Due to size constraints, this filing is being made in two related submissions. This submission is the second of the two related submissions.
The accession number of the previous related submission is as follows: 0000898745-19-000359
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, papercopies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the report from the Fund or your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and providedwith a website link to access the report.
If you already elected to receive such reports electronically, you will not be affected by this change and you do not need to take any action. If you have not previously elected electronic delivery, you may elect to receive reports and other communications from the Fund electronically by visiting our website at www.principalfunds.com/edelivery for instructionson enrolling in eDelivery or calling 800-222-5852. If you own these shares through a financial intermediary, you may contact your financial intermediary.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of yourreports, you can inform the Fund by calling 800-222-5852. If you own these shares through a financial intermediary, you may contact your financial intermediary or follow instructions included with this disclosure to elect to continue to receivepaper copies of reports. Your election to receive reports in paper will apply to all funds with the Fund complex or to theshares you own through your financial intermediary.
Rev. 01/2019
EE11865PFI
EE11865PFI | 01/2017
Table of Contents | |
Letter from the President | 1 |
Financial Statements | 2 |
Notes to Financial Statements | 26 |
Schedules of Investments | 55 |
Financial Highlights (includes performance information) | 184 |
Shareholder Expense Example | 196 |
Supplemental Information | 198 |
Not FDIC or NCUA insured
May lose value • Not a deposit • No bank or credit union guarantee Not insured by any Federal government agency
US recession worries of late last year came to naught. Yes, retail sales and housing starts collapsed in December as the stock market swooned and part of the government shut down. Pundits worried that fourth quarter growth would plunge but it didn’t.
Last month, the odds seemed to favor another market downdraft. It didn’t happen; stocks kept roaring higher. The S&P 500 Index soared 6.6% in December, 7.9% in January, and 3.0% in February, for a total 18.4% compound gain since Christmas. That’s an amazing run. Of the 46 world equity indices we track, none—not even one—had a negative return since Christmas. Well over half had double-digit returns. It is doubtful that this is the beginning of another long bull market. Central banks want to unwind the decade of suppressed interest ratesand financial repression they oversaw. In addition, world growth slowed in 2018 and the weakness persisted early this year. First quarter US growth is poised to disappoint, fiscal stimulus is stabilizing in China, and modest rebounds are underway in Europe and Japan.
Because markets tend to fluctuate, we believe the most prudent approach for investing is to select a portfolio allocation that is broadly diversified both across and within asset classes. We encourage you to work closely with your financial professional to select and monitor those investments best suited to helping you work toward and realize your financial goals.1Our focus at Principal Funds has always been on consistent, long-term performance for our investors. Our investment strategies cover a wide range of asset classes to help you diversify your portfolio as you save for the future—whether you are investing for goals that are years down the road or closer at hand.
Sincerely,
Mike Beer
President, Principal Funds
* All data cited, unless otherwise indicated from Bloomberg. Commentary taken from February 2019 Economic Insights by Robert F. Baur, Ph.D. and Robin Anderson, available at principalfunds.com/commentary.
1Asset allocation and diversification do not ensure a profit or protect against a loss. Past performance does not guarantee future results.
1
Statements of Assets and Liabilities | |||||||||
Principal Funds, Inc. | |||||||||
February 28, 2019 (unaudited) | |||||||||
Diversified Real Asset | |||||||||
Amounts in thousands, except per share amounts | Blue Chip Fund | Fund(a) | EDGE MidCap Fund | ||||||
Investment in securities--at cost | $ | 2,764,604 | $ | 3,924,658 | $ | 560,765 | |||
Investment in affiliated Funds--at cost | $ | 10,958 | $ | 86,922 | $ | 10,045 | |||
Foreign currency--at cost | $ | – | $ | 2,870 | $ | – | |||
Assets | |||||||||
Investment in securities--at value | $ | 3,501,658 | $ | 3,929,352 | $ | 638,676 | |||
Investment in affiliated Funds--at value | 10,958 | 86,922 | 10,045 | ||||||
Foreign currency--at value | – | 2,873 | – | ||||||
Cash | – | 4,891 | – | ||||||
Deposits with counterparty | – | 13,559 | – | ||||||
Receivables: | |||||||||
Dividends and interest | 2,881 | 9,600 | 1,150 | ||||||
Expense reimbursement from Manager | 263 | 229 | 5 | ||||||
Expense reimbursement from Distributor | 2 | – | – | ||||||
Foreign currency contracts . | – | 9,891 | – | ||||||
Fund shares sold | 3,625 | 3,433 | 616 | ||||||
Investment securities sold | 1,954 | 17,682 | – | ||||||
OTC swap agreements--at value (premiums paid $0, $0 and $0) | – | 17 | – | ||||||
Unrealized gain on unfunded loan commitments | – | 1 | – | ||||||
Variation margin on futures | – | 7,479 | – | ||||||
Variation margin on swaps | – | 238 | – | ||||||
Prepaid expenses | 50 | – | 9 | ||||||
Total Assets | 3,521,391 | 4,086,167 | 650,501 | ||||||
Liabilities | |||||||||
Accrued management and investment advisory fees | 1,727 | 2,469 | 370 | ||||||
Accrued distribution fees | 133 | 32 | – | ||||||
Accrued service fees | 3 | – | – | ||||||
Accrued transfer agent fees | 80 | 673 | 2 | ||||||
Accrued directors' expenses | 3 | 1 | 3 | ||||||
Accrued professional fees | 13 | 74 | 15 | ||||||
Accrued other expenses | – | 84 | – | ||||||
Deposits from counterparty | – | 1,190 | – | ||||||
Payables: | |||||||||
Foreign currency contracts | – | 10,520 | – | ||||||
Fund shares redeemed | 4,847 | 5,887 | 762 | ||||||
Investment securities purchased | 12,839 | 25,221 | – | ||||||
Options and swaptions contracts written (premiums received $0, $2,279 and $0) | – | 1,525 | – | ||||||
OTC swap agreements--at value (premiums received $0, $0 and $0) | – | 1,099 | – | ||||||
Variation margin on futures | – | 10,070 | – | ||||||
Variation margin on swaps | – | 211 | – | ||||||
Total Liabilities | 19,645 | 59,056 | 1,152 | ||||||
Net Assets Applicable to Outstanding Shares | $ | 3,501,746 | $ | 4,027,111 | $ | 649,349 | |||
Net Assets Consist of: | |||||||||
Capital shares and additional paid-in-capital | $ | 2,695,766 | $ | 4,281,243 | $ | 565,998 | |||
Total distributable earnings (accumulated loss) | 805,980 | (254,132 | ) | 83,351 | |||||
Total Net Assets | $ | 3,501,746 | $ | 4,027,111 | $ | 649,349 |
See accompanying notes.
2
Statements of Assets and Liabilities | |||||||||
Principal Funds, Inc. | |||||||||
February 28, 2019 (unaudited) | |||||||||
Diversified Real Asset | |||||||||
Amounts in thousands, except per share amounts | Blue Chip Fund | Fund(a) | EDGE MidCap Fund | ||||||
Capital Stock (par value: $.01 per share): | |||||||||
Shares authorized | 1,300,000 | 1,875,000 | 300,000 | ||||||
Net Asset Value Per Share: | |||||||||
Class A: Net Assets | $ | 217,178 | $ | 90,458 | $ | 797 | |||
Shares Issued and Outstanding | 9,656 | 8,148 | 58 | ||||||
Net Asset Value per share | $ | 22.49 | $ | 11.10 | $ | 13.68 | |||
Maximum Offering Price | $ | 23.80 | $ | 11.53 | $ | 14.48 | |||
Class C: Net Assets | $ | 113,549 | $ | 19,136 | N/A | ||||
Shares Issued and Outstanding | 5,270 | 1,753 | |||||||
Net Asset Value per share | $ | 21.54 | (b) | $ | 10.91 | (b) | |||
Class J: Net Assets | $ | 64,941 | N/A | N/A | |||||
Shares Issued and Outstanding | 2,853 | ||||||||
Net Asset Value per share | $ | 22.76 | (b) | ||||||
Institutional: Net Assets | $ | 347,095 | $ | 2,448,448 | $ | 16,811 | |||
Shares Issued and Outstanding | 15,191 | 220,481 | 1,229 | ||||||
Net Asset Value per share | $ | 22.85 | $ | 11.11 | $ | 13.68 | |||
R-3: Net Assets | $ | 6,457 | $ | 111 | N/A | ||||
Shares Issued and Outstanding | 286 | 10 | |||||||
Net Asset Value per share | $ | 22.54 | $ | 11.08 | |||||
R-4: Net Assets | $ | 1,376 | $ | 12 | N/A | ||||
Shares Issued and Outstanding | 61 | 1 | |||||||
Net Asset Value per share | $ | 22.67 | $ | 11.10 | |||||
R-5: Net Assets | $ | 5,824 | $ | 84 | N/A | ||||
Shares Issued and Outstanding | 256 | 8 | |||||||
Net Asset Value per share | $ | 22.74 | $ | 11.09 | |||||
R-6: Net Assets | $ | 2,745,326 | $ | 1,468,862 | $ | 631,741 | |||
Shares Issued and Outstanding | 120,038 | 132,276 | 46,075 | ||||||
Net Asset Value per share | $ | 22.87 | $ | 11.10 | $ | 13.71 |
(a) | Consolidated financial statement, see "Basis for Consolidation" in Notes to Financial Statements. |
(b) | Redemption price per share is equal to net asset value per share less any applicable contingent deferred sales charge. |
See accompanying notes.
3
Statements of Assets and Liabilities | |||||||||
Principal Funds, Inc. | |||||||||
February 28, 2019 (unaudited) | |||||||||
Global Multi-Strategy | Global Opportunities | International Small | |||||||
Amounts in thousands, except per share amounts | Fund(a) | Fund | Company Fund | ||||||
Investment in securities--at cost | $ | 2,257,618 | $ | 18,567 | $ | 804,976 | |||
Investment in affiliated Funds--at cost | $ | 232,036 | $ | 148 | $ | 32,802 | |||
Foreign currency--at cost | $ | 12,604 | $ | 20 | $ | 7,588 | |||
Assets | |||||||||
Investment in securities--at value | $ | 2,264,508 | $ | 19,266 | $ | 850,788 | |||
Investment in affiliated Funds--at value | 232,036 | 148 | 32,802 | ||||||
Foreign currency--at value | 12,566 | 20 | 7,521 | ||||||
Cash | 4,415 | – | 212 | ||||||
Deposits with counterparty | 363,315 | – | – | ||||||
Receivables: | |||||||||
Dividends and interest | 12,079 | 1,144 | 1,899 | ||||||
Expense reimbursement from Manager | 96 | 15 | 3 | ||||||
Foreign currency contracts . | 14,968 | – | – | ||||||
Fund shares sold | 2,066 | 5 | 188 | ||||||
Investment securities sold | 230,230 | – | 11,913 | ||||||
OTC swap agreements--at value (premiums paid $2,518, $0 and $0) | 7,831 | – | – | ||||||
Unrealized gain on unfunded loan commitments | 1 | – | – | ||||||
Variation margin on futures | 1,354 | – | – | ||||||
Variation margin on swaps | 266 | – | – | ||||||
Total Assets | 3,145,731 | 20,598 | 905,326 | ||||||
Liabilities | |||||||||
Accrued management and investment advisory fees | 2,362 | 13 | 686 | ||||||
Accrued distribution fees | 33 | 2 | 1 | ||||||
Accrued transfer agent fees | 313 | 3 | 6 | ||||||
Accrued custodian fees | – | 7 | – | ||||||
Accrued directors' expenses | 2 | 1 | 1 | ||||||
Accrued professional fees | 113 | 37 | 38 | ||||||
Accrued other expenses | 63 | – | 68 | ||||||
Deposits from counterparty | 319 | – | – | ||||||
Payables: | |||||||||
Dividends and interest on securities sold short | 1,542 | – | – | ||||||
Foreign currency contracts | 17,141 | – | – | ||||||
Fund shares redeemed | 4,836 | – | 480 | ||||||
Investment securities purchased | 188,715 | 40 | 28,248 | ||||||
Options and swaptions contracts written (premiums received $5,167, $0 and $0) | 3,013 | – | – | ||||||
Reverse repurchase agreements | 452,564 | – | – | ||||||
Short sales (proceeds received $535,051, $0 and $0) | 546,267 | – | – | ||||||
OTC swap agreements--at value (premiums received $338, $0 and $0) | 7,870 | – | – | ||||||
Variation margin on futures | 1,602 | – | – | ||||||
Variation margin on swaps | 94 | – | – | ||||||
Total Liabilities | 1,226,849 | 103 | 29,528 | ||||||
Net Assets Applicable to Outstanding Shares | $ | 1,918,882 | $ | 20,495 | $ | 875,798 | |||
Net Assets Consist of: | |||||||||
Capital shares and additional paid-in-capital | $ | 2,013,739 | $ | 19,451 | $ | 856,854 | |||
Total distributable earnings (accumulated loss) | (94,857 | ) | 1,044 | 18,944 | |||||
Total Net Assets | $ | 1,918,882 | $ | 20,495 | $ | 875,798 | |||
Capital Stock (par value: $.01 per share): | |||||||||
Shares authorized | 1,750,000 | 550,000 | 300,000 | ||||||
Net Asset Value Per Share: | |||||||||
Class A: Net Assets | $ | 43,809 | $ | 6,959 | $ | 4,596 | |||
Shares Issued and Outstanding | 4,243 | 1,914 | 447 | ||||||
Net Asset Value per share | $ | 10.32 | $ | 3.64 | $ | 10.28 | |||
Maximum Offering Price | $ | 10.72 | $ | 3.85 | $ | 10.88 | |||
Class C: Net Assets | $ | 31,644 | N/A | N/A | |||||
Shares Issued and Outstanding | 3,154 | ||||||||
Net Asset Value per share | $ | 10.03 | (b) | ||||||
Institutional: Net Assets | $ | 532,646 | $ | 13,536 | $ | 26,863 | |||
Shares Issued and Outstanding | 51,134 | 3,547 | 2,605 | ||||||
Net Asset Value per share | $ | 10.42 | $ | 3.82 | $ | 10.31 | |||
R-6: Net Assets | $ | 1,310,783 | N/A | $ | 844,339 | ||||
Shares Issued and Outstanding | 125,988 | 81,484 | |||||||
Net Asset Value per share | $ | 10.40 | $ | 10.36 |
(a) | Consolidated financial statement, see "Basis for Consolidation" in Notes to Financial Statements. |
(b) | Redemption price per share is equal to net asset value per share less any applicable contingent deferred sales charge. |
See accompanying notes.
4
Statements of Assets and Liabilities | |||||||||
Principal Funds, Inc. | |||||||||
February 28, 2019 (unaudited) | |||||||||
Multi-Manager Equity | Opportunistic | Origin Emerging | |||||||
Amounts in thousands, except per share amounts | Long/Short Fund | Municipal Fund | Markets Fund | ||||||
Investment in securities--at cost | $ | 243,937 | $ | 115,214 | $ | 461,937 | |||
Investment in affiliated Funds--at cost | $ | 32,786 | $ | – | $ | 17,090 | |||
Assets | |||||||||
Investment in securities--at value | $ | 256,282 | $ | 116,237 | $ | 532,242 | |||
Investment in affiliated Funds--at value | 32,786 | – | 17,090 | ||||||
Cash | – | 4 | – | ||||||
Deposits with counterparty | 87,088 | – | – | ||||||
Receivables: | |||||||||
Dividends and interest | 756 | 1,353 | 843 | ||||||
Expense reimbursement from Manager | 17 | 7 | 66 | ||||||
Foreign currency contracts . | 8,405 | – | – | ||||||
Fund shares sold | 25 | 892 | 229 | ||||||
Investment securities sold | 14,574 | – | – | ||||||
OTC swap agreements--at value (premiums paid $0, $0 and $0) | 1,514 | – | – | ||||||
Variation margin on futures | 23 | – | – | ||||||
Total Assets | 401,470 | 118,493 | 550,470 | ||||||
Liabilities | |||||||||
Accrued management and investment advisory fees | 325 | 42 | 499 | ||||||
Accrued distribution fees | – | 10 | 1 | ||||||
Accrued transfer agent fees | – | 18 | 5 | ||||||
Accrued directors' expenses | 1 | 1 | 1 | ||||||
Accrued professional fees | 29 | 21 | 17 | ||||||
Accrued other expenses | 18 | 1 | 34 | ||||||
Cash overdraft | 938 | – | – | ||||||
Deposits from counterparty | 760 | – | – | ||||||
Payables: | |||||||||
Borrowing | – | 260 | – | ||||||
Dividends payable | – | 339 | – | ||||||
Dividends and interest on securities sold short | 140 | – | – | ||||||
Foreign currency contracts | 5,188 | – | – | ||||||
Fund shares redeemed | 150 | 202 | 288 | ||||||
Interest expense and fees payable | – | 34 | – | ||||||
Investment securities purchased | 10,975 | – | – | ||||||
Short sales (proceeds received $107,069, $0 and $0) | 112,574 | – | – | ||||||
OTC swap agreements--at value (premiums received $0, $0 and $0) | 601 | – | – | ||||||
Variation margin on futures | 246 | – | – | ||||||
Floating rate notes issued | – | 5,428 | – | ||||||
Total Liabilities | 131,945 | 6,356 | 845 | ||||||
Net Assets Applicable to Outstanding Shares | $ | 269,525 | $ | 112,137 | $ | 549,625 | |||
Net Assets Consist of: | |||||||||
Capital shares and additional paid-in-capital | $ | 283,139 | $ | 112,362 | $ | 583,326 | |||
Total distributable earnings (accumulated loss) | (13,614 | ) | (225 | ) | (33,701 | ) | |||
Total Net Assets | $ | 269,525 | $ | 112,137 | $ | 549,625 | |||
Capital Stock (par value: $.01 per share): | |||||||||
Shares authorized | 300,000 | 300,000 | 450,000 | ||||||
Net Asset Value Per Share: | |||||||||
Class A: Net Assets | $ | 369 | $ | 48,434 | $ | 2,370 | |||
Shares Issued and Outstanding | 40 | 4,581 | 225 | ||||||
Net Asset Value per share | $ | 9.16 | $ | 10.57 | $ | 10.55 | |||
Maximum Offering Price | $ | 9.69 | $ | 10.98 | $ | 11.16 | |||
Institutional: Net Assets | $ | 142 | $ | 63,703 | $ | 11,246 | |||
Shares Issued and Outstanding | 15 | 6,023 | 1,084 | ||||||
Net Asset Value per share | $ | 9.23 | $ | 10.58 | $ | 10.37 | |||
R-6: Net Assets | $ | 269,014 | N/A | $ | 536,009 | ||||
Shares Issued and Outstanding | 29,097 | 51,657 | |||||||
Net Asset Value per share | $ | 9.25 | $ | 10.38 |
See accompanying notes.
5
Statements of Assets and Liabilities | |||||||||
Principal Funds, Inc. | |||||||||
February 28, 2019 (unaudited) | |||||||||
Preferred Securities | Real Estate Debt | Small-MidCap | |||||||
Amounts in thousands, except per share amounts | Fund | Income Fund | Dividend Income Fund | ||||||
Investment in securities--at cost | $ | 4,853,745 | $ | 127,193 | $ | 2,106,111 | |||
Investment in affiliated Funds--at cost | $ | 196,706 | $ | 5,835 | $ | 31,497 | |||
Investment in affiliated securities--at cost | $ | 115,496 | $ | – | $ | – | |||
Assets | |||||||||
Investment in securities--at value | $ | 4,919,966 | $ | 126,702 | $ | 2,280,588 | |||
Investment in affiliated Funds--at value | 196,706 | 5,835 | 31,497 | ||||||
Investment in affiliated securities--at value | 100,494 | – | – | ||||||
Deposits with counterparty | 2,002 | – | – | ||||||
Receivables: | |||||||||
Dividends and interest | 68,454 | 1,029 | 3,597 | ||||||
Expense reimbursement from Manager | – | 8 | 3 | ||||||
Expense reimbursement from Distributor | 1 | – | – | ||||||
Fund shares sold | 17,893 | 10 | 4,448 | ||||||
Investment securities sold | 3,436 | – | 1,091 | ||||||
Prepaid directors' expenses | – | – | 1 | ||||||
Prepaid expenses | – | 13 | – | ||||||
Total Assets | 5,308,952 | 133,597 | 2,321,225 | ||||||
Liabilities | |||||||||
Accrued management and investment advisory fees | 2,749 | 55 | 1,362 | ||||||
Accrued administrative service fees | 1 | – | – | ||||||
Accrued distribution fees | 538 | – | 135 | ||||||
Accrued service fees | 2 | – | – | ||||||
Accrued transfer agent fees | 1,042 | 1 | 908 | ||||||
Accrued chief compliance officer fees | 1 | – | – | ||||||
Accrued directors' expenses | 2 | 2 | – | ||||||
Accrued professional fees | 23 | 21 | 21 | ||||||
Accrued other expenses | 282 | – | 66 | ||||||
Deposits from counterparty | – | – | – | ||||||
Payables: | |||||||||
Expense reimbursement to Manager | 28 | – | – | ||||||
Fund shares redeemed | 42,575 | 34 | 6,822 | ||||||
Investment securities purchased | 84,005 | 2,990 | 1,013 | ||||||
Options and swaptions contracts written (premiums received $3,835, $0 and $0) | 2,523 | – | – | ||||||
Variation margin on futures | 114 | – | – | ||||||
Total Liabilities | 133,885 | 3,103 | 10,327 | ||||||
Net Assets Applicable to Outstanding Shares | $ | 5,175,067 | $ | 130,494 | $ | 2,310,898 | |||
Net Assets Consist of: | |||||||||
Capital shares and additional paid-in-capital | $ | 5,114,419 | $ | 134,931 | $ | 2,084,024 | |||
Total distributable earnings (accumulated loss) | 60,648 | (4,437 | ) | 226,874 | |||||
Total Net Assets | $ | 5,175,067 | $ | 130,494 | $ | 2,310,898 |
See accompanying notes.
6
Statements of Assets and Liabilities | |||||||||
Principal Funds, Inc. | |||||||||
February 28, 2019 (unaudited) | |||||||||
Preferred Securities | Real Estate Debt | Small-MidCap | |||||||
Amounts in thousands, except per share amounts | Fund | Income Fund | Dividend Income Fund | ||||||
Capital Stock (par value: $.01 per share): | |||||||||
Shares authorized | 2,200,000 | 300,000 | 1,700,000 | ||||||
Net Asset Value Per Share: | |||||||||
Class A: Net Assets | $ | 614,919 | $ | 2,168 | $ | 162,729 | |||
Shares Issued and Outstanding | 62,251 | 226 | 11,490 | ||||||
Net Asset Value per share | $ | 9.88 | $ | 9.61 | $ | 14.16 | |||
Maximum Offering Price | $ | 10.26 | $ | 9.98 | $ | 14.98 | |||
Class C: Net Assets | $ | 540,191 | N/A | $ | 135,041 | ||||
Shares Issued and Outstanding | 54,755 | 9,631 | |||||||
Net Asset Value per share | $ | 9.87 | (a) | $ | 14.02 | (a) | |||
Class J: Net Assets | $ | 41,303 | N/A | N/A | |||||
Shares Issued and Outstanding | 4,301 | ||||||||
Net Asset Value per share | $ | 9.60 | (a) | ||||||
Institutional: Net Assets | $ | 3,068,464 | $ | 7,353 | $ | 2,003,974 | |||
Shares Issued and Outstanding | 312,871 | 773 | 140,703 | ||||||
Net Asset Value per share | $ | 9.81 | $ | 9.52 | $ | 14.24 | |||
R-1: Net Assets | $ | 954 | N/A | N/A | |||||
Shares Issued and Outstanding | 98 | ||||||||
Net Asset Value per share | $ | 9.76 | |||||||
R-2: Net Assets | $ | 1,560 | N/A | N/A | |||||
Shares Issued and Outstanding | 161 | ||||||||
Net Asset Value per share | $ | 9.69 | |||||||
R-3: Net Assets | $ | 2,460 | N/A | N/A | |||||
Shares Issued and Outstanding | 253 | ||||||||
Net Asset Value per share | $ | 9.74 | |||||||
R-4: Net Assets | $ | 1,186 | N/A | N/A | |||||
Shares Issued and Outstanding | 122 | ||||||||
Net Asset Value per share | $ | 9.71 | |||||||
R-5: Net Assets | $ | 2,155 | N/A | N/A | |||||
Shares Issued and Outstanding | 221 | ||||||||
Net Asset Value per share | $ | 9.77 | |||||||
R-6: Net Assets | $ | 901,875 | $ | 120,973 | $ | 9,154 | |||
Shares Issued and Outstanding | 91,999 | 12,727 | 640 | ||||||
Net Asset Value per share | $ | 9.80 | $ | 9.51 | $ | 14.31 |
(a) | Redemption price per share is equal to net asset value per share less any applicable contingent deferred sales charge. |
See accompanying notes.
