WILSHIRE MUTUAL FUNDS, INC. | |||
LARGE COMPANY VALUE PORTFOLIO | September 30, 2021 (Unaudited) | ||
SCHEDULE OF INVESTMENTS |
Shares | Value | |||||
COMMON STOCKS - 81.0% (a) | ||||||
Communication Services - 4.0% | ||||||
Activision Blizzard, Inc. | 9,790 | $ | 757,648 | |||
Alphabet, Inc. - Class A (b) | 727 | 1,943,649 | ||||
Alphabet, Inc. - Class C (b) | 414 | 1,103,438 | ||||
Altice USA, Inc. - Class A (b) | 2,400 | 49,728 | ||||
AT&T, Inc. | 23,366 | 631,116 | ||||
Comcast Corp. - Class A | 7,241 | 404,989 | ||||
DISH Network Corp. - Class A (b) | 4,495 | 195,353 | ||||
Electronic Arts, Inc. | 5,292 | 752,787 | ||||
News Corp. - Class A | 12,150 | 285,890 | ||||
News Corp. - Class B | 10,080 | 234,158 | ||||
Nexstar Media Group, Inc. - Class A | 1,700 | 258,332 | ||||
Pinterest, Inc. - Class A (b) | 340 | 17,323 | ||||
Take-Two Interactive Software, Inc. (b) | 3,888 | 599,024 | ||||
The Interpublic Group of Cos., Inc. | 4,550 | 166,848 | ||||
The Walt Disney Co. (b) | 4,306 | 728,446 | ||||
Verizon Communications, Inc. | 14,656 | 791,571 | ||||
Zillow Group, Inc. - Class C (b) | 430 | 37,900 | ||||
8,958,200 | ||||||
Consumer Discretionary - 7.7% | ||||||
Advance Auto Parts, Inc. | 290 | 60,578 | ||||
Amazon.com, Inc. (b) | 268 | 880,391 | ||||
AutoNation, Inc. (b) | 4,400 | 535,744 | ||||
AutoZone, Inc. (b) | 221 | 375,256 | ||||
Bath and Body Works, Inc.(b) | 2,595 | 163,563 | ||||
Booking Holdings, Inc. (b) | 231 | 548,364 | ||||
Boyd Gaming Corp. (b) | 2,310 | 146,131 | ||||
Capri Holdings Ltd. (b) | 1,730 | 83,749 | ||||
Carter's, Inc. | 2,640 | 256,714 | ||||
Darden Restaurants, Inc. | 70 | 10,603 | ||||
Dick's Sporting Goods, Inc. | 2,610 | 312,600 | ||||
Dollar General Corp. | 306 | 64,915 | ||||
Dollar Tree, Inc. (b) | 1,490 | 142,623 | ||||
Domino's Pizza, Inc. | 762 | 363,444 | ||||
DoorDash, Inc. - Class A (b) | 180 | 37,077 | ||||
DR Horton, Inc. | 1,420 | 119,237 | ||||
Foot Locker, Inc. | 2,930 | 133,784 | ||||
Ford Motor Co. (b) | 105,602 | 1,495,324 | ||||
Frontdoor, Inc. (b) | 585 | 24,511 | ||||
Garmin Ltd. | 129 | 20,054 | ||||
General Motors Co.(b) | 1,570 | 82,755 | ||||
Gildan Activewear, Inc. | 41,333 | 1,509,068 | ||||
Harley-Davidson, Inc. | 720 | 26,359 | ||||
Kohl's Corp. | 2,020 | 95,122 | ||||
Lear Corp. | 9,189 | 1,437,895 | ||||
Lennar Corp. - Class A | 560 | 52,461 | ||||
Lennar Corp. - Class B | 540 | 41,899 | ||||
LKQ Corp.(b) | 2,560 | 128,819 | ||||
LVMH Moet Hennessy Louis Vuitton SE | 705 | 506,395 | ||||
Marriott Vacations Worldwide Corp. | 730 | 114,851 | ||||
Mattel, Inc. (b) | 5,690 | 105,606 | ||||
McDonald's Corp. | 1,747 | 421,219 | ||||
Mohawk Industries, Inc. (b) | 6,193 | 1,098,638 | ||||
Newell Brands, Inc. | 39,763 | 880,353 | ||||
NIKE, Inc. - Class B | 6,736 | 978,269 | ||||
Penske Automotive Group, Inc. | 2,240 | 225,344 | ||||
PVH Corp. (b) | 13,645 | 1,402,570 | ||||
Quarte Retail, Inc. - Series A | 5,300 | 54,007 | ||||
Skechers USA, Inc. - Class A (b) | 10,819 | 455,696 | ||||
Tapestry, Inc. | 2,709 | 100,287 | ||||
Target Corp. | 2,655 | 607,384 | ||||
Tempur Sealy International, Inc. | 3,413 | 158,397 | ||||
The Home Depot, Inc. | 467 | 153,297 | ||||
Toll Brothers, Inc. | 195 | 10,782 | ||||
Under Armour, Inc. - Class A (b) | 2,050 | 41,369 | ||||
Under Armour, Inc. - Class C (b) | 3,870 | 67,802 | ||||
Victoria's Secret & Co. (b) | 865 | 47,800 | ||||
Wayfair, Inc. - Class A (b) | 130 | 33,216 | ||||
Williams-Sonoma, Inc. | 310 | 54,972 | ||||
Yum! Brands, Inc. | 4,750 | 580,972 | ||||
17,248,266 | ||||||
Consumer Staples - 4.5% | ||||||
Brown-Forman Corp. - Class B | 2,013 | 134,891 | ||||
Costco Wholesale Corp. | 3,238 | 1,454,995 | ||||
Colgate-Palmolive Co. | 28,792 | 2,176,099 | ||||
Constellation Brands, Inc. - Class A | 1,574 | 331,626 | ||||
Diageo PLC | 14,752 | 716,759 | ||||
General Mills, Inc. | 530 | 31,705 | ||||
Kellogg Co. | 1,180 | 75,426 | ||||
Mondelez International, Inc. - Class A | 4,475 | 260,356 | ||||
PepsiCo, Inc. | 1,205 | 181,244 | ||||
Pernod Ricard SA | 3,148 | 695,382 | ||||
Philip Morris International, Inc. | 7,510 | 711,873 | ||||
The Clorox Co. | 2,174 | 360,036 | ||||
The Coca-Cola Co. | 9,503 | 498,623 | ||||
The Estee Lauder Cos., Inc. - Class A | 2,803 | 840,704 | ||||
The Hershey Co. | 700 | 118,475 | ||||
The Procter & Gamble Co. | 4,589 | 641,542 | ||||
Tyson Foods, Inc. - Class A | 2,700 | 213,138 | ||||
Walmart, Inc. | 5,335 | 743,592 | ||||
10,186,466 | ||||||
Energy - 3.7% | ||||||
Baker Hughes Co. | 36,101 | 892,778 | ||||
Cabot Oil & Gas Corp. | 14,070 | 306,163 | ||||
Cenovus Energy, Inc. | 27,130 | 272,928 | ||||
Chevron Corp. | 1,830 | 185,654 | ||||
Diamondback Energy, Inc. | 490 | 46,388 | ||||
Equitrans Midstream Corp. | 11,830 | 119,956 | ||||
Exxon Mobil Corp. | 31,632 | 1,860,595 | ||||
Halliburton Co. | 75,308 | 1,628,159 | ||||
Hess Corp. | 1,580 | 123,414 | ||||
HollyFrontier Corp. | 13,480 | 446,592 | ||||
Marathon Petroleum Corp. | 960 | 59,338 | ||||
NOV, Inc. (b) | 70,358 | 922,393 | ||||
Royal Dutch Shell PLC - Class A - ADR | 20,058 | 893,985 | ||||
Schlumberger NV | 6,630 | 196,513 | ||||
Targa Resources Corp. | 6,938 | 341,419 | ||||
Valero Energy Corp. | 1,020 | 71,981 | ||||
8,368,256 | ||||||
Financials - 17.0% | ||||||
Ally Financial, Inc. | 8,630 | 440,561 | ||||
American Express Co. | 990 | 165,855 | ||||
American International Group, Inc. | 29,677 | 1,628,971 | ||||
Aon PLC - Class A | 4,597 | 1,313,685 | ||||
Arch Capital Group Ltd. (b) | 10,422 | 397,912 | ||||
Arthur J Gallagher & Co. | 4,978 | 739,980 | ||||
Axis Capital Holdings Ltd. | 16,341 | 752,340 | ||||
Bank of America Corp. | 48,738 | 2,068,928 | ||||
Berkshire Hathaway, Inc. - Class B (b) | 6,587 | 1,797,856 | ||||
BlackRock, Inc. | 297 | 249,082 | ||||
Capital One Financial Corp. | 12,328 | 1,996,766 | ||||
Cboe Global Markets, Inc. | 3,465 | 429,175 | ||||
Citigroup, Inc. | 27,029 | 1,896,895 | ||||
Citizens Financial Group, Inc. | 1,650 | 77,517 | ||||
CME Group, Inc. | 1,594 | 308,248 | ||||
Discover Financial Services | 1,995 | 245,086 | ||||
Equitable Holdings, Inc. | 41,259 | 1,222,917 | ||||
Everest Re Group Ltd. | 3,092 | 775,412 | ||||
Fidelity National Financial, Inc. | 6,510 | 295,163 | ||||
