 | ING Groep NV | 218,901 | |
11,700 | Koninklijke Ahold Delhaize NV | 346,634 | |
565,535 | |||
United States — 2.5% | |||
7,000 | CRH PLC | 374,990 | |
11,700 | Tenaris SA | 185,016 | |
560,006 | |||
Portugal — 2.0% | |||
30,000 | Galp Energia SGPS SA | 451,068 |
85 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Belgium — 1.3% | |||
4,100 | UCB SA | $ 299,597 | |
China — 1.2% | |||
105,700 | BOC Hong Kong Holdings Ltd. | 279,606 | |
Austria — 1.0% | |||
14,200 | Mondi PLC | 229,377 | |
Jordan — 0.9% | |||
9,200 | Hikma Pharmaceuticals PLC | 212,628 | |
New Zealand — 0.5% | |||
39,500 | Spark New Zealand Ltd. | 114,373 | |
Israel — 0.4% | |||
20,500 | Israel Discount Bank Ltd. Class A | 90,024 | |
TOTAL COMMON STOCKS (Cost $20,803,025) | 21,731,221 | ||
PREFERRED STOCKS* — 1.4% | |||
Germany — 1.4% | |||
4,400 | Henkel AG & Co. KGaA | 316,956 | |
TOTAL PREFERRED STOCKS (Cost $342,948) | 316,956 | ||
Face Amount | |||
REPURCHASE AGREEMENT*—0.3% | |||
$ 60,121 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $60,124, due 11/1/23, (collateralized by a a U.S. Treasury Note with a par value of $61,400, coupon rate of 5.000%, due 10/31/2025, market value of $61,350) | 60,121 | |
TOTAL REPURCHASE AGREEMENT (Cost $60,121) | 60,121 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.7% | |||
159,978 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 159,978 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $159,978) | 159,978 | ||
TOTAL INVESTMENTS (Cost $21,366,072) | 98.5% | $22,268,276 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.5 | 333,155 | |
NET ASSETS | 100.0% | $22,601,431 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Non income-producing security. |
3 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
ADR — American Depositary Receipt |
86 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 10.0% | $ 2,254,164 | |
Pharmaceuticals | 9.6 | 2,197,451 | |
Insurance | 5.6 | 1,263,894 | |
Oil, Gas & Consumable Fuels | 5.3 | 1,204,727 | |
Trading Companies & Distributors | 4.7 | 1,058,517 | |
Automobiles | 3.6 | 799,985 | |
Construction Materials | 3.5 | 777,056 | |
Tobacco | 3.3 | 760,000 | |
IT Services | 3.0 | 687,890 | |
Capital Markets | 2.8 | 632,515 | |
Household Durables | 2.6 | 593,430 | |
Chemicals | 2.5 | 565,904 | |
Textiles, Apparel & Luxury Goods | 2.4 | 547,159 | |
Electric Utilities | 2.3 | 512,214 | |
Consumer Staples Distribution & Retail | 2.2 | 511,541 | |
Household Products | 2.2 | 497,516 | |
Health Care Equipment & Supplies | 2.1 | 473,325 | |
Wireless Telecommunication Services | 2.1 | 471,125 | |
Machinery | 2.0 | 455,160 | |
Hotels, Restaurants & Leisure | 2.0 | 447,149 | |
Media | 1.9 | 424,587 | |
Semiconductors & Semiconductor Equipment | 1.8 | 404,091 | |
Marine Transportation | 1.6 | 376,299 | |
Aerospace & Defense | 1.7 | 375,720 | |
Real Estate Management & Development | 1.5 | 340,953 | |
Broadline Retail | 1.4 | 320,959 | |
Specialty Retail | 1.4 | 313,415 | |
Beverages | 1.3 | 298,174 | |
Construction & Engineering | 1.3 | 288,802 | |
Technology Hardware, Storage & Peripherals | 1.2 | 265,975 | |
Personal Care Products | 1.2 | 260,993 | |
Electronic Equipment, Instruments & Components | 1.1 | 245,167 | |
Diversified Telecommunication Services | 1.0 | 237,862 | |
Paper & Forest Products | 1.0 | 229,377 | |
Commercial Services & Supplies | 0.9 | 210,403 | |
Passenger Airlines | 0.9 | 197,694 | |
Energy Equipment & Services | 0.8 | 185,016 | |
Electrical Equipment | 0.7 | 157,278 | |
Metals & Mining | 0.5 | 102,562 | |
Building Products | 0.5 | 102,128 | |
TOTAL COMMON STOCKS | 97.5% | $22,048,177 | |
REPURCHASE AGREEMENT | 0.3 | 60,121 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.7 | 159,978 | |
TOTAL INVESTMENTS | 98.5% | $22,268,276 |
87 |
Shares | Value | ||
COMMON STOCKS* — 99.7% | |||
Automobiles — 1.5% | |||
7,672 | General Motors Co. | $ 216,351 | |
4,325 | Harley-Davidson, Inc. | 116,126 | |
332,477 | |||
Banks — 2.0% | |||
4,041 | Bank of America Corp. | 106,440 | |
23,006 | Regions Financial Corp. | 334,277 | |
440,717 | |||
Biotechnology — 4.2% | |||
2,144 | Amgen, Inc. | 548,221 | |
4,738 | Gilead Sciences, Inc. | 372,122 | |
920,343 | |||
Broadline Retail — 0.5% | |||
2,846 | eBay, Inc. | 111,649 | |
Building Products — 3.5% | |||
4,515 | Carrier Global Corp. | 215,185 | |
1,698 | Fortune Brands Innovations, Inc. | 94,749 | |
1,779 | Owens Corning | 201,685 | |
1,278 | Trane Technologies PLC | 243,216 | |
754,835 | |||
Capital Markets — 3.3% | |||
1,789 | CME Group, Inc. | 381,880 | |
6,886 | Nasdaq, Inc. | 341,546 | |
723,426 | |||
Chemicals — 0.5% | |||
458 | Sherwin-Williams Co. | 109,100 | |
Commercial Services & Supplies — 0.6% | |||
819 | Republic Services, Inc. | 121,613 | |
167 | Veralto Corp.1 | 11,523 | |
133,136 | |||
Communications Equipment — 3.3% | |||
1,383 | Arista Networks, Inc.1 | 277,112 | |
8,370 | Cisco Systems, Inc. | 436,328 | |
713,440 | |||
Construction & Engineering — 0.5% | |||
1,351 | AECOM | 103,419 | |
Consumer Staples Distribution & Retail — 2.4% | |||
1,356 | Casey’s General Stores, Inc. | 368,710 | |
3,588 | Kroger Co. | 162,788 | |
531,498 | |||
Containers & Packaging — 1.8% | |||
2,827 | Berry Global Group, Inc. | 155,485 | |
10,908 | Graphic Packaging Holding Co. | 234,631 | |
390,116 | |||
Distributors — 1.6% | |||
7,788 | LKQ Corp. | 342,049 | |
Diversified Telecommunication Services — 1.5% | |||
20,721 | AT&T, Inc. | 319,103 |
88 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — 2.8% | |||
4,223 | Jabil, Inc. | $ 518,584 | |
697 | Keysight Technologies, Inc.1 | 85,069 | |
603,653 | |||
Energy Equipment & Services — 0.7% | |||
4,196 | Baker Hughes Co. Class A | 144,426 | |
Entertainment — 0.9% | |||
1,589 | Electronic Arts, Inc. | 196,702 | |
Financial Services — 3.5% | |||
1,200 | Fiserv, Inc.1 | 136,500 | |
1,726 | FleetCor Technologies, Inc.1 | 388,643 | |
20,602 | Western Union Co. | 232,597 | |
757,740 | |||
Food Products — 3.2% | |||
2,895 | Archer-Daniels-Midland Co. | 207,195 | |
7,501 | General Mills, Inc. | 489,365 | |
696,560 | |||
Ground Transportation — 0.8% | |||
6,093 | CSX Corp. | 181,876 | |
Health Care Providers & Services — 7.2% | |||
1,352 | Cencora, Inc. | 250,323 | |
1,276 | Cigna Group | 394,539 | |
1,152 | Elevance Health, Inc. | 518,504 | |
749 | Humana, Inc. | 392,244 | |
1,555,610 | |||
Hotels, Restaurants & Leisure — 2.6% | |||
199 | Booking Holdings, Inc.1 | 555,122 | |
Household Durables — 1.6% | |||
4,833 | Toll Brothers, Inc. | 341,741 | |
Household Products — 1.6% | |||
3,885 | Church & Dwight Co., Inc. | 353,302 | |
Insurance — 2.0% | |||
5,003 | American International Group, Inc. | 306,734 | |
2,716 | Unum Group | 132,812 | |
439,546 | |||
Interactive Media & Service — 1.5% | |||
2,669 | Alphabet, Inc. Class A1 | 331,170 | |
IT Services — 4.1% | |||
4,096 | Akamai Technologies, Inc.1 | 423,240 | |
1,073 | Gartner, Inc.1 | 356,279 | |
1,664 | Okta, Inc.1 | 112,170 | |
891,689 | |||
Media — 5.2% | |||
8,960 | Comcast Corp. Class A | 369,958 | |
14,762 | Interpublic Group of Cos., Inc. | 419,241 | |
4,608 | Omnicom Group, Inc. | 345,185 | |
1,134,384 | |||
Multi-Utilities — 2.2% | |||
14,114 | NiSource, Inc. | 355,108 |
89 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Multi-Utilities — (Continued) | |||
1,900 | Public Service Enterprise Group, Inc. | $ 117,135 | |
472,243 | |||
Oil, Gas & Consumable Fuels — 4.3% | |||
3,944 | EQT Corp. | 167,147 | |
4,400 | Marathon Petroleum Corp. | 665,500 | |
3,159 | Williams Cos., Inc. | 108,669 | |
941,316 | |||
Pharmaceuticals — 3.1% | |||
1,929 | Johnson & Johnson | 286,148 | |
3,531 | Perrigo Co. PLC | 97,597 | |
1,885 | Zoetis, Inc. | 295,945 | |
679,690 | |||
Professional Services — 0.5% | |||
542 | Automatic Data Processing, Inc. | 118,275 | |
Real Estate Management & Development — 1.8% | |||
5,594 | CBRE Group, Inc. Class A1 | 387,888 | |
Semiconductors & Semiconductor Equipment — 5.4% | |||
1,751 | Applied Materials, Inc. | 231,745 | |
2,071 | NXP Semiconductors NV | 357,103 | |
5,820 | ON Semiconductor Corp.1 | 364,565 | |
2,520 | Qorvo, Inc.1 | 220,298 | |
1,173,711 | |||
Software — 7.2% | |||
1,004 | Adobe, Inc.1 | 534,188 | |
1,643 | Autodesk, Inc.1 | 324,706 | |
3,300 | DocuSign, Inc.1 | 128,304 | |
15,725 | Dropbox, Inc. Class A1 | 413,568 | |
2,872 | Fortinet, Inc.1 | 164,192 | |
1,564,958 | |||
Specialized REITs — 1.6% | |||
320 | Equinix, Inc. | 233,485 | |
3,700 | Weyerhaeuser Co. | 106,153 | |
339,638 | |||
Specialty Retail — 4.4% | |||
3,298 | Best Buy Co., Inc. | 220,372 | |
1,392 | Ross Stores, Inc. | 161,430 | |
3,963 | TJX Cos., Inc. | 349,022 | |
603 | Ulta Beauty, Inc.1 | 229,930 | |
960,754 | |||
Technology Hardware, Storage & Peripherals — 2.0% | |||
21,385 | Hewlett Packard Enterprise Co. | 328,901 | |
1,520 | NetApp, Inc. | 110,626 | |
439,527 | |||
Textiles, Apparel & Luxury Goods — 0.7% | |||
1,250 | Ralph Lauren Corp. Class A | 140,663 | |
Trading Companies & Distributors — 1.6% | |||
2,359 | Ferguson PLC | 354,322 | |
TOTAL COMMON STOCKS (Cost $19,207,016) | 21,681,814 |
90 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.4% | |||
$85,102 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $85,105, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $86,900, coupon rate of 5.000%, due 10/31/2025, market value of $86,829) | $ 85,102 | |
TOTAL REPURCHASE AGREEMENT (Cost $85,102) | 85,102 | ||
TOTAL INVESTMENTS (Cost $19,292,118) | 100.1% | $21,766,916 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (13,694) | |
NET ASSETS | 100.0% | $21,753,222 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
91 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 7.2% | $ 1,564,958 | |
Health Care Providers & Services | 7.2 | 1,555,610 | |
Semiconductors & Semiconductor Equipment | 5.4 | 1,173,711 | |
Media | 5.2 | 1,134,384 | |
Specialty Retail | 4.4 | 960,754 | |
Oil, Gas & Consumable Fuels | 4.3 | 941,316 | |
Biotechnology | 4.2 | 920,343 | |
IT Services | 4.1 | 891,689 | |
Financial Services | 3.5 | 757,740 | |
Building Products | 3.5 | 754,835 | |
Capital Markets | 3.3 | 723,426 | |
Communications Equipment | 3.3 | 713,440 | |
Food Products | 3.2 | 696,560 | |
Pharmaceuticals | 3.1 | 679,690 | |
Electronic Equipment, Instruments & Components | 2.8 | 603,653 | |
Hotels, Restaurants & Leisure | 2.6 | 555,122 | |
Consumer Staples Distribution & Retail | 2.4 | 531,498 | |
Multi-Utilities | 2.2 | 472,243 | |
Banks | 2.0 | 440,717 | |
Insurance | 2.0 | 439,546 | |
Technology Hardware, Storage & Peripherals | 2.0 | 439,527 | |
Containers & Packaging | 1.8 | 390,116 | |
Real Estate Management & Development | 1.8 | 387,888 | |
Trading Companies & Distributors | 1.6 | 354,322 | |
Household Products | 1.6 | 353,302 | |
Distributors | 1.6 | 342,049 | |
Household Durables | 1.6 | 341,741 | |
Specialized REITs | 1.6 | 339,638 | |
Automobiles | 1.5 | 332,477 | |
Interactive Media & Service | 1.5 | 331,170 | |
Diversified Telecommunication Services | 1.5 | 319,103 | |
Entertainment | 0.9 | 196,702 | |
Ground Transportation | 0.8 | 181,876 | |
Energy Equipment & Services | 0.7 | 144,426 | |
Textiles, Apparel & Luxury Goods | 0.7 | 140,663 | |
Commercial Services & Supplies | 0.6 | 133,136 | |
Professional Services | 0.5 | 118,275 | |
Broadline Retail | 0.5 | 111,649 | |
Chemicals | 0.5 | 109,100 | |
Construction & Engineering | 0.5 | 103,419 | |
TOTAL COMMON STOCKS | 99.7% | $21,681,814 | |
REPURCHASE AGREEMENT | 0.4 | 85,102 | |
TOTAL INVESTMENTS | 100.1% | $21,766,916 |
92 |
Shares | Value | ||
COMMON STOCKS* — 99.3% | |||
Automobile Components — 1.2% | |||
6,200 | BorgWarner, Inc. | $ 228,780 | |
Automobiles — 0.6% | |||
4,001 | General Motors Co. | 112,828 | |
Banks — 1.5% | |||
11,438 | Bank of America Corp. | 301,277 | |
Biotechnology — 3.4% | |||
1,078 | Biogen, Inc.1 | 256,068 | |
1,126 | Vertex Pharmaceuticals, Inc.1 | 407,736 | |
663,804 | |||
Broadline Retail — 2.0% | |||
10,037 | eBay, Inc. | 393,752 | |
Building Products — 3.0% | |||
2,451 | Carrier Global Corp. | 116,815 | |
2,443 | Trane Technologies PLC | 464,927 | |
581,742 | |||
Capital Markets — 6.3% | |||
4,754 | Bank of New York Mellon Corp. | 202,045 | |
2,550 | CME Group, Inc. | 544,323 | |
4,416 | Intercontinental Exchange, Inc. | 474,455 | |
1,220,823 | |||
Chemicals — 2.3% | |||
4,376 | CF Industries Holdings, Inc. | 349,117 | |
1,995 | Corteva, Inc. | 96,040 | |
445,157 | |||
Communications Equipment — 4.2% | |||
1,165 | Arista Networks, Inc.1 | 233,431 | |
11,288 | Cisco Systems, Inc. | 588,444 | |
821,875 | |||
Consumer Finance — 0.5% | |||
3,619 | Synchrony Financial | 101,513 | |
Consumer Staples Distribution & Retail — 1.9% | |||
983 | Casey’s General Stores, Inc. | 267,288 | |
2,274 | Kroger Co. | 103,171 | |
370,459 | |||
Diversified Telecommunication Services — 0.9% | |||
10,805 | AT&T, Inc. | 166,397 | |
Electrical Equipment — 2.7% | |||
10,934 | nVent Electric PLC | 526,253 | |
Electronic Equipment, Instruments & Components — 1.0% | |||
1,618 | Keysight Technologies, Inc.1 | 197,477 | |
Energy Equipment & Services — 0.6% | |||
3,219 | Baker Hughes Co. Class A | 110,798 | |
Entertainment — 0.5% | |||
835 | Electronic Arts, Inc. | 103,365 | |
Financial Services — 0.5% | |||
2,063 | Fidelity National Information Services, Inc. | 101,314 |
93 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Food Products — 2.7% | |||
3,132 | General Mills, Inc. | $ 204,332 | |
6,327 | Kraft Heinz Co. | 199,047 | |
1,834 | Mondelez International, Inc. Class A | 121,429 | |
524,808 | |||
Health Care Providers & Services — 6.7% | |||
4,921 | Centene Corp.1 | 339,451 | |
611 | Cigna Group | 188,921 | |
3,090 | CVS Health Corp. | 213,241 | |
959 | Elevance Health, Inc. | 431,636 | |
240 | UnitedHealth Group, Inc. | 128,534 | |
1,301,783 | |||
Hotels, Restaurants & Leisure — 2.9% | |||
201 | Booking Holdings, Inc.1 | 560,702 | |
Household Durables — 0.5% | |||
391 | TopBuild Corp.1 | 89,445 | |
Household Products — 2.2% | |||
2,924 | Procter & Gamble Co. | 438,688 | |
Insurance — 2.5% | |||
3,016 | American International Group, Inc. | 184,911 | |
6,100 | Unum Group | 298,290 | |
483,201 | |||
Interactive Media & Service — 2.3% | |||
1,504 | Meta Platforms, Inc. Class A1 | 453,110 | |
IT Services — 0.4% | |||
1,646 | Twilio, Inc. Class A1 | 84,374 | |
Machinery — 0.6% | |||
330 | Parker-Hannifin Corp. | 121,740 | |
Media — 5.8% | |||
4,719 | Comcast Corp. Class A | 194,848 | |
11,116 | Interpublic Group of Cos., Inc. | 315,694 | |
15,078 | News Corp. Class A | 311,813 | |
4,063 | Omnicom Group, Inc. | 304,359 | |
1,126,714 | |||
Multi-Utilities — 1.5% | |||
3,951 | NiSource, Inc. | 99,407 | |
3,301 | Public Service Enterprise Group, Inc. | 203,507 | |
302,914 | |||
Oil, Gas & Consumable Fuels — 4.2% | |||
1,584 | Chevron Corp. | 230,836 | |
1,640 | Marathon Petroleum Corp. | 248,050 | |
4,959 | Ovintiv, Inc. | 238,032 | |
817 | Valero Energy Corp. | 103,759 | |
820,677 | |||
Pharmaceuticals — 4.0% | |||
2,582 | Johnson & Johnson | 383,014 | |
14,969 | Royalty Pharma PLC Class A | 402,217 | |
785,231 |
94 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Professional Services — 1.1% | |||
971 | Automatic Data Processing, Inc. | $ 211,892 | |
Real Estate Management & Development — 0.5% | |||
1,347 | CoStar Group, Inc.1 | 98,883 | |
Semiconductors & Semiconductor Equipment — 4.8% | |||
4,372 | Applied Materials, Inc. | 578,634 | |
1,295 | Lattice Semiconductor Corp.1 | 72,015 | |
4,527 | ON Semiconductor Corp.1 | 283,571 | |
934,220 | |||
Software — 10.4% | |||
2,170 | Autodesk, Inc.1 | 428,857 | |
7,434 | DocuSign, Inc.1 | 289,034 | |
15,672 | Dropbox, Inc. Class A1 | 412,174 | |
6,165 | Gen Digital, Inc. | 102,709 | |
1,030 | Salesforce, Inc.1 | 206,855 | |
1,113 | Workday, Inc. Class A1 | 235,633 | |
5,826 | Zoom Video Communications, Inc. Class A1 | 349,443 | |
2,024,705 | |||
Specialized REITs — 3.1% | |||
487 | Equinix, Inc. | 355,335 | |
9,032 | Weyerhaeuser Co. | 259,128 | |
614,463 | |||
Specialty Retail — 4.4% | |||
4,396 | Best Buy Co., Inc. | 293,741 | |
864 | Ross Stores, Inc. | 100,198 | |
5,305 | TJX Cos., Inc. | 467,211 | |
861,150 | |||
Technology Hardware, Storage & Peripherals — 4.3% | |||
30,428 | Hewlett Packard Enterprise Co. | 467,982 | |
5,024 | NetApp, Inc. | 365,647 | |
833,629 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
1,342 | PVH Corp. | 99,778 | |
Trading Companies & Distributors — 0.8% | |||
1,030 | Ferguson PLC | 154,706 | |
TOTAL COMMON STOCKS (Cost $17,067,256) | 19,374,427 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.7% | |||
$149,907 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $149,914, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $153,100, coupon rate of 5.000%, due 10/31/2025, market value of $152,974) | 149,907 | |
TOTAL REPURCHASE AGREEMENT (Cost $149,907) | 149,907 |
95 |
Face Amount | Value | ||
TOTAL INVESTMENTS (Cost $17,217,163) | 100.0% | $19,524,334 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (8,871) | |
NET ASSETS | 100.0% | $19,515,463 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
96 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 10.4% | $ 2,024,705 | |
Health Care Providers & Services | 6.7 | 1,301,783 | |
Capital Markets | 6.3 | 1,220,823 | |
Media | 5.8 | 1,126,714 | |
Semiconductors & Semiconductor Equipment | 4.8 | 934,220 | |
Specialty Retail | 4.4 | 861,150 | |
Technology Hardware, Storage & Peripherals | 4.3 | 833,629 | |
Communications Equipment | 4.2 | 821,875 | |
Oil, Gas & Consumable Fuels | 4.2 | 820,677 | |
Pharmaceuticals | 4.0 | 785,231 | |
Biotechnology | 3.4 | 663,804 | |
Specialized REITs | 3.1 | 614,463 | |
Building Products | 3.0 | 581,742 | |
Hotels, Restaurants & Leisure | 2.9 | 560,702 | |
Electrical Equipment | 2.7 | 526,253 | |
Food Products | 2.7 | 524,808 | |
Insurance | 2.5 | 483,201 | |
Interactive Media & Service | 2.3 | 453,110 | |
Chemicals | 2.3 | 445,157 | |
Household Products | 2.2 | 438,688 | |
Broadline Retail | 2.0 | 393,752 | |
Consumer Staples Distribution & Retail | 1.9 | 370,459 | |
Multi-Utilities | 1.5 | 302,914 | |
Banks | 1.5 | 301,277 | |
Automobile Components | 1.2 | 228,780 | |
Professional Services | 1.1 | 211,892 | |
Electronic Equipment, Instruments & Components | 1.0 | 197,477 | |
Diversified Telecommunication Services | 0.9 | 166,397 | |
Trading Companies & Distributors | 0.8 | 154,706 | |
Machinery | 0.6 | 121,740 | |
Automobiles | 0.6 | 112,828 | |
Energy Equipment & Services | 0.6 | 110,798 | |
Entertainment | 0.5 | 103,365 | |
Consumer Finance | 0.5 | 101,513 | |
Financial Services | 0.5 | 101,314 | |
Textiles, Apparel & Luxury Goods | 0.5 | 99,778 | |
Real Estate Management & Development | 0.5 | 98,883 | |
Household Durables | 0.5 | 89,445 | |
IT Services | 0.4 | 84,374 | |
TOTAL COMMON STOCKS | 99.3% | $19,374,427 | |
REPURCHASE AGREEMENT | 0.7 | 149,907 | |
TOTAL INVESTMENTS | 100.0% | $19,524,334 |
97 |
Shares | Value | ||
COMMON STOCKS* — 93.9% | |||
Air Freight & Logistics — 1.1% | |||
3,320 | Expeditors International of Washington, Inc. | $ 362,710 | |
3,040 | Hub Group, Inc. Class A1 | 209,000 | |
571,710 | |||
Automobile Components — 0.8% | |||
11,500 | BorgWarner, Inc. | 424,350 | |
Automobiles — 1.1% | |||
19,720 | Harley-Davidson, Inc. | 529,482 | |
Banks — 1.2% | |||
54,140 | FNB Corp. | 578,757 | |
Beverages — 0.6% | |||
5,060 | Molson Coors Beverage Co. Class B | 292,316 | |
Biotechnology — 0.6% | |||
25,720 | Catalyst Pharmaceuticals, Inc.1 | 319,185 | |
Broadline Retail — 1.1% | |||
13,920 | eBay, Inc. | 546,082 | |
Building Products — 1.5% | |||
16,320 | Carrier Global Corp.2 | 777,811 | |
Capital Markets — 1.6% | |||
3,940 | Interactive Brokers Group, Inc. Class A2 | 315,476 | |
20,860 | Janus Henderson Group PLC2 | 481,240 | |
796,716 | |||
Communications Equipment — 1.5% | |||
14,620 | Cisco Systems, Inc. | 762,141 | |
Construction & Engineering — 2.9% | |||
7,300 | AECOM2 | 558,815 | |
4,460 | EMCOR Group, Inc.2 | 921,659 | |
1,480,474 | |||
Consumer Staples Distribution & Retail — 2.6% | |||
11,420 | Kroger Co. | 518,126 | |
18,660 | Sprouts Farmers Market, Inc.1 | 784,093 | |
1,302,219 | |||
Containers & Packaging — 1.1% | |||
3,500 | Packaging Corp. of America | 535,675 | |
Distributors — 1.5% | |||
17,300 | LKQ Corp. | 759,816 | |
Diversified Consumer Services — 2.5% | |||
11,760 | Adtalem Global Education, Inc.1 | 609,168 | |
11,620 | Stride, Inc.1 | 638,868 | |
1,248,036 | |||
Diversified REITs — 0.5% | |||
12,240 | Essential Properties Realty Trust, Inc. REIT2 | 268,668 | |
Diversified Telecommunication Services — 1.1% | |||
15,300 | Verizon Communications, Inc. | 537,489 | |
Electric Utilities — 1.7% | |||
10,120 | ALLETE, Inc. | 541,825 |
98 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — (Continued) | |||
4,120 | Pinnacle West Capital Corp. | $ 305,621 | |
847,446 | |||
Electronic Equipment, Instruments & Components — 5.0% | |||
9,300 | Jabil, Inc. | 1,142,040 | |
15,740 | Sanmina Corp.1 | 800,694 | |
25,500 | Vishay Intertechnology, Inc. | 567,120 | |
2,509,854 | |||
Energy Equipment & Services — 2.8% | |||
18,080 | Baker Hughes Co. Class A | 622,314 | |
40,440 | Liberty Energy, Inc. | 796,668 | |
1,418,982 | |||
Financial Services — 4.0% | |||
5,160 | Essent Group Ltd.2 | 243,758 | |
50,560 | MGIC Investment Corp.2 | 851,430 | |
18,920 | Radian Group, Inc.2 | 479,433 | |
40,100 | Western Union Co.2 | 452,729 | |
2,027,350 | |||
Food Products — 2.3% | |||
9,460 | Archer-Daniels-Midland Co. | 677,052 | |
5,420 | Cal-Maine Foods, Inc. | 245,580 | |
3,800 | General Mills, Inc. | 247,912 | |
1,170,544 | |||
Gas Utilities — 1.0% | |||
9,880 | National Fuel Gas Co. | 503,386 | |
Ground Transportation — 0.5% | |||
8,820 | CSX Corp. | 263,277 | |
Health Care Equipment & Supplies — 1.5% | |||
9,420 | Envista Holdings Corp.1 | 219,203 | |
8,060 | Merit Medical Systems, Inc.1 | 554,045 | |
773,248 | |||
Health Care Providers & Services — 2.2% | |||
11,860 | Centene Corp.1 | 818,103 | |
4,300 | CVS Health Corp. | 296,743 | |
1,114,846 | |||
Hotel & Resort REITs — 1.2% | |||
39,880 | Apple Hospitality REIT, Inc.2 | 625,318 | |
Hotels, Restaurants & Leisure — 1.6% | |||
32,540 | International Game Technology PLC3 | 827,167 | |
Household Durables — 1.8% | |||
6,500 | PulteGroup, Inc. | 478,335 | |
10,800 | Taylor Morrison Home Corp.1 | 413,856 | |
892,191 | |||
Household Products — 1.2% | |||
3,900 | Procter & Gamble Co. | 585,117 | |
Insurance — 4.7% | |||
12,520 | American International Group, Inc. | 767,601 | |
5,020 | Arch Capital Group Ltd.1 | 435,134 | |
4,000 | Brown & Brown, Inc. | 277,680 |
99 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Insurance — (Continued) | |||
18,120 | Unum Group | $ 886,068 | |
2,366,483 | |||
Interactive Media & Service — 1.0% | |||
30,000 | Cargurus, Inc.1 | 516,900 | |
IT Services — 2.4% | |||
8,800 | Amdocs Ltd. | 705,408 | |
7,580 | Cognizant Technology Solutions Corp. Class A | 488,683 | |
1,194,091 | |||
Life Sciences Tools & Services — 0.5% | |||
15,140 | Avantor, Inc.1 | 263,890 | |
Machinery — 1.5% | |||
29,620 | Gates Industrial Corp. PLC1,2 | 323,450 | |
4,600 | ITT, Inc.2 | 429,410 | |
752,860 | |||
Media — 3.0% | |||
14,800 | Comcast Corp. Class A | 611,092 | |
9,940 | New York Times Co. Class A | 400,681 | |
6,760 | Omnicom Group, Inc. | 506,392 | |
1,518,165 | |||
Metals & Mining — 2.8% | |||
11,520 | Commercial Metals Co. | 487,181 | |
3,680 | Reliance Steel & Aluminum Co. | 936,118 | |
1,423,299 | |||
Multi-Utilities — 2.1% | |||
6,140 | Consolidated Edison, Inc. | 539,031 | |
19,600 | NiSource, Inc. | 493,136 | |
1,032,167 | |||
Oil, Gas & Consumable Fuels — 1.9% | |||
6,400 | Marathon Petroleum Corp. | 968,000 | |
Passenger Airlines — 0.9% | |||
10,160 | SkyWest, Inc.1 | 428,447 | |
Pharmaceuticals — 1.3% | |||
27,540 | Elanco Animal Health, Inc.1 | 242,627 | |
15,140 | Perrigo Co. PLC | 418,470 | |
661,097 | |||
Professional Services — 4.9% | |||
11,980 | CBIZ, Inc.1 | 622,481 | |
21,760 | Genpact Ltd. | 729,830 | |
9,620 | Parsons Corp.1 | 544,011 | |
5,600 | TriNet Group, Inc.1 | 575,400 | |
2,471,722 | |||
Residential REITs — 1.0% | |||
15,560 | American Homes 4 Rent Class A2 | 509,434 | |
Retail REITs — 3.5% | |||
29,760 | Brixmor Property Group, Inc.2 | 618,710 | |
22,640 | Kite Realty Group Trust2 | 482,685 | |
10,760 | Regency Centers Corp. REIT2 | 648,398 | |
1,749,793 |
100 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Semiconductors & Semiconductor Equipment — 1.7% | |||
11,520 | Amkor Technology, Inc. | $ 240,307 | |
5,880 | Diodes, Inc.1 | 382,670 | |
10,140 | Veeco Instruments, Inc.1 | 242,752 | |
865,729 | |||
Software — 4.2% | |||
13,220 | Box, Inc. Class A1 | 328,649 | |
25,100 | Dropbox, Inc. Class A1 | 660,130 | |
30,220 | Gen Digital, Inc. | 503,465 | |
7,100 | Progress Software Corp. | 364,798 | |
18,600 | Sprinklr, Inc. Class A1 | 252,774 | |
2,109,816 | |||
Specialized REITs — 1.1% | |||
19,340 | VICI Properties, Inc.2 | 539,586 | |
Specialty Retail — 1.7% | |||
6,480 | TJX Cos., Inc. | 570,693 | |
7,940 | Urban Outfitters, Inc.1 | 274,883 | |
845,576 | |||
Technology Hardware, Storage & Peripherals — 1.1% | |||
15,760 | Pure Storage, Inc. Class A1 | 532,846 | |
Textiles, Apparel & Luxury Goods — 0.9% | |||
9,900 | Skechers USA, Inc. Class A1 | 477,378 | |
Trading Companies & Distributors — 1.6% | |||
22,170 | Rush Enterprises, Inc. Class A2 | 788,809 | |
TOTAL COMMON STOCKS (Cost $38,089,071) | 47,305,741 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 5.0% | |||
$2,524,545 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $2,524,657, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $2,577,200, coupon rate of 5.000%, due 10/31/2025, market value of $2,575,086) | 2,524,545 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,524,545) | 2,524,545 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.7% | |||
844,020 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 844,020 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $844,020) | 844,020 | ||
TOTAL LONG INVESTMENTS (Cost $41,457,636) | 100.6% | $ 50,674,306 | |
COMMON STOCKS SOLD SHORT* — (63.9)% | |||
Aerospace & Defense — (2.3)% | |||
(3,720) | Boeing Co.1 | (694,970) | |
(3,000) | HEICO Corp. | (475,230) | |
(1,170,200) |
101 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Automobile Components — (0.9)% | |||
(3,980) | LCI Industries | $ (431,790) | |
Banks — (1.4)% | |||
(11,420) | Glacier Bancorp, Inc. | (344,770) | |
(16,780) | Seacoast Banking Corp. of Florida | (339,124) | |
(683,894) | |||
Beverages — (1.8)% | |||
(1,560) | Boston Beer Co., Inc. Class A1 | (520,962) | |
(7,300) | Brown-Forman Corp. Class B | (409,968) | |
(930,930) | |||
Capital Markets — (4.0)% | |||
(660) | FactSet Research Systems, Inc. | (285,047) | |
(1,660) | Moody’s Corp. | (511,280) | |
(6,120) | Morgan Stanley | (433,419) | |
(1,220) | Morningstar, Inc. | (308,953) | |
(1,320) | S&P Global, Inc. | (461,089) | |
(1,999,788) | |||
Chemicals — (3.2)% | |||
(1,760) | Air Products & Chemicals, Inc. | (497,095) | |
(4,120) | Celanese Corp. | (471,781) | |
(2,540) | FMC Corp. | (135,128) | |
(4,480) | International Flavors & Fragrances, Inc. | (306,208) | |
(4,600) | Scotts Miracle-Gro Co. | (204,424) | |
(1,614,636) | |||
Commercial Services & Supplies — (4.0)% | |||
(5,500) | Casella Waste Systems, Inc. Class A1 | (414,975) | |
(3,300) | MSA Safety, Inc. | (521,004) | |
(13,140) | Stericycle, Inc.1 | (541,893) | |
(3,200) | Waste Management, Inc. | (525,856) | |
(2,003,728) | |||
Construction & Engineering — (0.6)% | |||
(4,740) | MasTec, Inc.1 | (281,746) | |
Consumer Staples Distribution & Retail — (1.7)% | |||
(4,020) | Dollar General Corp. | (478,541) | |
(3,540) | Dollar Tree, Inc.1 | (393,258) | |
(871,799) | |||
Distributors — (0.9)% | |||
(1,420) | Pool Corp. | (448,393) | |
Diversified Consumer Services — (1.0)% | |||