7
Statements of Operations | ||||||||
Principal Funds, Inc. | ||||||||
Six Months Ended February 28, 2019 (unaudited) | ||||||||
Diversified Real Asset | ||||||||
Amounts in thousands | Blue Chip Fund | Fund(a) | EDGEMidCapFund(b) | |||||
Net Investment Income (Loss) | ||||||||
Income: | ||||||||
Dividends from affiliated Funds | $ | 73 | $ | 827 | $ | 101 | ||
Dividends | 10,382 | 34,082 | 5,103 | |||||
Withholding tax | (270 | ) | (1,645 | ) | (9 | ) | ||
Interest | – | 24,682 | – | |||||
Total Income | 10,185 | 57,946 | 5,195 | |||||
Expenses: | ||||||||
Management and investment advisory fees | 10,535 | 15,906 | 2,308 | |||||
Distribution fees - Class A | 217 | 118 | – | |||||
Distribution fees - Class C | 484 | 102 | N/A | |||||
Distribution fees - Class J | 43 | N/A | N/A | |||||
Distribution fees - R-3 | 8 | – | N/A | |||||
Distribution fees - R-4 | 1 | – | N/A | |||||
Administrative service fees - R-3 | 3 | – | N/A | |||||
Registration fees - Class A | 17 | 8 | 4 | |||||
Registration fees - Class C | 13 | 8 | N/A | |||||
Registration fees - Class J | 11 | N/A | N/A | |||||
Registration fees - Institutional | 15 | 25 | 8 | |||||
Registration fees - R-6 | 20 | 11 | 10 | |||||
Service fees - R-3 | 8 | – | N/A | |||||
Service fees - R-4 | 2 | – | N/A | |||||
Service fees - R-5 | 7 | – | N/A | |||||
Shareholder reports - Class A | 14 | 17 | 1 | |||||
Shareholder reports - Class C | 7 | 5 | N/A | |||||
Shareholder reports - Class J | 12 | N/A | N/A | |||||
Shareholder reports - Institutional | 3 | 167 | – | |||||
Shareholder reports - R-6 | – | 11 | – | |||||
Transfer agent fees - Class A | 93 | 80 | 4 | |||||
Transfer agent fees - Class C | 48 | 19 | N/A | |||||
Transfer agent fees - Class J | 29 | N/A | N/A | |||||
Transfer agent fees - Institutional | 59 | 1,460 | 4 | |||||
Chief compliance officer expenses | 2 | 2 | – | |||||
Custodian fees | 3 | 154 | 1 | |||||
Directors' expenses | 32 | 38 | 8 | |||||
Professional fees | 14 | 69 | 11 | |||||
Other expenses | 24 | 16 | 2 | |||||
Total Gross Expenses | 11,724 | 18,216 | 2,361 | |||||
Less: Reimbursement from Manager | 1,051 | 594 | – | |||||
Less: Reimbursement from Manager - Class A | – | 19 | 9 | |||||
Less: Reimbursement from Manager - Class C | – | 15 | N/A | |||||
Less: Reimbursement from Manager - Institutional | – | 909 | 2 | |||||
Less: Reimbursement from Distributor - Class J | 9 | N/A | N/A | |||||
Total Net Expenses | 10,664 | 16,679 | 2,350 | |||||
Net Investment Income (Loss) | (479 | ) | 41,267 | 2,845 | ||||
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies, Futures, | ||||||||
Options and Swaptions and Swap agreements | ||||||||
Net realized gain (loss) from: | ||||||||
Investment transactions | 108,342 | (44,674 | ) | 5,341 | ||||
Foreign currency contracts | – | (1,000 | ) | – | ||||
Foreign currency transactions | – | (1,715 | ) | – | ||||
Futures contracts | – | (33,509 | ) | – | ||||
Options and swaptions | – | 1,567 | – | |||||
Swap agreements | – | (4,795 | ) | – | ||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | (119,016 | ) | (49,284 | ) | (26,602 | ) | ||
Foreign currency contracts | – | 272 | – | |||||
Futures contracts | – | 3,303 | – | |||||
Options and swaptions | – | 262 | – | |||||
Swap agreements | – | (3,256 | ) | – | ||||
Translation of assets and liabilities in foreign currencies | – | 27 | – | |||||
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies, Futures, | ||||||||
Options and Swaptions and Swap agreements | (10,674 | ) | (132,802 | ) | (21,261 | ) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations$ | (11,153 | )$ | (91,535 | )$ | (18,416 | ) |
(a) | Consolidated financial statement, see “Basis for Consolidation” in Notes to Financial Statements. |
(b) | Class A shares commenced operations on December 31, 2018. |
See accompanying notes.
8
Statements of Operations | |||||||
Principal Funds, Inc. | |||||||
Six Months Ended February 28, 2019 (unaudited) | |||||||
Global Multi-Strategy | Global Opportunities | International Small | |||||
Amounts in thousands | Fund(a) | Fund(b) | Company Fund | ||||
Net Investment Income (Loss) | |||||||
Income: | |||||||
Dividends from affiliated Funds | $ | 3,776 | $ | 42 | $ | 167 | |
Dividends | 8,383 | 1,717 | 7,022 | ||||
Withholding tax | (366 | ) | (59 | ) | (637 | ) | |
Interest | 41,069 | (1 | ) | – | |||
Total Income | 52,862 | 1,699 | 6,552 | ||||
Expenses: | |||||||
Management and investment advisory fees | 18,009 | 762 | 4,499 | ||||
Distribution fees - Class A | 66 | 6 | 6 | ||||
Distribution fees - Class C | 180 | 8 | N/A | ||||
Registration fees - Class A | 9 | 8 | 9 | ||||
Registration fees - Class C | 9 | 6 | N/A | ||||
Registration fees - Institutional | 27 | 7 | 9 | ||||
Registration fees - R-6 | 8 | N/A | 9 | ||||
Shareholder reports - Class A | 4 | 2 | 2 | ||||
Shareholder reports - Class C | 3 | – | N/A | ||||
Shareholder reports - Institutional | 58 | – | – | ||||
Shareholder reports - R-6 | 9 | N/A | – | ||||
Transfer agent fees - Class A | 35 | 10 | 10 | ||||
Transfer agent fees - Class C | 24 | 5 | N/A | ||||
Transfer agent fees - Institutional | 434 | 1 | 9 | ||||
Chief compliance officer expenses | 1 | – | 1 | ||||
Custodian fees | 170 | 25 | 108 | ||||
Directors' expenses | 24 | 6 | 10 | ||||
Dividends and interest on securities sold short | 5,432 | – | – | ||||
Professional fees | 106 | 38 | 24 | ||||
Short sale fees | 1,339 | – | – | ||||
Other expenses | 127 | 5 | 5 | ||||
Reverse repurchase agreement interest expense | 3,089 | – | – | ||||
Total Gross Expenses | 29,163 | 889 | 4,701 | ||||
Less: Reimbursement from Manager | 459 | – | – | ||||
Less: Reimbursement from Manager - Class A | – | 24 | 14 | ||||
Less: Reimbursement from Manager - Class C | 2 | 12 | N/A | ||||
Less: Reimbursement from Manager - Institutional | 282 | 62 | 7 | ||||
Less: Reimbursement from Manager - R-6 | 86 | N/A | 51 | ||||
Total Net Expenses | 28,334 | 791 | 4,629 | ||||
Net Investment Income (Loss) | 24,528 | 908 | 1,923 | ||||
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies, Futures, | |||||||
Options and Swaptions, Short sales and Swap agreements | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | (34,469 | ) | 53,847 | (22,336 | ) | ||
Foreign currency contracts | 11,126 | – | – | ||||
Foreign currency transactions | (100 | ) | (185 | ) | (131 | ) | |
Futures contracts | (4,896 | ) | – | – | |||
Options and swaptions | 2,018 | – | – | ||||
Short sales | 16,945 | – | – | ||||
Swap agreements | 1,913 | – | – | ||||
Net change in unrealized appreciation/depreciation of: | |||||||
Investments | (35,368 | ) | (82,221 | ) | (65,180 | ) | |
Foreign currency contracts | (5,925 | ) | – | – | |||
Futures contracts | (10,161 | ) | – | – | |||
Options and swaptions | 769 | – | – | ||||
Short sales | (77 | ) | – | – | |||
Swap agreements | (1,292 | ) | – | – | |||
Translation of assets and liabilities in foreign currencies | 87 | (24 | ) | (33 | ) | ||
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies, Futures, | |||||||
Options and Swaptions, Short sales and Swap agreements | (59,430 | ) | (28,583 | ) | (87,680 | ) | |
Net Increase (Decrease) in Net Assets Resulting from Operations$ | (34,902 | )$ | (27,675 | )$ | (85,757 | ) |
(a) | Consolidated financial statement, see “Basis for Consolidation” in Notes to Financial Statements. |
(b) | Class C shares discontinued operations and converted to Class A shares on January 11, 2019. |
See accompanying notes.
9
Statements of Operations | |||||||
Principal Funds, Inc. | |||||||
Six Months Ended February 28, 2019 (unaudited) | |||||||
Multi-Manager Equity | Opportunistic | Origin Emerging | |||||
Amounts in thousands | Long/Short Fund | Municipal Fund(a) | Markets Fund | ||||
Net Investment Income (Loss) | |||||||
Income: | |||||||
Dividends from affiliated Funds | $ | 519 | $ | – $ | 142 | ||
Dividends | 2,595 | 2 | 4,194 | ||||
Withholding tax | (43 | ) | – | (513 | ) | ||
Interest | 1,072 | 2,786 | – | ||||
Total Income | 4,143 | 2,788 | 3,823 | ||||
Expenses: | |||||||
Management and investment advisory fees | 2,158 | 269 | 3,185 | ||||
Distribution fees - Class A | 1 | 57 | 4 | ||||
Distribution fees - Class C | N/A | 26 | N/A | ||||
Registration fees - Class A | 8 | 12 | 8 | ||||
Registration fees - Class C | N/A | 3 | N/A | ||||
Registration fees - Institutional | 8 | 8 | 7 | ||||
Registration fees - R-6 | 8 | N/A | 9 | ||||
Shareholder reports - Class A | – | 1 | 1 | ||||
Shareholder reports - Institutional | – | 1 | – | ||||
Transfer agent fees - Class A | 4 | 19 | 8 | ||||
Transfer agent fees - Class C | N/A | 5 | N/A | ||||
Transfer agent fees - Institutional | – | 23 | 5 | ||||
Custodian fees | 70 | 1 | 76 | ||||
Directors' expenses | 4 | 2 | 7 | ||||
Dividends and interest on securities sold short | 889 | – | – | ||||
Interest expense and fees | – | 75 | – | ||||
Professional fees | 24 | 16 | 18 | ||||
Short sale fees | 570 | – | – | ||||
Other expenses | 5 | 4 | 8 | ||||
Total Gross Expenses | 3,749 | 522 | 3,336 | ||||
Less: Reimbursement from Manager | – | 11 | 129 | ||||
Less: Reimbursement from Manager - Class A | 12 | 7 | 13 | ||||
Less: Reimbursement from Manager - Class C | N/A | 6 | N/A | ||||
Less: Reimbursement from Manager - Institutional | 8 | 10 | 11 | ||||
Less: Reimbursement from Manager - R-6 | 84 | N/A | 45 | ||||
Total Net Expenses | 3,645 | 488 | 3,138 | ||||
Net Investment Income (Loss) | 498 | 2,300 | 685 | ||||
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies, Futures, Short | |||||||
sales and Swap agreements | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | 1,597 | 50 | (4,576 | ) | |||
Foreign currency contracts | (401 | ) | – | – | |||
Foreign currency transactions | (84 | ) | – | (391 | ) | ||
Futures contracts | 1,225 | – | – | ||||
Short sales | (1,230 | ) | – | – | |||
Swap agreements | (6,632 | ) | – | – | |||
Net change in unrealized appreciation/depreciation of: | |||||||
Investments | (11,322 | ) | (403 | ) | (27,828 | ) | |
Foreign currency contracts | 1,333 | – | – | ||||
Futures contracts | (1,185 | ) | – | – | |||
Short sales | 5,652 | – | – | ||||
Swap agreements | 1,525 | – | – | ||||
Translation of assets and liabilities in foreign currencies | 11 | – | 12 | ||||
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies, Futures, Short | |||||||
sales and Swap agreements | (9,511 | ) | (353 | ) | (32,783 | ) | |
Net Increase (Decrease) in Net Assets Resulting from Operations$ | (9,013 | )$ | 1,947 | $ | (32,098 | ) |
(a) | Class C shares discontinued operations and converted to Class A shares on January 11, 2019. |
See accompanying notes.
10
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Statements of Operations | ||||||||
Principal Funds, Inc. | ||||||||
Six Months Ended February 28, 2019 (unaudited) | ||||||||
Preferred Securities | Real Estate Debt | Small-MidCap | ||||||
Amounts in thousands | Fund | Income Fund | Dividend Income Fund | |||||
Net Investment Income (Loss) | ||||||||
Income: | ||||||||
Dividends from affiliated Funds | $ | 579 | $ | 57 | $ | 246 | ||
Dividends from affiliated securities | 2,285 | – | – | |||||
Dividends | 30,741 | 1 | 30,509 | |||||
Withholding tax | (132 | ) | – | (485 | ) | |||
Interest | 124,358 | 3,010 | 1 | |||||
Total Income | 157,831 | 3,068 | 30,271 | |||||
Expenses: | ||||||||
Management and investment advisory fees | 18,059 | 368 | 9,277 | |||||
Distribution fees - Class A | 740 | 2 | 219 | |||||
Distribution fees - Class C | 2,881 | N/A | 724 | |||||
Distribution fees - Class J | 31 | N/A | N/A | |||||
Distribution fees - R-1 | 2 | N/A | N/A | |||||
Distribution fees - R-2 | 2 | N/A | N/A | |||||
Distribution fees - R-3 | 3 | N/A | N/A | |||||
Distribution fees - R-4 | 1 | N/A | N/A | |||||
Administrative service fees - R-1 | 1 | N/A | N/A | |||||
Administrative service fees - R-2 | 2 | N/A | N/A | |||||
Administrative service fees - R-3 | 1 | N/A | N/A | |||||
Registration fees - Class A | 16 | 8 | 10 | |||||
Registration fees - Class C | 9 | N/A | 9 | |||||
Registration fees - Class J | 6 | N/A | N/A | |||||
Registration fees - Institutional | 32 | 7 | 20 | |||||
Registration fees - R-6 | 8 | 8 | 8 | |||||
Service fees - R-1 | 1 | N/A | N/A | |||||
Service fees - R-2 | 2 | N/A | N/A | |||||
Service fees - R-3 | 3 | N/A | N/A | |||||
Service fees - R-4 | 2 | N/A | N/A | |||||
Service fees - R-5 | 3 | N/A | N/A | |||||
Shareholder reports - Class A | 37 | – | 18 | |||||
Shareholder reports - Class C | 33 | N/A | 14 | |||||
Shareholder reports - Class J | 11 | N/A | N/A | |||||
Shareholder reports - Institutional | 135 | – | 121 | |||||
Shareholder reports - R-6 | 7 | – | – | |||||
Transfer agent fees - Class A | 292 | 5 | 105 | |||||
Transfer agent fees - Class C | 258 | N/A | 82 | |||||
Transfer agent fees - Class J | 28 | N/A | N/A | |||||
Transfer agent fees - Institutional | 1,631 | 2 | 1,126 | |||||
Chief compliance officer expenses | 3 | – | 2 | |||||
Custodian fees | 24 | 1 | 8 | |||||
Directors' expenses | 51 | 3 | 25 | |||||
Professional fees | 19 | 16 | 16 | |||||
Other expenses | 117 | 3 | 33 | |||||
Total Gross Expenses | 24,451 | 423 | 11,817 | |||||
Less: Reimbursement from Manager | – | 2 | – | |||||
Less: Reimbursement from Manager - Class A | – | 12 | 41 | |||||
Less: Reimbursement from Manager - Class C | – | N/A | 29 | |||||
Less: Reimbursement from Manager - Institutional | 231 | 6 | 373 | |||||
Less: Reimbursement from Manager - R-6 | – | 17 | 9 | |||||
Less: Reimbursement from Distributor - Class J | 6 | N/A | N/A | |||||
Total Net Expenses | 24,214 | 386 | 11,365 | |||||
Net Investment Income (Loss) | 133,617 | 2,682 | 18,906 |
See accompanying notes.
12
Statements of Operations | |||||||
Principal Funds, Inc. | |||||||
Six Months Ended February 28, 2019 (unaudited) | |||||||
Preferred Securities | Real Estate Debt | Small-MidCap | |||||
Amounts in thousands | Fund | Income Fund | Dividend Income Fund | ||||
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies, Futures and | |||||||
Options and Swaptions | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | (20,420 | ) | (2,565 | ) | 23,118 | ||
Investment transactions in affiliated securities | 191 | – | – | ||||
Foreign currency transactions | – | – | 12 | ||||
Futures contracts | (8,586 | ) | – | – | |||
Options and swaptions | 15,521 | – | – | ||||
Net change in unrealized appreciation/depreciation of: | |||||||
Investments | (78,074 | ) | 3,470 | (267,419 | ) | ||
Investment in affiliated securities | (6,064 | ) | – | – | |||
Futures contracts | (114 | ) | – | – | |||
Options and swaptions | 1,328 | – | – | ||||
Translation of assets and liabilities in foreign currencies | – | – | 1 | ||||
Net Realized and Unrealized Gain (Loss) on Investments, Foreign currencies, Futures and | |||||||
Options and Swaptions | (96,218 | ) | 905 | (244,288 | ) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations$ | 37,399 | $ | 3,587 | $ | (225,382 | ) |
See accompanying notes.
13
Statement of Changes in Net Assets | |||||||||||||||||||
Principal Funds, Inc. | |||||||||||||||||||
(unaudited) | |||||||||||||||||||
Amounts in thousands | Blue Chip Fund | ||||||||||||||||||
Period Ended | Year Ended | ||||||||||||||||||
February 28, 2019 | August 31, 2018 | ||||||||||||||||||
Operations | |||||||||||||||||||
Net investment income (loss) | $ | (479 | ) | $ | 1,600 | ||||||||||||||
Net realized gain (loss) on investments . | 108,342 | 193,418 | |||||||||||||||||
Net change in unrealized appreciation/depreciation of investments | (119,016 | ) | 434,401 | ||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (11,153 | ) | 629,419 | ||||||||||||||||
Dividends and Distributions to Shareholders | |||||||||||||||||||
From net investment income and net realized gain on investments | (218,921 | ) | (66,872 | ) | |||||||||||||||
Total Dividends and Distributions | (218,921 | ) | (66,872 | ) | |||||||||||||||
Capital Share Transactions | |||||||||||||||||||
Net increase (decrease) in capital share transactions | 515,914 | 895,101 | |||||||||||||||||
Total Increase (Decrease) in Net Assets | 285,840 | 1,457,648 | |||||||||||||||||
Net Assets(c) | |||||||||||||||||||
Beginning of period | 3,215,906 | 1,758,258 | |||||||||||||||||
End of period . | $ | 3,501,746 | $ | 3,215,906 | |||||||||||||||
Class A | Class C | Class J | Class T | Institutional | R-3 | R-4 | R-5 | R-6 | |||||||||||
Capital Share Transactions: | |||||||||||||||||||
Period Ended February 28, 2019 | |||||||||||||||||||
Dollars: | |||||||||||||||||||
Sold | $ | 73,295 | $ | 33,557 | $ | 12,800 | N/A $ | 225,827 $ | 528 | $ | 440 | $ | 1,920 | $ 254,519 | |||||
Reinvested | 12,122 | 7,033 | 4,005 | N/A | 13,102 | 439 | 98 | 387 | 181,564 | ||||||||||
Redeemed | (22,017 | ) | (11,668 | ) | (6,871 | ) | N/A | (67,084 | ) | (2,376 | ) | (357 | ) | (1,313) | (194,036) | ||||
Net Increase (Decrease) | $ | 63,400 | $ | 28,922 | $ | 9,934 | N/A $ | 171,845 | $ | (1,409 | ) $ | 181 | $ | 994 | $ | 242,047 | |||
Shares: | |||||||||||||||||||
Sold | 3,354 | 1,589 | 567 | N/A | 10,506 | 24 | 19 | 80 | 10,476 | ||||||||||
Reinvested | 614 | 371 | 201 | N/A | 653 | 22 | 5 | 20 | 9,042 | ||||||||||
Redeemed | (1,022 | ) | (571 | ) | (309 | ) | N/A | (3,058 | ) | (102 | ) | (16 | ) | (58 | ) | (8,644 | ) | ||
Net Increase (Decrease) | 2,946 | 1,389 | 459 | N/A | 8,101 | (56 | ) | 8 | 42 | 10,874 | |||||||||
Year Ended August 31, 2018(a),(b) | |||||||||||||||||||
Dollars: | |||||||||||||||||||
Sold | $ | 88,378 | $ | 44,665 | $ | 21,425 | $ | 5 | $ 111,280 | 1,554 | $ | 283 | $ | 4,968 | $ 1,021,470 | ||||
Issued in acquisitions | – | – | 37,751 | – | 432,514 | 6,762 | 1,306 | 6,627 | – | ||||||||||
Reinvested | 2,403 | 1,334 | 1,139 | – | 2,130 | 200 | 38 | 197 | 59,364 | ||||||||||
Redeemed | (21,595 | ) | (7,039 | ) | (10,396 | ) | (19) | (459,525) | (1,939 | ) | (632 | ) | (7,888) | (441,659) | |||||
Net Increase (Decrease) | $ | 69,186 | $ | 38,960 | $ | 49,919 | $ | (14 | ) $ | 86,399 | $ | 6,577 | $ | 995 | $ | 3,904 | $ | 639,175 | |
Shares: | |||||||||||||||||||
Sold | 3,968 | 2,062 | 954 | – | 4,947 | 70 | 13 | 223 | 48,023 | ||||||||||
Issued in acquisitions | – | – | 1,855 | – | 21,244 | 334 | 64 | 326 | – | ||||||||||
Reinvested | 115 | 66 | 54 | – | 101 | 9 | 2 | 9 | 2,805 | ||||||||||
Redeemed | (976 | ) | (330 | ) | (469 | ) | (1 | ) | (22,349 | ) | (88 | ) | (28 | ) | (348 | ) | (20,384 | ) | |
Net Increase (Decrease) | 3,107 | 1,798 | 2,394 | (1 | ) | 3,943 | 325 | 51 | 210 | 30,444 | |||||||||
Distributions: | |||||||||||||||||||
Year Ended February 28, 2019 | |||||||||||||||||||
From net investment income and net realized | |||||||||||||||||||
gain on investments | $ | (12,167 | ) $ | (7,048 | ) $ | (4,005 | ) | N/A $ | (13,213 | ) $ | (439 | ) $ | (98 | ) $ | (387) $ | (181,564) | |||
Total Dividends and Distributions | $ | (12,167 | ) $ | (7,048 | ) $ | (4,005 | ) | N/A $ | (13,213 | ) $ | (439 | ) $ | (98 | ) $ | (387) $ | (181,564) | |||
Year Ended August 31, 2018(a),(b) | |||||||||||||||||||
From net investment income | $ | – $ | – $ | – $ | – $ | (16 | ) $ | – $ | – $ | – $ | (475 | ) | |||||||
From net realized gain on investments | (2,425 | ) | (1,337 | ) | (1,142 | ) | – | (2,153 | ) | (200 | ) | (38 | ) | (197 | ) | (58,889 | ) | ||
Total Dividends and Distributions | $ | (2,425 | ) $ | (1,337 | ) $ | (1,142 | ) $ | – $ | (2,169 | ) $ | (200 | ) $ | (38 | ) $ | (197 | ) $ | (59,364 | ) |
(a) | Period from September 11, 2017, date operations commenced, through August 31, 2018 for Class J. |
(b) | Class T shares discontinued operations on August 24, 2018. |
(c) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $638. |
See accompanying notes.