First American Financial Corp. | 1,520 | 101,916 | ||||
Franklin Resources, Inc. | 1,140 | 33,881 | ||||
Huntington Bancshares, Inc. | 2,905 | 44,911 | ||||
Interactive Brokers Group, Inc. - Class A | 4,386 | 273,423 | ||||
Invesco Ltd. | 10,821 | 260,894 | ||||
Janus Henderson Group PLC | 2,210 | 91,339 | ||||
JPMorgan Chase & Co. | 20,328 | 3,327,490 | ||||
Lazard Ltd. - Class A | 4,580 | 209,764 | ||||
M&T Bank Corp. | 2,581 | 385,447 | ||||
Markel Corp. (b) | 271 | 323,880 | ||||
Marsh & Mclennan Cos., Inc. | 6,038 | 914,334 | ||||
MetLife, Inc. | 22,137 | 1,366,517 | ||||
Moody's Corp. | 4,400 | 1,562,484 | ||||
Morgan Stanley | 5,948 | 578,800 | ||||
Nasdaq, Inc. | 2,088 | 403,026 | ||||
New York Community Bancorp, Inc. | 2,690 | 34,620 | ||||
Old Republic International Corp. | 3,240 | 74,941 | ||||
OneMain Holdings, Inc. | 9,820 | 543,341 | ||||
Popular, Inc. | 1,545 | 120,000 | ||||
Prosperity Bancshares, Inc. | 2,120 | 150,796 | ||||
Raymond James Financial, Inc. | 1,635 | 150,878 | ||||
Regions Financial Corp. | 6,335 | 134,999 | ||||
Reinsurance Group of America, Inc. | 990 | 110,147 | ||||
S&P Global, Inc. | 2,792 | 1,186,293 | ||||
Santander Consumer USA Holdings, Inc. | 2,785 | 116,135 | ||||
SEI Investments Co. | 1,180 | 69,974 | ||||
Signature Bank | 150 | 40,842 | ||||
SLM Corp. | 3,390 | 59,664 | ||||
Stifel Financial Corp. | 4,870 | 330,965 | ||||
Synchrony Financial | 6,149 | 300,563 | ||||
The Charles Schwab Corp. | 22,600 | 1,646,184 | ||||
The Goldman Sachs Group, Inc. | 2,695 | 1,018,791 | ||||
Truist Financial Corp. | 9,140 | 536,061 | ||||
UBS Group AG | 16,849 | 268,573 | ||||
US Bancorp | 4,493 | 267,064 | ||||
Virtu Financial, Inc. - Class A | 6,470 | 158,062 | ||||
Voya Financial, Inc. | 17,174 | 1,054,312 | ||||
W.R. Berkley Corp. | 5,475 | 400,660 | ||||
Wells Fargo & Co. | 58,842 | 2,730,857 | ||||
38,185,177 | ||||||
Health Care - 9.9% | ||||||
Abbott Laboratories | 3,520 | 415,818 | ||||
AbbVie, Inc. | 980 | 105,713 | ||||
Agilent Technologies, Inc. | 10,947 | 1,724,481 | ||||
AmerisourceBergen Corp. | 2,340 | 279,513 | ||||
Amgen, Inc. | 2,325 | 494,411 | ||||
Anthem, Inc. | 2,925 | 1,090,440 | ||||
Baxter International, Inc. | 1,580 | 127,079 | ||||
Becton Dickinson and Co. | 220 | 54,080 | ||||
Biogen, Inc. (b) | 180 | 50,938 | ||||
Bio-Techne Corp. | 493 | 238,893 | ||||
Bristol-Myers Squibb Co. | 18,624 | 1,101,982 | ||||
Bruker Corp. | 16,904 | 1,320,202 | ||||
Cardinal Health, Inc. | 8,950 | 442,667 | ||||
Centene Corp. (b) | 2,680 | 166,991 | ||||
Cerner Corp. | 2,300 | 162,196 | ||||
Chemed Corp. | 230 | 106,978 | ||||
Cigna Corp. | 2,426 | 485,588 | ||||
CVS Health Corp. | 9,198 | 780,542 | ||||
Danaher Corp. | 4,005 | 1,219,282 | ||||
DENTSPLY SIRONA, Inc | 1,410 | 81,851 | ||||
Elanco Animal Health, Inc. (b) | 370 | 11,799 | ||||
Encompass Health Corp. | 1,680 | 126,067 | ||||
Fresenius Medical Care AG & Co. KGaA - ADR (c) | 25,492 | 891,455 | ||||
Gilead Sciences, Inc. | 3,740 | 261,239 | ||||
HCA Healthcare, Inc. | 1,141 | 276,944 | ||||
Hologic, Inc. (b) | 2,330 | 171,977 | ||||
Humana, Inc. | 1,121 | 436,237 | ||||
IQVIA Holdings, Inc. (b) | 1,303 | 312,121 | ||||
Johnson & Johnson | 13,217 | 2,134,546 | ||||
Laboratory Corp. of America Holdings (b) | 439 | 123,552 | ||||
Maravai LifeSciences Holdings, Inc. - Class A (b) | 1,190 | 58,405 | ||||
McKesson Corp. | 7,338 | 1,463,050 | ||||
Medtronic PLC | 1,733 | 217,232 | ||||
Merck & Co., Inc. | 3,084 | 231,639 | ||||
Molina Healthcare, Inc. (b) | 720 | 195,343 | ||||
Organon & Co. | 4,325 | 141,817 | ||||
Pfizer, Inc. | 42,924 | 1,846,161 | ||||
Quest Diagnostics, Inc. | 525 | 76,288 | ||||
ResMed, Inc. | 730 | 192,392 | ||||
Royalty Pharma PLC - Class A | 3,205 | 115,829 | ||||
Seagen, Inc. (b) | 470 | 79,806 | ||||
Thermo Fisher Scientific, Inc. | 1,024 | 585,042 | ||||
UnitedHealth Group, Inc. | 2,630 | 1,027,646 | ||||
Waters Corp. (b) | 2,020 | 721,746 | ||||
Zimmer Biomet Holdings, Inc. | 407 | 59,569 | ||||
22,207,547 | ||||||
Industrials - 11.5% | ||||||
3M Co. | 4,522 | 793,249 | ||||
A.O. Smith Corp. | 1,660 | 101,376 | ||||
AGCO Corp. | 410 | 50,237 | ||||
Allegion PLC | 1,660 | 219,419 | ||||
AMETEK, Inc. | 1,245 | 154,392 | ||||
Carlisle Cos., Inc. | 840 | 166,984 | ||||
Curtiss-Wright Corp. | 2,485 | 313,557 | ||||
Deere & Co. | 760 | 254,653 | ||||
Emerson Electric Co. | 3,420 | 322,164 | ||||
Equifax, Inc. | 3,282 | 831,724 | ||||
Expeditors International of Washington, Inc. | 3,050 | 363,347 | ||||
Fastenal Co. | 9,220 | 475,844 | ||||
FedEx Corp. | 1,424 | 312,269 | ||||
Ferguson PLC | 1,953 | 271,963 | ||||
Fortive Corp. | 1,015 | 71,629 | ||||
FTI Consulting, Inc. (b) | 123 | 16,568 | ||||
General Dynamics Corp. | 1,169 | 229,159 | ||||
General Electric Co. | 20,490 | 2,111,085 | ||||
Graco, Inc. | 9,669 | 676,540 | ||||
Honeywell International, Inc. | 5,483 | 1,163,931 | ||||
IDEX Corp. | 4,478 | 926,722 | ||||
Illinois Tool Works, Inc. | 1,070 | 221,094 | ||||
Johnson Controls International PLC | 12,218 | 831,801 | ||||
Kansas City Southern | 1,347 | 364,552 | ||||
Knight-Swift Transportation Holdings, Inc. | 770 | 39,386 | ||||
ManpowerGroup, Inc. | 1,890 | 204,649 | ||||
Masco Corp. | 1,320 | 73,326 | ||||
MSA Safety, Inc. | 2,698 | 393,099 | ||||
Nordson Corp. | 3,819 | 909,495 | ||||
Norfolk Southern Corp. | 373 | 89,240 | ||||
Northrop Grumman Corp. | 280 | 100,842 | ||||
Old Dominion Freight Line, Inc. | 193 | 55,194 | ||||
Oshkosh Corp. | 335 | 34,294 | ||||
Otis Worldwide Corp. | 26,273 | 2,161,742 | ||||
Parker-Hannifin Corp. | 569 | 159,104 | ||||
Pentair PLC | 5,059 | 367,435 | ||||
RBC Bearings, Inc. (b) | 1,690 | 358,618 | ||||
Republic Services, Inc. | 715 | 85,843 | ||||
Rockwell Automation, Inc. | 4,962 | 1,459,026 | ||||
Rollins, Inc. | 4,470 | 157,925 | ||||
Schneider National, Inc. - Class B | 4,150 | 94,371 | ||||
Simpson Manufacturing Co., Inc. | 2,849 | 304,758 | ||||
Snap-on, Inc. | 130 | 27,164 | ||||
Stanley Black & Decker, Inc. | 5,589 | 979,808 | ||||
Textron, Inc. | 7,381 | 515,268 | ||||
Trane Technologies PLC | 3,843 | 663,494 | ||||
TransUnion | 7,978 | 896,009 | ||||
United Parcel Service, Inc. - Class B | 710 | 129,291 | ||||