(6,840) | Bright Horizons Family Solutions, Inc.1 | (506,570) | |
Electric Utilities — (2.8)% | |||
(8,300) | MGE Energy, Inc. | (594,529) | |
(6,600) | NRG Energy, Inc. | (279,708) | |
(8,320) | Southern Co. | (559,936) | |
(1,434,173) | |||
Electrical Equipment — (0.8)% | |||
(3,360) | Regal Rexnord Corp. | (397,858) | |
Electronic Equipment, Instruments & Components — (3.6)% | |||
(11,040) | Cognex Corp. | (397,330) | |
(15,440) | Coherent Corp.1 | (457,024) |
102 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Electronic Equipment, Instruments & Components — (Continued) | |||
(1,500) | Teledyne Technologies, Inc.1 | $ (561,885) | |
(1,800) | Zebra Technologies Corp. Class A1 | (376,974) | |
(1,793,213) | |||
Entertainment — (1.9)% | |||
(3,560) | Take-Two Interactive Software, Inc.1 | (476,150) | |
(5,660) | Walt Disney Co.1 | (461,799) | |
(937,949) | |||
Financial Services — (0.7)% | |||
(2,520) | Jack Henry & Associates, Inc. | (355,295) | |
Food Products — (0.5)% | |||
(1,600) | Lancaster Colony Corp. | (270,672) | |
Ground Transportation — (2.1)% | |||
(2,660) | Norfolk Southern Corp. | (507,502) | |
(2,720) | Union Pacific Corp. | (564,699) | |
(1,072,201) | |||
Health Care Equipment & Supplies — (1.7)% | |||
(11,140) | Baxter International, Inc. | (361,270) | |
(2,020) | Becton Dickinson & Co. | (510,616) | |
(871,886) | |||
Health Care REITs — (1.4)% | |||
(27,160) | Healthcare Realty Trust, Inc. Class A | (389,746) | |
(19,700) | Healthpeak Properties, Inc. | (306,335) | |
(696,081) | |||
Hotels, Restaurants & Leisure — (1.5)% | |||
(7,060) | Cracker Barrel Old Country Store, Inc. | (468,501) | |
(4,740) | Papa John’s International, Inc. | (308,195) | |
(776,696) | |||
Household Durables — (0.6)% | |||
(27,080) | Sonos, Inc.1 | (291,922) | |
Independent Power & Renewable Electricity Producer — (0.7)% | |||
(5,520) | Ormat Technologies, Inc. | (339,701) | |
Industrial REITs — (1.0)% | |||
(15,300) | STAG Industrial, Inc. REIT | (508,266) | |
Insurance — (3.1)% | |||
(3,880) | Allstate Corp. | (497,144) | |
(11,700) | Kemper Corp. | (466,596) | |
(2,160) | Progressive Corp. | (341,474) | |
(4,080) | W R Berkley Corp. | (275,074) | |
(1,580,288) | |||
Leisure Equipment & Products — (0.7)% | |||
(7,320) | Hasbro, Inc. | (330,498) | |
Life Sciences Tools & Services — (0.2)% | |||
(740) | Illumina, Inc.1 | (80,971) | |
Machinery — (1.7)% | |||
(2,120) | RBC Bearings, Inc.1 | (466,061) | |
(4,600) | Stanley Black & Decker, Inc. | (391,230) | |
(857,291) |
103 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Mortgage Real Estate Investment Trust — (0.4)% | |||
(13,220) | Annaly Capital Management, Inc. REIT | $ (206,364) | |
Multi-Utilities — (0.7)% | |||
(8,380) | Dominion Energy, Inc. | (337,882) | |
Office REITs — (0.8)% | |||
(20,340) | Vornado Realty Trust | (390,528) | |
Oil, Gas & Consumable Fuels — (3.0)% | |||
(43,100) | Antero Midstream Corp. | (531,854) | |
(4,280) | ConocoPhillips | (508,464) | |
(7,880) | Occidental Petroleum Corp. | (487,063) | |
(1,527,381) | |||
Passenger Airlines — (0.8)% | |||
(17,360) | Southwest Airlines Co. | (385,913) | |
Professional Services — (1.1)% | |||
(3,240) | Equifax, Inc. | (549,407) | |
Residential REITs — (0.7)% | |||
(29,520) | Elme Communities | (376,675) | |
Retail REITs — (0.9)% | |||
(48,480) | Macerich Co. | (471,226) | |
Semiconductors & Semiconductor Equipment — (1.1)% | |||
(3,100) | Advanced Micro Devices, Inc.1 | (305,350) | |
(560) | Monolithic Power Systems, Inc. | (247,374) | |
(552,724) | |||
Software — (3.2)% | |||
(1,620) | ANSYS, Inc.1 | (450,781) | |
(300) | Fair Isaac Corp.1 | (253,761) | |
(4,840) | Pegasystems, Inc. | (206,862) | |
(1,820) | Tyler Technologies, Inc.1 | (678,678) | |
(1,590,082) | |||
Specialized REITs — (1.1)% | |||
(4,420) | Digital Realty Trust, Inc. | (549,671) | |
Specialty Retail — (0.9)% | |||
(19,400) | Monro, Inc. | (481,508) | |
Technology Hardware, Storage & Peripherals — (1.1)% | |||
(14,360) | Western Digital Corp.1 | (576,554) | |
Trading Companies & Distributors — (0.5)% | |||
(580) | United Rentals, Inc. | (235,637) | |
Water Utilities — (0.8)% | |||
(8,680) | California Water Service Group | (422,542) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(42,947,981)) | (32,192,529) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(42,947,981)) | (63.9)% | $(32,192,529) |
104 |
Shares | Value | ||
TOTAL INVESTMENTS (Cost $(1,490,345)) | 36.7% | $ 18,481,777 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 63.3 | 31,876,843 | |
NET ASSETS | 100.0% | $ 50,358,620 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $7,405,802. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
105 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Electronic Equipment, Instruments & Components | 5.0% | $ 2,509,854 | |
Professional Services | 4.9 | 2,471,722 | |
Insurance | 4.7 | 2,366,483 | |
Software | 4.2 | 2,109,816 | |
Financial Services | 4.0 | 2,027,350 | |
Retail REITs | 3.5 | 1,749,793 | |
Media | 3.0 | 1,518,165 | |
Construction & Engineering | 2.9 | 1,480,474 | |
Metals & Mining | 2.8 | 1,423,299 | |
Energy Equipment & Services | 2.8 | 1,418,982 | |
Consumer Staples Distribution & Retail | 2.6 | 1,302,219 | |
Diversified Consumer Services | 2.5 | 1,248,036 | |
IT Services | 2.4 | 1,194,091 | |
Food Products | 2.3 | 1,170,544 | |
Health Care Providers & Services | 2.2 | 1,114,846 | |
Multi-Utilities | 2.1 | 1,032,167 | |
Oil, Gas & Consumable Fuels | 1.9 | 968,000 | |
Household Durables | 1.8 | 892,191 | |
Semiconductors & Semiconductor Equipment | 1.7 | 865,729 | |
Electric Utilities | 1.7 | 847,446 | |
Specialty Retail | 1.7 | 845,576 | |
Hotels, Restaurants & Leisure | 1.6 | 827,167 | |
Capital Markets | 1.6 | 796,716 | |
Trading Companies & Distributors | 1.6 | 788,809 | |
Building Products | 1.5 | 777,811 | |
Health Care Equipment & Supplies | 1.5 | 773,248 | |
Communications Equipment | 1.5 | 762,141 | |
Distributors | 1.5 | 759,816 | |
Machinery | 1.5 | 752,860 | |
Pharmaceuticals | 1.3 | 661,097 | |
Hotel & Resort REITs | 1.2 | 625,318 | |
Household Products | 1.2 | 585,117 | |
Banks | 1.2 | 578,757 | |
Air Freight & Logistics | 1.1 | 571,710 | |
Broadline Retail | 1.1 | 546,082 | |
Specialized REITs | 1.1 | 539,586 | |
Diversified Telecommunication Services | 1.1 | 537,489 | |
Containers & Packaging | 1.1 | 535,675 | |
Technology Hardware, Storage & Peripherals | 1.1 | 532,846 | |
Automobiles | 1.1 | 529,482 | |
Interactive Media & Service | 1.0 | 516,900 | |
Residential REITs | 1.0 | 509,434 | |
Gas Utilities | 1.0 | 503,386 | |
Textiles, Apparel & Luxury Goods | 0.9 | 477,378 | |
Passenger Airlines | 0.9 | 428,447 | |
Automobile Components | 0.8 | 424,350 | |
Biotechnology | 0.6 | 319,185 | |
Beverages | 0.6 | 292,316 | |
Diversified REITs | 0.5 | 268,668 | |
Life Sciences Tools & Services | 0.5 | 263,890 | |
Ground Transportation | 0.5 | 263,277 |
106 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: | |||
Life Sciences Tools & Services | (0.2)% | $ (80,971) | |
Mortgage Real Estate Investment Trust | (0.4) | (206,364) | |
Trading Companies & Distributors | (0.5) | (235,637) | |
Food Products | (0.5) | (270,672) | |
Construction & Engineering | (0.6) | (281,746) | |
Household Durables | (0.6) | (291,922) | |
Leisure Equipment & Products | (0.7) | (330,498) | |
Multi-Utilities | (0.7) | (337,882) | |
Independent Power & Renewable Electricity Producer | (0.7) | (339,701) | |
Financial Services | (0.7) | (355,295) | |
Residential REITs | (0.7) | (376,675) | |
Passenger Airlines | (0.8) | (385,913) | |
Office REITs | (0.8) | (390,528) | |
Electrical Equipment | (0.8) | (397,858) | |
Water Utilities | (0.8) | (422,542) | |
Automobile Components | (0.9) | (431,790) | |
Distributors | (0.9) | (448,393) | |
Retail REITs | (0.9) | (471,226) | |
Specialty Retail | (0.9) | (481,508) | |
Diversified Consumer Services | (1.0) | (506,570) | |
Industrial REITs | (1.0) | (508,266) | |
Professional Services | (1.1) | (549,407) | |
Specialized REITs | (1.1) | (549,671) | |
Semiconductors & Semiconductor Equipment | (1.1) | (552,724) | |
Technology Hardware, Storage & Peripherals | (1.1) | (576,554) | |
Banks | (1.4) | (683,894) | |
Health Care REITs | (1.4) | (696,081) | |
Hotels, Restaurants & Leisure | (1.5) | (776,696) | |
Machinery | (1.7) | (857,291) | |
Consumer Staples Distribution & Retail | (1.7) | (871,799) | |
Health Care Equipment & Supplies | (1.7) | (871,886) | |
Beverages | (1.8) | (930,930) | |
Entertainment | (1.9) | (937,949) | |
Ground Transportation | (2.1) | (1,072,201) | |
Aerospace & Defense | (2.3) | (1,170,200) | |
Electric Utilities | (2.8) | (1,434,173) | |
Oil, Gas & Consumable Fuels | (3.0) | (1,527,381) | |
Insurance | (3.1) | (1,580,288) | |
Software | (3.2) | (1,590,082) | |
Chemicals | (3.2) | (1,614,636) | |
Electronic Equipment, Instruments & Components | (3.6) | (1,793,213) | |
Capital Markets | (4.0) | (1,999,788) | |
Commercial Services & Supplies | (4.0) | (2,003,728) | |
TOTAL COMMON STOCKS | 30.0% | $15,113,212 | |
REPURCHASE AGREEMENT | 5.0 | 2,524,545 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.7 | 844,020 | |
TOTAL INVESTMENTS | 36.7% | $18,481,777 |
107 |
Shares | Value | ||
COMMON STOCKS* — 128.1% | |||
Automobile Components — 1.0% | |||
9,780 | BorgWarner, Inc. | $ 360,882 | |
Automobiles — 1.1% | |||
40,400 | Ford Motor Co.1 | 393,900 | |
Banks — 2.5% | |||
18,400 | Fifth Third Bancorp1 | 436,264 | |
33,500 | Old National Bancorp | 458,950 | |
895,214 | |||
Beverages — 0.8% | |||
5,040 | Molson Coors Beverage Co. Class B1 | 291,161 | |
Biotechnology — 2.9% | |||
38,660 | Catalyst Pharmaceuticals, Inc.2 | 479,771 | |
26,600 | Exelixis, Inc.2 | 547,694 | |
1,027,465 | |||
Broadline Retail — 1.5% | |||
13,900 | eBay, Inc. | 545,297 | |
Building Products — 1.9% | |||
14,660 | Carrier Global Corp.1 | 698,696 | |
Capital Markets — 3.1% | |||
5,800 | Interactive Brokers Group, Inc. Class A1 | 464,406 | |
4,140 | Nasdaq, Inc.1 | 205,344 | |
8,480 | SEI Investments Co.1 | 455,037 | |
1,124,787 | |||
Communications Equipment — 2.9% | |||
13,020 | Cisco Systems, Inc.1 | 678,733 | |
14,120 | Juniper Networks, Inc. | 380,110 | |
1,058,843 | |||
Construction & Engineering — 3.4% | |||
3,000 | AECOM1 | 229,650 | |
4,740 | EMCOR Group, Inc.1 | 979,521 | |
1,209,171 | |||
Consumer Staples Distribution & Retail — 2.9% | |||
8,100 | Kroger Co.1 | 367,497 | |
16,400 | Sprouts Farmers Market, Inc.2,3 | 689,128 | |
1,056,625 | |||
Containers & Packaging — 0.8% | |||
1,900 | Packaging Corp. of America1 | 290,795 | |
Distributors — 1.8% | |||
14,560 | LKQ Corp. | 639,475 | |
Diversified Consumer Services — 1.4% | |||
8,980 | Stride, Inc.2 | 493,720 | |
Electrical Equipment — 1.4% | |||
10,300 | nVent Electric PLC1 | 495,739 | |
Electronic Equipment, Instruments & Components — 2.5% | |||
11,760 | Sanmina Corp.2 | 598,231 | |
9,700 | Vontier Corp. | 286,732 | |
884,963 |
108 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — 3.5% | |||
13,960 | Baker Hughes Co. Class A1 | $ 480,503 | |
40,300 | Liberty Energy, Inc.1 | 793,910 | |
1,274,413 | |||
Financial Services — 5.2% | |||
10,200 | Essent Group Ltd.1 | 481,848 | |
52,320 | MGIC Investment Corp. | 881,069 | |
43,300 | Western Union Co. | 488,857 | |
1,851,774 | |||
Food Products — 3.3% | |||
2,600 | Archer-Daniels-Midland Co.1 | 186,082 | |
11,380 | Darling Ingredients, Inc.2 | 504,020 | |
7,800 | General Mills, Inc.1 | 508,872 | |
1,198,974 | |||
Gas Utilities — 1.1% | |||
7,460 | National Fuel Gas Co.1 | 380,087 | |
Ground Transportation — 2.1% | |||
18,140 | CSX Corp.1 | 541,479 | |
11,200 | RXO, Inc.1,2 | 196,112 | |
737,591 | |||
Health Care Equipment & Supplies — 2.1% | |||
7,600 | Envista Holdings Corp.2 | 176,852 | |
8,420 | Merit Medical Systems, Inc.2 | 578,791 | |
755,643 | |||
Health Care Providers & Services — 4.7% | |||
7,780 | Centene Corp.1,2 | 536,664 | |
2,548 | Molina Healthcare, Inc.1,2 | 848,357 | |
16,160 | Premier, Inc. Class A | 310,595 | |
1,695,616 | |||
Hotel & Resort REITs — 0.6% | |||
12,840 | Host Hotels & Resorts, Inc.1 | 198,763 | |
Hotels, Restaurants & Leisure — 2.3% | |||
32,660 | International Game Technology PLC3 | 830,217 | |
Household Durables — 2.4% | |||
22,480 | Taylor Morrison Home Corp.1,2 | 861,434 | |
Household Products — 0.7% | |||
1,800 | Procter & Gamble Co.1 | 270,054 | |
Insurance — 4.9% | |||
9,920 | Arch Capital Group Ltd.1,2 | 859,866 | |
2,360 | Brown & Brown, Inc.1 | 163,831 | |
14,880 | Unum Group1 | 727,632 | |
1,751,329 | |||
Interactive Media & Service — 1.4% | |||
28,280 | Cargurus, Inc.2 | 487,264 | |
IT Services — 3.9% | |||
2,720 | Akamai Technologies, Inc.1,2 | 281,058 | |
8,000 | Amdocs Ltd. | 641,280 | |
7,220 | Cognizant Technology Solutions Corp. Class A1 | 465,473 | |
1,387,811 |
109 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — 1.2% | |||
25,560 | Avantor, Inc.1,2 | $ 445,511 | |
Machinery — 2.5% | |||
3,940 | Hillenbrand, Inc. | 149,838 | |
2,700 | ITT, Inc.1 | 252,045 | |
5,820 | PACCAR, Inc.1 | 480,325 | |
882,208 | |||
Media — 7.8% | |||
17,600 | Comcast Corp. Class A1 | 726,704 | |
9,960 | Fox Corp. Class A | 302,685 | |
15,820 | Interpublic Group of Cos., Inc. | 449,288 | |
4,540 | New York Times Co. Class A | 183,007 | |
8,480 | Omnicom Group, Inc. | 635,237 | |
33,400 | TEGNA, Inc. | 484,634 | |
2,781,555 | |||
Metals & Mining — 3.2% | |||
11,960 | Commercial Metals Co. | 505,788 | |
2,546 | Reliance Steel & Aluminum Co.1 | 647,652 | |
1,153,440 | |||
Multi-Utilities — 2.9% | |||
22,020 | NiSource, Inc.1 | 554,023 | |
7,720 | Public Service Enterprise Group, Inc.1 | 475,938 | |
1,029,961 | |||
Oil, Gas & Consumable Fuels — 4.3% | |||
12,640 | EQT Corp.1 | 535,683 | |
6,620 | Marathon Petroleum Corp.1 | 1,001,275 | |
1,536,958 | |||
Personal Care Products — 1.7% | |||
6,540 | elf Beauty, Inc.2 | 605,800 | |
Pharmaceuticals — 2.5% | |||
10,160 | Amphastar Pharmaceuticals, Inc.2 | 459,943 | |
16,040 | Perrigo Co. PLC | 443,346 | |
903,289 | |||
Professional Services — 4.7% | |||
11,800 | CBIZ, Inc.1,2 | 613,128 | |
16,560 | Genpact Ltd.1 | 555,422 | |
4,940 | Parsons Corp.1,2 | 279,357 | |
2,200 | TriNet Group, Inc.1,2 | 226,050 | |
1,673,957 | |||
Residential REITs — 1.3% | |||
14,400 | American Homes 4 Rent Class A1 | 471,456 | |
Retail REITs — 2.4% | |||
23,880 | Kite Realty Group Trust | 509,122 | |
5,640 | Regency Centers Corp. REIT1 | 339,866 | |
848,988 | |||
Semiconductors & Semiconductor Equipment — 4.3% | |||
21,620 | Amkor Technology, Inc. | 450,993 | |
8,860 | Diodes, Inc.2 | 576,609 | |
5,180 | ON Semiconductor Corp.1,2 | 324,475 |
110 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
8,260 | Veeco Instruments, Inc.2 | $ 197,745 | |
1,549,822 | |||
Software — 8.9% | |||
18,060 | Box, Inc. Class A2 | 448,972 | |
23,920 | Dropbox, Inc. Class A2 | 629,096 | |
31,540 | Gen Digital, Inc. | 525,456 | |
12,780 | Progress Software Corp. | 656,636 | |
5,920 | SPS Commerce, Inc.2 | 949,213 | |
3,209,373 | |||
Specialized REITs — 1.2% | |||
4,240 | Gaming & Leisure Properties, Inc.1 | 192,454 | |
8,080 | VICI Properties, Inc.1 | 225,432 | |
417,886 | |||
Specialty Retail — 3.0% | |||
10,300 | Guess?, Inc. | 221,450 | |
6,900 | TJX Cos., Inc.1 | 607,683 | |
7,300 | Urban Outfitters, Inc.2 | 252,726 | |
1,081,859 | |||
Technology Hardware, Storage & Peripherals — 4.0% | |||
43,460 | Hewlett Packard Enterprise Co.1 | 668,415 | |
22,540 | Pure Storage, Inc. Class A1,2 | 762,077 | |
1,430,492 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
3,920 | Skechers USA, Inc. Class A1,2 | 189,022 | |
Trading Companies & Distributors — 1.6% | |||
4,560 | WESCO International, Inc.1 | 584,592 | |
TOTAL COMMON STOCKS (Cost $36,803,702) | 45,943,872 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.4% | |||
$147,871 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $147,877, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $151,000, coupon rate of 5.000%, due 10/31/2025, market value of $150,876) | 147,871 | |
TOTAL REPURCHASE AGREEMENT (Cost $147,871) | 147,871 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.5% | |||
880,308 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 880,308 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $880,308) | 880,308 | ||
TOTAL LONG INVESTMENTS (Cost $37,831,881) | 131.0% | $ 46,972,051 | |
COMMON STOCKS SOLD SHORT* — (28.4)% | |||
Aerospace & Defense — (1.5)% | |||
(1,020) | Boeing Co.2 | (190,556) | |
(800) | HEICO Corp. | (126,728) |
111 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Aerospace & Defense — (Continued) | |||
(2,020) | Mercury Systems, Inc.2 | $ (72,680) | |
(280) | Northrop Grumman Corp. | (132,000) | |
(521,964) | |||
Banks — (0.3)% | |||
(3,500) | Glacier Bancorp, Inc. | (105,665) | |
Beverages — (0.9)% | |||
(2,560) | Brown-Forman Corp. Class B | (143,770) | |
(700) | Constellation Brands, Inc. Class A | (163,905) | |
(307,675) | |||
Building Products — (0.4)% | |||
(2,800) | Trex Co., Inc.2 | (157,388) | |
Capital Markets — (1.7)% | |||
(300) | FactSet Research Systems, Inc. | (129,567) | |
(1,800) | Morgan Stanley | (127,476) | |
(740) | Morningstar, Inc. | (187,398) | |
(1,700) | Tradeweb Markets, Inc. Class A | (153,017) | |
(597,458) | |||
Chemicals — (0.7)% | |||
(540) | Air Products & Chemicals, Inc. | (152,518) | |
(1,600) | International Flavors & Fragrances, Inc. | (109,360) | |
(261,878) | |||
Commercial Services & Supplies — (2.9)% | |||
(1,900) | Casella Waste Systems, Inc. Class A2 | (143,355) | |
(1,440) | MSA Safety, Inc. | (227,347) | |
(4,600) | Rollins, Inc. | (173,006) | |
(4,040) | Stericycle, Inc.2 | (166,610) | |
(900) | UniFirst Corp. | (147,987) | |
(1,120) | Waste Management, Inc. | (184,050) | |
(1,042,355) | |||
Construction & Engineering — (0.5)% | |||
(1,140) | Dycom Industries, Inc.2 | (97,105) | |
(1,500) | MasTec, Inc.2 | (89,160) | |
(186,265) | |||
Consumer Staples Distribution & Retail — (0.7)% | |||
(960) | Dollar General Corp. | (114,278) | |
(1,200) | Dollar Tree, Inc.2 | (133,308) | |
(247,586) | |||
Diversified Consumer Services — (0.1)% | |||
(634) | Bright Horizons Family Solutions, Inc.2 | (46,954) | |
Electric Utilities — (1.3)% | |||
(1,300) | Constellation Energy Corp. | (146,796) | |
(2,280) | MGE Energy, Inc. | (163,316) | |
(2,320) | Southern Co. | (156,136) | |
(466,248) | |||
Electrical Equipment — (0.7)% | |||
(1,100) | Regal Rexnord Corp. | (130,251) | |
(500) | Rockwell Automation, Inc. | (131,405) | |
(261,656) |
112 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Electronic Equipment, Instruments & Components — (0.6)% | |||
(1,980) | Cognex Corp. | $ (71,260) | |
(620) | Zebra Technologies Corp. Class A2 | (129,847) | |
(201,107) | |||
Financial Services — (0.4)% | |||
(1,100) | Jack Henry & Associates, Inc. | (155,089) | |
Food Products — (0.4)% | |||
(800) | J&J Snack Foods Corp. | (125,288) | |
Ground Transportation — (0.8)% | |||
(740) | Norfolk Southern Corp. | (141,185) | |
(3,420) | U-Haul Holding Co. | (161,458) | |
(302,643) | |||
Health Care Equipment & Supplies — (0.7)% | |||
(500) | Becton Dickinson & Co. | (126,390) | |
(400) | Cooper Cos., Inc. | (124,700) | |
(251,090) | |||
Health Care REITs — (1.0)% | |||
(6,940) | Healthcare Realty Trust, Inc. Class A | (99,589) | |
(5,640) | Healthpeak Properties, Inc. | (87,702) | |
(3,700) | Ventas, Inc. | (157,102) | |
(344,393) | |||
Hotels, Restaurants & Leisure — (1.0)% | |||
(1,300) | Churchill Downs, Inc. | (142,792) | |
(1,580) | Cracker Barrel Old Country Store, Inc. | (104,849) | |
(1,880) | Papa John’s International, Inc. | (122,237) | |
(369,878) | |||
Household Durables — (0.3)% | |||
(8,420) | Sonos, Inc.2 | (90,768) | |
Independent Power & Renewable Electricity Producer — (0.2)% | |||
(1,380) | Ormat Technologies, Inc. | (84,925) | |
Insurance — (1.8)% | |||
(1,580) | Allstate Corp. | (202,445) | |
(3,860) | Kemper Corp. | (153,937) | |
(2,100) | Principal Financial Group, Inc. | (142,128) | |
(1,000) | Progressive Corp. | (158,090) | |
(656,600) | |||
Leisure Equipment & Products — (0.3)% | |||
(2,260) | Hasbro, Inc. | (102,039) | |
Machinery — (1.0)% | |||
(700) | RBC Bearings, Inc.2 | (153,888) | |
(2,300) | Stanley Black & Decker, Inc. | (195,615) | |
(349,503) | |||
Multi-Utilities — (0.4)% | |||
(3,320) | Dominion Energy, Inc. | (133,862) | |
Office REITs — (0.3)% | |||
(6,260) | Vornado Realty Trust | (120,192) | |
Oil, Gas & Consumable Fuels — (2.2)% | |||
(13,400) | Antero Midstream Corp. | (165,356) | |
(1,320) | ConocoPhillips | (156,816) |
113 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Oil, Gas & Consumable Fuels — (Continued) | |||
(1,220) | EOG Resources, Inc. | $ (154,025) | |
(1,000) | Hess Corp. | (144,400) | |
(2,700) | Occidental Petroleum Corp. | (166,887) | |
(787,484) | |||
Passenger Airlines — (0.3)% | |||
(5,300) | Southwest Airlines Co. | (117,819) | |
Personal Care Products — (0.3)% | |||
(800) | Estee Lauder Cos., Inc. Class A | (103,096) | |
Professional Services — (0.8)% | |||
(900) | Equifax, Inc. | (152,613) | |
(1,620) | Maximus, Inc. | (121,046) | |
(273,659) | |||
Residential REITs — (0.3)% | |||
(8,000) | Elme Communities | (102,080) | |
Software — (0.8)% | |||
(180) | Fair Isaac Corp.2 | (152,257) | |
(400) | Tyler Technologies, Inc.2 | (149,160) | |
(301,417) | |||
Specialized REITs — (1.1)% | |||
(1,420) | Digital Realty Trust, Inc. | (176,591) | |
(1,000) | Extra Space Storage, Inc. REIT | (103,590) | |
(4,000) | Rayonier, Inc. | (100,960) | |
(381,141) | |||
Technology Hardware, Storage & Peripherals — (0.5)% | |||
(4,800) | Western Digital Corp.2 | (192,720) | |
Trading Companies & Distributors — (0.7)% | |||
(1,400) | McGrath RentCorp | (140,840) | |
(300) | United Rentals, Inc. | (121,881) | |
(262,721) | |||
Water Utilities — (0.5)% | |||
(3,660) | California Water Service Group | (178,169) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(12,239,986)) | (10,190,775) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(12,239,986)) | (28.4)% | $(10,190,775) | |
TOTAL INVESTMENTS (Cost $25,591,895) | 102.6% | $ 36,781,276 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.6) | (921,246) | |
NET ASSETS | 100.0% | $ 35,860,030 |
* | 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 $11,887,772. |
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: | |||
Software | 8.9% | $ 3,209,373 | |
Media | 7.8 | 2,781,555 | |
Financial Services | 5.2 | 1,851,774 | |
Insurance | 4.9 | 1,751,329 | |
Health Care Providers & Services | 4.7 | 1,695,616 | |
Professional Services | 4.7 | 1,673,957 | |
Semiconductors & Semiconductor Equipment | 4.3 | 1,549,822 | |
Oil, Gas & Consumable Fuels | 4.3 | 1,536,958 | |
Technology Hardware, Storage & Peripherals | 4.0 | 1,430,492 | |
IT Services | 3.9 | 1,387,811 | |
Energy Equipment & Services | 3.5 | 1,274,413 | |
Construction & Engineering | 3.4 | 1,209,171 | |
Food Products | 3.3 | 1,198,974 | |
Metals & Mining | 3.2 | 1,153,440 | |
Capital Markets | 3.1 | 1,124,787 | |
Specialty Retail | 3.0 | 1,081,859 | |
Communications Equipment | 2.9 | 1,058,843 | |
Consumer Staples Distribution & Retail | 2.9 | 1,056,625 | |
Multi-Utilities | 2.9 | 1,029,961 | |
Biotechnology | 2.9 | 1,027,465 | |
Pharmaceuticals | 2.5 | 903,289 | |
Banks | 2.5 | 895,214 | |
Electronic Equipment, Instruments & Components | 2.5 | 884,963 | |
Machinery | 2.5 | 882,208 | |
Household Durables | 2.4 | 861,434 | |
Retail REITs | 2.4 | 848,988 | |
Hotels, Restaurants & Leisure | 2.3 | 830,217 | |
Health Care Equipment & Supplies | 2.1 | 755,643 | |
Ground Transportation | 2.1 | 737,591 | |
Building Products | 1.9 | 698,696 | |
Distributors | 1.8 | 639,475 | |
Personal Care Products | 1.7 | 605,800 | |
Trading Companies & Distributors | 1.6 | 584,592 | |
Broadline Retail | 1.5 | 545,297 | |
Electrical Equipment | 1.4 | 495,739 | |
Diversified Consumer Services | 1.4 | 493,720 | |
Interactive Media & Service | 1.4 | 487,264 | |
Residential REITs | 1.3 | 471,456 | |
Life Sciences Tools & Services | 1.2 | 445,511 | |
Specialized REITs | 1.2 | 417,886 | |
Automobiles | 1.1 | 393,900 | |
Gas Utilities | 1.1 | 380,087 | |
Automobile Components | 1.0 | 360,882 | |
Beverages | 0.8 | 291,161 | |
Containers & Packaging | 0.8 | 290,795 | |
Household Products | 0.7 | 270,054 | |
Hotel & Resort REITs | 0.6 | 198,763 | |
Textiles, Apparel & Luxury Goods | 0.5 | 189,022 | |
Short Positions: | |||
Diversified Consumer Services | (0.1) | (46,954) | |
Independent Power & Renewable Electricity Producer | (0.2) | (84,925) | |
Household Durables | (0.3) | (90,768) | |
Leisure Equipment & Products | (0.3) | (102,039) |
115 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Residential REITs | (0.3)% | $ (102,080) | |
Personal Care Products | (0.3) | (103,096) | |
Banks | (0.3) | (105,665) | |
Passenger Airlines | (0.3) | (117,819) | |
Office REITs | (0.3) | (120,192) | |
Food Products | (0.4) | (125,288) | |
Multi-Utilities | (0.4) | (133,862) | |
Financial Services | (0.4) | (155,089) | |
Building Products | (0.4) | (157,388) | |
Water Utilities | (0.5) | (178,169) | |
Construction & Engineering | (0.5) | (186,265) | |
Technology Hardware, Storage & Peripherals | (0.5) | (192,720) | |
Electronic Equipment, Instruments & Components | (0.6) | (201,107) | |
Consumer Staples Distribution & Retail | (0.7) | (247,586) | |
Health Care Equipment & Supplies | (0.7) | (251,090) | |
Electrical Equipment | (0.7) | (261,656) | |
Chemicals | (0.7) | (261,878) | |
Trading Companies & Distributors | (0.7) | (262,721) | |
Professional Services | (0.8) | (273,659) | |
Software | (0.8) | (301,417) | |
Ground Transportation | (0.8) | (302,643) | |
Beverages | (0.9) | (307,675) | |
Health Care REITs | (1.0) | (344,393) | |
Machinery | (1.0) | (349,503) | |
Hotels, Restaurants & Leisure | (1.0) | (369,878) | |
Specialized REITs | (1.1) | (381,141) | |
Electric Utilities | (1.3) | (466,248) | |
Aerospace & Defense | (1.5) | (521,964) | |
Capital Markets | (1.7) | (597,458) | |
Insurance | (1.8) | (656,600) | |
Oil, Gas & Consumable Fuels | (2.2) | (787,484) | |
Commercial Services & Supplies | (2.9) | (1,042,355) | |
TOTAL COMMON STOCKS | 99.7% | $35,753,097 | |
REPURCHASE AGREEMENT | 0.4 | 147,871 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.5 | 880,308 | |
TOTAL INVESTMENTS | 102.6% | $36,781,276 |
116 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Aerospace & Defense — 1.9% | |||
38,451 | RTX Corp. | $ 3,129,527 | |
Banks — 4.0% | |||
26,624 | JPMorgan Chase & Co. | 3,702,333 | |
25,876 | PNC Financial Services Group, Inc. | 2,962,026 | |
6,664,359 | |||
Beverages — 2.0% | |||
20,312 | PepsiCo, Inc. | 3,316,543 | |
Broadline Retail — 2.3% | |||
28,131 | Amazon.com, Inc.1 | 3,743,955 | |
Capital Markets — 3.0% | |||
33,647 | Charles Schwab Corp. | 1,750,990 | |
30,632 | Intercontinental Exchange, Inc. | 3,291,102 | |
5,042,092 | |||
Chemicals — 1.4% | |||
19,325 | PPG Industries, Inc. | 2,372,530 | |
Communications Equipment — 2.0% | |||
63,450 | Cisco Systems, Inc. | 3,307,649 | |
Construction Materials — 3.0% | |||
12,046 | Martin Marietta Materials, Inc. | 4,926,091 | |
Consumer Staples Distribution & Retail — 1.1% | |||
15,086 | Dollar General Corp. | 1,795,837 | |
Electrical Equipment — 2.4% | |||
28,435 | AMETEK, Inc. | 4,002,795 | |
Electronic Equipment, Instruments & Components — 3.1% | |||
63,041 | Amphenol Corp. Class A | 5,077,953 | |
Financial Services — 5.8% | |||
27,833 | Global Payments, Inc. | 2,956,421 | |
17,907 | Mastercard, Inc. Class A | 6,739,300 | |
9,695,721 | |||
Ground Transportation — 4.8% | |||
11,738 | Old Dominion Freight Line, Inc. | 4,421,235 | |
17,199 | Union Pacific Corp. | 3,570,685 | |
7,991,920 | |||
Health Care Equipment & Supplies — 3.7% | |||
39,526 | Abbott Laboratories | 3,737,183 | |
8,646 | Stryker Corp. | 2,336,322 | |
6,073,505 | |||
Health Care Providers & Services — 3.6% | |||
19,190 | Laboratory Corp. of America Holdings | 3,832,819 | |
