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Morgan Stanley Pathway Funds

Filed: 6 Nov 19, 11:48am

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORMN-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06318

 

 

MORGAN STANLEY PATHWAY FUNDS

(Exact name of registrant as specified in charter)

 

 

2000 Westchester Avenue

Purchase, NY 10577

(Address of principal executive offices)(Zip code)

 

 

CT Corp

155 Federal Street Suite 700

Boston, MA 02110

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (888)454-3965

Date of fiscal year end: August 31

Date of reporting period: August 31, 2019

 

 

FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking rules.

A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.

 

 

 


ITEM 1. REPORTS TO STOCKHOLDERS

 


LOGO

 

LOGO

 

Morgan Stanley

Pathway Funds

(formerly Consulting Group Capital Markets Funds)

 

 

Annual Report

 

» 

August 31, 2019

 

 

Large Cap Equity Fund

 

 

Small-Mid Cap Equity Fund

 

 

International Equity Fund

 

 

Emerging Markets Equity Fund

 

 

Core Fixed Income Fund

 

 

High Yield Fund

 

 

International Fixed Income Fund

 

 

Municipal Bond Fund

 

 

Inflation-Linked Fixed Income Fund

 

 

Ultra-Short Term Fixed Income Fund

 

 

Alternative Strategies Fund

 

INVESTMENT PRODUCTS: NOT FDIC INSURED  •  NO BANK GUARANTEE  •  MAY  LOSE VALUE


 

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.morganstanley.com/wealth-investmentsolutions/cgcm), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a financial advisor) or, if you are a direct investor, by calling1-800-869-3326.

Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call1-800-869-3326 to let the Funds know you wish to continue receiving paper copies of your shareholder reports.


Table of Contents

 

SHAREHOLDER LETTER

   I 

MORGAN STANLEY PATHWAY FUNDS (FORMERLY CONSULTING GROUP CAPITAL MARKETS FUNDS) PERFORMANCE SUMMARY

  

LARGE CAP EQUITY FUND

   1 

SMALL-MID CAP EQUITY FUND

   4 

INTERNATIONAL EQUITY FUND

   7 

EMERGING MARKETS EQUITY FUND

   10 

CORE FIXED INCOME FUND

   12 

HIGH YIELD FUND

   14 

INTERNATIONAL FIXED INCOME FUND

   16 

MUNICIPAL BOND FUND

   18 

INFLATION-LINKED FIXED INCOME FUND

   20 

ULTRA-SHORT TERM FIXED INCOME FUND

   22 

ALTERNATIVE STRATEGIES FUND

   24 

FUND EXPENSES

   29 

SCHEDULESOF INVESTMENTS

   31 

STATEMENTSOF ASSETSAND LIABILITIES

   298 

STATEMENTSOF OPERATIONS

   300 

STATEMENTSOF CHANGESIN NET ASSETS

   302 

STATEMENTSOF CASH FLOWS

   306 

FINANCIAL HIGHLIGHTS

   307 

NOTESTO FINANCIAL STATEMENTS

   316 

REPORTOF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

   355 

BOARD APPROVALOF MANAGEMENT AGREEMENTAND INVESTMENT ADVISORY AGREEMENTS

   357 

ADDITIONAL INFORMATION

   362 

IMPORTANT TAX INFORMATION

   369 


Morgan Stanley Pathway Funds

DEAR SHAREHOLDER,

Global equity markets returns were mixed over the twelve-month period ending August 31, 2019. U.S. markets as measured by the S&P 500® Index igained 2.92%, while developed international markets represented by the MSCI EAFE® Index (Net)ixlost 3.26% and the MSCI Emerging Markets Index (Net)xii lost 4.36%. Compared to the previous fiscal year, performance this year has been more subdued given macroeconomic and geopolitical factors including slower earnings growth, trade and Brexit.

During the trailing 12 months ending August 31, 2019, growth stocks continued to outperform value, both domestically and abroad. The U.S.large-cap Russell 1000® Growth Indexiii gained 4.27% compared to the Russell 1000® Index iiwhich gained 0.62%. The U.S.small-cap Russell 2000® Growth Indexviidecreased 11.02% compared to a loss of 14.89% for the Russell 2000® Value Indexviii. The differential between growth and value was more pronounced in developed international markets with the MSCI EAFE® Growth Indexx gaining 0.81% compared to a loss of 7.42% for the MSCI EAFE® Value Indexxi. However, the gap narrowed within emerging markets with the MSCI Emerging Markets Index (Net)xii decreasing 3.21% compared to a loss of 5.63% for the MSCI Emerging Markets Value Index (Net)xiv.

Within the United States, seven out of eleven S&P 500® Indexi sectors posted positive results, but dispersion between the best and worst sector was wide. The returns were as follows: Utilities (+21.18%), Real Estate (+20.30%), Consumer Staples (+16.10%), Communication Services (+9.72%), Information Technology (+6.62%), Consumer Discretionary (+2.55%), Industrials (+0.56), Health Care(-0.57%), Materials(-2.52%), Financials(-2.90%) and Energy(-20.13%).

Fixed income markets performed extremely well given the drop in yields across the yield curve during the sametwelve-month period. The yield on the U.S. 2-year Treasury-Note dropped from 2.62% to 1.50% while the yield on the U.S.10-year Treasury-Note dropped from 2.85% to 1.50%. Broad investment grade indices such as the Bloomberg Barclays U.S. Aggregate BondTM Indexxvi returned 10.17% and the Bloomberg Barclays Global Aggregate Bond Index xvii returned 7.77%. U.S. high yield also performed well with the Bloomberg Barclays U.S. Corporate High Yield Bond Indexxviii gaining 6.56%.

Morgan Stanley & Co. economists expect U.S. real GDP growth to be 2.3% in 2019 and 1.7% in 2020. The forecast for global real GDP growth is 3.0% for 2019 and 3.2% for 2020.

Morgan Stanley Pathway Funds

(Returns are for the fiscal one year period ending August 31, 2019)

The Large Cap Equity Fund returned 1.32% compared to 2.49% for the Russell 1000® Indexii. The return of the LipperLarge-Cap Core Funds Average xxiii investment category was 2.37%. The Fund’s allocation effect had a positive impact on relative performance, but stock selection within energy and information technology had the largest negative impact. Top contributors included Coca-Cola Company, Merck & Co., Abbot Laboratories, Microsoft and Visa, while the top detractors included Amazon, Haliburton, Occidental Petroleum, Marathon Oil and Apple.

The Small-Mid Cap Equity Fund returned-6.25% compared to-7.14% for the Russell 2500® Indexv. The return of the LipperSmall-Cap Core Funds Averagexxiv investment category was-12.00%. The Fund’s allocation and stock selection had a positive impact on relative performance with information technology and consumer discretionary having the largest effect. Top contributors included HEICO, Euronet Worldwide, Ciena, Keysight Technologies and TESARO, while the top detractors included Key Energy Services, Amneal Pharmaceuticals, Cornerstone Building Brands, Conduent and the iShares® Russell 2000 Value ETF.

The International Equity Fund returned-6.34% compared to-3.26% for the MSCI EAFE® Index (Net)ix. The return of the Lipper InternationalLarge-Cap Core Funds Averagexxvwas-5.03%. The Fund’s allocation and stock selection had a negative impact on relative performance with industrials and consumer discretionary sectors detracting the most. Top

 

I


contributors included Nestle, Novartis, AstraZeneca, Roche Holdings, Gold Fields Limited, while top detractors included Baidu, Encana, Total SA, Prudential PLC and Infineon Technologies.

The Emerging Markets Equity Fund returned-0.40% compared to-4.36% for the MSCI Emerging Markets Index (Net) xii. The return of the Lipper Emerging Markets Funds Averagexxvi was-2.10%. The Fund’s allocation and stock selection had a positive impact on relative performance with financials and industrials contributing the most. Top contributors included Kweichow Moutai, Yihai International Holding, Banco do Brasil, Ping An Insurance and Movida Participacoes, while the top detractors included Baidu, China Construction Bank, Samsung Electronics, AAC Technologies Holdings and Samsung Electronics.

The Core Fixed Income Fund returned 10.39% compared to 10.17% for the Bloomberg Barclays U.S. Aggregate BondTM Indexxvi. The return of the Lipper Core Bond Funds Averagexxvii was 9.43%.

The High Yield Fund returned 5.58% compared to 6.56% for the Bloomberg Barclays U.S. Corporate High Yield Bond Indexxviii. The return of the Lipper High Yield Funds Averagexxviii was 5.57%.

The International Fixed Income Fund returned 10.01% compared to 12.86% for the FTSENon-USD World Government Bond Index (USD) Hedgedxxi. The return of the Lipper International Income Funds Averagexxix was 6.27%.

The Municipal Bond Fund returned 8.38% compared to 8.72% for the Bloomberg Barclays U.S. Municipal Bond Index xx. The return of the Lipper General & Insured Municipal Debt Funds Averageivwas 8.35%.

The Inflation-Linked Fixed Income Fund returned 6.42% compared to 7.46% for the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index xix. The return of the Lipper Inflation Protected Bond Funds Average vi was 5.50%.

The Ultra-Short Term Fixed Income Fund returned 2.07% compared to 2.36% for the FTSE3-Month U.S. Treasury Bill Indexxv. The return of the Lipper Ultra-Short Obligations Funds Averagexiii was 2.73%.

The Alternative Strategies Fund returned 2.90% compared to-1.12% for the HFRX Global Hedge Fund Index xxii.

Additional information regarding the investment managers of the Morgan Stanley Pathway Funds and commentary specific to each individual sub-adviser is available in the Annual Report following this Shareholder Letter.

We thank you for your continued confidence in Morgan Stanley Wealth Management and support as shareholders of the Morgan Stanley Pathway Funds.

Sincerely,

 

LOGO

Paul Ricciardelli

Chief Executive Officer

 

II


Although the statements of fact and data contained herein have been obtained from, and are based upon, sources the firm believes reliable, we do not guarantee their accuracy, and any such information may be incomplete or condensed. All opinions included in this report constitute the firm’s judgment as of the date herein, and are subject to change without notice. This material is for informational purposes only, and is not intended as an offer or solicitation with respect to the purchase or sale of any security. This report may contain forward-looking statements, and there can be no guarantee that they will come to pass. The index returns shown are preliminary and subject to change. Past performance is not a guarantee of future results.

Risk Considerations

Equity securities may fluctuate in response to news on companies, industries, market conditions, and general economic environment.

Investing in foreign marketsentails risks not typically associated with domestic markets, such as currency fluctuations and controls, restrictions on foreign investments, less governmental supervision and regulation, and the potential for political instability. These risks may be magnified in countries withemerging markets and frontier markets, since these countries may have relatively unstable governments and less established markets and economies.

Investing in small- tomedium-sized companiesentails special risks, such as limited product lines, markets, and financial resources, and greater volatility than securities of larger, more established companies.

The value offixed income securities will fluctuate and, upon a sale, may be worth more or less than their original cost or maturity value. Bonds are subject to interest rate risk, call risk, reinvestment risk, liquidity risk, and credit risk of the issuer.

High yield bonds (bonds rated below investment grade) may have speculative characteristics and present significant risks beyond those of other securities, including greater credit risk, price volatility, and limited liquidity in the secondary market. High yield bonds should comprise only a limited portion of a balanced portfolio.

Yields are subject to change with economic conditions. Yield is only one factor that should be considered when making an investment decision.

Asset allocation and diversificationdo not assure a profit or protect against loss in declining financial markets.

Theindices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment.

Because of their narrow focus,sector investments tend to be more volatile than investments that diversify across many sectors and companies.

Growth investingdoes not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations.

Value investingdoes not guarantee a profit or eliminate risk. Not all companies whose stocks are considered to be value stocks are able to turn their business around or successfully employ corrective strategies which would result in stock prices that do not rise as initially expected.

 

III


Performance of the Morgan Stanley Pathway Funds

For the Year Ended August 31, 2019†*

 
Large Cap Equity Fund   1.32

Russell 1000® Index(ii)

   2.49
Small-Mid Cap Equity Fund   -6.25

Russell 2500® Index(v)

   -7.14
International Equity Fund   -6.34

MSCI EAFE® Index (Net)(ix)

   -3.26
Emerging Markets Equity Fund   -0.40

MSCI Emerging Markets Index (Net)(xii)

   -4.36
Core Fixed Income Fund   10.39

Bloomberg Barclays U.S. Aggregate BondTM Index(xvi)

   10.17
High Yield Fund   5.58

Bloomberg Barclays U.S. Corporate High Yield Bond Index(xviii)

   6.56
International Fixed Income Fund   10.01

FTSENon-USD World Government Bond Index (USD) — Hedged(xxi)

   12.86
Municipal Bond Fund   8.38

Bloomberg Barclays U.S. Municipal Bond Index(xx)

   8.72
Inflation-Linked Fixed Income Fund   6.42

Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index(xix)

   7.46
Ultra-Short Term Fixed Income Fund   2.07

FTSE3-Month U.S. Treasury Bill Index(xv)

   2.36
Alternative Strategies Fund   2.90

HFRX Global Hedge Fund Index(xxii)

   -1.12

 

See pages 25 through 28 for all footnotes.

 

IV


LOGO

 

Large Cap Equity Fund

 

ABOUTTHE SUB-ADVISERS

  ClearBridge Investments, LLC (“ClearBridge”)

ClearBridge is a wholly-owned subsidiary of Legg Mason, Inc., a financial services holding company. The Portfolio Managers for the ClearBridge Large Cap Growth strategy utilize a fundamental, bottom-up research approach that emphasizes company analysis, management and stock selection. ClearBridge invests in large capitalization companies that it believes are dominant in their industries due to product, distribution or service strength. ClearBridge emphasizes individual security selection while diversifying the Fund’s investments across industries, which may help to reduce risk. ClearBridge attempts to identify established large capitalization companies with the highest growth potential, then analyze each company in detail, ranking its management, strategy and competitive market position. The Portfolio Managers pursue a collaborative approach in which both they and the research analysts propose companies with attractive business models and good long-term growth prospects for further review. The team is particularly valuation conscious, gravitating toward “controversy”, or companies that are temporarily inefficiently priced.

  Columbia Management Investment Advisers, LLC (“Columbia”)

Columbia uses a combination of fundamental and quantitative analysis with risk management, including cross-correlation analysis, in identifying investment opportunities and constructing it’s portion of the Fund’s portfolio. In selecting investments, Columbia considers, among other factors:
· overall economic and market conditions; and
· the financial condition and management of a company, including its competitive position, the quality of its balance sheet and earnings, its future prospects, and the potential for growth and stock price appreciation.
Columbia may sell a security when the security’s price reaches a target set by Columbia; if Columbia believes that there is deterioration in the issuer’s financial circumstances or fundamental prospects; if other investments are more attractive; or for other reasons.

  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock employs a “passive” management approach, attempting to invest in a portfolio

As of August 31, 2019, the Sub-advisers for Morgan Stanley Pathway Large Cap Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Columbia Management Investment Advisers, LLC (“Columbia”), Lazard Asset Management, LLC (“Lazard”), Delaware Investments Fund Advisers, a member of Macquarie Investment Management Business Trust (“MIM”), Lyrical Asset Management LP (“Lyrical”) and ClearBridge Investments, LLC (“ClearBridge”).

For the fiscal year ending August 31, 2019, the Fund returned 1.32% compared to the Russell 1000® Indexii return of 2.49%. Positioning within financials and industrials contributed the most to relative performance while energy and information technology were the top detractors. Top contributors includedCoca-Cola Company, Merck & Co., Abbot Laboratories, Microsoft and Visa, while the top detractors included Amazon, Haliburton, Occidental Petroleum, Marathon Oil and Apple.

The Fund’s yield was 1.81%, slightly less than the benchmark’s 1.88% yield. The Fund’s one year forward price to earnings ratio (P/E) was 17.3, slightly less than the benchmark which was 18.0. The estimated earnings per share growth over the next3-5 years is 11.8%, slightly less than the benchmark’s 12.1% growth rate. The top 10 positions accounted for 17% of the Funds’ holdings and included the iShares® Corp S&P U.S. Value ETF, Microsoft, Amazon, Apple, Facebook, Cisco, Medtronic, Alphabet, Johnson & Johnson and Coca-Cola Company.

During the fiscal one year period, BlackRock performedin-line with the Russell 1000® Indexii, which matched its passive mandate to track the index.

The portion of the Fund managed by Lazard outperformed the benchmark during the fiscal one year period due to their sector allocation positioning and individual stock selection. Out of the eight broad sectors they were positioned in, all added to relative performance except for communication services. Stock selection was strongest within health care and weakest within communication services. The top five contributors were Coco-Cola Company, S&P Global, Baxter International, Armstrong World Industries and Vulcan Materials, while the top five detractors were Elanco Animal Health, Westinghouse Air Brake Technologies, DXC Technology, Skyworks Solutions and Steel Dynamics. As of August 31, 2019, Lazard’s top ten positions represented 66% of their portfolio.

The portion of the Fund managed by MIM trailed the benchmark during the fiscal one year period due to their value style, sector positioning and individual stock selection. The top contributing sector was industrials while energy was the largest detractor. The top five contributors were Dollar Tree, Mondelez International, Merck & Co., Abbott Laboratories and Waste Management, while the top five detractors were Haliburton, Marathon Oil, Occidental Petroleum, ConocoPhillips and DuPont de Nemours. As of August 31, 2019, MIM’s top ten positions represented 34% of their portfolio.

The portion of the Fund managed by Lyrical trailed the benchmark during the fiscal one year period due to their value style, sector positioning and individual stock selection. The top contributing sector was materials while energy was the largest detractor. The top five contributors were Willis Towers Watson Public Limited,

 

 

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of assets whose performance is expected to match approximately the performance of the Russell 1000® Index. The Fund will be substantially invested in securities in the Russell 1000® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 1000® Index.

  Lazard Asset Management, LLC (“Lazard”)

Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage. Lazard manages an all cap, concentrated strategy designed to leverage the best collection of ideas from the U.S. Equity team. It is benchmark-agnostic, seeking to outperform any broad-based market index (i.e., S&P 500® Index, Russell 1000® Index, Russell 3000® Index) by investing in companies that compound earnings and capital and by taking advantage of valuation anomalies.

  Delaware Investments Fund Advisers, a member of Macquarie Investment Management Business Trust (“MIM”)

MIM will invest under normal circumstances, at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in securities of large-capitalization companies. MIM invests primarily in securities of largecapitalization companies that the Manager believes have long-term capital appreciation potential. MIM currently defines large-capitalization stocks as those with market capitalizations of $5 billion or greater at the time of purchase. Typically, the Manager seeks to select securities that it believes are undervalued in relation to their intrinsic value, as indicated by multiple factors, including the earnings and cash flow potential or the asset value of the respective issuers. The Manager also considers a company’s plans for future operations on a selective basis. The Manager may sell a security if it no longer believes the security will contribute to meeting the investment objective of the Fund.

  Lyrical Asset Management LP (“Lyrical”)

Lyrical employs a deep value style with a high quality focus. Lyrical employs a value investing philosophy and believes that a portfolio of companies with low valuations relative to their longterm normalized earnings power will outperform the overall market over time and unlike some traditional value investors who

Assurant, Broadcom, Microchip Technology and Crown Holdings, while the top five detractors were Qurate Retail Group, National Oilwell Varco, EOG Resources, Suncor Energy and CommScope Holding. As of August 31, 2019, Lyrical’s top ten positions represented 54% of their portfolio.

The portion of the Fund managed by ClearBridge outperformed the benchmark during the fiscal one year period due to their growth style and stock selection. Sector positioning had a neutral impact on performance. Positioning was strongest within materials and weakest within energy. The top five contributors were Chipotle Mexican Grill, Zoetis, Microsoft, Visa and Red Hat, while the top five detractors were Amazon, Schlumberger, Charles Schwab, Biogen and Apple. As of August 31, 2019, ClearBridge’s top ten positions represented 37% of their portfolio.

The portion of the Fund managed by Columbia underperformed the benchmark during the fiscal one year period due to a combination of sector allocation and stock selection. Positioning was strongest within consumer discretionary and weakest within information technology. The top five contributors were New Oriental Education & Technology, MercadoLibre, Exact Sciences, Edwards Lifesciences and ServiceNow, while the top five detractors were Activision Blizzard, Canada Goose Holdings, Charles Schwab, Illumina and NVIDIA. As of August 31, 2019, Columbia’s top ten positons represented 41% of their portfolio.

 

 

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are willing to own any business at the right price, Lyrical’s philosophy is to invest only in businesses that it believes are of good quality. Lyrical invests only in the common stock of companies within its investable universe, which is the top 1,000 U.S. listed stocks by market capitalization.

The following graph depicts the performance of Russell 1000® Indexii vs. the LipperLarge-Cap Core Funds Averagexxiii

 

 

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

LARGE CAP EQUITY FUND

Comparison of $10,000 Investment in the Fund with the Russell 1000® Index
and the Lipper Large-Cap Core Funds Average

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

LARGE CAP EQUITY FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

      Without
Annual
Advisory
Program
Fee
  With
Annual
Advisory
Program
Fee*
  Russell
1000®
Index**
  Lipper
Large-Cap
Core Funds
Average**
 Since inception 11/18/1991    8.39%    6.24%    9.83%    9.29%
 10 years    12.85    10.64    13.49    12.15
 5 years    8.92    6.79    9.85    8.76
 3 years    11.11    8.94    12.57    11.56
  1 year    1.32    (0.67)    2.49    2.37

See pages 25 through 28 for all footnotes.

 

 

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LOGO

 

Small-Mid Cap Equity Fund

 

ABOUTTHE SUB-ADVISERS

  Neuberger Berman Investment Advisers LLC (“Neuberger”)

Neuberger employs in-depth research to identify out-of-favor small cap companies selling at a significant discount to intrinsic value, where there is a dynamic plan or event that is expected to both enhance value and narrow the price/value gap. Neuberger’s analysts seek to invest when there is a true disconnect between reality and market perception — something that occurs regularly in particular types of companies. For example, we believe the market tends to demonstrate inefficiency in pricing companies with complex corporate structures since many investors will not take the time to understand them. Neuberger’s valuation approach resembles the due diligence effort that Neuberger’s a private equity firm might employ to evaluate the purchase of an entire company. Neuberger’s analysts also focus on investing in businesses where management has a significant ownership stake as, in our view, such companies tend to be more aligned with shareholders’ interests.

  Westfield Capital Management Company, L.P. (“Westfield”)

Westfield favors investing in earnings growth stocks given a conviction that stock prices follow earnings progress and that they offer the best opportunity for superior real rates of return. Reasonably priced stocks of companies with high foreseen earnings potential are best identified through in-depth, fundamental research. It is Westfield’s belief that the small capitalization portion of the market is under-researched, and therefore less efficient, than the large capitalization sector.

  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the Russell 2500® Index. The Fund will be substantially invested in securities in the Russell 2500® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 2500® Index.

As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway Small-Mid Cap Equity (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Aristotle Capital Boston, LLC (“Aristotle”), D.F. Dent & Company, Inc. (“DF Dent”), Neuberger Berman Investment Advisers LLC (“Neuberger”), Nuance Investments, LLC (“Nuance”) and Westfield Capital Management Company, L.P. (“Westfield”). Aristotle, DF Dent and Nuance were hired on May 20, 2019 to replace Frontier Capital Management Co., LLC (“Frontier”), Hahn Capital Management LLC (“Hahn”) and Rutabaga Capital Management LLC (“Rutabaga”).

For the fiscal year ending August 31, 2019, the Fund returned -6.25% compared to the Russell 2500® Indexv return of -7.14%. Positioning within information technology and materials contributed the most to relative performance while utilities and financials were the largest detractors. Top contributors included HEICO, Euronet Worldwide, Ciena, Keysight Technologies and TESARO, while the top detractors included Key Energy Services, Amneal Pharmaceuticals, Cornerstone Building Brands, Conduent and the iShares® Russell 2000 Value ETF.

The Fund’s yield was 1.29%, less than the benchmark’s 1.69% yield. The Fund’s forward P/E was 17.3, higher than the benchmark which was 16.7. The estimated earnings per share growth over the next 3-5 years is 12.1, slightly less than the benchmark’s 12.5% growth rate. The top 10 positions accounted for 6% of the fund’s holdings and included WABCO Holdings, Reinsurance Group of America, Equity Commonwealth, Tyler Technologies, Verisk Analytics, Sanderson Farms, Charles River Laboratories International, Ecolab, Markel Corp. and Ciena Corp.

During the fiscal one year period, BlackRock performedin-line with the Russell 2500® indexv, which matched its passive mandate to track the index.

The portion of the Fund managed by Neuberger outperformed the benchmark during the fiscal one year period. Sector positioning had a neutral impact, while stock selection contributed to relative performance. The top contributing sector was information technology while real estate was the largest detractor. The top five contributors were Ciena, Mellano Technologies, Cypress Semiconductor, Crown Holdings and ARRIS International, while the top five detractors were Party City Holdco, Amneal Pharmaceuticals, Conduent, Cloudera and Unisys Corp. As of August 31, 2019, Neuberger’s top ten positions represented 29% of their portfolio.