Verisk Analytics, Inc. | 3,385 | 677,914 | ||||
Watsco, Inc. | 2,544 | 673,193 | ||||
Watts Water Technologies, Inc. - Class A | 7,945 | 1,335,475 | ||||
Westinghouse Air Brake Technologies Corp. | 19,844 | 1,710,751 | ||||
25,900,973 | ||||||
Information Technology - 15.9% | ||||||
Accenture PLC - Class A | 4,642 | 1,485,069 | ||||
Adobe, Inc. (b) | �� 2,484 | 1,430,088 | ||||
Advanced Micro Devices, Inc. (b) | 1,017 | 104,649 | ||||
Altair Engineering, Inc. - Class A (b) | 9,818 | 676,853 | ||||
Amdocs Ltd. | 15,142 | 1,146,401 | ||||
Analog Devices, Inc. | 8,077 | 1,352,736 | ||||
ANSYS, Inc. (b) | 3,523 | 1,199,405 | ||||
Apple, Inc. | 693 | 98,060 | ||||
Applied Materials, Inc. | 7,146 | 919,905 | ||||
Arista Networks, Inc. (b) | 1,185 | 407,213 | ||||
Arrow Electronics, Inc. (b) | 593 | 66,588 | ||||
Autodesk, Inc. (b) | 3,056 | 871,480 | ||||
Cadence Design Systems, Inc. (b) | 10,671 | 1,616,016 | ||||
Cisco Systems, Inc. | 20,376 | 1,109,066 | ||||
Cognizant Technology Solutions Corp. - Class A | 28,108 | 2,085,895 | ||||
Concentrix Corp. (b) | 1,685 | 298,245 | ||||
Datto Holding Corp. (b)(c) | 9,520 | 227,528 | ||||
Dell Technologies, Inc. - Class C (b) | 3,210 | 333,968 | ||||
DocuSign, Inc. (b) | 575 | 148,022 | ||||
EPAM Systems, Inc. (b) | 408 | 232,756 | ||||
F5 Networks, Inc.(b) | 670 | 133,183 | ||||
Genpact Ltd. | 2,380 | 113,074 | ||||
Global Payments, Inc. | 430 | 67,759 | ||||
Hewlett Packard Enterprise Co. | 89,243 | 1,271,713 | ||||
HP, Inc. | 15,240 | 416,966 | ||||
Intel Corp. | 11,977 | 638,135 | ||||
International Business Machines Corp. | 2,895 | 402,202 | ||||
Jabil, Inc. | 3,420 | 199,625 | ||||
Jack Henry & Associates, Inc. | 877 | 143,881 | ||||
Juniper Networks, Inc. | 10,077 | 277,319 | ||||
Lam Research Corp. | 1,352 | 769,491 | ||||
Manhattan Associates, Inc. (b) | 167 | 25,556 | ||||
Mastercard, Inc. - Class A | 3,567 | 1,240,174 | ||||
Micron Technology, Inc. | 6,227 | 441,993 | ||||
Microsoft Corp. | 7,789 | 2,195,875 | ||||
MongoDB, Inc. (b) | 382 | 180,117 | ||||
Motorola Solutions, Inc. | 884 | 205,371 | ||||
Novanta, Inc. (b) | 2,038 | 314,871 | ||||
NXP Semiconductors NV | 1,610 | 315,351 | ||||
Oracle Corp. | 12,120 | 1,056,016 | ||||
Power Integrations, Inc. | 1,703 | 168,580 | ||||
PTC, Inc. (b) | 3,361 | 402,614 | ||||
Qorvo, Inc. (b) | 1,730 | 289,239 | ||||
QUALCOMM, Inc. | 440 | 56,751 | ||||
salesforce.com, Inc. (b) | 8,196 | 2,222,919 | ||||
Semtech Corp. (b) | 1,770 | 138,007 | ||||
Shimadzu Corp. | 14,800 | 653,596 | ||||
Silicon Laboratories, Inc. (b) | 3,090 | 433,094 | ||||
Skyworks Solutions, Inc. | 970 | 159,837 | ||||
Snowflake, Inc. - Class A (b) | 700 | 211,701 | ||||
SYNNEX Corp. | 680 | 70,788 | ||||
Synopsys, Inc. (b) | 4,344 | 1,300,637 | ||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | 6,814 | 760,783 | ||||
Teradata Corp. (b) | 1,830 | 104,950 | ||||
Texas Instruments, Inc. | 5,863 | 1,126,927 | ||||
The Western Union Co. | 4,050 | 81,891 | ||||
Twilio, Inc. - Class A (b) | 300 | 95,715 | ||||
VeriSign, Inc.(b) | 140 | 28,701 | ||||
Vontier Corp. | 6,610 | 222,096 | ||||
Western Digital Corp. (b) | 480 | 27,091 | ||||
Workday, Inc. - Class A (b) | 2,491 | 622,476 | ||||
Zendesk, Inc. (b) | 2,334 | 271,654 | ||||
35,668,662 | ||||||
Materials - 3.9% | ||||||
Agnico Eagle Mines Ltd. | 4,168 | 216,232 | ||||
Amcor PLC | 8,320 | 96,429 | ||||
Berry Global Group, Inc. (b) | 480 | 29,222 | ||||
CF Industries Holdings, Inc. | 2,979 | 166,288 | ||||
Crown Holdings, Inc. | 290 | 29,226 | ||||
Dow, Inc. | 21,140 | 1,216,818 | ||||
Franco-Nevada Corp. | 5,937 | 771,304 | ||||
Givaudan SA | 217 | 992,386 | ||||
Linde PLC | 988 | 289,859 | ||||
LyondellBasell Industries NV - Class A | 981 | 92,067 | ||||
Martin Marietta Materials, Inc. | 2,367 | 808,757 | ||||
NewMarket Corp. | 604 | 204,617 | ||||
Reliance Steel & Aluminum Co. | 900 | 128,178 | ||||
Royal Gold, Inc. | 5,590 | 533,789 | ||||
RPM International, Inc. | 3,373 | 261,914 | ||||
Sealed Air Corp. | 3,386 | 185,519 | ||||
Silgan Holdings, Inc. | 780 | 29,921 | ||||
Southern Copper Corp. | 2,910 | 163,367 | ||||
The Chemours Co. | 5,190 | 150,821 | ||||
The Sherwin-Williams Co. | 2,403 | 672,191 | ||||
Vulcan Materials Co. | 7,409 | 1,253,307 | ||||
Westlake Chemical Corp. | 810 | 73,823 | ||||
Wheaton Precious Metals Corp. | 10,872 | 409,267 | ||||
8,775,302 | ||||||
Real Estate - 0.9% | ||||||
AvalonBay Communities, Inc. | 234 | 51,864 | ||||
CBRE Group, Inc. - Class A (b) | 2,310 | 224,901 | ||||
Federal Realty Investment Trust | 640 | 75,514 | ||||
Highwoods Properties, Inc. | 950 | 41,667 | ||||
Kilroy Realty Corp. | 1,340 | 88,721 | ||||
Kimco Realty Corp. | 13,245 | 274,834 | ||||
National Retail Properties, Inc. | 1,660 | 71,695 | ||||
Public Storage | 110 | 32,681 | ||||
WP Carey, Inc. | 430 | 31,407 | ||||
Regency Centers Corp. | 11,637 | 783,519 | ||||
Ventas, Inc. | 3,370 | 186,058 | ||||
VEREIT, Inc. | 4,560 | 206,249 | ||||
2,069,110 | ||||||
Utilities - 2.0% | ||||||
American Electric Power Co., Inc. | 680 | 55,203 | ||||
CenterPoint Energy, Inc. | 7,979 | 196,283 | ||||
Dominion Energy, Inc. | 1,280 | 93,466 | ||||
Duke Energy Corp. | 300 | 29,277 | ||||
Edison International | 27,451 | 1,522,707 | ||||
Entergy Corp. | 606 | 60,182 | ||||
Evergy, Inc. | 960 | 59,712 | ||||
Exelon Corp. | 1,156 | 55,881 | ||||
FirstEnergy Corp. | 1,310 | 46,662 | ||||
NRG Energy, Inc. | 42,263 | 1,725,598 | ||||
The Southern Co. | 3,211 | 198,986 | ||||
UGI Corp. | 9,920 | 422,790 | ||||
4,466,747 | ||||||
Total Common Stocks (Cost $144,911,252) | 182,034,706 | |||||
U.S. TREASURY OBLIGATIONS - 0.3% | Par Value | |||||
U.S. Treasury Notes - 0.3% | ||||||
0.125%, due 05/31/23 (d) | $ | 82,000 | 81,872 | |||
0.125%, due 08/31/23 (d) | 17,000 | 16,955 | ||||
0.250%, due 06/15/24 (d) | 147,000 | 146,173 | ||||
0.375%, due 09/15/24 (d) | 20,000 | 19,912 | ||||
0.750%, due 08/31/26 (d) | 181,000 | 179,077 | ||||
0.875%, due 09/30/26 (d) | 189,000 | 187,996 | ||||
1.125%, due 08/31/28 (d) | 2,000 | 1,977 | ||||
1.125%, due 02/15/31 (c)(d) | 8,000 | 7,750 | ||||
1.625%, due 05/15/31 (d) | 109,000 | 110,294 | ||||
1.250%, due 08/15/31 (d) | 18,000 | 17,567 | ||||
Total U.S. Treasury Obligations (Cost $772,860) | 769,573 | |||||