3,964 | UnitedHealth Group, Inc. | 2,122,960 | |
5,955,779 | |||
Hotels, Restaurants & Leisure — 4.6% | |||
1,726 | Booking Holdings, Inc.1 | 4,814,781 | |
23,026 | Yum! Brands, Inc. | 2,782,922 | |
7,597,703 | |||
Household Products — 1.6% | |||
30,028 | Church & Dwight Co., Inc. | 2,730,746 |
117 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Insurance — 1.8% | |||
14,312 | Chubb Ltd. | $ 3,071,641 | |
Interactive Media & Service — 5.7% | |||
75,931 | Alphabet, Inc. Class C1 | 9,514,154 | |
IT Services — 4.5% | |||
12,108 | Accenture PLC Class A | 3,597,166 | |
11,774 | Gartner, Inc.1 | 3,909,439 | |
7,506,605 | |||
Life Sciences Tools & Services — 3.3% | |||
14,689 | IQVIA Holdings, Inc.1 | 2,656,212 | |
11,582 | Waters Corp.1 | 2,762,654 | |
5,418,866 | |||
Machinery — 1.8% | |||
8,006 | Parker-Hannifin Corp. | 2,953,493 | |
Media — 2.4% | |||
98,414 | Comcast Corp. Class A | 4,063,514 | |
Oil, Gas & Consumable Fuels — 3.0% | |||
34,228 | Chevron Corp. | 4,988,046 | |
Pharmaceuticals — 4.7% | |||
46,982 | Bristol-Myers Squibb Co. | 2,420,982 | |
9,678 | Eli Lilly & Co. | 5,360,935 | |
7,781,917 | |||
Software — 11.2% | |||
9,074 | Adobe, Inc.1 | 4,827,913 | |
27,456 | Microsoft Corp. | 9,283,148 | |
42,478 | Oracle Corp. | 4,392,225 | |
18,503,286 | |||
Specialty Retail — 6.3% | |||
7,199 | Home Depot, Inc. | 2,049,483 | |
38,223 | Ross Stores, Inc. | 4,432,722 | |
10,274 | Ulta Beauty, Inc.1 | 3,917,579 | |
10,399,784 | |||
Technology Hardware, Storage & Peripherals — 4.5% | |||
43,796 | Apple, Inc. | 7,479,043 | |
TOTAL COMMON STOCKS (Cost $82,124,201) | 165,105,054 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$968,509 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $968,552, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $988,700, coupon rate of 5.000%, due 10/31/2025, market value of $987,889) | 968,509 | |
TOTAL REPURCHASE AGREEMENT (Cost $968,509) | 968,509 |
118 |
Face Amount | Value | ||
TOTAL INVESTMENTS (Cost $83,092,710) | 100.1% | $166,073,563 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (187,141) | |
NET ASSETS | 100.0% | $165,886,422 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
119 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 11.2% | $ 18,503,286 | |
Specialty Retail | 6.3 | 10,399,784 | |
Financial Services | 5.8 | 9,695,721 | |
Interactive Media & Service | 5.7 | 9,514,154 | |
Ground Transportation | 4.8 | 7,991,920 | |
Pharmaceuticals | 4.7 | 7,781,917 | |
Hotels, Restaurants & Leisure | 4.6 | 7,597,703 | |
IT Services | 4.5 | 7,506,605 | |
Technology Hardware, Storage & Peripherals | 4.5 | 7,479,043 | |
Banks | 4.0 | 6,664,359 | |
Health Care Equipment & Supplies | 3.7 | 6,073,505 | |
Health Care Providers & Services | 3.6 | 5,955,779 | |
Life Sciences Tools & Services | 3.3 | 5,418,866 | |
Electronic Equipment, Instruments & Components | 3.1 | 5,077,953 | |
Capital Markets | 3.0 | 5,042,092 | |
Oil, Gas & Consumable Fuels | 3.0 | 4,988,046 | |
Construction Materials | 3.0 | 4,926,091 | |
Media | 2.4 | 4,063,514 | |
Electrical Equipment | 2.4 | 4,002,795 | |
Broadline Retail | 2.3 | 3,743,955 | |
Beverages | 2.0 | 3,316,543 | |
Communications Equipment | 2.0 | 3,307,649 | |
Aerospace & Defense | 1.9 | 3,129,527 | |
Insurance | 1.8 | 3,071,641 | |
Machinery | 1.8 | 2,953,493 | |
Household Products | 1.6 | 2,730,746 | |
Chemicals | 1.4 | 2,372,530 | |
Consumer Staples Distribution & Retail | 1.1 | 1,795,837 | |
TOTAL COMMON STOCKS | 99.5% | $165,105,054 | |
REPURCHASE AGREEMENT | 0.6 | 968,509 | |
TOTAL INVESTMENTS | 100.1% | $166,073,563 |
120 |
Shares | Value | ||
COMMON STOCKS* — 97.8% | |||
Automobile Components — 0.8% | |||
72,952 | LCI Industries1 | $ 7,914,562 | |
Banks — 8.2% | |||
283,526 | Ameris Bancorp | 10,575,520 | |
423,448 | BankUnited, Inc. | 9,235,401 | |
382,254 | Cathay General Bancorp | 12,962,233 | |
1,237,205 | FNB Corp. | 13,225,722 | |
298,715 | Hancock Whitney Corp. | 10,284,757 | |
270,943 | Western Alliance Bancorp | 11,135,757 | |
148,667 | Wintrust Financial Corp. | 11,103,938 | |
78,523,328 | |||
Beverages — 0.5% | |||
370,217 | Primo Water Corp. | 4,835,034 | |
Biotechnology — 3.4% | |||
443,009 | Alkermes PLC2 | 10,716,388 | |
312,293 | Halozyme Therapeutics, Inc.2 | 10,577,364 | |
1,205,200 | Ironwood Pharmaceuticals, Inc.2 | 10,810,644 | |
32,104,396 | |||
Broadline Retail — 1.0% | |||
439,637 | Kohl’s Corp.1 | 9,913,814 | |
Building Products — 2.0% | |||
892,002 | Hayward Holdings, Inc.1,2 | 9,366,021 | |
124,733 | Masonite International Corp.2 | 9,871,370 | |
19,237,391 | |||
Capital Markets — 3.6% | |||
95,275 | Evercore, Inc. Class A | 12,402,900 | |
198,836 | Stifel Financial Corp. | 11,333,652 | |
570,964 | Virtu Financial, Inc. Class A | 10,557,124 | |
34,293,676 | |||
Chemicals — 0.6% | |||
151,889 | Ingevity Corp.2 | 6,118,089 | |
Construction & Engineering — 3.5% | |||
178,354 | Arcosa, Inc. | 12,318,911 | |
104,711 | Dycom Industries, Inc.2 | 8,919,283 | |
57,118 | EMCOR Group, Inc. | 11,803,434 | |
33,041,628 | |||
Consumer Staples Distribution & Retail — 1.0% | |||
339,448 | Grocery Outlet Holding Corp.2 | 9,392,526 | |
Containers & Packaging — 2.4% | |||
529,770 | Graphic Packaging Holding Co. | 11,395,353 | |
278,086 | Silgan Holdings, Inc. | 11,140,125 | |
22,535,478 | |||
Diversified Consumer Services — 1.3% | |||
430,812 | Frontdoor, Inc.2 | 12,463,391 | |
Electric Utilities — 0.9% | |||
206,891 | Portland General Electric Co. | 8,279,778 | |
Electrical Equipment — 1.3% | |||
145,215 | EnerSys | 12,427,500 | |
Electronic Equipment, Instruments & Components — 0.9% | |||
725,385 | TTM Technologies, Inc.2 | 8,334,674 |
121 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — 2.6% | |||
277,190 | Helmerich & Payne, Inc. | $ 10,968,408 | |
697,768 | Liberty Energy, Inc. | 13,746,030 | |
24,714,438 | |||
Financial Services — 1.1% | |||
419,765 | Radian Group, Inc. | 10,636,845 | |
Food Products — 2.2% | |||
615,380 | Hostess Brands, Inc.2 | 20,553,692 | |
Gas Utilities — 1.1% | |||
245,093 | New Jersey Resources Corp. | 9,945,874 | |
Health Care Equipment & Supplies — 3.7% | |||
93,895 | CONMED Corp.1 | 9,151,007 | |
210,059 | Globus Medical, Inc. Class A2 | 9,601,797 | |
276,616 | Integra LifeSciences Holdings Corp.2 | 9,947,111 | |
466,483 | Neogen Corp.1,2 | 6,945,932 | |
35,645,847 | |||
Health Care Providers & Services — 4.5% | |||
207,351 | HealthEquity, Inc.2 | 14,862,920 | |
1,012,823 | NeoGenomics, Inc.1,2 | 14,199,778 | |
1,198,312 | R1 RCM, Inc.1,2 | 14,128,099 | |
43,190,797 | |||
Health Care Technology — 1.9% | |||
577,868 | Certara, Inc.2 | 7,044,211 | |
436,565 | Evolent Health, Inc. Class A2 | 10,665,283 | |
17,709,494 | |||
Hotel & Resort REITs — 1.0% | |||
1,048,158 | RLJ Lodging Trust | 9,852,685 | |
Hotels, Restaurants & Leisure — 1.1% | |||
196,247 | Boyd Gaming Corp. | 10,842,647 | |
Household Durables — 2.1% | |||
298,307 | La-Z-Boy, Inc. | 8,722,497 | |
431,502 | Tri Pointe Homes, Inc.2 | 10,813,440 | |
19,535,937 | |||
Household Products — 1.0% | |||
305,158 | Energizer Holdings, Inc.1 | 9,636,890 | |
Industrial REITs — 1.9% | |||
916,166 | LXP Industrial Trust | 7,246,873 | |
314,364 | STAG Industrial, Inc. | 10,443,172 | |
17,690,045 | |||
Insurance — 1.1% | |||
237,269 | Stewart Information Services Corp. | 10,361,537 | |
Interactive Media & Services — 2.2% | |||
642,306 | Cargurus, Inc.2 | 11,066,932 | |
159,537 | Ziff Davis, Inc.2 | 9,645,607 | |
20,712,539 | |||
IT Services — 0.7% | |||
301,706 | DigitalOcean Holdings, Inc.1,2 | 6,172,905 | |
Leisure Product — 1.0% | |||
229,444 | YETI Holdings, Inc.1,2 | 9,755,959 |
122 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — 2.9% | |||
1,011,055 | Maravai LifeSciences Holdings, Inc. Class A2 | $ 6,935,837 | |
53,194 | Medpace Holdings, Inc.1,2 | 12,908,588 | |
82,678 | Mesa Laboratories, Inc. | 7,757,677 | |
27,602,102 | |||
Machinery — 1.1% | |||
281,224 | Hillenbrand, Inc. | 10,694,949 | |
Media — 1.1% | |||
73,643 | Nexstar Media Group, Inc. | 10,315,911 | |
Office REITs — 0.8% | |||
1,537,070 | Piedmont Office Realty Trust, Inc. Class A | 8,008,135 | |
Oil, Gas & Consumable Fuels — 4.7% | |||
868,528 | CNX Resources Corp.1,2 | 18,864,428 | |
358,089 | SM Energy Co. | 14,438,148 | |
724,301 | Talos Energy, Inc.2 | 11,226,666 | |
44,529,242 | |||
Pharmaceuticals — 2.5% | |||
314,733 | Pacira BioSciences, Inc.2 | 8,894,355 | |
248,315 | Prestige Consumer Healthcare, Inc.2 | 14,739,978 | |
23,634,333 | |||
Professional Services — 4.0% | |||
126,574 | ASGN, Inc.2 | 10,563,866 | |
43,035 | CACI International, Inc. Class A2 | 13,976,046 | |
672,223 | Verra Mobility Corp.2 | 13,289,849 | |
37,829,761 | |||
Real Estate Management & Development — 1.5% | |||
1,120,246 | Cushman & Wakefield PLC1,2 | 8,256,213 | |
483,283 | Kennedy-Wilson Holdings, Inc.1 | 6,219,852 | |
14,476,065 | |||
Semiconductors & Semiconductor Equipment — 2.4% | |||
187,790 | Diodes, Inc.2 | 12,221,373 | |
197,225 | Rambus, Inc.2 | 10,715,234 | |
22,936,607 | |||
Software — 4.4% | |||
196,765 | CommVault Systems, Inc.2 | 12,858,593 | |
228,063 | Progress Software Corp. | 11,717,877 | |
84,229 | SPS Commerce, Inc.2 | 13,505,278 | |
208,502 | Verint Systems, Inc.2 | 3,921,922 | |
42,003,670 | |||
Specialized REITs — 0.5% | |||
459,205 | Outfront Media, Inc. | 4,481,841 | |
Specialty Retail — 4.1% | |||
69,730 | Asbury Automotive Group, Inc.2 | 13,344,230 | |
576,061 | Foot Locker, Inc.1 | 12,091,521 | |
472,466 | Valvoline, Inc. | 14,018,066 | |
39,453,817 | |||
Textiles, Apparel & Luxury Goods — 2.4% | |||
280,764 | Kontoor Brands, Inc. | 13,041,488 | |
1,429,707 | Under Armour, Inc. Class A2 | 9,793,493 | |
22,834,981 |
123 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Trading Companies & Distributors — 4.8% | |||
251,537 | Beacon Roofing Supply, Inc.2 | $ 17,901,888 | |
164,546 | Boise Cascade Co. | 15,426,187 | |
99,648 | WESCO International, Inc. | 12,774,874 | |
46,102,949 | |||
TOTAL COMMON STOCKS (Cost $821,072,406) | 931,277,759 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 2.4% | |||
$22,709,821 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $22,710,831, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $23,183,100, coupon rate of 5.000%, due 10/31/2025, market value of $23,164,083) | 22,709,821 | |
TOTAL REPURCHASE AGREEMENT (Cost $22,709,821) | 22,709,821 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 4.8% | |||
46,063,709 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 46,063,709 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $46,063,709) | 46,063,709 | ||
TOTAL INVESTMENTS (Cost $889,845,936) | 105.0% | $1,000,051,289 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (5.0) | (47,490,027) | |
NET ASSETS | 100.0% | $ 952,561,262 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Non income-producing security. |
3 | Represents an investment of securities lending cash collateral. |
124 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 8.2% | $ 78,523,328 | |
Trading Companies & Distributors | 4.8 | 46,102,949 | |
Oil, Gas & Consumable Fuels | 4.7 | 44,529,242 | |
Health Care Providers & Services | 4.5 | 43,190,797 | |
Software | 4.4 | 42,003,670 | |
Specialty Retail | 4.1 | 39,453,817 | |
Professional Services | 4.0 | 37,829,761 | |
Health Care Equipment & Supplies | 3.7 | 35,645,847 | |
Capital Markets | 3.6 | 34,293,676 | |
Construction & Engineering | 3.5 | 33,041,628 | |
Biotechnology | 3.4 | 32,104,396 | |
Life Sciences Tools & Services | 2.9 | 27,602,102 | |
Energy Equipment & Services | 2.6 | 24,714,438 | |
Pharmaceuticals | 2.5 | 23,634,333 | |
Semiconductors & Semiconductor Equipment | 2.4 | 22,936,607 | |
Textiles, Apparel & Luxury Goods | 2.4 | 22,834,981 | |
Containers & Packaging | 2.4 | 22,535,478 | |
Interactive Media & Services | 2.2 | 20,712,539 | |
Food Products | 2.2 | 20,553,692 | |
Household Durables | 2.1 | 19,535,937 | |
Building Products | 2.0 | 19,237,391 | |
Health Care Technology | 1.9 | 17,709,494 | |
Industrial REITs | 1.9 | 17,690,045 | |
Real Estate Management & Development | 1.5 | 14,476,065 | |
Diversified Consumer Services | 1.3 | 12,463,391 | |
Electrical Equipment | 1.3 | 12,427,500 | |
Hotels, Restaurants & Leisure | 1.1 | 10,842,647 | |
Machinery | 1.1 | 10,694,949 | |
Financial Services | 1.1 | 10,636,845 | |
Insurance | 1.1 | 10,361,537 | |
Media | 1.1 | 10,315,911 | |
Gas Utilities | 1.1 | 9,945,874 | |
Broadline Retail | 1.0 | 9,913,814 | |
Hotel & Resort REITs | 1.0 | 9,852,685 | |
Leisure Product | 1.0 | 9,755,959 | |
Household Products | 1.0 | 9,636,890 | |
Consumer Staples Distribution & Retail | 1.0 | 9,392,526 | |
Electronic Equipment, Instruments & Components | 0.9 | 8,334,674 | |
Electric Utilities | 0.9 | 8,279,778 | |
Office REITs | 0.8 | 8,008,135 | |
Automobile Components | 0.8 | 7,914,562 | |
IT Services | 0.7 | 6,172,905 | |
Chemicals | 0.6 | 6,118,089 | |
Beverages | 0.5 | 4,835,034 | |
Specialized REITs | 0.5 | 4,481,841 | |
TOTAL COMMON STOCKS | 97.8% | $ 931,277,759 | |
REPURCHASE AGREEMENT | 2.4 | 22,709,821 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 4.8 | 46,063,709 | |
TOTAL INVESTMENTS | 105.0% | $1,000,051,289 |
125 |
Shares | Value | ||
COMMON STOCKS* — 98.8% | |||
Aerospace & Defense — 2.0% | |||
4,619 | RTX Corp. | $ 375,940 | |
Air Freight & Logistics — 1.4% | |||
1,852 | United Parcel Service, Inc. Class B | 261,595 | |
Banks — 2.8% | |||
3,752 | JPMorgan Chase & Co. | 521,753 | |
Beverages — 2.4% | |||
2,748 | PepsiCo, Inc. | 448,693 | |
Biotechnology — 2.4% | |||
1,743 | Amgen, Inc. | 445,685 | |
Capital Markets — 6.6% | |||
1,152 | Ameriprise Financial, Inc. | 362,385 | |
369 | BlackRock, Inc. | 225,931 | |
5,523 | Charles Schwab Corp. | 287,417 | |
4,778 | Morgan Stanley | 338,378 | |
1,214,111 | |||
Chemicals — 3.3% | |||
1,099 | Air Products & Chemicals, Inc. | 310,402 | |
2,452 | PPG Industries, Inc. | 301,032 | |
611,434 | |||
Communications Equipment — 2.3% | |||
8,095 | Cisco Systems, Inc. | 421,992 | |
Consumer Staples Distribution & Retail — 1.7% | |||
2,568 | Dollar General Corp. | 305,695 | |
Distributors — 1.7% | |||
2,473 | Genuine Parts Co. | 318,671 | |
Electric Utilities — 2.5% | |||
11,816 | Exelon Corp. | 460,115 | |
Electrical Equipment — 2.6% | |||
2,325 | Eaton Corp. PLC | 483,391 | |
Electronic Equipment, Instruments & Components — 1.9% | |||
3,023 | TE Connectivity Ltd. | 356,260 | |
Financial Services — 1.7% | |||
6,360 | Fidelity National Information Services, Inc. | 312,340 | |
Food Products — 2.0% | |||
5,401 | Mondelez International, Inc. Class A | 357,600 | |
Ground Transportation — 2.4% | |||
2,167 | Union Pacific Corp. | 449,891 | |
Health Care Equipment & Supplies — 3.8% | |||
3,857 | Abbott Laboratories | 364,679 | |
4,852 | Medtronic PLC | 342,357 | |
707,036 | |||
Health Care Providers & Services — 2.3% | |||
3,213 | Quest Diagnostics, Inc. | 418,011 | |
Hotels, Restaurants & Leisure — 4.1% | |||
1,903 | McDonald’s Corp. | 498,909 | |
2,748 | Starbucks Corp. | 253,476 | |
752,385 |
126 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Products — 2.0% | |||
2,452 | Procter & Gamble Co. | $ 367,874 | |
Insurance — 7.1% | |||
5,209 | Aflac, Inc. | 406,875 | |
3,656 | Allstate Corp. | 468,443 | |
1,120 | Everest Group Ltd. | 443,095 | |
1,318,413 | |||
IT Services — 2.2% | |||
1,373 | Accenture PLC Class A | 407,905 | |
Machinery — 5.9% | |||
1,363 | Cummins, Inc. | 294,817 | |
1,417 | Illinois Tool Works, Inc. | 317,578 | |
1,861 | Snap-on, Inc. | 480,026 | |
1,092,421 | |||
Media — 4.2% | |||
11,340 | Comcast Corp. Class A | 468,229 | |
10,686 | Interpublic Group of Cos., Inc. | 303,482 | |
771,711 | |||
Multi-Utilities — 2.3% | |||
4,428 | DTE Energy Co. | 426,771 | |
Oil, Gas & Consumable Fuels — 4.8% | |||
3,107 | Chevron Corp. | 452,783 | |
3,784 | Phillips 66 | 431,641 | |
884,424 | |||
Personal Care Products — 1.7% | |||
17,175 | Kenvue, Inc. | 319,455 | |
Pharmaceuticals — 6.3% | |||
6,415 | Bristol-Myers Squibb Co. | 330,565 | |
550 | Eli Lilly & Co. | 304,662 | |
2,463 | Johnson & Johnson | 365,361 | |
5,454 | Pfizer, Inc. | 166,674 | |
1,167,262 | |||
Professional Services — 1.9% | |||
3,182 | Paychex, Inc. | 353,361 | |
Semiconductors & Semiconductor Equipment — 2.3% | |||
3,034 | Texas Instruments, Inc. | 430,858 | |
Software — 2.6% | |||
4,704 | Oracle Corp. | 486,394 | |
Specialty Retail — 3.8% | |||
1,079 | Home Depot, Inc. | 307,181 | |
3,393 | Ross Stores, Inc. | 393,486 | |
700,667 | |||
Technology Hardware, Storage & Peripherals — 1.8% | |||
4,640 | NetApp, Inc. | 337,699 | |
TOTAL COMMON STOCKS (Cost $14,303,795) | 18,287,813 |
127 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 1.2% | |||
$214,530 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $214,540, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $219,100, coupon rate of 5.000%, due 10/31/2025, market value of $218,920) | $ 214,530 | |
TOTAL REPURCHASE AGREEMENT (Cost $214,530) | 214,530 | ||
TOTAL INVESTMENTS (Cost $14,518,325) | 100.0% | $18,502,343 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (3,334) | |
NET ASSETS | 100.0% | $18,499,009 |
* | Percentages indicated are based on net assets. |
128 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Insurance | 7.1% | $ 1,318,413 | |
Capital Markets | 6.6 | 1,214,111 | |
Pharmaceuticals | 6.3 | 1,167,262 | |
Machinery | 5.9 | 1,092,421 | |
Oil, Gas & Consumable Fuels | 4.8 | 884,424 | |
Media | 4.2 | 771,711 | |
Hotels, Restaurants & Leisure | 4.1 | 752,385 | |
Health Care Equipment & Supplies | 3.8 | 707,036 | |
Specialty Retail | 3.8 | 700,667 | |
Chemicals | 3.3 | 611,434 | |
Banks | 2.8 | 521,753 | |
Software | 2.6 | 486,394 | |
Electrical Equipment | 2.6 | 483,391 | |
Electric Utilities | 2.5 | 460,115 | |
Ground Transportation | 2.4 | 449,891 | |
Beverages | 2.4 | 448,693 | |
Biotechnology | 2.4 | 445,685 | |
Semiconductors & Semiconductor Equipment | 2.3 | 430,858 | |
Multi-Utilities | 2.3 | 426,771 | |
Communications Equipment | 2.3 | 421,992 | |
Health Care Providers & Services | 2.3 | 418,011 | |
IT Services | 2.2 | 407,905 | |
Aerospace & Defense | 2.0 | 375,940 | |
Household Products | 2.0 | 367,874 | |
Food Products | 2.0 | 357,600 | |
Electronic Equipment, Instruments & Components | 1.9 | 356,260 | |
Professional Services | 1.9 | 353,361 | |
Technology Hardware, Storage & Peripherals | 1.8 | 337,699 | |
Personal Care Products | 1.7 | 319,455 | |
Distributors | 1.7 | 318,671 | |
Financial Services | 1.7 | 312,340 | |
Consumer Staples Distribution & Retail | 1.7 | 305,695 | |
Air Freight & Logistics | 1.4 | 261,595 | |
TOTAL COMMON STOCKS | 98.8% | $18,287,813 | |
REPURCHASE AGREEMENT | 1.2 | 214,530 | |
TOTAL INVESTMENTS | 100.0% | $18,502,343 |
129 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 4.1% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $ 9,242,220 | |
30,000 | Vanguard S&P 500 ETF1 | 11,525,100 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 20,767,320 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 21.6% | |||
$34,700,000 | U.S. Treasury Bill, 5.166% due 12/7/231 | 34,516,784 | |
43,250,000 | U.S. Treasury Bill, 5.353% due 02/8/241 | 42,619,334 | |
34,500,000 | U.S. Treasury Bill, 5.387% due 06/13/241 | 33,383,601 | |
TOTAL U.S. TREASURY BILLS (Cost $110,530,559) | 110,519,719 | ||
REPURCHASE AGREEMENT* — 0.1% | |||
649,281 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $649,310, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $662,900, coupon rate of 5.000%, due 10/31/2025, market value of $662,356) | 649,281 | |
TOTAL REPURCHASE AGREEMENT (Cost $649,281) | 649,281 | ||
TOTAL PURCHASED OPTIONS (Cost $403,161,246) | 79.8% | 408,873,180 | |
TOTAL INVESTMENTS (Cost $520,771,695) | 105.6% | $540,809,500 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (5.6) | (28,441,668) | |
NET ASSETS2 | 100.0% | $512,367,832 |
* | 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 $6,951,407 is held as collateral to secure the open written call and put options contracts. |
130 |
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** | 4,000.00 | 12/15/23 | USD | 2,820 | $1,182,651,600 | $ 68,088,900 | $146,666,046 | $(78,577,146) | ||||||||
S&P 500 Index | OCC** | 4,000.00 | 03/15/24 | USD | 1,104 | 462,995,520 | 37,287,600 | 43,686,384 | (6,398,784) | ||||||||
TOTAL CALLS | $1,645,647,120 | $105,376,500 | $190,352,430 | $(84,975,930) | |||||||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 5,000.00 | 12/15/23 | USD | 2,820 | 1,182,651,600 | 222,413,400 | 138,311,238 | 84,102,162 | ||||||||
S&P 500 Index | OCC** | 5,000.00 | 03/15/24 | USD | 1,104 | 462,995,520 | 81,083,280 | 74,497,578 | 6,585,702 | ||||||||
TOTAL PUTS | $1,645,647,120 | $303,496,680 | $212,808,816 | $ 90,687,864 | |||||||||||||
TOTAL PURCHASED OPTIONS | $3,291,294,240 | $408,873,180 | $403,161,246 | $ 5,711,934 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 5,000.00 | 12/15/23 | USD | 2,820 | 1,182,651,600 | (42,300) | (626,599) | 584,299 | ||||||||
S&P 500 Index | OCC** | 5,000.00 | 03/15/24 | USD | 1,104 | 462,995,520 | (231,840) | (429,368) | 197,528 | ||||||||
TOTAL CALLS | $1,645,647,120 | $ (274,140) | $ (1,055,967) | $ 781,827 | |||||||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 4,300.00 | 11/17/23 | USD | 1,032 | 432,800,160 | (12,740,040) | (11,651,447) | (1,088,593) | ||||||||
S&P 500 Index | OCC** | 4,325.00 | 11/17/23 | USD | 71 | 29,775,980 | (1,011,395) | (854,893) | (156,502) | ||||||||
S&P 500 Index | OCC** | 4,350.00 | 11/17/23 | USD | 61 | 25,582,180 | (997,655) | (846,911) | (150,744) | ||||||||
S&P 500 Index | OCC** | 4,000.00 | 12/15/23 | USD | 2,820 | 1,182,651,600 | (10,448,100) | (6,169,793) | (4,278,307) | ||||||||
S&P 500 Index | OCC** | 4,000.00 | 03/15/24 | USD | 1,104 | 462,995,520 | (10,107,120) | (9,767,938) | (339,182) | ||||||||
TOTAL PUTS | $2,133,805,440 | $ (35,304,310) | $ (29,290,982) | $ (6,013,328) | |||||||||||||
TOTAL WRITTEN OPTIONS | $3,779,452,560 | $ (35,578,450) | $ (30,346,949) | $ (5,231,501) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 79.8% | $ 408,873,180 | |
U.S. Treasury Bills | 21.6 | 110,519,719 | |
Exchange-Traded Funds | 4.1 | 20,767,320 | |
TOTAL | 105.5% | $540,160,219 | |
REPURCHASE AGREEMENT | 0.1 | 649,281 | |
TOTAL INVESTMENTS | 105.6% | $540,809,500 |
* | This table does not include written options. Please refer to the Schedule of Portfolio Investments for information on written options. |
131 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 36.8% | |||
59,700 | iShares MSCI EAFE ETF | $ 3,995,124 | |
116,600 | iShares MSCI Emerging Markets ETF | 4,279,220 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $8,655,638) | 8,274,344 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 20.9% | |||
$2,550,000 | U.S. Treasury Bill, 5.353% due 02/8/241 | 2,512,816 | |
2,250,000 | U.S. Treasury Bill, 5.387% due 06/13/241 | 2,177,191 | |
TOTAL U.S. TREASURY BILLS (Cost $4,690,520) | 4,690,007 | ||
REPURCHASE AGREEMENT* — 0.8% | |||
169,490 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $169,497, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $173,100, coupon rate of 5.000%, due 10/31/2025, market value of $172,958) | 169,490 | |
TOTAL REPURCHASE AGREEMENT (Cost $169,490) | 169,490 | ||
TOTAL PURCHASED OPTIONS (Cost $10,405,945) | 46.5% | 10,448,690 | |
TOTAL INVESTMENTS (Cost $23,921,593) | 105.0% | $23,582,531 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (5.0) | (1,112,911) | |
NET ASSETS2 | 100.0% | $22,469,620 |
* | 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 $255,034 is held as collateral to secure the open written call and put options contracts. |
132 |
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** | 4,000.00 | 12/15/23 | USD | 14 | $ 5,871,320 | $ 338,030 | $ 734,895 | $(396,865) | ||||||||
S&P 500 Index | OCC** | 4,000.00 | 03/15/24 | USD | 84 | 35,227,920 | 2,837,100 | 3,323,964 | (486,864) | ||||||||
TOTAL CALLS | $41,099,240 | $ 3,175,130 | $ 4,058,859 | $(883,729) | |||||||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 5,000.00 | 12/15/23 | USD | 14 | 5,871,320 | 1,104,180 | 678,792 | 425,388 | ||||||||
S&P 500 Index | OCC** | 5,000.00 | 03/15/24 | USD | 84 | 35,227,920 | 6,169,380 | 5,668,294 | 501,086 | ||||||||
TOTAL PUTS | $41,099,240 | $ 7,273,560 | $ 6,347,086 | $ 926,474 | |||||||||||||
TOTAL PURCHASED OPTIONS | $82,198,480 | $10,448,690 | $10,405,945 | $ 42,745 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 5,000.00 | 12/15/23 | USD | 14 | 5,871,320 | (210) | (3,130) | 2,920 | ||||||||
S&P 500 Index | OCC** | 5,000.00 | 03/15/24 | USD | 84 | 35,227,920 | (17,640) | (32,670) | 15,030 | ||||||||
TOTAL CALLS | $41,099,240 | $ (17,850) | $ (35,800) | $ 17,950 | |||||||||||||
PUTS: | |||||||||||||||||
Russell 2000 Index | OCC** | 1,765.00 | 11/17/23 | USD | 13 | 2,160,964 | (137,020) | (110,745) | (26,275) | ||||||||
S&P 500 Index | OCC** | 4,340.00 | 11/17/23 | USD | 25 | 10,484,500 | (387,250) | (338,735) | (48,515) | ||||||||
S&P 500 Index | OCC** | 4,000.00 | 12/15/23 | USD | 14 | 5,871,320 | (51,870) | (29,540) | (22,330) | ||||||||
S&P 500 Index | OCC** | 4,000.00 | 03/15/24 | USD | 84 | 35,227,920 | (769,020) | (743,213) | (25,807) | ||||||||
TOTAL PUTS | $53,744,704 | $ (1,345,160) | $ (1,222,233) | $(122,927) | |||||||||||||
TOTAL WRITTEN OPTIONS | $94,843,944 | $ (1,363,010) | $ (1,258,033) | $(104,977) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 46.5% | $ 10,448,690 | |
Exchange-Traded Funds | 36.8 | 8,274,344 | |
U.S. Treasury Bills | 20.9 | 4,690,007 | |
TOTAL | 104.2% | $23,413,041 | |
REPURCHASE AGREEMENT | 0.8 | 169,490 | |
TOTAL INVESTMENTS | 105.0% | $23,582,531 |
* | This table does not include written options. Please refer to the Schedule of Portfolio Investments for information on written options. |
133 |
Face Amount | Value | ||
AGENCY NOTES* — 16.1% | |||
Federal Home Loan Bank — 10.1% | |||
$15,000,000 | 2.750% due 12/13/24 | $ 14,563,990 | |
8,000,000 | 0.375% due 9/23/251 | 7,317,912 | |
11,500,000 | 3.250% due 11/16/281 | 10,653,164 | |
4,000,000 | 6.250% due 7/15/321 | 4,317,147 | |
36,852,213 | |||
Federal National Mortgage Association — 6.0% | |||
6,000,000 | 2.625% due 9/6/241 | 5,859,287 | |
3,960,000 | 2.125% due 4/24/261 | 3,691,990 | |
12,000,000 | 5.625% due 7/15/37 | 12,357,507 | |
21,908,784 | |||
TOTAL AGENCY NOTES (Cost $63,793,566) | 58,760,997 | ||
MORTGAGE-BACKED SECURITIES*,2 — 37.0% | |||
Federal Home Loan Mortgage Corporation — 16.6% | |||
18,701 | # D78677, 8.000% due 3/1/27 | 18,691 | |
32,265 | # C00742, 6.500% due 4/1/29 | 32,545 | |
1,184,796 | # J38111, 3.000% due 12/1/32 | 1,100,172 | |
11,025 | # A68937, 6.000% due 11/1/37 | 10,978 | |
121,612 | # A69653, 5.500% due 12/1/37 | 119,116 | |
136,323 | # A73370, 5.000% due 2/1/38 | 131,458 | |
112,110 | # A90421, 4.500% due 12/1/39 | 103,629 | |
35,309 | # A92890, 4.500% due 7/1/40 | 32,649 | |
447,505 | # A97620, 4.500% due 3/1/41 | 413,792 | |
735,809 | # C03770, 3.500% due 2/1/42 | 647,124 | |
349,917 | # Q07651, 3.500% due 4/1/42 | 305,145 | |
812,283 | # Q41208, 3.500% due 6/1/46 | 699,647 | |
3,257,754 | # G08737, 3.000% due 12/1/46 | 2,696,429 | |
1,150,782 | # Q45735, 3.000% due 1/1/47 | 952,148 | |
2,003,173 | # Q46279, 3.500% due 2/1/47 | 1,719,654 | |
2,115,090 | # Q47596, 4.000% due 4/1/47 | 1,873,093 | |
6,882,704 | # RA3173, 3.000% due 7/1/50 | 5,543,049 | |
10,444,902 | # SD8152, 3.000% due 6/1/51 | 8,391,724 | |
6,932,096 | # SD8196, 3.500% due 2/1/52 | 5,801,555 | |
13,907,887 | # SD8201, 3.000% due 3/1/52 | 11,136,063 | |
4,819,395 | # SD1117, 4.500% due 6/1/52 | 4,319,369 | |
4,674,301 | # SD8257, 4.500% due 10/1/52 | 4,177,808 | |
7,427,364 | # SD8277, 5.500% due 12/1/52 | 7,051,932 | |
3,470,447 | # QF6499, 5.000% due 1/1/53 | 3,201,835 | |
60,479,605 | |||
Federal National Mortgage Association — 20.3% | |||
37 | # 125275, 7.000% due 3/1/24 | 37 | |