The portion of the Fund managed by Westfield outperformed the benchmark during the fiscal one year period. Sector positioning had a negative impact, while stock selection contributed to relative performance. The top contributing sector was health care while energy was the largest detractor. The top five contributors were TopBuild, HEICO, Fair Isaac, Acacia Communications and Tableau Software, while the top five detractors were Frontdoor, PBF Energy, WPX Energy, Centennial Resource Development and Ironwood Pharmaceuticals. As of August 31, 2019, Westfield’s top ten positions represented 25% of their portfolio.

Aristotle began managing their portion of the Fund on May 20, 2019. Since their inception, sector allocation had a positive impact on relative performance, but stock selection detracted. The top contributing sector was industrials while consumer staples were the largest detractor. The top five contributors were Chemed, HEICO, FTI Consulting, Genesee & Wyoming and Itron, while the top five detractors were Herbalife Nutrition, QEP Resources, Range Resources, Merit Medical Systems and Harsco. As of August 31, 2019, Aristotle’s top ten positions represented 21% of their portfolio.

 

 

4


 

  D.F. Dent & Company, Inc (“DF Dent”)

DF Dent employs a bottom-up, fundamental process that seeks companies that are consistent growers, have strong management and are unrecognized and under-researched. The strategy looks for companies with above-average EPS growth expectations, high returns on investment, sustainable free cash flow growth, a competitive advantage and attractive relative valuations.

  Nuance Investments, LLC (“Nuance”)

Nuance seeks to invest in companies with leading and sustainable market share positions and above-average financial strength that are trading at discounts to Nuance’s calculation of intrinsic value. Through analysis of companies’ financial statements, management strategy, and competitive positioning, Nuance attempts to provide excess returns over time.

  Aristotle Capital Boston, LLC (“Aristotle”)

Aristotle seeks to deliver a diversified, high quality portfolio that can deliver attractive risk-adjusted results primarily driven by stock selection. They focus on companies they believe have low expectations, can create shareholder value, and have high potential for improved growth and profitability.

 

DF Dent began managing their portion of the Fund on May 20, 2019. Since their inception, sector allocation and stock selection added to relative performance. The top contributing sector was real estate, while energy was the largest detractor. The top five contributors were TransDigm Group, Verisk Analytics, PROS Holdings, Tyler Technologies and SBA Communications, while the top five detractors were Core Laboratories, Illumina, Healthcare Services Group, Envestnet and Brooks Automation. As of August 31, 2019, DF Dent’s top ten positions represented 45% of their portfolio.

Nuance began managing their portion of the Fund on May 20, 2019. Since their inception, sector allocation had a positive impact on relative performance, while stock selection slightly detracted. The top contributing sector was energy, mainly due to their underweight, while financials was the largest detractor. The top five contributors were Globus Medical, Smith & Nephew PLC, Lindsay, Equity Commonwealth and Aqua America Inc., while the top five detractors were Unum Group, Charles Schwab, TD Ameritrade, ICU Medical and the iShares® Russell 2000 Value ETF. As of August 31, 2019, Nuance’s top ten positions represented 44% of their portfolio.

 

 

 

5


The following graph depicts performance of Russell 2500® Indexv vs. LipperSmall-Cap Core Funds Averagexxiv

 

HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019

SMALL-MID CAP EQUITY FUND

Comparison of $10,000 Investment in the Fund with the Russell 2500® Index
and the LipperSmall-Cap Core Funds Average

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

SMALL-MID CAP EQUITY FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

      Without
Annual
Advisory
Program
Fee
  With
Annual
Advisory
Program
Fee*
  Russell
2500®
Index**
  Lipper
Small-Cap
Core Funds
Average**
 Since inception 11/18/1991    8.91%    6.73%    10.58%    10.24%
 10 years    11.68    9.48    12.65    10.91
 5 years    5.87    3.78    7.06    5.18
 3 years    9.45    7.30    9.04    6.26
  1 year    (6.25)    (8.10)    (7.14)    (12.00)

See pages 25 through 28 for all footnotes.

 

 

6


LOGO

 

International Equity Fund

 

ABOUTTHE SUB-ADVISERS

  Victory Capital Management, Inc. (“Victory Capital”)

Victory Capital’s investment franchise, Trivalent Investments, employs a bottom-up investment approach that emphasizes individual stock selection. The investment process uses a combination of quantitative and traditional qualitative, fundamental analysis to identify stocks with low relative price multiples and positive trends in earnings forecasts. The stock selection process is designed to produce a diversified portfolio that, relative to the S&P Developed ex-U.S. Small Cap Index, tends to have a belowaverage price-to-earnings ratio and an aboveaverage earnings growth trend.

  Wellington Management Company LLP (“Wellington”)

Tracing our history to 1928, Wellington is one of the world’s largest independent investment management firms. With over US$1 trillion in assets under management as of 30 June 2018, we serve as a trusted investment adviser to more than 2,200 institutional clients and mutual fund sponsors in over 60 countries. Our comprehensive investment capabilities are built on the strength of rigorous, proprietary research and span nearly all segments of the global capital markets, including equity, fixed income, multi-asset, and alternative strategies. As a private partnership whose sole business is investment management, our long-term views and interests are aligned with those of our clients. Our commitment to investment excellence is evidenced by our significant presence and long-term track records in nearly all sectors of the global securities markets.

  Causeway Capital Management LLC (“Causeway”)

Causeway’s international developed market investment philosophy is based on a long-term value strategy and the investment team applies an active, bottom-up, research-intensive approach towards stock selection. Causeway’s investment approach seeks to identify under-priced stocks of high quality companies believed to be exhibiting superior financial strength as compared to peers. In addition to fundamental analysis, quantitative research is considered an integral part of the process and is used for screenings of investment candidates as well as risk management. Portfolio managers work as a team to make investment decisions and are supported by the firm’s dedicated fundamental and quantitative research analysts. Analysts and portfolio managers are assigned global industryspecific research responsibilities. Fundamental research is further organized

As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway International Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Causeway Capital Management, LLC (“Causeway”), OppenheimerFunds, Inc. (“OFI”), Schroder Investment Management North America, Inc. (“Schroders”), Victory Capital Management, Inc. (“Victory Capital”) and Wellington Management Company LLP (“Wellington”).

For the fiscal year ending August 31, 2019, the Fund returned-6.34% compared to the MSCI EAFE® Index (Net)ix return of-3.26%. The Fund’s relative country selection detracted slightly from performance while individual stock selection within those countries was the main detractor. Overall positioning was strongest in Brazil and weakest in Switzerland. The top five positions contributing to performance included Nestle, Novartis, AstraZeneca, Roche Holdings and Gold Fields Limited, while the top five detractors were Baidu, Encana, Total SA, Prudential PLC and Infineon Technologies.

The Fund’s holdings offered a dividend yield of 3.2% compared to the benchmark of 3.4%. On a valuation basis, the Fund’s forward P/E was 13.2, less than the benchmark which was 13.8. The estimated earnings per share growth over the next3-5 years is 9.9%, compared to the benchmark of 8.1%. The top ten individual positions by weight accounted for 11% of the Fund and included Total SA, Roche Holdings, Nestle, SAP SE, Takeda Pharmaceutical, Novartis, Royal Dutch Shell, Prudential, BP and UniCredit.

During the fiscal one year period, BlackRock performedin-line with the MSCI EAFE® Index (Net)ix, which matched its passive mandate to track the index.

The portion of the Fund managed by Causeway underperformed the Fund’s benchmark during the fiscal one year period. Detractors included country and individual security positioning along with their value bias. Overall positioning was strongest in Germany and weakest in the United Kingdom. The top five positions contributing to performance included Novartis, AstraZeneca, Cobham, Linde PLC and Linde AG TEMP, while the top five detractors included Baidu, British American Tobacco, Encana, Prudential and BASF. As of August 31, 2019, Causeway’s top ten positions represented 33% of their portfolio.

The portion of the Fund managed by OFI underperformed the Fund’s benchmark during the fiscal one year period. Country allocation contributed to relative performance while security selection within those countries detracted. Overall positioning was strongest in Japan and weakest in Switzerland. The top five positions contributing to performance included Alimentation Couche-Tard, ICICI Bank Limited, HOYA Corp., Edenred and EPAM Systems, while the top five detractors included Baidu, Valeo, Carnival, Infineon Technologies and AMS AG. As of August 31, 2019, OFI’s top ten positions represented 22% of their portfolio.

The portion of the Fund managed by Schroders outperformed the Fund’s benchmark during the fiscal one year period. Country allocation contributed to relative performance along with their growth bias, while individual security selection detracted somewhat. Overall positioning was strongest in Japan and weakest in Norway. The top five positions contributing to performance were Nestle, Diageo, B3 SA, Novartis and Smith & Nephew, while the top five detractors included

 

 

7


into six research clusters: financials/materials, consumer, industrial/ manufacturing, energy, technology and health care. Causeway’s unconstrained, international established market value equity approach invests in a variety of market capitalization ranges, but primarily in large- and midcapitalization non-U.S. developed market companies. Causeway can also invest in smallcap issues and less developed emerging markets. Value-driven security characteristics may include low price/earnings ratio, low price/ book ratio, low price/cash flow ratio and high dividend yield, but may also include outof- favor companies that may have high rates of growth of earnings. Sector and regional weights are byproducts of the investment process.

  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI EAFE® Index (Net). The Fund will be substantially invested in securities in the MSCI EAFE® Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI EAFE® Index (Net).

  OppenheimerFunds, Inc. (“OFI”)

OFI’s Global Equity team seeks to generate alpha through high conviction decisions driven by fundamental bottom-up analysis. Several secular growth themes are used as a way to focus attention on segments of the global marketplace that may grow faster than world GDP. The team’s investment process is driven by a number of very powerful, longterm economic, demographic and technological forces summarized as MANTRA® — Mass Affluence, New Technologies, Restructuring and Aging. The portfolio managers utilize a bottom-up, fundamental investment approach, and seek to invest initially in high-quality companies that are temporarily out of favor; trading at attractive valuations; and which demonstrate sustainable, above-average growth potential over a three- to five-year time horizon. The process is indexagnostic, searching for companies with high growth rates and high quality balance sheets with minimal focus with respect to region or country, sector or security.

  Schroder Investment Management North America, Inc. (“Schroders”)

Schroders uses a bottom-up growth oriented approach towards stock selection and employs a fundamental, research driven process to identify quality growth companies with attractive medium-term growth and valuation, quality management and financial position, and a sustainable competitive advantage. Schroders “best ideas” portfolio blends both core and opportunistic holdings.

Samsonite International, Total SA, Tenaris, Prudential and Norsk Hydro ASA. As of August 31, 2019, Schroders top ten positions represented 23% of their portfolio.

The portion of the Fund managed by Wellington underperformed the Fund’s benchmark during the fiscal one year period. Country allocation contributed to relative performance while their value bias and individual security selection detracted. Overall positioning was strongest in South Africa and weakest in Japan. The top five positions contributing to performance included Gazprom, Gold Fields Limited, Barrick Gold, Impala Platinum Holdings and Anglo American Platinum, while the top five detractors included J Sainsbury, CaixaBank, T&D Holdings, UBS Group and Centrica. As of August 31, 2019, Wellington’s top ten positions represented 21% of their portfolio.

The portion of the Fund managed by Victory Capital underperformed the Fund’s benchmark during the fiscal one year period. Their small cap bias along with weak country allocation and stock selection were the key detractors to relative performance. Overall positioning was strongest in Canada and weakest in Switzerland. The top five positions contributing to performance included Swiss Life Holding, Carl Zeiss Meditec, Kirkland Lake Gold, Northern Star Resources and Charter Hall Group, while the top five detractors included Canada Goose Holdings, Tamarack Valley Energy, Gran Tierra Energy, Georg Fischer and UT Group Co. As of August 31, 2019, Victory Capital’s top ten positions represented 12% of their portfolio.

 

 

8


The following graph depicts the performance of MSCI EAFE® Index (Net)ix vs. the Lipper International Large-Cap Core Funds Averagexxv

 

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

INTERNATIONAL EQUITY FUND

Comparison of $10,000 Investment in the Fund with the Morgan Stanley Capital International Europe, Australasia, Far
East (MSCI EAFE®) Index (Net) and the Lipper International Large-Cap Core Funds Average

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

INTERNATIONAL EQUITY FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

     Without
Annual
Advisory
Program
Fee
 With
Annual
Advisory
Program
Fee*
 MSCI
EAFE®
Index
(Net)**
 Lipper
International
Large-Cap
Core Funds
Average**
 Since inception 11/18/1991   5.04%   2.89%   4.97%   6.34%
 10 years   4.50   2.46   5.00   4.03
 5 years   1.27   (0.72)   1.89   0.14
 3 years   4.55   2.50   5.91   4.58
  1 year   (6.34)   (8.20)   (3.26)   (5.03)

See pages 25 through 28 for all footnotes.

 

 

9


LOGO

 

Emerging Markets Equity Fund

 

ABOUTTHE SUB-ADVISERS

  Van Eck Associates Corporation (“VanEck”)

VanEck is privately held global asset management firm founded in 1955. VanEck’s mission is to develop and offer investors forward-looking, intelligently designed investment strategies that strengthen a longterm portfolio. VanEck’s Emerging Markets Equity Strategy (“Strategy”) seeks long-term competitive risk-adjusted returns through investments that demonstrate structural growth at a reasonable price. The Strategy seeks to uncover structural growth opportunities wherever they exist within emerging markets, and employs a fundamentally driven stock selection and research process with the flexibility to invest across the market capitalization spectrum.

  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI Emerging Market Index (Net). The Fund will be substantially invested in securities in the MSCI Emerging Market Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI Emerging Market Index (Net).

  Lazard Asset Management LLC (“Lazard”)

Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage.
Lazard manages a relative value strategy (“Value Strategy”) and invests primarily in equity securities, principally common stocks, of non-U.S. companies whose principal activities are located in emerging or developing market countries. In the Value

As of August 31, 2019, theSub-advisers for the Morgan Stanley Pathway Emerging Markets Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Van Eck Associates Corporation (“VanEck”) and Lazard Asset Management LLC (“Lazard”).

For the fiscal year ending August 31, 2019, the Fund returned-0.40% compared to the MSCI Emerging Markets Index (Net)xii return of-4.36%. The outperformance can be contributed to a combination of strong country allocation and stock selection. Overall positioning was strongest in China and weakest in Russia. The top five positions contributing to performance included Kweichow Moutai Co., Yihai International Holding, Banco do Brasil, Ping An Insurance (Group) Company and Movida Participacoes, while the top five detractors included Baidu, China Construction Bank, Samsung Electronics Co LTD, AAC Technologies Holdings and Samsung Electronics Co, Ltd Preferred.

The Fund’s holdings offered a dividend yield of 2.6%, less than the MSCI Emerging Market’s Index (Net)xii yield of 2.9%. On a valuation basis, the Fund’s forward P/E was 13.0 compared to the benchmark which was 12.6. The estimated earnings per share growth over the next3-5 years is 11.7%, compared to the benchmark of 11.1%. The top ten individual positions by weight accounted for 22% of the Fund and included Alibaba Group Holding, Tencent Holdings, Samsung Electronics Co LTD, Ping An Insurance (Group) Company, Naspers Limited, Taiwan Semiconductor Manufacturing, China Construction Bank, SK hynix, NetEase and Banco do Brasil.

For the fiscal year ending August 31, 2019 BlackRock performedin-line with the MSCI Emerging Markets Index (Net)xii, which matched its passive mandate to track the index.

The portion of the Fund managed by VanEck outperformed the Fund’s benchmark during the fiscal one year period. The strategy’s growth bias along with strong country allocation and stock selection contributed to the positive relative performance. Overall positioning was strongest in China and weakest in Brazil. The top five positions contributing to performance included Kweichow Moutai Co, Yihai International Holding, Ping An Insurance (Group) Company, PT Bank Rakyat Indonesia and Movida Participacoes, while the top five detractors included Focus Media Information Technology, CIE Automotive, NMC Health, TaiMed Biologics and Samsung Electronics Co, Ltd Preferred. As of August 31, 2019, VanEck’s top ten positions represented 36% of their portfolio.

The portion of the Fund managed by Lazard outperformed the Fund’s benchmark during the fiscal one year period. Strong country allocation contributed to relative outperformance while stock selection slightly detracted. Overall positioning was strongest in Brazil and weakest in South Africa. The top five positions contributing to performance included NetEase, Gazprom, Banco do Brasil, CCR S.A., and Weichai Power Co., while the top five detractors included Baidu, Shoprite Holdings, YPF SA, AAC Technologies Holdings and Samsung Electronics Co, Ltd. As of August 31, 2019, Lazard’s top ten positions represented 31% of their portfolio.

 

 

10


Strategy, assets are invested in companies that are believed to be undervalued based on their earnings, cash flow or asset values. Lazard’s approach consists of an analytical framework, accounting validation, fundamental analysis and portfolio construction parameters and its selection process focuses on growth and considers the sustainability of growth and the tradeoff between valuation and growth.

The following graph depicts the performance of MSCI Emerging Markets Index (Net)Xii vs. the Lipper Emerging Markets Funds Averagexxvi

 

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

EMERGING MARKETS EQUITY FUND

Comparison of $10,000 Investment in the Fund with the MSCI Emerging Markets Index (Net)
and the Lipper Emerging Markets Funds Average

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

EMERGING MARKETS EQUITY FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

      Without
Annual
Advisory
Program
Fee
  With
Annual
Advisory
Program
Fee*
  MSCI
Emerging
Markets
Index
(Net)**
  Lipper
Emerging
Markets
Funds
Average**
 Since inception 4/20/1994    4.49%    2.44%    N/A    5.63%
 10 years    3.55    1.52    4.07    4.35
 5 years    0.65    (1.31)    0.38    0.28
 3 years    5.66    3.61    5.76    5.29
  1 year    (0.40)    (2.37)    (4.36)    (2.10)

See pages 25 through 28 for all footnotes.

 

 

11


LOGO

 

Core Fixed Income Fund

 

ABOUTTHE SUB-ADVISERS

  Metropolitan West Asset Management LLC (“MetWest”)

MetWest seeks to achieve consistent outperformance through the measured and diversified application of five fixed income management strategies, including: (i) duration management; (ii) yield curve positioning; (iii) sector allocation; (iv) security selection; and (v) opportunistic execution. Predicated on a long-term economic outlook, MetWest employs a value-oriented approach to managing fixed income that recognizes the periodic inefficient nature of over-the-counter markets and the mean-reverting characteristics of the investable universe.

  Western Asset Management Company (“Western”)

Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and subsector allocation; (ii) issue selection; (iii) duration; and (iv) term structure.

  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock’s Customized Core strategy employs a fundamental, diversified, relativevalue approach that seeks alpha by strategically allocating among three alpha sources — macro strategies, sector allocation and security selection — based on best and highest information ratio ideas, and aims to provide superior long-term performance relative to the benchmark index by creating a diversified portfolio of investment grade securities. A disciplined and risk-budgeted risk management framework which consists of determining interest rate risk, yield curve risk, cash flow risk, credit risk and liquidity risk of all securities.

As of August 31, 2019, theSub-advisers for the Morgan Stanley Pathway Core Fixed Income Fund (“Fund”) were Metropolitan West Asset Management LLC (“MetWest”), Western Asset Management Company (“Western”) and BlackRock Financial Management, Inc. (“BlackRock”).

For the fiscal year ending August 31, 2019, the Fund returned 10.39% compared its benchmark, the Bloomberg Barclays U.S. Aggregate Bond IndexTM Indexxvi which returned 10.17%.

The portion of the Fund managed by MetWest outperformed the Fund’s benchmark during the fiscal one year period. Benefiting portfolio returns was a longer duration profile, which, amid softer rates, has been reduced to slightly short the Index near the end of the period. The underweight to corporates further contributed as yield premiums increased given the aforementioned macro volatility, particularly in lower quality and those industries with more market risk such as energy and basic industry, while issue selection favoring communications and real estate investment trusts (REITS) was also beneficial. However, a modest drag came from the underweight tonon-U.S. sovereigns as yield spreads compressed amid accommodative language from global central bankers. With regards to the allocation to securitized products, agency mortgage-backed securities (MBS) was a drag, though boosting performance was legacynon-agency MBS, which continued to benefit from favorable demand and shrinking supply. Commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) added marginally as these outpaced the Index on a duration-adjusted basis. Finally, a small position in Japanese government issuedT-bills, with the yen exposure fully hedged out using adollar-yen cross currency swap, contributed modestly to performance.

The portion of the Fund managed BlackRock underperformed the Fund’s benchmark during the fiscal one year period. Over the past 12 months, the portfolio’s positioning and security selection within investment grade credit and overweight positioning in ABS and CMBS were the primary contributors to performance. This was offset by the portfolio’s duration and yield curve positioning as well as an allocation to TIPS. Overweight positioning in credit notably contributed to performance in the first quarter of 2019, as a more dovish Federal Reserve supported risk assets. In terms of duration positioning, the portfolio moved to an underweight position in March of 2019 and rates have continued to move lower on a more dovish Fed, weaker global data and geopolitical tensions, detracting from performance. The portfolio’s allocation to TIPS also detracted from performance, as geopolitical tensions and weaker energy prices weighed on inflation expectations. As of the end of the period, the portfolio holds an allocation to TIPS as well as overweight positions in securitized products and agency mortgages.

The portion of the Fund managed Western outperformed the Fund’s benchmark during the fiscal one year period. Duration and yield curve positioning, in aggregate, was the largest positive contributor to performance. The strategy’s duration posture and yield curve positioning shifted throughout the period in response to the changing macro environment and benefited as rates ultimately fell from the period beginning to end.Corporate bond exposures, including investment-grade and high-yield credit, benefitted performance. While spreads initially widened in late 2018, a meaningful spread tightening during the YTD period was beneficial for the strategy’s

 

 

12


 

The following graph depicts the performance of Bloomberg Barclays U.S. Aggregate BondTM Indexxvi vs. the Lipper Core Bond Funds Averagexxvii

overall performance. Emerging market debt detracted, driven largely by local currency positions, given the persistent strength of the U.S. dollar. Structured product positions,in aggregate, were positive for performance as fundamentals in the structured product markets were generally sound.

 

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

CORE FIXED INCOME FUND

Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays Capital U.S. Aggregate BondTM Index
and the Lipper Core Bond Funds Average

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

CORE FIXED INCOME FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

      Without
Annual
Advisory
Program
Fee
  With
Annual
Advisory
Program
Fee*
  Bloomberg
Barclays
Capital U.S.
Aggregate
BondTM
Index**
  Lipper
Core
Bond
Funds
Average**
 Since inception 11/18/1991    5.40%    3.31%    5.65%    5.50%
 10 years    4.55    2.49    3.91    4.11
 5 years    3.38    1.33    3.35    3.02
 3 years    3.25    1.20    3.09    2.97
  1 year    10.39    8.20    10.17    9.43

See pages 25 through 28 for all footnotes.

 

 

13


LOGO

 

High Yield Fund

 

ABOUTTHE SUB-ADVISERS

  Eaton Vance Management (“Eaton Vance”)

Eaton Vance monitors the credit quality of securities held by the Fund and other securities available to the Fund. Although Eaton Vance considers security ratings when making investment decisions, it performs its own credit and investment analysis utilizing various methodologies including “bottom up/ top down” analysis and consideration of macroeconomic and technical factors, and does not rely primarily on the ratings assigned by the rating services. Eaton Vance attempts to improve yield and preserve and enhance principal value through timely trading. Eaton Vance also considers the relative value of securities in the marketplace in making investment decisions.

  Western Asset Management Company (“Western”)

Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and subsector allocation; (ii) issue selection; (iii) duration; and (iv) term structure.

As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway High Yield Fund (“Fund”) were Western Asset Management Company (“Western”) and Eaton Vance Management (“Eaton Vance”).

For the fiscal year ending August 31, 2019, the Fund returned 5.58% compared to its benchmark, the Bloomberg Barclays U.S. Corporate High Yield Bond Indexxviiiwhich returned 6.56%.

The portion of the Fund managed by Eaton Vance outperformed the Fund’s benchmark during the fiscal one year period. While security selection was positive over this period, sector selection was modestly negative. Credit selection in the energy sector led performance relative to the Index; however, this was partially offset by adverse credit selection in the technology sector. Meanwhile an overweight in the outperforming environmental sector aided relative performance, but underweights in cable/satellite TV and banks & thrifts were detrimental to relative performance. At the end of the period, Eaton Vance was overweight the energy, utility and environmental sectors and underweight the homebuilders & real estate and telecommunications sectors.

The portion of the Fund managed by Western underperformed the Fund’s benchmark during the fiscal one year period. Asset class allocation detracted from relative performance given opportunistic exposure to bank loans, which generally underperformed high-yield. Rating positioning aided relative performance given the strategy’s underweight to CCCs, which underperformed higher-rated high-yield over the period. Industry allocation detracted from relative performance due in part to an overweight to underperforming energy. Allocation to underperforming sovereign emerging market (EM) positions (e.g., Argentina) also detracted from returns, while an overweight to outperforming financials was additive. Issue selection was overall modestly negative for relative performance. Exposure to underperforming re-organized equity positions in the energy space was the primary driver of underperformance as energy prices declined over the period. Elsewhere, exposure in basic industry underperformed the index while issuer tilts in communications and consumer cyclical outperformed. Duration positioning aided relative performance given an overweight stance as rates fell over the period.