AGENCY MORTGAGE-BACKED OBLIGATION INTEREST-ONLY STRIPS - 0.1% | ||||||
Federal Home Loan Mortgage Corp. Interest-Only Strips - 0.1% | �� | |||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||
Series K-108, 1.810%, due 03/25/30 (d)(e) | 289,943 | 36,073 | ||||
Series K-1501, 0.537%, due 04/25/30 (d)(e) | 1,657,392 | 43,936 | ||||
Series K-110, 1.814%, due 04/25/30 (d)(e) | 299,465 | 36,835 | ||||
Series K-118, 1.054%, due 09/25/30 (d)(e) | 598,920 | 44,495 | ||||
Total Agency Mortgage-Backed Obligation Interest-Only Strips (Cost $144,014) | 161,339 | |||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 1.7% | ||||||
BBCMS 2018-TALL Mortgage Trust | ||||||
Series 2018-TALL, 0.806%, due 03/15/37 (1 Month U.S. LIBOR + 0.722%) (d)(f)(g) | 120,000 | 119,625 | ||||
BBCMS 2020-BID Mortgage Trust | ||||||
Series 2020-BID, 2.224%, due 10/15/37 (1 Month U.S. LIBOR + 2.140%) (d)(f)(g) | 110,000 | 110,259 | ||||
BBCMS Trust | ||||||
Series 2021-AGW, 1.334%, due 06/16/36 (1 Month U.S. LIBOR + 1.250%) (d)(f)(g) | 200,000 | 199,937 | ||||
BX Commercial Mortgage Trust 2020-VKNG | ||||||
Series 2020-VKNG, 1.484%, due 10/15/37 (1 Month U.S. LIBOR + 1.400%) (d)(f)(g) | 100,000 | 100,040 | ||||
CIM Trust 2021-J3 | ||||||
Series 2021-J3, 2.500%, due 06/25/51 (d)(e)(f) | 294,966 | 295,312 | ||||
Citigroup Commercial Mortgage Trust 2016-P4 | ||||||
Series 2016-P4, 4.101%, due 07/12/49 (d)(e) | 108,000 | 111,316 | ||||
GS Mortgage Securities Trust 2018-HART | ||||||
Series 2018-HART, 1.180%, due 10/15/31 (1 Month U.S. LIBOR + 1.090%) (d)(f)(g) | 110,000 | 110,000 | ||||
GSCG Trust 2019-600C | ||||||
Series 2019-600C, 2.936%, due 09/12/34 (d)(f) | 120,000 | 124,916 | ||||
JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON | ||||||
Series A, 3.884%, due 01/06/34 (d)(f) | 90,000 | 93,631 | ||||
JP Morgan Mortgage Trust 2017-2 | ||||||
Series 2017-2, 3.500%, due 05/25/47 (d)(e)(f) | 52,394 | 53,275 | ||||
JP Morgan Mortgage Trust 2018-5 | ||||||
Series 2018-5, 3.500%, due 10/25/48 (d)(e)(f) | 112,197 | 114,219 | ||||
JP Morgan Mortgage Trust 2019-1 | ||||||
Series 2019-1, 4.000%, due 05/25/49 (d)(e)(f) | 23,798 | 24,188 | ||||
JP Morgan Mortgage Trust 2019-3 | ||||||
Series 2019-3, 4.000%, due 09/25/49 (d)(e)(f) | 3,790 | 3,796 | ||||
JP Morgan Mortgage Trust 2019-INV3 | ||||||
Series 2019-INV3, 3.500%, due 05/25/50 (d)(e)(f) | 113,889 | 116,399 | ||||
JP Morgan Mortgage Trust 2020-2 | ||||||
Series 2020-2, 3.500%, due 07/25/50 (d)(e)(f) | 80,603 | 82,107 | ||||
JP Morgan Mortgage Trust 2021-7 | ||||||
Series TR, 2.500%, due 11/25/51 (d)(e)(f) | 194,076 | 194,304 | ||||
JP Morgan Trust 2015-3 | ||||||
Series 2015-3, 3.500%, due 05/25/45 (d)(e)(f) | 59,147 | 59,772 | ||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||||||
Series B, 4.235%, due 07/17/45 (d)(e) | 105,000 | 109,386 | ||||
KREST Commercial Mortgage Securities Trust 2021-CHIP | ||||||
Series C, 3.024%, due 11/05/44 (d) | 225,000 | 224,730 | ||||
Morgan Stanley Capital I Trust 2016-BNK2 | ||||||
Series C, 4.023%, due 11/18/49 (d)(e) | 100,000 | 101,271 | ||||
PFMT 2021-J1 A10 | ||||||
2.000%, due 12/31/49 (d)(h) | 100,000 | 94,741 | ||||
PSMC 2020-3 Trust | ||||||
Series 2020-3, 3.000%, due 11/25/50 (d)(e)(f) | 54,048 | 55,047 | ||||
Ready Capital Mortgage Financing 2021-FL5 LLC | ||||||
Series 2021-FL5, 1.836%, due 04/25/38 (1 Month U.S. LIBOR + 1.750%) (d)(f)(g) | 250,000 | 249,922 | ||||
Sequoia Mortgage Trust 2013-3 | ||||||
Series 2013-3, 2.500%, due 03/25/43 (d)(e) | 62,686 | 63,383 | ||||
Sequoia Mortgage Trust 2016-3 | ||||||
Series 2016-3, 3.000%, due 11/25/46 (d)(e)(f) | 42,589 | 42,675 | ||||
Sequoia Mortgage Trust 2019-CH2 | ||||||
Series 2019-CH2, 4.500%, due 08/25/49 (d)(e)(f) | 11,887 | 12,051 | ||||
Sequoia Mortgage Trust 2020-4 | ||||||
Series 2020-4, 2.500%, due 11/25/50 (d)(e)(f) | 100,000 | 100,526 | ||||
Sequoia Mortgage Trust 2021-1 | ||||||
Series A-7, 2.500%, due 03/25/51 (d)(e)(f) | 250,000 | 249,721 | ||||
Shellpoint Co-Originator Trust 2016-1 | ||||||
Series 2016-1, 3.500%, due 11/25/46 (d)(e)(f) | 15,216 | 15,225 | ||||
SLG Office Trust 2021-OVA | ||||||
Series 2021-OVA, 2.585%, due 07/15/41 (d)(f) | 140,000 | 144,891 | ||||
Wells Fargo Commercial Mortgage Trust 2021-FCMT | ||||||
Series A, 1.284%, due 05/15/31 (1 Month U.S. LIBOR + 1.200%) (d)(f)(g) | 100,000 | 100,365 | ||||
Wells Fargo Mortgage Backed Securities 2020-RR1 Trust | ||||||
Series A-1, 3.000%, due 05/25/50 (d)(e)(f) | 106,410 | 107,836 | ||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||
Series 2014-C21, 4.213%, due 08/16/47 (d)(e) | 120,000 | 124,886 | ||||
Total Non-Agency Mortgage-Backed Obligations (Cost $3,723,528) | 3,709,752 | |||||
NON-AGENCY MORTGAGE-BACKED OBLIGATION INTEREST-ONLY STRIPS - 0.1% | ||||||
BBCMS Trust 2021-C10 | ||||||
Series 2021-C10, 1.433%, due 07/17/54 ) (d)(e) | 999,109 | 97,458 | ||||
DBJPM 20-C9 Mortgage Trust | ||||||
Series 2020-C9, 1.830%, due 08/15/53 (d)(e) | 459,293 | 45,231 | ||||
Total Non-Agency Mortgage-Backed Obligations (Cost $147,035) | 142,689 | |||||
ASSET-BACKED SECURITIES - 1.6% | ||||||
American Airlines 2015-2 Class AA Pass Through Trust | ||||||
Series 2015-2, 3.600%, due 03/22/29 (d) | 55,461 | 57,080 | ||||
American Airlines 2016-2 Class AA Pass Through Trust | ||||||
Series 2016-2, 3.200%, due 12/15/29 (d) | 24,397 | 24,435 | ||||
AmeriCredit Automobile Receivables Trust 2021-2 | ||||||
Series TR, 1.010%, due 01/19/27 (d) | 100,000 | 99,971 | ||||
ARBOR RLTY COMM RL NT 2021-FL3 C | ||||||
Series C, 1.935%, due 08/15/34 (d) | 225000 | 225070 | ||||
Commonbond Student Loan Trust 2018-C-GS | ||||||
Series A-1, 3.870%, due 02/25/46 (d)(f) | 95,696 | 98,815 | ||||
Exeter Automobile Receivables Trust 2020-3 | ||||||
Series 2020-3, 1.320%, due 07/15/25 (d) | 150,000 | 151,028 | ||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | ||||||
Series 2020-1AA, 1.875%, due 08/20/35 (d) | 132,514 | 130,782 | ||||
Helios Issuer LLC | ||||||
Series A, 2.980%, due 06/20/47 (d)(f) | 126,296 | 130,380 | ||||
Laurel Road Prime Student Loan Trust 2020-A | ||||||
Series 1.40000, 1.400%, due 11/25/50 (d)(f) | 178,046 | 175,789 | ||||
Loanpal Solar Loan 2020-2 Ltd. | ||||||