83,461 | # AH6827, 4.000% due 3/1/26 | 80,859 | |
95,568 | # AI1657, 4.000% due 4/1/26 | 92,945 | |
171,894 | # AB3900, 3.000% due 11/1/26 | 166,012 | |
9,544 | # 373328, 8.000% due 3/1/27 | 9,514 | |
217,449 | # AK4751, 3.000% due 4/1/27 | 210,175 | |
1,847 | # 390895, 8.000% due 6/1/27 | 1,841 | |
431,915 | # AO0533, 3.000% due 6/1/27 | 415,141 | |
14,511 | # 397602, 8.000% due 8/1/27 | 14,485 | |
1,919 | # 252806, 7.500% due 10/1/29 | 1,958 | |
117 | # 523497, 7.500% due 11/1/29 | 117 | |
1,280,441 | # BC2462, 3.000% due 2/1/31 | 1,199,597 | |
526 | # 588945, 7.000% due 6/1/31 | 532 | |
3,106,859 | # AS7429, 2.500% due 6/1/31 | 2,854,884 | |
24,268 | # 607862, 7.000% due 9/1/31 | 24,537 | |
1,235 | # 656872, 6.500% due 8/1/32 | 1,239 | |
1,995,010 | # MA3391, 3.000% due 6/1/33 | 1,804,360 |
134 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,2 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$ 52,120 | # 789856, 6.000% due 8/1/34 | $ 51,376 | |
12,578 | # 829202, 5.000% due 7/1/35 | 11,959 | |
46,843 | # 826586, 5.000% due 8/1/35 | 45,413 | |
13,406 | # 256216, 7.000% due 4/1/36 | 13,776 | |
38,139 | # 898412, 5.000% due 10/1/36 | 36,887 | |
5,784 | # 910894, 5.000% due 2/1/37 | 5,495 | |
11,869 | # 912456, 6.500% due 3/1/37 | 12,009 | |
151,320 | # 973241, 5.000% due 3/1/38 | 145,780 | |
39,403 | # 975593, 5.000% due 6/1/38 | 37,841 | |
64,184 | # 257573, 5.500% due 2/1/39 | 62,967 | |
152,641 | # AD7128, 4.500% due 7/1/40 | 140,511 | |
7,966,737 | # MA4152, 2.000% due 10/1/40 | 6,350,446 | |
1,479,192 | # AH1568, 4.500% due 12/1/40 | 1,365,701 | |
532,415 | # AH6991, 4.000% due 1/1/41 | 474,814 | |
436,720 | # AH4004, 4.500% due 3/1/41 | 402,737 | |
359,740 | # AH8351, 4.000% due 3/1/41 | 321,693 | |
420,662 | # AJ1315, 4.000% due 9/1/41 | 375,155 | |
526,420 | # AI8779, 4.000% due 11/1/41 | 470,739 | |
734,427 | # AJ5958, 4.000% due 12/1/41 | 655,518 | |
261,415 | # AK5070, 3.500% due 3/1/42 | 227,934 | |
1,075,756 | # AK5426, 3.500% due 3/1/42 | 944,648 | |
2,973,003 | # AT7682, 3.500% due 6/1/43 | 2,595,660 | |
1,335,589 | # AS6326, 3.500% due 12/1/45 | 1,148,914 | |
1,080,542 | # AS6881, 3.500% due 3/1/46 | 927,760 | |
1,381,166 | # BC0960, 4.000% due 6/1/46 | 1,221,284 | |
767,806 | # AS8966, 4.000% due 3/1/47 | 678,219 | |
1,010,791 | # AS9988, 4.500% due 7/1/47 | 922,106 | |
1,406,839 | # MA3210, 3.500% due 12/1/47 | 1,200,477 | |
1,188,291 | # BJ9251, 3.500% due 6/1/48 | 1,012,019 | |
4,423,599 | # FM3727, 3.000% due 7/1/50 | 3,569,346 | |
4,729,363 | # BQ2863, 2.500% due 9/1/50 | 3,658,903 | |
8,265,539 | # CA7231, 2.500% due 10/1/50 | 6,396,533 | |
10,632,992 | # MA4847, 6.000% due 11/1/52 | 10,409,468 | |
11,919,106 | # FS5432, 6.000% due 8/1/53 | 11,612,559 | |
10,258,811 | # MA5138, 5.500% due 9/1/53 | 9,734,305 | |
74,119,185 | |||
Government National Mortgage Association — 0.1% | |||
6,559 | # 476259, 7.000% due 8/15/28 | 6,505 | |
5,302 | # 559304, 7.000% due 9/15/31 | 5,238 | |
96,144 | # 651859, 5.000% due 6/15/36 | 92,855 | |
67,735 | # 782150, 5.500% due 4/15/37 | 66,648 | |
11,799 | # 662521, 6.000% due 8/15/37 | 11,726 | |
18,142 | # 677545, 6.000% due 11/15/37 | 17,935 | |
18,704 | # 676291, 6.000% due 12/15/37 | 18,645 | |
18,117 | # 685836, 5.500% due 4/15/38 | 17,736 | |
129,833 | # 698235, 5.000% due 6/15/39 | 125,694 | |
362,982 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $157,761,151) | 134,961,772 | ||
CORPORATE NOTES* — 19.0% | |||
Banking — 2.7% | |||
5,000,000 | Bank of America Corp., (3M SOFR * 1.77 + 3.71%), 3.705% due 4/24/283 | 4,567,449 | |
6,000,000 | JPMorgan Chase & Co., (3M SOFR * 1.21 + 3.51%), 3.509% due 1/23/293 | 5,383,397 | |
9,950,846 |
135 |
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Beverages, Food & Tobacco — 2.4% | |||
$10,000,000 | Archer-Daniels-Midland Co., 3.250% due 3/27/30 | $ 8,662,572 | |
Computer Software & Processing — 1.9% | |||
1,000,000 | Alphabet, Inc., 2.050% due 8/15/50 | 516,935 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 6,523,576 | |
7,040,511 | |||
Electric Utilities — 2.0% | |||
4,140,000 | DTE Electric Co., 4.300% due 7/1/44 | 3,152,980 | |
5,000,000 | Duke Energy Progress LLC, 5.350% due 3/15/53 | 4,256,959 | |
7,409,939 | |||
Electronics — 1.9% | |||
4,000,000 | Emerson Electric Co., 1.800% due 10/15/27 | 3,494,373 | |
4,000,000 | QUALCOMM, Inc., 1.300% due 5/20/28 | 3,337,778 | |
6,832,151 | |||
Heavy Machinery — 0.9% | |||
4,000,000 | Caterpillar, Inc., 2.600% due 4/9/30 | 3,358,618 | |
Insurance — 1.3% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/261 | 4,715,357 | |
Media - Broadcasting & Publishing — 1.8% | |||
7,000,000 | Comcast Corp., 3.150% due 2/15/28 | 6,342,190 | |
Oil & Gas — 1.1% | |||
5,000,000 | Exxon Mobil Corp., 4.227% due 3/19/40 | 4,057,634 | |
Pharmaceuticals — 2.0% | |||
5,000,000 | Johnson & Johnson, 2.450% due 9/1/60 | 2,566,058 | |
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 4,835,661 | |
7,401,719 | |||
Transportation — 1.0% | |||
4,000,000 | United Parcel Service, Inc., 3.400% due 3/15/29 | 3,620,956 | |
TOTAL CORPORATE NOTES (Cost $81,985,302) | 69,392,493 | ||
U.S. TREASURY NOTES/BONDS* — 25.3% | |||
4,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 4,204,375 | |
7,000,000 | U.S. Treasury Bonds, 3.500% due 2/15/39 | 5,787,305 | |
4,000,000 | U.S. Treasury Bonds, 4.375% due 11/15/39 | 3,645,312 | |
4,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | 3,009,219 |
136 |
Face Amount | Value | ||
U.S. TREASURY NOTES/BONDS* — (Continued) | |||
$ 5,000,000 | U.S. Treasury Bonds, 3.250% due 5/15/42 | $ 3,807,617 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 7,304,414 | |
10,000,000 | U.S. Treasury Bonds, 2.250% due 8/15/46 | 5,991,016 | |
9,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 6,243,750 | |
5,000,000 | U.S. Treasury Bonds, 3.125% due 5/15/48 | 3,533,594 | |
9,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | 8,686,055 | |
10,000,000 | U.S. Treasury Notes, 1.875% due 7/31/26 | 9,223,437 | |
8,000,000 | U.S. Treasury Notes, 2.750% due 5/31/29 | 7,162,812 | |
10,000,000 | U.S. Treasury Notes, 3.250% due 6/30/29 | 9,180,859 | |
4,000,000 | U.S. Treasury Notes, 0.625% due 5/15/30 | 3,049,219 | |
10,000,000 | U.S. Treasury Notes, 1.875% due 2/15/32 | 7,947,266 | |
4,000,000 | U.S. Treasury Notes, 3.875% due 8/15/33 | 3,681,875 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $114,614,965) | 92,458,125 | ||
REPURCHASE AGREEMENT* — 2.0% | |||
7,089,946 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $7,090,261, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $6,436,500, coupon rate of 0.125%, due 10/15/2025, market value of $7,231,773) | 7,089,946 | |
TOTAL REPURCHASE AGREEMENT (Cost $7,089,946) | 7,089,946 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 4.6% | |||
16,822,512 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 16,822,512 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $16,822,512) | 16,822,512 | ||
TOTAL INVESTMENTS (Cost $442,067,442) | 104.0% | $379,485,845 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.0) | (14,453,373) | |
NET ASSETS | 100.0% | $365,032,472 |
* | 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, 2023. |
3 | Floating Rate Bond. Rate shown is as of October 31, 2023. |
4 | Represents an investment of securities lending cash collateral. |
137 |
% of Net Assets | Value | ||
Sector: | |||
Federal National Mortgage Association | 26.3% | $ 96,027,969 | |
U.S. Treasury Notes/Bonds | 25.3 | 92,458,125 | |
Corporate | 19.0 | 69,392,493 | |
Federal Home Loan Mortgage Corporation | 16.6 | 60,479,605 | |
Federal Home Loan Bank | 10.1 | 36,852,213 | |
Government National Mortgage Association | 0.1 | 362,982 | |
TOTAL | 97.4% | $355,573,387 | |
REPURCHASE AGREEMENT | 2.0 | 7,089,946 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 4.6 | 16,822,512 | |
TOTAL INVESTMENTS | 104.0% | $379,485,845 |
138 |
Face Amount | Value | ||
CORPORATE NOTES* — 2.7% | |||
Health Care Services — 2.7% | |||
$1,000,000 | CommonSpirit Health, 6.073% due 11/1/27 | $ 997,221 | |
TOTAL CORPORATE NOTES (Cost $1,000,000) | 997,221 | ||
MUNICIPAL BONDS* — 93.7% | |||
Alabama — 0.9% | |||
185,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Series A, 4.000% due 12/1/481 | 185,015 | |
150,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Series D1, 4.000% due 12/1/24 | 149,255 | |
334,270 | |||
Arizona — 1.9% | |||
500,000 | Chandler Industrial Development Authority, AZ, Intel Corporation Project, Revenue Bonds, 3.800% due 12/1/351 | 487,330 | |
210,000 | City of Mesa, AZ, Excise Tax Revenue, Revenue Bonds, 5.000% due 7/1/24 | 211,538 | |
698,868 | |||
California — 3.2% | |||
500,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, Refunding, AMT, Series A, 5.000% due 5/15/25 | 505,258 | |
450,000 | Golden State Tobacco Securitization Corp, CA, Revenue Bonds, Taxable Refunding, (State Appropriations), 1.400% due 6/1/25 | 421,113 | |
250,000 | San Diego County Regional Airport Authority, CA, Revenue Bonds, AMT, 5.000% due 7/1/28 | 255,402 | |
1,181,773 | |||
Colorado — 2.0% | |||
750,000 | E-470 Public Highway Authority, CO, Revenue Bonds, Variable Refunding, Series B, (SOFR*0.67+0.35%), 3.908% due 9/1/392 | 746,573 | |
Connecticut — 1.4% | |||
250,000 | State of Connecticut, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/28 | 264,048 | |
250,000 | University of Connecticut, Revenue Bonds, Series A, 5.000% due 8/15/26 | 250,213 | |
514,261 | |||
Delaware — 0.7% | |||
250,000 | Delaware River & Bay Authority, Revenue Bonds, Refunding, 5.000% due 1/1/24 | 250,385 | |
District Of Columbia — 1.4% | |||
500,000 | Metropolitan Washington Airports Authority, DC, Aviation Revenue, Revenue Bonds, AMT, Refunding, Series A, 5.000% due 10/1/24 | 502,462 | |
Florida — 8.7% | |||
250,000 | City of Fort Lauderdale, FL, Water and Sewer Revenue, Revenue Bonds, 5.000% due 9/1/27 | 261,913 | |
230,000 | City of Fort Myers, FL, Utility System Revenue, Revenue Bonds, Series A, 4.000% due 10/1/25 | 230,134 | |
500,000 | County of Broward, FL, Port Facilities Revenue, Revenue Bonds, AMT, Refunding, Subordinate Bond, Series D, 5.000% due 9/1/24 | 502,780 | |
250,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/25 | 254,200 | |
290,000 | Florida Department of Management Services, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/28 | 302,078 |
139 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$ 500,000 | Florida Insurance Assistance Interlocal Agency, Inc., Revenue Bonds, Series A-1, 5.000% due 9/1/26 | $ 507,127 | |
390,000 | Manatee County Port Authority, FL, Revenue Bonds,Taxable Refunding, 0.619% due 10/1/24 | 372,759 | |
515,000 | Miami-Dade County Expressway Authority, FL, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 517,726 | |
260,000 | School Board of Miami-Dade County, FL, Certificate Participation, Refunding, Series D, 5.000% due 2/1/26 | 264,824 | |
3,213,541 | |||
Georgia — 2.2% | |||
525,000 | City of Atlanta, GA, Department of Aviation, Revenue Bonds, AMT, Series C, 5.000% due 7/1/27 | 534,174 | |
160,000 | Main Street Natural Gas, Inc., GA, Revenue Bonds, Series E-1, 5.000% due 12/1/28 | 161,271 | |
105,000 | Municipal Electric Authority of Georgia, Project No.1, Revenue Bonds, Taxable Refunding, Series B, 1.421% due 1/1/25 | 99,733 | |
795,178 | |||
Illinois — 10.4% | |||
500,000 | Chicago O’Hare International Airport, IL, Revenue Bonds, Refunding, 5.000% due 1/1/24 | 500,231 | |
130,000 | Chicago O’Hare International Airport, IL, Revenue Bonds, Refunding, (BAM Insured), 5.000% due 1/1/28 | 134,294 | |
250,000 | City of Chicago, IL, General Obligation Unlimited, Refunding, Series A, 5.000% due 1/1/24 | 250,015 | |
250,000 | DeKalb County Community Unit School District No. 428 DeKalb, IL, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 250,331 | |
150,000 | Illinois Finance Authority, Revenue Bonds, Rush University Medical Centre, Series A, 5.000% due 11/15/23 | 150,027 | |
400,000 | Illinois Finance Authority, Revenue Bonds, Series B, 3.950% due 8/1/441 | 400,000 | |
390,000 | Metropolitan Pier and Exposition Authority, IL, Revenue Bonds, Refunding, 5.000% due 12/15/27 | 400,803 | |
500,000 | State of Illinois, General Obligation Unlimited, Refunding, Series C, 4.000% due 3/1/24 | 499,284 | |
State of Illinois, General Obligation Unlimited, Series A: | |||
350,000 | 5.000% due 12/1/24 | 352,262 | |
400,000 | 5.000% due 3/1/25 | 403,240 | |
500,000 | State of Illinois, Sales Tax Revenue, Revenue Bonds, Series B, 0.941% due 6/15/24 | 484,632 | |
3,825,119 | |||
Kansas — 1.0% | |||
375,000 | Wyandotte County-Kansas City Unified Government, KS, General Obligation Unlimited, Series A, (AGMC Insured), 4.000% due 8/1/24 | 375,368 | |
Kentucky — 3.4% | |||
435,000 | Kentucky Public Energy Authority, Revenue Bonds, Series A, 4.000% due 4/1/481 | 432,924 | |
185,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 108, Series B, 5.000% due 8/1/24 | 186,420 | |
285,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 112, Series B, (State Appropriations), 5.000% due 11/1/24 | 287,968 | |
125,000 | Louisville & Jefferson County Metropolitan Government, KY, Health System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/24 | 125,939 |
140 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Kentucky — (Continued) | |||
$ 205,000 | Louisville & Jefferson County Metropolitan Sewer District, KY, Revenue Bonds, Series A, 5.000% due 5/15/27 | $ 214,000 | |
1,247,251 | |||
Louisiana — 1.1% | |||
400,000 | Ernest N Morial New Orleans Exhibition Hall Authority, LA, Special Tax, Refunding, 5.000% due 7/15/25 | 403,996 | |
Michigan — 1.4% | |||
500,000 | Eaton Rapids Public Schools, MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/25 | 500,469 | |
Minnesota — 1.5% | |||
565,000 | Minneapolis-St Paul Metropolitan Airports Commission, MN, Revenue Bonds, AMT, Refunding, Series B, 5.000% due 1/1/26 | 569,905 | |
Mississippi — 0.7% | |||
250,000 | Mississippi Development Bank, Jackson Public School District, Revenue Bonds, General Obligation (BAM Insured), 5.000% due 10/1/24 | 252,348 | |
Nebraska — 2.8% | |||
500,000 | Nebraska Public Power District, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/28 | 522,552 | |
500,000 | Omaha Public Power District, NE, Revenue Bonds, Refunding, Series B, 5.000% due 2/1/273 | 519,537 | |
1,042,089 | |||
Nevada — 1.9% | |||
210,000 | Clark County School District, NV, General Obligation Limited, Refunding, Series A, 5.000% due 6/15/24 | 211,306 | |
300,000 | County of Clark, NV, Department of Aviation, Revenue Bonds, AMT, Refunding, 5.000% due 7/1/24 | 301,021 | |
195,000 | Las Vegas Valley Water District, NV, General Obligation Limited, Series A, 5.000% due 6/1/26 | 198,368 | |
710,695 | |||
New Jersey — 7.1% | |||
195,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series B, 4.000% due 11/1/25 | 194,723 | |
510,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series RRR, 5.000% due 3/1/25 | 515,934 | |
375,000 | New Jersey Economic Development Authority, State Government Building Project, Revenue Bonds, Series A, 5.000% due 6/15/25 | 380,323 | |
350,000 | New Jersey Economic Development Authority, State Lease Revenue, Offshore Wind Port Project, Revenue Bonds, 4.914% due 3/1/24 | 348,780 | |
500,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Refunding, Series-AA, 5.000% due 6/15/27 | 516,014 | |
155,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A, 4.000% due 12/15/23 | 154,996 | |
500,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A-1, 5.000% due 6/15/24 | 502,407 | |
2,613,177 | |||
New York — 6.0% | |||
500,000 | Long Island Power Authority, NY, Revenue Bonds, Refunding, Series F, 5.000% due 9/1/28 | 530,205 | |
250,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Refunding, 5.000% due 3/15/24 | 251,061 | |
500,000 | Port Authority of New York & New Jersey, Revenue Bonds, Refunding, Series 231, 5.000% due 8/1/27 | 509,017 |
141 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — (Continued) | |||
$ 150,000 | Port Authority of New York & New Jersey, Revenue Bonds, Series 179, 5.000% due 12/1/26 | $ 150,175 | |
500,000 | Triborough Bridge & Tunnel Authority, NY, Revenue Bonds, Refunding, 5.000% due 11/15/28 | 528,471 | |
230,000 | Triborough Bridge & Tunnel Authority, NY, Revenue Bonds, Series A, 5.000% due 8/15/24 | 231,808 | |
2,200,737 | |||
North Carolina — 0.7% | |||
250,000 | City of Charlotte, NC, General Obligation Unlimited, Series A, 5.000% due 6/1/24 | 251,786 | |
Ohio — 0.7% | |||
265,000 | Miami University, OH, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/24 | 267,185 | |
Oregon — 0.8% | |||
285,000 | Tri-County Metropolitan Transportation District of Oregon, Revenue Bonds, Series A, 5.000% due 9/1/28 | 294,127 | |
Pennsylvania — 10.1% | |||
500,000 | Allegheny County Higher Education Building Authority, PA, Revenue Bonds, (SOFR*0.70+0.29%), 4.007% due 2/1/332 | 489,301 | |
325,000 | Allegheny County Hospital Development Authority, PA, Revenue Bonds, Refunding, University of Pittsburgh Medical Center, Series A, 5.000% due 7/15/25 | 329,579 | |
215,000 | Bensalem Township School District, PA, General Obligation Limited, Taxable Refunding (State Aid Withholding), 1.972% due 6/1/24 | 210,494 | |
515,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, AMT, Refunding, Series B, 5.000% due 7/1/24 | 516,251 | |
360,000 | Commonwealth of Pennsylvania, General Obligation Unlimited, Refunding, Series 1, 5.000% due 1/1/27 | 373,830 | |
400,000 | Commonwealth of Pennsylvania, General Obligation Unlimited, Refunding, Series 2, 5.000% due 1/15/28 | 414,275 | |
125,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, 5.000% due 11/1/26 | 127,676 | |
750,000 | Delaware Valley Regional Finance Authority, PA, Revenue Bonds, Series B, 5.000% due 11/1/24 | 757,738 | |
325,000 | Pennsylvania Economic Development Financing Authority, Revenue Bonds, Refunding, Series B, 5.000% due 5/15/26 | 332,208 | |
190,000 | Pennsylvania Turnpike Commission, Revenue Bonds, Refunding, Series A-2, 5.000% due 12/1/24 | 192,299 | |
3,743,651 | |||
South Carolina — 2.3% | |||
250,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/24 | 251,969 | |
400,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/24 | 403,151 | |
200,000 | South Carolina Public Service Authority, Revenue Bonds, Series B, 5.000% due 12/1/24 | 201,575 | |
856,695 | |||
Tennessee — 2.8% | |||
500,000 | County of Hamilton, TN, General Obligation Unlimited, Series A, 5.000% due 4/1/25 | 508,398 | |
500,000 | Metropolitan Government of Nashville & Davidson County, TN, General Obligation Unlimited, Refunding, 5.000% due 1/1/25 | 507,077 | |
1,015,475 |
142 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — 11.2% | |||
$ 500,000 | Board of Regents of the University of Texas System, Revenue Bonds, Series B, 5.000% due 8/15/26 | $ 515,568 | |
100,000 | Central Texas Regional Mobility Authority, Revenue Bonds, Taxable Refunding, Series C, 1.345% due 1/1/24 | 99,235 | |
170,000 | City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Refunding, Series C, 5.000% due 7/1/24 | 170,468 | |
190,000 | County of Williamson, TX, General Obligation Limited, Refunding, 5.000% due 2/15/26 | 192,200 | |
500,000 | Dallas Fort Worth International Airport, TX, Revenue Bonds, Refunding, AMT, Series C, 5.000% due 11/1/26 | 507,469 | |
175,000 | Lago Vista Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/15/27 | 182,411 | |
250,000 | Lower Colorado River Authority, TX, Revenue Bonds, Refunding, Series 2022, 5.000% due 5/15/24 | 251,333 | |
500,000 | North Texas Tollway Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/273 | 517,145 | |
475,000 | San Antonio Water System, TX, Revenue Bonds, Series A, Refunding, 5.000% due 5/15/26 | 487,724 | |
500,000 | San Marcos Consolidated Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/15/28 | 526,769 | |
500,000 | State of Texas, General Obligation Unlimited, Refunding, Series B, 4.000% due 8/1/27 | 496,541 | |
200,000 | Waco Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/15/25 | 203,579 | |
4,150,442 | |||
Virginia — 1.6% | |||
585,000 | Virginia College Building Authority, Revenue Bonds, Refunding, Series B (State Intercept), 5.000% due 9/1/26 | 598,277 | |
Wisconsin — 3.8% | |||
215,000 | City of Eau Claire, WI, General Obligation Unlimited, Refunding, Series D, 1.400% due 4/1/24 | 211,365 | |
300,000 | City of Milwaukee, WI, General Obligation Unlimited, Refunding, Series N-4, 5.000% due 4/1/25 | 301,668 | |
410,000 | City of West Allis, WI, General Obligation Unlimited, Refunding, 2.250% due 4/1/28 | 365,939 | |
Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding: | |||
220,000 | 5.000% due 11/15/25 | 221,067 | |
300,000 | 5.000% due 11/15/26 | 301,430 | |
1,401,469 | |||
TOTAL MUNICIPAL BONDS (Cost $35,337,384) | 34,557,572 | ||
U.S. TREASURY BILL* — 2.7% | |||
1,000,000 | U.S. Treasury Bill, 5.031% due 11/16/23 | 997,805 | |
TOTAL U.S. TREASURY BILL (Cost $997,799) | 997,805 | ||
REPURCHASE AGREEMENT* — 2.6% | |||
973,424 | With Fixed Income Clearing Corp., dated 10/31/23, 1.60%, principal and interest in the amount of $973,467, due 11/1/23, (collateralized by a U.S. Treasury Note with a par value of $883,800, coupon rate of 0.125%, due 10/15/2025, market value of $992,999) | 973,424 | |
TOTAL REPURCHASE AGREEMENT (Cost $973,424) | 973,424 |
143 |
Face Amount | Value | ||
TOTAL INVESTMENTS (Cost $38,308,607) | 101.7% | $37,526,022 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.7) | (630,111) | |
NET ASSETS | 100.0% | $36,895,911 |
* | 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, 2023. |
2 | Floating Rate Bond. Rate shown is as of October 31, 2023. |
3 | When-issued security. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
AMT — Alternative Minimum Tax |
BAM — Build America Mutual |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
144 |
% of Net Assets | Value | ||
SECTOR: | |||
Municipal Bonds | 93.7% | $ 34,557,572 | |
U.S. Treasury Bill | 2.7 | 997,805 | |
Corporate Notes | 2.7 | 997,221 | |
TOTAL | 99.1% | $36,552,598 | |
REPURCHASE AGREEMENT | 2.6 | 973,424 | |
TOTAL INVESTMENTS | 101.7% | $37,526,022 |
145 |
Face Amount | Value | ||
CORPORATE NOTES* — 0.5% | |||
Health Care Services — 0.1% | |||
$ 300,000 | Tower Health, 4.451% due 2/1/50 | $ 135,695 | |
Lodging — 0.4% | |||
1,000,000 | Wild Rivers Water Park, 8.500% due 11/1/511 | 700,001 | |
TOTAL CORPORATE NOTES (Cost $988,865) | 835,696 | ||
MUNICIPAL BONDS* — 99.0% | |||
Alabama — 2.3% | |||
500,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series B, (AGMC Insured), 0.000% due 10/1/252 | 444,798 | |
1,070,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series D, 6.000% due 10/1/42 | 1,099,532 | |
500,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series E, 0.000% due 10/1/342 | 225,380 | |
1,000,000 | Energy Southeast A Cooperative District, AL, Revenue Bonds, Series A-2, (SOFR*0.67+2.05%), 5.434% due 11/1/533 | 1,000,000 | |
500,000 | Montgomery Medical Clinic Board, AL, Health Care Facility Revenue, Revenue Bonds, Refunding, 5.000% due 3/1/30 | 462,588 | |
500,000 | Sumter County Industrial Development Authority, AL, Exempt Facilities Revenue, Revenue Bonds, 6.000% due 7/15/524 | 337,476 | |
3,569,774 | |||
Alaska — 0.1% | |||
1,675,000 | Northern Tobacco Securitization Corp., AK, Revenue Bonds, Refunding, Series B-2, 0.000% due 6/1/662 | 146,794 | |
Arizona — 4.2% | |||
555,000 | Arizona Industrial Development Authority, Economic Development Revenue, Legacy Cares, Inc. Project, Revenue Bonds, Series A, 7.750% due 7/1/505,6 | 33,300 | |
500,000 | Arizona Industrial Development Authority, Economic Development Revenue, Legacy Cares, Inc. Project, Revenue Bonds, Series C, 6.750% due 7/1/305,6 | 30,000 | |
300,000 | Arizona Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/475 | 259,186 | |
250,000 | Arizona Industrial Development Authority, Education Revenue, Cadence Campus Project, Revenue Bonds, Series A, 4.000% due 7/15/505 | 174,588 | |
315,000 | Arizona Industrial Development Authority, Education Revenue, Macombs Fac Project, Revenue Bonds, Series A, 4.000% due 7/1/36 | 281,544 | |
500,000 | Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/42 | 392,749 | |
250,000 | Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/495 | 199,422 | |
300,000 | Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/385 | 284,359 | |
100,000 | Arizona Industrial Development Authority, Revenue Bonds, Refunding, 5.000% due 7/1/515 | 77,816 | |
1,000,000 | Arizona Industrial Development Authority, Revenue Bonds, Series A, 4.500% due 7/15/295 | 917,489 | |
250,000 | Glendale Industrial Development Authority, AZ, Senior Living Facility, Revenue Bonds, Refunding, 5.000% due 5/15/39 | 212,135 | |
Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding: | |||
500,000 | 5.000% due 7/1/355 | 473,290 | |
250,000 | 5.000% due 7/1/455 | 211,588 |
146 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Arizona — (Continued) | |||
Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
$ 70,000 | 5.750% due 7/1/245 | $ 70,088 | |
500,000 | 6.750% due 7/1/445 | 502,203 | |
500,000 | Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/465 | 425,282 | |
110,000 | Industrial Development Authority of the County of Pima, AZ, Education Revenue, Revenue Bonds, 4.000% due 6/15/415 | 83,979 | |
290,000 | La Paz County Industrial Development Authority, AZ, Revenue Bonds,Series A, 5.000% due 2/15/465 | 222,844 | |
750,000 | Maricopa County Industrial Development Authority, AZ, Educational Revenue, Paradise Schools Project, Revenue Bonds, Refunding, 5.000% due 7/1/365 | 700,473 | |
500,000 | Maricopa County Industrial Development Authority, AZ, Revenue Bonds, AMT, 4.000% due 10/15/475 | 384,801 | |
375,000 | Maricopa County Industrial Development Authority, AZ, Revenue Bonds, Series A, 6.000% due 7/1/525 | 360,122 | |
150,000 | Tempe Industrial Development Authority, AZ, Revenue Bonds, 5.000% due 12/1/54 | 115,098 | |
250,000 | Tempe Industrial Development Authority, AZ, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/38 | 192,901 | |
6,605,257 | |||
Arkansas — 0.6% | |||
1,000,000 | Arkansas Development Finance Authority, Revenue Bonds, 12.000% due 7/1/485 | 1,007,407 | |
California — 8.1% | |||
1,000,000 | ARC70 II Trust, CA, Revenue bonds, Class A, 4.840% due 4/1/654,5 | 958,330 | |
1,000,000 | California Community Choice Financing Authority, Green Bond Clean Energy Project, Revenue Bonds, 5.250% due 1/1/544 | 978,354 | |
1,000,000 | California Community Choice Financing Authority, Green Bond Clean Energy Project, Revenue Bonds, (SOFR*0.67+1.63%), 5.188% due 7/1/533 | 993,055 | |
2,500,000 | California Community Housing Agency, Revenue Bonds, Series A-2, 0.000% due 8/1/652,5 | 102,062 | |
1,000,000 | California Community Housing Agency, Revenue Bonds, Series B, 5.500% due 2/1/405 | 836,064 | |
250,000 | California Community Housing Agency, Verdant at Green Valley Project, Revenue Bonds, Series A, 5.000% due 8/1/495 | 210,839 | |
329,997 | California Housing Finance Agency, Revenue Bonds, Series A-3, Class A, 3.250% due 8/20/36 | 282,692 | |
1,860,000 | California Infrastructure & Economic Development Bank, Cabs-Sub-WFCS- Portfolio Project, Revenue Bonds, Series B, 0.000% due 1/1/612,5 | 79,369 | |
California Municipal Finance Authority, Educational Revenue, Revenue Bonds, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 345,393 | |
500,000 | 5.000% due 6/1/46 | 432,950 | |
300,000 | California Municipal Finance Authority, Higher Education Revenue, Revenue Bonds, Series A, 5.000% due 11/1/465 | 256,194 | |
750,000 | California Municipal Finance Authority, Student Housing Revenue Bonds, Series 2021, (BAM Insured), 3.000% due 5/15/51 | 499,316 | |
335,000 | California School Finance Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/525 | 290,215 | |