 

 

14


The following graph depicts the performance of Bloomberg Barclays U.S. Corporate High Yield Bond Indexxviii vs. the Lipper High Yield Funds Averagexxviii

 

HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019

HIGH YIELD FUND

Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Corporate High Yield Bond Index
and the Lipper High Yield Funds Average

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

HIGH YIELD FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

     Without
Annual
Advisory
Program
Fee
 With
Annual
Advisory
Program
Fee*
 Bloomberg
Barclays U.S.
Corporate
High Yield
Bond
Index**
 Lipper
High
Yield Funds
Average**
 Since inception 7/13/1998   4.54%   2.49%   6.58%   5.53%
 10 years   7.22   5.12   8.50   7.38
 5 years   2.94   0.92   4.85   3.84
 3 years   5.79   3.71   6.17   5.36
  1 year   5.58   3.51   6.56   5.57

See pages 25 through 28 for all footnotes.

 

 

15


LOGO

 

International Fixed Income Fund

 

ABOUTTHE SUB-ADVISER

  Pacific Investment Management Company LLC (“PIMCO”)

PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities.

 

As of August 31, 2019, the Sub-adviser for the Morgan Stanley Pathway International Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).

For the fiscal year ending August 31, 2019, the Fund returned 10.01% compared to its benchmark, the FTSE Non-USD World Government Bond Index (USD) — Hedgedxxi which returned 12.86%.

PIMCO’s out-of-benchmark exposure to U.S. duration contributed to performance as U.S. rates fell across the curve. However, this was more than offset by yield curve positioning, including a yield curve steepening bias which detracted from performance as the yield curve continued to flatten over the period. Overall, non-U.S. developed market interest rate positioning detracted from performance, including an underweight to Japanese and Italian interest rates as yields in these countries fell. Spread strategies overall detracted from performance during the period. Select exposure to investment grade credit and Agency mortgage-backed securities detracted from performance. A modest allocation to U.S. TIPS also detracted from returns as inflation expectations dipped lower during the period. Lastly, overall currency strategies contributed to performance, including short exposure to the euro which depreciated relative the U.S. dollar and long exposure to the Russian ruble which appreciated relative the U.S. dollar.

 

 

16


The following graph depicts the performance of the FTSE Non-USD World Government Bond Index (USD) - Hedgedxxi vs. the FTSE Non-USD World Government Bond Index (USD) - Unhedgedxxi and the Lipper International Income Funds Averagexxix

 

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

INTERNATIONAL FIXED INCOME FUND

Comparison of $10,000 Investment in the Fund with the FTSE Non-USD World Government Bond Index (USD) — Hedged,
FTSE Non-USD World Government Bond Index (USD) — Unhedged and the Lipper International Income Funds Average

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

INTERNATIONAL FIXED INCOME FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

     Without
Annual
Advisory
Program
Fee
 With
Annual
Advisory
Program
Fee*
 FTSE
Non-
USD
WGBI
(USD) -
Hedged**
 FTSE
Non-USD
WGBI
(USD) -
Unhedged**
 Lipper
International
Income
Funds
Average**
 Since inception 11/18/1991   5.93%   3.78%   6.18%   5.19%   5.35%
 10 years   5.11   3.03   4.62   1.58   2.89
 5 years   4.56   2.50   5.12   0.70   0.75
 3 years   4.34   2.27   4.51   1.48   2.01
  1 year   10.01   7.84   12.86   7.33   6.27

See pages 25 through 28 for all footnotes.

 

 

17


LOGO

 

Municipal Bond Fund

 

ABOUTTHE SUB-ADVISER

  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock seeks to build a high quality municipal bond portfolio that offers an attractive level of tax free income and capital preservation while providing stability and consistency throughout full market cycles. By way of comprehensive sector analysis, a rigorous credit review and sophisticated risk management technology, BlackRock’s seasoned portfolio managers strive to capture market inefficiencies.

As of August 31, 2019, the Sub-adviser for the Morgan Stanley Pathway Municipal Bond Fund (“Fund”) was BlackRock Financial Management, Inc. (“BlackRock”). As of February 25, 2019, BlackRock replaced McDonnell Investment Management, LLC as the sole Sub-adviser of the Fund.

For the fiscal year ending August 31, 2019, the Fund returned 8.38% compared to its benchmark, the Bloomberg Barclays U.S. Municipal Bond Indexxx which returned 8.72%.

BlackRock’s positioning since their inception included the following: Curve positioning, particularly overweight exposure to 8-12 and 15-18 year maturities was additive to performance. Overweight exposure to A credits and to Education and Utilities sectors was also additive to performance. Duration management via hedges and underweight exposure to tax backed credits detracted performance. The portfolio’s higher quality investment grade exposure has detracted from performance as BBB credits have outperformed their higher quality peers to date.

 

 

18


The following graph depicts the performance of the Bloomberg Barclays U.S. Municipal Bond Indexxx vs. the Lipper General & Insured Municipal Debt Funds Averageiv

 

HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019

MUNICIPAL BOND FUND

Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Municipal Bond Index
and the Lipper General & Insured Municipal Debt Funds Average

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

MUNICIPAL BOND FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

     Without
Annual
Advisory
Program
Fee
 With
Annual
Advisory
Program
Fee*
 Bloomberg
Barclays
U.S.
Municipal
Bond
Index**
 Lipper
General &
Insured
Municipal
Debt
Funds
Average**
 Since inception 11/18/1991   4.76%   2.65%   5.50%   5.07%
 10 years   3.92   1.86   4.62   4.76
 5 years   3.22   1.18   3.85   3.70
 3 years   2.57   0.53   3.30   3.10
  1 year   8.38   6.23   8.72   8.35

See pages 25 through 28 for all footnotes.

 

 

19


LOGO

 

Inflation-Linked Fixed Income Fund

 

ABOUTTHE SUB-ADVISER

  Pacific Investment Management Company LLC (“PIMCO”)

PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities.

 

 

As of August 31, 2019, the Sub-adviser for the Morgan Stanley Pathway Inflation-Linked Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).

For the fiscal year ending August 31, 2019, the Fund returned 6.42% compared to its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Indexxix which returned 7.46%.

An overweight to U.S. duration contributed to performance as U.S. Treasury yields fell over the period. Non-U.S. interest rate strategies detracted from performance, including an underweight to core European and UK rates as yields in these regions fell. An overweight to U.S. breakeven inflation detracted from performance as U.S. breakeven levels dipped lower as market risk sentiment soured. Short exposure to European breakeven inflation contributed to performance as European breakevens underperformed on slowing growth momentum and weak inflationary pressures. Within spread sectors, holdings of select Agency mortgage-backed securities detracted from performance as the sector underperformed like-duration Treasuries. Lastly, tactical exposure to higher carry emerging market currencies contributed to performance.

 

 

20


The following graph depicts the performance of the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Indexxix vs. the Lipper Inflation Protected Bond Funds Averagevi

 

HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019
INFLATION-LINKED FIXED INCOME FUND

Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Treasury Inflation Protected Securities
(TIPS) Index vs. the Lipper Inflation Protected Bond Funds Average

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

INFLATION-LINKED FIXED INCOME FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

      Without
Annual
Advisory
Program
Fee
  With
Annual
Advisory
Program
Fee*
  Bloomberg
Barclays U.S.
Treasury
Inflation
Protected
Securities
(TIPS)
Index**
  Lipper
Inflation
Protected
Bond
Funds
Average**
 Since inception 3/9/2016    2.92%    1.53%    3.60%    2.90%
 10 years    N/A    N/A    3.82    3.05
 5 years    N/A    N/A    2.21    1.45
 3 years    2.64    0.60    2.87    2.42
  1 year    6.42    4.31    7.46    5.50

See pages 25 through 28 for all footnotes.

 

 

21


LOGO

 

Ultra-Short Term Fixed Income Fund

 

ABOUTTHE SUB-ADVISER

 ��Pacific Investment Management Company LLC (“PIMCO”)

PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities.

 

 

As of August 31, 2019, theSub-adviser for the Morgan Stanley Pathway Ultra-Short Term Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).

For the fiscal year ending August 31, 2019, the Fund returned 2.07% compared to its benchmark, the FTSE3-Month U.S. Treasury Bill Indexxvwhich returned 2.36%.

Overall interest rate strategies were negative for performance including an underweight to U.S. duration as U.S. Treasury yields fell during the period. Additionally, a focus on short rates detracted from performance as short rates underperformed intermediate andlong-end rates during theperiod. Non-U.S. interest rate strategies contributed to performance, including exposure to core European and Canadian rates as yields in these countries fell over the period. Overall spread sector strategies were positive for performance. An allocation to short-duration investment grade corporate credit added to performance as the sector outperformed like-duration Treasuries. Select holdings of securitized credit, primarilynon-Agency mortgage-backed securities, were positive for performance. Overall currency strategies contributed to performance including short exposure to the euro as the euro depreciated relative the U.S. dollar.

 

 

22


The following graph depicts the performance of the FTSE3-Month U.S. Treasury Bill Indexxv vs. the Lipper Ultra-Short Obligations Funds Averagexiii

 

HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019
ULTRA-SHORT TERM FIXED INCOME FUND

Comparison of $10,000 Investment in the Fund with the FTSE3-Month U.S. Treasury Bill Index vs. the Lipper
Ultra-Short Obligations Funds Average

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website atwww.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

ULTRA-SHORT TERM FIXED INCOME FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

      Without
Annual
Advisory
Program
Fee
  With
Annual
Advisory
Program
Fee*
  FTSE
3-Month
U.S.
Treasury
Bill
Index**
  Lipper
Ultra-
Short
Obligations
Funds
Average**
 Since inception 3/9/2016    2.14%    0.03%    1.30%    1.88%
 10 years    N/A    N/A    0.50    1.11
 5 years    N/A    N/A    0.92    1.29
 3 years    2.10    0.08    1.47    1.84
  1 year    2.07    0.05    2.36    2.73

See pages 25 through 28 for all footnotes.

 

 

23


LOGO

 

Alternative Strategies Fund

 

ABOUTTHE MANAGER

  Consulting Group Advisory Services, LLC

Consulting Group Advisory Services, LLC is a business of Morgan Stanley Wealth Management (“MSWM”). MSWM is one of the largest financial services firms in the U.S. with branch offices in all 50 states and the District of Columbia. MSWM’s advisory services are provided by its Consulting Group and Wealth Management Investment Resources business units.

During the fiscal one year period ending August 31, 2019, the Morgan Stanley Pathway Alternative Strategies Fund (“Fund”) returned 2.90% compared to its benchmark, the HFRX Global Hedge Fund Indexxxii which returned-1.12%.

Contributing to performance were exposures to strategies including multi-alternatives,non-traditional bond, long-short credit, market neutral and managed futures. Exposure to energy and master limited partnerships were a key detractor.

 

HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019
ALTERNATIVE STRATEGIES FUND

Comparison of $10,000 Investment in the Fund with the HFRX Global Hedge Fund Index

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website atwww.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

  

ALTERNATIVE STRATEGIES FUND

Average Annual Total Returns for the Period Ended August 31, 2019†

      Without
Annual
Advisory
Program
Fee
    With
Annual
Advisory
Program
Fee*
    HFRX
Global Hedge
Fund Index
 Since inception 2/15/2018    1.24%      (0.76)%      (2.55)%
 10 years    N/A      N/A      1.25
 5 years    N/A      N/A      0.08
 3 years    N/A      N/A      1.97
  1 year    2.90      0.87      (1.12)

See pages 25 through 28 for all footnotes.

 

 

24


FOOTNOTES

 

 All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. To obtain performance data current to the most recentmonth-end, please visit our website at https://www.morganstanley.com/wealth-investmentsolutions/cgcm/.

 

* The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.00%.

 

** Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

 

i. The S&P 500® Index tracks the performance of 500 widely held, large- capitalization U.S. stocks. Please note that an investor cannot invest directly in an index.

 

ii. The Russell 1000® Index measures the performance of the 1,000 largest U.S. companies based on the market capitalization. Please note that an investor cannot invest directly in an index.

 

iii. The U.S.large-cap Russell 1000® Growth Index measures the performance of those Russell 1000® Index companies with higherprice-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

iv. The Lipper General & Insured Municipal Debt Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that either invest primarily in municipal debt issues rated in the top four credit ratings or invest primarily in municipal debt issues insured as to timely payment. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

 

v. The Russell 2500® Index includes the smallest 2,500 U.S. companies out of the Russell 3000® Index universe. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

vi. The Lipper Inflation Protected Bond Funds Average — These are equally weighted total returns using all the active funds available within the category. Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Inflation protected bond funds invest primarily in inflation-indexed fixed income securities issued in the United States. Inflation-indexed bonds are fixed income securities that are structured to provide protection against inflation.

 

vii. The U.S.small-cap Russell 2000® Growth Index measures the performance of those Russell 2000® Index companies with higherprice-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

viii. The Russell 2000® Value Index measures the performance of those Russell 2000® Index companies with lowerprice-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

ix. 

The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE® Index (Net) consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the

 

 

25


 Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable tonon-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

x. The MSCI EAFE® Growth Index captures large andmid-cap securities exhibiting overall growth style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. Please note that an investor cannot invest directly in an index.

 

xi. The MSCI EAFE® Value Index captures large andmid-cap securities exhibiting overall value style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The value investment style characteristics for index construction are defined using three variables: book value to price,12-month forward earnings to price and dividend yield. Please note that an investor cannot invest directly in an index.

 

xii. The MSCI Emerging Markets Index (Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 26 emerging market country indexes: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Emirates. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to nonresident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

xiii. The Lipper Ultra-Short Obligations Funds Average — These are equally weighted total returns using all the active funds available within the category. Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Ultra short obligations funds invest primarily in investment-grade debt issues or better and maintain a portfolio dollar-weighted average maturity between 91 days and 365 days.

 

xiv. The MSCI Emerging Markets Value Index (Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 26 emerging market country indexes: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Emirates. The value investment style characteristics for index construction are defined using three variables: book value to price,12-month forward earnings to price and dividend yield. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to nonresident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

xv. The FTSE3-Month U.S. Treasury Bill Index — Equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over or reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. The yield curve average is the basis for calculating the return on the index. The index is rebalanced monthly by market capitalization. Please note that an investor cannot invest directly in an index.

 

 

 

26


xvi. The Bloomberg Barclays U.S. Aggregate BondTM Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related, and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

xvii. The Bloomberg Barclays Global Aggregate Bond Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. Please note that an investor cannot invest directly in an index.

 

xviii. The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the market of U.S. dollar-denominated,non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

xix. The Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged market index comprised of all U.S. Treasury Inflation Protected Securities rated investment grade(Baa3/BBB- or better), have at least one year to final maturity, and at least $250 million par amount outstanding. Please note that an investor cannot invest directly in an index.

 

xx. The Bloomberg Barclays U.S. Municipal Bond Index covers the U.S. dollar-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, andpre-refunded bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

xxi. The FTSENon-USD World Government Bond Index (USD) Hedged and Unhedged are eachsub-indices of the FTSE World Government Bond Index (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan regions. TheNon-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

 

 xxii. The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilizestate-of-the-art quantitative techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus.

 

xxiii. The LipperLarge-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) greater than 300% of the dollar weighted median market capitalization of the middle 1,000 securities of the S&P SuperComposite 1500® Index.Large-cap core funds have more latitude in the companies in which they invest. These funds typically have an averageprice-to-earnings ratio,price-to-book ratio, and three-yearsales-per-share growth value, compared to the S&P 500® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

  xxiv. The LipperSmall-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of funds that, by portfolio

 

 

27


practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) less than 250% of the dollar weighted median of the smallest 500 of the middle 1,000 securities of the S&P SuperComposite 1500® Index.Small-cap core funds have more latitude in the companies in which they invest. These funds typically have an averageprice-to-earnings ratio,price-to-book ratio, and three-yearsales-per-share growth value, compared to the S&P SmallCap 600® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

   xxv. The Lipper InternationalLarge-Cap Core Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that, by portfolio practice, invest at least 75% of their equity assets in companies outside of the U.S. with market capitalizations (on a three-year weighted basis) above Lipper’s internationallarge-cap floor. Internationallarge-cap core funds typically have average characteristics compared to theirlarge-cap-specific subset of the MSCI EAFE® Index (Net). The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

 

xxvi. The Lipper Emerging Markets Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that seek long-term capital appreciation by investing at least 65% of total assets in emerging market equity securities, where “emerging market” is defined by a country’s GNP per capita or other economic measures. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

 

xxvii. The Lipper Core Bond Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that invest at least 85% of their assets in domestic investment-grade debt issues (rated in top four grades) with any remaining in investment innon-benchmark sectors such as high-yield, global, and emerging market debt. These funds maintain dollar-weighted average maturities of five to ten years. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xxviii. The Lipper High Yield Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that aim at high (relative) current yield from fixed income securities, have no quality or maturity restrictions, and tend to invest in lower grade debt issues. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

 

  xxix. The Lipper International Income Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that state in their prospectus that they invest primarily in U.S. dollar andnon-U.S. dollar debt securities of issuers located in at least three countries, excluding the United States, except in periods of market weakness. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.
 

 

28


   
Fund Expenses  
   

 

Example

As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which may be up to 2.00%; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. This example is based on an investment of $1,000 invested on March 1, 2019 and held for the six months ended August 31, 2019.

Actual Expenses

The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account during this period, divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expense Paid During the Period.”

 

Based on Actual Total Return(1)
Fund  Total Return
Without Annual
Advisory Program
Fees(2)
 Beginning
Account
Value
  Ending
Account
Value
  Annualized
Expense
Ratios(3)
 Expense
Paid During
the Period(4)

Large Cap Equity Fund

    4.03%  $1,000.00   $1,040.30    0.48%  $2.47

Small-Mid Cap Equity Fund

    -0.64%   1,000.00    993.60    0.68%   3.42

International Equity Fund

    -1.86%   1,000.00    981.40    0.68%   3.40

Emerging Markets Equity Fund

    -1.75%   1,000.00    982.50    0.82%   4.10

Core Fixed Income Fund

    8.01%   1,000.00    1,080.10    0.56%   2.94

High Yield Fund

    4.65%   1,000.00    1,046.50    1.21%   6.24

International Fixed Income Fund

    7.74%   1,000.00    1,077.40    1.30%   6.81

Municipal Bond Fund

    5.55%   1,000.00    1,055.50    0.75%   3.89

Inflation-Linked Fixed Income Fund

    6.72%   1,000.00    1,067.20    1.33%   6.93

Ultra-Short Term Fixed Income Fund

    1.01%   1,000.00    1,010.10    0.67%   3.39

Alternative Strategies Fund

    4.02%   1,000.00    1,040.20    0.70%   3.60

 

(1)

For the six months ended August 31, 2019.

(2)

Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable advisory program charge, which may be up to 2.00% depending on the particular program through which you invest. Total return is not annualized as it may not be representative of the total return for the year. Performance figure may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower.

(3)

Annualized Expense Ratios are based on the most recent 6 months expense ratios, which may differ from expense ratios in the Financial Highlights.

(4)

Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (184 days) in the most recent fiscal half-year, then divided by 365 (to reflect the one-half year period).

 

29


   
Fund Expenses  
(continued)  

 

Hypothetical Example for Comparison Purposes

The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in each Fund and other funds. To do so, compare the 5.00% hypothetical example relating to a Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any advisory program annual fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these advisory program annual fees were included, your costs would have been higher.

 

Based on Hypothetical Total Return(1)
Fund  Hypothetical
Annualized
Total Return
 Beginning
Account
Value
  Ending
Account
Value
  Annualized
Expense
Ratios(2)
 Expense
Paid During
the Period(3)

Large Cap Equity Fund

    5.00%  $1,000.00   $1,022.79    0.48%  $2.45

Small-Mid Cap Equity Fund

    5.00%   1,000.00    1,021.78    0.68%   3.47

International Equity Fund

    5.00%   1,000.00    1,021.78    0.68%   3.47

Emerging Markets Equity Fund

    5.00%   1,000.00    1,021.07    0.82%   4.18

Core Fixed Income Fund

    5.00%   1,000.00    1,022.38    0.56%   2.85

High Yield Fund

    5.00%   1,000.00    1,019.11    1.21%   6.16

International Fixed Income Fund

    5.00%   1,000.00    1,018.65    1.30%   6.61

Municipal Bond Fund

    5.00%   1,000.00    1,021.42    0.75%   3.82

Inflation-Linked Fixed Income Fund

    5.00%   1,000.00    1,018.50    1.33%   6.77

Ultra-Short Term Fixed Income Fund

    5.00%   1,000.00    1,021.83    0.67%   3.41

Alternative Strategies Fund

    5.00%   1,000.00    1,021.68    0.70%   3.57

 

(1)

For the six months ended August 31, 2019.

(2)

Annualized Expense Ratios are based on the most recent 6 months expense ratios, which may differ from net expense ratios in the Financial Highlights.

(3)

Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (184 days) in the most recent fiscal half-year, then divided 365 (to reflect the one-half year period).

 

30


   
Schedules of Investments  
August 31, 2019  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

COMMON STOCKS — 95.2%

 
 

COMMUNICATION SERVICES — 8.8%

 
 

Diversified Telecommunication Services — 2.0%

 
 461,364     AT&T Inc.  $16,267,695 
 31,941     CenturyLink Inc.   363,488 
 2,907     GCI Liberty Inc., Class A Shares*   180,932 
 252,874     Verizon Communications Inc.   14,707,152 
 6,622     Zayo Group Holdings Inc.*   222,896 
      

 

 

 
    Total Diversified Telecommunication Services   31,742,163 
      

 

 

 
 

Entertainment — 1.7%

 
 89,567     Activision Blizzard Inc.   4,532,090 
 3,132     Cinemark Holdings Inc.   119,517 
 44,506     Electronic Arts Inc.*   4,169,322 
 736     Liberty Media Corp-Liberty Formula One, Class A Shares*   29,138 
 5,789     Liberty Media Corp-Liberty Formula One, Class C Shares*   241,633 
 1,492     Lions Gate Entertainment Corp., Class A Shares   13,473 
 3,040     Lions Gate Entertainment Corp., Class B Shares   25,354 
 3,783     Live Nation Entertainment Inc.*   262,956 
 549     Madison Square Garden Co. (The), Class A Shares*   138,529 
 12,372     Netflix Inc.*   3,634,275 
 3,461     Spotify Technology SA*   467,062 
 3,292     Take-Two Interactive Software Inc.*   434,445 
 304     Viacom Inc., Class A Shares   8,290 
 10,379     Viacom Inc., Class B Shares   259,268 
 92,259     Walt Disney Co. (The)   12,663,471 
 1,268     World Wrestling Entertainment Inc., Class A Shares   90,573 
 25,107     Zynga Inc., Class A Shares*   143,361 
      

 

 

 
    Total Entertainment   27,232,757 
      

 

 

 
 

Interactive Media & Services — 4.0%

 
 17,769     Alphabet Inc., Class A Shares*   21,154,527 
 12,314     Alphabet Inc., Class C Shares*   14,630,263 
 128,636     Facebook Inc., Class A Shares*   23,883,846 
 2,180     IAC/InterActiveCorp.*   555,115 
 1,592     Match Group Inc.(a)   135,002 
 3,112     TripAdvisor Inc.*   118,225 
 22,092     Twitter Inc.*   942,224 
 1,686     Zillow Group Inc., Class A Shares*   57,611 
 3,679     Zillow Group Inc., Class C Shares*(a)   126,668 
      

 

 

 
    Total Interactive Media & Services   61,603,481 
      

 

 

 
 

Media — 1.0%

 
 9,722     Altice USA Inc., Class A Shares*   280,771 
 1,285     AMC Networks Inc., Class A Shares*   62,323 
 126     Cable One Inc.   163,500 
 9,702     CBS Corp., Class B Shares   408,066 
 4,687     Charter Communications Inc., Class A Shares*   1,919,748 
 195,933     Comcast Corp., Class A Shares   8,671,995 
 4,573     Discovery Inc., Class A Shares*   126,215 
 10,238     Discovery Inc., Class C Shares*   266,495 
 6,610     DISH Network Corp., Class A Shares*   221,832 
 10,291     Fox Corp., Class A Shares   341,352 
 4,804     Fox Corp., Class B Shares   157,571 
 11,304     Interpublic Group of Cos., Inc. (The)   224,724 
 1,295     John Wiley & Sons Inc., Class A Shares   57,628 
 727     Liberty Broadband Corp., Class A Shares*   76,153 

 

See Notes to Financial Statements.