14
Statement of Changes in Net Assets | |||||||||||||||
Principal Funds, Inc. | |||||||||||||||
(unaudited) | |||||||||||||||
Amounts in thousands | Diversified Real Asset Fund(b) | ||||||||||||||
Period Ended | Year Ended | ||||||||||||||
February 28, 2019 | August 31, 2018 | ||||||||||||||
Operations | |||||||||||||||
Net investment income (loss) | $ | 41,267 | $ | 101,915 | |||||||||||
Net realized gain (loss) on investments , Foreign currencies, Futures, Options and Swaptions and Swap agreements | (84,126 | ) | 225,582 | ||||||||||||
Net change in unrealized appreciation/depreciation of investments, Foreign currencies, Futures, Options and Swaptions, Swap | |||||||||||||||
agreements and Translation of assets & liabilities in foreign currencies | (48,676 | ) | (175,789 | ) | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (91,535 | ) | 151,708 | ||||||||||||
Dividends and Distributions to Shareholders | |||||||||||||||
From net investment income and net realized gain on investments | (126,294 | ) | (89,016 | ) | |||||||||||
Total Dividends and Distributions | (126,294 | ) | (89,016 | ) | |||||||||||
Capital Share Transactions | |||||||||||||||
Net increase (decrease) in capital share transactions | 72,668 | (194,312 | ) | ||||||||||||
Total Increase (Decrease) in Net Assets | (145,161 | ) | (131,620 | ) | |||||||||||
Net Assets(a) | |||||||||||||||
Beginning of period | 4,172,272 | 4,303,892 | |||||||||||||
End of period . | $ | 4,027,111 | $ | 4,172,272 | |||||||||||
Class A | Class C Institutional | R-3 | R-4 | R-5 | R-6 | ||||||||||
Capital Share Transactions: | |||||||||||||||
Period Ended February 28, 2019 | |||||||||||||||
Dollars: | |||||||||||||||
Sold | $ | 9,295 | $ | 1,128 | $ | 358,579 | $ | 33 | $ | 1 | $ | 72 | $ 115,335 | ||
Reinvested | 2,486 | 359 | 74,020 | 3 | – | 3 | 46,729 | ||||||||
Redeemed | (22,933 | ) | (4,398) | (370,399) | – | (4 | ) | (1) | (137,640) | ||||||
Net Increase (Decrease) | $ | (11,152 | ) $ | (2,911 | ) $ | 62,200 | $ | 36 | $ | (3 | ) $ | 74 | $ | 24,424 | |
Shares: | |||||||||||||||
Sold | 839 | 105 | 32,306 | 3 | – | 7 | 10,339 | ||||||||
Reinvested | 241 | 35 | 7,173 | – | – | – | 4,528 | ||||||||
Redeemed | (2,091 | ) | (405 | ) | (33,549 | ) | – | – | – | (12,401 | ) | ||||
Net Increase (Decrease) | (1,011 | ) | (265 | ) | 5,930 | 3 | – | 7 | 2,466 | ||||||
Year Ended August 31, 2018 | |||||||||||||||
Dollars: | |||||||||||||||
Sold | $ | 36,259 | $ | 3,917 | $ | 733,849 | $ | 70 | $ | 4 | $ | 11 | $ 489,624 | ||
Reinvested | 1,782 | 241 | 54,147 | – | – | – | 31,163 | ||||||||
Redeemed | (50,457 | ) | (6,317) | (901,078) | (6 | ) | – | (11) | (587,510) | ||||||
Net Increase (Decrease) | $ | (12,416 | ) $ | (2,159) $ | (113,082) $ | 64 | $ | 4 | $ | – $ | (66,723 | ) | |||
Shares: | |||||||||||||||
Sold | 3,101 | 341 | 62,772 | 6 | – | 1 | 41,704 | ||||||||
Reinvested | 154 | 21 | 4,672 | – | – | – | 2,689 | ||||||||
Redeemed | (4,346 | ) | (553 | ) | (76,965 | ) | – | – | (1 | ) | (50,217 | ) | |||
Net Increase (Decrease) | (1,091 | ) | (191 | ) | (9,521 | ) | 6 | – | – | (5,824 | ) | ||||
Distributions: | |||||||||||||||
Year Ended February 28, 2019 | |||||||||||||||
From net investment income and net realized gain on investments | $ | (2,541 | ) $ | (402 | ) $ | (76,562 | ) $ | (3 | ) $ | – $ | (3 | ) $ | (46,783 | ) | |
Total Dividends and Distributions | $ | (2,541 | ) $ | (402 | ) $ | (76,562 | ) $ | (3 | ) $ | – $ | (3 | ) $ | (46,783 | ) | |
Year Ended August 31, 2018 | |||||||||||||||
From net investment income | $ | (1,822 | ) $ | (272 | ) $ | (55,759 | ) $ | – $ | – $ | – $ | (31,163 | ) | |||
From net realized gain on investments | – | – | – | – | – | – | – | ||||||||
Total Dividends and Distributions | $ | (1,822 | ) $ | (272 | ) $ | (55,759 | ) $ | – $ | – $ | – $ | (31,163 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $81,362. |
(b) | Consolidated financial statement, see "Basis for Consolidation" in Notes to Financial Statements. |
See accompanying notes.
15
Statement of Changes in Net Assets | ||||||||
Principal Funds, Inc. | ||||||||
(unaudited) | ||||||||
Amounts in thousands | EDGE MidCap Fund | |||||||
Period Ended | Year Ended | |||||||
February 28, 2019 | August 31, 2018 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 2,845 | $ | 6,320 | ||||
Net realized gain (loss) on investments . | 5,341 | 27,141 | ||||||
Net change in unrealized appreciation/depreciation of investments | (26,602 | ) | 63,123 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (18,416 | ) | 96,584 | |||||
Dividends and Distributions to Shareholders | ||||||||
From net investment income and net realized gain on investments | (35,525 | ) | (9,754 | ) | ||||
Total Dividends and Distributions | (35,525 | ) | (9,754 | ) | ||||
Capital Share Transactions | ||||||||
Net increase (decrease) in capital share transactions | 30,840 | 297,499 | ||||||
Total Increase (Decrease) in Net Assets | (23,101 | ) | 384,329 | |||||
Net Assets(a) | ||||||||
Beginning of period | 672,450 | 288,121 | ||||||
End of period . | $ | 649,349 | $ | 672,450 | ||||
Class A(b) | Institutional | R-6 | ||||||
Capital Share Transactions: | ||||||||
Period Ended February 28, 2019 | ||||||||
Dollars: | ||||||||
Sold | $ | 825 | $ | 4,899 | $ | 27,928 | ||
Reinvested | – | 838 | 34,677 | |||||
Redeemed | (37 | ) | (2,236 | ) | (36,054 | ) | ||
Net Increase (Decrease) | $ | 788 | $ | 3,501 | $ | 26,551 | ||
Shares: | ||||||||
Sold | 61 | 359 | 1,991 | |||||
Reinvested | – | 70 | 2,882 | |||||
Redeemed | (3 | ) | (165 | ) | (2,587 | ) | ||
Net Increase (Decrease) | 58 | 264 | 2,286 | |||||
Year Ended August 31, 2018 | ||||||||
Dollars: | ||||||||
Sold | N/A $ | 15,926 | $ 321,905 | |||||
Reinvested | N/A | 91 | 9,662 | |||||
Redeemed | N/A | (3,720 | ) | (46,365 | ) | |||
Net Increase (Decrease) | N/A $ | 12,297 | $ | 285,202 | ||||
Shares: | ||||||||
Sold | N/A | 1,110 | 23,713 | |||||
Reinvested | N/A | 6 | 697 | |||||
Redeemed | N/A | (253 | ) | (3,244 | ) | |||
Net Increase (Decrease) | N/A | 863 | 21,166 | |||||
Distributions: | ||||||||
Year Ended February 28, 2019 | ||||||||
From net investment income and net realized gain on investments | $ | – $ | (848 | ) $ | (34,677 | ) | ||
Total Dividends and Distributions | $ | – $ | (848 | ) $ | (34,677 | ) | ||
Year Ended August 31, 2018 | ||||||||
From net investment income | N/A $ | – $ | (2,352 | ) | ||||
From net realized gain on investments | N/A | (92 | ) | (7,310 | ) | |||
Total Dividends and Distributions | N/A $ | (92 | ) $ | (9,662 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $5,996. |
(b) | Period from December 31, 2018, date operations commenced through February 28, 2019 for Class A shares. |
See accompanying notes.
16
Statement of Changes in Net Assets | |||||||||
Principal Funds, Inc. | |||||||||
(unaudited) | |||||||||
Amounts in thousands | Global Multi-Strategy Fund(b) | ||||||||
Period Ended | Year Ended | ||||||||
February 28, 2019 | August 31, 2018 | ||||||||
Operations | |||||||||
Net investment income (loss) | $ | 24,528 | $ | 37,517 | |||||
Net realized gain (loss) on investments , Foreign currencies, Futures, Options and Swaptions, Short sales and Swap | |||||||||
agreements | (7,463 | ) | 55,156 | ||||||
Net change in unrealized appreciation/depreciation of investments, Foreign currencies, Futures, Options and Swaptions, Short | |||||||||
sales, Swap agreements and Translation of assets & liabilities in foreign currencies | (51,967 | ) | (57,390 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (34,902 | ) | 35,283 | ||||||
Dividends and Distributions to Shareholders | |||||||||
From net investment income and net realized gain on investments | (140,176 | ) | (78,624 | ) | |||||
Total Dividends and Distributions | (140,176 | ) | (78,624 | ) | |||||
Capital Share Transactions | |||||||||
Net increase (decrease) in capital share transactions | (541,576 | ) | (170,960 | ) | |||||
Total Increase (Decrease) in Net Assets | (716,654 | ) | (214,301 | ) | |||||
Net Assets(a) | |||||||||
Beginning of period | 2,635,536 | 2,849,837 | |||||||
End of period . | $ | 1,918,882 | $ | 2,635,536 | |||||
Class A | Class C | Institutional | R-6 | ||||||
Capital Share Transactions: | |||||||||
Period Ended February 28, 2019 | |||||||||
Dollars: | |||||||||
Sold | $ | 5,412 | $ | 1,646 | $ 126,573 | $47,316 | |||
Reinvested | 2,674 | 1,564 | 30,856 | 76,963 | |||||
Redeemed | (24,177 | ) | (10,432) | (327,829) | (472,142) | ||||
Net Increase (Decrease) | $ | (16,091 | ) $ | (7,222) | $ (170,400) | $ (347,863) | |||
Shares: | |||||||||
Sold | 520 | 166 | 12,089 | 4,401 | |||||
Reinvested | 263 | 159 | 3,002 | 7,494 | |||||
Redeemed | (2,299 | ) | (1,018 | ) | (30,847 | ) | (44,804 | ) | |
Net Increase (Decrease) | (1,516 | ) | (693 | ) | (15,756 | ) | (32,909 | ) | |
Year Ended August 31, 2018 | |||||||||
Dollars: | |||||||||
Sold | $ | 10,909 | $ | 5,706 | $ 423,848 | $ 675,478 | |||
Reinvested | 1,708 | 911 | 20,196 | 39,054 | |||||
Redeemed | (60,470 | ) | (12,442) | (831,305) | (444,553) | ||||
Net Increase (Decrease) | $ | (47,853 | ) $ | (5,825) $ | (387,261) $ | 269,979 | |||
Shares: | |||||||||
Sold | 973 | 524 | 37,345 | 59,936 | |||||
Reinvested | 152 | 83 | 1,777 | 3,438 | |||||
Redeemed | (5,367 | ) | (1,147 | ) | (73,773 | ) | (38,940 | ) | |
Net Increase (Decrease) | (4,242 | ) | (540 | ) | (34,651 | ) | 24,434 | ||
Distributions: | |||||||||
Year Ended February 28, 2019 | |||||||||
From net investment income and net realized gain on investments | $ | (2,944 | ) $ | (1,783 | ) $ | (37,148 | ) $ | (98,301 | ) |
Total Dividends and Distributions | $ | (2,944 | ) $ | (1,783 | ) $ | (37,148 | ) $ | (98,301 | ) |
Year Ended August 31, 2018 | |||||||||
From net investment income | $ | (341 | ) $ | – $ | (8,872 | ) $ | (12,403 | ) | |
From net realized gain on investments | (1,514 | ) | (1,018 | ) | (23,503 | ) | (30,973 | ) | |
Total Dividends and Distributions | $ | (1,855 | ) $ | (1,018 | ) $ | (32,375 | ) $ | (43,376 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $(6,665). |
(b) | Consolidated financial statement, see "Basis for Consolidation" in Notes to Financial Statements. |
See accompanying notes.
17
Statement of Changes in Net Assets | ||||||||
Principal Funds, Inc. | ||||||||
(unaudited) | ||||||||
Amounts in thousands | Global Opportunities Fund | |||||||
Period Ended | Year Ended | |||||||
February 28, 2019 | August 31, 2018 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 908 | $ | 11,451 | ||||
Net realized gain (loss) on investments and Foreign currencies | 53,662 | 102,809 | ||||||
Net change in unrealized appreciation/depreciation of investments and Translation of assets & liabilities in foreign currencies | (82,245 | ) | (31,365 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (27,675 | ) | 82,895 | |||||
Dividends and Distributions to Shareholders | ||||||||
From net investment income and net realized gain on investments | (16,851 | ) | (91,703 | ) | ||||
Total Dividends and Distributions | (16,851 | ) | (91,703 | ) | ||||
Capital Share Transactions | ||||||||
Net increase (decrease) in capital share transactions | (665,226 | ) | (214,355 | ) | ||||
Total Increase (Decrease) in Net Assets | (709,752 | ) | (223,163 | ) | ||||
Net Assets(a) | ||||||||
Beginning of period | 730,247 | 953,410 | ||||||
End of period . | $ | 20,495 | $ | 730,247 | ||||
Class A | Class C(b) | Institutional | ||||||
Capital Share Transactions: | ||||||||
Period Ended February 28, 2019 | ||||||||
Dollars: | ||||||||
Sold | $ | 2,436 | $ | 85 | $ | 2,600 | ||
Reinvested | 4,152 | 1,705 | 10,934 | |||||
Redeemed | (512 | ) | (2,181) | (684,445) | ||||
Net Increase (Decrease) | $ | 6,076 | $ | (391) | $ (670,911) | |||
Shares: | ||||||||
Sold | 633 | 9 | 309 | |||||
Reinvested | 975 | 410 | 2,474 | |||||
Redeemed | (89 | ) | (600 | ) | (54,558 | ) | ||
Net Increase (Decrease) | 1,519 | (181 | ) | (51,775 | ) | |||
Year Ended August 31, 2018 | ||||||||
Dollars: | ||||||||
Sold | $ | 1,274 | $ | 623 | $ | 23,452 | ||
Reinvested | 462 | 181 | 91,053 | |||||
Redeemed | (1,162 | ) | (360) | (329,878) | ||||
Net Increase (Decrease) | $ | 574 | $ | 444 | $ (215,373) | |||
Shares: | ||||||||
Sold | 100 | 49 | 1,805 | |||||
Reinvested | 36 | 14 | 7,095 | |||||
Redeemed | (91 | ) | (28 | ) | (25,693 | ) | ||
Net Increase (Decrease) | 45 | 35 | (16,793 | ) | ||||
Distributions: | ||||||||
Year Ended February 28, 2019 | ||||||||
From net investment income and net realized gain on investments | $ | (4,183 | ) $ | (1,734 | ) $ | (10,934 | ) | |
Total Dividends and Distributions | $ | (4,183 | ) $ | (1,734 | ) $ | (10,934 | ) | |
Year Ended August 31, 2018 | ||||||||
From net investment income | $ | (122 | ) $ | (39 | ) $ | (27,801 | ) | |
From net realized gain on investments | (345 | ) | (144 | ) | (63,252 | ) | ||
Total Dividends and Distributions | $ | (467 | ) $ | (183 | ) $ | (91,053 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $8,008. |
(b) | Class C shares discontinued operations and converted to Class A shares on January 11, 2019. |
See accompanying notes.
18
Statement of Changes in Net Assets | ||||||||
Principal Funds, Inc. | ||||||||
(unaudited) | ||||||||
Amounts in thousands | International Small Company Fund | |||||||
Period Ended | Year Ended | |||||||
February 28, 2019 | August 31, 2018 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 1,923 | $ | 10,871 | ||||
Net realized gain (loss) on investments and Foreign currencies | (22,467 | ) | 81,585 | |||||
Net change in unrealized appreciation/depreciation of investments and Translation of assets & liabilities in foreign currencies | (65,213 | ) | (23,976 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (85,757 | ) | 68,480 | |||||
Dividends and Distributions to Shareholders | ||||||||
From net investment income and net realized gain on investments | (68,971 | ) | (50,319 | ) | ||||
Total Dividends and Distributions | (68,971 | ) | (50,319 | ) | ||||
Capital Share Transactions | ||||||||
Net increase (decrease) in capital share transactions | 30,517 | (25,827 | ) | |||||
Total Increase (Decrease) in Net Assets | (124,211 | ) | (7,666 | ) | ||||
Net Assets(a) | ||||||||
Beginning of period | 1,000,009 | 1,007,675 | ||||||
End of period . | $ | 875,798 | $ | 1,000,009 | ||||
Class A | Institutional | R-6 | ||||||
Capital Share Transactions: | ||||||||
Period Ended February 28, 2019 | ||||||||
Dollars: | ||||||||
Sold | $ | 626 | $ | 15,819 | $ | 47,238 | ||
Reinvested | 345 | 1,695 | 66,930 | |||||
Redeemed | (759 | ) | (5,877 | ) | (95,500 | ) | ||
Net Increase (Decrease) | $ | 212 | $ | 11,637 | $ | 18,668 | ||
Shares: | ||||||||
Sold | 59 | 1,515 | 4,636 | |||||
Reinvested | 38 | 183 | 7,182 | |||||
Redeemed | (73 | ) | (566 | ) | (8,968 | ) | ||
Net Increase (Decrease) | 24 | 1,132 | 2,850 | |||||
Year Ended August 31, 2018 | ||||||||
Dollars: | ||||||||
Sold | $ | 4,191 | $ | 17,713 | $ | 98,299 | ||
Reinvested | 169 | 131 | 50,019 | |||||
Redeemed | (1,794 | ) | (1,256) | (193,299) | ||||
Net Increase (Decrease) | $ | 2,566 | $ | 16,588 | $ | (44,981 | ) | |
Shares: | ||||||||
Sold | 330 | 1,398 | 7,710 | |||||
Reinvested | 13 | 10 | 3,938 | |||||
Redeemed | (143 | ) | (99 | ) | (15,177 | ) | ||
Net Increase (Decrease) | 200 | 1,309 | (3,529 | ) | ||||
Distributions: | ||||||||
Year Ended February 28, 2019 | ||||||||
From net investment income and net realized gain on investments | $ | (346 | ) $ | (1,695 | ) $ | (66,930 | ) | |
Total Dividends and Distributions | $ | (346 | ) $ | (1,695 | ) $ | (66,930 | ) | |
Year Ended August 31, 2018 | ||||||||
From net investment income | $ | (61 | ) $ | (54 | ) $ | (20,828 | ) | |
From net realized gain on investments | (108 | ) | (77 | ) | (29,191 | ) | ||
Total Dividends and Distributions | $ | (169 | ) $ | (131 | ) $ | (50,019 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $4,325. |
See accompanying notes.
19
Statement of Changes in Net Assets | ||||||||
Principal Funds, Inc. | ||||||||
(unaudited) | ||||||||
Amounts in thousands | Multi-Manager Equity Long/Short Fund | |||||||
Period Ended | Year Ended | |||||||
February 28, 2019 | August 31, 2018 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 498 | $ | (638 | ) | |||
Net realized gain (loss) on investments , Foreign currencies, Futures, Short sales and Swap agreements | (5,525 | ) | 20,207 | |||||
Net change in unrealized appreciation/depreciation of investments, Foreign currencies, Futures, Short sales, Swap agreements | ||||||||
and Translation of assets & liabilities in foreign currencies | (3,986 | ) | 1,218 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (9,013 | ) | 20,787 | |||||
Dividends and Distributions to Shareholders | ||||||||
From net investment income and net realized gain on investments | (29,905 | ) | (17,568 | ) | ||||
Total Dividends and Distributions | (29,905 | ) | (17,568 | ) | ||||
Capital Share Transactions | ||||||||
Net increase (decrease) in capital share transactions | (32,132 | ) | 13,547 | |||||
Total Increase (Decrease) in Net Assets | (71,050 | ) | 16,766 | |||||
Net Assets(a) | ||||||||
Beginning of period | 340,575 | 323,809 | ||||||
End of period . | $ | 269,525 | $ | 340,575 | ||||
Class A | Institutional | R-6 | ||||||
Capital Share Transactions: | ||||||||
Period Ended February 28, 2019 | ||||||||
Dollars: | ||||||||
Sold | $ | 2 | $ | 25 | $ | 974 | ||
Reinvested | 49 | 13 | 29,843 | |||||
Redeemed | (84 | ) | (2 | ) | (62,952 | ) | ||
Net Increase (Decrease) | $ | (33 | ) $ | 36 | $ | (32,135 | ) | |
Shares: | ||||||||
Sold | – | 3 | 108 | |||||
Reinvested | 6 | 1 | 3,411 | |||||
Redeemed | (10 | ) | – | (6,011 | ) | |||
Net Increase (Decrease) | (4 | ) | 4 | (2,492 | ) | |||
Year Ended August 31, 2018 | ||||||||
Dollars: | ||||||||
Sold | $ | 432 | $ | 38 | $ | 21,805 | ||
Reinvested | 15 | 5 | 17,548 | |||||
Redeemed | (85 | ) | – | (26,211 | ) | |||
Net Increase (Decrease) | $ | 362 | $ | 43 | $ | 13,142 | ||
Shares: | ||||||||
Sold | 40 | 4 | 1,992 | |||||
Reinvested | 1 | – | 1,608 | |||||
Redeemed | (8 | ) | – | (2,444 | ) | |||
Net Increase (Decrease) | 33 | 4 | 1,156 | |||||
Distributions: | ||||||||
Year Ended February 28, 2019 | ||||||||
From net investment income and net realized gain on investments | $ | (49 | ) $ | (13 | ) $ | (29,843 | ) | |
Total Dividends and Distributions | $ | (49 | ) $ | (13 | ) $ | (29,843 | ) | |
Year Ended August 31, 2018 | ||||||||
From net investment income | $ | (2 | ) $ | (1 | ) $ | (3,229 | ) | |
From net realized gain on investments | (13 | ) | (4 | ) | (14,319 | ) | ||
Total Dividends and Distributions | $ | (15 | ) $ | (5 | ) $ | (17,548 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $(650). |
See accompanying notes.
20
Statement of Changes in Net Assets | ||||||||
Principal Funds, Inc. | ||||||||
(unaudited) | ||||||||
Amounts in thousands | Opportunistic Municipal Fund | |||||||
Period Ended | Year Ended | |||||||
February 28, 2019 | August 31, 2018 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 2,300 | $ | 4,737 | ||||
Net realized gain (loss) on investments . | 50 | 347 | ||||||
Net change in unrealized appreciation/depreciation of investments | (403 | ) | (1,172 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,947 | 3,912 | ||||||
Dividends and Distributions to Shareholders | ||||||||
From net investment income and net realized gain on investments | (2,195 | ) | (4,520 | ) | ||||
Total Dividends and Distributions | (2,195 | ) | (4,520 | ) | ||||
Capital Share Transactions | ||||||||
Net increase (decrease) in capital share transactions | 3,134 | (6,997 | ) | |||||
Total Increase (Decrease) in Net Assets | 2,886 | (7,605 | ) | |||||
Net Assets(a) | ||||||||
Beginning of period | 109,251 | 116,856 | ||||||
End of period . | $ | 112,137 | $ | 109,251 | ||||
Class A | Class C(b) | Institutional | ||||||
Capital Share Transactions: | ||||||||
Period Ended February 28, 2019 | ||||||||
Dollars: | ||||||||
Sold | $ | 14,591 | $ | 883 | $ | 17,526 | ||
Reinvested | 885 | 75 | 1,202 | |||||
Redeemed | (13,587 | ) | (8,001 | ) | (10,440 | ) | ||
Net Increase (Decrease) | $ | 1,889 | $ | (7,043 | ) $ | 8,288 | ||
Shares: | ||||||||
Sold | 1,394 | 85 | 1,678 | |||||
Reinvested | 84 | 7 | 115 | |||||
Redeemed | (1,299 | ) | (764 | ) | (1,000 | ) | ||
Net Increase (Decrease) | 179 | (672 | ) | 793 | ||||
Year Ended August 31, 2018 | ||||||||
Dollars: | ||||||||
Sold | $ | 21,672 | $ | 1,380 | $ | 20,858 | ||
Reinvested | 1,592 | 220 | 2,599 | |||||
Redeemed | (17,142 | ) | (8,759 | ) | (29,417 | ) | ||
Net Increase (Decrease) | $ | 6,122 | $ | (7,159 | ) $ | (5,960 | ) | |
Shares: | ||||||||
Sold | 2,039 | 130 | 1,961 | |||||
Reinvested | 150 | 21 | 245 | |||||
Redeemed | (1,613 | ) | (822 | ) | (2,775 | ) | ||
Net Increase (Decrease) | 576 | (671 | ) | (569 | ) | |||
Distributions: | ||||||||
Year Ended February 28, 2019 | ||||||||
From net investment income and net realized gain on investments | $ | (903 | ) $ | (86 | ) $ | (1,206 | ) | |
Total Dividends and Distributions | $ | (903 | ) $ | (86 | ) $ | (1,206 | ) | |
Year Ended August 31, 2018 | ||||||||
From net investment income | $ | (1,638 | ) $ | (277 | ) $ | (2,605 | ) | |
From net realized gain on investments | – | – | – | |||||
Total Dividends and Distributions | $ | (1,638 | ) $ | (277 | ) $ | (2,605 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $428. |
(b) | Class C shares discontinued operations and converted to Class A shares on January 11, 2019. |
See accompanying notes.