Series A, 2.750%, due 07/20/47 (d)(f) | 122,995 | 127,141 | ||||
Marlette Funding Trust 2021-1 | ||||||
Series C, 1.410%, due 06/16/31 (d)(f) | 100,000 | 99,935 | ||||
Mosaic Solar Loan Trust 2020-2 | ||||||
Series 2020-2, 1.440%, due 08/20/46 (d)(f) | 77,854 | 76,486 | ||||
Navient Private Education Refi Loan Trust 2020-G | ||||||
Series A, 1.170%, due 09/15/69 (d)(f) | 104,795 | 105,266 | ||||
Navient Private Education Refi Loan Trust 2021-A | ||||||
Series A, 0.840%, due 05/15/69 (d)(f) | 72,635 | 72,556 | ||||
Oscar US Funding XII LLC | ||||||
Series A-4, 1.000%, due 04/10/28 (d)(f) | 100,000 | 99,178 | ||||
PFS Financing Corp. | ||||||
Series 2021-A, 0.710%, due 04/15/26 (d)(f) | 100,000 | 99,714 | ||||
Santander Consumer Auto Receivables Trust 2021-A | ||||||
Series 2021-A, 1.030%, due 11/16/26 (d)(f) | 100,000 | 99,752 | ||||
Santander Drive Auto Receivables Trust 2020-3 | ||||||
Series B, 0.690%, due 03/17/25 (d) | 100,000 | 100,238 | ||||
Santander Drive Auto Receivables Trust 2020-3 | ||||||
Series C, 1.120%, due 01/15/26 (d) | 150,000 | 150,938 | ||||
Santander Drive Auto Receivables Trust 2021-2 | ||||||
Series C, 0.900%, due 06/15/26 (d) | 100,000 | 100,438 | ||||
SMB Private Education Loan Trust 2020-PTB | ||||||
Series 1.60000, 1.600%, due 09/15/54 (d)(f) | 193,236 | 195,186 | ||||
SOFI CONSUMER LN PRGRM 2021-1 B | ||||||
Series B, 1.300%, due 09/25/30 (d) | 250,000 | 249,996 | ||||
SoFi Consumer Loan Program 2020-1 Trust | ||||||
Series B, 2.250%, due 01/25/29 (d)(f) | 250,000 | 253,196 | ||||
Sofi Professional Loan Program 2017-C LLC | ||||||
Series A-1, 0.686%, due 07/25/40 (1 Month U.S. LIBOR + 0.600%) (d)(f)(g) | 82,760 | 82,807 | ||||
Sofi Professional Loan Program 2018-B Trust | ||||||
Series 3.34000, 3.340%, due 08/25/47 (d)(f) | 79,810 | 81,790 | ||||
Tesla Auto Lease Trust 2019-A | ||||||
Series 2019-A, 2.680%, due 01/20/23 (d)(f) | 125,000 | 127,516 | ||||
United Airlines 2014-2 Class A Pass Through Trust | ||||||
Series A, 3.750%, due 03/03/28 (d) | 20,549 | 21,633 | ||||
Vivint Solar Financing VII LLC | ||||||
Series LLC, 2.210%, due 07/31/51 (d)(f) | 144,137 | 142,822 | ||||
Volvo Financial Equipment LLC Series 2020-1 | ||||||
Series A-4, 0.600%, due 03/15/28 (d)(f) | 100,000 | 100,328 | ||||
Westlake Automobile Receivables Trust 2020-3 | ||||||
Series B, 0.780%, due 11/17/25 (d)(f) | 150,000 | 150,499 | ||||
Total-Asset Backed Securities (Cost $3,624,992) | 3,630,765 | |||||
COLLATERALIZED LOAN OBLIGATIONS - 1.6% | ||||||
Aimco CLO 11 Ltd. | ||||||
1.426%, due 10/15/31 (3 Month U.S. LIBOR + 1.300%) (d)(f)(g) | 250,000 | 250,017 | ||||
Aimco CLO 11 Ltd. | ||||||
Series LTD, 1.506%, due 10/15/31 (3 Month U.S. LIBOR + 1.380%) (d)(f)(g) | 250,000 | 250,065 | ||||
Apidos CLO XXIII | ||||||
Series XXIII, 1.346%, due 04/15/33 (3 Month U.S. LIBOR + 1.220%) (d)(f)(g) | 250,000 | 250,068 | ||||
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd. | ||||||
Series B, 1.684%, due 05/15/36 (1 Month U.S. LIBOR + 1.600%) (d)(f)(g)(i) | 250,000 | 248,067 | ||||
Barings CLO Ltd. 2020-I | ||||||
Series LTD, 1.526%, due 10/15/32 (3 Month U.S. LIBOR + 1.400%) (d)(f)(g) | 250,000 | 250,000 | ||||
Benefit Street Partners CLO XIX Ltd. | ||||||
Series A, 1.476%, due 01/18/33 (3 Month U.S. LIBOR + 1.350%) (d)(f)(g) | 250,000 | 250,293 | ||||
CIFC Funding 2020-III Ltd. | ||||||
Series 2020-3, 1.734%, due 10/20/31 (3 Month U.S. LIBOR + 1.600%) (d)(f)(g) | 250,000 | 250,065 | ||||
Dryden 78 CLO Ltd. | ||||||
Series LTD, 1.314%, due 04/18/33 (3 Month U.S. LIBOR + 1.180%) (d)(f)(g) | 250,000 | 249,695 | ||||
Greystone CRE Notes 2021-FL3 Ltd. | ||||||
Series 2021-FL3, 2.084%, due 07/15/39 (1 Month U.S. LIBOR + 2.000%) (d)(f)(g) | 225,000 | 225,141 | ||||
Marble Point CLO XIV Ltd. | ||||||
Series FLT, 1.414%, due 01/20/32 (3 Month U.S. LIBOR + 1.280%) (d)(f)(g) | 280,000 | 280,130 | ||||
MF1 2021-FL6 Ltd. | ||||||
Series 2021-FL6, 1.935%, due 07/18/36 (1 Month U.S. LIBOR + 1.850%) (d)(f)(g) | 225,000 | 225,211 | ||||
MF1 2021-FL7 Ltd. | ||||||
Series 2021-FL7, 2.145%, due 10/20/36 (1 Month U.S. LIBOR + 2.050%) (d)(f)(g)(i) | 200,000 | 200,000 | ||||
Octagon Investment Partners 48 Ltd. | ||||||
Series A, 1.634%, due 10/20/31 (3 Month U.S. LIBOR + 1.500%) (d)(f)(g) | 250,000 | 250,047 | ||||
OHA Credit Funding 4 Ltd. | ||||||
Series A-1, 1.468%, due 10/22/32 (3 Month U.S. LIBOR + 1.330%) (d)(f)(g) | 250,000 | 250,075 | ||||
Sound Point CLO XXVII Ltd. | ||||||
Series 2020-27, 1.825%, due 10/27/31 (3 Month U.S. LIBOR + 1.700%) (d)(f)(g) | 250,000 | 250,095 | ||||
Total Collateralized Loan Obligations (Cost $3,675,090) | 3,678,969 | |||||
CORPORATE BONDS - 3.3% | ||||||
Basic Materials - 0.0% (j) | ||||||
Ecolab, Inc. | ||||||
4.800%, due 03/24/30 (d) | 33,000 | 40,003 | ||||
Steel Dynamics, Inc. | ||||||
1.650%, due 10/15/27 (d) | 46,000 | 45,512 | ||||
85,515 | ||||||
Communications - 0.2% | ||||||
Amazon.com, Inc. | ||||||
1.500%, due 06/03/30 (d) | 70,000 | 68,195 | ||||
AT&T, Inc.. | ||||||
2.750%, due 06/01/31 (d) | 92,000 | 94,213 | ||||
Fox Corp. | ||||||
3.050%, due 04/07/25 (d) | 98,000 | 104,289 | ||||
The Walt Disney Co. | ||||||
2.200%, due 01/13/28 (d) | 38,000 | 39,226 | ||||
T-Mobile USA, Inc. | ||||||
3.750%, due 04/15/27 (d) | 46,000 | 50,677 | ||||
Verizon Communications, Inc. | ||||||
4.329%, due 09/21/28 (d) | 46,000 | 52,885 | ||||
2.355%, due 03/15/32 (d)(f) | 83,000 | 81,806 | ||||
491,291 | ||||||
Consumer, Cyclical - 0.1% | ||||||
American Honda Finance Corp. | ||||||
1.200%, due 07/08/25 (d) | 38,000 | 38,202 | ||||
Nissan Motor Co. Ltd. | ||||||
4.810%, due 09/17/30 (d)(f) | 46,000 | 51,807 | ||||
O'Reilly Automotive, Inc. | ||||||
3.600%, due 09/01/27 (d) | 87,000 | 96,799 | ||||
Ross Stores, Inc. | ||||||
4.600%, due 04/15/25 (d) | 62,000 | 69,133 | ||||
255,941 | ||||||
Consumer, Non-cyclical - 0.5% | ||||||
Abbvie, Inc. | ||||||
3.800%, due 03/15/25 (d) | 67,000 | 72,383 | ||||
Altria Group, Inc. | ||||||
3.400%, due 05/06/30 (d) | 48,000 | 50,689 | ||||
Amgen, Inc. | ||||||
3.200%, due 11/02/27 (d) | 63,000 | 68,642 | ||||
Astrazeneca PLC | ||||||
0.700%, due 04/08/26 (d) | 44,000 | 43,015 | ||||
BAT International Finance PLC | ||||||
1.668%, due 03/25/26 (d) | 78,000 | 77,652 | ||||