 

31


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

COMMUNICATION SERVICES — 8.8% — (continued)

 
 

Media — 1.0% (continued)

 
 3,093     Liberty Broadband Corp., Class C Shares*  $326,126 
 2,474     Liberty Media Corp-Liberty SiriusXM, Class A Shares*   100,172 
 4,618     Liberty Media Corp-Liberty SiriusXM, Class C Shares*   188,461 
 4,670     New York Times Co. (The), Class A Shares   136,364 
 11,011     News Corp., Class A Shares   151,401 
 3,589     News Corp., Class B Shares   50,820 
 1,279     Nexstar Media Group Inc., Class A Shares   126,480 
 6,401     Omnicom Group Inc.   486,860 
 1,765     Sinclair Broadcast Group Inc., Class A Shares   78,666 
 41,549     Sirius XM Holdings Inc.(a)   256,357 
 2,508     Tribune Media Co., Class A Shares   116,823 
      

 

 

 
    Total Media   14,996,903 
      

 

 

 
 

Wireless Telecommunication Services — 0.1%

 
 16,611     Sprint Corp.*   112,789 
 2,906     Telephone & Data Systems Inc.   73,231 
 9,183     T-Mobile US Inc.*   716,733 
 446     United States Cellular Corp.*   16,052 
      

 

 

 
    Total Wireless Telecommunication Services   918,805 
      

 

 

 
    TOTAL COMMUNICATION SERVICES   136,494,109 
      

 

 

 
 

CONSUMER DISCRETIONARY — 10.3%

 
 

Auto Components — 0.4%

 
 33,210     Adient PLC   669,846 
 50,127     Aptiv PLC   4,169,063 
 6,111     BorgWarner Inc.   199,402 
 7,490     Gentex Corp.   199,234 
 92,970     Goodyear Tire & Rubber Co. (The)   1,066,366 
 1,824     Lear Corp.   204,762 
 19,699     Tenneco Inc., Class A Shares   171,775 
      

 

 

 
    Total Auto Components   6,680,448 
      

 

 

 
 

Automobiles — 0.2%

 
 114,804     Ford Motor Co.   1,052,753 
 36,434     General Motors Co.   1,351,337 
 4,527     Harley-Davidson Inc.   144,411 
 4,126     Tesla Inc.*(a)   930,867 
 1,451     Thor Industries Inc.   66,615 
      

 

 

 
    Total Automobiles   3,545,983 
      

 

 

 
 

Distributors — 0.1%

 
 4,124     Genuine Parts Co.   372,356 
 9,268     LKQ Corp.*   243,471 
 1,140     Pool Corp.   223,873 
      

 

 

 
    Total Distributors   839,700 
      

 

 

 
 

Diversified Consumer Services — 0.3%

 
 1,684     Bright Horizons Family Solutions Inc.*   277,944 
 2,539     frontdoor Inc.*   130,352 
 127     Graham Holdings Co., Class B Shares   89,416 
 1,391     Grand Canyon Education Inc.*   174,710 
 5,971     H&R Block Inc.   144,618 
 30,268     New Oriental Education & Technology Group Inc., ADR*   3,432,391 
 5,158     Service Corp. International   238,815 
 3,996     ServiceMaster Global Holdings Inc.*   227,932 
      

 

 

 
    Total Diversified Consumer Services   4,716,178 
      

 

 

 

 

See Notes to Financial Statements.

 

32


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

CONSUMER DISCRETIONARY — 10.3% — (continued)

 
 

Hotels, Restaurants & Leisure — 1.4%

 
 6,921     Aramark  $282,792 
 16,533     Caesars Entertainment Corp.*   190,295 
 11,680     Carnival Corp.   514,854 
 3,490     Chipotle Mexican Grill Inc., Class A Shares*   2,926,086 
 983     Choice Hotels International Inc.   89,433 
 3,610     Darden Restaurants Inc.   436,738 
 1,214     Domino’s Pizza Inc.   275,384 
 2,281     Dunkin’ Brands Group Inc.   188,046 
 5,326     Extended Stay America Inc.   74,830 
 2,633     Hilton Grand Vacations Inc.*   88,916 
 8,351     Hilton Worldwide Holdings Inc.   771,382 
 1,118     Hyatt Hotels Corp., Class A Shares   80,664 
 3,112     International Game Technology PLC   37,282 
 9,993     Las Vegas Sands Corp.   554,312 
 8,143     Marriott International Inc., Class A Shares   1,026,506 
 22,540     McDonald’s Corp.   4,913,044 
 15,249     MGM Resorts International   427,887 
 6,358     Norwegian Cruise Line Holdings Ltd.*   322,668 
 24,774     Planet Fitness Inc., Class A Shares*   1,749,292 
 5,050     Royal Caribbean Cruises Ltd.   526,614 
 2,187     Six Flags Entertainment Corp.   129,405 
 35,568     Starbucks Corp.   3,434,446 
 1,178     Vail Resorts Inc.   278,338 
 5,249     Wendy’s Co. (The)   115,478 
 2,708     Wyndham Destinations Inc.   120,073 
 2,835     Wyndham Hotels & Resorts Inc.   145,662 
 2,898     Wynn Resorts Ltd.   319,215 
 10,621     Yum China Holdings Inc.   482,512 
 8,985     Yum! Brands Inc.   1,049,268 
      

 

 

 
    Total Hotels, Restaurants & Leisure   21,551,422 
      

 

 

 
 

Household Durables — 0.4%

 
 9,976     DR Horton Inc.   493,513 
 4,185     Garmin Ltd.   341,370 
 3,928     Leggett & Platt Inc.   146,082 
 8,240     Lennar Corp., Class A Shares   420,240 
 460     Lennar Corp., Class B Shares   18,635 
 1,776     Mohawk Industries Inc.*   211,149 
 11,127     Newell Brands Inc.   184,708 
 93     NVR Inc.*   334,707 
 7,657     PulteGroup Inc.   258,807 
 2,401     Roku Inc., Class A Shares*   363,415 
 1,345     Tempur Sealy International Inc.*   103,726 
 3,986     Toll Brothers Inc.   144,253 
 24,361     Whirlpool Corp.   3,388,372 
      

 

 

 
    Total Household Durables   6,408,977 
      

 

 

 
 

Internet & Direct Marketing Retail — 3.5%

 
 34,877     Alibaba Group Holding Ltd., ADR*   6,104,521 
 19,006     Amazon.com Inc.*   33,760,168 
 4,017     Booking Holdings Inc.*   7,899,069 
 58,944     eBay Inc.   2,374,854 
 3,562     Etsy Inc.*   188,038 
 4,059     Expedia Group Inc.   528,076 
 21,213     GrubHub Inc.*(a)   1,258,780 

 

See Notes to Financial Statements.

 

33


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

CONSUMER DISCRETIONARY — 10.3% — (continued)

 
 

Internet & Direct Marketing Retail — 3.5% — (continued)

 
 169,744     Qurate Retail Inc., Class A Shares*  $1,817,958 
 1,803     Wayfair Inc., Class A Shares*   203,270 
      

 

 

 
    Total Internet & Direct Marketing Retail   54,134,734 
      

 

 

 
 

Leisure Products — 0.2%

 
 32,833     Brunswick Corp.   1,530,018 
 3,403     Hasbro Inc.   375,929 
 9,893     Mattel Inc.*(a)   96,951 
 1,685     Polaris Inc.   138,204 
      

 

 

 
    Total Leisure Products   2,141,102 
      

 

 

 
 

Multiline Retail — 0.7%

 
 7,613     Dollar General Corp.   1,188,313 
 80,016     Dollar Tree Inc.*   8,124,024 
 4,713     Kohl’s Corp.   222,736 
 9,273     Macy’s Inc.   136,870 
 3,084     Nordstrom Inc.(a)   89,344 
 1,517     Ollie’s Bargain Outlet Holdings Inc.*   84,118 
 14,636     Target Corp.   1,566,637 
      

 

 

 
    Total Multiline Retail   11,412,042 
      

 

 

 
 

Specialty Retail — 2.3%

 
 16,423     Advance Auto Parts Inc.   2,265,553 
 1,577     AutoNation Inc.*   74,844 
 727     AutoZone Inc.*   800,929 
 6,719     Best Buy Co., Inc.   427,664 
 1,928     Burlington Stores Inc.*   390,401 
 4,869     CarMax Inc.*   405,490 
 1,191     Carvana Co., Class A Shares*   96,662 
 1,998     Dick’s Sporting Goods Inc.   68,012 
 1,604     Five Below Inc.*   197,083 
 1,928     Floor & Decor Holdings Inc., Class A Shares*   94,896 
 3,306     Foot Locker Inc.   119,644 
 6,549     Gap Inc. (The)   103,409 
 45,336     Home Depot Inc. (The)   10,332,528 
 6,681     L Brands Inc.   110,303 
 131,656     Lowe’s Cos., Inc.   14,771,803 
 2,262     O’Reilly Automotive Inc.*   868,065 
 1,074     Penske Automotive Group Inc.   45,946 
 10,557     Ross Stores Inc.   1,119,148 
 3,577     Tiffany & Co.   303,580 
 35,657     TJX Cos., Inc. (The)   1,960,065 
 3,571     Tractor Supply Co.   363,814 
 1,654     Ulta Beauty Inc.*   393,205 
 2,081     Urban Outfitters Inc.*   48,716 
 2,290     Williams-Sonoma Inc.   150,682 
      

 

 

 
    Total Specialty Retail   35,512,442 
      

 

 

 
 

Textiles, Apparel & Luxury Goods — 0.8%

 
 53,014     Canada Goose Holdings Inc.*(a)   1,977,422 
 4,254     Capri Holdings Ltd.*   112,220 
 1,304     Carter’s Inc.   119,290 
 885     Columbia Sportswear Co.   83,004 
 144,789     Hanesbrands Inc.   1,977,818 
 3,462     lululemon athletica Inc.*   639,327 
 71,894     NIKE Inc., Class B Shares   6,075,043 

 

See Notes to Financial Statements.

 

34


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

CONSUMER DISCRETIONARY — 10.3% — (continued)

 
 

Textiles, Apparel & Luxury Goods — 0.8% — (continued)

 
 2,206     PVH Corp.  $167,215 
 1,543     Ralph Lauren Corp., Class A Shares   136,309 
 3,866     Skechers U.S.A. Inc., Class A Shares*   122,398 
 8,520     Tapestry Inc.   175,938 
 5,514     Under Armour Inc., Class A Shares*   102,615 
 5,736     Under Armour Inc., Class C Shares*   97,053 
 9,027     V.F. Corp.   739,763 
      

 

 

 
    Total Textiles, Apparel & Luxury Goods   12,525,415 
      

 

 

 
    TOTAL CONSUMER DISCRETIONARY   159,468,443 
      

 

 

 
 

CONSUMER STAPLES — 6.3%

 
 

Beverages — 1.9%

 
 29,380     Anheuser-Busch InBev SA, ADR(a)   2,776,410 
 1,557     Brown-Forman Corp., Class A Shares   89,636 
 5,041     Brown-Forman Corp., Class B Shares   297,369 
 337,793     Coca-Cola Co. (The)   18,592,127 
 4,652     Constellation Brands Inc., Class A Shares   950,636 
 6,045     Keurig Dr Pepper Inc.   164,908 
 5,104     Molson Coors Brewing Co., Class B Shares   262,141 
 11,337     Monster Beverage Corp.*   665,142 
 41,146     PepsiCo Inc.   5,625,892 
      

 

 

 
    Total Beverages   29,424,261 
      

 

 

 
 

Food & Staples Retailing — 0.9%

 
 1,052     Casey’s General Stores Inc.   176,578 
 21,271     Costco Wholesale Corp.   6,269,840 
 23,345     Kroger Co. (The)   552,809 
 3,218     Sprouts Farmers Market Inc.*   57,763 
 13,996     Sysco Corp.   1,040,323 
 6,397     US Foods Holding Corp.*   258,759 
 22,663     Walgreens Boots Alliance Inc.   1,160,119 
 41,250     Walmart Inc.   4,713,225 
      

 

 

 
    Total Food & Staples Retailing   14,229,416 
      

 

 

 
 

Food Products — 2.1%

 
 197,163     Archer-Daniels-Midland Co.   7,502,052 
 261     Beyond Meat Inc.*(a)   43,751 
 4,007     Bunge Ltd.   214,014 
 4,972     Campbell Soup Co.   223,740 
 267,692     Conagra Brands Inc.   7,591,745 
 5,576     Flowers Foods Inc.   127,133 
 17,588     General Mills Inc.   946,234 
 2,774     Hain Celestial Group Inc. (The)*   52,845 
 4,258     Hershey Co. (The)   674,808 
 8,234     Hormel Foods Corp.(a)   350,851 
 1,943     Ingredion Inc.   150,136 
 3,254     J.M. Smucker Co. (The)   342,191 
 7,222     Kellogg Co.   453,541 
 18,314     Kraft Heinz Co. (The)   467,373 
 4,330     Lamb Weston Holdings Inc.   304,789 
 12,178     McCormick & Co., Inc.   1,983,431 
 194,944     Mondelez International Inc., Class A Shares   10,764,808 
 1,576     Pilgrim’s Pride Corp.*   49,108 
 1,922     Post Holdings Inc.*   191,604 
 8     Seaboard Corp.   33,041 

 

See Notes to Financial Statements.

 

35


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

CONSUMER STAPLES — 6.3% — (continued)

 
 

Food Products — 2.1% — (continued)

 
 1,514     TreeHouse Foods Inc.*  $76,684 
 8,442     Tyson Foods Inc., Class A Shares   785,444 
      

 

 

 
    Total Food Products   33,329,323 
      

 

 

 
 

Household Products — 0.9%

 
 7,218     Church & Dwight Co., Inc.   575,852 
 3,764     Clorox Co. (The)   595,314 
 24,686     Colgate-Palmolive Co.   1,830,467 
 1,671     Energizer Holdings Inc.(a)   64,333 
 10,024     Kimberly-Clark Corp.   1,414,487 
 72,611     Procter & Gamble Co. (The)   8,730,021 
 952     Spectrum Brands Holdings Inc.   53,188 
      

 

 

 
    Total Household Products   13,263,662 
      

 

 

 
 

Personal Products — 0.1%

 
 8,462     Coty Inc., Class A Shares   80,812 
 6,305     Estee Lauder Cos., Inc. (The), Class A Shares   1,248,327 
 3,027     Herbalife Nutrition Ltd.*   104,220 
 1,667     Nu Skin Enterprises Inc., Class A Shares   67,713 
      

 

 

 
    Total Personal Products   1,501,072 
      

 

 

 
 

Tobacco — 0.4%

 
 54,955     Altria Group Inc.   2,403,732 
 45,653     Philip Morris International Inc.   3,291,125 
      

 

 

 
    Total Tobacco   5,694,857 
      

 

 

 
    TOTAL CONSUMER STAPLES   97,442,591 
      

 

 

 
 

ENERGY — 4.7%

 
 

Energy Equipment & Services — 0.8%

 
 2,264     Apergy Corp.*   58,819 
 15,131     Baker Hughes a GE Co., Class A Shares   328,192 
 369,254     Halliburton Co.   6,956,745 
 3,157     Helmerich & Payne Inc.   118,672 
 137,563     National Oilwell Varco Inc.   2,810,412 
 6,008     Patterson-UTI Energy Inc.   51,969 
 40,670     Schlumberger Ltd.   1,318,928 
 15,646     Transocean Ltd.*   71,189 
      

 

 

 
    Total Energy Equipment & Services   11,714,926 
      

 

 

 
 

Oil, Gas & Consumable Fuels — 3.9%

 
 6,739     Antero Midstream Corp.(a)   47,914 
 7,956     Antero Resources Corp.*   25,220 
 11,134     Apache Corp.   240,160 
 12,223     Cabot Oil & Gas Corp.   209,258 
 5,357     Centennial Resource Development Inc., Class A Shares*   25,821 
 6,829     Cheniere Energy Inc.*   407,760 
 37,981     Chesapeake Energy Corp.*(a)   54,693 
 56,002     Chevron Corp.   6,592,555 
 2,897     Cimarex Energy Co.   123,934 
 5,850     Concho Resources Inc.   427,927 
 160,524     ConocoPhillips   8,376,142 
 2,618     Continental Resources Inc.*   76,446 
 12,141     Devon Energy Corp.   266,981 
 4,820     Diamondback Energy Inc.   472,746 
 66,178     EOG Resources Inc.   4,909,746 

 

See Notes to Financial Statements.

 

36


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

ENERGY — 4.7% — (continued)

 
 

Oil, Gas & Consumable Fuels — 3.9% — (continued)

 
 7,453     EQT Corp.  $75,797 
 6,036     Equitrans Midstream Corp.   81,426 
 124,351     Exxon Mobil Corp.   8,515,556 
 7,882     Hess Corp.   496,172 
 4,681     HollyFrontier Corp.   207,649 
 57,280     Kinder Morgan Inc.   1,161,066 
 10,701     Kosmos Energy Ltd.   67,630 
 586,832     Marathon Oil Corp.   6,948,091 
 19,277     Marathon Petroleum Corp.   948,621 
 4,815     Murphy Oil Corp.   87,777 
 13,823     Noble Energy Inc.   312,123 
 179,487     Occidental Petroleum Corp.   7,804,095 
 12,064     ONEOK Inc.   859,922 
 7,871     Parsley Energy Inc., Class A Shares*   140,970 
 3,452     PBF Energy Inc., Class A Shares   81,812 
 13,319     Phillips 66   1,313,653 
 28,507     Pioneer Natural Resources Co.   3,518,334 
 5,829     Range Resources Corp.   20,751 
 122,122     Suncor Energy Inc.   3,569,626 
 6,708     Targa Resources Corp.   242,293 
 12,229     Valero Energy Corp.   920,599 
 35,607     Williams Cos., Inc. (The)   840,325 
 12,309     WPX Energy Inc.*   132,445 
      

 

 

 
    Total Oil, Gas & Consumable Fuels   60,604,036 
      

 

 

 
    TOTAL ENERGY   72,318,962 
      

 

 

 
 

FINANCIALS — 11.4%

 
 

Banks — 3.0%

 
 4,919     Associated Banc-Corp.   94,642 
 252,681     Bank of America Corp.   6,951,254 
 1,161     Bank of Hawaii Corp.   95,992 
 3,678     Bank OZK   94,892 
 2,845     BankUnited Inc.   90,357 
 168,851     BB&T Corp.   8,045,750 
 984     BOK Financial Corp.   74,922 
 2,863     CIT Group Inc.   121,935 
 67,897     Citigroup Inc.   4,369,172 
 13,573     Citizens Financial Group Inc.   457,953 
 4,559     Comerica Inc.   281,062 
 3,017     Commerce Bancshares Inc.   172,180 
 1,713     Cullen/Frost Bankers Inc.   142,196 
 4,053     East West Bancorp Inc.   166,700 
 21,515     Fifth Third Bancorp   569,072 
 221     First Citizens BancShares Inc., Class A Shares   98,257 
 3,308     First Hawaiian Inc.   85,016 
 9,235     First Horizon National Corp.   146,190 
 4,758     First Republic Bank   426,888 
 9,560     FNB Corp.   102,770 
 30,859     Huntington Bancshares Inc.   408,882 
 94,748     JPMorgan Chase & Co.   10,409,015 
 29,734     KeyCorp   493,584 
 3,997     M&T Bank Corp.   584,401 
 3,488     PacWest Bancorp   118,871 
 11,220     People’s United Financial Inc.   161,231 

 

See Notes to Financial Statements.

 

37


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

FINANCIALS — 11.4% — (continued)

 
 

Banks — 3.0% — (continued)

 
 2,272     Pinnacle Financial Partners Inc.  $119,666 
 13,242     PNC Financial Services Group Inc. (The)   1,707,291 
 2,820     Popular Inc.   148,247 
 2,023     Prosperity Bancshares Inc.   131,333 
 30,022     Regions Financial Corp.   438,922 
 1,601     Signature Bank   186,757 
 6,125     Sterling Bancorp   116,804 
 13,012     SunTrust Banks Inc.   800,368 
 1,539     SVB Financial Group*   299,520 
 4,455     Synovus Financial Corp.   158,331 
 4,316     TCF Financial Corp.   166,425 
 1,518     Texas Capital Bancshares Inc.*   81,790 
 5,802     Umpqua Holdings Corp.   91,149 
 42,455     US Bancorp   2,236,954 
 2,778     Webster Financial Corp.   124,343 
 118,960     Wells Fargo & Co.   5,539,967 
 2,917     Western Alliance Bancorp   126,656 
 1,485     Wintrust Financial Corp.   93,303 
 5,331     Zions Bancorp N.A.   219,051 
      

 

 

 
    Total Banks   47,550,061 
      

 

 

 
 

Capital Markets — 3.6%

 
 19,763     Affiliated Managers Group Inc.   1,514,439 
 43,940     Ameriprise Financial Inc.   5,667,381 
 172,407     Bank of New York Mellon Corp. (The)   7,251,438 
 8,152     BGC Partners Inc., Class A Shares   41,575 
 7,908     BlackRock Inc., Class A Shares   3,341,604 
 3,281     Cboe Global Markets Inc.   390,964 
 155,640     Charles Schwab Corp. (The)   5,956,343 
 10,397     CME Group Inc., Class A Shares   2,259,164 
 7,182     E*Trade Financial Corp.   299,777 
 3,381     Eaton Vance Corp.   145,789 
 1,218     Evercore Inc., Class A Shares   97,148 
 1,110     FactSet Research Systems Inc.   302,020 
 8,381     Franklin Resources Inc.   220,253 
 9,666     Goldman Sachs Group Inc. (The)   1,970,994 
 2,238     Interactive Brokers Group Inc., Class A Shares   105,634 
 85,368     Intercontinental Exchange Inc.   7,980,201 
 11,438     Invesco Ltd.   179,577 
 2,928     Janus Henderson Group PLC   55,954 
 3,122     Lazard Ltd., Class A Shares   107,209 
 2,044     Legg Mason Inc.   75,199 
 2,460     LPL Financial Holdings Inc.   184,377 
 1,080     MarketAxess Holdings Inc.   429,429 
 4,823     Moody’s Corp.   1,039,742 
 35,520     Morgan Stanley(b)   1,473,725 
 550     Morningstar Inc.   88,869 
 14,122     MSCI Inc., Class A Shares   3,313,445 
 3,398     Nasdaq Inc.   339,256 
 5,870     Northern Trust Corp.   516,149 
 3,776     Raymond James Financial Inc.   296,454 
 31,369     S&P Global Inc.   8,161,900 
 3,785     SEI Investments Co.   217,675 
 10,929     State Street Corp.   560,767 
 6,766     T. Rowe Price Group Inc.   748,455 

 

See Notes to Financial Statements.

 

38


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

FINANCIALS — 11.4% — (continued)

 
 

Capital Markets — 3.6% — (continued)

 
 8,005     TD Ameritrade Holding Corp.  $355,502 
 1,319     Virtu Financial Inc., Class A Shares   24,797 
      

 

 

 
    Total Capital Markets   55,713,205 
      

 

 

 
 

Consumer Finance — 0.5%

 
 11,779     Ally Financial Inc.   369,272 
 39,152     American Express Co.   4,712,726 
 13,721     Capital One Financial Corp.   1,188,513 
 307     Credit Acceptance Corp.*   138,964 
 9,482     Discover Financial Services   758,276 
 6,423     Navient Corp.   81,829 
 1,910     OneMain Holdings Inc., Class A Shares   68,473 
 3,109     Santander Consumer USA Holdings Inc.   81,176 
 13,186     SLM Corp.   111,290 
 20,205     Synchrony Financial   647,570 
      

 

 

 
    Total Consumer Finance   8,158,089 
      

 

 

 
 

Diversified Financial Services — 0.8%

 
 7,967     AXA Equitable Holdings Inc.   165,475 
 57,464     Berkshire Hathaway Inc., Class B Shares*   11,688,752 
 7,536     Jefferies Financial Group Inc.   140,471 
 4,303     Voya Financial Inc.   212,224 
      

 

 

 
    Total Diversified Financial Services   12,206,922 
      

 

 

 
 

Insurance — 3.4%

 
 21,653     Aflac Inc.   1,086,548 
 414     Alleghany Corp.*   310,214 
 89,660     Allstate Corp. (The)   9,180,287 
 2,214     American Financial Group Inc.   223,548 
 177,853     American International Group Inc.   9,255,470 
 167     American National Insurance Co.   19,050 
 7,007     Aon PLC   1,365,314 
 11,185     Arch Capital Group Ltd.*   441,808 
 5,392     Arthur J. Gallagher & Co.   489,108 
 22,825     Assurant Inc.   2,807,475 
 2,938     Assured Guaranty Ltd.   125,012 
 4,538     Athene Holding Ltd., Class A Shares*   176,347 
 2,381     Axis Capital Holdings Ltd.   146,170 
 3,398     Brighthouse Financial Inc.*   119,813 
 6,932     Brown & Brown Inc.   255,721 
 13,370     Chubb Ltd.   2,089,464 
 4,509     Cincinnati Financial Corp.   507,217 
 826     CNA Financial Corp.   38,929 
 747     Erie Indemnity Co., Class A Shares   163,825 
 1,178     Everest Re Group Ltd.   277,867 
 7,745     Fidelity National Financial Inc.   340,315 
 3,257     First American Financial Corp.   190,372 
 3,061     Globe Life Inc.   273,225 
 1,190     Hanover Insurance Group Inc. (The)   158,449 
 10,540     Hartford Financial Services Group Inc. (The)   614,271 
 1,835     Kemper Corp.   128,413 
 78,942     Lincoln National Corp.   4,174,453 
 7,776     Loews Corp.   373,792 
 402     Markel Corp.*   459,518 
 97,486     Marsh & McLennan Cos., Inc.   9,737,877 

 

See Notes to Financial Statements.