21
Statement of Changes in Net Assets | ||||||||
Principal Funds, Inc. | ||||||||
(unaudited) | ||||||||
Amounts in thousands | Origin Emerging Markets Fund | |||||||
Period Ended | Year Ended | |||||||
February 28, 2019 | August 31, 2018 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 685 | $ | 8,488 | ||||
Net realized gain (loss) on investments and Foreign currencies | (4,967 | ) | 67,253 | |||||
Net change in unrealized appreciation/depreciation of investments and Translation of assets & liabilities in foreign currencies | (27,816 | ) | (91,726 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (32,098 | ) | (15,985 | ) | ||||
Dividends and Distributions to Shareholders | ||||||||
From net investment income and net realized gain on investments | (8,633 | ) | (6,798 | ) | ||||
Total Dividends and Distributions | (8,633 | ) | (6,798 | ) | ||||
Capital Share Transactions | ||||||||
Net increase (decrease) in capital share transactions | (48,906 | ) | (39,350 | ) | ||||
Total Increase (Decrease) in Net Assets | (89,637 | ) | (62,133 | ) | ||||
Net Assets(a) | ||||||||
Beginning of period | 639,262 | 701,395 | ||||||
End of period . | $ | 549,625 | $ | 639,262 | ||||
Class A | Institutional | R-6 | ||||||
Capital Share Transactions: | ||||||||
Period Ended February 28, 2019 | ||||||||
Dollars: | ||||||||
Sold | $ | 234 | $ | 883 | $ | 63,609 | ||
Reinvested | 23 | 163 | 8,447 | |||||
Redeemed | (1,889 | ) | (951) | (119,425) | ||||
Net Increase (Decrease) | $ | (1,632 | ) $ | 95 | $ | (47,369 | ) | |
Shares: | ||||||||
Sold | 23 | 87 | 6,311 | |||||
Reinvested | 2 | 18 | 913 | |||||
Redeemed | (189 | ) | (99 | ) | (11,373 | ) | ||
Net Increase (Decrease) | (164 | ) | 6 | (4,149 | ) | |||
Year Ended August 31, 2018 | ||||||||
Dollars: | ||||||||
Sold | $ | 7,031 | $ | 15,610 | $ | 95,283 | ||
Reinvested | 15 | 394 | 6,389 | |||||
Redeemed | (5,183 | ) | (40,679) | (118,210) | ||||
Net Increase (Decrease) | $ | 1,863 | $ | (24,675 | ) $ | (16,538 | ) | |
Shares: | ||||||||
Sold | 544 | 1,262 | 7,719 | |||||
Reinvested | 1 | 32 | 524 | |||||
Redeemed | (412 | ) | (3,281 | ) | (9,526 | ) | ||
Net Increase (Decrease) | 133 | (1,987 | ) | (1,283 | ) | |||
Distributions: | ||||||||
Year Ended February 28, 2019 | ||||||||
From net investment income and net realized gain on investments | $ | (23 | ) $ | (163 | ) $ | (8,447 | ) | |
Total Dividends and Distributions | $ | (23 | ) $ | (163 | ) $ | (8,447 | ) | |
Year Ended August 31, 2018 | ||||||||
From net investment income | $ | (15 | ) $ | (394 | ) $ | (6,389 | ) | |
From net realized gain on investments | – | – | – | |||||
Total Dividends and Distributions | $ | (15 | ) $ | (394 | ) $ | (6,389 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $7,809. |
See accompanying notes.
22
Statement of Changes in Net Assets | |||||||||||||||||||||||||
Principal Funds, Inc. | |||||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||
Amounts in thousands | Preferred Securities Fund | ||||||||||||||||||||||||
Period Ended | Year Ended | ||||||||||||||||||||||||
February 28, 2019 | August 31, 2018 | ||||||||||||||||||||||||
Operations | |||||||||||||||||||||||||
Net investment income (loss) | $ | 133,617 | $ | 290,460 | |||||||||||||||||||||
Net realized gain (loss) on investments , Foreign currencies, Futures and Options and Swaptions | (13,294 | ) | 692 | ||||||||||||||||||||||
Net change in unrealized appreciation/depreciation of investments, Futures and Options and Swaptions | (82,924 | ) | (269,081 | ) | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 37,399 | 22,071 | |||||||||||||||||||||||
Dividends and Distributions to Shareholders | |||||||||||||||||||||||||
From net investment income and net realized gain on investments | (148,563 | ) | (294,776 | ) | |||||||||||||||||||||
Total Dividends and Distributions | (148,563 | ) | (294,776 | ) | |||||||||||||||||||||
Capital Share Transactions | |||||||||||||||||||||||||
Net increase (decrease) in capital share transactions | (371,787 | ) | 46,932 | ||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | (482,951 | ) | (225,773 | ) | |||||||||||||||||||||
Net Assets(b) | |||||||||||||||||||||||||
Beginning of period | 5,658,018 | 5,883,791 | |||||||||||||||||||||||
End of period . | $ | 5,175,067 | $ | 5,658,018 | |||||||||||||||||||||
Class A | Class C | Class J | Class T | Institutional | R-1 | R-2 | R-3 | R-4 | R-5 | R-6 | |||||||||||||||
Capital Share Transactions: | |||||||||||||||||||||||||
Period Ended February 28, 2019 | |||||||||||||||||||||||||
Dollars: | |||||||||||||||||||||||||
Sold | $ | 109,341 | $ | 24,774 | $ | 1,343 | N/A $ | 819,953 | $ | 50 | $ | 134 | $ | 253 | $ | 332 | $ | 117 | $ 140,144 | ||||||
Reinvested | 14,459 | 11,209 | 1,188 | N/A | 66,454 | 25 | 25 | 64 | 32 | 75 | 15,645 | ||||||||||||||
Redeemed | (152,021) | (115,000) | (5,811 | ) | N/A | (1,059,893) | (90 | ) | (353 | ) | (135 | ) | (432 | ) | (993) | (242,676) | |||||||||
Net Increase (Decrease) | $ | (28,221 | ) $ | (79,017 | ) $ | (3,280 | ) | N/A $ | (173,486 | ) $ | (15 | ) $ | (194 | ) $ | 182 | $ | (68 | ) $ | (801 | ) $ | (86,887 | ) | |||
Shares: | |||||||||||||||||||||||||
Sold | 11,218 | 2,547 | 142 | N/A | 84,962 | 5 | 14 | 26 | 34 | 12 | 14,528 | ||||||||||||||
Reinvested | 1,486 | 1,155 | 126 | N/A | 6,881 | 3 | 3 | 7 | 3 | 8 | 1,622 | ||||||||||||||
Redeemed | (15,577 | ) | (11,802 | ) | (610 | ) | N/A | (109,852 | ) | (9 | ) | (37 | ) | (14 | ) | (45 | ) | (103 | ) | (25,300 | ) | ||||
Net Increase (Decrease) | (2,873 | ) | (8,100 | ) | (342 | ) | N/A | (18,009 | ) | (1 | ) | (20 | ) | 19 | (8 | ) | (83 | ) | (9,150 | ) | |||||
Year Ended August 31, 2018(a) | |||||||||||||||||||||||||
Dollars: | |||||||||||||||||||||||||
Sold | $ | 180,232 | $ | 53,167 | $ | 7,380 | $ | 60 | $ 1,180,971 $ | 242 | $ | 400 | $ | 650 | $ | 357 | $ 1,858 | $ 554,564 | |||||||
Reinvested | 29,843 | 22,645 | 2,498 | 3 | 131,282 | 52 | 50 | 117 | 65 | 184 | 27,338 | ||||||||||||||
Redeemed | (255,400) | (163,746) | (13,464 | ) | (70) | (1,641,490) | (567 | ) | (339 | ) | (1,007 | ) | (380 | ) | (2,350 | ) | (68,213 | ) | |||||||
Net Increase (Decrease) | $ | (45,325 | ) $ | (87,934 | ) $ | (3,586 | ) $ | (7 | ) $ | (329,237 | ) $ | (273 | ) $ | 111 | $ | (240 | ) $ | 42 | $ | (308) | $ 513,689 | ||||
Shares: | |||||||||||||||||||||||||
Sold | 17,465 | 5,138 | 730 | 6 | 115,105 | 24 | 39 | 64 | 35 | 180 | 55,403 | ||||||||||||||
Reinvested | 2,906 | 2,207 | 250 | – | 12,872 | 5 | 5 | 11 | 6 | 18 | 2,681 | ||||||||||||||
Redeemed | (24,790 | ) | (15,942 | ) | (1,346 | ) | (7 | ) | (161,921 | ) | (56 | ) | (33 | ) | (98 | ) | (37 | ) | (230 | ) | (6,701 | ) | |||
Net Increase (Decrease) | (4,419 | ) | (8,597 | ) | (366 | ) | (1 | ) | (33,944 | ) | (27 | ) | 11 | (23 | ) | 4 | (32 | ) | 51,383 | ||||||
Distributions: | |||||||||||||||||||||||||
Year Ended February 28, 2019 | |||||||||||||||||||||||||
From net investment income and | |||||||||||||||||||||||||
net realized gain on investments. | $ | (16,535 | ) $ | (13,953 | ) $ | (1,206 | ) | N/A $ | (88,853 | ) $ | (25 | ) $ | (43 | ) $ | (64 | ) $ | (32 | ) $ | (76 | ) $ | (27,776 | ) | |||
Total Dividends and Distributions$ | (16,535 | ) $ | (13,953 | ) $ | (1,206 | ) | N/A $ | (88,853 | ) $ | (25 | ) $ | (43 | ) $ | (64 | ) $ | (32 | ) $ | (76 | ) $ | (27,776 | ) | ||||
Year Ended August 31, 2018(a) | |||||||||||||||||||||||||
From net investment income | $ | (32,679 | ) $ | (27,558 | ) $ | (2,443 | ) $ | (3 | ) $ | (191,151 | ) $ | (50 | ) $ | (78 | ) $ | (114 | ) $ | (63 | ) $ | (177 | ) $ | (30,570 | ) | ||
From net realized gain on | |||||||||||||||||||||||||
investments | (1,162 | ) | (1,199 | ) | (88 | ) | – | (6,560 | ) | (2 | ) | (3 | ) | (4 | ) | (2 | ) | (7 | ) | (863 | ) | ||||
Total Dividends and Distributions. $ | (33,841 | ) $ | (28,757 | ) $ | (2,531 | ) $ | (3 | ) $ | (197,711 | ) $ | (52 | ) $ | (81 | ) $ | (118 | ) $ | (65 | ) $ | (184 | ) $ | (31,433 | ) |
(a) | Class T shares discontinued operations on August 24, 2018. |
(b) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $45,379. |
See accompanying notes.
23
Statement of Changes in Net Assets | ||||||||
Principal Funds, Inc. | ||||||||
(unaudited) | ||||||||
Amounts in thousands | Real Estate Debt Income Fund | |||||||
Period Ended | Year Ended | |||||||
February 28, 2019 | August 31, 2018 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 2,682 | $ | 6,747 | ||||
Net realized gain (loss) on investments . | (2,565 | ) | (1,210 | ) | ||||
Net change in unrealized appreciation/depreciation of investments | 3,470 | (4,694 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,587 | 843 | ||||||
Dividends and Distributions to Shareholders | ||||||||
From net investment income and net realized gain on investments | (2,753 | ) | (6,873 | ) | ||||
Total Dividends and Distributions | (2,753 | ) | (6,873 | ) | ||||
Capital Share Transactions | ||||||||
Net increase (decrease) in capital share transactions | (57,761 | ) | 1,886 | |||||
Total Increase (Decrease) in Net Assets | (56,927 | ) | (4,144 | ) | ||||
Net Assets(a) | ||||||||
Beginning of period | 187,421 | 191,565 | ||||||
End of period . | $ | 130,494 | $ | 187,421 | ||||
Class A | Institutional | R-6 | ||||||
Capital Share Transactions: | ||||||||
Period Ended February 28, 2019 | ||||||||
Dollars: | ||||||||
Sold | $ | 1,400 | $ | 13,663 | $ | 406 | ||
Reinvested | 32 | 81 | 2,640 | |||||
Redeemed | (484 | ) | (9,200 | ) | (66,299 | ) | ||
Net Increase (Decrease) | $ | 948 | $ | 4,544 | $ | (63,253 | ) | |
Shares: | ||||||||
Sold | 147 | 1,459 | 43 | |||||
Reinvested | 3 | 9 | 281 | |||||
Redeemed | (50 | ) | (979 | ) | (7,053 | ) | ||
Net Increase (Decrease) | 100 | 489 | (6,729 | ) | ||||
Year Ended August 31, 2018 | ||||||||
Dollars: | ||||||||
Sold | $ | 449 | $ | 1,707 | $ | 14,887 | ||
Reinvested | 38 | 75 | 6,758 | |||||
Redeemed | (398 | ) | (1,149 | ) | (20,481 | ) | ||
Net Increase (Decrease) | $ | 89 | $ | 633 | $ | 1,164 | ||
Shares: | ||||||||
Sold | 47 | 182 | 1,572 | |||||
Reinvested | 4 | 8 | 715 | |||||
Redeemed | (42 | ) | (122 | ) | (2,160 | ) | ||
Net Increase (Decrease) | 9 | 68 | 127 | |||||
Distributions: | ||||||||
Year Ended February 28, 2019 | ||||||||
From net investment income and net realized gain on investments | $ | (32 | ) $ | (81 | ) $ | (2,640 | ) | |
Total Dividends and Distributions | $ | (32 | ) $ | (81 | ) $ | (2,640 | ) | |
Year Ended August 31, 2018 | ||||||||
From net investment income | $ | (40 | ) $ | (75 | ) $ | (6,758 | ) | |
From net realized gain on investments | – | – | – | |||||
Total Dividends and Distributions | $ | (40 | ) $ | (75 | ) $ | (6,758 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $73. |
See accompanying notes.
24
Statement of Changes in Net Assets | |||||||||
Principal Funds, Inc. | |||||||||
(unaudited) | |||||||||
Amounts in thousands | Small-MidCap Dividend Income Fund | ||||||||
Period Ended | Year Ended | ||||||||
February 28, 2019 | August 31, 2018 | ||||||||
Operations | |||||||||
Net investment income (loss) | $ | 18,906 | $ | 65,715 | |||||
Net realized gain (loss) on investments and Foreign currencies | 23,130 | 328,112 | |||||||
Net change in unrealized appreciation/depreciation of investments and Translation of assets & liabilities in foreign currencies | (267,418 | ) | 13,347 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (225,382 | ) | 407,174 | ||||||
Dividends and Distributions to Shareholders | |||||||||
From net investment income and net realized gain on investments | (317,616 | ) | (184,407 | ) | |||||
Total Dividends and Distributions | (317,616 | ) | (184,407 | ) | |||||
Capital Share Transactions | |||||||||
Net increase (decrease) in capital share transactions | 7,119 | (577,323 | ) | ||||||
Total Increase (Decrease) in Net Assets | (535,879 | ) | (354,556 | ) | |||||
Net Assets(a) | |||||||||
Beginning of period | 2,846,777 | 3,201,333 | |||||||
End of period . | $ | 2,310,898 | $ | 2,846,777 | |||||
Class A | Class C | Institutional | R-6 | ||||||
Capital Share Transactions: | |||||||||
Period Ended February 28, 2019 | |||||||||
Dollars: | |||||||||
Sold | $ | 11,005 | $ | 2,704 | $ 282,889 $ | 2,770 | |||
Reinvested | 21,839 | 17,579 | 259,235 | 1,167 | |||||
Redeemed | (44,895 | ) | (23,017) | (523,443) | (714 | ) | |||
Net Increase (Decrease) | $ | (12,051 | ) $ | (2,734 | ) $ | 18,681 | $ | 3,223 | |
Shares: | |||||||||
Sold | 759 | 196 | 19,247 | 169 | |||||
Reinvested | 1,697 | 1,386 | 19,993 | 90 | |||||
Redeemed | (2,999 | ) | (1,619 | ) | (35,429 | ) | (49 | ) | |
Net Increase (Decrease) | (543 | ) | (37 | ) | 3,811 | 210 | |||
Year Ended August 31, 2018 | |||||||||
Dollars: | |||||||||
Sold | $ | 31,227 | $ | 5,894 | $ 629,125 $ | 4,252 | |||
Reinvested | 11,790 | 8,201 | 134,249 | 20,721 | |||||
Redeemed | (77,617 | ) | (34,533) | (657,937) | (652,695) | ||||
Net Increase (Decrease) | $ | (34,600 | ) $ | (20,438 | ) $ | 105,437 | $ (627,722) | ||
Shares: | |||||||||
Sold | 1,810 | 345 | 36,386 | 245 | |||||
Reinvested | 689 | 484 | 7,815 | 1,206 | |||||
Redeemed | (4,516 | ) | (2,029 | ) | (38,208 | ) | (37,647 | ) | |
Net Increase (Decrease) | (2,017 | ) | (1,200 | ) | 5,993 | (36,196 | ) | ||
Distributions: | |||||||||
Year Ended February 28, 2019 | |||||||||
From net investment income and net realized gain on investments | $ | (22,991 | ) $ | (18,925) $ | (274,533) $ | (1,167 | ) | ||
Total Dividends and Distributions | $ | (22,991 | ) $ | (18,925) $ | (274,533) $ | (1,167 | ) | ||
Year Ended August 31, 2018 | |||||||||
From net investment income | $ | (2,730 | ) $ | (886 | ) $ | (36,012 | ) $ | (4,664 | ) |
From net realized gain on investments | (9,900 | ) | (8,056) | (106,102) | (16,057 | ) | |||
Total Dividends and Distributions | $ | (12,630 | ) $ | (8,942) $ | (142,114) $ | (20,721 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $23,804. |
See accompanying notes.
25
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
1. Organization
Principal Funds, Inc. (the "Fund") is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company and operates as a series fund in the mutual fund industry. The financial statements for Blue Chip Fund, DiversifiedReal Asset Fund, EDGE MidCap Fund, Global Multi-Strategy Fund, Global Opportunities Fund, International Small Company Fund, Multi-Manager Equity Long/Short Fund, Opportunistic Municipal Fund, Origin Emerging Markets Fund, Preferred Securities Fund, Real EstateDebt Income Fund and Small-MidCap Dividend Income Fund (known as the "Funds") are presented herein. The Funds may offer up to ten classes of shares: Class A, Class C, Class J, Institutional, R-1, R-2, R-3, R-4, R-5, and R-6. Information presented in these financial statements pertains to Class A and Class C shares. Certain detailed financial information for Class J, Institutional, R-1, R-2, R-3, R-4, R-5,and R-6 classes of shares is provided separately.
Each of the Funds is an investment company and applies specialized accounting and reporting under Accounting Standards CodificationTopic 946,Financial Services - Investment Companies. The Funds have not provided financial support, and are not contractually required to provide financial support to any investee.
Effective September 11, 2017, the initial purchase of $10,000 of Class J shares of Blue Chip Fund was made by the Principal GlobalInvestors, LLC (the “Manager”).
Effective September 29, 2017, Blue Chip Fund acquired all the assets and assumed all the liabilities of LargeCap Growth Fund II, a series of the Fund, pursuant to a plan of reorganization approved by shareholders September 20, 2017. The purpose of the acquisition was to combine two accounts managed by the Manager with similar investment objectives, principal policies, and risks. The acquisition was accomplished by a tax-free exchange of 68,251,000 shares from LargeCap Growth Fund II for 23,823,000 shares valued at $484,960,000 of Blue Chip Fund at an approximate exchange rate of .28, .36, .32, .30, .32, .33, .34 for Class J, Institutional, R-1, R-2, R-3, R-4 and R-5 classes of shares, respectively. LargeCap Growth Fund II R-1, R-2 and R-3 classes of shares were merged into Blue Chip Fund R-3 class of shares. The investment securities of LargeCap Growth Fund II, with a fair value of approximately $460,792,000 and a cost of $435,339,000 and$24,277,000 cash were the primary assets acquired by Blue Chip Fund on September 29, 2017. For financial reporting purposes, assetsreceived and shares issued by Blue Chip Fund were recorded at fair value; however, the cost basis of the investments received from LargeCap Growth Fund II were carried forward to align ongoing reporting of Blue Chip Fund. The aggregate net assets of LargeCap Growth Fund IIand Blue Chip Fund immediately prior to the acquisition in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”)were approximately $484,962,000 ($4,594,000 of accumulated realized gain) and $1,774,803,000 ($67,323,000 of accumulated realized gain), respectively. The aggregate net assets of Blue Chip Fund immediately following the acquisition were $2,259,765,000. In accordance with Sections 381-384 of the Internal Revenue Code, a portion of accumulated realized losses may be subject to limitation.
Assuming the acquisition had been completed on September 1, 2017, the beginning of the fiscal year for Blue Chip Fund, Blue Chip Fund’spro forma results of operations for the period ended August 31, 2018, would have been $1,499,000 of net investment income, $635,281,000 of net realized and unrealized gain on investments, and $636,780,000 of net increase in net assets resulting from operations. Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of LargeCap Growth Fund II that have been included in Blue Chip Fund’s statement of operations since September 29, 2017.
Effective August 24, 2018, Class T shares discontinued operations and were redeemed or liquidated.
Effective December 31, 2018, the initial purchase of $10,000 of Class A shares of EDGE MidCap Fund was made by the Manager.
Effective January 11, 2019, Class C shares discontinued and converted into Class A shares for Global Opportunities Fund and Opportunistic Municipal Fund All classes of shares for each of the Funds represent interests in the same portfolio of investments and will vote together as a single class except where otherwise required by law or as determined by the Fund’s Board of Directors. In addition, the Board of Directors declares separate dividends on each class of shares.
2. Significant Accounting Policies
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements andthe reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The followingsummarizes the significant accounting policies of the Funds:
26
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
2. Significant Accounting Policies (continued)
SecurityValuation.Certain of the Funds invest in Institutional Class shares of other series of Principal Funds, Inc. (the “Underlying Funds”).
Investments in the Underlying Funds are valued at the closing net asset value per share of each Underlying Fund on the day of valuation.
The Funds value securities for which market quotations are readily available at fair value, which is determined using the last reported sale price. If no sales are reported, as is regularly the case for some securities traded over-the-counter, securities are valued using the last reported bid price or an evaluated bid price provided by a pricing service. Pricing services use modeling techniques that incorporate security characteristics such as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, other yield and risk factors, and other market conditions to determine an evaluated bid price or, in the case of certain credit default swaps, a mean price provided by a pricing service. When reliable market quotations are not considered to be readily available, which may be the case, for example, with respect to restricted securities, certain debt securities, preferred stocks, and foreign securities, the investments are valued at their fair value as determined in good faith by the Manager under procedures established and periodically reviewed by the Fund’s Board of Directors.
The value of foreign securities used in computing the net asset value per share is generally determined as of the close of the foreign exchange where the security is principally traded. Events that occur after the close of the applicable foreign market or exchange but priorto the calculation of the Funds’ net asset values are reflected in the Funds’ net asset values and these securities are valued at fair value asdetermined in good faith by the Manager under procedures established and periodically reviewed by the Fund’s Board of Directors. Many factors, provided by independent pricing services, are reviewed in the course of making a good faith determination of a security’s fair value,including, but not limited to, price movements inAmerican depository receipts (“ADRs”), futures contracts, industry indices, general indices,and foreign currencies.
To the extent the Funds invest in foreign securities listed on foreign exchanges which trade on days on which the Funds do not determine netasset values, for example weekends and other customary national U.S. holidays, the Funds’ net asset values could be significantly affectedon days when shareholders cannot purchase or redeem shares.
Certain securities issued by companies in emerging market countries may have more than one quoted valuation at any given point in time,sometimes referred to as a “local” price and a “premium” price. The premium price is often a negotiated price, which may not consistently represent a price at which a specific transaction can be effected. It is the policy of the Funds to value such securities at prices at which it isexpected those shares may be sold, and the Manager or any sub-advisor is authorized to make such determinations subject to such oversight by the Fund’s Board of Directors as may occasionally be necessary.
Currency Translation.Foreign holdings are translated to U.S. dollars using the exchange rate at the daily close of the New York Stock
Exchange. The identified cost of the Funds’ holdings is translated at approximate rates prevailing when acquired. Income and expenseamounts are translated at approximate rates prevailing when received or paid, with daily accruals of such amounts reported at approximate rates prevailing at the date of valuation. Since the carrying amount of the foreign securities is determined based on the exchange rate and market values at the close of the period, it is not practicable to isolate that portion of the results of operations arising as a result of changes inthe foreign exchange rates from the fluctuations arising from changes in the market prices of securities during the period.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between trade and settlement dates on security transactions, and the difference between the amount of dividends, interest income, interest expense and foreign withholding taxes recorded on the books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies arise from changes in the exchange rate relating to assets and liabilities, other than investments in securities, purchased and held in non-U.S. denominated currencies.