Constellation Brands, Inc. | ||||||
3.700%, due 12/06/26 (d) | 48,000 | 53,001 | ||||
CVS Health Corp. | ||||||
3.875%, due 07/20/25 (d) | 128,000 | 140,155 | ||||
1.750%, due 08/21/30 (d) | 92,000 | 88,176 | ||||
Global Payments, Inc. | ||||||
2.650%, due 02/15/25 (d) | 43,000 | 44,916 | ||||
HCA, Inc. | ||||||
4.125%, due 06/15/29 (d) | 54,000 | 60,345 | ||||
Johnson & Johnson | ||||||
0.950%, due 09/01/27 (d) | 100,000 | 98,023 | ||||
1.300%, due 09/01/30 (d) | 100,000 | 96,297 | ||||
Keurig Dr Pepper, Inc. | ||||||
4.417%, due 05/25/25 (d) | 37,000 | 41,065 | ||||
PepsiCo, Inc. | ||||||
2.625%, due 07/29/29 (d) | 44,000 | 46,637 | ||||
Royalty Pharma PLC | ||||||
1.200%, due 09/02/25 (d) | 39,000 | 38,701 | ||||
1.750%, due 09/02/27 (d) | 39,000 | 38,716 | ||||
2.200%, due 09/02/30 (d) | 61,000 | 59,509 | ||||
Triton Container International Ltd | ||||||
2.050%, due 04/15/26 (d)(f) | 86,000 | 86,295 | ||||
1,204,217 | ||||||
Energy - 0.2% | ||||||
BP Capital Markets PLC | ||||||
3.535%, due 11/04/24 (d) | 58,000 | 62,691 | ||||
Enterprise Products Operating LLC | ||||||
2.800%, due 01/31/30 (d) | 46,000 | 47,927 | ||||
Exxon Mobil Corp. | ||||||
2.275%, due 08/16/26 (d) | 52,000 | 54,545 | ||||
Kinder Morgan Energy Partners LP | ||||||
3.450%, due 02/15/23 (d) | 37,000 | 38,203 | ||||
MPLX LP | ||||||
4.875%, due 12/01/24 (d) | 38,000 | 42,038 | ||||
2.650%, due 08/15/30 (d) | 35,000 | 35,131 | ||||
Phillips 66 | ||||||
0.900%, due 02/15/24 (d) | 47,000 | 47,011 | ||||
Sabine Pass Liquefaction LLC | ||||||
5.625%, due 03/01/25 (d) | 36,000 | 40,788 | ||||
368,334 | ||||||
Financial - 1.6% | ||||||
Aflac, Inc. | ||||||
3.250%, due 03/17/25 (d) | 60,000 | 64,486 | ||||
American International Group, Inc. | ||||||
3.900%, due 04/01/26 (d) | 77,000 | 85,309 | ||||
American Tower Corp. | ||||||
5.000%, due 02/15/24 (d) | 36,000 | 39,523 | ||||
Assurant, Inc. | ||||||
4.200%, due 09/27/23 (d) | 37,000 | 39,414 | ||||
Aviation Capital Group LLC | ||||||
1.950%, due 09/20/26 (d)(f) | 73,000 | 72,219 | ||||
Avolon Holdings Funding Ltd. | ||||||
2.875%, due 02/15/25 (d)(f) | 56,000 | 57,581 | ||||
2.125%, due 02/21/26 (d)(f) | 102,000 | 100,948 | ||||
Bank of America Corp. | ||||||
4.125%, due 01/22/24 (d) | 102,000 | 110,292 | ||||
4.000%, due 01/22/25 (d) | 39,000 | 42,309 | ||||
1.734%, due 07/22/27 (SOFR Rate + 0.960%) (d)(g) | 230,000 | 230,624 | ||||
2.592%, due 04/29/31 (SOFR Rate + 2.150%) (d)(g) | 92,000 | 93,668 | ||||
Blackstone Holdings Finance Co. LLC | ||||||
1.625%, due 08/05/28 (d)(f) | 104,000 | 101,603 | ||||
BNP Paribas | ||||||
2.819%, due 11/19/25 (3 Month U.S. LIBOR + 1.111%) (d)(f)(g) | 200,000 | 209,673 | ||||
Citigroup, Inc. | ||||||
0.981%, due 05/01/25 (SOFR Rate + 0.669%) (d)(g) | 90,000 | 90,218 | ||||
4.450%, due 09/29/27 (d) | 42,000 | 47,790 | ||||
Equinix, Inc. | ||||||
1.250%, due 07/15/25 (d) | 69,000 | 68,850 | ||||
2.900%, due 11/18/26 (d) | 54,000 | 57,281 | ||||
Intercontinental Exchange, Inc. | ||||||
3.750%, due 12/01/25 (d) | 65,000 | 71,469 | ||||
JPMorgan Chase & Co. | ||||||
3.875%, due 09/10/24 (d) | 100,000 | 108,629 | ||||
1.578%, due 04/22/27 (SOFR Rate + 0.885%) (d)(g) | 90,000 | 90,202 | ||||
1.470%, due 09/22/27 (SOFR Rate + 0.765%) (d)(g) | 117,000 | 116,244 | ||||
1.953%, due 02/04/32 (SOFR Rate + 1.065%) (d)(g) | 38,000 | 36,589 | ||||
2.580%, due 04/22/32 (SOFR Rate + 1.250%) (d)(g) | 99,000 | 100,244 | ||||
2.776%, due 04/25/23 (3 Month U.S. LIBOR + 0.935%) (d)(g) | 88,000 | 89,181 | ||||
Kite Realty Group LP | ||||||
4.000%, due 10/01/26 (d) | 52,000 | 55,983 | ||||
Main Street Capital Corp. | ||||||
3.000%, due 07/14/26 (d) | 99,000 | 100,996 | ||||
Mitsubishi UFJ Financial Group, Inc. | ||||||
3.761%, due 07/26/23 (d) | 37,000 | 39,192 | ||||
Morgan Stanley | ||||||
2.188%, due 04/28/26 (SOFR Rate + 1.990%) (d)(g) | 122,000 | 125,651 | ||||
0.985%, due 12/10/26 (SOFR Rate + 0.720%) (d)(g) | 92,000 | 90,393 | ||||
1.593%, due 05/04/27 (SOFR Rate + 0.879%) (d)(g) | 120,000 | 120,311 | ||||
1.512%, due 07/20/27 (SOFR Rate + 0.858%) (d)(g) | 87,000 | 86,587 | ||||
2.239%, due 07/21/32 (SOFR Rate + 1.178%) (d)(g) | 48,000 | 47,296 | ||||
Oaktree Specialty Lending Corp. | ||||||
2.700%, due 01/15/27 (d) | 100,000 | 100,338 | ||||
Realty Income Corp. | ||||||
3.250%, due 01/15/31 (d) | 92,000 | 99,705 | ||||
Royal Bank of Canada | ||||||
1.200%, due 04/27/26 (d) | 60,000 | 59,513 | ||||
Scentre Group Trust 1 | ||||||
3.625%, due 01/28/26 (d)(f) | 87,000 | 94,038 | ||||
The Bank of Nova Scotia | ||||||
2.700%, due 08/03/26 (d) | 87,000 | 92,295 | ||||
The Charles Schwab Corp. | ||||||
3.300%, due 04/01/27 (d) | 34,000 | 37,056 | ||||
The Goldman Sachs Group, Inc. | ||||||
2.908%, due 06/05/23 (3 Month U.S. LIBOR + 1.053%) (d)(g) | 75,000 | 76,220 | ||||
0.855%, due 02/12/26 (SOFR Rate + 0.609%) (d)(g) | 60,000 | 59,329 | ||||
Wells Fargo & Co. | ||||||
2.406%, due 10/30/25 (SOFR Rate + 1.087%) (d)(g) | 118,000 | 122,716 | ||||
XLIT Ltd. | ||||||
4.450%, due 03/31/25 (d) | 46,000 | 51,035 | ||||
3,583,000 | ||||||
Industrial - 0.2% | ||||||
3M Co. | ||||||
2.000%, due 02/14/25 (d) | 48,000 | 49,637 | ||||
Amphenol Corp. | ||||||
2.800%, due 02/15/30 (d) | 51,000 | 53,637 | ||||
Carrier Global Corp. | ||||||
2.722%, due 02/15/30 (d) | 103,000 | 106,551 | ||||
Caterpillar Financial Services Corp. | ||||||
2.850%, due 05/17/24 (d) | 50,000 | 52,860 | ||||
General Electric Co. | ||||||
3.450%, due 05/01/27 (d) | 52,000 | 57,142 | ||||
Raytheon Technologies Corp. | ||||||
3.200%, due 03/15/24 (d) | 48,000 | 50,789 | ||||
The Boeing Co. | ||||||
4.875%, due 05/01/25 (d) | 47,000 | 52,325 | ||||
422,941 | ||||||
Technology - 0.3% | ||||||
Apple, Inc. | ||||||
1.200%, due 02/08/28 (d) | 60,000 | 58,862 | ||||
Broadcom, Inc. | ||||||
4.150%, due 11/15/30 (d) | 30,000 | 33,189 | ||||
DXC Technology Co. | ||||||
1.800%, due 09/15/26 (d) | 58,000 | 57,883 | ||||
Fiserv, Inc. | ||||||
3.850%, due 06/01/25 (d) | 52,000 | 56,735 | ||||
Intel Corp. | ||||||
3.700%, due 07/29/25 (d) | 53,000 | 58,013 | ||||
Microsoft Corp. | ||||||
2.400%, due 08/08/26 (d) | 101,000 | 107,231 | ||||
Oracle Corp. | ||||||
2.950%, due 04/01/30 (d) | 109,000 | 113,812 | ||||
VMware, Inc. | ||||||