 

39


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

FINANCIALS — 11.4% — (continued)

 
 

Insurance — 3.4% — (continued)

 
 827     Mercury General Corp.  $44,245 
 23,597     MetLife Inc.   1,045,347 
 8,263     Old Republic International Corp.   193,024 
 1,224     Primerica Inc.   145,864 
 8,102     Principal Financial Group Inc.   431,188 
 17,113     Progressive Corp. (The)   1,297,165 
 11,908     Prudential Financial Inc.   953,712 
 1,871     Reinsurance Group of America Inc., Class A Shares   288,078 
 1,279     RenaissanceRe Holdings Ltd.   230,923 
 7,681     Travelers Cos., Inc. (The)   1,128,800 
 6,396     Unum Group   162,522 
 93     White Mountains Insurance Group Ltd.   98,645 
 3,784     Willis Towers Watson PLC   749,118 
 4,023     WR Berkley Corp.   286,639 
      

 

 

 
    Total Insurance   52,585,142 
      

 

 

 
 

Mortgage Real Estate Investment Trusts (REITs) — 0.1%

 
 16,051     AGNC Investment Corp.   238,678 
 42,333     Annaly Capital Management Inc.   351,364 
 4,886     Chimera Investment Corp.   93,176 
 13,603     MFA Financial Inc.   97,534 
 12,464     New Residential Investment Corp.   175,368 
 8,134     Starwood Property Trust Inc.   190,580 
 7,445     Two Harbors Investment Corp.   94,030 
      

 

 

 
    Total Mortgage Real Estate Investment Trusts (REITs)   1,240,730 
      

 

 

 
 

Thrifts & Mortgage Finance — 0.0%

 
 227     LendingTree Inc.*   70,390 
 9,463     MGIC Investment Corp.   119,707 
 13,285     New York Community Bancorp Inc.   153,309 
 1,501     TFS Financial Corp.   26,283 
      

 

 

 
    Total Thrifts & Mortgage Finance   369,689 
      

 

 

 
    TOTAL FINANCIALS   177,823,838 
      

 

 

 
 

HEALTH CARE — 15.3%

 
 

Biotechnology — 1.8%

 
 43,438     AbbVie Inc.   2,855,614 
 1,532     Agios Pharmaceuticals Inc.*(a)   58,139 
 47,015     Alexion Pharmaceuticals Inc.*   4,737,231 
 4,562     Alkermes PLC*   95,711 
 3,106     Alnylam Pharmaceuticals Inc.*   250,623 
 17,913     Amgen Inc.   3,737,010 
 5,680     Biogen Inc.*   1,248,180 
 22,892     BioMarin Pharmaceutical Inc.*   1,718,274 
 1,614     Bluebird Bio Inc.*   166,742 
 20,641     Celgene Corp.*   1,998,049 
 25,869     Exact Sciences Corp.*   3,084,102 
 8,751     Exelixis Inc.*   173,707 
 37,465     Gilead Sciences Inc.   2,380,526 
 5,212     Incyte Corp.*   426,446 
 3,791     Ionis Pharmaceuticals Inc.*   239,629 
 790     Moderna Inc.*(a)   12,427 
 2,650     Neurocrine Biosciences Inc.*   263,463 
 2,400     Regeneron Pharmaceuticals Inc.*   696,120 
 1,478     Sage Therapeutics Inc.*   253,728 

 

See Notes to Financial Statements.

 

40


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

HEALTH CARE — 15.3% — (continued)

 
 

Biotechnology — 1.8% — (continued)

 
 13,146     Sarepta Therapeutics Inc.*  $1,185,112 
 3,187     Seattle Genetics Inc.*   231,504 
 1,250     United Therapeutics Corp.*   103,200 
 7,528     Vertex Pharmaceuticals Inc.*   1,355,191 
      

 

 

 
    Total Biotechnology   27,270,728 
      

 

 

 
 

Health Care Equipment & Supplies — 4.6%

 
 145,185     Abbott Laboratories   12,387,184 
 1,301     ABIOMED Inc.*   251,184 
 11,095     Align Technology Inc.*   2,031,605 
 139,488     Baxter International Inc.   12,267,970 
 7,863     Becton Dickinson and Co.   1,996,573 
 40,772     Boston Scientific Corp.*   1,742,188 
 1,084     Cantel Medical Corp.   99,652 
 1,427     Cooper Cos., Inc. (The)   442,013 
 18,696     Danaher Corp.   2,656,515 
 6,539     DENTSPLY SIRONA Inc.   341,009 
 2,656     DexCom Inc.*   455,796 
 16,391     Edwards Lifesciences Corp.*   3,636,179 
 1,979     Hill-Rom Holdings Inc.   213,099 
 7,812     Hologic Inc.*   385,678 
 551     ICU Medical Inc.*   89,124 
 14,605     IDEXX Laboratories Inc.*   4,231,653 
 1,710     Insulet Corp.*   263,631 
 2,077     Integra LifeSciences Holdings Corp.*   124,661 
 3,364     Intuitive Surgical Inc.*   1,720,148 
 1,381     Masimo Corp.*   211,638 
 197,501     Medtronic PLC   21,308,383 
 929     Penumbra Inc.*   135,216 
 4,164     ResMed Inc.   580,045 
 2,400     STERIS PLC   370,560 
 10,073     Stryker Corp.   2,222,708 
 1,354     Teleflex Inc.   492,748 
 2,667     Varian Medical Systems Inc.*   282,515 
 2,145     West Pharmaceutical Services Inc.   312,012 
 6,018     Zimmer Biomet Holdings Inc.   837,706 
      

 

 

 
    Total Health Care Equipment & Supplies   72,089,393 
      

 

 

 
 

Health Care Providers & Services — 3.5%

 
 2,622     Acadia Healthcare Co., Inc.*   69,378 
 4,452     AmerisourceBergen Corp., Class A Shares   366,266 
 7,557     Anthem Inc.   1,976,307 
 153,746     Cardinal Health Inc.   6,631,065 
 12,000     Centene Corp.*   559,440 
 446     Chemed Corp.   191,526 
 52,339     Cigna Corp.   8,058,636 
 2,733     Covetrus Inc.*(a)   36,322 
 164,227     CVS Health Corp.   10,004,709 
 3,766     DaVita Inc.*   212,289 
 2,899     Encompass Health Corp.   176,230 
 1,028     Guardant Health Inc.*   89,981 
 68,938     HCA Healthcare Inc.   8,286,348 
 4,360     Henry Schein Inc.*   268,663 
 3,961     Humana Inc.   1,121,795 
 2,878     Laboratory Corp. of America Holdings*   482,238 

 

See Notes to Financial Statements.

 

41


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

HEALTH CARE — 15.3% — (continued)

 
 

Health Care Providers & Services — 3.5% — (continued)

 
 5,627     McKesson Corp.  $778,045 
 2,516     MEDNAX Inc.*   53,037 
 1,846     Molina Healthcare Inc.*   240,497 
 1,582     Premier Inc., Class A Shares*   55,781 
 3,952     Quest Diagnostics Inc.   404,566 
 57,314     UnitedHealth Group Inc.   13,411,476 
 2,368     Universal Health Services Inc., Class B Shares   342,365 
 1,469     WellCare Health Plans Inc.*   397,717 
      

 

 

 
    Total Health Care Providers & Services   54,214,677 
      

 

 

 
 

Health Care Technology — 0.1%

 
 9,497     Cerner Corp.   654,438 
 1,746     Medidata Solutions Inc.*   159,899 
 3,734     Veeva Systems Inc., Class A Shares*   598,859 
      

 

 

 
    Total Health Care Technology   1,413,196 
      

 

 

 
 

Life Sciences Tools & Services — 0.9%

 
 9,318     Agilent Technologies Inc.   662,603 
 623     Bio-Rad Laboratories Inc., Class A Shares*   210,393 
 1,110     Bio-Techne Corp.   212,643 
 3,043     Bruker Corp.   131,366 
 1,412     Charles River Laboratories International Inc.*   185,254 
 14,095     Illumina Inc.*   3,965,487 
 5,268     IQVIA Holdings Inc.*   817,330 
 717     Mettler-Toledo International Inc.*   470,919 
 3,266     PerkinElmer Inc.   270,098 
 1,697     PRA Health Sciences Inc.*   167,732 
 6,553     QIAGEN NV*   227,324 
 23,522     Thermo Fisher Scientific Inc.   6,752,225 
 2,020     Waters Corp.*   428,018 
      

 

 

 
    Total Life Sciences Tools & Services   14,501,392 
      

 

 

 
 

Pharmaceuticals — 4.4%

 
 9,632     Allergan PLC   1,538,423 
 107,400     Bristol-Myers Squibb Co.   5,162,718 
 4,294     Catalent Inc.*   226,466 
 208,659     Elanco Animal Health Inc.*   5,429,307 
 25,263     Eli Lilly & Co.   2,853,961 
 5,413     Horizon Therapeutics PLC*   149,561 
 1,623     Jazz Pharmaceuticals PLC*   207,988 
 151,836     Johnson & Johnson   19,489,669 
 174,265     Merck & Co., Inc.   15,068,695 
 15,086     Mylan NV*   293,724 
 4,870     Nektar Therapeutics, Class A Shares*   85,566 
 3,736     Perrigo Co. PLC   174,770 
 336,229     Pfizer Inc.   11,952,941 
 43,343     Zoetis Inc., Class A Shares   5,479,422 
      

 

 

 
    Total Pharmaceuticals   68,113,211 
      

 

 

 
    TOTAL HEALTH CARE   237,602,597 
      

 

 

 
 

INDUSTRIALS — 8.8%

 
 

Aerospace & Defense — 2.3%

 
 11,643     Arconic Inc.   300,855 
 15,547     Boeing Co. (The)   5,660,507 
 2,786     BWX Technologies Inc.   164,931 

 

See Notes to Financial Statements.

 

42


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

INDUSTRIALS — 8.8% — (continued)

 
 

Aerospace & Defense — 2.3% — (continued)

 
 1,260     Curtiss-Wright Corp.  $154,526 
 7,484     General Dynamics Corp.   1,431,465 
 1,179     HEICO Corp.   170,566 
 2,298     HEICO Corp., Class A Shares   253,607 
 2,510     Hexcel Corp.   211,217 
 1,215     Huntington Ingalls Industries Inc.   253,935 
 6,482     L3Harris Technologies Inc.   1,370,360 
 7,263     Lockheed Martin Corp.   2,789,791 
 26,748     Northrop Grumman Corp.   9,839,787 
 48,614     Raytheon Co.   9,009,146 
 2,994     Spirit AeroSystems Holdings Inc., Class A Shares   241,316 
 1,049     Teledyne Technologies Inc.*   323,711 
 6,945     Textron Inc.   312,525 
 1,450     TransDigm Group Inc.   780,564 
 23,823     United Technologies Corp.   3,102,708 
      

 

 

 
    Total Aerospace & Defense   36,371,517 
      

 

 

 
 

Air Freight & Logistics — 0.7%

 
 17,069     CH Robinson Worldwide Inc.   1,442,160 
 5,080     Expeditors International of Washington Inc.   361,188 
 7,079     FedEx Corp.   1,122,800 
 45,830     United Parcel Service Inc., Class B Shares   5,438,188 
 45,958     XPO Logistics Inc.*   3,256,584 
      

 

 

 
    Total Air Freight & Logistics   11,620,920 
      

 

 

 
 

Airlines — 0.2%

 
 3,643     Alaska Air Group Inc.   217,560 
 11,921     American Airlines Group Inc.   313,642 
 947     Copa Holdings SA, Class A Shares(a)   97,712 
 17,105     Delta Air Lines Inc.   989,695 
 8,804     JetBlue Airways Corp.*   152,485 
 14,322     Southwest Airlines Co.   749,327 
 7,064     United Airlines Holdings Inc.*   595,566 
      

 

 

 
    Total Airlines   3,115,987 
      

 

 

 
 

Building Products — 0.6%

 
 2,705     Allegion PLC   260,410 
 3,995     AO Smith Corp.   185,847 
 65,855     Armstrong World Industries Inc.   6,287,177 
 4,130     Fortune Brands Home & Security Inc.   210,878 
 26,371     Johnson Controls International PLC   1,125,778 
 1,052     Lennox International Inc.   266,977 
 8,580     Masco Corp.   349,463 
 3,119     Owens Corning   178,906 
 3,836     Resideo Technologies Inc.*   52,860 
      

 

 

 
    Total Building Products   8,918,296 
      

 

 

 
 

Commercial Services & Supplies — 0.8%

 
 3,641     ADT Inc.(a)   17,331 
 2,505     Cintas Corp.   660,819 
 1,510     Clean Harbors Inc.*   111,060 
 5,794     Copart Inc.*   436,810 
 3,800     IAA Inc.*   185,630 
 3,800     KAR Auction Services Inc.   100,928 
 6,315     Republic Services Inc., Class A Shares   563,614 

 

See Notes to Financial Statements.

 

43


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

INDUSTRIALS — 8.8% — (continued)

 
 

Commercial Services & Supplies — 0.8% — (continued)

 
 4,293     Rollins Inc.  $140,853 
 2,433     Stericycle Inc.*   109,217 
 84,673     Waste Management Inc.   10,105,723 
      

 

 

 
    Total Commercial Services & Supplies   12,431,985 
      

 

 

 
 

Construction & Engineering — 0.3%

 
 54,907     AECOM*   1,948,100 
 4,297     Fluor Corp.   75,928 
 3,864     Jacobs Engineering Group Inc.   343,355 
 58,516     Quanta Services Inc.   1,983,692 
 635     Valmont Industries Inc.   86,043 
      

 

 

 
    Total Construction & Engineering   4,437,118 
      

 

 

 
 

Electrical Equipment — 0.3%

 
 1,160     Acuity Brands Inc.   145,475 
 6,735     AMETEK Inc.   578,738 
 12,401     Eaton Corp. PLC   1,001,009 
 17,980     Emerson Electric Co.   1,071,428 
 1,240     GrafTech International Ltd.   15,116 
 1,590     Hubbell Inc., Class B Shares   208,513 
 4,861     nVent Electric PLC   98,484 
 1,261     Regal Beloit Corp.   89,405 
 3,458     Rockwell Automation Inc.   528,348 
 4,709     Sensata Technologies Holding PLC*   214,636 
      

 

 

 
    Total Electrical Equipment   3,951,152 
      

 

 

 
 

Industrial Conglomerates — 0.8%

 
 16,433     3M Co.   2,657,545 
 1,627     Carlisle Cos., Inc.   235,850 
 254,158     General Electric Co.   2,096,803 
 38,214     Honeywell International Inc.   6,290,789 
 2,995     Roper Technologies Inc.   1,098,446 
      

 

 

 
    Total Industrial Conglomerates   12,379,433 
      

 

 

 
 

Machinery — 0.9%

 
 1,882     AGCO Corp.   130,084 
 3,176     Allison Transmission Holdings Inc.   141,110 
 24,909     Caterpillar Inc.   2,964,171 
 2,563     Colfax Corp.*(a)   69,714 
 1,502     Crane Co.   114,512 
 4,400     Cummins Inc.   656,788 
 9,343     Deere & Co.   1,447,324 
 3,743     Donaldson Co., Inc.   181,011 
 4,194     Dover Corp.   393,145 
 3,843     Flowserve Corp.   164,019 
 8,664     Fortive Corp.   614,278 
 4,019     Gardner Denver Holdings Inc.*   115,265 
 1,535     Gates Industrial Corp. PLC*   13,354 
 4,836     Graco Inc.   220,376 
 2,239     IDEX Corp.   368,786 
 9,527     Illinois Tool Works Inc.   1,427,716 
 7,065     Ingersoll-Rand PLC   855,501 
 2,637     ITT Inc.   150,098 
 1,784     Lincoln Electric Holdings Inc.   147,287 
 1,624     Middleby Corp. (The)*   178,088 
 1,696     Nordson Corp.   230,588 

 

See Notes to Financial Statements.

 

44


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

INDUSTRIALS — 8.8% — (continued)

 
 

Machinery — 0.9% — (continued)

 
 2,057     Oshkosh Corp.  $144,545 
 9,951     PACCAR Inc.   652,388 
 3,793     Parker-Hannifin Corp.   628,766 
 4,761     Pentair PLC   171,015 
 1,626     Snap-on Inc.   241,754 
 4,450     Stanley Black & Decker Inc.   591,227 
 1,987     Timken Co. (The)   79,838 
 3,100     Toro Co. (The)   223,231 
 3,244     Trinity Industries Inc.   56,673 
 1,498     WABCO Holdings Inc.*   199,998 
 4,679     Wabtec Corp.   323,834 
 1,572     Woodward Inc.   169,540 
 5,306     Xylem Inc.   406,493 
      

 

 

 
    Total Machinery   14,472,517 
      

 

 

 
 

Marine — 0.0%

 
 1,791     Kirby Corp.*   131,800 
      

 

 

 
 

Professional Services — 0.4%

 
 1,066     CoStar Group Inc.*   655,451 
 3,529     Equifax Inc.   516,575 
 46,514     IHS Markit Ltd.*   3,051,784 
 1,664     ManpowerGroup Inc.   136,015 
 10,423     Nielsen Holdings PLC   216,381 
 3,340     Robert Half International Inc.   178,590 
 5,487     TransUnion   458,988 
 4,683     Verisk Analytics Inc., Class A Shares   756,492 
      

 

 

 
    Total Professional Services   5,970,276 
      

 

 

 
 

Road & Rail — 0.7%

 
 212     AMERCO   74,543 
 31,481     Avis Budget Group Inc.*   779,784 
 22,650     CSX Corp.   1,518,003 
 1,641     Genesee & Wyoming Inc., Class A Shares*   181,954 
 38,620     Hertz Global Holdings Inc.*   467,688 
 2,543     JB Hunt Transport Services Inc.   274,746 
 2,961     Kansas City Southern   372,494 
 3,825     Knight-Swift Transportation Holdings Inc., Class A Shares   130,586 
 1,220     Landstar System Inc.   136,054 
 947     Lyft Inc., Class A Shares*   46,375 
 7,810     Norfolk Southern Corp.   1,359,331 
 1,890     Old Dominion Freight Line Inc.   309,506 
 1,485     Ryder System Inc.   71,532 
 1,355     Schneider National Inc., Class B Shares   26,341 
 51,222     Uber Technologies Inc.*(a)   1,668,301 
 20,799     Union Pacific Corp.   3,368,606 
      

 

 

 
    Total Road & Rail   10,785,844 
      

 

 

 
 

Trading Companies & Distributors — 0.8%

 
 61,770     AerCap Holdings NV*   3,312,107 
 47,064     Air Lease Corp., Class A Shares   1,955,039 
 16,943     Fastenal Co.   518,795 
 5,070     HD Supply Holdings Inc.*   197,274 
 1,183     MSC Industrial Direct Co., Inc., Class A Shares   79,994 
 32,022     United Rentals Inc.*   3,604,396 
 4,471     Univar Inc.*   86,514 

 

See Notes to Financial Statements.

 

45


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

INDUSTRIALS — 8.8% — (continued)

 
 

Trading Companies & Distributors — 0.8% — (continued)

 
 967     Watsco Inc.  $158,153 
 1,424     WESCO International Inc.*   64,194 
 9,947     WW Grainger Inc.   2,721,996 
      

 

 

 
    Total Trading Companies & Distributors   12,698,462 
      

 

 

 
 

Transportation Infrastructure — 0.0%

 
 2,173     Macquarie Infrastructure Corp.   82,183 
      

 

 

 
    TOTAL INDUSTRIALS   137,367,490 
      

 

 

 
 

INFORMATION TECHNOLOGY — 21.4%

 
 

Communications Equipment — 2.1%

 
 1,739     Arista Networks Inc.*   394,092 
 4,561     Ciena Corp.*   186,682 
 503,541     Cisco Systems Inc.   23,570,754 
 66,015     CommScope Holding Co., Inc.*   709,001 
 1,404     EchoStar Corp., Class A Shares*   59,319 
 1,770     F5 Networks Inc.*   227,852 
 10,017     Juniper Networks Inc.   231,994 
 35,040     Motorola Solutions Inc.   6,339,087 
 455     Ubiquiti Inc.   50,282 
 1,592     ViaSat Inc.*   126,293 
      

 

 

 
    Total Communications Equipment   31,895,356 
      

 

 

 
 

Electronic Equipment, Instruments & Components — 0.6%

 
 8,556     Amphenol Corp., Class A Shares   748,992 
 32,931     Arrow Electronics Inc.*   2,278,825 
 3,120     Avnet Inc.   130,697 
 4,249     CDW Corp.   490,760 
 4,632     Cognex Corp.   208,811 
 732     Coherent Inc.*   106,111 
 22,658     Corning Inc.   631,025 
 1,889     Dolby Laboratories Inc., Class A Shares   116,287 
 173,342     Flex Ltd.*   1,669,283 
 4,031     FLIR Systems Inc.   198,607 
 1,045     IPG Photonics Corp.*   129,298 
 4,410     Jabil Inc.   127,052 
 5,501     Keysight Technologies Inc.*   532,827 
 730     Littelfuse Inc.   113,931 
 3,754     National Instruments Corp.   157,668 
 1,163     SYNNEX Corp.   97,471 
 12,933     Tech Data Corp.*   1,199,277 
 7,149     Trimble Inc.*   268,231 
 1,568     Zebra Technologies Corp., Class A Shares*   321,487 
      

 

 

 
    Total Electronic Equipment, Instruments & Components   9,526,640 
      

 

 

 
 

IT Services — 4.8%

 
 18,722     Accenture PLC, Class A Shares   3,710,139 
 37,294     Akamai Technologies Inc.*   3,324,014 
 21,604     Alliance Data Systems Corp.   2,656,212 
 4,026     Amdocs Ltd.   260,643 
 12,779     Automatic Data Processing Inc.   2,170,385 
 4,273     Black Knight Inc.*   265,994 
 4,039     Booz Allen Hamilton Holding Corp., Class A Shares   304,985 
 3,424     Broadridge Financial Solutions Inc.   443,203 
 668     CACI International Inc., Class A Shares*   148,490 

 

See Notes to Financial Statements.

 

46


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

INFORMATION TECHNOLOGY — 21.4% — (continued)

 
 

IT Services — 4.8% — (continued)

 
 16,651     Cognizant Technology Solutions Corp., Class A Shares  $1,022,205 
 2,331     CoreLogic Inc.*   112,820 
 7,862     DXC Technology Co.   261,176 
 1,514     EPAM Systems Inc.*   289,674 
 1,457     Euronet Worldwide Inc.*   223,125 
 28,992     Fidelity National Information Services Inc.   3,949,290 
 56,846     Fiserv Inc.*   6,079,111 
 2,501     FleetCor Technologies Inc.*   746,298 
 2,588     Gartner Inc.*   345,938 
 4,402     Genpact Ltd.   180,306 
 4,594     Global Payments Inc.   762,512 
 5,128     GoDaddy Inc., Class A Shares*   324,807 
 26,053     International Business Machines Corp.   3,530,963 
 2,275     Jack Henry & Associates Inc.   329,784 
 3,992     Leidos Holdings Inc.   348,741 
 26,368     MasterCard Inc., Class A Shares   7,419,164 
 719     MongoDB Inc., Class A Shares*(a)   109,511 
 2,994     Okta Inc., Class A Shares*   378,741 
 9,434     Paychex Inc.   770,758 
 63,371     PayPal Holdings Inc.*   6,910,608 
 156,117     Sabre Corp.   3,690,606 
 49,834     Square Inc., Class A Shares*   3,081,735 
 1,129     Switch Inc., Class A Shares   18,516 
 5,129     Total System Services Inc.   688,414 
 3,384     Twilio Inc., Class A Shares*   441,510 
 3,083     VeriSign Inc.*   628,470 
 102,221     Visa Inc., Class A Shares   18,483,601 
 12,750     Western Union Co. (The)   282,030 
 1,228     WEX Inc.*   251,187 
      

 

 

 
    Total IT Services   74,945,666 
      

 

 

 
 

Semiconductors & Semiconductor Equipment — 5.2%

 
 29,401     Advanced Micro Devices Inc.*   924,661 
 73,139     Analog Devices Inc.   8,032,856 
 88,757     Applied Materials Inc.   4,262,111 
 56,450     Broadcom Inc.   15,955,028 
 3,104     Cree Inc.*   133,255 
 10,661     Cypress Semiconductor Corp.   245,310 
 3,809     Entegris Inc.   163,139 
 2,484     First Solar Inc.*   154,182 
 267,218     Intel Corp.   12,668,805 
 4,745     KLA Corp.   701,786 
 4,394     Lam Research Corp.   924,981 
 19,228     Marvell Technology Group Ltd.   460,895 
 8,041     Maxim Integrated Products Inc.   438,556 
 79,680     Microchip Technology Inc.   6,878,774 
 32,478     Micron Technology Inc.*   1,470,279 
 1,547     MKS Instruments Inc.   121,115 
 1,199     Monolithic Power Systems Inc.   180,521 
 47,826     NVIDIA Corp.   8,011,333 
 11,784     ON Semiconductor Corp.*   209,755 
 3,632     Qorvo Inc.*   259,434 
 73,379     QUALCOMM Inc.   5,706,685 
 82,990     Skyworks Solutions Inc.   6,246,657 
 5,073     Teradyne Inc.   268,717 

 

See Notes to Financial Statements.