250,000 | California Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, Refunding, 5.000% due 5/15/29 | 251,591 | |
645,000 | California Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 559,647 | |
110,000 | Chino Valley Unified School District, CA, General Obligation Unlimited, Election of 2016, Series C, 0.000% due 8/1/352 | 65,053 |
147 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — (Continued) | |||
$ 250,000 | City & County of San Francisco Community Facilities District No. 2016-1, CA, Special Tax, Revenue Bond, Series 2022-A, 4.000% due 9/1/425 | $ 200,494 | |
465,000 | CMFA Special Finance Agency XII, CA, Revenue Bonds, Series A-1, 3.250% due 2/1/575 | 286,804 | |
CSCDA Community Improvement Authority, CA, Revenue Bonds, Series A-2: | |||
500,000 | 3.250% due 7/1/565 | 300,621 | |
200,000 | 4.000% due 9/1/565 | 131,701 | |
500,000 | 3.250% due 4/1/575 | 302,349 | |
500,000 | 3.250% due 5/1/575 | 308,458 | |
500,000 | 3.125% due 6/1/575 | 283,455 | |
875,000 | 4.000% due 6/1/585 | 598,381 | |
100,000 | CSCDA Community Improvement Authority, CA, Revenue Bonds, Series B, 4.000% due 12/1/565 | 63,879 | |
4,000,000 | Golden State Tobacco Securitization Corp., CA, Revenue Bonds, Refunding,Series B-2, 0.000% due 6/1/662 | 326,736 | |
Hastings Campus Housing Finance Authority, CA, Revenue Bonds, Series A: | |||
600,000 | 5.000% due 7/1/455 | 494,911 | |
500,000 | 5.000% due 7/1/615 | 382,595 | |
720,000 | Madera Unified School District, CA, General Obligation Unlimited, (NPFG Insured), 0.000% due 5/1/302 | 540,809 | |
250,000 | River Islands Public Financing Authority, CA, Special Tax, Series 1, 4.000% due 9/1/41 | 200,938 | |
500,000 | River Islands Public Financing Authority, CA, Special Tax, Series A, 5.000% due 9/1/48 | 438,745 | |
500,000 | River Islands Public Financing Authority, CA, Special Tax, Series B, 5.750% due 9/1/52 | 444,325 | |
200,000 | Seal Beach Community Facilities District No. 2005-1, CA, Special Tax, Refunding, 3.000% due 9/1/29 | 178,778 | |
12,625,103 | |||
Colorado — 6.7% | |||
500,000 | Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/33 | 496,519 | |
500,000 | Base Village Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 466,572 | |
206,000 | Bradburn Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 191,247 | |
525,000 | Broadway Park North Metropolitan District No 2, CO, General Obligation Limited, 5.000% due 12/1/495 | 436,960 | |
417,000 | Buffalo Ridge Metropolitan District, CO, General Obligation Limited, Series B, 7.375% due 12/15/47 | 371,316 | |
500,000 | Clear Creek Station Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 425,081 | |
Colorado Health Facilities Authority, Frasier Project, Revenue Bonds, Refunding, Series 2023-A: | |||
55,000 | 4.000% due 5/15/41 | 41,734 | |
215,000 | 4.000% due 5/15/48 | 149,112 | |
500,000 | Colorado Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding, 5.000% due 1/1/31 | 477,064 | |
250,000 | Colorado Health Facilities Authority, Hospital Revenue, Parkview Medical Center Project, Revenue Bonds, Series A, 4.000% due 9/1/50 | 188,183 | |
Colorado Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding: | |||
400,000 | 5.000% due 1/1/37 | 361,212 | |
35,000 | 4.000% due 1/1/42 | 26,083 | |
250,000 | Colorado Health Facilities Authority, Revenue Bonds, 5.000% due 1/1/38 | 222,836 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/295 | 517,128 | |
470,000 | Dinosaur Ridge Metropolitan District, CO, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | 387,682 |
148 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$ 798,000 | Gardens on Havana Metropolitan District No. 3, CO, Revenue Bonds, Series A, 4.625% due 12/1/27 | $ 769,368 | |
750,000 | Longs Peak Metropolitan District, CO, General Obligation Limited, Series 2021, 5.250% due 12/1/515 | 574,878 | |
500,000 | Parkside at City Centre Business Improvement District, CO, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 439,953 | |
200,000 | Rampart Range Metropolitan District No. 5, CO, Revenue Bonds, 4.000% due 12/1/51 | 129,155 | |
500,000 | Senac South Metropolitan District No 1, CO, General Obligation Limited, Series A-3, 5.250% due 12/1/51 | 391,262 | |
750,000 | Southglenn Metropolitan District, CO, Special Revenue, General Obligation Limited, Refunding, 5.000% due 12/1/30 | 718,382 | |
Southlands Metropolitan District No. 1, CO, General Obligation Unlimited, Series A-2: | |||
215,000 | 3.500% due 12/1/27 | 194,981 | |
325,000 | 5.000% due 12/1/47 | 277,258 | |
555,000 | STC Metropolitan District No 2, CO, General Obligation Limited, Refunding, Series A, 3.000% due 12/1/25 | 514,497 | |
Vauxmont Metropolitan District, CO, General Obligation Limited, Refunding, (AGMC Insured): | |||
250,000 | 5.000% due 12/1/32 | 261,536 | |
160,000 | 5.000% due 12/15/32 | 166,464 | |
500,000 | Waterfront at Foster Lake Metropolitan District No 2, CO, Revenue Bonds, Series 2022, 4.625% due 12/1/28 | 449,913 | |
500,000 | Westcreek Metropolitan District No 2, CO, General Obligation Limited, Series A, 5.375% due 12/1/48 | 431,122 | |
500,000 | Westerly Metropolitan District No. 4, CO, General Obligation Limited, Series A-1, 5.000% due 12/1/50 | 390,792 | |
10,468,290 | |||
Connecticut — 0.4% | |||
425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/535 | 305,244 | |
165,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds Refunding, Series G-1, 5.000% due 7/1/505 | 131,298 | |
125,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds, Series E, 4.000% due 7/1/41 | 93,956 | |
110,000 | Harbor Point Infrastructure Improvement District, CT, Special Obligation Revenue, Tax Allocation, Harbor Point Project, Refunding, 5.000% due 4/1/305 | 109,110 | |
45,000 | Steel Point Infrastructure Improvement District, CT, Special Obligation Tax Allocation, Steelpointe Harbor Project, 4.000% due 4/1/515 | 32,773 | |
672,381 | |||
Delaware — 0.3% | |||
499,454 | Affordable Housing Tax-Exempt Bond Pass-Thru Trust, DE, Revenue Bonds, Series 2023-0001, 6.000% due 10/5/405 | 474,295 | |
District Of Columbia — 0.7% | |||
3,415,000 | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/462 | 731,315 | |
1,000,000 | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Series C, 0.000% due 6/15/552 | 81,858 | |
500,000 | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Series D, 0.000% due 6/15/552 | 36,791 | |
225,000 | District of Columbia, KIPP Obligated Group, Revenue Bonds, Refunding, Series A, (MBIA Insured), 5.000% due 7/1/27 | 227,567 | |
1,077,531 |
149 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — 7.5% | |||
$ 105,000 | Alachua County Health Facilities Authourity, FL, Revenue Bonds, Series 2021, 4.000% due 10/1/40 | $ 80,270 | |
115,000 | Capital Trust Agency Inc., FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | 113,387 | |
160,000 | Capital Trust Agency Inc., FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/375 | 145,016 | |
290,000 | Capital Trust Agency Inc., FL, Revenue Bonds, Series A-1, 5.000% due 7/1/565 | 235,513 | |
6,500,000 | Capital Trust Agency Inc., FL, Revenue Bonds, Series B, 0.000% due 7/1/612,5 | 336,267 | |
250,000 | Capital Trust Agency Inc., FL, Viera Charter Schools Inc Project, Revenue Bonds, Series A, 5.000% due 10/15/495 | 204,880 | |
City of Atlantic Beach, FL, Healthcare Facilities, Fleet Landing Project, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 477,145 | |
250,000 | 5.000% due 11/15/53 | 198,823 | |
500,000 | City of Pompano Beach, FL, John Knox Vlg Project, Revenue Bonds, Series 2021-A, 4.000% due 9/1/56 | 322,093 | |
1,000,000 | County of Palm Beach FL, Revenue Bonds, 5.000% due 4/1/395 | 924,329 | |
500,000 | Florida Development Finance Corp., Educational Facilities Revenue, Cornerstone Charter Revenue Bonds, Series 2022, 5.000% due 10/1/425 | 434,194 | |
1,000,000 | Florida Development Finance Corp., Educational Facilities Revenue, Mater Academy Projects, Revenue Bonds, Series A, 5.000% due 6/15/50 | 891,573 | |
250,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, 6.000% due 8/15/575 | 216,033 | |
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 | 144,851 | |
145,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, Series C, 5.000% due 9/15/505 | 109,518 | |
100,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Series 2022, 5.250% due 6/15/295 | 95,269 | |
670,000 | Florida Development Finance Corp., Revenue Bonds, AMT, 7.375% due 1/1/495 | 651,060 | |
820,000 | Florida Housing Finance Corp., Revenue Bonds, Series 2, (GNMA/ FNMA/ FHLMC Insured), 3.000% due 7/1/52 | 768,368 | |
300,000 | Lakewood Ranch Stewardship District, FL, Special Assessment Revenue, Lakewood National & Polo Run Project, 5.375% due 5/1/47 | 282,622 | |
285,000 | Lee County Industrial Development Authority, FL, Healthcare Facilities, Healthpark Florida Inc Project, Revenue Bonds, Series A, 5.250% due 10/1/57 | 216,239 | |
500,000 | Lee County Industrial Development Authority, FL, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 460,555 | |
750,000 | Orange County Health Facilities Authority, FL, Revenue Bonds, 5.000% due 8/1/40 | 690,489 | |
55,000 | Palm Beach County Health Facilities Authority, FL, Lifespace Communities, Revenue Bonds, Refunding, Series C, 5.000% due 5/15/25 | 53,453 | |
Palm Beach County Health Facilities Authority, FL, Revenue Bonds, Series A: | |||
100,000 | 11.500% due 7/1/275 | 108,353 | |
145,000 | 5.000% due 6/1/55 | 112,947 | |
5,000 | Palm Beach County Health Facilities Authority, FL, Revenue Bonds, Series B, 5.000% due 11/15/42 | 4,564 |
150 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$ 875,000 | Pinellas County Industrial Development Authority, FL, Revenue Bonds, 5.000% due 7/1/29 | $ 868,180 | |
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 | 489,334 | |
250,000 | 5.000% due 1/1/42 | 210,338 | |
210,000 | Sawyers Landing Community Development District, FL, Special Assessment, 4.250% due 5/1/53 | 147,068 | |
500,000 | Southeast Overtown Park West Community Redevelopment Agency, FL, Tax Allocation, Series A-1, 5.000% due 3/1/305 | 500,067 | |
125,000 | Town Center at Palm Coast Community Development District, FL, Special Assessment, 6.000% due 5/1/36 | 123,493 | |
Winter Garden Village at Fowler Groves Community Development District, FL, Special Assessment, Refunding: | |||
650,000 | 3.750% due 5/1/31 | 576,516 | |
500,000 | 4.125% due 5/1/37 | 427,086 | |
11,619,893 | |||
Georgia — 1.5% | |||
150,000 | Atlanta Urban Redevelopment Agency, GA, Revenue Bonds, Series 2021, 3.625% due 7/1/425 | 116,638 | |
DeKalb County Housing Authority, GA, Revenue Bonds: | |||
100,000 | 7.000% due 6/1/415 | 92,676 | |
430,000 | 6.170% due 6/1/535 | 388,601 | |
125,000 | Development Authority of Monroe County, GA, Revenue Bonds, Series A, 1.500% due 1/1/394 | 118,290 | |
350,000 | Georgia Housing & Finance Authority, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/50 | 339,704 | |
340,000 | Macon-Bibb County Urban Development Authority, GA, Revenue Bonds, Series A, 5.750% due 6/15/375 | 328,158 | |
750,000 | Main Street Natural Gas Inc, GA, Revenue Bonds, Series C, 4.000% due 8/1/524,5 | 698,408 | |
200,000 | Municipal Electric Authority of Georgia, Plant Vogtle Units 3&4 Project, Revenue Bonds, Series A, 5.000% due 7/1/60 | 184,839 | |
2,267,314 | |||
Guam — 0.4% | |||
175,000 | Guam Department of Education, Certificate Participation, Refunding, Series A, 5.000% due 2/1/40 | 153,457 | |
Territory of Guam, Revenue Bonds, Refunding, Series F: | |||
105,000 | 4.000% due 1/1/36 | 94,198 | |
500,000 | 4.000% due 1/1/42 | 413,875 | |
661,530 | |||
Idaho — 1.1% | |||
Idaho Health Facilities Authority, Kootenai Health Project, Revenue Bonds, Series A: | |||
250,000 | 4.375% due 7/1/34 | 244,242 | |
500,000 | 4.750% due 7/1/44 | 420,957 | |
250,000 | Idaho Housing & Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/405 | 224,357 | |
735,000 | Idaho Housing & Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A, 6.000% due 7/1/395 | 746,855 | |
1,636,411 | |||
Illinois — 4.8% | |||
100,000 | Chicago Board of Education, IL, General Obligation Unlimited, Refunding, Series A, 7.000% due 12/1/44 | 102,161 |
151 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
Chicago Board of Education, IL, General Obligation Unlimited, Series A, (NPFG Insured): | |||
$ 150,000 | 0.000% due 12/1/232 | $ 149,391 | |
170,000 | 5.500% due 12/1/26 | 171,204 | |
550,000 | 0.000% due 12/1/292 | 405,748 | |
City of Chicago, IL, General Obligation Unlimited, Refunding, Series C: | |||
250,000 | 0.000% due 1/1/272 | 218,580 | |
435,000 | 0.000% due 1/1/312 | 299,853 | |
305,000 | City of Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 315,448 | |
145,000 | City of Chicago, IL, Waterworks Revenue, Revenue Bonds, Refunding, (AMBAC Insured), 5.750% due 11/1/30 | 151,103 | |
500,000 | Cook County Community College District No. 508, IL, General Obligation Unlimited, 5.250% due 12/1/43 | 463,509 | |
320,000 | Illinois Finance Authority, Charter School Revenue, Refunding and Improvement, Chicago International Charter School Project, Revenue Bonds, 5.000% due 12/1/47 | 272,415 | |
400,000 | Illinois Finance Authority, Christian Homes, Inc., Revenue Bonds, Refunding, 5.000% due 5/15/36 | 181,000 | |
Illinois Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 217,789 | |
500,000 | 5.000% due 7/1/47 | 381,371 | |
260,000 | Illinois Housing Development Authority, Revenue Bonds, Refunding, Series C, 3.500% due 8/1/46 | 253,560 | |
250,000 | Illinois Housing Development Authority, Revenue Bonds, Series A, (FHLMC/ FNMA / GNMA Insured), 4.250% due 10/1/49 | 245,150 | |
245,000 | Illinois Housing Development Authority, Revenue Bonds, Series A, (GNMA/ FNMA/ FHLMC Insured), 3.000% due 4/1/51 | 230,212 | |
475,000 | Illinois Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | 475,806 | |
440,000 | Illinois Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured), 0.000% due 6/15/262 | 383,531 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding, (BAM, NPFG Insured), 0.000% due 6/15/282 | 203,349 | |
525,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding, Series B-1, (AGMC Insured), 0.000% due 6/15/272 | 446,602 | |
485,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 6/15/312 | 336,767 | |
175,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series A, 0.000% due 12/15/372 | 81,455 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series B, 5.000% due 12/15/40 | 490,220 | |
250,000 | United City of Yorkville, IL, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 229,559 | |
250,000 | Village of Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | 214,805 | |
500,000 | Volo Village Special Service Area No. 3 & 6, IL, Special Tax, Symphony Meadows/Lancaster Falls Project, Refunding, (AGMC Insured), 2.875% due 3/1/25 | 486,135 | |
7,406,723 | |||
Indiana — 2.5% | |||
23,436 | City of Fort Wayne, IN, Revenue Bonds, Revenue Bonds, 10.750% due 12/1/29 | 2 | |
1,000,000 | Indiana Finance Authority, CWA Authority Project, Revenue Bonds, Refunding, 5.000% due 10/1/277 | 1,021,274 |
152 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Indiana — (Continued) | |||
Indiana Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A, Forward Refunding 11/15/23: | |||
$ 345,000 | 5.750% due 11/15/28 | $ 345,132 | |
330,000 | 6.500% due 11/15/33 | 330,207 | |
250,000 | Indiana Finance Authority, Ohio Valley Electric Corp Project, Revenue Bonds, Series B, 3.000% due 11/1/30 | 221,188 | |
260,000 | Indiana Finance Authority, Pollution Control, Ohio Valley Electric Corp Project, Revenue Bonds, Series B, 2.500% due 11/1/30 | 221,737 | |
965,000 | Indiana Finance Authority, Revenue Bonds, Refunding, Series 2019, 7.000% due 3/1/395 | 672,607 | |
Indiana Finance Authority, Revenue Bonds, Refunding, Series A: | |||
250,000 | 1.400% due 8/1/29 | 202,995 | |
455,000 | 4.000% due 11/15/43 | 319,810 | |
600,000 | Indiana Finance Authority, Revenue Bonds, Series A, 5.000% due 11/15/38 | 550,002 | |
3,884,954 | |||
Kansas — 0.3% | |||
City of Overland Park, KS, Sales Tax Revenue, Bluhawk Star Bond Project, Revenue Bonds: | |||
100,000 | 6.000% due 11/15/345 | 98,337 | |
200,000 | 6.500% due 11/15/425 | 193,020 | |
150,000 | Wyandotte County-Kansas City Unified Government, KS, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 133,945 | |
20,000 | Wyandotte County-Kansas City Unified Government, KS, Wyandotte Plaza Project, Revenue Bonds, Refunding, 4.000% due 12/1/28 | 18,207 | |
443,509 | |||
Kentucky — 1.3% | |||
305,000 | City of Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 284,411 | |
350,000 | City of Ashland, KY, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/36 | 310,813 | |
Kentucky Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Series B, (NPFG Insured): | |||
500,000 | 0.000% due 10/1/262 | 433,616 | |
500,000 | 0.000% due 10/1/272 | 413,251 | |
250,000 | Kentucky Economic Development Finance Authority, Healthcare Revenue, Rosedale Green Project, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 197,333 | |
95,000 | Kentucky Public Transportation Infrastructure Authority, Revenue Bonds, Series B, (AGMC Insured), 4.000% due 7/1/53 | 73,710 | |
250,000 | Louisville & Jefferson County Metropolitan Government, KY, Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 251,307 | |
1,964,441 | |||
Louisiana — 1.0% | |||
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 | 220,817 | |
850,000 | Juban Crossing Economic Development District, LA, Gen Infrastructure Project, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/445 | 807,989 | |
500,000 | Louisiana Public Facilities Authority, Revenue Bonds, Louisiana State University Greenhouse District Phase II Project, Series A, 5.000% due 7/1/59 | 462,432 | |
1,491,238 | |||
Maryland — 2.0% | |||
250,000 | City of Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/36 | 239,361 |
153 |
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 2/15/345 | $ 224,894 | |
500,000 | County of Prince George’s, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/485 | 391,749 | |
215,000 | Maryland Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 211,379 | |
635,000 | Maryland Community Development Administration, Revenue Bonds, Refunding, Series A, 3.000% due 9/1/51 | 598,235 | |
265,000 | Maryland Community Development Administration, Revenue Bonds, Refunding, Series C, 3.000% due 9/1/51 | 248,125 | |
500,000 | Maryland Economic Development Corp., Morgan State University Project, Revenue Bonds, 5.000% due 7/1/56 | 455,210 | |
90,000 | Maryland Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 86,039 | |
250,000 | Maryland Economic Development Corp., Special Obligation, Tax Allocation, Metro Centre Owings Mills Project, 4.500% due 7/1/44 | 211,942 | |
500,000 | Prince George’s County Revenue Authority, MD, Tax Allocation, Suitland-Naylor Road Project, 5.000% due 7/1/465 | 446,515 | |
3,113,449 | |||
Massachusetts — 0.1% | |||
100,000 | Massachusetts Development Finance Agency, Revenue Bonds, Refunding, 5.125% due 1/1/40 | 84,760 | |
Michigan — 1.3% | |||
250,000 | City of Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 249,398 | |
125,000 | City of Detroit, MI, General Obligation Unlimited, Series A, 5.000% due 4/1/46 | 112,329 | |
250,000 | Flint Hospital Building Authority, MI, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/38 | 204,911 | |
280,000 | Flint Hospital Building Authority, MI, Revenue Bonds, Series A, 5.250% due 7/1/39 | 253,065 | |
Grand Rapids Economic Development Corp., MI, Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.000% due 11/1/37 | 508,282 | |
250,000 | 5.000% due 11/1/55 | 179,884 | |
325,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series B-2, Class 2, 0.000% due 6/1/652 | 24,058 | |
520,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series A, 2.700% due 10/1/56 | 288,269 | |
3,500,000 | Michigan Tobacco Settlement Finance Authority, Revenue Bonds, Series C, 0.000% due 6/1/582 | 157,577 | |
1,977,773 | |||
Minnesota — 0.4% | |||
Dakota County Community Development Agency, MN, Amber Fields Apartments Project, Revenue Bonds, (HUD Section 8): | |||
160,000 | 5.300% due 7/1/284,5 | 157,498 | |
435,000 | 5.660% due 7/1/415 | 398,610 | |
159,087 | Minnesota Housing Finance Agency, Non AMT Non ACE SF Mortgage, Revenue Bonds, Series I, (GNMA/ FNMA/ FHLMC Insured), 2.800% due 12/1/47 | 132,644 | |
688,752 | |||
Mississippi — 0.1% | |||
320,000 | Mississippi Business Finance Corp., Revenue Bonds, 7.750% due 7/15/474 | 228,746 |
154 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Missouri — 2.1% | |||
$ 355,000 | Cape Girardeau County Industrial Development Authority, MO, Southeast Health, Revenue Bonds, Refunding, Series A, 6.000% due 3/1/33 | $ 365,927 | |
100,000 | Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 99,587 | |
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 | 223,243 | |
Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | |||
1,000,000 | 5.000% due 2/1/26 | 991,766 | |
250,000 | 5.000% due 8/1/45 | 209,184 | |
100,000 | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds, Series A, 5.000% due 2/1/28 | 98,529 | |
365,000 | Maryland Heights Industrial Development Authority, MO, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 324,980 | |
60,000 | Plaza at Noah’s Ark Community Improvement District, MO, Refunding, Revenue Bonds, 3.000% due 5/1/26 | 56,491 | |
355,000 | St. Louis County Industrial Development Authority, MO, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | 332,527 | |
500,000 | St. Louis County Industrial Development Authority, MO, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 397,893 | |
100,000 | Taney County Industrial Development Authority, MO, Big Cedar infrastucture Project, Revenue Bonds, 5.000% due 10/1/335 | 93,740 | |
3,193,867 | |||
Nebraska — 0.1% | |||
100,000 | Nebraska Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 97,748 | |
Nevada — 1.7% | |||
225,000 | City of Las Vegas, NV, Special Improvement District No. 816, Sales Tax Increment, Special Assessment, 2.750% due 6/1/31 | 179,876 | |
370,000 | City of North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 309,801 | |
975,000 | City of Sparks, NV, Tourism improvement district, Revenue Bonds, Series A, 2.750% due 6/15/285 | 883,527 | |
State of Nevada Department of Business & Industry, Revenue Bonds, Series A: | |||
290,000 | 5.000% due 7/15/27 | 285,150 | |
500,000 | 5.000% due 12/15/485 | 407,717 | |
560,000 | State of Nevada Department of Business and Industry, Revenue Bonds, AMT, 8.125% due 1/1/504,5 | 561,778 | |
2,627,849 | |||
New Hampshire — 0.2% | |||
500,000 | New Hampshire Business Finance Authority, Covanta Project, Revenue Bonds, Refunding, 4.625% due 11/1/425 | 376,264 | |
New Jersey — 1.3% | |||
1,000,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 6/15/267 | 1,008,753 | |
345,000 | New Jersey Economic Development Authority, Revenue Bonds, Series A, 5.000% due 7/1/38 | 319,314 | |
500,000 | New Jersey Housing & Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 495,590 | |
185,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured), 0.000% due 12/15/322 | 122,837 | |
1,946,494 | |||
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 | 246,006 |
155 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Mexico — (Continued) | |||
$ 250,000 | New Mexico Hospital Equipment Loan Council, Revenue Bonds, LA Vida Llena Expansion Project, Series A, 5.000% due 7/1/49 | $ 186,722 | |
370,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A-1, Class I, (GNMA/ FNMA/ FHLMC Insured), 4.250% due 1/1/50 | 362,074 | |
794,802 | |||
New York — 3.8% | |||
435,000 | Brookhaven Local Development Corp., NY, Jefferson’s Ferry Project, Revenue Bonds, Series A, 4.000% due 11/1/55 | 302,981 | |
1,000,000 | Build NYC Resource Corp., NY, Revenue Bonds, 5.250% due 7/1/62 | 908,188 | |
100,000 | Build NYC Resource Corp., NY, Revenue Bonds, Series A, 4.000% due 6/15/515 | 66,408 | |
150,000 | County of Sullivan, NY, Special Assessment, Adelaar Infrastructure Project, Special Assessment, Series E-1, 4.850% due 11/1/315 | 135,832 | |
500,000 | County of Sullivan, NY, Special Assessment, Adelaar Infrastructure Project, Special Assessment, Series E-2, 5.350% due 11/1/495 | 411,758 | |
250,000 | Huntington Local Development Corp., NY, Fountaingate Garden Project, Revenue Bonds, Series A, 5.250% due 7/1/56 | 178,295 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series C-2, 0.000% due 11/15/322 | 323,407 | |
395,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D-2-B, (AGMC Insured), (SOFR*0.67+0.55%), 4.108% due 11/1/323 | 394,892 | |
150,000 | Monroe County Industrial Development Corp., NY, St. Ann’s Community Project, Revenue Bonds, Refunding, 5.000% due 1/1/40 | 122,606 | |
500,000 | New York City Industrial Development Agency, NY, Revenue Bonds, Refunding, (AGMC Insured), 3.000% due 1/1/46 | 333,194 | |
350,000 | New York Liberty Development Corp., Revenue Bonds, Refunding Class 2-3, 5.375% due 11/15/405 | 323,337 | |
480,000 | New York Liberty Development Corp., Revenue Bonds, Refunding Class 3-3, 7.250% due 11/15/445 | 478,953 | |
1,815,000 | New York Liberty Development Corp., Revenue Bonds, Refunding, Class 1-3, 5.000% due 11/15/445 | 1,619,571 | |
230,000 | Niagara Area Development Corp., NY, Catholic Health System Inc Project, Revenue Bonds, 5.000% due 7/1/52 | 166,365 | |
150,000 | State of New York Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 148,347 | |
5,914,134 | |||
North Carolina — 0.9% | |||
835,000 | North Carolina Housing Finance Agency, Revenue Bonds, Series 46-A, (GNMA/ FNMA/ FHLMC Insured), 3.000% due 7/1/51 | 783,188 | |
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 | 381,885 | |
215,000 | North Carolina Medical Care Commission, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/34 | 195,852 | |
1,360,925 | |||
North Dakota — 0.3% | |||
500,000 | County of Ward, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 375,549 | |
180,000 | North Dakota Housing Finance Agency, Revenue Bonds, Series A, 3.000% due 1/1/52 | 169,190 | |
544,739 |
156 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Ohio — 2.4% | |||
$ 990,000 | Buckeye Tobacco Settlement Financing Authority, OH, Revenue Bonds, Series B-2, Class 2, 5.000% due 6/1/55 | $ 809,852 | |
600,000 | City of Centerville, OH, Healthcare Revenue, Revenue Bonds, Refunding, 5.250% due 11/1/50 | 478,889 | |
345,000 | County of Franklin, OH, Revenue Bonds, Refunding, 5.250% due 11/15/55 | 268,615 | |
700,000 | County of Washington, OH, Hospital Revenue, Revenue Bonds, Refunding, 6.750% due 12/1/52 | 672,515 | |
475,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/50 | 383,213 | |
State of Ohio, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 12/1/285 | 236,117 | |
420,000 | 5.000% due 12/1/335 | 378,784 | |
250,000 | 5.000% due 12/1/385 | 207,435 | |
300,000 | 5.000% due 12/1/485 | 231,842 | |
3,667,262 | |||
Oklahoma — 0.9% | |||
635,000 | Norman Regional Hospital Authority, OK, Revenue Bonds, Refunding, 4.000% due 9/1/37 | 509,147 | |
Oklahoma Development Finance Authority, Health Project, Revenue Bonds, Series A: | |||
1,000,000 | 5.500% due 8/15/44 | 861,296 | |
375,000 | 5.000% due 8/1/526 | 375 | |
1,370,818 | |||
Oregon — 0.8% | |||
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 | 109,668 | |
250,000 | Hospital Facilities Authority of Multnomah Country, OR, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/56 | 146,841 | |
395,000 | Polk County Hospital Facility Authority, OR, Dollas Retirement Vlg Project, Revenue Bonds, Series A, 5.125% due 7/1/55 | 282,755 | |
1,000,000 | Salem Hospital Facility Authority, OR, Oregon Revenue, Capital Manor Project, Revenue Bonds, Refunding, 4.000% due 5/15/40 | 768,431 | |
1,307,695 | |||
Pennsylvania — 3.7% | |||
Berks County Industrial Development Authority, PA, Tower Health Project, Revenue Bonds, Refunding: | |||