1.000%, due 08/15/24 (d) | 61,000 | 61,191 | ||||
546,916 | ||||||
Utilities - 0.2% | ||||||
Ameren Illinois Co. | ||||||
3.800%, due 05/15/28 (d) | 50,000 | 55,768 | ||||
Duke Energy Corp. | ||||||
3.150%, due 08/15/27 (d) | 94,000 | 101,053 | ||||
Entergy Corp. | ||||||
0.900%, due 09/15/25 (d) | 20,000 | 19,629 | ||||
FirstEnergy Corp. | ||||||
4.400%, due 07/15/27 (d) | 76,000 | 83,245 | ||||
NextEra Energy Capital Holdings, Inc. | ||||||
3.150%, due 04/01/24 (d) | 38,000 | 40,127 | ||||
Sierra Pacific Power Co. | ||||||
2.600%, due 05/01/26 (d) | 67,000 | 70,447 | ||||
Southwestern Electric Power Co. | ||||||
1.650%, due 03/15/26 (d) | 60,000 | 60,452 | ||||
The AES Corp. | ||||||
1.375%, due 01/15/26 (d) | 47,000 | 46,230 | ||||
476,951 | ||||||
Total Corporate Bonds (Cost $7,488,141) | 7,435,106 | |||||
Shares | ||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES - 4.4% | ||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 139,924 | 1,343,271 | ||||
Voya High Yield Bond Fund - Class P | 173,126 | 1,397,129 | ||||
Voya Investment Grade Credit Fund - Class P | 148,959 | 1,684,728 | ||||
Voya Securitized Credit Fund - Class P | 564,449 | 5,537,247 | ||||
Total Affiliated Registered Investment Companies (Cost $9,813,260) | 9,962,375 | |||||
Total Investments at Value - 94.1% (Cost $174,300,172) | 211,525,274 | |||||
Other Assets in Excess of Liabilities - 5.9% | 13,198,543 | |||||
Net Assets - 100.0% | $ | 224,723,817 | ||||
Percentages are stated as a percent of net assets. | ||||
ADR | American Depository Receipt | |||
LIBOR | London Interbank Offered Rate | |||
SOFR | Secured Overnight Financing Rate | |||
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. | |||
(b) | Non-income producing security. | |||
(c) | This security or a partial position of this security is on loan at September 30, 2021. The total market value of securities on loan at September 30, 2021 was $931,279. | |||
(d) | Level 2 security. | |||
(e) | Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of September 30, 2021. | |||
(f) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other ‘‘qualified institutional buyers.’’ As of September 30, 2021, the value of these investments was $9,734,134 or 4.3% of total net assets. | |||
(g) | Variable rate security based on a reference index and spread. The rate listed is as of September 30, 2021. | |||
(h) | Level 3 security. Security has been valued at fair value in accordance with procedures adopted by and under the general supervision of the Board of Trustees. The total value of such securities is $94,741 as of September 30, 2021, representing 0.0% of net assets. | |||
(i) | Illiquid security. The total value of such securities is $448,067 as of September 30, 2021, representing 0.2% of net assets. | |||
(j) | Represents less than 0.1%. | |||
The Accompanying Footnotes are an Integral Part of this Schedule of Investments. |
LARGE COMPANY VALUE PORTFOLIO | ||||||||
SCHEDULE OF TOTAL RETURN SWAPS | ||||||||
September 30, 2021 (Unaudited) | ||||||||
Pay/Receive | ||||||||
Total Return | ||||||||
Reference | on Reference | Financing | Maturity | Payment | Notional | Value / Unrealized | ||
Counterparty | Entity | Entity | Rate | Date | Frequency | Shares | Amount | Apreciation |
Goldman Sachs Bank, USA | Russell 1000 Value Total Return Index | Receive | (U.S. Federal Funds Rate + 0.490%) | 11/02/2022 | At Maturity | 19,538 | $ 42,000,741 | $ - |
Total Return Swaps | $ - | |||||||
The average monthly notional amount of total return swaps during the nine months ended September 30, 2021 was $39,265,428. |
LARGE COMPANY VALUE PORTFOLIO | |||||||
SCHEDULE OF FUTURES CONTRACTS | |||||||
September 30, 2021 (Unaudited) | |||||||
Notional | Value/Unrealized | ||||||
FUTURES CONTRACTS PURCHASED | Contracts | Expiration Date | Amount | (Depreciation) | |||
2-Year U.S. Treasury Note Future | 2 | 12/31/2021 | $ | 417,567 | $ | (254) | |
Total Futures Contracts Purchased | $ | 417,567 | $ | (254) | |||
The average monthly notional amount of futures contracts during the nine months ended September 30, 2021 was $416,074. | |||||||
Notional | Value/Unrealized | ||||||
FUTURES CONTRACTS SOLD SHORT | Contracts | Expiration Date | Amount | Appreciation | |||
5-Year U.S. Treasury Note Future | 18 | 12/31/2021 | $ | 1,767,267 | $ | 11,446 | |
10-Year U.S. Treasury Note Future | 11 | 12/21/2021 | 1,207,092 | 15,715 | |||
U.S. Treasury Long Bond Future | 5 | 12/21/2021 | 717,197 | 15,846 | |||
Ultra 10-Year U.S. Treasury Bond Future | 13 | 12/21/2021 | 1,308,180 | 28,574 | |||
Ultra Long-Term U.S. Treasury Bond Future | 3 | 12/21/2021 | 351,996 | 16,666 | |||
Total Futures Contracts Sold Short | $ | 5,351,732 | $ | 88,247 | |||
The average monthly notional amount of futures contracts sold short during the nine months ended September 30, 2021 was $6,222,188. |
LARGE COMPANY VALUE PORTFOLIO | |||||||||
NOTES TO SCHEDULE OF INVESTMENTS | |||||||||
September 30, 2021 (Unaudited) | |||||||||
1. Securities Valuation | |||||||||
Securities listed or traded on U.S. exchanges, including options, futures, swaptions and swap contracts, are valued at the last sales price on the exchange where they are principally traded. In the absence of a current quotation, a security is valued at the mean between the last bid and asked prices on that exchange. Securities quoted on the National Association of Securities Dealers Automatic Quotation (NASDAQ) System, for which there have been sales, are valued at the NASDAQ official closing price. If there are no such sales, a security is valued at the mean between the last bid and ask prices. Securities traded over-the-counter (other than on NASDAQ) are valued at the last current sale price; and if there are no such sales, a security is valued at the mean between the last bid and ask prices. Debt securities are typically valued at an evaluated bid price by a third-party pricing agent employing methodologies that utilize actual market transactions, broker-supplied valuations, or other inputs designed to identify the market value for such securities. Third-party pricing agents often utilize proprietary models that are subjective and require the use of judgment and the application of various assumptions including, but not limited to, interest rates, prepayment speeds, and default rate assumptions. Debt securities that have a remaining maturity of 60 days or less are valued at prices supplied by the Portfolios’ pricing agent for such securities, if available. Otherwise such securities are valued at amortized cost if the Adviser’s Pricing Committee concludes it approximates fair value. Equity securities primarily traded on a foreign exchange are typically valued daily at a price as provided by an independent pricing service, which is an estimate of the fair value price. | |||||||||