 

47


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

INFORMATION TECHNOLOGY — 21.4% — (continued)

 
 

Semiconductors & Semiconductor Equipment — 5.2% — (continued)

 
 46,749     Texas Instruments Inc.  $5,785,189 
 1,250     Universal Display Corp.   256,838 
 3,279     Versum Materials Inc.   170,508 
 7,458     Xilinx Inc.   776,080 
      

 

 

 
    Total Semiconductors & Semiconductor Equipment   81,407,450 
      

 

 

 
 

Software — 6.3%

 
 1,658     2U Inc.*   29,645 
 39,453     Adobe Inc.*   11,224,773 
 1,361     Alteryx Inc., Class A Shares*   193,874 
 2,440     Anaplan Inc.*   132,565 
 2,452     ANSYS Inc.*   506,485 
 2,042     Aspen Technology Inc.*   271,994 
 3,087     Atlassian Corp. PLC, Class A Shares*   415,232 
 6,466     Autodesk Inc.*   923,474 
 1,278     Avalara Inc.*   107,787 
 8,159     Cadence Design Systems Inc.*   558,728 
 3,566     CDK Global Inc.   153,909 
 1,780     Ceridian HCM Holding Inc.*   102,831 
 3,680     Citrix Systems Inc.   342,166 
 1,793     Coupa Software Inc.*   249,101 
 4,560     DocuSign Inc., Class A Shares*   212,906 
 6,191     Dropbox Inc., Class A Shares*   110,819 
 1,103     Elastic NV*   96,943 
 840     Fair Isaac Corp.*   296,285 
 5,842     FireEye Inc.*   78,458 
 4,199     Fortinet Inc.*   332,477 
 2,416     Guidewire Software Inc.*   232,371 
 1,187     HubSpot Inc.*   237,020 
 7,310     Intuit Inc.   2,107,912 
 1,467     LogMeIn Inc.   98,054 
 1,906     Manhattan Associates Inc.*   157,493 
 270,431     Microsoft Corp.   37,281,618 
 1,382     New Relic Inc.*   79,244 
 8,656     Nuance Communications Inc.*   145,507 
 41,921     Nutanix Inc., Class A Shares*   1,015,746 
 266,473     Oracle Corp.   13,872,584 
 333     Pagerduty Inc.*(a)   13,077 
 12,553     Palo Alto Networks Inc.*   2,556,042 
 1,458     Paycom Software Inc.*   364,675 
 931     Paylocity Holding Corp.*   101,684 
 1,128     Pegasystems Inc.   79,129 
 1,621     Pluralsight Inc., Class A Shares*   26,098 
 1,620     Proofpoint Inc.*   184,048 
 3,047     PTC Inc.*   199,487 
 2,167     RealPage Inc.*   137,973 
 2,069     RingCentral Inc., Class A Shares*   291,998 
 46,080     salesforce.com Inc.*   7,191,706 
 17,887     ServiceNow Inc.*   4,683,532 
 2,552     Smartsheet Inc., Class A Shares*   124,027 
 760     SolarWinds Corp.*   12,935 
 41,607     Splunk Inc.*   4,652,495 
 6,447     SS&C Technologies Holdings Inc.   300,495 
 17,563     Symantec Corp.   408,340 
 4,371     Synopsys Inc.*   619,852 

 

See Notes to Financial Statements.

 

48


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

INFORMATION TECHNOLOGY — 21.4% — (continued)

 
 

Software — 6.3% — (continued)

 
 3,416     Teradata Corp.*  $105,452 
 1,111     Trade Desk Inc. (The), Class A Shares*   273,050 
 1,117     Tyler Technologies Inc.*   286,555 
 12,018     VMware Inc., Class A Shares   1,699,826 
 4,681     Workday Inc., Class A Shares*   829,848 
 3,165     Zendesk Inc.*   253,833 
 1,844     Zscaler Inc.*   126,757 
      

 

 

 
    Total Software   97,090,915 
      

 

 

 
 

Technology Hardware, Storage & Peripherals — 2.4%

 
 149,342     Apple Inc.   31,173,649 
 4,488     Dell Technologies Inc., Class C Shares*   231,267 
 40,251     Hewlett Packard Enterprise Co.   556,269 
 45,201     HP Inc.   826,726 
 3,550     NCR Corp.*   111,860 
 7,326     NetApp Inc.   352,088 
 6,763     Pure Storage Inc., Class A Shares*   110,102 
 72,775     Western Digital Corp.   4,167,824 
 5,458     Xerox Holdings Corp.   158,227 
      

 

 

 
    Total Technology Hardware, Storage & Peripherals   37,688,012 
      

 

 

 
    TOTAL INFORMATION TECHNOLOGY   332,554,039 
      

 

 

 
 

MATERIALS — 3.3%

 
 

Chemicals — 2.1%

 
 6,461     Air Products & Chemicals Inc.   1,459,669 
 3,084     Albemarle Corp.(a)   190,375 
 1,827     Ashland Global Holdings Inc.   133,810 
 6,037     Axalta Coating Systems Ltd.*   174,349 
 1,691     Cabot Corp.   67,640 
 50,552     Celanese Corp., Class A Shares   5,731,080 
 6,474     CF Industries Holdings Inc.   311,982 
 4,838     Chemours Co. (The)   68,554 
 22,014     Corteva Inc.   645,450 
 21,989     Dow Inc.   937,391 
 121,593     DuPont de Nemours Inc.   8,259,813 
 4,059     Eastman Chemical Co.   265,337 
 20,733     Ecolab Inc.   4,277,425 
 6,679     Element Solutions Inc.*   62,315 
 3,892     FMC Corp.   335,996 
 6,701     Huntsman Corp.   133,484 
 3,152     International Flavors & Fragrances Inc.   345,932 
 27,660     Linde PLC   5,225,251 
 8,621     LyondellBasell Industries NV, Class A Shares   667,093 
 10,423     Mosaic Co. (The)   191,679 
 203     NewMarket Corp.   96,374 
 4,873     Olin Corp.   82,744 
 6,923     PPG Industries Inc.   766,999 
 3,822     RPM International Inc.   258,635 
 1,020     ScottsMiracle-Gro Co. (The)   108,446 
 2,434     Sherwin-Williams Co. (The)   1,282,110 
 5,523     Valvoline Inc.   124,820 
 1,035     Westlake Chemical Corp.   60,641 
 1,692     WR Grace & Co.   114,565 
      

 

 

 
    Total Chemicals   32,379,959 
      

 

 

 

 

See Notes to Financial Statements.

 

49


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

MATERIALS — 3.3% — (continued)

 
 

Construction Materials — 0.6%

 
 1,336     Eagle Materials Inc.  $112,478 
 1,831     Martin Marietta Materials Inc.   464,653 
 59,603     Vulcan Materials Co.   8,418,923 
      

 

 

 
    Total Construction Materials   8,996,054 
      

 

 

 
 

Containers & Packaging — 0.4%

 
 1,870     AptarGroup Inc.   228,551 
 2,470     Avery Dennison Corp.   285,458 
 9,693     Ball Corp.   779,414 
 3,850     Berry Global Group Inc.*   150,689 
 48,734     Crown Holdings Inc.*   3,208,647 
 8,709     Graphic Packaging Holding Co.   120,271 
 11,653     International Paper Co.   455,632 
 56,938     Owens-Illinois Inc.   579,059 
 2,656     Packaging Corp. of America   267,141 
 4,602     Sealed Air Corp.   183,252 
 2,343     Silgan Holdings Inc.   69,728 
 2,921     Sonoco Products Co.   167,081 
 7,462     WestRock Co.   255,051 
      

 

 

 
    Total Containers & Packaging   6,749,974 
      

 

 

 
 

Metals & Mining — 0.2%

 
 5,502     Alcoa Corp.*   98,651 
 42,498     Freeport-McMoRan Inc.   390,557 
 23,992     Newmont Goldcorp Corp.   957,041 
 8,940     Nucor Corp.   437,881 
 1,887     Reliance Steel & Aluminum Co.   183,473 
 1,914     Royal Gold Inc.   255,289 
 2,499     Southern Copper Corp.   78,969 
 6,108     Steel Dynamics Inc.   164,916 
 5,189     United States Steel Corp.(a)   57,442 
      

 

 

 
    Total Metals & Mining   2,624,219 
      

 

 

 
 

Paper & Forest Products — 0.0%

 
 1,892     Domtar Corp.   62,341 
      

 

 

 
    TOTAL MATERIALS   50,812,547 
      

 

 

 
 

REAL ESTATE — 2.7%

 
 

Equity Real Estate Investment Trusts (REITs) — 2.7%

 
 3,273     Alexandria Real Estate Equities Inc.   490,426 
 4,006     American Campus Communities Inc.   186,199 
 7,534     American Homes 4 Rent, Class A Shares   192,720 
 12,901     American Tower Corp.   2,969,681 
 5,700     Americold Realty Trust   207,594 
 4,377     Apartment Investment & Management Co., Class A Shares   223,227 
 6,154     Apple Hospitality REIT Inc.   98,033 
 4,071     AvalonBay Communities Inc.   865,332 
 4,535     Boston Properties Inc.   582,385 
 5,324     Brandywine Realty Trust   76,399 
 8,712     Brixmor Property Group Inc.   160,562 
 2,789     Brookfield Property REIT Inc., Class A Shares   52,489 
 2,732     Camden Property Trust   295,739 
 14,147     Colony Capital Inc.   63,661 
 3,586     Columbia Property Trust Inc.   76,704 
 1,103     CoreSite Realty Corp.   128,146 

 

See Notes to Financial Statements.

 

50


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

REAL ESTATE — 2.7% — (continued)

 
 

Equity Real Estate Investment Trusts (REITs) — 2.7% — (continued)

 
 2,886     Corporate Office Properties Trust  $83,376 
 4,186     Cousins Properties Inc.   145,254 
 12,175     Crown Castle International Corp.   1,767,445 
 5,631     CubeSmart   202,097 
 3,313     CyrusOne Inc.   243,373 
 6,095     Digital Realty Trust Inc.   753,525 
 4,678     Douglas Emmett Inc.   197,412 
 10,304     Duke Realty Corp.   342,814 
 4,296     Empire State Realty Trust Inc., Class A Shares   60,402 
 2,164     EPR Properties   169,333 
 6,840     Equinix Inc.   3,804,955 
 3,561     Equity Commonwealth   119,863 
 2,540     Equity LifeStyle Properties Inc.   342,189 
 105,431     Equity Residential   8,936,331 
 1,919     Essex Property Trust Inc.   616,498 
 3,624     Extra Space Storage Inc.   441,838 
 2,201     Federal Realty Investment Trust   284,391 
 5,930     Gaming and Leisure Properties Inc.   231,982 
 14,037     HCP Inc.   487,224 
 6,097     Healthcare Trust of America Inc., Class A Shares   172,911 
 3,080     Highwoods Properties Inc.   133,087 
 4,714     Hospitality Properties Trust   113,796 
 21,756     Host Hotels & Resorts Inc.   348,966 
 4,496     Hudson Pacific Properties Inc.   152,864 
 12,512     Invitation Homes Inc.   359,845 
 8,354     Iron Mountain Inc.   266,075 
 3,581     JBG SMITH Properties   137,009 
 2,901     Kilroy Realty Corp.   225,872 
 11,953     Kimco Realty Corp.   219,696 
 2,524     Lamar Advertising Co., Class A Shares   193,465 
 4,330     Liberty Property Trust   225,680 
 1,390     Life Storage Inc.   147,284 
 4,219     Macerich Co. (The)   120,368 
 11,192     Medical Properties Trust Inc.   208,059 
 3,364     Mid-America Apartment Communities Inc.   426,151 
 4,804     National Retail Properties Inc.   269,745 
 6,370     Omega Healthcare Investors Inc.   259,132 
 4,199     Outfront Media Inc.   115,388 
 6,198     Paramount Group Inc.   81,690 
 5,896     Park Hotels & Resorts Inc.   138,851 
 18,430     Prologis Inc.   1,541,117 
 4,344     Public Storage   1,150,031 
 3,908     Rayonier Inc.   104,734 
 9,237     Realty Income Corp.   681,783 
 4,925     Regency Centers Corp.   317,712 
 6,518     Retail Properties of America Inc., Class A Shares   74,044 
 3,290     SBA Communications Corp., Class A Shares   863,395 
 9,021     Simon Property Group Inc.   1,343,588 
 4,094     SITE Centers Corp.   56,743 
 2,498     SL Green Realty Corp.   200,389 
 2,596     Spirit Realty Capital Inc.   124,452 
 6,134     STORE Capital Corp.   231,620 
 2,502     Sun Communities Inc.   369,796 
 1,712     Taubman Centers Inc.   66,854 

 

See Notes to Financial Statements.

 

51


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

REAL ESTATE — 2.7% — (continued)

 
 

Equity Real Estate Investment Trusts (REITs) — 2.7% — (continued)

 
 8,188     UDR Inc.  $394,498 
 10,507     Ventas Inc.   771,109 
 28,555     VEREIT Inc.   278,411 
 12,160     VICI Properties Inc.   269,466 
 5,005     Vornado Realty Trust   302,652 
 3,622     Weingarten Realty Investors   95,947 
 11,890     Welltower Inc.   1,064,868 
 21,848     Weyerhaeuser Co.   574,821 
 4,956     WP Carey Inc.   445,049 
      

 

 

 
    Total Equity Real Estate Investment Trusts (REITs)   41,538,612 
      

 

 

 
 

Real Estate Management & Development — 0.0%

 
 9,816     CBRE Group Inc., Class A Shares*   513,082 
 1,168     Howard Hughes Corp. (The)*   147,484 
 1,355     Jones Lang LaSalle Inc.   181,638 
      

 

 

 
    Total Real Estate Management & Development   842,204 
      

 

 

 
    TOTAL REAL ESTATE   42,380,816 
      

 

 

 
 

UTILITIES — 2.2%

 
 

Electric Utilities — 1.5%

 
 6,961     Alliant Energy Corp.   365,104 
 14,506     American Electric Power Co., Inc.   1,322,222 
 1,700     Avangrid Inc.   85,918 
 21,391     Duke Energy Corp.   1,983,801 
 121,650     Edison International   8,791,646 
 5,570     Entergy Corp.   628,519 
 7,150     Evergy Inc.   464,750 
 9,324     Eversource Energy   747,132 
 28,475     Exelon Corp.   1,345,728 
 15,586     FirstEnergy Corp.   716,956 
 3,142     Hawaiian Electric Industries Inc.   139,505 
 1,411     IDACORP Inc.   154,942 
 14,054     NextEra Energy Inc.   3,078,950 
 5,857     OGE Energy Corp.   251,090 
 15,677     PG&E Corp.*   163,825 
 3,288     Pinnacle West Capital Corp.   313,379 
 21,201     PPL Corp.   626,490 
 30,555     Southern Co. (The)   1,780,134 
 15,100     Xcel Energy Inc.   969,722 
      

 

 

 
    Total Electric Utilities   23,929,813 
      

 

 

 
 

Gas Utilities — 0.0%

 
 3,392     Atmos Energy Corp.   373,900 
 2,397     National Fuel Gas Co.   112,036 
 5,094     UGI Corp.   247,925 
      

 

 

 
    Total Gas Utilities   733,861 
      

 

 

 
 

Independent Power & Renewable Electricity Producers — 0.1%

 
 19,455     AES Corp.   298,245 
 7,892     NRG Energy Inc.   287,269 
 12,194     Vistra Energy Corp.   304,240 
      

 

 

 
    Total Independent Power & Renewable Electricity Producers   889,754 
      

 

 

 
 

Multi-Utilities — 0.5%

 
 7,184     Ameren Corp.   554,246 

 

See Notes to Financial Statements.

 

52


   
Schedules of Investments  
(continued)  

 

Large Cap Equity Fund 
Shares/Units     Security  Value 
 

UTILITIES — 2.2% — (continued)

 
 

Multi-Utilities — 0.5% — (continued)

 
 14,731     CenterPoint Energy Inc.  $407,901 
 8,300     CMS Energy Corp.   523,315 
 9,617     Consolidated Edison Inc.   854,951 
 23,531     Dominion Energy Inc.   1,826,712 
 5,358     DTE Energy Co.   694,718 
 5,807     MDU Resources Group Inc.   156,150 
 11,000     NiSource Inc.   325,050 
 14,810     Public Service Enterprise Group Inc.   895,561 
 8,058     Sempra Energy   1,141,255 
 9,256     WEC Energy Group Inc.   886,447 
      

 

 

 
    Total Multi-Utilities   8,266,306 
      

 

 

 
 

Water Utilities — 0.1%

 
 5,298     American Water Works Co., Inc.   674,541 
 6,328     Aqua America Inc.   280,267 
      

 

 

 
    Total Water Utilities   954,808 
      

 

 

 
    TOTAL UTILITIES   34,774,542 
      

 

 

 
    TOTAL COMMON STOCKS
(Cost — $981,106,946)
   1,479,039,974 
      

 

 

 
 

CLOSED END MUTUAL FUND SECURITY — 2.4%

 
 

FINANCIALS — 2.4%

 
 

Capital Markets — 2.4%

 
 675,204     iShares® Core S&P U.S. Value, Common Class Shares(a)
(Cost — $38,378,528)
   37,804,672 
      

 

 

 
    TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,019,485,474)
   1,516,844,646 
      

 

 

 
Face
Amount†
          
 

SHORT-TERM INVESTMENTS (c) — 2.3%

 
 

MONEY MARKET FUND — 0.6%

 
$10,273,681     Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(d)
(Cost — $10,273,681)
   10,273,681 
      

 

 

 
 

TIME DEPOSITS — 1.7%

 
 2,290,580     ANZ National Bank — London, 1.490% due 9/3/19   2,290,580 
 5,802,561     Banco Santander SA — Frankfurt, 1.490% due 9/3/19   5,802,561 
 14,290,506     Barclays Bank PLC — London, 1.490% due 9/3/19   14,290,506 
 17,069CAD     BBH — Grand Cayman, 0.870% due 9/3/19   12,822 
 3,629,640     JPMorgan Chase & Co. — New York, 1.490% due 9/3/19   3,629,640 
      

 

 

 
    TOTAL TIME DEPOSITS
(Cost — $26,026,109)
   26,026,109 
      

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(Cost — $36,299,790)
   36,299,790 
      

 

 

 
    TOTAL INVESTMENTS — 99.9%
(Cost — $1,055,785,264)
   1,553,144,436 
      

 

 

 
    Other Assets in Excess of Liabilities — 0.1%   778,718 
      

 

 

 
    TOTAL NET ASSETS — 100.0%  $1,553,923,154 
      

 

 

 

 

Amount denominated in U.S. dollars, unless otherwise noted.

*

Non-income producing security.

 

See Notes to Financial Statements.

 

53


   
Schedules of Investments  
(continued)  

 

 

Large Cap Equity Fund
(a)

All or a portion of this security is on loan (See Note 1).

(b)

Affiliated security (See Note 2). As of August 31, 2019, total cost and total market value of affiliated securities amounted to $858,128 and $1,473,725, respectively.

(c)

Inclusive of all short-term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.7%.

(d)

Represents investments of collateral received from securities lending transactions.

At August 31, 2019, for Large Cap Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

 

Fund  Aggregate Cost For
Federal Income
Tax Purposes
   Gross
Unrealized
Appreciation
   Gross
Unrealized
(Depreciation)
  Net
Unrealized
Appreciation
 

Large Cap Equity Fund

  $1,066,480,832   $563,928,998   $(77,264,711 $486,664,287 

 

Abbreviations used in this schedule:

ADR 

— American Depositary Receipts

PLC 

— Public Limited Company

REIT 

— Real Estate Investment Trust

 

Summary of Investments by Security Sector^     

Information Technology

   21.6

Health Care

   15.4 

Financials

   14.0 

Consumer Discretionary

   10.3 

Industrials

   8.9 

Communication Services

   8.8 

Consumer Staples

   6.3 

Energy

   4.7 

Materials

   3.3 

Real Estate

   2.7 

Utilities

   2.3 

Short-Term Investments

   1.7 
  

 

 

 
   100.0%+ 
  

 

 

 

 

^

As a percentage of total investments.

+

Does not reflect investments of collateral received from securities lending transactions.

At August 31, 2019, Large Cap Equity Fund had open exchange-traded futures contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:

 

Open Futures Contracts  Number of
Contracts
   Expiration
Date
(Month/Year)
   Notional
Amount
   Market
Value
   Unrealized
Appreciation/
(Depreciation)
 
Contracts to Buy:          

S&P 500E-mini Index September Futures

   63    9/19   $9,198,813   $9,212,963   $14,150 

S&P MidCap 400E-mini Index September Futures

   4    9/19    766,027    752,560    (13,467
          

 

 

 
          $683 
          

 

 

 

At August 31, 2019, Large Cap Equity Fund had deposited cash of $430,984 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.

 

Currency Abbreviation used in this schedule:

CAD 

— Canadian Dollar

 

See Notes to Financial Statements.

 

54


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

COMMON STOCKS — 95.7%

 
 

COMMUNICATION SERVICES — 1.9%

 
 

Diversified Telecommunication Services — 0.3%

 
 400    Anterix Inc.*  $15,500 
 463    ATN International Inc.   26,308 
 664    Bandwidth Inc., Class A Shares*   57,894 
 1,779    Cincinnati Bell Inc.*   9,660 
 1,743    Cogent Communications Holdings Inc.   106,131 
 2,863    Consolidated Communications Holdings Inc.   11,538 
 3,297    Frontier Communications Corp.*   2,639 
 4,024    GCI Liberty Inc., Class A Shares*   250,454 
 693    IDT Corp., Class B Shares*   6,112 
 2,769    Intelsat SA*   57,263 
 4,097    Iridium Communications Inc.*   99,065 
 695    Ooma Inc.*   8,688 
 3,059    ORBCOMM Inc.*   14,102 
 4,484    Pareteum Corp.*   9,596 
 9,241    Vonage Holdings Corp.*   122,166 
 9,276    Zayo Group Holdings Inc.*   312,230 
     

 

 

 
   Total Diversified Telecommunication Services   1,109,346 
     

 

 

 
 

Entertainment — 0.7%

 
 2,111    AMC Entertainment Holdings Inc., Class A Shares(a)   23,453 
 4,395    Cinemark Holdings Inc.   167,713 
 1,517    Eros International PLC*   2,564 
 379    Gaia Inc., Class A Shares*(a)   2,528 
 4,971    Glu Mobile Inc.*   22,071 
 2,094    IMAX Corp.*   43,807 
 367    Liberty Media Corp-Liberty Braves, Class A Shares*   10,082 
 1,479    Liberty Media Corp-Liberty Braves, Class C Shares*   40,613 
 1,049    Liberty Media Corp-Liberty Formula One, Class A Shares*   41,530 
 8,103    Liberty Media Corp-Liberty Formula One, Class C Shares*   338,219 
 1,936    Lions Gate Entertainment Corp., Class A Shares   17,482 
 4,396    Lions Gate Entertainment Corp., Class B Shares   36,663 
 1,068    LiveXLive Media Inc.*(a)   2,371 
 3,222    Madison Square Garden Co. (The), Class A Shares*   813,007 
 931    Marcus Corp. (The)   31,244 
 609    Reading International Inc., Class A Shares*   7,552 
 869    Rosetta Stone Inc.*   15,859 
 9,063    World Wrestling Entertainment Inc., Class A Shares   647,370 
 110,052    Zynga Inc., Class A Shares*   628,397 
     

 

 

 
   Total Entertainment   2,892,525 
     

 

 

 
 

Interactive Media & Services — 0.2%

 
 735    Care.com Inc.*   7,269 
 3,064    Cargurus Inc., Class A Shares*   99,948 
 2,700    Cars.com Inc.*   24,057 
 2,121    DHI Group Inc.*   7,699 
 1,512    Eventbrite Inc., Class A Shares*   26,430 
 350    EverQuote Inc., Class A Shares*   7,836 
 3,004    Liberty TripAdvisor Holdings Inc., Class A Shares*   26,255 
 2,635    Meet Group Inc. (The)*   9,091 
 1,869    QuinStreet Inc.*   21,400 
 118    Travelzoo*   1,401 
 4,329    TripAdvisor Inc.*   164,459 
 4,328    TrueCar Inc.*   17,139 
 3,075    Yelp Inc., Class A Shares*   103,043 

 

See Notes to Financial Statements.