1,000,000 | 5.000% due 11/1/47 | 544,044 | |
250,000 | 4.000% due 11/1/47 | 135,768 | |
325,000 | Berks County Municipal Authority, PA, Tower Health Project, Revenue Bonds, Refunding, Series A, 5.000% due 2/1/28 | 191,763 | |
150,000 | Berks County Municipal Authority, PA, Tower Health Project, Revenue Bonds, Series B-3, 5.000% due 2/1/404 | 83,825 | |
1,000,000 | Bucks Country Industrial Development Authority, PA, Grand view Hospital Project, Revenue Bonds, 4.000% due 7/1/46 | 664,734 | |
Crawford County Hospital Authority, PA, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 403,112 | |
250,000 | 6.000% due 6/1/46 | 239,524 | |
500,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, Refunding, 5.000% due 1/1/29 | 475,481 | |
250,000 | Delaware Valley Regional Finance Authority, PA, Revenue Bonds, Series C, (3M. USD LIBOR*0.67+0.75%), 4.550% due 6/1/373 | 209,036 | |
200,000 | Franklin County Industrial Development Authority, PA, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 152,252 | |
445,000 | Montgomery County Higher Education and Health Authority, PA, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 368,986 | |
500,000 | Montgomery County Industrial Development Authority, PA, Revenue Bonds, Refunding, 5.000% due 11/15/36 | 480,539 |
157 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$ 250,000 | Montgomery County Industrial Development Authority, PA, Waverly Heights, Limited. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | $ 231,564 | |
800,000 | Pennsylvania Economic Development Financing Authority, Iron Cumberland LLC Project, Revenue Bonds, Series 2022, 7.000% due 12/1/29 | 752,852 | |
Philadelphia Authority for Industrial Development, PA, Revenue Bonds, Refunding: | |||
100,000 | 5.000% due 8/1/30 | 98,037 | |
115,000 | 5.000% due 6/15/405 | 103,448 | |
425,000 | 5.000% due 8/1/40 | 381,147 | |
150,000 | Redevelopment Authority of The County of Washington, PA, Tax Allocation, Refunding, 5.000% due 7/1/28 | 145,800 | |
100,000 | Westmoreland County Industrial Development Authority, PA, Excela Health Project, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/25 | 98,118 | |
5,760,030 | |||
Puerto Rico — 8.5% | |||
Commonwealth of Puerto Rico, General Obligation Unlimited, Restructured, Series A-1: | |||
15,769 | 0.000% due 7/1/242 | 15,276 | |
107,721 | 5.375% due 7/1/25 | 108,299 | |
106,745 | 5.625% due 7/1/27 | 108,570 | |
60,000 | 5.625% due 7/1/29 | 61,306 | |
101,998 | 5.750% due 7/1/31 | 104,914 | |
124,470 | 0.000% due 7/1/332 | 71,095 | |
86,939 | 4.000% due 7/1/35 | 72,885 | |
Commonwealth of Puerto Rico, Notes: | |||
2,028,895 | 0.000% due 11/1/432 | 1,009,375 | |
1,052,170 | 5.069% due 11/1/514 | 532,661 | |
268,457 | 0.000% due 11/1/512 | 105,369 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Refunding, Series A: | |||
1,000,000 | 5.000% due 7/1/305 | 992,670 | |
250,000 | 5.000% due 7/1/375 | 235,084 | |
1,500,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series B, 5.000% due 7/1/335 | 1,466,201 | |
75,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 73,960 | |
900,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M. USD LIBOR*0.67+0.52%), 4.310% due 7/1/293 | 845,046 | |
115,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series ZZ, 5.250% due 7/1/186 | 28,750 | |
Puerto Rico Electric Power Authority, Revenue Bonds, Series A: | |||
85,000 | 5.000% due 7/1/296 | 21,250 | |
500,000 | 7.000% due 7/1/406 | 125,000 | |
100,000 | 5.050% due 7/1/426 | 25,000 | |
Puerto Rico Electric Power Authority, Revenue Bonds, Series CCC: | |||
120,000 | 5.250% due 7/1/276 | 30,000 | |
250,000 | 5.250% due 7/1/286 | 62,500 | |
320,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 308,442 | |
600,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 594,311 | |
500,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series TT, 5.000% due 7/1/376 | 125,000 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series TT, (AGMC Insured), 5.000% due 7/1/27 | 24,809 | |
Puerto Rico Electric Power Authority, Revenue Bonds, Series XX: | |||
250,000 | 5.750% due 7/1/366 | 62,500 | |
1,400,000 | 5.250% due 7/1/406 | 350,000 |
158 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
$1,101,941 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Series A, 5.000% due 7/1/62 | $ 1,085,412 | |
947,256 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Series B, 0.000% due 7/1/322 | 603,876 | |
46,623 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Series C, 0.000% due 7/1/532 | 29,839 | |
400,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Hospital Auxilio Mutuo Obligation Project, Revenue Bonds, Refunding, 4.000% due 7/1/40 | 327,323 | |
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 | 430,332 | |
230,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, Refunding, 5.000% due 10/1/31 | 230,138 | |
209,663 | Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A, Class 2047, 0.000% due 8/1/472 | 51,970 | |
323,124 | Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A, Class 2054, 0.000% due 8/1/542 | 58,003 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
3,000 | 0.000% due 7/1/242 | 2,907 | |
14,000 | 0.000% due 7/1/292 | 10,761 | |
18,000 | 0.000% due 7/1/312 | 12,510 | |
3,188,000 | 0.000% due 7/1/462 | 790,230 | |
8,743,000 | 0.000% due 7/1/512 | 1,569,473 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 185,178 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 98,734 | |
150,000 | 5.000% due 6/1/36 | 140,912 | |
13,187,871 | |||
Rhode Island — 0.2% | |||
270,000 | Rhode Island Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA/ FNMA/ FHLMC Insured), 4.000% due 10/1/48 | 263,080 | |
South Carolina — 2.8% | |||
2,760,004 | Connector 2000 Association, Inc., SC, Revenue Bonds, Series A-1, 0.000% due 1/1/422 | 613,805 | |
449,951 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Revenue Bonds, Series A-1, 0.000% due 1/1/322 | 234,253 | |
500,000 | Greenville Housing Authority, SC, Revenue Bonds, 6.160% due 5/1/635 | 442,759 | |
375,000 | South Carolina Jobs-Economic Development Authority, Economic Development Revenue, Revenue Bonds, 0.000% due 6/1/522 | 231,282 | |
400,000 | South Carolina Jobs-Economic Development Authority, FAH Portfolio Pelham Apartments Project, Revenue Bonds, Series A-1, Class I, 6.500% due 2/1/565 | 353,098 | |
150,000 | South Carolina Jobs-Economic Development Authority, FAH Portfolio Pelham Apartments Project, Revenue Bonds, Series B, Class I, 7.500% due 8/1/475 | 133,520 | |
105,000 | South Carolina Jobs-Economic Development Authority, Green Charter Schools Project, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/565 | 61,525 | |
South Carolina Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
410,000 | 5.000% due 10/1/365 | 356,133 | |
1,090,000 | 5.000% due 10/1/415 | 896,330 | |
300,000 | South Carolina Jobs-Economic Development Authority, Solid Waste Disposal Revenue, Revenue Bonds, 6.250% due 6/1/405 | 220,958 |
159 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
$ 200,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | $ 201,123 | |
500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series B, 5.000% due 12/1/37 | 489,737 | |
130,000 | South Carolina State Housing Finance & Development Authority, Revenue Bonds, Series A, (GNMA/ FNMA/ FHLMC/ FHA Insured), 4.000% due 7/1/36 | 127,896 | |
4,362,419 | |||
Tennessee — 0.7% | |||
1,000,000 | Bristol Industrial Development Board, TN, Revenue Bonds, Series B, 0.000% due 12/1/312,5 | 603,381 | |
Knox County Industrial Development Board, TN, Revenue Bonds, AMT, Refunding: | |||
200,000 | 9.250% due 11/1/425 | 188,686 | |
265,000 | 9.500% due 11/1/525 | 248,570 | |
40,000 | Metropolitan Government Nashville & Davidson Country Industrial Development Board, TN, Special Assessment, Series 2021-A, 4.000% due 6/1/515 | 29,362 | |
300,000 | Metropolitan Government Nashville & Davidson Country Industrial Development Board, TN, Special Assessment, Series 2021-B, 0.000% due 6/1/432,5 | 91,973 | |
1,161,972 | |||
Texas — 6.1% | |||
645,000 | Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 561,202 | |
500,000 | Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series 2021, 4.500% due 6/15/564,5 | 488,165 | |
Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series 2022: | |||
100,000 | 6.250% due 6/1/525 | 93,220 | |
200,000 | 6.375% due 6/1/625 | 186,132 | |
240,000 | Arlington Higher Education Finance Corp., TX, Revenue Bonds, Refunding, Uplift Education, Series A, 2.750% due 12/1/26 | 224,387 | |
650,000 | Brazoria County Industrial Development Corp., TX, Revenue Bonds, Series 2022, 10.000% due 6/1/424,5 | 597,440 | |
City of Dallas Housing Finance Corp., TX, Revenue Bonds, Series A: | |||
425,000 | 6.000% due 12/1/62 | 392,942 | |
245,000 | 6.000% due 12/1/625 | 212,940 | |
City of Dallas Housing Finance Corp., TX, Revenue Bonds, Series B: | |||
100,000 | 6.250% due 12/1/545 | 82,859 | |
3,640,000 | 0.000% due 12/1/622,5 | 217,589 | |
500,000 | City of Plano, TX, Special Assessment, 4.000% due 9/15/515 | 354,397 | |
360,000 | Fort Bend County Industrial Development Corp., TX, NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 323,671 | |
1,510,000 | Harris County Cultural Education Facilities Finance Corp., TX, Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,116,866 | |
150,000 | Harris County Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Series A, 5.000% due 1/1/43 | 116,098 | |
1,000,000 | Hidalgo County Regional Mobility Authority, TX, Revenue Bonds, Series A, 0.000% due 12/1/562 | 121,148 | |
500,000 | Matagorda County Navigation District No. 1, TX, Revenue Bonds, Refunding, Series A, (AMBAC Insured), 4.400% due 5/1/30 | 477,181 | |
215,000 | New Hope Cultural Education Facilities Finance Corp., TX, Blinn College Project, Revenue Bonds, Series A, 5.000% due 7/1/40 | 177,678 | |
480,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Dwyer Workforce development, Revenue Bonds, Refunding, 8.500% due 9/1/275 | 467,606 | |
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 | 321,173 |
160 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
$ 250,000 | New Hope Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Refunding, 4.000% due 8/15/515 | $ 163,321 | |
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 | 414,273 | |
250,000 | New Hope Cultural Education Facilities Finance Corp., TX, Wesleyan Homes Inc Project, Revenue Bonds, 5.500% due 1/1/49 | 184,186 | |
400,000 | New Hope Cultural Education Facilities Finance Corp., TX, Wesleyan Homes Inc Project, Revenue Bonds, Refunding, 5.000% due 1/1/55 | 259,760 | |
70,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villages Project, Revenue Bonds, Refunding, 4.000% due 5/15/31 | 59,810 | |
140,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villages Project, Revenue Bonds, Refunding, Series A, 5.750% due 12/1/546 | 91,000 | |
205,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villiages Project, Revenue Bonds, Refunding, 4.000% due 5/15/27 | 190,457 | |
150,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Revenue Bonds, Refunding, 5.000% due 11/15/35 | 135,359 | |
100,000 | Texas Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 99,310 | |
740,000 | Texas Municipal Gas Acquisition and Supply Corp. II, Revenue Bonds, Series C, (3M. USD LIBOR*0.66+0.86%), 4.433% due 9/15/273 | 723,667 | |
700,000 | Town of Little Elm, TX, Special Assessment, Series A, 5.375% due 9/1/515 | 611,323 | |
9,465,160 | |||
Utah — 0.1% | |||
250,000 | Mida Mountain Village Public Infrastructure District, UT, Special Assessment, Series A, 5.000% due 8/1/505 | 196,404 | |
Vermont — 0.4% | |||
260,000 | Vermont Economic Development Authority, Revenue Bonds, Refunding, Series A, 4.000% due 5/1/37 | 212,146 | |
500,000 | Vermont Economic Development Authority, Revenue Bonds, Series A -1, 5.000% due 6/1/524,5 | 487,523 | |
699,669 | |||
Virginia — 5.1% | |||
415,000 | Atlantic Park Community Development Authority, VA, Revenue Bonds, 6.250% due 8/1/455 | 364,133 | |
750,000 | Farmville Industrial Development Authority, VA, Longwood University Student Project, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/38 | 682,384 | |
Hanover County Economic Development Authority, VA, Care Facilities Revenue, Covenant Woods, Revenue Bonds, Refunding: | |||
255,000 | 4.000% due 7/1/305 | 221,069 | |
500,000 | 5.000% due 7/1/38 | 417,246 | |
295,000 | Henrico County Economic Development Authority, VA, Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 280,106 | |
500,000 | Henrico County Economic Development Authority, VA, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 436,501 | |
600,000 | Henrico County Economic Development Authority, VA, Residencial Care Facility Revenue, Revenue Bonds, Series C, 5.000% due 12/1/47 | 528,212 |
161 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Virginia — (Continued) | |||
James City County Economic Development Authority, VA, Revenue Bonds, Series A: | |||
$ 500,000 | 4.000% due 12/1/40 | $ 388,633 | |
140,000 | 4.000% due 6/1/41 | 101,751 | |
500,000 | Newport News Industrial Development Authority, VA, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/465 | 441,397 | |
1,000,000 | Newport News Industrial Development Authority, VA, System Revenue, Revenue Bonds, 5.330% due 7/1/455 | 933,964 | |
1,000,000 | Virginia College Building Authority, Marymount University Project, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/455 | 853,692 | |
500,000 | Virginia Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 436,817 | |
760,000 | Virginia Small Business Financing Authority, Revenue Bonds, 8.500% due 6/1/425 | 666,793 | |
655,000 | Virginia Small Business Financing Authority, Revenue Bonds, (SOFR*0.70+5.50%), 7.677% due 6/1/293,5 | 612,520 | |
50,000 | Virginia Small Business Financing Authority, Revenue Bonds, Refunding, 4.000% due 12/1/51 | 36,233 | |
250,000 | Virginia Small Business Financing Authority, Revenue Bonds, Refunding, Series A, 4.000% due 1/1/45 | 199,016 | |
290,000 | Virginia Small Business Financing Authority, Revenue Bonds, Series A, 8.500% due 12/1/525 | 256,116 | |
7,856,583 | |||
Washington — 1.7% | |||
235,000 | Kalispel Tribe of Indians, WA, Priority District, Revenue Bonds, Series B, 5.250% due 1/1/385 | 237,850 | |
200,000 | Washington Health Care Facilities Authority, Revenue Bonds, Refunding, Series A-2, 5.000% due 8/1/30 | 205,087 | |
Washington State Convention Center Public Facilities District, Revenue Bonds, Refunding, Series B: | |||
260,000 | 4.000% due 7/1/31 | 247,336 | |
295,000 | 3.000% due 7/1/35 | 240,706 | |
265,000 | 3.000% due 7/1/58 | 149,772 | |
625,000 | Washington State Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/385 | 524,118 | |
482,250 | Washington State Housing Finance Commission, Revenue Bonds, Series A-1, 3.500% due 12/20/35 | 409,362 | |
500,000 | Washington State Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, 5.000% due 1/1/555 | 339,121 | |
500,000 | Washington State Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, Series A, 5.000% due 1/1/565 | 337,478 | |
2,690,830 | |||
West Virginia — 0.3% | |||
500,000 | West Virginia Economic Development Authority, Wyoming County Coal Project, Revenue Bonds, 9.000% due 6/1/385 | 473,284 | |
Wisconsin — 6.1% | |||
250,000 | Public Finance Authority, WI, Charter Day School Inc Project, Revenue Bonds, Series A, 5.000% due 12/1/455 | 193,264 | |
250,000 | Public Finance Authority, WI, Charter School Portfolio Project, Revenue Bonds, Series A-1, 5.000% due 1/1/555 | 174,369 | |
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/475 | 440,624 | |
500,000 | Public Finance Authority, WI, Grand Hyatt San Antonio Hotel Acquisition Project, Revenue Bonds, Series B, 6.000% due 2/1/625 | 444,357 | |
115,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/41 | 86,719 | |
110,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Series A-1, 4.000% due 7/1/515 | 77,609 |
162 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
$ 400,000 | Public Finance Authority, WI, House Apartments Project, Revenue Bonds, Series A, 6.500% due 8/1/535 | $ 359,527 | |
275,000 | Public Finance Authority, WI, House Apartments Project, Revenue Bonds, Series B, 6.625% due 2/1/465 | 233,686 | |
115,000 | Public Finance Authority, WI, KDC Agri Business, LLC, Revenue Notes, Series A, 15.000% due 5/15/231,5,6 | 0 | |
200,000 | Public Finance Authority, WI, Lariat Project, Revenue Bonds, 0.000% due 9/1/292,5 | 125,637 | |
Public Finance Authority, WI, Lehigh Valley Health Network Micro Hospitals, Revenue Bonds: | |||
190,000 | 7.250% due 12/1/425 | 177,560 | |
115,000 | 7.500% due 12/1/525 | 108,290 | |
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 9/1/495 | 174,129 | |
500,000 | 5.000% due 9/1/545 | 383,400 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 251,535 | |
Public Finance Authority, WI, Revenue Bonds, Refunding, Series A: | |||
335,000 | 5.000% due 6/1/295 | 322,516 | |
250,000 | 5.000% due 1/1/35 | 227,569 | |
750,000 | 5.000% due 1/1/46 | 619,550 | |
500,000 | Public Finance Authority, WI, Revenue Bonds, Series A, 4.500% due 6/1/565 | 328,001 | |
25,000 | Public Finance Authority, WI, Roseman University, Revenue Bonds, Prerefunded 4/01/30 @ 100, 5.000% due 4/1/505 | 26,667 | |
475,000 | Public Finance Authority, WI, Roseman University, Revenue Bonds, Unrefunded Portion, 5.000% due 4/1/505 | 397,599 | |
230,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, 4.000% due 6/15/295 | 209,961 | |
100,000 | Public Finance Authority, WI, Senior Living Revenue, Mary’s Woods at Marylhurst Project, Revenue Bonds, Refunding, Series A, 4.000% due 10/1/51 | 69,055 | |
40,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, Escrowed to Maturity, 5.000% due 11/15/245 | 40,197 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,048,131 | |
50,000 | Public Finance Authority, WI, The obligated Group of National Senior Communities, Revenue Bonds, 4.000% due 1/1/52 | 37,416 | |
1,000,000 | Wisconsin Department of Transportation, Revenue Bonds, Refunding, Series 1, 5.000% due 7/1/297 | 1,044,130 | |
70,000 | Wisconsin Health & Educational Facilities Authority, Revenue Bonds, 4.000% due 12/1/41 | 48,588 | |
Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding: | |||
955,000 | 5.000% due 6/1/41 | 775,954 | |
110,000 | 4.000% due 1/1/47 | 63,237 | |
1,000,000 | 4.000% due 1/1/57 | 525,367 | |
430,000 | Wisconsin Housing & Economic Development Authority Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 419,002 | |
10,000 | Wisconsin Housing & Economic Development Authority Housing Revenue, Home Ownership Revenue, Revenue Bonds, Refunding, Series B, (HUD Section 8), 0.400% due 5/1/454 | 10,000 | |
9,443,646 | |||
Other Territory — 0.6% | |||
696,989 | Federal Home Loan Mortgage Corporation Multifamily 2019ML-05 Certificates, Revenue Bonds, Class A, 3.400% due 1/25/36 | 582,389 | |
258,114 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class AUS, 2.032% due 1/25/38 | 181,062 |
163 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Other Territory — (Continued) | |||
$ 701,291 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class XUS, 2.057% due 1/25/384 | $ 104,322 | |
867,773 | |||
TOTAL MUNICIPAL BONDS (Cost $181,045,781) | 153,747,643 | ||
TOTAL INVESTMENTS (Cost $182,034,646) | 99.5% | $154,583,339 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.5 | 799,507 | |
NET ASSETS | 100.0% | $155,382,846 |
* | Percentages indicated are based on net assets. |
1 | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 1 of the Notes to Financial Statements). |
2 | Zero Coupon Bond. |
3 | Floating Rate Bond. Rate shown is as of October 31, 2023. |
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, 2023. |
5 | 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, 2023, these securities, which are not illiquid, amounted to $52,508,663 or 33.8% of net assets for the Fund. |
6 | This security is in default. See Note 1. |
7 | When-issued security. |
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 |
HUD — Housing and Urban Development |
MBIA — Municipal Bond Investors Assurance |
NPFG — National Public Finance Guarantee Corporation |
Centrally Cleared Interest Rate Swap Contracts | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value | Unrealized Appreciation/ (Depreciation) | |||||||||
12 Mo. USD SOFR | Fixed 4.60% | USD | 4,200,000 | 10/27/43 | Annual | $— | $— | $ 49,166 | $ 49,166 | ||||||||
12 Mo. USD SOFR | Fixed 4.12% | USD | 4,600,000 | 10/04/58 | Annual | — | — | (70,264) | (70,264) | ||||||||
Total Centrally Cleared Interest Rate Swap Contracts | $— | $— | $(21,098) | $(21,098) |
164 |
% of Net Assets | Value | ||
STATE: | |||
Puerto Rico | 8.5% | $ 13,187,871 | |
California | 8.1 | 12,625,103 | |
Florida | 7.5 | 11,619,893 | |
Colorado | 6.7 | 10,468,290 | |
Texas | 6.1 | 9,465,160 | |
Wisconsin | 6.1 | 9,443,646 | |
Virginia | 5.1 | 7,856,583 | |
Illinois | 4.8 | 7,406,723 | |
Arizona | 4.2 | 6,605,257 | |
New York | 3.8 | 5,914,134 | |
Pennsylvania | 3.7 | 5,760,030 | |
South Carolina | 2.8 | 4,362,419 | |
Indiana | 2.5 | 3,884,954 | |
Ohio | 2.4 | 3,667,262 | |
Alabama | 2.3 | 3,569,774 | |
Missouri | 2.1 | 3,193,867 | |
Maryland | 2.0 | 3,113,449 | |
Washington | 1.7 | 2,690,830 | |
Nevada | 1.7 | 2,627,849 | |
Georgia | 1.5 | 2,267,314 | |
Michigan | 1.3 | 1,977,773 | |
Kentucky | 1.3 | 1,964,441 | |
New Jersey | 1.3 | 1,946,494 | |
Idaho | 1.1 | 1,636,411 | |
Louisiana | 1.0 | 1,491,238 | |
Oklahoma | 0.9 | 1,370,818 | |
North Carolina | 0.9 | 1,360,925 | |
Oregon | 0.8 | 1,307,695 | |
Tennessee | 0.7 | 1,161,972 | |
District of Columbia | 0.7 | 1,077,531 | |
Arkansas | 0.6 | 1,007,407 | |
Other Territory | 0.6 | 867,773 | |
New Mexico | 0.5 | 794,802 | |
Vermont | 0.4 | 699,669 | |
Minnesota | 0.4 | 688,752 | |
Connecticut | 0.4 | 672,381 | |
Guam | 0.4 | 661,530 | |
North Dakota | 0.3 | 544,739 | |
Delaware | 0.3 | 474,295 | |
West Virginia | 0.3 | 473,284 | |
Kansas | 0.3 | 443,509 | |
New Hampshire | 0.2 | 376,264 | |
Rhode Island | 0.2 | 263,080 | |
Mississippi | 0.1 | 228,746 | |
Utah | 0.1 | 196,404 | |
Alaska | 0.1 | 146,794 | |
Nebraska | 0.1 | 97,748 | |
Massachusetts | 0.1 | 84,760 | |
TOTAL MUNICIPAL BONDS | 99.0% | $153,747,643 | |
TOTAL CORPORATE NOTES | 0.5% | $ 835,696 | |
TOTAL INVESTMENTS | 99.5% | $154,583,339 |
165 |
166 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Exchange-Traded Funds | $ 20,767,320 | $ — | $— | $ 20,767,320 | ||||
U.S. Treasury Bills | — | 110,519,719 | — | 110,519,719 | ||||
Repurchase Agreement | — | 649,281 | — | 649,281 |
167 |
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 | $105,376,500 | $ — | $— | $105,376,500 | ||||
Puts | 303,496,680 | — | — | 303,496,680 | ||||
Total Purchased Options | 408,873,180 | — | — | 408,873,180 | ||||
Total Investments | 429,640,500 | 111,169,000 | — | 540,809,500 | ||||
Total | $429,640,500 | $111,169,000 | $— | $540,809,500 |
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 | $ (274,140) | $— | $— | $ (274,140) | ||||
Puts | (35,304,310) | — | — | (35,304,310) | ||||
Total Written Options | (35,578,450) | — | — | (35,578,450) | ||||
Total | $(35,578,450) | $— | $— | $(35,578,450) |
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 | $ 8,274,344 | $ — | $— | $ 8,274,344 | ||||
U.S. Treasury Bills | — | 4,690,007 | — | 4,690,007 | ||||
Repurchase Agreement | — | 169,490 | — | 169,490 | ||||
Purchased Options | ||||||||
Calls | 3,175,130 | — | — | 3,175,130 | ||||
Puts | 7,273,560 | — | — | 7,273,560 | ||||
Total Purchased Options | 10,448,690 | — | — | 10,448,690 | ||||
Total Investments | 18,723,034 | 4,859,497 | — | 23,582,531 | ||||
Total | $18,723,034 | $4,859,497 | $— | $23,582,531 |
168 |
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 | $ (17,850) | $— | $— | $ (17,850) | ||||
Puts | (1,345,160) | — | — | (1,345,160) | ||||
Total Written Options | (1,363,010) | — | — | (1,363,010) | ||||
Total | $(1,363,010) | $— | $— | $(1,363,010) |
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 | $ — | $ 36,852,213 | $— | $ 36,852,213 | ||||
Federal National Mortgage Association | — | 21,908,784 | — | 21,908,784 | ||||
Total Agency Notes | — | 58,760,997 | — | 58,760,997 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 60,479,605 | — | 60,479,605 | ||||
Federal National Mortgage Association | — | 74,119,185 | — | 74,119,185 | ||||
Government National Mortgage Association | — | 362,982 | — | 362,982 | ||||
Total Mortgage-Backed Securities | — | 134,961,772 | — | 134,961,772 | ||||
Corporate Notes | ||||||||
Banking | — | 9,950,846 | — | 9,950,846 | ||||
Beverages, Food & Tobacco | — | 8,662,572 | — | 8,662,572 | ||||
Computer Software & Processing | — | 7,040,511 | — | 7,040,511 | ||||
Electric Utilities | — | 7,409,939 | — | 7,409,939 | ||||
Electronics | — | 6,832,151 | — | 6,832,151 | ||||
Heavy Machinery | — | 3,358,618 | — | 3,358,618 | ||||
Insurance | — | 4,715,357 | — | 4,715,357 | ||||
Media - Broadcasting & Publishing | — | 6,342,190 | — | 6,342,190 | ||||
Oil & Gas | — | 4,057,634 | — | 4,057,634 | ||||
Pharmaceuticals | — | 7,401,719 | — | 7,401,719 | ||||
Transportation | — | 3,620,956 | — | 3,620,956 | ||||
Total Corporate Notes | — | 69,392,493 | — | 69,392,493 | ||||
U.S. Treasury Notes/Bonds | — | 92,458,125 | — | 92,458,125 | ||||
Repurchase Agreement | — | 7,089,946 | — | 7,089,946 | ||||
Investment of Security Lending Collateral | 16,822,512 | — | — | 16,822,512 | ||||
Total Investments | 16,822,512 | 362,663,333 | — | 379,485,845 | ||||
Total | $16,822,512 | $362,663,333 | $— | $379,485,845 |
169 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Corporate Notes | ||||||||
Health Care Services | $— | $ 135,695 | $ — | $ 135,695 | ||||
Lodging | — | — | 700,001* | 700,001 | ||||
Total Corporate Notes | — | 135,695 | 700,001 | 835,696 | ||||
Municipal Bonds | ||||||||
Alabama | — | 3,569,774 | — | 3,569,774 | ||||
Alaska | — | 146,794 | — | 146,794 | ||||
Arizona | — | 6,605,257 | — | 6,605,257 | ||||
Arkansas | — | 1,007,407 | — | 1,007,407 | ||||
California | — | 12,625,103 | — | 12,625,103 | ||||
Colorado | — | 10,468,290 | — | 10,468,290 | ||||
Connecticut | — | 672,381 | — | 672,381 | ||||
Delaware | — | 474,295 | — | 474,295 | ||||
District of Columbia | — | 1,077,531 | — | 1,077,531 | ||||
Florida | — | 11,619,893 | — | 11,619,893 | ||||
Georgia | — | 2,267,314 | — | 2,267,314 | ||||
Guam | — | 661,530 | — | 661,530 | ||||
Idaho | — | 1,636,411 | — | 1,636,411 | ||||
Illinois | — | 7,406,723 | — | 7,406,723 | ||||
Indiana | — | 3,884,954 | — | 3,884,954 | ||||
Kansas | — | 443,509 | — | 443,509 | ||||
Kentucky | — | 1,964,441 | — | 1,964,441 | ||||
Louisiana | — | 1,491,238 | — | 1,491,238 | ||||
Maryland | — | 3,113,449 | — | 3,113,449 | ||||
Massachusetts | — | 84,760 | — | 84,760 | ||||
Michigan | — | 1,977,773 | — | 1,977,773 | ||||
Minnesota | — | 688,752 | — | 688,752 | ||||
Mississippi | — | 228,746 | — | 228,746 | ||||
Missouri | — | 3,193,867 | — | 3,193,867 | ||||
Nebraska | — | 97,748 | — | 97,748 | ||||
Nevada | — | 2,627,849 | — | 2,627,849 | ||||
New Hampshire | — | 376,264 | — | 376,264 | ||||
New Jersey | — | 1,946,494 | — | 1,946,494 | ||||
New Mexico | — | 794,802 | — | 794,802 | ||||
New York | — | 5,914,134 | — | 5,914,134 | ||||
North Carolina | — | 1,360,925 | — | 1,360,925 | ||||
North Dakota | — | 544,739 | — | 544,739 | ||||
Ohio | — | 3,667,262 | — | 3,667,262 | ||||
Oklahoma | — | 1,370,818 | — | 1,370,818 | ||||
Oregon | — | 1,307,695 | — | 1,307,695 | ||||
Other Territory | — | 867,773 | — | 867,773 | ||||
Pennsylvania | — | 5,760,030 | — | 5,760,030 | ||||
Puerto Rico | — | 13,187,871 | — | 13,187,871 | ||||
Rhode Island | — | 263,080 | — | 263,080 | ||||
South Carolina | — | 4,362,419 | — | 4,362,419 | ||||
Tennessee | — | 1,161,972 | — | 1,161,972 | ||||
Texas | — | 9,465,160 | — | 9,465,160 | ||||