The following funds held securities denominated in foreign currencies that exceeded 5% of net assets of the respective fund as of February 28, 2019 :
Diversified Real Asset Fund | Global Multi-Strategy Fund | Global Opportunities | |||||||||
Euro | 7.5 | % | Euro | 8.0 | % | Hong Kong Dollar | 7.9 | % | |||
British Pound | 6.9 | ||||||||||
Japanese Yen | 6.9 | ||||||||||
Canadian Dollar | 6.4 | ||||||||||
Euro | 6.1 |
27
Notes to Financial Statements | ||||||||||||
Principal Funds, Inc. | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
2. Significant Accounting Policies (continued) | ||||||||||||
International | Multi-Manager Equity Long/Short | |||||||||||
Small Company Fund | Fund | Origin Emerging Markets Fund | ||||||||||
Japanese Yen | 26.0 | % | Euro | 13.7 | % | Hong Kong Dollar | 38.5 | % | ||||
Euro | 22.4 | Japanese Yen | 9.0 | New Taiwan Dollar | 8.3 | |||||||
British Pound | 16.7 | Brazilian Real | 7.7 | |||||||||
Canadian Dollar | 11.4 | Thai Baht | 6.4 | |||||||||
Australian Dollar | 5.4 | |||||||||||
Small-MidCap Dividend Income Fund | ||||||||||||
Canadian Dollar | 6.0 | % |
Income and Investment Transactions.The Funds record investment transactions on a trade date basis. Trade date for senior floating rate interests purchased in the primary market is considered the date on which the loan allocations are determined. Trade date for senior floating rate interests purchased in the secondary market is the date on which the transaction is entered into. The identified cost basis has been usedin determining the net realized gain or loss from investment transactions and unrealized appreciation or depreciation of investments. The Funds record dividend income on the ex-dividend date, except dividend income from foreign securities whereby the ex-dividend date has passed; such dividends are recorded as soon as the Funds are informed of the ex-dividend date. Interest income is recognized on an accrual basis. Discounts and premiums on securities are accreted/amortized, respectively, on the level yield method over the expected lives of the respective securities. The Funds allocate all income and realized and unrealized gains or losses on a daily basis to each class of shares based upon the relative proportion of the value of shares outstanding of each class.
Expenses.Expenses directly attributed to a particular fund are charged to that fund. Other expenses not directly attributed to a particular fund are apportioned among the registered investment companies managed by the Manager.
Management fees are allocated daily to each class of shares based upon the relative proportion of the value of shares outstanding of eachclass. Expenses specifically attributable to a particular class are charged directly to such class and are included separately in the statementsof operations.
In addition to the expenses the Funds bear directly, each of the Funds may indirectly bears a pro rata share of the fees and expenses of the Underlying Funds in which they invest. Because the Underlying Funds have varied expense levels and each of the Funds may own different proportions of the Underlying Funds at different times, the amount of expense incurred indirectly by each Fund will vary. Expenses included in the statements of operations of the Funds do not include any expenses associated with the Underlying Funds.
Distributions to Shareholders.With respect to Opportunistic Municipal Fund, net investment income is declared as dividends daily to settled shares of record as of that day, and all distributions of realized gains from investment transactions are recorded on the ex-dividend date. Dividends and distributions to shareholders of the other Funds are recorded on the ex-dividend date. Dividends and distributions to shareholders from net investment income and net realized gain from investments and foreign currency transactions are determined in accordance with federal tax regulations, which may differ from U.S. GAAP. These differences are primarily due to differing treatments fornet operating losses, foreign currency transactions, inverse floating rate securities, options and futures contracts, certain defaulted securities,sales of Passive Foreign Investment Companies, losses deferred due to wash sales, tax straddles, mortgage-backed securities, certain preferredsecurities, swap agreements, short sales, partnership investments, Real Estate Investment Trusts (“REITs”), utilization of earnings and profitsdistributed to shareholders on redemption of shares, and limitations imposed by Sections 381-384 of the Internal Revenue Code. Permanentbook and tax basis differences are reclassified within the capital accounts based on federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed current and accumulated earnings and profits for federal income taxpurposes, they are reported as return of capital distributions.
Federal Income Taxes.No provision for federal income taxes is considered necessary because each of the Funds intends to qualify as a“regulated investment company” under the Internal Revenue Code and intends to distribute each year substantially all of its net investmentincome and realized capital gains to shareholders.
Management evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether itis “more likely than not” that each tax position would be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet the more likely than not threshold would be recorded as a tax benefit or expense in the currentyear. During the period ended February 28, 2019, the Funds did not record any such tax benefit or expense in the accompanying financial statements. The statute of limitations remains open for the fiscal years from 2015-2017.
28
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
2. Significant Accounting Policies (continued)
Foreign Taxes.Certain of the Funds are subject to foreign income taxes imposed by certain countries in which they invest. Foreign income taxes are accrued by the Funds as a reduction of income. These amounts are shown as withholding tax on the statements of operations. Inconsideration of recent decisions rendered by European courts, certain of the Funds have filed additional tax reclaims for taxes withheld inprior years. Due to the uncertainty and timing of these reclaims, a corresponding receivable will only be recorded when both the amount isknown and there are no significant uncertainties regarding collectability.
Basis for Consolidation.Diversified Real Asset Fund and Global Multi-Strategy Fund (the “Consolidated Funds”) may invest up to 25% of their total assets in their respective wholly-owned subsidiaries DRA Cayman Corporation and GMS Cayman Corporation (the “Cayman Subsidiaries”) each organized under the laws of the Cayman Islands. The Consolidated Funds are the sole shareholder of their respectiveCayman Subsidiaries, and shares of the Cayman Subsidiaries will not be sold or offered to other investors. To the extent that the Consolidated Funds invest in their Cayman Subsidiaries, they will be subject to the particular risks associated with the Cayman Subsidiaries investments, which are discussed in the applicable Prospectus and Statement of Additional Information. The principal purpose of investing in the Cayman Subsidiaries is to allow the Consolidated Funds to gain exposure to the commodity markets within the limitations of federal tax laws applicableto regulated investment companies. Diversified Real Asset Fund’s investment portfolio has been consolidated and includes the portfolio holdings of Diversified RealAsset Fund and its Cayman Subsidiary. Global Multi-Strategy Fund’s investment portfolio has been consolidated and includes the portfolio holdings of Global Multi-Strategy Fund and its Cayman Subsidiary. The consolidated financial statements for Diversified Real Asset Fund include the accounts of Diversified Real Asset Fund and its Cayman Subsidiary and the consolidated financialstatements for Global Multi-Strategy Fund include the accounts of Global Multi-Strategy Fund and its Cayman Subsidiary. All intercompany transactions and balances have been eliminated in consolidation. At February 28, 2019, the net assets of the Cayman Subsidiaries were as follows (amounts in thousands):
Percent of Consolidated Fund’s | ||||||
Net Assets | Net Assets | |||||
DRA Cayman Corporation | $ | 339,043 | 8.42 | % | ||
GMS Cayman Corporation | 20,134 | 1.05 |
Recent Accounting Pronouncements.Effective August 17, 2018, the U.S. Securities and Exchange Commission (“SEC”) approved a finalrule,Disclosure Update and Simplification. The SEC adopted amendments to certain disclosures that have become redundant or superseded in light of other SEC disclosure requirements, U.S. GAAP or changes in the information environment. As of February 28, 2019, the Funds have adopted the new amendments.
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2018-13Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement, which amends and eliminates certain disclosure requirements for fair value as part of its framework project. The ASU is effective for annual and interimperiods beginning after December 15, 2019. The early adoption of the removal or modification of disclosures and delay of adoption of the additional disclosures is permitted. As of February 28, 2019, the Funds have adopted the removal and modification of disclosures.
In March 2017, the Financial Accounting Standards Board issued ASU No. 2017-08Premium Amortization on Purchased Callable Debt Securities, which amends the accounting standards to shorten the amortization period of certain purchased callable debt securities to the earliest call date. The ASU is effective for annual and interim periods beginning after December 15, 2018. The Funds will adopt the new amendments for periods beginning after December 15, 2018.
3. Operating Policies
Borrowings.Pursuant to an exemptive order issued by the SEC, the Funds and other registered investment companies managed by theManager may participate in an interfund lending facility (“Facility”). The Facility allows the Funds to borrow money from or loan money tothe other participants. Loans under the Facility are made to handle unusual and/or unanticipated short-term cash requirements. Interest paid and received on borrowings is the average of the current repurchase agreement rate and the bank loan rate (the higher of (i) the Federal FundsRate or (ii) the One Month London Interbank Offered Rate (“LIBOR”) rate plus 1.00%). As ofFebruary 28, 2019, Opportunistic Municipal Fund had outstanding borrowings of $260,000. The interest income received is included in interest income on the statements of operations. The interest expense associated with these borrowings is included in other expenses on the statements of operations.
29
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
3. Operating Policies (continued)
During the period ended February 28, 2019, funds lending to the Facility were as follow (amounts in thousands):
Average Daily | Weighted Average | ||||
Amount Loaned | Annual Interest Rate | ||||
Blue Chip Fund | $ | 12 | 2.57 | % | |
Diversified Real Asset Fund | 255 | 2.98 | |||
EDGE MidCap Fund | 32 | 2.92 | |||
Global Multi-Strategy Fund | 1,176 | 2.93 | |||
Global Opportunities Fund | 13 | 2.56 | |||
Preferred Securities Fund | 77 | 2.97 | |||
Small-MidCap Dividend Income Fund | 85 | 2.78 |
During the period ended February 28, 2019, funds borrowing from the Facility were as follow (amounts in thousands):
Average Daily | Weighted Average | ||||
Outstanding Balance | Annual Interest Rate | ||||
Blue Chip Fund | $ | 1,119 | 2.85 | % | |
Global Opportunities Fund | 97 | 2.76 | |||
Opportunistic Municipal Fund | 94 | 2.90 | |||
Origin Emerging Markets Fund | 360 | 2.75 | |||
Preferred Securities Fund | 6,296 | 2.95 | |||
Real Estate Debt Income Fund | 30 | 2.88 | |||
Small-MidCap Dividend Income Fund | 1,264 | 3.04 |
In addition, the Funds (with the exception of Diversified Real Asset Fund) participate with other registered investment companies managedby the Manager in an unsecured joint line of credit with a bank which allows the participants to borrow up to $100 million, collectively. Borrowings are made solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to each participant, based on its borrowings, at a rate equal to the higher of the Federal Funds Rate or the One Month LIBOR rate plus 1.00%. Additionally, a commitment fee is charged at an annual rate of .15% on the amount of the line of credit which is allocated to each participating fund based on average net assets.
During the period ended February 28, 2019, funds borrowed against the line of credit were as follow (amount in thousands):
Average Daily | Weighted Average | ||||
Borrowing Balance | Annual Interest Rate | ||||
Diversified Real Asset Fund | $ | 6 | 3.55 | % | |
Global Multi-Strategy Fund | 67 | 3.51 | |||
Multi-Manager Equity Long/Short Fund | 75 | 2.39 | |||
Opportunistic Municipal Fund | 3 | 3.55 | |||
Preferred Securities Fund | 109 | 3.55 | |||
Real Estate Debt Income Fund | 42 | 3.43 | |||
Small-MidCap Dividend Income Fund | 90 | 3.53 |
The interest expense associated with these borrowings is included in other expenses on the statements of operations. There were no outstanding borrowings as of February 28, 2019.
Commodity Linked Notes.Diversified RealAsset Fund invests in structured notes whose market values are primarily derived from changesin the value of various commodity indices and other factors. Valuations on these securities may be volatile as the payment features on certain notes may contain attributes that multiply the effects of changes in the values of the underlying indices. Structured notes may entaila greater degree of market risk than other types of debt securities. Structured notes may also be more volatile, less liquid, and more difficultto accurately price than less complex securities or more traditional debt securities. Fluctuations in the fair value of the structured notes arerecorded as unrealized gains and losses in the accompanying financial statements. Interest income is accrued daily. These notes are subject toprepayment, credit, and interest rate risks. At maturity, or when a note is sold, the fund records a realized gain or loss.
Contingent Convertible Securities.Global Multi-Strategy Fund and Preferred Securities Fund invest in contingent convertible securities(“CoCos”). CoCos are hybrid debt securities that may convert into equity or have their principal written down upon the occurrence of certain “triggers.” Although a contingent convertible security’s equity conversion and principal write-down features are tailored to the particularissuing banking institution and its regulatory requirements, triggers are generally linked to regulatory capital thresholds or regulatory actions calling into question such institution’s continued viability as a going-concern. CoCos may have no stated maturity and fully discretionary coupons, which means coupon payments can be canceled at the issuing banking institution’s discretion or at the request of the relevant
30
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
3. Operating Policies (continued)regulatory authority without causing a default. To provide the appropriate regulatory capital treatment, CoCos are usually issued in the form of subordinated debt instruments that rank junior to the claims of holders of more senior obligations in the event of the issuer’s liquidation. If CoCos are converted into equity securities due to a trigger event, holders will be further subordinated. The future value of CoCos isunpredictable and is influenced by many factors including, without limitation: the creditworthiness of the issuer and/or fluctuations in such issuer’s applicable capital ratios; supply and demand for CoCos; general market conditions and available liquidity; and economic, financial and political events that affect the issuer, its particular market or the financial markets in general. Due to these features, CoCos may have substantially greater risk than other securities in times of financial stress. Because of the uncertainty regarding whether a conversion event will occur, it may be difficult to predict when, if at all, a contingent convertible security will be converted to equity, and a fund may sufferlosses as a result. If the trigger level is breached, the issuer’s decision to write down, write off or convert a contingent convertible security may result in the fund's complete loss on an investment in CoCos with no chance of recovery even if the issuer remains in existence.
Counterparties.The Funds may be exposed to counterparty risk, or the risk that another party with which the Funds have unsettled or open transactions will fail to perform on their commitment. To the extent that unpaid amounts owed to the Funds exceed a predetermined threshold agreed to with the counterparty, such counterparty shall advance collateral to the Funds in the form of cash or cash equivalents equal in value to the unpaid amount owed to the Funds. If the unpaid amount owed to the Funds subsequently decreases, the Funds would be required to return all or a portion of the collateral.
Master Netting Agreements may also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Agreements, collateral is routinely transferred if the total net exposure to certain transactions governedunder the relevant master netting agreement with a counterparty exceeds a specified threshold.
The financial instruments that are subject to Master Netting Agreements or similar agreements may include right of setoff provisions.
Derivative instruments include provisions to setoff positions covered under the agreements with the same counterparties and provisions to setoff positions outside of the agreements with the same counterparties in the event of default by one of the parties. Derivative instruments also include collateral provisions. Collateral received and pledged are generally settled daily with each counterparty.
Diversified Real Asset Fund, Global Multi-Strategy Fund and Multi-Manager Equity Long/Short Fund have financial instruments that aresubject to Master Netting Agreements or similar agreements.
As of February 28, 2019, financial assets and liabilities subject to Master NettingAgreements or similar agreements were as follows (amountsin thousands):
Net Market Value of OTC | Collateral (Received)/ | |||||||||||||||
Assets* | Liabilities* | Derivatives | Pledged | Net Exposure | ||||||||||||
Diversified Real Asset Fund | ||||||||||||||||
Australia and New Zealand Banking Group | ||||||||||||||||
Foreign Currency Contracts | $ | 277 | $ | — | $ | 277 | ||||||||||
$ | 277 | $ | — | $ | 277 | $ | — | $ | 277 | |||||||
Bank of America NA | ||||||||||||||||
Foreign Currency Contracts | — | (12 | ) | (12 | ) | |||||||||||
Total Return Swaps | — | (198)** | (198 | ) | ||||||||||||
$ | — | $ | (210 | ) | $ | (210 | ) | $ | 198 | ^^ | $ | (12 | ) | |||
Barclays Bank PLC | ||||||||||||||||
Foreign Currency Contracts | 3,375 | (3,623 | ) | (248 | ) | |||||||||||
Purchased Interest Rate Swaptions | 615 | — | 615 | |||||||||||||
Written Interest Rate Swaptions | — | (326 | ) | (326 | ) | |||||||||||
Written Options | — | (43 | ) | (43 | ) | |||||||||||
$ | 3,990 | $ | (3,992 | ) | $ | (2 | ) | $ | 2 | ^^ | $ | — | ||||
BNP Paribas | ||||||||||||||||
Foreign Currency Contracts | 237 | (43 | ) | 194 | ||||||||||||
$ | 237 | $ | (43 | ) | $ | 194 | $ | — | $ | 194 | ||||||
Citigroup Inc | ||||||||||||||||
Foreign Currency Contracts | 37 | (62 | ) | (25 | ) | |||||||||||
$ | 37 | $ | (62 | ) | $ | (25 | ) | $ | — | $ | (25 | ) | ||||
Deutsche Bank AG | ||||||||||||||||
Foreign Currency Contracts | 1,379 | (851 | ) | 528 | ||||||||||||
Purchased Interest Rate Swaptions | 200 | — | 200 | |||||||||||||
Written Interest Rate Swaptions | — | (671 | ) | (671 | ) | |||||||||||
Written Options | — | (1 | ) | (1 | ) | |||||||||||
$ | 1,579 | $ | (1,523 | ) | $ | 56 | $ | (56 | )^ | $ | — |
31
Notes to Financial Statements | ||||||||||||||||||
Principal Funds, Inc. | ||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||
3. Operating Policies (continued) | ||||||||||||||||||
Net Market Value of OTC | Collateral (Received)/ | |||||||||||||||||
Assets* | Liabilities* | Derivatives | Pledged | Net Exposure | ||||||||||||||
Diversified Real Asset Fund (continued) | ||||||||||||||||||
Goldman Sachs & Co | ||||||||||||||||||
Foreign Currency Contracts | $ | 21 | $ | (44 | ) | $ | (23 | ) | ||||||||||
$ | 21 | $ | (44 | ) | $ | (23 | ) | $ | — | $ | (23 | ) | ||||||
HSBC Securities Inc | ||||||||||||||||||
Foreign Currency Contracts | 107 | (107 | ) | — | ||||||||||||||
$ | 107 | $ | (107 | ) | $ | — | $ | — | $ | — | ||||||||
JPMorgan Chase | ||||||||||||||||||
Foreign Currency Contracts | 4,164 | (5,756 | ) | (1,592 | ) | |||||||||||||
Purchased Interest Rate Swaptions | 271 | — | 271 | |||||||||||||||
Written Interest Rate Swaptions | — | (44 | ) | (44 | ) | |||||||||||||
Written Options | — | (176 | ) | (176 | ) | |||||||||||||
$ | 4,435 | $ | (5,976 | ) | $ | (1,541 | ) | $ | 1,380 | ^^ | $ | (161 | ) | |||||
M3 Capital Partners | ||||||||||||||||||
Total Return Swaps | — | (439)** | (439 | ) | ||||||||||||||
$ | — | $ | (439 | ) | $ | (439 | ) | $ | — | $ | (439 | ) | ||||||
Merrill Lynch | ||||||||||||||||||
Total Return Swaps | 17 | ** | — | 17 | ||||||||||||||
$ | 17 | $ | — | $ | 17 | $ | — | $ | 17 | |||||||||
Morgan Stanley & Co | ||||||||||||||||||
Purchased Interest Rate Swaptions | 623 | — | 623 | |||||||||||||||
Written Interest Rate Swaptions | — | (240 | ) | (240 | ) | |||||||||||||
$ | 623 | $ | (240 | ) | $ | 383 | $ | (190 | )^ | $ | 193 | |||||||
Nomura Securities | ||||||||||||||||||
Foreign Currency Contracts | 1 | — | 1 | |||||||||||||||
$ | 1 | $ | — | $ | 1 | $ | — | $ | 1 | |||||||||
Royal Bank of Scotland | ||||||||||||||||||
Foreign Currency Contracts | 9 | (22 | ) | (13 | ) | |||||||||||||
$ | 9 | $ | (22 | ) | $ | (13 | ) | $ | — | $ | (13 | ) | ||||||
SocieteGenerele | ||||||||||||||||||
Total Return Swaps | — | (462)** | (462 | ) | ||||||||||||||
$ | — | $ | (462 | ) | $ | (462 | ) | $ | 462 | ^^ | $ | — | ||||||
Toronto Dominion Bank | ||||||||||||||||||
Foreign Currency Contracts | 284 | — | 284 | |||||||||||||||
$ | 284 | $ | — | $ | 284 | $ | — | $ | 284 | |||||||||
Westpac Banking Corporation | ||||||||||||||||||
Foreign Currency Contracts | — | — | — | |||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | |||||||||
Total OTC | $ | 11,617 | $ | (13,120 | ) | $ | (1,503 | ) | $ | 1,503 | ^^ | $ | — | |||||
Global Multi-Strategy Fund | ||||||||||||||||||
Bank of America NA | ||||||||||||||||||
Credit Default Swaps | 37 | — | 37 | |||||||||||||||
Equity Basket Swaps | 28 | — | 28 | |||||||||||||||
Foreign Currency Contracts | 3,877 | (7,349 | ) | (3,472 | ) | |||||||||||||
Interest Rate Swaps | 314 | (301 | ) | 13 | ||||||||||||||
Purchased Interest Rate Swaptions | 282 | — | 282 | |||||||||||||||
Purchased Options | 115 | — | 115 | |||||||||||||||
Synthetic Futures | 187 | (212 | ) | (25 | ) | |||||||||||||
Written Options | — | (31 | ) | (31 | ) | |||||||||||||
$ | 4,840 | $ | (7,893 | ) | $ | (3,053 | ) | $ | 3,053 | ^^ | $ | — | ||||||
Bank of New York Mellon | ||||||||||||||||||
Foreign Currency Contracts | 4,162 | (1,609 | ) | 2,553 | ||||||||||||||
$ | 4,162 | $ | (1,609 | ) | $ | 2,553 | $ | — | $ | 2,553 | ||||||||
Barclays Bank PLC | ||||||||||||||||||
Credit Default Swaps | — | (223 | ) | (223 | ) | |||||||||||||
Foreign Currency Contracts | 3,182 | (4,556 | ) | (1,374 | ) | |||||||||||||
Interest Rate Swaps | 10 | (202 | ) | (192 | ) | |||||||||||||
Purchased Options | 418 | — | 418 | |||||||||||||||
Written Options | — | (213 | ) | (213 | ) | |||||||||||||
$ | 3,610 | $ | (5,194 | ) | $ | (1,584 | ) | $ | 1,014 | ^^ | $ | (570 | ) | |||||
BNP Paribas | ||||||||||||||||||
Purchased Options | 16 | — | 16 | |||||||||||||||
Written Options | — | (76 | ) | (76 | ) | |||||||||||||
$ | 16 | $ | (76 | ) | $ | (60 | ) | $ | — | $ | (60 | ) |
32
Notes to Financial Statements | ||||||||||||||||
Principal Funds, Inc. | ||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||
3. Operating Policies (continued) | ||||||||||||||||
Net Market Value of OTC | Collateral (Received)/ | |||||||||||||||
Assets* | Liabilities* | Derivatives | Pledged | Net Exposure | ||||||||||||
Global Multi-Strategy Fund (continued) | ||||||||||||||||
Citigroup Inc | ||||||||||||||||
Foreign Currency Contracts | $ | 3,489 | $ | (3,388 | ) | $ | 101 | |||||||||
Purchased Options | 310 | — | 310 | |||||||||||||
Synthetic Futures | 103 | ** | (141)** | (38 | ) | |||||||||||
Written Options | — | (20 | ) | (20 | ) | |||||||||||
$ | 3,902 | $ | (3,549 | ) | $ | 353 | $ — | $ | 353 | |||||||
Credit Agricole Co | ||||||||||||||||
Purchased Options | 47 | — | 47 | |||||||||||||
$ | 47 | $ | — | $ | 47 | $ — | $ | 47 | ||||||||
Credit Suisse | ||||||||||||||||
Foreign Currency Contracts | — | (9 | ) | (9 | ) | |||||||||||
$ | — | $ | (9 | ) | $ | (9 | ) | $ — | $ | (9 | ) | |||||
Deutsche Bank AG | ||||||||||||||||
Equity Basket Swaps | 575 | (1,252 | ) | (677 | ) | |||||||||||
Foreign Currency Contracts | 47 | (9 | ) | 38 | ||||||||||||
$ | 622 | $ | (1,261 | ) | $ | (639 | ) | $639^^ | $ | — | ||||||
Goldman Sachs & Co | ||||||||||||||||
Credit Default Swaps | 2,398 | (1,034 | ) | 1,364 | ||||||||||||
Equity Basket Swaps | 359 | (98 | ) | 261 | ||||||||||||
Foreign Currency Contracts | 5 | (18 | ) | (13 | ) | |||||||||||
Purchased Options | 349 | — | 349 | |||||||||||||
Total Return Swaps | 74 | (44 | ) | 30 | ||||||||||||
Written Options | — | (460 | ) | (460 | ) | |||||||||||
$ | 3,185 | $ | (1,654 | ) | $ | 1,531 | $ — | $ | 1,531 | |||||||
HSBC Securities Inc | ||||||||||||||||
Credit Default Swaps | 421 | (12 | ) | 409 | ||||||||||||
Foreign Currency Contracts | 65 | (77 | ) | (12 | ) | |||||||||||
Purchased Options | 47 | — | 47 | |||||||||||||
Total Return Swaps | 652 | — | 652 | |||||||||||||
Written Options | — | (76 | ) | (76 | ) | |||||||||||
$ | 1,185 | $ | (165 | ) | $ | 1,020 | $ — | $ | 1,020 | |||||||
JPMorgan Chase | ||||||||||||||||
Credit Default Swaps | — | (74 | ) | (74 | ) | |||||||||||
Equity Basket Swaps | 55 | (13 | ) | 42 | ||||||||||||
Foreign Currency Contracts | 5 | — | 5 | |||||||||||||
Purchased Options | 361 | — | 361 | |||||||||||||
$ | 421 | $ | (87 | ) | $ | 334 | $ — | $ | 334 | |||||||
M3 Capital Partners | ||||||||||||||||
Purchased Options | 120 | — | 120 | |||||||||||||
Written Options | — | (122 | ) | (122 | ) | |||||||||||
$ | 120 | $ | (122 | ) | $ | (2 | ) | $ — | $ | (2 | ) | |||||
Merrill Lynch | ||||||||||||||||
Credit Default Swaps | — | (20 | ) | (20 | ) | |||||||||||
Currency Swaps | — | (43 | ) | (43 | ) | |||||||||||
Foreign Currency Contracts | 3 | (21 | ) | (18 | ) | |||||||||||
Interest Rate Swaps | — | (37 | ) | (37 | ) | |||||||||||
Synthetic Futures | 134 | ** | (81)** | 53 | ||||||||||||
Written Options | — | (60 | ) | (60 | ) | |||||||||||
$ | 137 | $ | (262 | ) | $ | (125 | ) | $ — | $ | (125 | ) | |||||
Morgan Stanley & Co | ||||||||||||||||
Credit Default Swaps | 244 | (26 | ) | 218 | ||||||||||||
Equity Basket Swaps | 2,009 | (4,003 | ) | (1,994 | ) | |||||||||||
Foreign Currency Contracts | 127 | (27 | ) | 100 | ||||||||||||
Purchased Options | 188 | — | 188 | |||||||||||||
Synthetic Futures | 14 | (7 | ) | 7 | ||||||||||||
Total Return Swaps | 30 | (26 | ) | 4 | ||||||||||||
Written Options | — | (225 | ) | (225 | ) | |||||||||||
$ | 2,612 | $ | (4,314 | ) | $ | (1,702 | ) | $1,702^^ | $ | — | ||||||
Nomura Securities | ||||||||||||||||
Written Options | — | (24 | ) | (24 | ) | |||||||||||
$ | — | $ | (24 | ) | $ | (24 | ) | $ — | $ | (24 | ) | |||||
Standard Chartered Hong Kong | ||||||||||||||||
Purchased Options | 210 | — | 210 | |||||||||||||
Written Options | — | (169 | ) | (169 | ) | |||||||||||
$ | 210 | $ | (169 | ) | $ | 41 | $ — | $ | 41 |
33
Notes to Financial Statements | |||||||||||||||||