 

55


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

COMMUNICATION SERVICES — 1.9% — (continued)

 
 

Interactive Media & Services — 0.2% — (continued)

 
 2,364    Zillow Group Inc., Class A Shares*  $80,778 
 5,022    Zillow Group Inc., Class C Shares*(a)   172,907 
     

 

 

 
   Total Interactive Media & Services   769,712 
     

 

 

 
 

Media — 0.7%

 
 1,804    AMC Networks Inc., Class A Shares*   87,494 
 421    Boston Omaha Corp., Class A Shares*   8,622 
 179    Cable One Inc.   232,274 
 562    Cardlytics Inc.*   21,114 
 299    cbdMD Inc.*   1,226 
 3,403    Central European Media Enterprises Ltd., Class A Shares*   15,790 
 1,440    Clear Channel Outdoor Holdings Inc., Class A Shares*   3,744 
 2,045    comScore Inc.*   3,804 
 17,800    Criteo SA, ADR*   345,676 
 587    Cumulus Media Inc., Class A Shares*   7,983 
 40    Daily Journal Corp.*(a)   8,019 
 930    Emerald Expositions Events Inc.   8,891 
 5,132    Entercom Communications Corp., Class A Shares   18,270 
 2,331    Entravision Communications Corp., Class A Shares   7,133 
 2,268    EW Scripps Co. (The), Class A Shares   28,033 
 2,051    Fluent Inc.*   6,112 
 4,399    Gannett Co., Inc.   46,277 
 3,769    Gray Television Inc.*   57,666 
 634    Hemisphere Media Group Inc., Class A Shares*   7,526 
 15,876    Interpublic Group of Cos., Inc. (The)   315,615 
 6,526    John Wiley & Sons Inc., Class A Shares   290,407 
 2,251    Lee Enterprises Inc.*   4,007 
 1,808    Liberty Latin America Ltd., Class A Shares*   29,687 
 4,694    Liberty Latin America Ltd., Class C Shares*   77,404 
 526    Loral Space & Communications Inc.*   19,457 
 1,455    Marchex Inc., Class B Shares*   4,947 
 2,388    MDC Partners Inc., Class A Shares*   5,612 
 1,642    Meredith Corp.   71,887 
 14,836    MSG Networks Inc., Class A Shares*   243,310 
 2,565    National CineMedia Inc.   21,033 
 2,428    New Media Investment Group Inc.(a)   21,318 
 6,652    New York Times Co. (The), Class A Shares   194,238 
 15,756    News Corp., Class A Shares   216,645 
 4,959    News Corp., Class B Shares   70,219 
 1,837    Nexstar Media Group Inc., Class A Shares   181,661 
 152    Saga Communications Inc., Class A Shares   4,338 
 1,131    Scholastic Corp.   39,664 
 2,457    Sinclair Broadcast Group Inc., Class A Shares   109,509 
 912    TechTarget Inc.*   21,651 
 8,851    TEGNA Inc.   126,658 
 3,604    Tribune Media Co., Class A Shares   167,874 
 653    Tribune Publishing Co.   4,995 
 1,084    WideOpenWest Inc.*   6,092 
     

 

 

 
   Total Media   3,163,882 
     

 

 

 
 

Wireless Telecommunication Services — 0.0%

 
 1,804    Boingo Wireless Inc.*   23,217 
 2,063    Gogo Inc.*(a)   8,293 
 1,991    Shenandoah Telecommunications Co.   62,796 
 703    Spok Holdings Inc.   8,260 

 

See Notes to Financial Statements.

 

56


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

COMMUNICATION SERVICES — 1.9% — (continued)

 
 

Wireless Telecommunication Services — 0.0% — (continued)

 
 4,100    Telephone & Data Systems Inc.  $103,320 
 637    United States Cellular Corp.*   22,926 
     

 

 

 
   Total Wireless Telecommunication Services   228,812 
     

 

 

 
   TOTAL COMMUNICATION SERVICES   8,164,277 
     

 

 

 
 

CONSUMER DISCRETIONARY — 7.7%

 
 

Auto Components — 0.3%

 
 3,552    Adient PLC   71,644 
 4,620    American Axle & Manufacturing Holdings Inc.*   29,291 
 8,470    BorgWarner Inc.   276,376 
 2,080    Cooper Tire & Rubber Co.   48,859 
 696    Cooper-Standard Holdings Inc.*   26,058 
 5,971    Dana Inc.   76,011 
 1,112    Dorman Products Inc.*   79,041 
 1,527    Fox Factory Holding Corp.*   110,005 
 10,531    Gentex Corp.   280,125 
 1,346    Gentherm Inc.*   49,398 
 9,686    Goodyear Tire & Rubber Co. (The)   111,098 
 1,012    LCI Industries   85,767 
 2,131    Modine Manufacturing Co.*   21,757 
 780    Motorcar Parts of America Inc.*   11,333 
 841    Standard Motor Products Inc.   37,265 
 1,142    Stoneridge Inc.*   35,071 
 2,065    Tenneco Inc., Class A Shares   18,007 
 816    Tower International Inc.   25,239 
 1,133    Visteon Corp.*   78,143 
     

 

 

 
   Total Auto Components   1,470,488 
     

 

 

 
 

Automobiles — 0.1%

 
 6,494    Harley-Davidson Inc.   207,159 
 1    Tesla Inc.*   226 
 2,208    Thor Industries Inc.   101,369 
 1,315    Winnebago Industries Inc.   42,106 
     

 

 

 
   Total Automobiles   350,860 
     

 

 

 
 

Distributors — 0.1%

 
 1,874    Core-Mark Holding Co., Inc.   60,699 
 701    Funko Inc., Class A Shares*(a)   16,817 
 421    Greenlane Holdings Inc., Class A Shares*(a)   2,610 
 1,583    Pool Corp.   310,869 
 241    Weyco Group Inc.   5,912 
     

 

 

 
   Total Distributors   396,907 
     

 

 

 
 

Diversified Consumer Services — 0.9%

 
 2,339    Adtalem Global Education Inc.*   99,922 
 654    American Public Education Inc.*   15,846 
 5,841    Bright Horizons Family Solutions Inc.*   964,057 
 2,852    Career Education Corp.*   58,495 
 686    Carriage Services Inc., Class A Shares   14,591 
 4,733    Chegg Inc.*   187,616 
 334    Collectors Universe Inc.   8,657 
 3,485    frontdoor Inc.*   178,920 
 172    Graham Holdings Co., Class B Shares   121,098 
 1,949    Grand Canyon Education Inc.*   244,794 
 8,364    H&R Block Inc.   202,576 

 

See Notes to Financial Statements.

 

57


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

CONSUMER DISCRETIONARY — 7.7% — (continued)

 
 

Diversified Consumer Services — 0.9% — (continued)

 
 4,488    Houghton Mifflin Harcourt Co.*  $26,704 
 1,596    K12 Inc.*   42,055 
 3,948    Laureate Education Inc., Class A Shares*   72,248 
 1,866    OneSpaWorld Holdings Ltd.*   29,296 
 1,186    Regis Corp.*   19,178 
 886    Select Interior Concepts Inc., Class A Shares*   10,995 
 7,275    Service Corp. International   336,833 
 5,598    ServiceMaster Global Holdings Inc.*   319,310 
 1,286    Sotheby’s*   74,267 
 4,669    Strategic Education Inc.   790,135 
 1,932    Weight Watchers International Inc.*   57,941 
     

 

 

 
   Total Diversified Consumer Services   3,875,534 
     

 

 

 
 

Hotels, Restaurants & Leisure — 1.6%

 
 10,071    Aramark   411,501 
 2,447    BBX Capital Corp., Class A Shares   10,155 
 43    Biglari Holdings Inc., Class B Shares*   3,772 
 817    BJ’s Restaurants Inc.   29,771 
 3,821    Bloomin’ Brands Inc.   68,931 
 271    Bluegreen Vacations Corp.   2,564 
 3,342    Boyd Gaming Corp.   80,342 
 1,559    Brinker International Inc.   59,242 
 23,350    Caesars Entertainment Corp.*   268,759 
 1,274    Carrols Restaurant Group Inc.*   9,300 
 1,025    Century Casinos Inc.*   7,872 
 1,776    Cheesecake Factory Inc. (The)   67,470 
 1,375    Choice Hotels International Inc.   125,097 
 1,431    Churchill Downs Inc.   176,385 
 618    Chuy’s Holdings Inc.*   15,679 
 790    Cracker Barrel Old Country Store Inc.   130,666 
 1,499    Dave & Buster’s Entertainment Inc.   64,532 
 1,362    Del Frisco’s Restaurant Group Inc.*   10,855 
 1,108    Del Taco Restaurants Inc.*   12,387 
 2,380    Denny’s Corp.*   56,144 
 690    Dine Brands Global Inc.   48,680 
 1,683    Domino’s Pizza Inc.   381,772 
 2,117    Drive Shack Inc.*   9,971 
 3,401    Dunkin’ Brands Group Inc.   280,378 
 740    El Pollo Loco Holdings Inc.*   7,555 
 17,894    Eldorado Resorts Inc.*   689,098 
 163    Empire Resorts Inc.*(a)   1,578 
 2,852    Everi Holdings Inc.*   25,497 
 7,862    Extended Stay America Inc.   110,461 
 893    Fiesta Restaurant Group Inc.*   7,716 
 660    Golden Entertainment Inc.*   9,359 
 705    Habit Restaurants Inc. (The), Class A Shares*   6,176 
 3,755    Hilton Grand Vacations Inc.*   126,806 
 1,552    Hyatt Hotels Corp., Class A Shares   111,977 
 463    Inspired Entertainment Inc.*(a)   3,236 
 20,093    International Game Technology PLC   240,714 
 944    International Speedway Corp., Class A Shares   42,499 
 603    J Alexander’s Holdings Inc.*   7,115 
 1,039    Jack in the Box Inc.   88,647 
 892    Lindblad Expeditions Holdings Inc.*   16,645 
 1,801    Marriott Vacations Worldwide Corp.   177,561 

 

See Notes to Financial Statements.

 

58


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

CONSUMER DISCRETIONARY — 7.7% — (continued)

 
 

Hotels, Restaurants & Leisure — 1.6% — (continued)

 
 453    Monarch Casino & Resort Inc.*  $20,104 
 109    Nathan’s Famous Inc.   7,259 
 1,212    Noodles & Co., Class A Shares*   6,993 
 892    Papa John’s International Inc.   44,386 
 4,603    Penn National Gaming Inc.*   88,240 
 3,473    Planet Fitness Inc., Class A Shares*   245,229 
 1,121    PlayAGS Inc.*   10,919 
 807    Potbelly Corp.*   3,736 
 336    RCI Hospitality Holdings Inc.   5,981 
 1,230    Red Lion Hotels Corp.*   6,445 
 529    Red Robin Gourmet Burgers Inc.*   17,716 
 2,915    Red Rock Resorts Inc., Class A Shares   60,778 
 1,138    Ruth’s Hospitality Group Inc.   22,134 
 2,261    Scientific Games Corp., Class A Shares*   41,783 
 18,652    SeaWorld Entertainment Inc.*   541,095 
 1,148    Shake Shack Inc., Class A Shares*   113,836 
 3,269    Six Flags Entertainment Corp.   193,427 
 459    Speedway Motorsports Inc.   9,065 
 1,394    Target Hospitality Corp.*   8,503 
 2,796    Texas Roadhouse Inc., Class A Shares   143,882 
 873    Twin River Worldwide Holdings Inc.(a)   19,773 
 1,651    Vail Resorts Inc.   390,098 
 7,689    Wendy’s Co. (The)   169,158 
 1,210    Wingstop Inc.   121,206 
 3,792    Wyndham Destinations Inc.   168,137 
 3,924    Wyndham Hotels & Resorts Inc.   201,615 
     

 

 

 
   Total Hotels, Restaurants & Leisure   6,666,363 
     

 

 

 
 

Household Durables — 1.4%

 
 339    Bassett Furniture Industries Inc.   4,129 
 1,023    Beazer Homes USA Inc.*   12,818 
 350    Cavco Industries Inc.*   64,215 
 1,036    Century Communities Inc.*   29,195 
 1,049    Ethan Allen Interiors Inc.   18,043 
 295    Flexsteel Industries Inc.   4,466 
 5,174    GoPro Inc., Class A Shares*   20,023 
 917    Green Brick Partners Inc.*   8,427 
 230    Hamilton Beach Brands Holding Co., Class A Shares   3,259 
 1,025    Helen of Troy Ltd.*   157,348 
 439    Hooker Furniture Corp.   7,841 
 937    Installed Building Products Inc.*   53,325 
 1,134    iRobot Corp.*   70,093 
 3,526    KB Home   99,045 
 1,797    La-Z-Boy Inc.   57,270 
 284    Legacy Housing Corp.*   4,195 
 5,406    Leggett & Platt Inc.   201,049 
 828    LGI Homes Inc.*   67,490 
 440    Lifetime Brands Inc.   3,397 
 232    Lovesac Co. (The)*   3,990 
 1,066    M/I Homes Inc.*   38,525 
 1,999    MDC Holdings Inc.   77,301 
 1,495    Meritage Homes Corp.*   97,683 
 37,604    Newell Brands Inc.   624,227 
 130    NVR Inc.*   467,870 
 10,594    PulteGroup Inc.   358,077 

 

See Notes to Financial Statements.

 

59


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

CONSUMER DISCRETIONARY — 7.7% — (continued)

 
 

Household Durables — 1.4% — (continued)

 
 3,365    Roku Inc., Class A Shares*  $509,327 
 2,079    Skyline Champion Corp.*   58,212 
 2,877    Sonos Inc.*   41,774 
 4,342    Taylor Morrison Home Corp., Class A Shares*   103,600 
 10,102    Tempur Sealy International Inc.*   779,066 
 5,536    Toll Brothers Inc.   200,348 
 14,236    TopBuild Corp.*   1,318,538 
 5,935    TRI Pointe Group Inc.*   83,090 
 1,972    Tupperware Brands Corp.   25,656 
 542    Universal Electronics Inc.*   24,471 
 1,267    William Lyon Homes, Class A Shares*   22,388 
 1,005    ZAGG Inc.*   6,442 
     

 

 

 
   Total Household Durables   5,726,213 
     

 

 

 
 

Internet & Direct Marketing Retail — 0.2%

 
 954    1-800-Flowers.com Inc., Class A Shares*   14,043 
 317    Duluth Holdings Inc., Class B Shares*   2,913 
 4,901    Etsy Inc.*   258,724 
 18,720    Groupon Inc., Class A Shares*   46,426 
 3,744    GrubHub Inc.*(a)   222,169 
 409    Lands’ End Inc.*   3,170 
 584    Leaf Group Ltd.*   2,441 
 1,072    Liquidity Services Inc.*   8,115 
 1,108    Overstock.com Inc.*(a)   17,429 
 823    PetMed Express Inc.(a)   13,003 
 3,192    Quotient Technology Inc.*   23,429 
 16,227    Qurate Retail Inc., Class A Shares*   173,791 
 1,975    Rubicon Project Inc. (The)*   20,204 
 1,420    Shutterfly Inc.*   72,250 
 804    Shutterstock Inc.*   28,228 
 682    Stamps.com Inc.*   43,893 
 1,729    Stitch Fix Inc., Class A Shares*(a)   32,955 
 2,179    Waitr Holdings Inc.*(a)   3,770 
     

 

 

 
   Total Internet & Direct Marketing Retail   986,953 
     

 

 

 
 

Leisure Products — 0.2%

 
 1,484    Acushnet Holdings Corp.   38,539 
 2,245    American Outdoor Brands Corp.*   13,492 
 3,561    Brunswick Corp.   165,943 
 3,871    Callaway Golf Co.   68,749 
 771    Clarus Corp.   8,489 
 544    Escalade Inc.   5,619 
 187    Johnson Outdoors Inc., Class A Shares   10,472 
 819    Malibu Boats Inc., Class A Shares*   22,785 
 338    Marine Products Corp.   5,114 
 766    MasterCraft Boat Holdings Inc.*   11,605 
 14,105    Mattel Inc.*(a)   138,229 
 2,367    Polaris Inc.   194,141 
 656    Sturm Ruger & Co., Inc.   26,903 
 2,586    Vista Outdoor Inc.*   14,456 
 1,275    YETI Holdings Inc.*(a)   36,019 
     

 

 

 
   Total Leisure Products   760,555 
     

 

 

 
 

Multiline Retail — 0.2%

 
 1,687    Big Lots Inc.   38,379 

 

See Notes to Financial Statements.

 

60


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

CONSUMER DISCRETIONARY — 7.7% — (continued)

 
 

Multiline Retail — 0.2% — (continued)

 
 455    Dillard’s Inc., Class A Shares(a)  $26,627 
 11,493    JC Penney Co., Inc.*(a)   8,552 
 6,695    Kohl’s Corp.   316,406 
 12,727    Macy’s Inc.   187,850 
 4,442    Nordstrom Inc.(a)   128,685 
 2,162    Ollie’s Bargain Outlet Holdings Inc.*   119,883 
     

 

 

 
   Total Multiline Retail   826,382 
     

 

 

 
 

Specialty Retail — 2.0%

 
 2,768    Aaron’s Inc.   177,457 
 2,783    Abercrombie & Fitch Co., Class A Shares   40,687 
 26,584    American Eagle Outfitters Inc.   447,143 
 268    America’sCar-Mart Inc.*   22,989 
 804    Asbury Automotive Group Inc.*   75,817 
 6,121    Ascena Retail Group Inc.*   1,524 
 1,759    At Home Group Inc.*   11,856 
 2,212    AutoNation Inc.*   104,982 
 1,375    Barnes & Noble Education Inc.*   5,363 
 5,077    Bed Bath & Beyond Inc.(a)   49,095 
 1,173    Boot Barn Holdings Inc.*   40,175 
 1,174    Buckle Inc. (The)   23,010 
 2,685    Burlington Stores Inc.*   543,686 
 1,638    Caleres Inc.   33,006 
 1,498    Camping World Holdings Inc., Class A Shares(a)   11,385 
 13,709    CarMax Inc.*   1,141,686 
 1,620    Carvana Co., Class A Shares*   131,479 
 835    Cato Corp. (The), Class A Shares   14,304 
 41,407    Chico’s FAS Inc.   129,190 
 5,121    Children’s Place Inc. (The)(a)   446,807 
 480    Citi Trends Inc.   8,069 
 814    Conn’s Inc.*   16,410 
 550    Container Store Group Inc. (The)*   2,464 
 22,265    Designer Brands Inc., Class A Shares   367,150 
 2,805    Dick’s Sporting Goods Inc.   95,482 
 31,186    Express Inc.*   66,114 
 7,906    Five Below Inc.*   971,410 
 2,724    Floor & Decor Holdings Inc., Class A Shares*   134,075 
 4,591    Foot Locker Inc.   166,148 
 3,928    GameStop Corp., Class A Shares(a)   15,594 
 723    Genesco Inc.*   25,797 
 2,827    GNC Holdings Inc., Class A Shares*(a)   5,541 
 719    Group 1 Automotive Inc.   53,724 
 2,336    Guess? Inc.   42,212 
 849    Haverty Furniture Cos., Inc.   16,258 
 705    Hibbett Sports Inc.*   11,661 
 1,765    Hudson Ltd., Class A Shares*   19,150 
 421    J. Jill Inc.   787 
 9,367    L Brands Inc.   154,649 
 902    Lithia Motors Inc., Class A Shares   118,225 
 1,030    Lumber Liquidators Holdings Inc.*(a)   9,692 
 970    MarineMax Inc.*   14,026 
 3,489    Michaels Cos., Inc. (The)*   19,783 
 12,695    Monro Inc.   986,655 
 1,245    Murphy USA Inc.*   111,303 
 2,843    National Vision Holdings Inc.*   80,627 

 

See Notes to Financial Statements.

 

61


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

CONSUMER DISCRETIONARY — 7.7% — (continued)

 
 

Specialty Retail — 2.0% — (continued)

 
 145,788    Office Depot Inc.  $189,524 
 69,060    Party City Holdco Inc.*(a)   324,582 
 1,473    Penske Automotive Group Inc.   63,015 
 2,016    Rent-A-Center Inc.*   51,468 
 744    RH*   106,578 
 18,497    RTW RetailWinds Inc.*   18,682 
 5,015    Sally Beauty Holdings Inc.*   61,333 
 395    Shoe Carnival Inc.   12,142 
 2,105    Signet Jewelers Ltd.   25,765 
 1,209    Sleep Number Corp.*   50,585 
 1,015    Sonic Automotive Inc., Class A Shares   27,314 
 1,261    Sportsman’s Warehouse Holdings Inc.*   5,321 
 1,797    Tailored Brands Inc.(a)   9,740 
 1,600    Tile Shop Holdings Inc.   4,304 
 777    Tilly’s Inc., Class A Shares   8,322 
 3,075    Urban Outfitters Inc.*   71,986 
 3,219    Williams-Sonoma Inc.   211,810 
 88    Winmark Corp.   14,300 
 780    Zumiez Inc.*   20,264 
     

 

 

 
   Total Specialty Retail   8,241,682 
     

 

 

 
 

Textiles, Apparel & Luxury Goods — 0.7%

 
 5,858    Capri Holdings Ltd.*   154,534 
 10,587    Carter’s Inc.   968,499 
 931    Centric Brands Inc.*   2,579 
 1,226    Columbia Sportswear Co.   114,986 
 2,579    Crocs Inc.*   57,512 
 481    Culp Inc.   6,753 
 1,194    Deckers Outdoor Corp.*   176,055 
 266    Delta Apparel Inc.*   5,969 
 1,985    Fossil Group Inc.*   25,408 
 1,876    G-III Apparel Group Ltd.*   38,477 
 14,785    Hanesbrands Inc.   201,963 
 1,843    Kontoor Brands Inc.*   63,104 
 703    Movado Group Inc.   15,128 
 706    Oxford Industries Inc.   49,265 
 2,141    Ralph Lauren Corp., Class A Shares   189,136 
 212    Rocky Brands Inc.   6,178 
 5,405    Skechers U.S.A. Inc., Class A Shares*   171,122 
 3,517    Steven Madden Ltd.   116,835 
 332    Superior Group of Cos., Inc.   4,708 
 507    Unifi Inc.*   9,755 
 769    Vera Bradley Inc.*   8,144 
 28,282    Wolverine World Wide Inc.   733,918 
     

 

 

 
   Total Textiles, Apparel & Luxury Goods   3,120,028 
     

 

 

 
   TOTAL CONSUMER DISCRETIONARY   32,421,965 
     

 

 

 
 

CONSUMER STAPLES — 3.0%

 
 

Beverages — 0.2%

 
 340    Boston Beer Co., Inc. (The), Class A Shares*   149,063 
 4,617    Brown-Forman Corp., Class B Shares   272,357 
 1,034    Celsius Holdings Inc.*   4,239 
 194    Coca-Cola Consolidated Inc.   65,302 
 473    Craft Brew Alliance Inc.*   4,754 
 522    MGP Ingredients Inc.   25,145 

 

See Notes to Financial Statements.

 

62


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

CONSUMER STAPLES — 3.0% — (continued)

 
 

Beverages — 0.2% — (continued)

 
 467    National Beverage Corp.(a)  $19,100 
 3,000    New Age Beverages Corp.*(a)   9,120 
 7,479    Pernod Ricard SA, ADR(a)   285,698 
 1,485    Primo Water Corp.*   18,161 
     

 

 

 
   Total Beverages   852,939 
     

 

 

 
 

Food & Staples Retailing — 0.4%

 
 1,305    Andersons Inc. (The)   29,911 
 4,614    BJ’s Wholesale Club Holdings Inc.*   121,164 
 1,503    Casey’s General Stores Inc.   252,279 
 1,005    Chefs’ Warehouse Inc. (The)*   38,773 
 1,840    Grocery Outlet Holding Corp.*   74,428 
 309    HF Foods Group Inc.*   5,988 
 574    Ingles Markets Inc., Class A Shares   22,317 
 321    Natural Grocers by Vitamin Cottage Inc.*   3,030 
 4,209    Performance Food Group Co.*   196,939 
 913    PriceSmart Inc.   55,173 
 2,402    Rite Aid Corp.*(a)   15,517 
 1,330    SpartanNash Co.   14,324 
 4,922    Sprouts Farmers Market Inc.*   88,350 
 3,623    Sysco Corp.   269,298 
 1,879    United Natural Foods Inc.*   15,107 
 8,972    US Foods Holding Corp.*   362,917 
 361    Village Super Market Inc., Class A Shares   9,014 
 366    Weis Markets Inc.   13,992 
     

 

 

 
   Total Food & Staples Retailing   1,588,521 
     

 

 

 
 

Food Products — 1.8%

 
 215    Alico Inc.   6,418 
 2,624    B&G Foods Inc.(a)   44,424 
 517    Beyond Meat Inc.*(a)   86,665 
 71    Bridgford Foods Corp.*   2,378 
 5,659    Bunge Ltd.   302,247 
 668    Calavo Growers Inc.   59,218 
 40,280    Cal-Maine Foods Inc.   1,632,951 
 6,759    Darling Ingredients Inc.*   125,718 
 3,413    Dean Foods Co.   3,447 
 410    Farmer Brothers Co.*   4,977 
 7,983    Flowers Foods Inc.   182,012 
 1,258    Fresh Del Monte Produce Inc.   32,758 
 1,281    Freshpet Inc.*   62,872 
 24,181    Hain Celestial Group Inc. (The)*   460,648 
 4,119    Hostess Brands Inc., Class A Shares*   57,748 
 2,746    Ingredion Inc.   212,184 
 620    J&J Snack Foods Corp.   119,697 
 339    John B Sanfilippo & Son Inc.   31,391 
 6,005    Lamb Weston Holdings Inc.   422,692 
 765    Lancaster Colony Corp.   111,614 
 1,096    Landec Corp.*   12,045 
 624    Limoneira Co.   11,332 
 2,216    Pilgrim’s Pride Corp.*   69,051 
 2,662    Post Holdings Inc.*   265,375 
 16,308    Sanderson Farms Inc.   2,440,003 
 11    Seaboard Corp.   45,432 
 217    Seneca Foods Corp., Class A Shares*   5,963 

 

See Notes to Financial Statements.