Utah | — | 196,404 | — | 196,404 | ||||
Vermont | — | 699,669 | — | 699,669 | ||||
Virginia | — | 7,856,583 | — | 7,856,583 |
170 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Washington | $— | $ 2,690,830 | $ — | $ 2,690,830 | ||||
West Virginia | — | 473,284 | — | 473,284 | ||||
Wisconsin | — | 9,443,646 | 0* ,** | 9,443,646 | ||||
Total Municipal Bonds | — | 153,747,643 | 0 | 153,747,643 | ||||
Centrally Cleared Interest Rate Swap Contracts | — | (21,098) | — | (21,098) | ||||
Total Investments | — | 153,862,240 | 700,001 | 154,562,241 | ||||
Total | $— | $153,862,240 | $700,001 | $154,562,241 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,243,920 | $(1,243,920) | $— | $— | $— |
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. | $11,173,323 | $(11,173,323) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $8,662 | $(8,662) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $12,671 | $(12,671) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $60,121 | $(60,121) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $85,102 | $(85,102) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $149,907 | $(149,907) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,524,545 | $(2,524,545) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $147,871 | $(147,871) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $968,509 | $(968,509) | $— | $— | $— |
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. | $22,709,821 | $(22,709,821) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $214,530 | $(214,530) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $649,281 | $(649,281) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $169,490 | $(169,490) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $7,089,946 | $(7,089,946) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $973,424 | $(973,424) | $— | $— | $— |
173 |
174 |
175 |
176 |
Portfolio | Unlimited (Short-Term) | Unlimited (Long-Term) | ||
Quantitative U.S. Small Cap Equity Portfolio | $ 7,517 | $ — | ||
Quantitative International Equity Portfolio | 1,068,400 | 55,853 | ||
Secured Options Portfolio | 699,238 | 856,319 | ||
Global Secured Options Portfolio* | 4,883,418 | 1,510,931 | ||
Core Fixed Income Portfolio | 3,091,409 | 9,186,597 | ||
Short Term Tax Aware Fixed Income Portfolio | 201,485 | 657,180 | ||
High Yield Municipal Portfolio | 5,574,808 | 5,925,806 |
Quantitative U.S. Long/Short Equity Portfolio | $356,380 |
Quantitative U.S. Total Market Equity Portfolio | 89,076 |
Secured Options Portfolio | 50,362,183 |
Global Secured Options Portfolio | 1,345,630 |
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 | $ — | $ 413,850 | $55,070,213 | $133,287,980 | $ — | $ — | $188,772,043 | |||||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | — | 99,589,631 | 408,608,687 | — | — | 508,198,318 | |||||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 2,926 | 10,855 | 194,905 | — | — | 208,686 |
177 |
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. Small Cap Equity Portfolio | $ — | $ — | $ — | $ 146,487 | $ — | $ (7,517) | $ 138,970 | |||||||
Quantitative International Equity Portfolio | — | 236,274 | — | 707,755 | — | (1,124,253) | (180,224) | |||||||
Responsible ESG U.S. Equity Portfolio | — | 10,485 | 1,832,833 | 2,465,352 | — | — | 4,308,670 | |||||||
Women in Leadership U.S. Equity Portfolio | — | 23,045 | 903,517 | 2,254,845 | — | — | 3,181,407 | |||||||
Quantitative U.S. Long/Short Equity Portfolio | — | 105,609 | 3,870,788 | 19,959,419 | — | — | 23,935,816 | |||||||
Quantitative U.S. Total Market Equity Portfolio | — | 11,901 | 1,977,923 | 10,986,890 | — | — | 12,976,714 | |||||||
Strategic Equity Portfolio | — | 410,024 | 28,822,005 | 82,797,800 | — | — | 112,029,829 | |||||||
Small Cap Equity Portfolio | — | — | 78,471,385 | 85,178,090 | — | — | 163,649,475 | |||||||
Equity Income Portfolio | — | 29,394 | 1,044,516 | 3,888,916 | — | — | 4,962,826 | |||||||
Secured Options Portfolio | — | 43,591 | — | 14,325,871 | (5,030) | (1,555,557) | 12,808,875 | |||||||
Global Secured Options Portfolio | — | 191,115 | 232,692 | (645,178) | — | (6,394,349) (a) | (6,615,720) | |||||||
Core Fixed Income Portfolio | — | 1,021,987 | — | (62,581,597) | — | (12,278,006) | (73,837,616) | |||||||
Short Term Tax Aware Fixed Income Portfolio | 66,260 | — | — | (782,584) | — | (858,665) | (1,574,989) | |||||||
High Yield Municipal Portfolio | 893,901 | — | — | (28,014,462) | — | (11,500,614) | (38,621,175) |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Quantitative U.S. Large Cap Core Equity Portfolio | $ — | $ 9,720,755 | $169,823,897 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 7,652,051 | 144,603,070 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 30,460 | 65,709 | |||
Quantitative U.S. Small Cap Equity Portfolio | — | 13,534 | 115,894 | |||
Quantitative International Equity Portfolio | — | 475,297 | — | |||
Responsible ESG U.S. Equity Portfolio | — | 220,808 | 1,454,175 | |||
Women in Leadership U.S. Equity Portfolio | — | 243,034 | 441,847 | |||
Quantitative U.S. Long/Short Equity Portfolio | — | 1,089,612 | — | |||
Quantitative U.S. Total Market Equity Portfolio | — | 207,152 | — | |||
Strategic Equity Portfolio | — | 941,551 | 13,663,632 | |||
Small Cap Equity Portfolio | — | 14,885,844 | 105,053,697 | |||
Equity Income Portfolio | — | 356,810 | 625,179 | |||
Global Secured Options Portfolio | — | 6,038 | — | |||
Core Fixed Income Portfolio | — | 8,521,384 | — | |||
Short Term Tax Aware Fixed Income Portfolio | 571,873 | 164,070 | — | |||
High Yield Municipal Portfolio | 6,603,851 | 319,498 | — |
178 |
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 | Total distributable earnings | Paid-in capital | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $ (7,404,747) | $ 7,404,747 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | (11,317,591) | 11,317,591 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 166 | (166) | ||
Quantitative U.S. Small Cap Equity Portfolio | 10 | (10) | ||
Responsible ESG U.S. Equity Portfolio | (138,975) | 138,975 | ||
Women in Leadership U.S. Equity Portfolio | (93,410) | 93,410 | ||
Quantitative U.S. Total Market Equity Portfolio | (89,107) | 89,107 | ||
Strategic Equity Portfolio | (3,124,711) | 3,124,711 | ||
Small Cap Equity Portfolio | (9,283,161) | 9,283,161 | ||
Equity Income Portfolio | (103,728) | 103,728 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $ 624,551,465 | $156,205,840 | $ 22,917,860 | $133,287,980 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,522,791,746 | 466,380,468 | 57,771,781 | 408,608,687 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,450,004 | 246,476 | 51,571 | 194,905 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 1,358,943 | 304,837 | 158,350 | 146,487 | ||||
Quantitative International Equity Portfolio | 21,557,150 | 1,808,260 | 1,097,134 | 711,126 | ||||
Responsible ESG U.S. Equity Portfolio | 19,301,565 | 2,893,783 | 428,432 | 2,465,351 | ||||
Women in Leadership U.S. Equity Portfolio | 17,269,488 | 2,721,464 | 466,618 | 2,254,846 | ||||
Quantitative U.S. Long/Short Equity Portfolio | (1,477,642) | 21,193,000 | 1,233,581 | 19,959,419 | ||||
Quantitative U.S. Total Market Equity Portfolio | 25,794,386 | 12,132,762 | 1,145,872 | 10,986,890 | ||||
Strategic Equity Portfolio | 83,275,763 | 83,449,088 | 651,288 | 82,797,800 | ||||
Small Cap Equity Portfolio | 914,873,198 | 214,928,828 | 129,750,737 | 85,178,091 | ||||
Equity Income Portfolio | 14,613,427 | 4,510,664 | 621,748 | 3,888,916 | ||||
Secured Options Portfolio | 490,905,180 | 105,548,113 | 91,222,243 | 14,325,870 | ||||
Global Secured Options Portfolio | 22,864,699 | 862,996 | 1,508,174 | (645,178) | ||||
Core Fixed Income Portfolio | 442,067,442 | 2,440 | 62,584,037 | (62,581,597) | ||||
Short Term Tax Aware Fixed Income Portfolio | 38,308,607 | 219 | 782,804 | (782,585) | ||||
High Yield Municipal Portfolio | 182,576,703 | 351,190 | 28,365,652 | (28,014,462) |
179 |
Equity Contracts Risk | Total | ||
Options Purchased1 | $408,873,180 | $408,873,180 | |
Total Value | $408,873,180 | 408,873,180 |
Equity Contracts Risk | Total | ||
Options Written2 | $(35,578,450) | $(35,578,450) | |
Total Value | $(35,578,450) | $(35,578,450) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $ 277,904,886 | $ 277,904,886 | |
Options Written4 | (217,658,163) | (217,658,163) | |
Total Realized Gain (Loss) | $ 60,246,723 | $ 60,246,723 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $(3,482,954) | $(3,482,954) | |
Options Written6 | (6,285,164) | (6,285,164) | |
Total Change in Appreciation (Depreciation) | $(9,768,118) | $(9,768,118) |
Equity Contracts Risk | Total | ||
Options Purchased7 | 7,739 | 7,739 | |
Options Written7 | (8,831) | (8,831) |
180 |
Equity Contracts Risk | Total | ||
Options Purchased1 | $10,448,690 | $10,448,690 | |
Total Value | $10,448,690 | 10,448,690 |
Equity Contracts Risk | Total | ||
Options Written2 | $(1,363,010) | $(1,363,010) | |
Total Value | $(1,363,010) | $(1,363,010) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $ 8,961,285 | $ 8,961,285 | |
Options Written4 | (6,327,264) | (6,327,264) | |
Total Realized Gain (Loss) | $ 2,634,021 | $ 2,634,021 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $(190,627) | $(190,627) | |
Options Written6 | (363,231) | (363,231) | |
Total Change in Appreciation (Depreciation) | $(553,858) | $(553,858) |
Equity Contracts Risk | Total | ||
Options Purchased7 | 252 | 252 | |
Options Written7 | (926) | (926) |
Interest Contracts Risk | Total | ||
Swap Contracts8 | $49,166 | $49,166 | |
Total Value | $49,166 | 49,166 |
Interest Contracts Risk | Total | ||
Swap Contracts8 | $(70,264) | $(70,264) | |
Total Value | $(70,264) | $(70,264) |
181 |
Interest Contracts Risk | Total | ||
Swap Contracts9 | $(262,165) | $(262,165) | |
Total Realized Gain (Loss) | $(262,165) | $(262,165) |
Interest Contracts Risk | Total | ||
Swap Contracts10 | $(21,098) | $(21,098) | |
Total Change in Appreciation (Depreciation) | $(21,098) | $(21,098) |
Interest Contracts Risk | Total | ||
Swap Contracts7 | 12,844,444 | 12,844,444 |
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 | Amount(s) disclosed represent average notional amounts for swap agreements or average contracts outstanding for purchased options and written options, based on absolute values, which is indicative of volume of this derivative type, for the months that the Portfolio held such derivatives during the year ended October 31, 2023. |
8 | Cumulative appreciation (depreciation) on centrally cleared swap contracts is reported in “Swap contracts” in each applicable Portfolios’s Schedule of Portfolio Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
9 | Statement of Operations location: Amount is included in Net realized gain (loss) on swap contracts. |
10 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of swap contracts. |
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%** |
182 |
Fund Name | Management Fee on Net Assets | |
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% |
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% |
183 |
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% |
Portfolio | Purchases | Sales | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $ 669,936,913 | $ 936,805,271 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,638,981,396 | 2,022,448,637 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,403,926 | 1,367,093 | ||
Quantitative U.S. Small Cap Equity Portfolio | 1,332,289 | 1,310,671 | ||
Quantitative International Equity Portfolio | 19,192,840 | 22,130,809 | ||
Responsible ESG U.S. Equity Portfolio | 20,274,648 | 22,886,003 | ||
Women in Leadership U.S. Equity Portfolio | 17,980,627 | 21,493,532 | ||
Quantitative U.S. Long/Short Equity Portfolio | 83,984,928 | 87,465,140 | ||
Quantitative U.S. Total Market Equity Portfolio | 54,418,743 | 61,084,264 | ||
Strategic Equity Portfolio | 24,723,294 | 67,579,739 | ||
Small Cap Equity Portfolio | 202,091,939 | 329,266,853 | ||
Equity Income Portfolio | 4,236,536 | 7,198,614 | ||
Secured Options Portfolio | — | — | ||
Global Secured Options Portfolio | 8,571,561 | 6,461,383 | ||
Core Fixed Income Portfolio | 12,351,410 | 14,763,143 | ||
Short Term Tax Aware Fixed Income Portfolio | 18,543,725 | 38,190,472 | ||
High Yield Municipal Portfolio | 47,226,768 | 42,128,501 |
184 |
Portfolio | Purchases | Sales | ||
Core Fixed Income Portfolio | $88,660,056 | $27,266,456 | ||
High Yield Municipal Portfolio | — | 3,297 |
Year Ended 10/31/23 | Year Ended 10/31/22 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Advisor | |||||||
Sold | 3,208,730 | $ 70,226,303 | 2,429,893 | $ 68,931,574 | |||
Issued as reinvestment of dividends | 7,035,310 | 147,505,111 | 4,878,722 | 141,210,266 | |||
Redeemed | (13,544,093) | (315,272,678) | (8,629,706) | (238,383,232) | |||
Net Decrease | (3,300,053) | $ (97,541,264) | (1,321,091) | $ (28,241,392) | |||
Quantitative U.S. Large Cap Core Equity Portfolio — Institutional | |||||||
Sold | 3,033,246 | $ 75,546,017 | 938,359 | $ 26,349,978 | |||
Issued as reinvestment of dividends | 709,824 | 14,883,290 | 632,929 | 18,301,778 | |||
Redeemed | (4,275,082) | (92,494,221) | (3,929,590) | (106,588,752) | |||
Net Decrease | (532,012) | $ (2,064,914) | (2,358,302) | $ (61,936,996) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Advisor | |||||||
Sold | 2,090,896 | $ 57,538,385 | 3,948,541 | $ 126,267,379 | |||
Issued as reinvestment of dividends | 3,025,406 | 79,183,065 | 8,443,422 | 285,141,335 | |||
Redeemed | (9,499,093) | (264,609,257) | (12,152,143) | (376,828,707) | |||
Net Increase (Decrease) | (4,382,791) | $(127,887,807) | 239,820 | $ 34,580,007 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Institutional | |||||||
Sold | 4,721,530 | $ 129,866,645 | 24,386,959 | $ 795,673,375 | |||
Issued as reinvestment of dividends | 2,523,062 | 66,121,861 | 2,913,113 | 97,812,096 | |||
Redeemed | (10,856,328) | (301,519,208) | (7,426,101) | (228,639,519) | |||
Net Increase (Decrease) | (3,611,736) | $(105,530,702) | 19,873,971 | $ 664,845,952 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Sold | — | $ — | 928 | $ 12,500 | |||
Issued as reinvestment of dividends | 7,951 | 94,802 | 2,372 | 29,166 | |||
Redeemed | — | — | (59,220) | (656,410) | |||
Net Increase (Decrease) | 7,951 | $ 94,802 | (55,920) | $ (614,744) | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Sold | — | $ — | 920 | $ 12,500 | |||
Issued as reinvestment of dividends | 10,693 | 127,248 | 11,488 | 153,561 | |||
Net Increase | 10,693 | $ 127,248 | 12,408 | $ 166,061 | |||
Quantitative International Equity Portfolio | |||||||
Sold | 75,377 | $ 1,115,767 | 152,283 | $ 2,215,713 | |||
Issued as reinvestment of dividends | 9,788 | 140,907 | 19,338 | 264,791 | |||
Redeemed | (320,999) | (4,412,229) | (944,697) | (13,906,759) | |||
Net Decrease | (235,834) | $ (3,155,555) | (773,076) | $ (11,426,255) |
185 |
Year Ended 10/31/23 | Year Ended 10/31/22 | ||||||
Shares | Amount | Shares | Amount | ||||
Responsible ESG U.S. Equity Portfolio | |||||||
Sold | 149,924 | $ 2,307,590 | 125,489 | $ 2,261,859 | |||
Issued as reinvestment of dividends | 102,564 | 1,569,305 | 158,400 | 2,920,149 | |||
Redeemed | (313,316) | (5,057,277) | (384,689) | (6,608,225) | |||
Net Decrease | (60,828) | $ (1,180,382) | (100,800) | $ (1,426,217) | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Sold | 81,777 | $ 1,153,197 | 165,562 | $ 2,583,025 | |||
Issued as reinvestment of dividends | 44,158 | 607,244 | 296,222 | 4,637,372 | |||
Redeemed | (331,925) | (4,734,593) | (290,686) | (4,651,352) | |||
Net Increase (Decrease) | (205,990) | $ (2,974,152) | 171,098 | $ 2,569,045 | |||
Quantitative U.S. Long/Short Equity Portfolio — Advisor | |||||||
Sold | 21,882 | $ 310,350 | 1,048,989 | $ 14,521,789 | |||
Issued as reinvestment of dividends | 4,670 | 66,595 | — | — | |||
Redeemed | (582,592) | (8,251,777) | (1,938,341) | (26,207,201) | |||
Net Decrease | (556,040) | $ (7,874,832) | (889,352) | $ (11,685,412) | |||
Quantitative U.S. Long/Short Equity Portfolio — Institutional | |||||||
Sold | 55,961 | $ 796,921 | 137,385 | $ 1,881,412 | |||
Issued as reinvestment of dividends | 13,245 | 190,052 | — | — | |||
Redeemed | (96,305) | (1,377,084) | (90,057) | (1,234,120) | |||
Net Increase (Decrease) | (27,099) | $ (390,111) | 47,328 | $ 647,292 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Sold | 181,412 | $ 3,259,094 | 1,354,988 | $ 26,424,079 | |||
Issued as reinvestment of dividends | 8,890 | 161,413 | 286,877 | 5,553,388 | |||
Redeemed | (554,199) | (10,123,620) | (750,418) | (13,649,622) | |||
Net Increase (Decrease) | (363,897) | $ (6,703,113) | 891,447 | $ 18,327,845 | |||
Strategic Equity Portfolio | |||||||
Sold | 192,152 | $ 5,319,509 | 106,633 | $ 3,165,189 | |||
Issued as reinvestment of dividends | 500,642 | 13,049,989 | 763,258 | 24,516,049 | |||
Redeemed | (1,719,301) | (47,673,258) | (1,441,599) | (42,291,383) | |||
Net Decrease | (1,026,507) | $ (29,303,760) | (571,708) | $ (14,610,145) | |||
Small Cap Equity Portfolio — Advisor | |||||||
Sold | 1,324,515 | $ 41,022,971 | 1,324,335 | $ 45,922,789 | |||
Issued as reinvestment of dividends | 1,617,598 | 47,361,617 | 607,337 | 21,396,322 | |||
Redeemed | (2,585,518) | (79,894,764) | (2,075,225) | (71,530,054) | |||
Net Increase (Decrease) | 356,595 | $ 8,489,824 | (143,553) | $ (4,210,943) | |||
Small Cap Equity Portfolio — Institutional | |||||||
Sold | 5,177,720 | $ 169,857,804 | 8,037,573 | $ 302,799,384 | |||
Issued as reinvestment of dividends | 1,032,074 | 32,367,932 | 428,691 | 15,995,496 | |||
Redeemed | (6,754,403) | (220,745,477) | (14,209,188) | (500,935,680) | |||
Net Decrease | (544,609) | $ (18,519,741) | (5,742,924) | $(182,140,800) | |||
Equity Income Portfolio | |||||||
Sold | 106,842 | $ 1,577,914 | 136,724 | $ 2,026,389 | |||
Issued as reinvestment of dividends | 45,341 | 659,102 | 66,619 | 1,028,822 | |||
Redeemed | (318,972) | (4,613,366) | (101,565) | (1,474,977) | |||
Net Increase (Decrease) | (166,789) | $ (2,376,350) | 101,778 | $ 1,580,234 | |||
Secured Options Portfolio — Advisor | |||||||
Sold | 492,317 | $ 6,274,922 | 1,219,393 | $ 15,992,808 | |||
Issued as reinvestment of dividends | — | — | 808,851 | 10,595,950 | |||
Redeemed | (2,222,291) | (27,090,955) | (2,020,911) | (25,810,946) | |||
Net Increase (Decrease) | (1,729,974) | $ (20,816,033) | 7,333 | $ 777,812 |
186 |
Year Ended 10/31/23 | Year Ended 10/31/22 | ||||||
Shares | Amount | Shares | Amount | ||||
Secured Options Portfolio — Institutional | |||||||
Sold | 4,959,749 | $ 63,262,081 | 18,204,948 | $ 233,763,186 | |||
Issued as reinvestment of dividends | — | — | 2,730,613 | 36,207,927 | |||
Redeemed | (6,808,079) | (85,964,397) | (6,980,155) | (91,273,996) | |||
Net Increase (Decrease) | (1,848,330) | $ (22,702,316) | 13,955,406 | $ 178,697,117 | |||
Global Secured Options Portfolio | |||||||
Sold | 765,860 | $ 3,595,496 | 3,310,207 | $ 15,746,872 | |||
Issued as reinvestment of dividends | 113 | 549 | 48,018 | 232,886 | |||
Redeemed | (794,530) | (3,714,740) | (1,677,037) | (8,178,013) | |||
Net Increase (Decrease) | (28,557) | $ (118,695) | 1,681,188 | $ 7,801,745 | |||
Core Fixed Income Portfolio | |||||||
Sold | 13,735,617 | $ 127,604,558 | 6,750,991 | $ 68,365,232 | |||
Issued as reinvestment of dividends | 87,746 | 826,692 | 89,556 | 930,832 | |||
Redeemed | (7,486,150) | (70,323,354) | (10,134,141) | (101,979,440) | |||
Net Increase (Decrease) | 6,337,213 | $ 58,107,896 | (3,293,594) | $ (32,683,376) | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Sold | 278,027 | $ 2,713,393 | 2,588,172 | $ 25,437,020 | |||
Issued as reinvestment of dividends | 11,230 | 110,001 | 5,276 | 51,991 | |||
Redeemed | (2,390,062) | (23,408,095) | (2,279,488) | (22,464,347) | |||
Net Increase (Decrease) | (2,100,805) | $ (20,584,701) | 313,960 | $ 3,024,664 | |||
High Yield Municipal Portfolio | |||||||
Sold | 7,579,728 | $ 70,429,786 | 3,292,275 | $ 34,100,462 | |||
Issued as reinvestment of dividends | 19,737 | 183,216 | 201,393 | 2,217,177 | |||
Redeemed | (7,288,982) | (67,358,388) | (11,422,712) | (110,478,751) | |||
Net Increase (Decrease) | 310,483 | $ 3,254,614 | (7,929,044) | $ (74,161,112) |
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) | 5 | 86% | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 2 | 73% | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) | 2 | 89% | ||
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 | 2 | 19% | ||
Women in Leadership U.S. Equity Portfolio | 6 | 51% | ||
Quantitative International Equity Portfolio | 3 | 36% | ||
Quantitative U.S. Long/Short Equity Portfolio (Institutional Class) | 3 | 41% | ||
Quantitative U.S. Total Market Equity Portfolio | 2 | 72% | ||
Small Cap Equity Portfolio (Advisor Class) | 3 | 55% | ||
Small Cap Equity Portfolio (Institutional Class) | 2 | 90% | ||
Equity Income Portfolio | 3 | 23% | ||
Secured Options Portfolio (Advisor Class) | 3 | 61% | ||
Secured Options Portfolio (Institutional Class) | 4 | 98% | ||
Global Secured Options Portfolio | 2 | 99% | ||
Short Term Tax Aware Fixed Income Portfolio | 3 | 33% |
187 |
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 Growth Equity Portfolio | $ 1,480,335 | $ 1,477,476 | $ — | 0.08 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 81,315 | 47,576 | 35,891 | 5.38 | ||||
Quantitative International Equity Portfolio | 154,266 | 159,978 | — | 0.68 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 794,629 | 844,020 | — | 0.95 | ||||
Quantitative U.S. Total Market Equity Portfolio | 828,794 | 880,308 | — | 1.76 | ||||
Small Cap Equity Portfolio | 55,268,483 | 46,063,709 | 9,691,414 | 5.52 | ||||
Core Fixed Income Portfolio | 16,464,481 | 16,822,512 | — | 4.31 |
Amount Outstanding at October 31, 2023 | Average Borrowings* | Days Outstanding* | Average Rate | Maximum Borrowings* | |||||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $ 7,282,609 | 23 | 5.60% | $18,500,000 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 15,857,143 | 14 | 5.76 | 51,000,000 | ||||
Quantitative International Equity Portfolio | — | 500,000 | 3 | 5.20 | 500,000 | ||||
Responsible ESG U.S. Equity Portfolio | — | 833,333 | 3 | 5.50 | 1,000,000 | ||||
Quantitative U.S. Long/Short Equity Portfolio | — | 1,750,000 | 8 | 5.36 | 2,500,000 | ||||
Quantitative U.S. Total Market Equity Portfolio | — | 500,000 | 6 | 6.44 | 500,000 | ||||
Strategic Equity Portfolio | — | 2,500,000 | 3 | 6.20 | 2,500,000 | ||||
Small Cap Equity Portfolio | — | 7,600,000 | 5 | 5.70 | 28,000,000 | ||||
Equity Income Portfolio | — | 785,714 | 7 | 5.84 | 1,000,000 | ||||
Secured Options Portfolio | — | 5,833,333 | 3 | 5.30 | 8,000,000 | ||||
Global Secured Options Portfolio | — | 500,000 | 2 | 5.20 | 500,000 | ||||
Short Term Tax Aware Fixed Income Portfolio | — | 1,500,000 | 1 | 5.20 | 1,500,000 | ||||
High Yield Municipal Portfolio | — | 1,111,111 | 18 | 6.48 | 2,500,000 |
188 |
189 |
December 19, 2023
190 |
Muni Intermediate Portfolio | |
Assets: | |
Investments at value1 | $ 310,239,517 |
Cash | 1,550,785 |
Receivable for fund shares sold | 190,229 |
Interest receivable | 4,139,676 |
Total assets | 316,120,207 |
Liabilities: | |
Payable for when-issued securities purchased | 4,809,000 |
Payable for fund shares redeemed | 2,032 |
Payable for Trustees’ fees | 9,000 |
Payable for Shareholder Servicing fees | 40,850 |
Accrued expenses | 106,659 |
Total liabilities | 4,967,541 |
Net Assets | $311,152,666 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $ 30,764 |
Paid-in capital in excess of par value | 334,571,255 |
Total distributable earnings | (23,449,353) |
Total Net Assets | $311,152,666 |
Shares Outstanding | 30,764,147 |
Net Asset Value Per Share | $ 10.11 |
1 Investments at cost | $322,188,601 |
191 |
Muni Intermediate Portfolio | |
Investment income: | |
Interest | $ 8,226,597 |
Total investment income | 8,226,597 |
Expenses: | |
Administration, transfer agent and custody fees | 162,936 |
Professional fees | 65,492 |
Shareholder report expenses | 17,239 |
Shareholder servicing fees | 485,731 |
Trustees’ fees and expenses | 37,281 |
Registration and filing fees | 13,346 |
Other expenses | 33,253 |
Total expenses | 815,278 |
Net investment income | 7,411,319 |
Realized and unrealized loss: | |
Net realized loss on: | |
Investment transactions | (2,002,952) |
Net change in unrealized loss on: | |
Investments | (1,815,554) |
Net realized and unrealized loss | (3,818,506) |
Net increase in net assets resulting from operations | $ 3,592,813 |
192 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $ 7,411,319 |
Net realized loss on: | |
Investment transactions | (2,002,952) |
Net change in unrealized loss on: | |
Investments | (1,815,554) |
Net increase in net assets resulting from operations | 3,592,813 |
Distributions from earnings | (7,111,514) |
Net increase in net assets from capital share transactions (See note 4) | 92,763,873 |
Net increase in net assets | 89,245,172 |
NET ASSETS: | |
Beginning of year | 221,907,494 |
End of year | $311,152,666 |
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 |
193 |
Muni Intermediate Portfolio | |||||||||
For the Year Ended October 31, | |||||||||
2023 1 | 2022 1 | 2021 1 | 2020 1 | 2019 1 | |||||
Net asset value, beginning of year | $ 10.13 | $ 11.19 | $ 11.41 | $ 11.25 | $ 10.73 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.24 | 0.16 | 0.16 | 0.20 | 0.22 | ||||
Net realized and unrealized gain (loss) on investments | (0.03) | (0.99) | (0.09) | 0.21 | 0.52 | ||||
Total from investment operations | 0.21 | (0.83) | 0.07 | 0.41 | 0.74 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.23) | (0.16) | (0.17) | (0.21) | (0.22) | ||||
Net realized capital gains | — | (0.07) | (0.12) | (0.04) | — | ||||
Total distributions | (0.23) | (0.23) | (0.29) | (0.25) | (0.22) | ||||
Net asset value, end of year | $ 10.11 | $ 10.13 | $ 11.19 | $ 11.41 | $ 11.25 | ||||
Total return | 2.02% | (7.51)% | 0.60% | 3.64% | 6.90% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $311,153 | $221,907 | $336,064 | $321,939 | $311,319 | ||||
Ratio of operating expenses to average net assets | 0.25% | 0.25% | 0.24% | 0.25% | 0.24% | ||||
Ratio of net investment income to average net assets | 2.29% | 1.52% | 1.45% | 1.80% | 1.94% | ||||
Portfolio turnover rate | 47% | 61% | 31% | 35% | 34% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
194 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 99.7% | |||
Alabama — 1.3% | |||
$3,000,000 | Energy Southeast A Cooperative District, AL, Revenue Bonds, Series A-1, 5.500% due 11/1/531 | $ 3,050,977 | |
1,000,000 | Energy Southeast A Cooperative District, AL, Revenue Bonds, Series B-1, 5.750% due 4/1/541 | 1,034,397 | |
4,085,374 | |||
Arizona — 3.9% | |||
5,550,000 | City of Mesa, AZ, Utility System Revenue, Revenue Bonds, Refunding, 4.000% due 7/1/35 | 5,320,700 | |
1,000,000 | Maricopa County Unified School District No. 69 Paradise Valley, AZ, General Obligation Unlimited, Series D, 5.000% due 7/1/35 | 1,076,043 | |
3,500,000 | Salt River Project Agricultural Improvement and Power District, AZ, Revenue Bonds, Refunding, 5.000% due 1/1/28 | 3,685,380 | |
2,015,000 | Yuma Municipal Property Corp., AZ, Road & Excise Tax, Revenue Bonds, Refunding, 5.000% due 7/1/26 | 2,048,588 | |
12,130,711 | |||
Colorado — 1.5% | |||
1,000,000 | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, AMT, Series D, 5.000% due 11/15/24 | 1,004,848 | |
1,195,000 | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, Series A, 5.000% due 11/15/24 | 1,201,635 | |
1,020,000 | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, Series C, 5.000% due 11/15/29 | 1,088,543 | |
1,280,000 | Colorado Housing and Finance Authority, Revenue Bonds, Series B, 3.750% due 5/1/50 | 1,240,791 | |
4,535,817 | |||