Principal Funds, Inc. | |||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||
3. Operating Policies (continued) | |||||||||||||||||
Net Market Value of OTC | Collateral (Received)/ | ||||||||||||||||
Assets* | Liabilities* | Derivatives | Pledged | Net Exposure | |||||||||||||
Global Multi-Strategy Fund (continued) | |||||||||||||||||
State Street Financial Global Markets | |||||||||||||||||
Foreign Currency Contracts | $ | — | $ | (49 | ) | $ | (49 | ) | |||||||||
$ | — | $ | (49 | ) | $ | (49 | ) | $ | — | $ | (49 | ) | |||||
UBS AG | |||||||||||||||||
Equity Basket Swaps | 187 | (21 | ) | 166 | |||||||||||||
Foreign Currency Contracts | 6 | (29 | ) | (23 | ) | ||||||||||||
Written Options | — | (136 | ) | (136 | ) | ||||||||||||
$ | 193 | $ | (186 | ) | $ | 7 | $ | — | $ | 7 | |||||||
Total OTC | $ | 25,262 | $ | (26,623 | ) | $ | (1,361 | ) | $ | 1,361 | ^^ | $ | — | ||||
Multi-Manager Equity Long/Short Fund | |||||||||||||||||
Bank of New York Mellon | |||||||||||||||||
Foreign Currency Contracts | 16 | — | 16 | ||||||||||||||
$ | 16 | $ | — | $ | 16 | $ | — | $ | 16 | ||||||||
Citigroup Inc | |||||||||||||||||
Foreign Currency Contracts | 86 | (82 | ) | 4 | |||||||||||||
$ | 86 | $ | (82 | ) | $ | 4 | $ | — | $ | 4 | |||||||
Deutsche Bank AG | |||||||||||||||||
Equity Basket Swaps | — | (156 | ) | (156 | ) | ||||||||||||
$ | — | $ | (156 | ) | $ | (156 | ) | $ | 156 | ^^ | $ | — | |||||
JPMorgan Chase | |||||||||||||||||
Foreign Currency Contracts | 125 | (119 | ) | 6 | |||||||||||||
$ | 125 | $ | (119 | ) | $ | 6 | $ | — | $ | 6 | |||||||
Merrill Lynch | |||||||||||||||||
Total Return Swaps | 8 | — | 8 | ||||||||||||||
$ | 8 | $ | — | $ | 8 | $ | — | $ | 8 | ||||||||
Morgan Stanley & Co | |||||||||||||||||
Equity Basket Swaps | 1,496 | (442 | ) | 1,054 | |||||||||||||
Foreign Currency Contracts | 8,178 | (4,987 | ) | 3,191 | |||||||||||||
Synthetic Futures | 10 | — | 10 | ||||||||||||||
Total Return Swaps | — | (3 | ) | (3 | ) | ||||||||||||
$ | 9,684 | $ | (5,432 | ) | $ | 4,252 | $ | — | $ | 4,252 | |||||||
Total OTC | $ | 9,919 | $ | (5,789 | ) | $ | 4,130 | $ | — | $ | 4,130 |
* | Represents amount of offsetting derivative assets or liabilities that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative assets or liabilities for presentation on the Statement of Assets and Liabilities. |
** | Contains derivatives owned by the Cayman Subsidiary. |
^ | The counterparty has pledged cash or securities to the fund as collateral in a segregated account which is not included in the assets of the fund. |
^^ | The fund has pledged securities or cash to the counterparty as collateral which may be in excess of the amount owed to the counterparty. |
Financial Derivative Instrument: Repurchase Agreements and Reverse Repurchase Agreements | |||||||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||||||
Repurchase Agreement | Payable for Reverse | Collateral | |||||||||||||||||
Counterparty | Proceeds to be Received | Repurchase Agreements | Net Receivable/(Payable) | (Received)/Pledged | Net Exposure | ||||||||||||||
Barclays Bank | $ | 6,454 | $ | (5,502 | ) | $ | 952 | $ | (819 | ) | $ | 133 | |||||||
Merrill Lynch | 223,548 | (447,062 | ) | (223,514 | ) | 195,748 | (27,766 | ) |
Deposits with Counterparty.Cash pledged as collateral is reflected as an asset on the statements of assets and liabilities as deposits withcounterparty. There are a variety of security types which require varying levels of pledged collateral. Customer account agreements govern cleared derivatives transactions such as futures contracts and certain swap agreements. Such transactions require posting of initial marginas determined by each relevant clearing agency which is segregated in an account at a futures commission merchant (“FCM”) registered with the Commodity Futures Trading Commission. International Swaps and Derivatives Association (“ISDA”) accounts are maintained in a segregated account at the custodian for OTC Derivatives. Master Securities Forward Transaction Agreements (“MSFTA”) accounts are also maintained in a segregated account at the custodian for collateral related to forward currency contracts and “to-be-announced” (“TBA”)securities. Certain of the Funds may pledge cash to a broker for securities sold short and repurchase agreements.
34
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
3. Operating Policies (continued)
For period ended February 28, 2019, deposits with counterparty were as follows (amounts in thousands):
FCM (Futures | ISDA (OTC | Total Deposits with | |||||||||||||
Repurchase Agreements | and Cleared Swaps) | Shorts | Derivatives) | Counterparty | |||||||||||
Diversified Real Asset Fund | $ | — | $ | 2,668 | $ | — | $ | 10,891 | $ | 13,559 | |||||
Global Multi-Strategy Fund | 4,803 | 26,325 | 245,132 | 87,055 | 363,315 | ||||||||||
Multi-Manager Equity Long/Short | |||||||||||||||
Fund | — | 4,011 | 71,007 | 12,070 | 87,088 | ||||||||||
Preferred Securities Fund | — | 2,002 | — | — | 2,002 |
Deposits from Counterparty.Cash received from a counterparty as collateral is reflected as a liability on the statements of assets andliabilities as deposits from counterparty. There are a variety of security types which require varying levels of pledged collateral. The collateral posted to the Funds by the broker is received in the fund’s custodian account.
As of February 28, 2019, deposits from counterparty were as follows (amounts in thousands):
Total Deposits from | ||||||
ISDA (OTC Derivatives) | Counterparty | |||||
Diversified Real Asset Fund | $ | 1,190 | $ | 1,190 | ||
Global Multi-Strategy Fund | 319 | 319 | ||||
Multi-Manager Equity Long/Short | ||||||
Fund | 760 | 760 |
Floating Rate Notes Issued in Conjunction with Securities Held.Opportunistic Municipal Fund has entered into transactions in which thefund transfers fixed rate bonds to trusts in exchange for cash and residual interests in the trusts’ assets and cash flows, which are in the form of inverse floating rate securities. The trusts finance the purchases of the fixed rate bonds by issuing floating rate notes to third parties. Thefund enters into shortfall and forbearance agreements with the trusts, which commit the fund to pay the trusts, in certain circumstances, thedifference between the liquidation value of the fixed rate bonds held by the trusts and the liquidation value of the floating rate notes held by third parties, as well as any shortfalls in interest cash flows. The residual interests held by the fund (inverse floating rate securities) include the right of the fund (1) to cause the holders of the floating rate notes to tender their notes at par at the next interest rate reset date, and (2) to transfer the fixed rate bond from the trusts to the fund, thereby collapsing the trusts. The fund accounts for the transfer of bonds to the trusts as secured borrowings, with the securities transferred remaining in the fund’s investment assets, and the related floating rate notes reflected as fund liabilities under the caption “floating rate notes issued” in the statements of assets and liabilities. The fund holds the “floating rate notes issued” in which the carrying value, including accrued interest, approximates fair value for financial statement purposes. As of period end, the “floating rate notes issued” payable is categorized as Level 2 within the disclosure hierarchy. The balance of the floating rate notesissued as of February 28, 2019 was $5,428,000. The average outstanding balance for the liability during the period ended February 28, 2019 was $6,521,000 at a weighted average annual interest rate of 2.30%. The notes issued by the trusts have interest rates that reset weekly, andthe floating rate note holders have the option to tender their notes to the trusts for redemption at par at each reset date.
Foreign Currency Contracts.Certain of the Funds may be subject to foreign currency exchange rate risk in the normal course of pursuing such Funds’ investment objectives. The Funds may use foreign currency contracts to gain exposure to, or hedge against changes in the valueof foreign currencies. Certain of the Funds enter into forward contracts to purchase and sell foreign currencies at a specified future date at a fixed exchange rate. Forward foreign currency contracts are valued at the forward rate, and are marked-to-market daily. The change in fairvalue is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of forward foreign currency contracts does not eliminate the fluctuations in underlying prices of the Funds’ portfolio securities, butit does establish a rate of exchange that can be achieved in the future. Although forward foreign currency contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, the Funds could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts or if the value of the currency changes unfavorably to the U.S. dollar.
Futures Contracts.The Funds are subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may enter into futures contracts to hedge against changes in or to gain exposure to, changein the value of equities, interest rates and foreign currencies. Initial margin deposits are made by cash deposits or segregation of specificsecurities as may be required by the exchange on which the transaction was conducted. Pursuant to the contracts, a fund agrees to receivefrom or pay to the broker, an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the fund as a variation margin receivable or payable on financial derivative instruments. Futures
35
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
3. Operating Policies (continued)contracts are marked to market daily at the closing settlement price or in the absence of such a price, the most recent quoted bid price. If there are no quotations available, the security is valued at the last available closing settlement price. During the period the futures contracts are open, daily changes in the fair value of the contracts are recognized as unrealized gains or losses. These unrealized gains or losses are included as a component of total distributable earnings (accumulated loss) on the statements of assets and liabilities. When the contracts are closed, the fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the fund’s cost basis in the contract. There is minimal counterparty credit risk to the Funds because futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
Illiquid Securities.Illiquid securities generally cannot be sold or disposed of in the ordinary course of business (within seven calendar days) at approximately the value at which each of the Funds has valued the investments. This may have an adverse effect on each of the Funds’ ability to dispose of particular illiquid securities at fair value and may limit each of the Funds’ ability to obtain accurate market quotations for purposes of valuing the securities.
Indemnification.Under the Fund’s by-laws, present and past officers, directors, and employees are indemnified against certain liabilitiesarising out of the performance of their duties. In addition, in the normal course of business, the Fund may enter into a variety of contractsthat may contain representations and warranties which provide general indemnifications. The Fund’s maximum exposure under thesearrangements is unknown, as this would involve future claims that may be made against the Fund.
Inflation-Indexed Bonds.Certain of the Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income onthe statements of operations, even though the Funds would not receive the principal until maturity.
Options Contracts.During the period, Diversified Real Asset Fund, Global Multi-Strategy Fund, and Preferred Securities Fund wrotecall and put options on swaps, securities, indices and currencies they own or in which they may invest for both hedging and non-hedging purposes. Writing put options tends to increase a fund’s exposure to the underlying instrument. Writing call options tends to decrease a fund’s exposure to the underlying instrument. When a fund writes a call or put option, an amount equal to the premium received is recordedas a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as optionscontracts written on the statements of assets and liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying swap, security, index or currency transaction to determine the realized gain or loss. A fund, as a writer of an option, has no control over whether the underlying swap, security, index or currency may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the swap, security, index or currency underlying the written option. There is the risk a fund may not be able to enter into a closing transaction because of an illiquid market. The maximum potential amount of future payments (undiscounted) that a fund as a writer of put options could be required to make is equal to the notional amount multiplied by the exercise price as shown in the Schedule of Investments. A fund may also purchase put and call options. Purchasing call options tends to increase a fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a fund’s exposure to the underlying instrument. A fund pays a premiumwhich is included on the fund’s statements of assets and liabilities as an investment and subsequently marked to market to reflect the currentvalue of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying swap, security, index or currency transaction to determine the realized gain or loss. Details of options contracts open at period end are included in the funds' schedules of investments.
Rebates.Subject to best execution, the Funds may direct certain portfolio transactions to brokerage firms that, in turn, have agreed to rebatea portion of the related brokerage commission to the Funds in cash. Commission rebates are included as a component of realized gain from investment transactions in the statements of operations.
Repurchase Agreements.The Funds may invest in repurchase agreements that are fully collateralized, typically by U.S. government or U.S. government agency securities. It is the Funds’ policy that the counterparties’ custodian takes possession of the underlying collateral securities. The fair value of the collateral is at all times at least equal to the total amount of the repurchase obligation. In the event of default on the obligation to repurchase, the Funds have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event the seller of a repurchase agreement defaults, the Funds could experience delays in the realization of the collateral.
In addition, Global Multi-Strategy Fund may enter into repurchase agreements with certain counterparties that are collateralized by assets other than U.S. government or U.S. government agency securities. The collateral pledged by the counterparty under these repurchase
36
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
3. Operating Policies (continued)agreements is maintained in a segregated account at the counterparty’s custodian. After entering into the repurchase agreement, the fund may sell short the security pledged by the counterparty as collateral in anticipation of a decline in market value. Upon the settlement of the short sale, the fund will unwind the repurchase agreement.
Although the repurchase agreements are typically open-ended through the maturity date of the collateral, the fund has a right to terminate the repurchase agreement at any time with two days’ notice. During periods of high demand for the collateral security, the fund may also pay the counterparty a fee and the amount is recorded as interest expense on the statements of operations.
Global Master Repurchase Agreements govern the repurchase and reverse repurchase transactions between the fund and the counterparty. Collateral requirements for certain counterparties may be determined on a total exposure basis, rather than on an individual repurchase agreement or reverse repurchase agreement basis in order to determine the collateral to be received or pledged.
Restricted Securities.Certain of the Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of thesesecurities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult.
Reverse RepurchaseAgreements.Global Multi-Strategy Fund has entered into reverse repurchase agreements. Under a reverse repurchaseagreement, a fund sells securities and agrees to repurchase them at a specified date and price. Reverse repurchase agreements are considered tobe borrowings by the fund, and are subject to the fund’s restrictions on borrowing. Reverse repurchase agreements may increase the volatility of a fund and involve the risk that interest costs on money borrowed may exceed the return on securities purchased with the borrowed money. While a reverse repurchase agreement is outstanding, the Fund will maintain cash or appropriate liquid assets to cover its obligation under the agreement. The Fund will enter into reverse repurchase agreements only with parties that the sub-advisor deems creditworthy. The fund must segregate assets in an amount equal to the amount the fund owes pursuant to the terms of the reverse repurchase agreements. Reverse repurchase agreements are shown as a separate line item on the statements of assets and liabilities. Interest payments made are shown as reverse repurchase agreement interest expense on the statements of operations. The fund holds reverse repurchase agreements in which thecarrying value, including accrued interest, approximates fair value for financial statement purposes. As of period end, the reverse repurchaseagreements payable is categorized as Level 2 within the disclosure hierarchy. The average amount of borrowings outstanding during the period ended February 28, 2019 was $286,828,000 at a weighted average interest rate of 2.154%. The following table shows a breakdown of the obligations owed by fund, security type sold and remaining maturity for the reverse repurchase agreements.
Remaining | Payable for Reverse | |||
Fund | Security Type | Contractual Tenor | Repurchase Agreement | |
Global Multi-Strategy Fund | U.S. Treasury and Agency Securities | Overnight and Continuous | $ | 400,226 |
Global Multi-Strategy Fund | Foreign Corporate Bond | Greater than 90 Days | 52,338 | |
Gross amount of recognized liabilities for reverse repurchase agreements | $ | 452,564 |
Senior Floating Rate Interests.The Funds may invest in senior floating rate interests (bank loans). Senior floating rate interests typically hold the most senior position in the capital structure of a business entity (the “Borrower”), are secured by specific collateral and have a claimon the assets and/or stock of the Borrower that is senior to that held by subordinated debtholders and stockholders of the Borrower. Seniorfloating rate interests are typically structured and administered by a financial institution that acts as the agent of the lenders participating in the senior floating rate interest. Borrowers of senior floating rate interests are typically rated below-investment-grade, which means theyare more likely to default than investment-grade loans. A default could lead to non-payment of income which would result in a reduction of income to the fund and there can be no assurance that the liquidation of any collateral would satisfy the Borrower’s obligation in the event of non-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated.
Senior floating rate interests pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These baselending rates are generally the prime rate offered by a designated U.S. bank or LIBOR rate.
Senior floating rate interests generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for the Borrower to repay, prepayments of senior floating rate interests may occur. As a result, the actual remaining maturity of senior floating rate interests may be substantially less than stated maturities shownin the schedules of investments.
In connection with the senior floating rate interests, the Funds may also enter into unfunded loan commitments (“commitments”). All or aportion of the commitments may be unfunded. The Funds are obligated to fund these commitments at the Borrower’s discretion. Therefore,the Funds must have funds sufficient to cover its contractual obligation. Commitments are marked to market daily and the unrealized gain or
37
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
3. Operating Policies (continued)loss is shown as a separate line item called unrealized gain or loss on commitments on the statements of assets and liabilities as applicable. As of February 28, 2019, the commitments were as follows (amounts in thousands):
Unfunded Loan Commitment | Unrealized gain/loss | |||
Diversified Real Asset Fund | $ | 179 | $ | 1 |
Global Multi-Strategy Fund | 113 | 1 |
Short Sales.Global Multi-Strategy Fund and Multi-Manager Equity Long/Short Fund entered into short sales transactions during the period. A short sale is a transaction in which a fund sells a security it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market price of the security. The fund must borrow the security sold short and deliver it to the broker dealerwhich made the short sale. A security sold in a short sale transaction and the interest or dividend payable on the security if any, is reflected asa liability on the statements of assets and liabilities. The fund is obligated to pay any interest or dividends received on the borrowed securities. Interest accrued and dividends declared on short positions are recorded as an expense and, if any, appear as dividends and interest on shorts on the statements of operations. A fund is obligated to deliver the security at the market price at the time the short position is closed. Possible losses from short sales may be unlimited.
The fund is required to pledge cash or securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with the broker for collateral is included in deposits with counterparty on the statements of assets and liabilities and securities segregated as collateral are footnoted in the schedule of investments.
The fund may pay broker’s fees on the borrowed securities and may also pay a financing charge for the difference in the market value ofthe short position and cash collateral deposited with the broker. These fees are included as short sale fees on the statements of operations.
Swap Agreements.Diversified Real Asset Fund, Global Multi-Strategy Fund, and Multi-Manager Equity Long/Short Fund invested inswap agreements during the period. Swap agreements are negotiated agreements between a fund and a counterparty to exchange a seriesof cash flows at specified intervals based upon, or calculated by reference to, changes in specified prices or rates for a specified amount ofan underlying asset. A fund may enter into credit default, currency, interest rate, or total return swap agreements to manage its exposure tocredit, currency, interest rate, or market risk. In connection with these agreements, securities may be identified as collateral in accordancewith the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Swap agreements are valued through a pricing service or using procedures established and periodically reviewed by the Fund’s Board of Directors; changes in value are recorded as unrealized gain or loss. These unrealized gains or losses are included as a component of total distributable earnings (accumulated loss) of investments on the statements of assets and liabilities.
Upon termination of swap agreements, the Funds recognize a realized gain or loss. Net periodic payments to be received or paid are accrued daily and are recorded in the statements of operations as realized gains or losses.
Payments received or made at the beginning of the measurement period are reflected as such on the statements of assets and liabilities andrepresent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, interest rates, and other relevant factors). These upfront payments are amortized daily over the term of the swap agreement as realized gains or losses on the statements of operations.
Notional principal amounts are used to express the extent of involvement in these agreements. Risks may exceed amounts shown on the statements of assets and liabilities. These risks include changes in the returns of the underlying instruments, unfavorable interest ratefluctuation, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractualterms in the agreements, and the possible lack of liquidity with respect to the swap agreements.
The Funds and any counterparty are required to maintain an agreement that requires the Funds and that counterparty to monitor the net fair value of all derivative transactions entered into pursuant to the contract between the Funds and such counterparty. If the net fair value ofsuch derivatives transactions between the Funds and that counterparty exceeds a certain threshold (as defined in the agreement), the Funds or the counterparty are required to post cash and/or securities as collateral. Fair values of derivatives transactions presented in the financialstatements are not netted with the fair values of other derivatives transactions or with any collateral amounts posted by the Funds or any counterparty.
Credit default swaps involve commitments to pay a fixed rate at a predetermined frequency in exchange for a lump sum payment if a “credit event”, as defined in the agreement, affecting a third party occurs. Credit events may include a failure to pay interest, bankruptcy, restructuring, or other event as defined in the agreement. A “buyer” of credit protection agrees to pay a counterparty to assume the credit risk
38
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
3. Operating Policies (continued)of an issuer upon the occurrence of a credit event. The “seller” of the protection receives periodic payments and agrees to assume the creditrisk of an issuer upon the occurrence of a credit event. As the seller of credit protection, a fund would add leverage to its portfolio because, in addition to its total net assets, a fund would be subject to investment exposure on the notional amount of the swap.
If a fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the fund will either(i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprisingthe referenced index. If a fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement,a fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right toreceive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entitiescomprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Creditindices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index creditdefault swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Credit default swap agreements on corporate issues or sovereign issues involve one party making a stream of payments to another party inexchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver otherobligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). The Funds may use credit default swaps on corporate issues or sovereign issues of an emerging country to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where the Funds own or have exposure to the referenced obligation).
For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk ofdefault or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that a fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of February 28, 2019 for which a fund is the seller of protection are disclosed in the footnotes to the schedules of investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a fund for the same referenced entity or entities.
Synthetic futures, which are total return swaps on futures contracts, along with equity basket swaps generally, involve the commitment toreceive positive returns or pay negative returns on a specified reference security, basket of securities, security index or index component,without actually owning the underlying position.
Currency swap agreements involve the commitment to exchange cash flows on a notional amount based on changes in the relative values of the specified currencies.