Foreign currency contracts, including forward contracts, are valued at the applicable translation rates as supplied by the third-party pricing vendor. In the event market quotations are not readily available, such securities are valued at fair value according to procedures adopted by the Board of Directors (the “Board”) or as determined in good faith by the Adviser’s Pricing Committee, whose members include at least two representatives of Wilshire Advisors LLC, formerly known as Wilshire Associates Incorporated (the “Adviser”), one of whom is an officer of the Company, or by the Company’s Valuation Committee which is composed of Directors of the Company. Fair value is defined as the amount the owner of a security might reasonably expect to receive upon a current sale. Securities whose value does not reflect fair value because a significant valuation event has occurred may be valued at fair value by the Pricing Committee or the Valuation Committee in accordance with the Company’s valuation procedures. Significant events may include, but are not limited to, the following: significant fluctuations in domestic markets, foreign markets or foreign currencies; occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant governmental actions; and major announcements affecting a single issuer or an entire market or market sector. The value of fair valued securities may be different from the last sale price (or the mean between the last bid and asked prices), and there is no guarantee that a fair valued security will be sold at the price at which a Portfolio is carrying the security. | |||||||||
In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The guidance establishes three levels of the fair value hierarchy as follows: ● Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Portfolios have the ability to access at the measurement date; ● Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, etc.); and ● Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). | |||||||||
The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. During the period ended September 30, 2021, there have been no significant changes to the Portfolio’s fair value methodologies. | |||||||||
The following is a summary of the inputs used to value the Portfolio’s investments as of September 30, 2021: |
Large Company Value Portfolio | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 182,034,706 | $ | - | $ | - | $ | 182,034,706 | ||||||||
U.S. Treasury Obligations | - | 769,573 | - | 769,573 | ||||||||||||
Agency Mortgage-Backed Obligations | - | 161,339 | - | 161,339 | ||||||||||||
Non-Agency Mortgage-Backed Obligations | - | 3,615,011 | 94,741 | 3,709,752 | ||||||||||||
Non-Agency Mortgage-Backed Obligations | ||||||||||||||||
Interest-Only Strips | - | 142,689 | - | 142,689 | ||||||||||||
Asset-Backed Securities | - | 3,630,765 | - | 3,630,765 | ||||||||||||
Collateralized Loan Obligations | - | 3,678,969 | - | 3,678,969 | ||||||||||||
Corporate Bonds | - | 7,435,106 | - | 7,435,106 | ||||||||||||
Affiliated Registered Investment Companies | 9,962,375 | - | - | 9,962,375 | ||||||||||||
Total | $ | 191,997,081 | $ | 19,433,452 | $ | 94,741 | $ | 211,525,274 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 88,247 | $ | - | $ | - | $ | 88,247 | ||||||||
Unrealized appreciation on swap contracts | $ | - | $ | - | $ | - | $ | - | ||||||||
Total Assets | $ | 88,247 | $ | - | $ | - | $ | 88,247 | ||||||||
Liabilities | ||||||||||||||||
Unrealized depreciation on futures contracts | $ | (254 | ) | $ | - | $ | - | $ | (254 | ) | ||||||
Total Liabilities | $ | (254 | ) | $ | - | $ | - | $ | (254 | ) | ||||||
** Other financial instruments are derivative financial instruments not reflected in the Schedule of Investments, such as futures contracts and swap contracts. | |||||||||
These contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |||||||||
Refer to the Fund's Schedule of Investments for a listing of the securities by industry or sector type.The Portfolio held a non-agency mortgage-backed obligation that was measured at fair value on a recurring basis using significant unobservable inputs (Level 3) totaling $94,741. A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments, is only presented when the Fund has over 1% of Level 3 investments. |
2. Affiliated Investments | ||||||||||||||
Due to Voya managing a portion of Large Company Value Portfolio during the nine months ended September 30, 2021, certain securities held by such Portfolio are considered | ||||||||||||||
affiliated investments. Purchases and sales of shares of affiliated registered investment companies by Large Company Value Portfolio during the nine months ended | ||||||||||||||
September 30, 2021 and the value of such investments as of September 30, 2021 were as follows: | ||||||||||||||
Counterparty | Value as of December 31, 2020 | Purchases | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value as of September 30, 2021 | Income Distribution | |||||||
Voya Emerging Markets Hard | ||||||||||||||
Hard Currency Debt - Class P | $ 1,358,333 | $ 51,746 | $ - | $ - | $ (66,808) | $ 1,343,271 | $ 51,126 | |||||||
Voya High Yield Bond Fund - Class P | 1,631,540 | 65,657 | (300,000) | 7,302 | (7,370) | 1,397,129 | 63,830 | |||||||
Voya Investment Grade Credit Fund - Class P | 2,622,934 | 49,171 | (900,000) | (63,765) | (23,612) | 1,684,728 | 45,704 | |||||||
Voya Securitized Credit Fund - Class P | 5,319,256 | 140,475 | - | - | 77,516 | 5,537,247 | 140,707 | |||||||
$ 10,932,063 | $ 307,049 | $ (1,200,000) | $ (56,463) | $ (20,274) | $ 9,962,375 | $ 301,367 | ||||||||