Connecticut — 1.4% | |||
1,310,000 | Connecticut Housing Finance Authority, Housing Finance Mortgage Program, Revenue Bonds, Refunding, Series F-1, 3.500% due 11/15/43 | 1,262,399 | |
750,000 | State of Connecticut, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/33 | 821,551 | |
1,100,000 | State of Connecticut, General Obligation Unlimited, Refunding, Series D, 5.000% due 9/15/27 | 1,150,207 | |
1,000,000 | State of Connecticut, Special Tax Revenue, Revenue Bonds, Series A, 5.000% due 5/1/33 | 1,064,650 | |
4,298,807 | |||
Delaware — 1.0% | |||
1,000,000 | Delaware River & Bay Authority, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/27 | 1,001,539 | |
2,000,000 | State of Delaware, General Obligation Unlimited, 5.000% due 2/1/26 | 2,057,023 | |
3,058,562 | |||
District Of Columbia — 2.5% | |||
1,700,000 | District of Columbia, DC, General Obligation Unlimited, Refunding, Series A, 5.000% due 6/1/33 | 1,755,782 | |
4,305,000 | District of Columbia, DC, Revenue Bonds, Series A, 5.000% due 7/1/36 | 4,613,601 | |
1,250,000 | Washington Metropolitan Area Transit Authority Dedicated Revenue, DC, Revenue Bonds, 5.000% due 7/15/27 | 1,301,597 | |
7,670,980 |
195 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — 7.6% | |||
$2,820,000 | Central Florida Expressway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | $ 2,877,349 | |
City of Lakeland, FL, Department of Electric Utilities, Revenue Bonds, Refunding: | |||
2,750,000 | 5.000% due 10/1/25 | 2,799,246 | |
2,500,000 | 5.000% due 10/1/35 | 2,653,112 | |
1,375,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/25 | 1,398,101 | |
2,610,000 | County of Miami-Dade, FL, Water and Sewer System Revenue, Revenue Bonds, Refunding, Series B, 4.000% due 10/1/35 | 2,456,074 | |
1,000,000 | Duval County Public Schools, FL, Certificate Participation, Series A, (AGMC Insured), 5.000% due 7/1/29 | 1,056,590 | |
2,375,000 | Florida Insurance Assistance Interlocal Agency, Inc., Revenue Bonds, Series A-1, 5.000% due 9/1/26 | 2,408,851 | |
1,500,000 | Manatee County School District, FL, Certificate Participation, Series A, (AGMC Insured), 5.000% due 7/1/34 | 1,606,654 | |
1,025,000 | School District of Broward County, FL, Certificate Participation, Refunding, Series A, 5.000% due 7/1/27 | 1,049,656 | |
1,775,000 | School District of Broward County, FL, Certificate Participation, Refunding, Series C, 5.000% due 7/1/25 | 1,801,728 | |
2,400,000 | St Lucie County School Board, FL, Certificate Participation, Series A, (AGMC Insured), 5.000% due 7/1/34 | 2,566,692 | |
1,000,000 | Volusia County School Board, FL, Certificate Participation, 5.000% due 8/1/24 | 1,006,062 | |
23,680,115 | |||
Georgia — 2.0% | |||
2,000,000 | City of Atlanta, GA, General Obligation Limited, Prerefunded 12/01/24 @ 100, 4.500% due 12/1/29 | 2,013,929 | |
1,000,000 | Main Street Natural Gas, Inc., GA, Revenue Bonds, Series C, 5.000% due 9/1/531 | 993,005 | |
2,000,000 | Main Street Natural Gas, Inc., GA, Revenue Bonds, Series E-1, 5.000% due 12/1/531 | 1,984,816 | |
1,170,000 | Municipal Electric Authority of Georgia, Project No.1, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/30 | 1,216,687 | |
6,208,437 | |||
Hawaii — 2.4% | |||
1,755,000 | City & County Honolulu, HI, Wastewater System Revenue, Revenue Bonds, Series A, 4.000% due 7/1/30 | 1,746,597 | |
1,250,000 | City & County of Honolulu, HI, General Obligation Unlimited, Series B, 5.000% due 9/1/26 | 1,292,012 | |
1,050,000 | City & County of Honolulu, HI, General Obligation Unlimited, Series D, 5.000% due 8/1/26 | 1,084,104 | |
3,405,000 | State of Hawaii, General Obligation Unlimited, Refunding, Series EY, 5.000% due 10/1/27 | 3,468,014 | |
7,590,727 | |||
Illinois — 1.0% | |||
2,000,000 | Chicago O’Hare International Airport, IL, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/32 | 1,986,887 | |
1,000,000 | Illinois Finance Authority, Revenue Bonds, Refunding, Series C, 5.000% due 2/15/27 | 1,028,537 | |
3,015,424 | |||
Indiana — 0.3% | |||
1,025,000 | Indiana Municipal Power Agency, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,034,026 |
196 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Iowa — 0.3% | |||
$1,000,000 | Iowa Finance Authority, Revenue Bonds, Refunding, 5.000% due 8/1/35 | $ 1,088,311 | |
Kentucky — 0.3% | |||
1,000,000 | Louisville & Jefferson County Metropolitan Government, KY, Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/39 | 993,336 | |
Maryland — 1.4% | |||
2,000,000 | State of Maryland, General Obligation Unlimited, Series A, 5.000% due 6/1/33 | 2,194,822 | |
2,000,000 | State of Maryland, General Obligation Unlimited, Series B, 5.000% due 8/1/24 | 2,018,155 | |
4,212,977 | |||
Massachusetts — 1.3% | |||
2,850,000 | Commonwealth of Massachusetts, General Obligation Limited, Series C, 5.000% due 5/1/30 | 2,850,770 | |
1,000,000 | Massachusetts Development Finance Agency, Revenue Bonds, 5.000% due 10/1/27 | 1,051,459 | |
3,902,229 | |||
Michigan — 3.7% | |||
1,500,000 | Michigan Finance Authority, Revenue Bonds, Hospital Revenue Refunding Bonds, Series 2022 A, 5.000% due 4/15/28 | 1,555,202 | |
715,000 | Michigan Finance Authority, Revenue Bonds, Series 2014D, (AGMC Insured), 5.000% due 7/1/24 | 717,946 | |
1,160,000 | Michigan State Housing Development Authority, Revenue Bonds, AMT, Series B, 3.500% due 6/1/47 | 1,137,141 | |
2,000,000 | Michigan State University, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/29 | 2,128,866 | |
2,650,000 | University of Michigan, Revenue Bonds, Revenue Bonds, Refunding, Series A, 5.000% due 4/1/33 | 2,734,174 | |
3,200,000 | University of Michigan, Revenue Bonds, Series D-1, 3.900% due 12/1/241 | 3,200,000 | |
11,473,329 | |||
Minnesota — 2.7% | |||
3,710,000 | Metropolitan Council, MN, Minneapolis St. Paul Metropolitan Area, General Obligation Unlimited, Series B, 5.000% due 12/1/23 | 3,713,335 | |
1,255,000 | Minnesota Housing Finance Agency, Revenue Bonds, Refunding, Series E, (GNMA / FNMA / FHLMC Insured), 4.000% due 1/1/47 | 1,240,458 | |
1,800,000 | State of Minnesota, General Obligation Unlimited, Series A, 5.000% due 8/1/32 | 1,922,998 | |
1,670,000 | Western Minnesota Municipal Power Agency, Revenue Bonds, Prerefunded, Series A, Prerefunded 1/01/24 @ 100, 5.000% due 1/1/46 | 1,672,875 | |
8,549,666 | |||
Missouri — 1.1% | |||
2,000,000 | City of Kansas City, MO, Sanitary Sewer System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 2,027,962 | |
1,620,000 | Missouri Housing Development Commission, Single Family Mortgage, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 11/1/50 | 1,554,831 | |
3,582,793 |
197 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Nebraska — 0.9% | |||
$2,500,000 | Omaha Public Power District, NE, Revenue Bonds, Refunding, Series B, 5.000% due 2/1/332 | $ 2,749,524 | |
New Jersey — 2.8% | |||
6,000,000 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Series B, 3.750% due 7/1/431 | 6,000,000 | |
1,000,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Refunding, Series-AA, 5.000% due 6/15/32 | 1,056,635 | |
2,000,000 | State of New Jersey, General Obligation Unlimited, 2.000% due 6/1/30 | 1,649,552 | |
8,706,187 | |||
New Mexico — 1.7% | |||
1,130,000 | Albuquerque Municipal School District No 12, NM, General Obligation Unlimited, Series A, 5.000% due 8/1/29 | 1,201,832 | |
835,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 1/1/51 | 799,451 | |
730,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series F, Class I Bond, (GNMA / FNMA / FHLMC Insured), 3.500% due 7/1/50 | 698,801 | |
2,500,000 | State of New Mexico, Severance Tax Permanent Fund, Revenue Bonds, Series B, 5.000% due 7/1/28 | 2,641,218 | |
5,341,302 | |||
New York — 14.5% | |||
1,510,000 | City of New York, NY, General Obligation Unlimited, Refunding, Series C, 5.000% due 8/1/25 | 1,540,524 | |
1,500,000 | Long Island Power Authority, NY, Revenue Bonds, Refunding, Series F, 5.000% due 9/1/33 | 1,646,587 | |
1,000,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, (AGMC Insured), (SOFR*0.67+0.55%), 4.108% due 11/1/323 | 999,727 | |
1,295,000 | New York City Municipal Water Finance Authority, NY, Revenue Bonds, 5.000% due 6/15/28 | 1,337,953 | |
1,315,000 | New York City Transitional Finance Authority, NY, Future Tax Secured Revenue, Revenue Bonds, 5.000% due 5/1/29 | 1,342,557 | |
1,650,000 | New York City Transitional Finance Authority, NY, Future Tax Secured Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 11/1/26 | 1,706,443 | |
1,160,000 | New York City Transitional Finance Authority, NY, Future Tax Secured Revenue, Revenue Bonds, Refunding, Subseries F-1, 5.000% due 11/1/26 | 1,199,681 | |
2,275,000 | New York City Transitional Finance Authority, NY, Future Tax Secured Revenue, Revenue Bonds, Subseries E-1, 5.000% due 2/1/30 | 2,317,574 | |
1,930,000 | New York City Transitional Finance Authority, NY, Future Tax Secured Revenue, Revenue Bonds, Subseries F-1, 5.000% due 5/1/31 | 1,982,007 | |
1,000,000 | New York State Dormitory Authority, Revenue Bonds, 5.000% due 7/1/35 | 1,047,558 | |
4,470,000 | New York State Dormitory Authority, Revenue Bonds, Refunding, 5.000% due 8/1/32 | 4,838,319 | |
1,035,000 | New York State Dormitory Authority, Revenue Bonds, Refunding, Series A-2, 5.000% due 9/15/30 | 1,097,445 | |
2,870,000 | New York State Dormitory Authority, Revenue Bonds, Refunding, Series D, 5.000% due 2/15/30 | 2,931,032 | |
2,000,000 | New York State Dormitory Authority, Revenue Bonds, Refunding, Series E, 5.000% due 3/15/31 | 2,140,566 |
198 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — (Continued) | |||
$1,000,000 | New York State Dormitory Authority, Revenue Bonds, Series A, (AGM State Aid withholding), 5.000% due 10/1/27 | $ 1,043,286 | |
1,500,000 | New York State Dormitory Authority, Revenue Bonds, Series A, (MBIA Insured), 5.000% due 10/1/32 | 1,662,531 | |
New York State Thruway Authority, Highway Revenue Tolls, Revenue Bonds, Refunding, Series K: | |||
1,000,000 | 5.000% due 1/1/31 | 1,003,952 | |
1,200,000 | 5.000% due 1/1/32 | 1,196,616 | |
1,135,000 | New York State Thruway Authority, Personal Income Tax Revenue, Revenue Bonds, Series A, 4.000% due 3/15/36 | 1,090,440 | |
3,000,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Refunding, 5.000% due 9/15/28 | 3,178,662 | |
1,025,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Refunding, Series A, 5.000% due 3/15/28 | 1,071,804 | |
1,400,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Series A, 5.000% due 3/15/35 | 1,479,985 | |
1,700,000 | Port Authority of New York & New Jersey, Revenue Bonds, Refunding, Series 205, 5.000% due 11/15/33 | 1,752,363 | |
2,000,000 | Port Authority of New York & New Jersey, Revenue Bonds, Refunding, Series 231, 5.000% due 8/1/27 | 2,036,066 | |
1,615,000 | Triborough Bridge & Tunnel Authority, NY, Revenue Bonds, Refunding, 5.000% due 11/15/28 | 1,706,962 | |
1,700,000 | Triborough Bridge & Tunnel Authority, NY, Revenue Bonds, Refunding, Series C, 5.000% due 11/15/35 | 1,829,241 | |
45,179,881 | |||
North Carolina — 0.5% | |||
1,370,000 | State of North Carolina, Revenue Bonds, Series A, 5.000% due 5/1/26 | 1,411,339 | |
North Dakota — 0.8% | |||
2,310,000 | North Dakota Public Finance Authority, Revenue Bonds, Series A, 5.000% due 10/1/29 | 2,428,552 | |
Ohio — 0.4% | |||
1,265,000 | Ohio Housing Finance Agency, Residential Mortgage, Revenue Bonds, Series D, (GNMA / FNMA / FHLMC Insured), 4.000% due 3/1/48 | 1,243,422 | |
Oklahoma — 0.6% | |||
2,000,000 | Grand River Dam Authority, OK, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/24 | 2,011,884 | |
Oregon — 2.0% | |||
State of Oregon Department of Transportation, Revenue Bonds, Series A: | |||
4,725,000 | 4.000% due 11/15/38 | 4,348,772 | |
1,900,000 | 5.000% due 11/15/39 | 1,989,993 | |
6,338,765 | |||
Pennsylvania — 4.4% | |||
1,000,000 | Allegheny County Sanitary Authority, PA, Revenue Bonds, Refunding, (BAM Insured), 5.000% due 12/1/30 | 1,014,325 | |
2,000,000 | Commonwealth Financing Authority, PA, Revenue Bonds, 5.000% due 6/1/25 | 2,020,699 | |
1,200,000 | Commonwealth of Pennsylvania, General Obligation Unlimited, Refunding, Series 1, 5.000% due 1/1/27 | 1,246,100 | |
1,500,000 | Commonwealth of Pennsylvania, General Obligation Unlimited, Series 2, 5.000% due 9/15/25 | 1,532,735 | |
2,500,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, 5.000% due 11/1/31 | 2,571,962 |
199 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
Montgomery County Higher Education & Health Authority, PA, Revenue Bonds, Refunding: | |||
$1,850,000 | 5.000% due 9/1/28 | $ 1,895,753 | |
1,000,000 | 5.000% due 9/1/30 | 1,016,461 | |
995,000 | Pennsylvania Housing Finance Agency, Single Family Mortgage Revenue, Revenue Bonds, Series 2019-131A, 3.500% due 4/1/49 | 967,810 | |
1,250,000 | Pennsylvania State University, Revenue Bonds, Series A, 5.000% due 9/1/31 | 1,323,372 | |
13,589,217 | |||
Rhode Island — 0.5% | |||
1,600,000 | State of Rhode Island, State & Providence Plantations, General Obligation Unlimited, Refunding, Series A, 5.000% due 8/1/24 | 1,614,052 | |
South Carolina — 2.9% | |||
2,920,000 | Beaufort County School District, SC, General Obligation Unlimited, Series D, 5.000% due 3/1/24 | 2,930,633 | |
1,500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/34 | 1,504,862 | |
1,500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A(Power), 4.000% due 12/1/33 | 1,386,852 | |
3,060,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/24 | 3,084,102 | |
8,906,449 | |||
Tennessee — 2.5% | |||
1,380,000 | County of Hamilton, TN, General Obligation Unlimited, Series A, 5.000% due 4/1/25 | 1,403,180 | |
2,580,000 | County of Williamson, TN, General Obligation Unlimited, 5.000% due 4/1/35 | 2,796,788 | |
950,000 | Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd, TN, Revenue Bonds, 5.000% due 5/1/27 | 979,551 | |
2,445,000 | Metropolitan Government Nashville & Davidson County Sports Authority, TN, Revenue Bonds, Series A, (AGMC Insured), 5.000% due 7/1/34 | 2,638,787 | |
7,818,306 | |||
Texas — 19.3% | |||
1,500,000 | Austin Independent School District, TX, General Obligation Unlimited, 5.000% due 8/1/24 | 1,512,511 | |
1,110,000 | Austin Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/1/30 | 1,162,925 | |
2,160,000 | Beaumont Independent School District, TX, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 2/15/24 | 2,165,335 | |
3,500,000 | Board of Regents of the University of Texas System, TX, Revenue Bonds, Series D, 5.000% due 8/15/25 | 3,574,761 | |
2,500,000 | Board of Regents of the University of Texas System, TX, Revenue Bonds, Series J, 5.000% due 8/15/28 | 2,579,314 | |
1,965,000 | City of Austin, TX, Electric Utility Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 11/15/32 | 1,992,155 | |
1,000,000 | City of Dallas, TX, Waterworks and Sewer System Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 10/1/33 | 1,074,185 | |
1,100,000 | City of Dallas, TX, Waterworks and Sewer System Revenue, Revenue Bonds, Series C, 4.000% due 10/1/33 | 1,083,391 | |
1,090,000 | City of Garland, TX, Electric Utility System Revenue, Revenue Bonds, (AGMC Insured), 5.000% due 3/1/33 | 1,155,518 |
200 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
$1,805,000 | City of Houston, TX, Airport System Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/29 | $ 1,885,969 | |
1,010,000 | City of Houston, TX, Combined Utility System Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 11/15/28 | 1,037,682 | |
1,000,000 | City of San Antonio, TX, Electric and Gas Systems Revenue, Revenue Bonds, Refunding, 5.000% due 2/1/27 | 1,033,969 | |
1,750,000 | County of Harris, TX, General Obligation Limited, Series A, 5.000% due 10/1/25 | 1,785,546 | |
1,300,000 | County of Harris, TX, Revenue Bonds, Series A, 5.000% due 8/15/24 | 1,310,321 | |
4,250,000 | Dallas Fort Worth International Airport, TX, Revenue Bonds, Refunding, Series B, 5.000% due 11/1/32 | 4,558,578 | |
5,000,000 | Dallas Independent School District, TX, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 2/15/24 | 5,015,933 | |
Harris County Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Refunding, Children’s Hospital Project: | |||
1,850,000 | 5.000% due 10/1/26 | 1,877,707 | |
1,000,000 | 5.000% due 10/1/27 | 1,014,080 | |
2,500,000 | Lake Travis Independent School District, TX, General Obligation Unlimited, Refunding, 5.000% due 2/15/24 | 2,506,748 | |
2,000,000 | Lower Colorado River Authority, TX, Revenue Bonds, Refunding, 5.000% due 5/15/25 | 2,030,252 | |
1,000,000 | North Texas Tollway Authority, Revenue Bonds, Refunding, 5.000% due 1/1/32 | 1,034,016 | |
North Texas Tollway Authority, Revenue Bonds, Refunding, Series A: | |||
2,000,000 | 5.000% due 1/1/272 | 2,068,582 | |
4,000,000 | 5.000% due 1/1/30 | 4,017,552 | |
2,175,000 | Northside Independent School District, TX, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/30 | 2,287,223 | |
3,160,000 | Round Rock Independent School District, TX, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/1/24 | 3,186,123 | |
1,000,000 | San Antonio Independent School District, TX, General Obligation Unlimited, Series 2022, (PSF Guaranteed), 5.000% due 8/15/24 | 1,009,100 | |
1,500,000 | San Antonio Water System, TX, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/28 | 1,571,509 | |
1,225,000 | San Marcos Consolidated Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/15/32 | 1,327,258 | |
3,000,000 | Texas Water Development Board, Revenue Bonds, 5.000% due 8/1/32 | 3,111,789 | |
59,970,032 | |||
Utah — 0.3% | |||
Intermountain Power Agency, UT, Revenue Bonds, Series A: | |||
500,000 | 5.000% due 7/1/36 | 531,825 | |
500,000 | 5.000% due 7/1/37 | 528,248 | |
1,060,073 | |||
Virginia — 3.0% | |||
1,670,000 | Virginia College Building Authority, Revenue Bonds, 5.000% due 9/1/26 | 1,728,854 | |
4,000,000 | Virginia College Building Authority, Revenue Bonds, Refunding, Series B (State Intercept), 5.000% due 9/1/26 | 4,090,781 | |
Virginia College Building Authority, Revenue Bonds, Series A: | |||
1,000,000 | 4.000% due 2/1/29 | 1,005,763 | |
2,595,000 | 5.000% due 2/1/31 | 2,655,882 | |
9,481,280 |
201 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Washington — 6.0% | |||
$1,000,000 | City of Bellevue, WA, General Obligation Limited, Refunding, 4.000% due 12/1/35 | $ 974,094 | |
2,000,000 | City of Everett, WA, Water & Sewer Revenue, Revenue Bonds, Refunding, 5.000% due 12/1/24 | 2,024,833 | |
1,990,000 | County of King, WA, General Obligation Limited, Series A, 5.000% due 1/1/30 | 2,135,165 | |
1,205,000 | Grays Harbor County Public Utility District No. 1, WA, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,217,115 | |
500,000 | King County School District No. 403 Renton, WA, General Obligation Unlimited, (School Bond Guaranty), 5.000% due 12/1/25 | 511,698 | |
3,600,000 | King County School District No. 405 Bellevue, WA, General Obligation Unlimited, (School Bond Guaranty), 5.000% due 12/1/25 | 3,603,029 | |
1,500,000 | Port of Seattle, WA, Revenue Bonds, Refunding, Series B, 5.000% due 3/1/35 | 1,504,560 | |
2,500,000 | State of Washington, General Obligation Unlimited, Series A, 5.000% due 8/1/35 | 2,673,342 | |
4,000,000 | State of Washington, General Obligation Unlimited, Series R, 4.000% due 7/1/24 | 4,004,916 | |
18,648,752 | |||
Wisconsin — 0.3% | |||
910,000 | County of Outagamie, WI, General Obligation Unlimited, Series C, 2.800% due 11/1/30 | 805,161 | |
Wyoming — 0.6% | |||
1,860,000 | Wyoming Community Development Authority, Housing Revenue, Revenue Bonds, Refunding, Series 3, 4.000% due 6/1/43 | 1,823,718 | |
TOTAL MUNICIPAL BONDS (Cost $322,188,601) | 310,239,517 | ||
TOTAL INVESTMENTS (Cost $322,188,601) | 99.7% | $310,239,517 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.3 | 913,149 | |
NET ASSETS | 100.0% | $311,152,666 |
* | 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, 2023. |
2 | When-issued security. |
3 | Floating Rate Bond. Rate shown is as of October 31, 2023. |
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 |
MBIA — Municipal Bond Investors Assurance |
PSF — Permanent School Fund |
202 |
% of Net Assets | Value | ||
STATE: | |||
Texas | 19.3% | $ 59,970,032 | |
New York | 14.5 | 45,179,881 | |
Florida | 7.6 | 23,680,115 | |
Washington | 6.0 | 18,648,752 | |
Pennsylvania | 4.4 | 13,589,217 | |
Arizona | 3.9 | 12,130,711 | |
Michigan | 3.7 | 11,473,329 | |
Virginia | 3.0 | 9,481,280 | |
South Carolina | 2.9 | 8,906,449 | |
New Jersey | 2.8 | 8,706,187 | |
Minnesota | 2.7 | 8,549,666 | |
Tennessee | 2.5 | 7,818,306 | |
District of Columbia | 2.5 | 7,670,980 | |
Hawaii | 2.4 | 7,590,727 | |
Oregon | 2.0 | 6,338,765 | |
Georgia | 2.0 | 6,208,437 | |
New Mexico | 1.7 | 5,341,302 | |
Colorado | 1.5 | 4,535,817 | |
Connecticut | 1.4 | 4,298,807 | |
Maryland | 1.4 | 4,212,977 | |
Alabama | 1.3 | 4,085,374 | |
Massachusetts | 1.3 | 3,902,229 | |
Missouri | 1.1 | 3,582,793 | |
Delaware | 1.0 | 3,058,562 | |
Illinois | 1.0 | 3,015,424 | |
Nebraska | 0.9 | 2,749,524 | |
North Dakota | 0.8 | 2,428,552 | |
Oklahoma | 0.6 | 2,011,884 | |
Wyoming | 0.6 | 1,823,718 | |
Rhode Island | 0.5 | 1,614,052 | |
North Carolina | 0.5 | 1,411,339 | |
Ohio | 0.4 | 1,243,422 | |
Iowa | 0.3 | 1,088,311 | |
Utah | 0.3 | 1,060,073 | |
Indiana | 0.3 | 1,034,026 | |
Kentucky | 0.3 | 993,336 | |
Wisconsin | 0.3 | 805,161 | |
TOTAL MUNICIPAL BONDS | 99.7% | $310,239,517 | |
TOTAL INVESTMENTS | 99.7% | $310,239,517 |
203 |
204 |
Portfolio | Unlimited (Short-Term) | Unlimited (Long-Term) | ||
Muni Intermediate Portfolio | $4,121,267 | $8,091,795 |
205 |
Portfolio | Undistributed Tax-exempt Income | Unrealized Appreciation/ (Depreciation) | Loss Carryforwards | Total Distributable Earnings | ||||
Muni Intermediate Portfolio | $712,793 | $(11,949,084) | $(12,213,062) | $(23,449,353) |
Portfolio | Tax Exempt | Ordinary Income | ||
Muni Intermediate Portfolio | $7,096,737 | $14,777 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Muni Intermediate Portfolio | $4,464,310 | $17,024 | $1,991,189 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Muni Intermediate Portfolio | $322,188,601 | $20,015 | $11,969,099 | $(11,949,084) |
206 |
Portfolio | Purchases | Sales | ||
Muni Intermediate Portfolio | $230,305,750 | $141,165,865 |
Year Ended 10/31/23 | Year Ended 10/31/22 | ||||||
Shares | Amount | Shares | Amount | ||||
Muni Intermediate Portfolio | |||||||
Sold | 18,932,540 | $ 197,027,571 | 8,584,040 | $ 90,149,323 | |||
Issued as reinvestment of dividends | 1,172 | 12,181 | 179,197 | 1,993,939 | |||
Redeemed | (10,068,164) | (104,275,879) | (16,889,273) | (177,460,115) | |||
Net Increase (Decrease) | 8,865,548 | $ 92,763,873 | (8,126,036) | $ (85,316,853) |
207 |
December 19, 2023
208 |
Secured Options Portfolio | 99.50% |
Global Secured Options Portfolio | 98.67% |
Core Fixed Income Portfolio | 78.45% |
Quantitative U.S. Large Cap Core Equity Portfolio | 100.00 % |
Quantitative U.S. Large Cap Growth Equity Portfolio | 100.00 % |
Quantitative U.S. Large Cap Value Equity Portfolio | 100.00 % |
Quantitative U.S. Small Cap Equity Portfolio | 100.00 % |
Responsible ESG U.S. Equity Portfolio | 100.00 % |
Women in Leadership U.S. Equity Portfolio | 100.00 % |
Quantitative U.S. Long/Short Equity Portfolio | 65.81 % |
Quantitative U.S. Total Market Equity Portfolio | 100.00 % |
Strategic Equity Portfolio | 100.00 % |
Small Cap Equity Portfolio | 98.83 % |
Equity Income Portfolio | 100.00 % |
Portfolio | Total | |
Quantitative International Equity Portfolio | $190,415 |
Quantitative U.S. Large Cap Core Equity Portfolio | $177,242,936 |
Quantitative U.S. Large Cap Growth Equity Portfolio | $155,919,462 |
Quantitative U.S. Large Cap Value Equity Portfolio | $ 65,709 |
Quantitative U.S. Small Cap Equity Portfolio | $ 115,894 |
Responsible ESG U.S. Equity Portfolio | $ 1,594,354 |
Women in Leadership U.S. Equity Portfolio | $ 535,266 |
Quantitative U.S. Total Market Equity Portfolio | $ 89,107 |
Strategic Equity Portfolio | $ 16,788,343 |
Small Cap Equity Portfolio | $114,353,606 |
Equity Income Portfolio | $728,907 |
Quantitative U.S. Large Cap Core Equity Portfolio | $15,659,620 |
Quantitative U.S. Large Cap Growth Equity Portfolio | $ 7,652,051 |
Quantitative U.S. Large Cap Value Equity Portfolio | $ 30,460 |
Quantitative U.S. Small Cap Equity Portfolio | $ 13,454 |
Quantitative International Equity Portfolio | $ 475,297 |
Responsible ESG U.S. Equity Portfolio | $ 220,808 |
Women in Leadership U.S. Equity Portfolio | $243,034 |
209 |
Quantitative U.S. Long/Short Equity Portfolio | $854,826 |
Quantitative U.S. Total Market Equity Portfolio | $ 207,152 |
Strategic Equity Portfolio | $ 2,464,084 |
Small Cap Equity Portfolio | $13,026,764 |
Equity Income Portfolio | $356,810 |
Secured Options Portfolio | 86.77 % |
Global Secured Options Portfolio | 56.90 % |
Core Fixed Income Portfolio | 27.95 % |
Short Term Tax Aware Fixed Income Portfolio | 7.08 % |
210 |
Name and Year of Birth | 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 Year of birth: 1962 | 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. Year of birth: 1956 | 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. Year of birth: 1947 | 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 |
211 |
Name and Year of Birth | 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 Year of birth: 1948 | 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. |
212 |
Interested Directors/Trustees(2) | ||||||||
Name and Year of Birth | 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) Year of birth: 1943 | 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) Year of birth: 1951 | 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. |
213 |
Officers | ||||
Name, Address and Year of Birth | 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 Year of birth: 1967 | 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 Year of birth: 1966 | 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 Year of birth: 1973 | 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 Year of Birth: 1959 | Secretary of the Funds since January 1995. | Partner in the law firm of Faegre Drinker Biddle & Reath LLP. | ||
Eimile J. Moore 3 Canal Plaza, Suite 100, 3rd Floor Portland, ME 04101 Year of brith: 1969 | 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 One Congress Street, Suite 1 Boston, MA 02114 Year of birth: 1966 | Assistant Secretary of the Funds since December 2022. | Vice President and Counsel, State Street Bank and Trust Company (2016-present). | ||
Rebecca Tran Savage One Congress Street, Suite 1 Boston, MA 02114 Year of Birth: 1981 | Assistant Secretary of the Funds since December 2022. | Assistant Vice President and Associate Counsel, State Street Bank and Trust Company (May 2022 - present). |
214 |
215 |
216 |
217 |
(b) Not applicable.
Item 2. Code of Ethics.
As of October 31, 2023, 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, 2023, 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 $523,247 for the fiscal years ended October 31, 2022 and October 31, 2023, respectively. |
(b) | Audit-Related Fees – There were no fees billed for the fiscal years ended October 31, 2022 and October 31, 2023 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 $100,120 for the fiscal years ended October 31, 2022 and October 31, 2023, respectively. |
(d) | All Other Fees – There were no other fees billed for the fiscal years ended October 31, 2022 and October 31, 2023 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, 2023 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 $100,120 for the fiscal years ended October 31, 2022 and October 31, 2023, 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, 2023 |
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, 2023 | ||||
/s/ Christopher E. McGuire | ||||
Christopher E. McGuire Treasurer (Principal Financial Officer) | ||||
Date December 27, 2023 |