Interest rate swaps involve the commitment to exchange fixed or floating rate cash flows based on changes in the value of a specific referencerate.
39
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
3. Operating Policies (continued)
Certain collateral amounts relate to exchange cleared swaps which are not subject to master netting agreements with counterparties.
To BeAnnounced Securities.The Funds may trade portfolio securities on a TBA or when-issued basis. In a TBA or when-issued transaction,the Funds commit to purchase or sell securities for which all specific information is not known at the time of the trade. Securities purchasedon a TBA or when-issued basis are not settled until they are delivered to the Funds, normally 15 to 30 days later. These transactions aresubject to market fluctuations and their current value is determined in the same manner as for other portfolio securities.
Underlying Funds.An Underlying Fund to a fund of funds may experience relatively large redemptions or purchases as the fund of funds periodically reallocates or rebalances its assets. These transactions may accelerate the realization of taxable income if sales of portfoliosecurities result in gains and could increase transaction costs. In addition, when a fund of funds reallocates or redeems significant assets awayfrom an Underlying Fund, the loss of assets to the Underlying Fund could result in increased expense ratios for that fund.
The Manager is the advisor to the Fund, Principal Variable Contract Funds, Inc. and some of the Underlying Funds. Principal Real Estate Investors, LLC serves as sub-advisor to some of the Underlying Funds. The Manager is committed to minimizing the potential impact of Underlying Fund risk on Underlying Funds to the extent consistent with pursuing the investment objectives of the fund of funds which itmanages. Each may face conflicts of interest in fulfilling its responsibilities to all such funds.
As of February 28, 2019, series of the Fund and Principal Variable Contracts Funds, Inc. owned the following percentages, in the aggregate, of the outstanding shares of the Funds listed below:
Total Percentage of | |||
Fund | Outstanding Shares Owned | ||
Blue Chip Fund | 60.95 | % | |
Diversified Real Asset Fund | 15.03 | ||
EDGE MidCap Fund | 97.05 | ||
Global Multi-Strategy Fund | 47.27 | ||
International Small Company Fund | 89.65 | ||
Multi-Manager Equity Long/Short Fund | 29.44 | ||
Origin Emerging Markets Fund | 59.01 | ||
Preferred Securities Fund | 7.88 | ||
Real Estate Debt Income Fund | 92.70 |
U.S. Government Agencies or Government-Sponsored Enterprises.Certain of the Funds may invest in U.S. Government agencies or government-sponsored enterprises. U.S. Government securities are obligations of, and in certain cases, guaranteed by, the U.S. Government or its agencies. The U.S. Government does not guarantee the net asset value of the Funds’ shares. Some U.S. Government securities such astreasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association (“GNMA”) are supported bythe full faith and credit of the U.S. Government. Other securities, such as those of the Federal Home Loan Bank are supported by the right of the issuer to borrow from the U.S. Department of the Treasury. Still other securities, such as those of the Federal National MortgageAssociation (“FNMA”) are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations.Government related guarantors (those not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal HomeLoan Mortgage Corporation (“FHLMC”). The FNMA is a government sponsored corporation, the common stock of which is owned entirelyby private stockholders. The FNMA purchases conventional residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks, credit unions, and mortgage bankers. Pass-through securities issued by the FNMA are guaranteed as to the timely payment of principal and interest by the FNMA, but are not backedby the full faith and credit of the U.S. Government. The FHLMC issues Participation Certificates which are pass-through securities, eachrepresenting an undivided interest in a pool of residential mortgages. The FHLMC guarantees the timely payment of interest and ultimatecollection of principal, but Participation Certificates are not backed by the full faith and credit of the U.S. Government.
Derivatives.The following tables provide information about where in the statements of assets and liabilities and statements of operations information about derivatives can be found (amounts in thousands):
Asset Derivatives February 28, 2019 | Liability Derivatives February 28, 2019 | ||||
Derivatives not accounted for | |||||
as hedging instruments | Statement of Assets and Liabilities Location | Fair Value Statement of Assets and Liabilities Location | Fair Value | ||
Diversified Real Asset Fund | |||||
Commodity contracts | Receivables, Total distributable earnings (accumulated | $13,932*Payables, Total distributable earnings (accumulated loss) | $ | 7,489 | * |
loss) | |||||
Foreign exchange contracts | Receivables | $9,891Payables | $ | 10,733 |
40
Notes to Financial Statements | |||||||||
Principal Funds, Inc. | |||||||||
February 28, 2019 (unaudited) | |||||||||
3. Operating Policies (continued) | |||||||||
Diversified Real Asset Fund | |||||||||
(Continued) | |||||||||
Interest rate contracts | Receivables, Total distributable earnings (accumulated | $ | 3,172*Payables, Total distributable earnings (accumulated loss) | $ | 4,658 | * | |||
loss) | |||||||||
Total | $ | 26,995 | $ | 22,880 | |||||
Global Multi-Strategy Fund | |||||||||
Credit contracts | Receivables, Total distributable earnings (accumulated | $ | 3,187*Payables, Total distributable earnings (accumulated loss) | $ | 2,049 | * | |||
loss) | |||||||||
Commodity contracts | Receivables, Total distributable earnings (accumulated | $ | 237Payables, Total distributable earnings (accumulated loss) | $ | 185 | ||||
loss) | |||||||||
Equity contracts | Receivables, Total distributable earnings (accumulated | $ | 7,750*Payables, Total distributable earnings (accumulated loss) | $ | 15,680 | * | |||
loss) | |||||||||
Foreign exchange contracts | Receivables | $ 17,149Payables | $ | 18,796 | |||||
Interest rate contracts | Receivables, Total distributable earnings (accumulated | $ | 5,883*Payables, Total distributable earnings (accumulated loss) | $ | 5,164 | * | |||
loss) | |||||||||
Total | $ | 34,206 | $ | 41,874 | |||||
Multi-Manager Equity Long/Short Fund | |||||||||
Equity contracts | Receivables, Total distributable earnings (accumulated | $ | 3,498*Payables, Total distributable earnings (accumulated loss) | $ | 2,383 | * | |||
loss) | |||||||||
Foreign exchange contracts | Receivables | $ | 8,405Payables | $ | 5,188 | ||||
Total | $ | 11,903 | $ | 7,571 | |||||
Preferred Securities Fund | |||||||||
Interest rate contracts | Receivables, Total distributable earnings (accumulated | $ | 3,719Payables, Total distributable earnings (accumulated loss) | $ | 2,637 | * | |||
loss) |
*Includes cumulative unrealized appreciation/depreciation of futures and exchange cleared swap contracts as shown in the schedules of investments. Only the portion of the unrealized appreciation/depreciation not yet cash settled is shown in the statements of assets and liabilities as variation margin.
Net Realized Gain or (Loss) on | Net Change in Unrealized Appreciation/ | ||||||||
Derivatives not accounted for | Location of Gain or (Loss) on Derivatives | Derivatives Recognized in Statement of | (Depreciation) of Derivatives Recognized | ||||||
as hedging instruments | Recognized in Statement of Operations | Operations | in Statement of Operations | ||||||
Diversified Real Asset Fund | |||||||||
Commodity contracts | Net realized gain (loss) from Futures contracts | $ | (38,032 | ) | $ | 2,285 | |||
and Swap agreements/Net change in unrealized | |||||||||
appreciation/(depreciation) of Futures contracts | |||||||||
and Swap agreements | |||||||||
Foreign exchange contracts | Net realized gain (loss) from Investment | $ | (169 | ) | $ | 387 | |||
transactions, Foreign currency contracts, and | |||||||||
Options and swaptions/Net change in unrealized | |||||||||
appreciation/(depreciation) of Investments, | |||||||||
Foreign currency contracts, and Options and | |||||||||
swaptions, | |||||||||
Interest rate contracts | Net realized gain (loss) from Investment | $ | 67 | $ | (1,888 | ) | |||
transactions, Futures contracts, Options and | |||||||||
swaptions, and Swap agreements/Net change | |||||||||
in unrealized appreciation/(depreciation) of | |||||||||
Investments, Futures contracts, Options and | |||||||||
swaptions, and Swap agreements | |||||||||
Total | $ | (38,134 | ) | $ | 784 | ||||
Global Multi-Strategy Fund | |||||||||
Credit contracts | Net realized gain (loss) from Swap agreements/ | $ | (907 | ) | $ | (2,334 | ) | ||
Net change in unrealized appreciation/ | |||||||||
(depreciation) of Swap agreements | |||||||||
Commodity contracts | Net realized gain (loss) from Swap agreements/ | $ | (187 | ) | $ | (1,081 | ) | ||
Net change in unrealized appreciation/ | |||||||||
(depreciation) of Swap agreements | |||||||||
Equity contracts | Net realized gain (loss) from Investment | $ | 5,473 | $ | (6,050 | ) | |||
transactions, Futures contracts, Options and | |||||||||
swaptions, and Swap agreements/Net change | |||||||||
in unrealized appreciation/(depreciation) of | |||||||||
Investments, Futures contracts, Options and | |||||||||
swaptions, and Swap agreements |
41
Notes to Financial Statements | |||||||||
Principal Funds, Inc. | |||||||||
February 28, 2019 (unaudited) | |||||||||
3. Operating Policies (continued) | |||||||||
Net Realized Gain or (Loss) on | Net Change in Unrealized Appreciation/ | ||||||||
Derivatives not accounted for | Location of Gain or (Loss) on Derivatives | Derivatives Recognized in Statement of | (Depreciation) of Derivatives Recognized | ||||||
as hedging instruments | Recognized in Statement of Operations | Operations | in Statement of Operations | ||||||
Global Multi-Strategy Fund (continued) | |||||||||
Foreign exchange contracts | Net realized gain (loss) from Investment | $ | 11,002 | $ | (7,043 | ) | |||
transactions, Foreign currency contracts, Options | |||||||||
and swaptions, and Swap agreements/Net change | |||||||||
in unrealized appreciation/(depreciation) of | |||||||||
Investments, Foreign currency contracts, Options | |||||||||
and swaptions, and Swap agreements | |||||||||
Interest rate contracts | Net realized gain (loss) from Investment | $ | (7,779 | ) | $ | (46 | ) | ||
transactions, Futures contracts, Options and | |||||||||
swaptions, and Swap agreements/Net change | |||||||||
in unrealized appreciation/(depreciation) of | |||||||||
Investments, Futures contracts, Options and | |||||||||
swaptions, and Swap agreements | |||||||||
Total | $ | 7,602 | $ | (16,554 | ) | ||||
Multi-Manager Equity Long/Short Fund | |||||||||
Equity contracts | Net realized gain (loss) from Futures contracts | $ | (5,407 | ) | $ | 340 | |||
and Swap agreements/Net change in unrealized | |||||||||
appreciation/(depreciation) of Futures contracts | |||||||||
and Swap agreements | |||||||||
Foreign exchange contracts | Net realized gain (loss) from Foreign currency | $ | (401 | ) | $ | 1,333 | |||
contracts/Net change in unrealized appreciation/ | |||||||||
(depreciation) of Foreign currency contracts | |||||||||
Total | $ | (5,808 | ) | $ | 1,673 | ||||
Preferred Securities Fund | |||||||||
Interest rate contracts | Net realized gain (loss) from Investment | $ | (6,578 | ) | $ | 1,581 | |||
transactions, Futures contracts, and Options and | |||||||||
swaptions/Net change in unrealized appreciation/ | |||||||||
(depreciation) of Investments, Futures contracts, | |||||||||
and Options and swaptions |
Long equity futures contracts are used to obtain market exposure for the cash balances that are maintained by certain of the Funds and the notional values of the futures contracts will vary in accordance with changing cash balances. Long and short U.S. Treasury futurescontracts are used to obtain interest rate exposure in order to manage duration of Diversified Real Asset Fund and Global Multi-StrategyFund. The Preferred Securities Fund uses long and short U.S. Treasury futures contracts to mitigate interest rate volatility. The notional values of the futures contracts will vary in accordance with changing duration of these funds.
The following table includes a summary of the average quarterly outstanding notional by derivative instrument type for the period ended February 28, 2019:
Contract Type | Derivative Type | Average Notional (’000) | |
Diversified Real Asset Fund | |||
Commodity Contracts | Futures - Long | $ | 515,061 |
Futures - Short | 358,253 | ||
Total Return Swaps - Receive Floating Rate | 246,656 | ||
Foreign Exchange Contracts | Foreign Currency Contracts - Contracts to Accept | 718,486 | |
Foreign Currency Contracts - Contracts to Deliver | 757,840 | ||
Purchased Options | 16,832 | ||
Written Options | 76,345 | ||
Interest Rate Contracts | Exchange Cleared Interest Rate Swaps - Pay Floating Rate | 409,919 | |
Exchange Cleared Interest Rate Swaps - Receive Floating Rate | 230,001 | ||
Futures - Long | 59,928 | ||
Futures - Short | 82,292 | ||
Interest Rate Swaps - Pay Floating Rate | 1,118 | ||
Interest Rate Swaps - Receive Floating Rate | 13,366 | ||
Purchased Capped Options | 34,560 | ||
Purchased Interest Rate Swaptions | 132,326 | ||
Purchased Options | 597 | ||
Written Capped Options | 39,000 | ||
Written Interest Rate Swaptions | 457,705 | ||
Written Options | 549 |
42
Notes to Financial Statements | |||
Principal Funds, Inc. | |||
February 28, 2019 (unaudited) | |||
3. Operating Policies (continued) | |||
Contract Type | Derivative Type | Average Notional (’000) | |
Global Multi-Strategy Fund | |||
Commodity Contracts | Synthetic Futures - Long | 7,045 | |
Synthetic Futures - Short | 11,049 | ||
Credit Contracts | Credit Default Swaps – Buy Protection | 89,057 | |
Credit Default Swaps – Sell Protection | 5,428 | ||
Exchange Cleared Credit Default Swaps – Buy Protection | 29,560 | ||
Exchange Cleared Credit Default Swaps – Sell Protection | 10,101 | ||
Equity Contracts | Futures - Long | 158,133 | |
Futures - Short | 195,573 | ||
Purchased Options | 435 | ||
Synthetic Futures - Long | 4,966 | ||
Synthetic Futures - Short | 7,821 | ||
Total Return Equity Basket Swaps | 589,639 | ||
Total Return Swaps – Pay Floating Rate | 4,478 | ||
Total Return Swaps – Receive Floating Rate | 7,915 | ||
Written Options | 363 | ||
Foreign Exchange Contracts | Currency Swaps - Contracts to Accept | 5,904 | |
Currency Swaps - Contracts to Deliver | 5,793 | ||
Foreign Currency Contracts - Contracts to Accept | 1,004,753 | ||
Foreign Currency Contracts - Contracts to Deliver | 1,370,330 | ||
Purchased Options | 186,179 | ||
Written Options | 92,488 | ||
Interest Rate Contracts | Exchange Cleared Interest Rate Swaps - Pay Floating Rate | 527,417 | |
Exchange Cleared Interest Rate Swaps - Receive Floating Rate | 309,449 | ||
Futures - Long | 1,193,873 | ||
Futures - Short | 1,073,054 | ||
Interest Rate Swaps - Pay Floating Rate | 34,166 | ||
Interest Rate Swaps - Receive Floating Rate | 33,768 | ||
Purchased Interest Rate Swaptions | 48,499 | ||
Purchased Options | 6,455 | ||
Synthetic Futures - Long | 46,370 | ||
Synthetic Futures - Short | 94,246 | ||
Total Return Swaps – Receive Floating Rate | 26,731 | ||
Written Interest Rate Swaptions | 24,000 | ||
Written Options | 4,009 | ||
Multi-Manager Equity Long/Short Fund | |||
Equity Contracts | Futures - Long | 35,261 | |
Futures - Short | 33,912 | ||
Synthetic Futures - Long | 1,151 | ||
Synthetic Futures - Short | 28 | ||
Total Return Equity Basket Swaps | 209,510 | ||
Total Return Swaps – Receive Floating Rate | 894 | ||
Foreign Exchange Contracts | Foreign Currency Contracts - Contracts to Accept | 122,032 | |
Foreign Currency Contracts - Contracts to Deliver | 156,819 | ||
Origin Emerging Markets Fund | |||
Equity Contracts | Futures - Long | 20,808 | |
Preferred Securities Fund | |||
Interest Rate Contracts | Futures - Long | 72,234 | |
Futures - Short | 96,976 | ||
Purchased Options | 3,875 | ||
Written Options | 3,413 | ||
4. Fair Valuation |
Fair value is defined as the price that the Funds would receive upon selling a security in a timely transaction to an independent buyer in theprincipal or most advantageous market of the security at the measurement date. In determining fair value, the Funds may use one or more of the following approaches: market, income and/or cost. A hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available.
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the Funds. Unobservable inputs are inputs that reflect the fund’s own estimates about theestimates market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
43
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
4. Fair Valuation (continued)
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 – Quoted prices are available in active markets for identical securities as of the reporting date. The type of securities included in Level 1 includes listed equities and listed derivatives.
Level 2 – Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). Investments which are generally included in this category include certain foreign equities, corporate bonds, senior floating rateinterests, municipal bonds and U.S. Government and Government Agency Obligations.
Level 3 – Significant unobservable inputs (including the Funds’ assumptions in determining the fair value of investments). Investments which are generally included in this category include certain common stocks, corporate bonds, mortgage backed securities or senior floatingrate interests.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the market place, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the Funds in determining fair value is greatest for instruments categorized in Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowestlevel input that is significant to the fair value measurement in its entirety.
Fair value is a market based measure considered from the perspective of a market participant who holds the asset rather than an entity specific measure. Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that marketparticipants would use in pricing the asset or liability at the measurement date. The Funds use prices and inputs that are current as of the measurement date, when available.
Investments which are included in the Level 3 category may be valued using indicative quoted prices from brokers and dealers participatingin the market for these investments. These investments are classified as Level 3 investments due to the lack of market transparency and market corroboration to support these quoted prices. Valuation models may be used as the pricing source for other investments classified as Level 3. Valuation models rely on one or more significant unobservable inputs such as prepayment rates, probability of default, or loss severity in the event of default. Significant increases in any of those inputs in isolation would result in a significantly lower fair value measurement.
Benchmark pricing procedures set the base price of a security based on current market data. The base price may be a broker-dealer quote, transaction price, or internal value based on relevant market data.
The fair values of these securities are dependent on economic, political, and other considerations. The values of such securities may beaffected by significant changes in the economic conditions, changes in government policies, and other factors (e.g., natural disasters, accidents, conflicts, etc.).
Fair value of these investments is determined in good faith by the Manager under procedures established and periodically reviewed by theFund’s Board of Directors. The Manager has established a valuation committee (“Valuation Committee”) of senior officers and employees,with the responsibility of overseeing the pricing and valuation of all securities, including securities where market quotations are not readilyavailable. The Valuation Committee meets at least monthly and reports directly to the Board of Directors. A pricing group (“the Pricing Group”) who reports to the Valuation Committee relies on the established pricing policies to determine fair valuation. Included in the pricingpolicies is an overview of the approved valuation approaches established for each asset class. The Pricing Group will consider all appropriate information available when determining fair valuation.
The Pricing Group relies on externally provided valuation inputs to determine the value of Level 3 securities. Security values are updatedas new information becomes available. Valuation data and changes in valuation amounts are reviewed on a daily basis based on specifiedcriteria for the security, asset class, and other factors. In addition, valuation data is periodically compared to actual transactions executed bythe Funds (i.e., purchases/sales) and differences between transaction prices and prior period valuation data are investigated based on specifiedtolerances.