 

63


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

CONSUMER STAPLES — 3.0% — (continued)

 
 

Food Products — 1.8% — (continued)

 
 2,906    Simply Good Foods Co. (The)*  $86,105 
 628    Tootsie Roll Industries Inc.   23,035 
 16,382    TreeHouse Foods Inc.*   829,748 
     

 

 

 
   Total Food Products   7,750,148 
     

 

 

 
 

Household Products — 0.3%

 
 2,192    Central Garden & Pet Co., Class A Shares*   53,705 
 2,643    Energizer Holdings Inc.(a)   101,756 
 34,073    Henkel AG & Co. KGaA, ADR   785,553 
 209    Oil-Dri Corp. of America   6,429 
 1,467    Spectrum Brands Holdings Inc.   81,961 
 564    WD-40 Co.   102,817 
     

 

 

 
   Total Household Products   1,132,221 
     

 

 

 
 

Personal Products — 0.3%

 
 2,244    Edgewell Personal Care Co.*   62,473 
 1,096    elf Beauty Inc.*   17,887 
 18,146    Herbalife Nutrition Ltd.*   624,767 
 731    Inter Parfums Inc.   46,996 
 585    Lifevantage Corp.*   7,114 
 459    Medifast Inc.   45,882 
 462    Nature’s Sunshine Products Inc.*   4,347 
 9,694    Nu Skin Enterprises Inc., Class A Shares   393,770 
 325    Revlon Inc., Class A Shares*(a)   5,372 
 558    USANA Health Sciences Inc.*   37,927 
 305    Youngevity International Inc.*(a)   1,305 
     

 

 

 
   Total Personal Products   1,247,840 
     

 

 

 
 

Tobacco — 0.0%

 
 3,975    22nd Century Group Inc.*(a)   7,791 
 288    Pyxus International Inc.*   3,850 
 322    Turning Point Brands Inc.   11,544 
 1,019    Universal Corp.   51,011 
 4,288    Vector Group Ltd.   50,084 
     

 

 

 
   Total Tobacco   124,280 
     

 

 

 
   TOTAL CONSUMER STAPLES   12,695,949 
     

 

 

 
 

ENERGY — 1.9%

 
 

Energy Equipment & Services — 0.7%

 
 3,209    Apergy Corp.*   83,370 
 5,309    Archrock Inc.   51,550 
 2,727    C&J Energy Services Inc.*   26,070 
 1,938    Cactus Inc., Class A Shares*   49,361 
 1,150    Covia Holdings Corp.*(a)   1,725 
 2,878    Diamond Offshore Drilling Inc.*   18,678 
 598    DMC Global Inc.   25,971 
 7,493    Dril-Quip Inc.*   343,554 
 852    Era Group Inc.*   8,077 
 1,217    Exterran Corp.*   12,839 
 40,641    Forum Energy Technologies Inc.*   57,304 
 4,424    Frank’s International NV*   19,244 
 1,479    FTS International Inc.*   3,712 
 547    Geospace Technologies Corp.*   6,695 
 5,899    Helix Energy Solutions Group Inc.*   42,709 
 4,354    Helmerich & Payne Inc.   163,667 

 

See Notes to Financial Statements.

 

64


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

ENERGY — 1.9% — (continued)

 
 

Energy Equipment & Services — 0.7% — (continued)

 
 1,645    Independence Contract Drilling Inc.*  $1,727 
 8,500    ION Geophysical Corp.*   65,620 
 39,698    Keane Group Inc.*   210,399 
 797    KLX Energy Services Holdings Inc.*   7,994 
 1,737    Liberty Oilfield Services Inc., Class A Shares   18,708 
 496    Mammoth Energy Services Inc.   1,805 
 1,065    Matrix Service Co.*   21,162 
 39,587    McDermott International Inc.*(a)   186,851 
 14,544    Nabors Industries Ltd.   24,434 
 984    National Energy Services Reunited Corp.*   7,537 
 415    Natural Gas Services Group Inc.*   4,474 
 258    NCS Multistage Holdings Inc.*   557 
 3,726    Newpark Resources Inc.*   24,629 
 648    Nine Energy Service Inc.*   3,551 
 9,245    Noble Corp. PLC*   14,792 
 20,023    Oceaneering International Inc.*   259,498 
 16,643    Oil States International Inc.*   229,507 
 1,234    Pacific Drilling SA*   7,503 
 383    Parker Drilling Co.*   6,549 
 25,548    Patterson-UTI Energy Inc.   220,990 
 3,297    ProPetro Holding Corp.*   35,113 
 429    RigNet Inc.*   3,363 
 36,896    RPC Inc.(a)   195,918 
 690    SEACOR Holdings Inc.*   32,409 
 894    SEACOR Marine Holdings Inc.*   11,649 
 2,430    Seadrill Ltd.*(a)   5,711 
 2,438    Select Energy Services Inc., Class A Shares*   19,894 
 1,101    Smart Sand Inc.*   2,609 
 1,342    Solaris Oilfield Infrastructure Inc., Class A Shares   18,453 
 51,244    Superior Energy Services Inc.*   17,157 
 52,751    TETRA Technologies Inc.*   87,567 
 1,554    Tidewater Inc.*   24,491 
 24,031    Transocean Ltd.*   109,341 
 3,056    US Silica Holdings Inc.(a)   31,080 
 818    US Well Services Inc.*   2,454 
     

 

 

 
   Total Energy Equipment & Services   2,830,022 
     

 

 

 
 

Oil, Gas & Consumable Fuels — 1.2%

 
 6,058    Abraxas Petroleum Corp.*   3,162 
 2,107    Altus Midstream Co., Class A Shares*   4,867 
 530    Amplify Energy Corp.*   3,159 
 9,385    Antero Midstream Corp.(a)   66,727 
 11,002    Antero Resources Corp.*   34,876 
 674    Arch Coal Inc., Class A Shares   51,601 
 1,299    Ardmore Shipping Corp.*   8,106 
 2,630    Berry Petroleum Corp.   21,014 
 704    Bonanza Creek Energy Inc.*   15,882 
 668    Brigham Minerals Inc., Class A Shares   13,353 
 1,997    California Resources Corp.*(a)   19,551 
 9,507    Callon Petroleum Co.*   39,074 
 3,781    Carrizo Oil & Gas Inc.*   31,344 
 7,634    Centennial Resource Development Inc., Class A Shares*   36,796 
 1,290    Chaparral Energy Inc., Class A Shares*   1,716 
 54,167    Chesapeake Energy Corp.*(a)   78,000 
 4,070    Cimarex Energy Co.   174,115 

 

See Notes to Financial Statements.

 

65


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

ENERGY — 1.9% — (continued)

 
 

Oil, Gas & Consumable Fuels — 1.2% — (continued)

 
 5,163    Clean Energy Fuels Corp.*  $10,274 
 8,096    CNX Resources Corp.*   64,525 
 715    Comstock Resources Inc.*(a)   4,090 
 1,079    CONSOL Energy Inc.*   18,084 
 787    Contura Energy Inc.*   22,666 
 1,220    CVR Energy Inc.   48,532 
 3,145    Delek US Holdings Inc.   102,999 
 19,695    Denbury Resources Inc.*   21,271 
 3,544    DHT Holdings Inc.   19,917 
 921    Diamond S Shipping Inc.*   10,039 
 1,083    Dorian LPG Ltd.*   11,252 
 660    Earthstone Energy Inc., Class A Shares*   2,270 
 3,416    Energy Fuels Inc.*(a)   6,251 
 10,386    EQT Corp.   105,626 
 8,459    Equitrans Midstream Corp.   114,112 
 969    Evolution Petroleum Corp.   5,736 
 4,151    Extraction Oil & Gas Inc.*(a)   16,729 
 1,579    Falcon Minerals Corp.   9,253 
 1,789    GasLog Ltd.   22,005 
 3,926    Golar LNG Ltd.   45,973 
 224    Goodrich Petroleum Corp.*   2,372 
 1,752    Green Plains Inc.   14,384 
 6,752    Gulfport Energy Corp.*   16,205 
 658    Hallador Energy Co.   2,612 
 4,080    HighPoint Resources Corp.*   4,774 
 6,485    HollyFrontier Corp.   287,675 
 1,043    International Seaways Inc.*   17,960 
 19    Isramco Inc.*   2,286 
 2,866    Jagged Peak Energy Inc.*   19,775 
 15,026    Kosmos Energy Ltd.   94,964 
 7,540    Laredo Petroleum Inc.*   18,699 
 4,160    Magnolia Oil & Gas Corp., Class A Shares*(a)   42,474 
 4,589    Matador Resources Co.*   71,818 
 917    Montage Resources Corp.*   2,733 
 6,711    Murphy Oil Corp.   122,342 
 175    NACCO Industries Inc., Class A Shares   8,711 
 636    NextDecade Corp.*   3,568 
 16,929    Noble Energy Inc.   382,257 
 5,132    Nordic American Tankers Ltd.(a)   9,135 
 11,553    Northern Oil and Gas Inc.*   21,257 
 13,172    Oasis Petroleum Inc.*   41,097 
 1,628    Overseas Shipholding Group Inc., Class A Shares*   2,654 
 616    Panhandle Oil and Gas Inc., Class A Shares   7,041 
 1,457    Par Pacific Holdings Inc.*   31,675 
 10,999    Parsley Energy Inc., Class A Shares*   196,992 
 21,602    PBF Energy Inc., Class A Shares   511,967 
 2,745    PDC Energy Inc.*   87,428 
 2,838    Peabody Energy Corp.   52,304 
 589    Penn Virginia Corp.*   16,786 
 28    PrimeEnergy Resources Corp.*   3,150 
 60,453    QEP Resources Inc.   215,213 
 38,969    Range Resources Corp.(a)   138,730 
 1,577    Renewable Energy Group Inc.*   19,192 
 246    REX American Resources Corp.*   16,895 

 

See Notes to Financial Statements.

 

66


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

ENERGY — 1.9% — (continued)

 
 

Oil, Gas & Consumable Fuels — 1.2% — (continued)

 
 2,143    Ring Energy Inc.*  $3,129 
 2,342    Roan Resources Inc.*(a)   2,646 
 1,143    SandRidge Energy Inc.*   5,349 
 1,786    Scorpio Tankers Inc.   46,954 
 3,391    SemGroup Corp., Class A Shares   29,976 
 3,354    Ship Finance International Ltd.   47,191 
 220    SilverBow Resources Inc.*   1,910 
 4,645    SM Energy Co.   44,035 
 22,660    Southwestern Energy Co.*   35,803 
 10,161    SRC Energy Inc.*   51,008 
 885    Talos Energy Inc.*   16,850 
 9,363    Targa Resources Corp.   338,192 
 2,597    Teekay Corp.(a)   9,531 
 7,025    Teekay Tankers Ltd., Class A Shares*   7,798 
 3,910    Tellurian Inc.*(a)   25,532 
 2,096    Unit Corp.*   6,351 
 5,949    Uranium Energy Corp.*   5,574 
 3,477    W&T Offshore Inc.*   15,229 
 3,776    Whiting Petroleum Corp.*   25,035 
 2,687    World Fuel Services Corp.   103,181 
 72,352    WPX Energy Inc.*   778,508 
     

 

 

 
   Total Oil, Gas & Consumable Fuels   5,351,854 
     

 

 

 
   TOTAL ENERGY   8,181,876 
     

 

 

 
 

FINANCIALS — 15.1%

 
 

Banks — 5.6%

 
 350    1st Constitution Bancorp   6,093 
 591    1st Source Corp.   26,223 
 284    ACNB Corp.   9,565 
 848    Allegiance Bancshares Inc.*   27,484 
 634    Amalgamated Bank, Class A Shares   10,176 
 800    Amerant Bancorp Inc., Class A Shares*   13,248 
 449    American National Bankshares Inc.   15,356 
 2,717    Ameris Bancorp   95,611 
 319    Ames National Corp.   8,444 
 560    Arrow Financial Corp.   18,010 
 6,712    Associated Banc-Corp.   129,139 
 987    Atlantic Capital Bancshares Inc.*   16,088 
 3,333    Atlantic Union Bankshares Corp.   120,355 
 1,928    Banc of California Inc.   28,091 
 801    BancFirst Corp.   43,070 
 2,088    Bancorp Inc. (The)*   19,063 
 3,895    BancorpSouth Bank   107,463 
 239    Bank First Corp.   13,009 
 558    Bank of Commerce Holdings   5,580 
 1,671    Bank of Hawaii Corp.   138,158 
 578    Bank of Marin Bancorp   23,473 
 2,259    Bank of NT Butterfield & Son Ltd. (The)   62,258 
 221    Bank of Princeton (The)   5,901 
 4,994    Bank OZK   128,845 
 201    Bank7 Corp.*   3,616 
 701    BankFinancial Corp.   8,174 
 39,931    BankUnited Inc.   1,268,209 
 317    Bankwell Financial Group Inc.   8,340 

 

See Notes to Financial Statements.

 

67


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

FINANCIALS — 15.1% — (continued)

 
 

Banks — 5.6% — (continued)

 
 5,531    Banner Corp.  $298,176 
 625    Bar Harbor Bankshares   13,794 
 434    Baycom Corp.*   9,591 
 686    BCB Bancorp Inc.   8,479 
 17,209    Berkshire Hills Bancorp Inc.   504,740 
 1,341    BOK Financial Corp.   102,104 
 3,124    Boston Private Financial Holdings Inc.   33,177 
 761    Bridge Bancorp Inc.   20,478 
 3,033    Brookline Bancorp Inc.   42,583 
 882    Bryn Mawr Bank Corp.   30,076 
 517    Business First Bancshares Inc.   12,212 
 1,020    Byline Bancorp Inc.*   17,544 
 102    C&F Financial Corp.   4,835 
 5,225    Cadence BanCorp, Class A Shares   80,308 
 183    Cambridge Bancorp   13,531 
 668    Camden National Corp.   27,695 
 297    Capital Bancorp Inc.*   3,594 
 575    Capital City Bank Group Inc.   14,018 
 637    Capstar Financial Holdings Inc.   9,848 
 866    Carolina Financial Corp.   29,574 
 946    Carter Bank & Trust*   17,870 
 3,114    Cathay General Bancorp   103,354 
 702    CBTX Inc.   18,905 
 5,274    CenterState Bank Corp.   119,298 
 1,053    Central Pacific Financial Corp.   29,294 
 478    Central Valley Community Bancorp   9,359 
 124    Century Bancorp Inc., Class A Shares   10,044 
 124    Chemung Financial Corp.   4,984 
 3,950    CIT Group Inc.   168,230 
 468    Citizens & Northern Corp.   11,101 
 664    City Holding Co.   49,368 
 560    Civista Bancshares Inc.   11,441 
 561    CNB Financial Corp.   14,833 
 355    Coastal Financial Corp.*   5,243 
 331    Codorus Valley Bancorp Inc.   7,401 
 315    Colony Bankcorp Inc.   5,027 
 2,807    Columbia Banking System Inc.   96,870 
 4,900    Comerica Inc.   302,085 
 4,097    Commerce Bancshares Inc.   233,816 
 1,928    Community Bank System Inc.   117,589 
 856    Community Bankers Trust Corp.   6,643 
 155    Community Financial Corp. (The)   4,872 
 675    Community Trust Bancorp Inc.   26,257 
 1,410    ConnectOne Bancorp Inc.   28,877 
 5,079    Cullen/Frost Bankers Inc.   421,608 
 1,036    Customers Bancorp Inc.*   19,570 
 5,486    CVB Financial Corp.   112,847 
 146    DNB Financial Corp.   6,009 
 1,390    Eagle Bancorp Inc.   56,629 
 5,983    East West Bancorp Inc.   246,081 
 361    Enterprise Bancorp Inc.   10,444 
 1,047    Enterprise Financial Services Corp.   41,273 
 648    Equity Bancshares Inc., Class A Shares*   16,394 
 279    Esquire Financial Holdings Inc.*   6,556 

 

See Notes to Financial Statements.

 

68


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

FINANCIALS — 15.1% — (continued)

 
 

Banks — 5.6% — (continued)

 
 187    Evans Bancorp Inc.  $6,379 
 473    Farmers & Merchants Bancorp Inc.   12,099 
 1,013    Farmers National Banc Corp.   13,675 
 669    FB Financial Corp.   23,997 
 112    Fidelity D&D Bancorp Inc.   6,161 
 611    Financial Institutions Inc.   17,756 
 10,059    First Bancorp   126,953 
 400    First Bancorp Inc.   10,160 
 714    First Bancshares Inc. (The)   22,520 
 727    First Bank   7,677 
 2,229    First Busey Corp.   54,610 
 370    First Business Financial Services Inc.   8,343 
 136    First Capital Inc.   7,698 
 408    First Choice Bancorp   8,544 
 307    First Citizens BancShares Inc., Class A Shares   136,492 
 3,394    First Commonwealth Financial Corp.   41,984 
 616    First Community Bancshares Inc.   19,595 
 28,079    First Financial Bancorp   657,610 
 5,334    First Financial Bankshares Inc.   163,327 
 551    First Financial Corp.   22,371 
 226    First Financial Northwest Inc.   3,101 
 1,548    First Foundation Inc.   21,610 
 192    First Guaranty Bancshares Inc.   3,644 
 22,355    First Hawaiian Inc.   574,523 
 12,955    First Horizon National Corp.   205,078 
 341    First Internet Bancorp   6,895 
 1,483    First Interstate BancSystem Inc., Class A Shares   57,837 
 2,083    First Merchants Corp.   74,405 
 622    First Mid Bancshares Inc.   19,960 
 4,059    First Midwest Bancorp Inc.   77,933 
 347    First Northwest Bancorp   5,545 
 1,067    First of Long Island Corp. (The)   23,218 
 1,211    Flushing Financial Corp.   23,360 
 13,686    FNB Corp.   147,124 
 712    FNCB Bancorp Inc.   5,240 
 495    Franklin Financial Network Inc.   14,320 
 188    Franklin Financial Services Corp.   5,937 
 31,176    Fulton Financial Corp.   497,257 
 502    FVCBankcorp Inc.*   8,308 
 941    German American Bancorp Inc.   28,729 
 3,260    Glacier Bancorp Inc.   129,389 
 478    Great Southern Bancorp Inc.   26,931 
 2,033    Great Western Bancorp Inc.   60,644 
 383    Guaranty Bancshares Inc.   11,544 
 3,507    Hancock Whitney Corp.   123,131 
 1,156    Hanmi Financial Corp.   20,704 
 1,224    HarborOne Bancorp Inc.*   12,191 
 235    Hawthorn Bancshares Inc.   5,193 
 1,290    Heartland Financial USA Inc.   56,412 
 1,915    Heritage Commerce Corp.   22,195 
 1,513    Heritage Financial Corp.   39,610 
 3,030    Hilltop Holdings Inc.   71,962 
 6,533    Home BancShares Inc.   115,765 
 742    HomeTrust Bancshares Inc.   18,713 

 

See Notes to Financial Statements.

 

69


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

FINANCIALS — 15.1% — (continued)

 
 

Banks — 5.6% — (continued)

 
 4,982    Hope Bancorp Inc.  $66,809 
 1,705    Horizon Bancorp Inc.   27,723 
 590    Howard Bancorp Inc.*   8,726 
 30,000    Huntington Bancshares Inc.   397,500 
 2,218    IBERIABANK Corp.   153,020 
 2,241    Independent Bank Corp.   109,646 
 1,521    Independent Bank Group Inc.   74,392 
 2,191    International Bancshares Corp.   77,978 
 334    Investar Holding Corp.   7,755 
 9,599    Investors Bancorp Inc.   106,549 
 2,138    Lakeland Bancorp Inc.   31,813 
 1,025    Lakeland Financial Corp.   43,388 
 530    LCNB Corp.   8,888 
 1,988    LegacyTexas Financial Group Inc.   80,315 
 228    Level One Bancorp Inc.   5,356 
 960    Live Oak Bancshares Inc.   17,222 
 1,056    Macatawa Bank Corp.   10,444 
 392    Mackinac Financial Corp.   5,543 
 314    MainStreet Bancshares Inc.*   6,691 
 238    Malvern Bancorp Inc.*   5,034 
 806    MBT Financial Corp.   7,931 
 714    Mercantile Bank Corp.   21,970 
 327    Metropolitan Bank Holding Corp.*   11,837 
 367    Mid Penn Bancorp Inc.   8,900 
 947    Midland States Bancorp Inc.   24,404 
 763    MidSouth Bancorp Inc.   7,897 
 467    MidWestOne Financial Group Inc.   13,529 
 301    MutualFirst Financial Inc.   9,081 
 362    MVB Financial Corp.   6,820 
 27,148    National Bank Holdings Corp., Class A Shares   886,111 
 251    National Bankshares Inc.   8,408 
 1,763    NBT Bancorp Inc.   61,652 
 315    Nicolet Bankshares Inc.*   19,965 
 318    Northeast Bank   6,675 
 262    Northrim BanCorp Inc.   9,484 
 201    Norwood Financial Corp.   6,175 
 304    Oak Valley Bancorp   4,910 
 2,094    OFG Bancorp   42,969 
 134    Ohio Valley Banc Corp.   4,316 
 604    Old Line Bancshares Inc.   15,958 
 7,128    Old National Bancorp   119,750 
 1,221    Old Second Bancorp Inc.   14,396 
 32,663    Opus Bank   678,084 
 815    Origin Bancorp Inc.   26,113 
 454    Orrstown Financial Services Inc.   9,688 
 950    Pacific Mercantile Bancorp*   7,220 
 2,555    Pacific Premier Bancorp Inc.   75,270 
 18,744    PacWest Bancorp   638,796 
 555    Park National Corp.   49,994 
 447    Parke Bancorp Inc.   10,178 
 473    PCB Bancorp   7,790 
 774    Peapack Gladstone Financial Corp.   21,773 
 169    Penns Woods Bancorp Inc.   6,978 
 749    Peoples Bancorp Inc.   23,002 

 

See Notes to Financial Statements.

 

70


   
Schedules of Investments  
(continued)  

 

Small-Mid Cap Equity Fund 
Shares/Units      Security  Value 
 

FINANCIALS — 15.1% — (continued)

 
 

Banks — 5.6% — (continued)

 
 165    Peoples Bancorp of North Carolina Inc.  $4,599 
 268    Peoples Financial Services Corp.   11,998 
 16,433    People’s United Financial Inc.   236,142 
 672    People’s Utah Bancorp   17,808 
 3,091    Pinnacle Financial Partners Inc.   162,803 
 3,931    Popular Inc.   206,653 
 564    Preferred Bank   28,177 
 650    Premier Financial Bancorp Inc.   10,075 
 2,764    Prosperity Bancshares Inc.   179,439 
 642    QCR Holdings Inc.   22,669 
 711    RBB Bancorp   13,104 
 417    Reliant Bancorp Inc.   9,553 
 2,415    Renasant Corp.   79,188 
 394    Republic Bancorp Inc., Class A Shares   16,725 
 1,597    Republic First Bancorp Inc.*   6,460 
 1,180    S&T Bancorp Inc.   40,380 
 1,372    Sandy Spring Bancorp Inc.   45,935 
 331    SB One Bancorp   7,388 
 2,085    Seacoast Banking Corp. of Florida*   48,664 
 823    Select Bancorp Inc.*   8,971 
 2,002    ServisFirst Bancshares Inc.   60,861 
 449    Shore Bancshares Inc.   6,897 
 590    Sierra Bancorp   14,538 
 5,026    Signature Bank   586,283 
 3,749    Simmons First National Corp., Class A Shares   89,976 
 620    SmartFinancial Inc.*   12,016 
 228    South Plains Financial Inc.   3,730 
 1,421    South State Corp.   104,557 
 257    Southern First Bancshares Inc.*   9,810 
 756    Southern National Bancorp of Virginia Inc.   11,053 
 1,324    Southside Bancshares Inc.   43,599 
 505    Spirit of Texas Bancshares Inc.*   10,403 
 8,536    Sterling Bancorp   162,782 
 810    Stock Yards Bancorp Inc.   29,403 
 395    Summit Financial Group Inc.   9,729 
 6,200    Synovus Financial Corp.   220,348 
 37,843    TCF Financial Corp.   1,459,226 
 14,053    Texas Capital Bancshares Inc.*   757,176 
 569    Tompkins Financial Corp.   45,008 
 12,205    Towne Bank   320,625 
 1,143    TriCo Bancshares   40,416 
 1,024    TriState Capital Holdings Inc.*   20,224 
 1,044    Triumph Bancorp Inc.*   31,310 
 2,657    Trustmark Corp.   86,831 
 17,635    UMB Financial Corp.   1,099,013 
 36,927    Umpqua Holdings Corp.   580,123 
 117    Union Bankshares Inc.   3,210 
 4,046    United Bankshares Inc.   149,216 
 2,652    United Community Banks Inc.   70,039 
 508    United Security Bancshares   5,273 
 281    Unity Bancorp Inc.   5,516 
 1,237    Univest Financial Corp.   31,308 
 135,742    Valley National Bancorp   1,426,648 
 2,183