44
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
4. Fair Valuation (continued)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those instruments.
The following is a summary of the inputs used as of February 28, 2019 in valuing the Funds' securities carried at value (amounts shown in thousands):
Level 2 - Other | |||||||||||
Level 1 - Quoted | Significant Observable | Level 3 - Significant | |||||||||
Fund | Prices | Inputs | Unobservable Inputs | Totals (Level 1,2,3) | |||||||
Blue Chip Fund | |||||||||||
Common Stocks* | $ | 3,501,658 | $ | — | $ | — | $ | 3,501,658 | |||
Investment Companies | 10,958 | — | — | 10,958 | |||||||
Total investments in securities $ | 3,512,616 | $ | — | $ | — | $ | 3,512,616 | ||||
Diversified Real Asset Fund | |||||||||||
Bonds* | — | 311,538 | — | 311,538 | |||||||
Commodity Indexed Structured Notes* | — | 18,586 | — | 18,586 | |||||||
Common Stocks | |||||||||||
Basic Materials | 170,669 | 182,095 | — | 352,764 | |||||||
Communications | 1,323 | 1,914 | — | 3,237 | |||||||
Consumer, Cyclical | 24,098 | 11,284 | — | 35,382 | |||||||
Consumer, Non-cyclical | 44,607 | 101,070 | 77 | 145,754 | |||||||
Diversified | — | 2,449 | — | 2,449 | |||||||
Energy | 464,136 | 117,010 | 122 | 581,268 | |||||||
Financial | 252,786 | 178,072 | — | 430,858 | |||||||
Industrial | 74,364 | 91,530 | 594 | 166,488 | |||||||
Technology | 7,334 | — | — | 7,334 | |||||||
Utilities | 173,586 | 190,342 | — | 363,928 | |||||||
Convertible Bonds* | — | 276 | — | 276 | |||||||
Investment Companies | 101,222 | — | — | 101,222 | |||||||
Preferred Stocks | 6,041 | — | — | 6,041 | |||||||
Senior Floating Rate Interests* | — | 572,930 | — | 572,930 | |||||||
U.S. Government & Government Agency Obligations* | — | 914,450 | — | 914,450 | |||||||
Purchased Interest Rate Swaptions | — | 1,709 | — | 1,709 | |||||||
Purchased Capped Options | — | 26 | — | 26 | |||||||
Purchased Options | 34 | — | — | 34 | |||||||
Total investments in securities $ | 1,320,200 | $ | 2,695,281 | $ | 793 | $ | 4,016,274 | ||||
Assets | |||||||||||
Commodity Contracts | |||||||||||
Futures** | 13,915 | — | — | 13,915 | |||||||
Total Return Swaps | — | 17 | — | 17 | |||||||
Foreign Exchange Contracts | |||||||||||
Foreign Currency Contracts | — | 9,891 | — | 9,891 | |||||||
Interest Rate Contracts | |||||||||||
Exchange Cleared Interest Rate Swaps** | — | 1,268 | — | 1,268 | |||||||
Futures** | 135 | — | — | 135 | |||||||
Liabilities | |||||||||||
Commodity Contracts | |||||||||||
Futures** | (6,390 | ) | — | — | (6,390 | ) | |||||
Total Return Swaps | — | (1,099 | ) | — | (1,099 | ) | |||||
Foreign Exchange Contracts | |||||||||||
Foreign Currency Contracts | — | (10,520 | ) | — | (10,520 | ) | |||||
Written Options | — | (213 | ) | — | (213 | ) | |||||
Interest Rate Contracts | |||||||||||
Capped Options | — | (7 | ) | — | (7 | ) | |||||
Exchange Cleared Interest Rate Swaps** | — | (2,250 | ) | — | (2,250 | ) | |||||
Futures** | (1,096 | ) | — | — | (1,096 | ) | |||||
Interest Rate Swaptions | — | (1,281 | ) | — | (1,281 | ) | |||||
Written Options | (24 | ) | — | — | (24 | ) | |||||
EDGEMidCapFund | |||||||||||
Common Stocks* | 638,676 | — | — | 638,676 | |||||||
Investment Companies | 10,045 | — | — | 10,045 | |||||||
Total investments in securities $ | 648,721 | $ | — | $ | — | $ | 648,721 |
45
Notes to Financial Statements | |||||||||||
Principal Funds, Inc. | |||||||||||
February 28, 2019 (unaudited) | |||||||||||
4. Fair Valuation (continued) | |||||||||||
Level 2 - Other | |||||||||||
Level 1 - Quoted | Significant Observable | Level 3 - Significant | |||||||||
Fund | Prices | Inputs | Unobservable Inputs | Totals (Level 1,2,3) | |||||||
Global Multi-Strategy Fund | |||||||||||
Bonds* | $ | — | $ | 698,050 | $ | 1,980 | $ | 700,030 | |||
Common Stocks | |||||||||||
Basic Materials | 15,278 | 27,508 | — | 42,786 | |||||||
Communications | 42,646 | 15,006 | 247 | 57,899 | |||||||
Consumer, Cyclical | 31,662 | 43,553 | 42 | 75,257 | |||||||
Consumer, Non-cyclical | 55,148 | 42,591 | — | 97,739 | |||||||
Diversified | 82 | 1,470 | — | 1,552 | |||||||
Energy | 14,923 | 6,386 | — | 21,309 | |||||||
Financial | 69,333 | 43,154 | 2,448 | 114,935 | |||||||
Industrial | 46,566 | 41,632 | — | 88,198 | |||||||
Technology | 46,862 | 13,445 | 1 | 60,308 | |||||||
Utilities | 3,985 | 8,949 | 4,982 | 17,916 | |||||||
Convertible Bonds* | — | 75,687 | — | 75,687 | |||||||
Convertible Preferred Stocks | |||||||||||
Communications | — | — | 185 | 185 | |||||||
Consumer, Cyclical | — | — | 52 | 52 | |||||||
Consumer, Non-cyclical | 1,083 | — | — | 1,083 | |||||||
Energy | 213 | — | — | 213 | |||||||
Financial | 308 | 4,144 | — | 4,452 | |||||||
Industrial | 2,871 | — | — | 2,871 | |||||||
Technology | — | 332 | — | 332 | |||||||
Utilities | 2,513 | — | — | 2,513 | |||||||
Investment Companies | 264,672 | 563 | — | 265,235 | |||||||
Municipal Bonds* | — | 681 | — | 681 | |||||||
Preferred Stocks | |||||||||||
Basic Materials | — | 854 | — | 854 | |||||||
Communications | — | — | 1,201 | 1,201 | |||||||
Consumer, Cyclical | — | 1,568 | — | 1,568 | |||||||
Financial | 282 | — | 903 | 1,185 | |||||||
Industrial | — | — | 1 | 1 | |||||||
Technology | — | — | 149 | 149 | |||||||
Repurchase Agreements* | — | 230,002 | — | 230,002 | |||||||
Senior Floating Rate Interests* | — | 132,389 | — | 132,389 | |||||||
U.S. Government & Government Agency Obligations* | — | 492,682 | — | 492,682 | |||||||
Purchased Interest Rate Swaptions | — | 282 | — | 282 | |||||||
Purchased Options | 2,817 | 2,181 | — | 4,998 | |||||||
Total investments in securities $ | 601,244 | $ | 1,883,109 | $ | 12,191 | $ | 2,496,544 | ||||
Short Sales | |||||||||||
Bonds | — | (45,639 | ) | — | (45,639 | ) | |||||
Common Stocks | |||||||||||
Basic Materials | (2,745 | ) | (9,465 | ) | — | (12,210 | ) | ||||
Communications | (16,126 | ) | (6,224 | ) | — | (22,350 | ) | ||||
Consumer, Cyclical | (8,375 | ) | (18,962 | ) | — | (27,337 | ) | ||||
Consumer, Non-cyclical | (21,680 | ) | (15,537 | ) | — | (37,217 | ) | ||||
Diversified | — | (696 | ) | — | (696 | ) | |||||
Energy | (7,111 | ) | (2,211 | ) | — | (9,322 | ) | ||||
Financial | (18,006 | ) | (21,811 | ) | — | (39,817 | ) | ||||
Industrial | (16,267 | ) | (17,713 | ) | — | (33,980 | ) | ||||
Technology | (28,435 | ) | (2,017 | ) | — | (30,452 | ) | ||||
Utilities | (6,548 | ) | (5,290 | ) | — | (11,838 | ) | ||||
Convertible Bonds | — | (2,242 | ) | — | (2,242 | ) | |||||
Investment Companies | (3,182 | ) | — | — | (3,182 | ) | |||||
U.S. Government & Government Agency Obligations | — | (269,985 | ) | — | (269,985 | ) | |||||
Total Short Sales $ | (128,475 | ) | $ | (417,792 | ) | $ | — | $ | (546,267 | ) | |
Assets | |||||||||||
Credit Contracts | |||||||||||
Credit Default Swaps | — | 3,100 | — | 3,100 | |||||||
Exchange Cleared Credit Default Swaps** | — | 87 | — | 87 | |||||||
Commodity Contracts | |||||||||||
Synthetic Futures | — | 237 | — | 237 | |||||||
Equity Contracts | |||||||||||
Futures** | 2,052 | — | — | 2,052 | |||||||
Synthetic Futures | — | 14 | — | 14 | |||||||
Total Return Swaps | — | 104 | — | 104 |
46
Notes to Financial Statements | |||||||||||
Principal Funds, Inc. | |||||||||||
February 28, 2019 (unaudited) | |||||||||||
4. Fair Valuation (continued) | |||||||||||
Level 2 - Other | |||||||||||
Level 1 - Quoted | Significant Observable | Level 3 - Significant | |||||||||
Fund | Prices | Inputs | Unobservable Inputs | Totals (Level 1,2,3) | |||||||
Global Multi-Strategy Fund | |||||||||||
Total Return Equity Basket Swaps | $ | — | $ | 3,213 | $ | — | $ | 3,213 | |||
Foreign Exchange Contracts | |||||||||||
Foreign Currency Contracts | — | 14,968 | — | 14,968 | |||||||
Interest Rate Contracts | |||||||||||
Exchange Cleared Interest Rate Swaps** | — | 1,905 | — | 1,905 | |||||||
Futures** | 2,083 | — | — | 2,083 | |||||||
Interest Rate Swaps | — | 324 | — | 324 | |||||||
Synthetic Futures | — | 187 | — | 187 | |||||||
Total Return Swaps | — | 652 | — | 652 | |||||||
Liabilities | |||||||||||
Credit Contracts | |||||||||||
Credit Default Swaps | — | (1,389 | ) | — | (1,389 | ) | |||||
Exchange Cleared Credit Default Swaps** | — | (660 | ) | — | (660 | ) | |||||
Commodity Contracts | |||||||||||
Synthetic Futures | — | (185 | ) | — | (185 | ) | |||||
Equity Contracts | |||||||||||
Futures** | (9,073 | ) | — | — | (9,073 | ) | |||||
Synthetic Futures | — | (44 | ) | — | (44 | ) | |||||
Total Return Swaps | — | (70 | ) | — | (70 | ) | |||||
Total Return Equity Basket Swaps | — | (5,387 | ) | — | (5,387 | ) | |||||
Written Options | (1,106 | ) | — | — | (1,106 | ) | |||||
Foreign Exchange Contracts | |||||||||||
Foreign Currency Contracts | — | (17,141 | ) | — | (17,141 | ) | |||||
Currency Swaps | — | (43 | ) | — | (43 | ) | |||||
Written Options | — | (1,612 | ) | — | (1,612 | ) | |||||
Interest Rate Contracts | |||||||||||
Exchange Cleared Interest Rate Swaps** | — | (1,919 | ) | — | (1,919 | ) | |||||
Futures** | (2,198 | ) | — | — | (2,198 | ) | |||||
Interest Rate Swaps | — | (540 | ) | — | (540 | ) | |||||
Synthetic Futures | — | (212 | ) | — | (212 | ) | |||||
Written Options | (295 | ) | — | — | (295 | ) | |||||
Global Opportunities Fund | |||||||||||
Common Stocks | |||||||||||
Basic Materials | — | 520 | — | 520 | |||||||
Communications | 2,117 | 715 | — | 2,832 | |||||||
Consumer, Cyclical | 1,563 | 1,297 | — | 2,860 | |||||||
Consumer, Non-cyclical | 2,288 | 1,055 | — | 3,343 | |||||||
Energy | 985 | 798 | — | 1,783 | |||||||
Financial | 1,941 | 2,048 | — | 3,989 | |||||||
Industrial | 960 | 1,083 | — | 2,043 | |||||||
Technology | 961 | 429 | — | 1,390 | |||||||
Utilities | 369 | 137 | — | 506 | |||||||
Investment Companies | 148 | — | — | 148 | |||||||
Total investments in securities $ | 11,332 | $ | 8,082 | $ | — | $ | 19,414 | ||||
International Small Company Fund | |||||||||||
Common Stocks | |||||||||||
Basic Materials | 20,728 | 41,359 | — | 62,087 | |||||||
Communications | 6,339 | 37,025 | — | 43,364 | |||||||
Consumer, Cyclical | 9,210 | 113,385 | — | 122,595 | |||||||
Consumer, Non-cyclical | 15,256 | 139,560 | — | 154,816 | |||||||
Diversified | — | 6,719 | — | 6,719 | |||||||
Energy | 12,440 | 19,276 | — | 31,716 | |||||||
Financial | 14,667 | 178,626 | — | 193,293 | |||||||
Industrial | 19,245 | 136,691 | — | 155,936 | |||||||
Technology | 13,814 | 43,632 | — | 57,446 | |||||||
Utilities | 5,163 | 17,653 | — | 22,816 | |||||||
Investment Companies | 32,802 | — | — | 32,802 | |||||||
Total investments in securities $ | 149,664 | $ | 733,926 | $ | — | $ | 883,590 | ||||
Multi-Manager Equity Long/Short Fund | |||||||||||
Common Stocks | |||||||||||
Basic Materials | 3,219 | 2,061 | — | 5,280 |
47
Notes to Financial Statements | |||||||||||
Principal Funds, Inc. | |||||||||||
February 28, 2019 (unaudited) | |||||||||||
4. Fair Valuation (continued) | |||||||||||
Level 2 - Other | |||||||||||
Level 1 - Quoted | Significant Observable | Level 3 - Significant | |||||||||
Fund | Prices | Inputs | Unobservable Inputs | Totals (Level 1,2,3) | |||||||
Multi-Manager Equity Long/Short Fund | |||||||||||
Communications | $ | 11,302 | $ | 1,599 | $ | — | $ | 12,901 | |||
Consumer, Cyclical | 17,868 | 8,146 | — | 26,014 | |||||||
Consumer, Non-cyclical | 45,482 | 11,725 | — | 57,207 | |||||||
Energy | 9,257 | 4,337 | — | 13,594 | |||||||
Financial | 27,999 | 13,563 | — | 41,562 | |||||||
Industrial | 22,286 | 17,356 | — | 39,642 | |||||||
Technology | 17,354 | 9,028 | — | 26,382 | |||||||
Utilities | 1,529 | 4,591 | — | 6,120 | |||||||
Investment Companies | 46,749 | — | — | 46,749 | |||||||
Preferred Stocks | |||||||||||
Consumer, Cyclical | — | 1,661 | — | 1,661 | |||||||
U.S. Government & Government Agency Obligations* | — | 11,956 | — | 11,956 | |||||||
Total investments in securities $ | 203,045 | $ | 86,023 | $ | — | $ | 289,068 | ||||
Short Sales | |||||||||||
Common Stocks | |||||||||||
Basic Materials | (2,276 | ) | (1,837 | ) | — | (4,113 | ) | ||||
Communications | (3,408 | ) | (931 | ) | — | (4,339 | ) | ||||
Consumer, Cyclical | (8,158 | ) | (8,235 | ) | — | (16,393 | ) | ||||
Consumer, Non-cyclical | (19,417 | ) | (4,475 | ) | — | (23,892 | ) | ||||
Diversified | — | (12 | ) | — | (12 | ) | |||||
Energy | (4,383 | ) | (172 | ) | — | (4,555 | ) | ||||
Financial | (8,315 | ) | (2,221 | ) | — | (10,536 | ) | ||||
Industrial | (6,316 | ) | (9,398 | ) | — | (15,714 | ) | ||||
Technology | (11,295 | ) | (1,684 | ) | — | (12,979 | ) | ||||
Utilities | (3,569 | ) | (591 | ) | — | (4,160 | ) | ||||
Investment Companies | (15,881 | ) | — | — | (15,881 | ) | |||||
Total Short Sales | (83,018 | ) | (29,556 | ) | — | (112,574 | ) | ||||
Assets | |||||||||||
Equity Contracts | |||||||||||
Futures** | 1,984 | — | — | 1,984 | |||||||
Synthetic Futures | — | 10 | — | 10 | |||||||
Total Return Equity Basket Swaps | — | 1,496 | — | 1,496 | |||||||
Total Return Swaps | — | 8 | — | 8 | |||||||
Foreign Exchange Contracts | |||||||||||
Foreign Currency Contracts | — | 8,405 | — | 8,405 | |||||||
Liabilities | |||||||||||
Equity Contracts | |||||||||||
Futures** | (1,782 | ) | — | — | (1,782 | ) | |||||
Total Return Equity Basket Swaps | — | (598 | ) | — | (598 | ) | |||||
Total Return Swaps | — | (3 | ) | — | (3 | ) | |||||
Foreign Exchange Contracts | |||||||||||
Foreign Currency Contracts | — | (5,188 | ) | — | (5,188 | ) | |||||
Opportunistic Municipal Fund | |||||||||||
Investment Companies | 114 | — | — | 114 | |||||||
Municipal Bonds* | — | 116,123 | — | 116,123 | |||||||
Total investments in securities $ | 114 | $ | 116,123 | $ | — | $ | 116,237 | ||||
Origin Emerging Markets Fund | |||||||||||
Common Stocks | |||||||||||
Basic Materials | 25,162 | 33,811 | — | 58,973 | |||||||
Communications | 27,553 | 31,872 | — | 59,425 | |||||||
Consumer, Cyclical | — | 30,738 | — | 30,738 | |||||||
Consumer, Non-cyclical | 12,330 | 17,192 | — | 29,522 | |||||||
Diversified | — | 3,740 | — | 3,740 | |||||||
Energy | 2,011 | 68,272 | — | 70,283 | |||||||
Financial | 11,762 | 115,791 | — | 127,553 | |||||||
Industrial | 2,683 | 39,754 | — | 42,437 | |||||||
Technology | 50,595 | 34,608 | — | 85,203 | |||||||
Utilities | — | 24,368 | — | 24,368 | |||||||
Investment Companies | 17,090 | — | — | 17,090 | |||||||
Total investments in securities $ | 149,186 | $ | 400,146 | $ | — | $ | 549,332 |
48
Notes to Financial Statements | ||||||||||
Principal Funds, Inc. | ||||||||||
February 28, 2019 (unaudited) | ||||||||||
4. Fair Valuation (continued) | ||||||||||
Level 2 - Other | ||||||||||
Level 1 - Quoted | Significant Observable | Level 3 - Significant | ||||||||
Fund | Prices | Inputs | Unobservable Inputs | Totals (Level 1,2,3) | ||||||
Preferred Securities Fund | ||||||||||
Bonds* | $ | — | $ | 3,901,750 | $ | — | $ | 3,901,750 | ||
Convertible Preferred Stocks | ||||||||||
Financial | 34,708 | — | — | 34,708 | ||||||
Investment Companies | 196,706 | — | — | 196,706 | ||||||
Preferred Stocks | ||||||||||
Communications | 58,859 | 125,006 | — | 183,865 | ||||||
Consumer, Non-cyclical | — | 24,266 | — | 24,266 | ||||||
Financial | 573,256 | 53,361 | — | 626,617 | ||||||
Government | — | 64,512 | — | 64,512 | ||||||
Industrial | 28,362 | — | — | 28,362 | ||||||
Utilities | 151,212 | 1,449 | — | 152,661 | ||||||
Purchased Options | 3,719 | — | — | 3,719 | ||||||
Total investments in securities $ | 1,046,822 | $ | 4,170,344 | $ | — | $ | 5,217,166 | |||
Liabilities | ||||||||||
Interest Rate Contracts | ||||||||||
Futures** | (114 | ) | — | — | (114 | ) | ||||
Written Options | (2,523 | ) | — | — | (2,523 | ) | ||||
Real Estate Debt Income Fund | ||||||||||
Bonds* | — | 126,702 | — | 126,702 | ||||||
Investment Companies | 5,835 | — | — | 5,835 | ||||||
Total investments in securities $ | 5,835 | $ | 126,702 | $ | — | $ | 132,537 | |||
Small-MidCap Dividend Income Fund | ||||||||||
Common Stocks | ||||||||||
Basic Materials | 99,006 | — | — | 99,006 | ||||||
Communications | 31,693 | — | — | 31,693 | ||||||
Consumer, Cyclical | 337,869 | — | — | 337,869 | ||||||
Consumer, Non-cyclical | 210,270 | — | — | 210,270 | ||||||
Energy | 148,926 | — | — | 148,926 | ||||||
Financial | 796,765 | 19,925 | — | 816,690 | ||||||
Government | 27,477 | — | — | 27,477 | ||||||
Industrial | 292,093 | — | — | 292,093 | ||||||
Technology | 169,846 | — | — | 169,846 | ||||||
Utilities | 146,718 | — | — | 146,718 | ||||||
Investment Companies | 31,497 | — | — | 31,497 | ||||||
Total investments in securities $ | 2,292,160 | $ | 19,925 | $ | — | $ | 2,312,085 |
*For additional detail regarding sector classifications, please see the Schedules of Investments.
**Exchange cleared swaps and futures are presented at the unrealized appreciation/(depreciation) of the instrument.
At the end of the period, there were no Funds which had a significant Level 3 balance.
5. Management Agreement and Transactions with Affiliates
Management Services.The Funds have agreed to pay investment advisory and management fees to the Manager computed at an annual percentage rate of each fund’s average daily net assets. A portion of the management fee is paid by the Manager to the sub-advisor of each ofthe Funds, some of which are affiliates of the Manager. The annual rates used in this calculation for the Funds are as follows:
Net Assets of Fund | ||||||||||||
First | Next | Next | Over | |||||||||
$ | 500 | $ | 500 | $ | 500 | $ | 1.5 | |||||
million | million | million | billion | |||||||||
EDGE MidCap Fund | .75 | % | .73 | % | .71 | % | .70 | % | ||||
Global Opportunities Fund | .85 | .83 | .81 | .80 | ||||||||
International Small Company Fund | 1.05 | 1.03 | 1.01 | 1.00 | ||||||||
Multi-Manager Equity Long/Short Fund | 1.57 | 1.55 | 1.53 | 1.52 | ||||||||
Opportunistic Municipal Fund | .50 | .48 | .46 | .45 | ||||||||
Origin Emerging Markets Fund | 1.20 | 1.18 | 1.16 | 1.15 | ||||||||
Real Estate Debt Income Fund | .55 | .53 | .51 | .50 |
49
Notes to Financial Statements | ||||||||||||
Principal Funds, Inc. | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
5. Management Agreement and Transactions with Affiliates (continued) | ||||||||||||
Net Assets of Fund | ||||||||||||
First $500 | Next $500 | Next $500 | Next $500 | Next $1 | Over $3 | |||||||
million | million | million | million | billion | billion | |||||||
Blue Chip Fund | .70 | % | .68 | % | .66 | % | .65 | % | .64 | % | .63 | % |
Diversified Real Asset Fund | .85 | .83 | .81 | .80 | .79 | .78 | ||||||
Global Multi-Strategy Fund | 1.60 | 1.58 | 1.56 | 1.55 | 1.54 | 1.53 | ||||||
Preferred Securities Fund | .75 | .73 | .71 | .70 | .69 | .68 | ||||||
Small-MidCap Dividend Income Fund | .80 | .78 | .76 | .75 | .74 | .73 |
In addition to the management fee, R-1, R-2, R-3, R-4, and R-5 classes of shares of the Funds pay the Manager a service fee and an administrative service fee computed at an annual percentage rate of each class’s average daily net assets. The annual rates for the service fee are .25%, .25%, .25%, .25%, and .25% and the annual rates for the administrative service fee are .28%, .20%, .07%, .03%, and .01% for R-1, R-2, R-3, R-4, and R-5, respectively. Class A, Class C, and Institutional shares of the Funds reimburse Principal Shareholder Services,Inc. (the “Transfer Agent”) (wholly owned by the Manager) for transfer agent services. Class J shares pays the Transfer Agent a fee for the services provided in an amount that includes a profit.
The Manager has contractually agreed to limit the expenses (excluding interest expense, expenses related to fund investments, acquired fund fees and expenses, and other extraordinary expenses) for certain classes of shares of certain of the Funds. The reductions and reimbursements are in amounts that maintain total operating expenses at or below certain limits. The limits are expressed as a percentage of average daily net assets attributable to each class of shares on an annualized basis during the reporting period. The operating expense limits are as follows:
Period from September 1, 2018 through February 28, 2019 | |||||||
Class A | Class C | Institutional | Expiration | ||||
Blue Chip Fund | N/A | N/A | .66 | %* | December 30, 2019 | ||
Diversified Real Asset Fund | 1.22 | % | 1.97 | % | .85 | December 30, 2019 | |
EDGE MidCap Fund | 1.20 | ^ | N/A | .90 | December 30, 2019 | ||
Global Multi-Strategy Fund | N/A | 2.75 | 1.63 | December 30, 2019 | |||
Global Opportunities Fund | 1.50 | N/A | .85 | December 30, 2019 | |||
International Small Company Fund | 1.60 | N/A | 1.20 | December 30, 2019 | |||
Multi-Manager Equity Long/Short Fund | 2.02 | N/A | 1.67 | December 30, 2019 | |||
Opportunistic Municipal Fund | .84 | ** | N/A | .56 | ** | December 30, 2019 | |
Origin Emerging Markets Fund | 1.60 | ^^ | N/A | 1.20 | ^^ | December 30, 2019 | |
Preferred Securities Fund | N/A | N/A | .81 | December 30, 2019 | |||
Real Estate Debt Income Fund | .99 | # | N/A | .69 | # | December 30, 2019 | |
Small-MidCap Dividend Income Fund | 1.13 | 1.88 | .86 | December 30, 2019 |
* | Prior to November 1, 2018, the contractual limit was .81%. |
** | Prior to December 31, 2018, the contractual limit was .90% and .62% for Class A and Institutional, respectively. |
^ | Period from December 31, 2018 to February 28, 2019. |
^^ | Prior to December 31, 2018, the contractual limit was 1.75% and 1.25% for Class A and Institutional, respectively |
# | Prior to December 31, 2018, the contractual limit was 1.00% and .70% for Class A and Institutional, respectively. |
In addition, the Manager has contractually agreed to limit certain of the Funds’ management and investment advisory fees. The expense limit will reduce the Fund’s management and investment advisory fees by the following amounts:
Expiration | |||
Blue Chip Fund | .10 | %^ | December 30, 2020 |
Diversified Real Asset Fund | .03 | December 30, 2019 | |
Global Multi-Strategy Fund | .04 | December 30, 2019 | |
Opportunistic Municipal Fund | .06 | * | December 30, 2020 |
Origin Emerging Markets | .15 | * | December 30, 2020 |
Real Estate Debt Income Fund | .01 | * | December 30, 2020 |
^ Prior to November 1, 2018, there was no contractual limit.
* Prior to December 31, 2018, there was no contractual limit.
In addition, the Manager has contractually agreed to limit R-6 expenses other than management and investment advisory fees and distribution fees and, if necessary, pay expenses normally payable by the Funds, excluding interest expense, expenses related to fund investments,
50
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
5. Management Agreement and Transactions with Affiliates (continued)acquired fund fees and expenses, and other extraordinary expenses. The limits are expressed as a percentage of average daily net assets attributable to R-6 shares on an annualized basis during the reporting period. The limits are as follows:
Period from September 1, 2018 through February 28, 2019
R-6 | Expiration | ||
Blue Chip Fund | .01 | % | December 30, 2019 |
Diversified Real Asset Fund | .02 | December 30, 2019 | |
EDGE MidCap Fund | .02 | December 30, 2019 | |
Global Multi-Strategy Fund | .02 | December 30, 2019 | |
International Small Company Fund | .04 | * | December 30, 2019 |
Multi-Manager Equity Long/Short Fund | .02 | December 30, 2019 | |
Origin Emerging Markets Fund | .04 | * | December 30, 2019 |
Preferred Securities Fund | .02 | December 30, 2019 | |
Real Estate Debt Income Fund | .02 | December 30, 2019 | |
Small-MidCap Dividend Income Fund | .02 | December 30, 2019 | |
* Prior to December 31, 2018, the contractual limit was .02%. |
Amounts owed to the Funds under the terms of the expense limitation agreements are reflected in the statements of assets and liabilities asexpense reimbursement from Manager and are settled periodically.
Distribution Fees.The Class A, Class C, Class J, R-1, R-2, R-3, and R-4 shares of the Funds bear distribution fees. The fee is computed at an annual rate of the average daily net assets attributable to each class of each of the Funds. Distribution fees are paid to Principal FundsDistributor, Inc. (“the Distributor”) (an affiliate of the Manager), the principal distributor of the Funds. A portion of the distribution fees maybe paid to other selling dealers for providing certain services. The annual rates are .25%, 1.00%, .15%, .35%, .30%, .25%, and .10% for Class A, Class C, Class J, R-1, R-2, R-3, and R-4 classes of shares, respectively.
The Distributor has voluntarily agreed to limit the distribution fees (expressed as a percent of average net assets on an annualized basis) attributable to Class J shares. The limit will maintain the level of distribution fees not to exceed .12% for Class J shares. The voluntary expense limit may be terminated at any time.
Amounts owed to the Funds under the terms of the expense limitation agreements are reflected in the statements of assets and liabilities asexpense reimbursement from Distributor and are settled monthly.
Chief Compliance Officer Expenses.The Funds pay certain expenses associated with the Chief Compliance Officer (“CCO”). This expenseis allocated based on the relative net assets of each fund and is shown on the statements of operations.
Sales Charges.The Distributor receives proceeds of any contingent deferred sales charge (“CDSC”) on certain Class A, Class C, and ClassJ share redemptions. The charge for Class A shares is 1.00% of the lesser of current market value or the cost of shares redeemed within 12 months of purchase that were originally sold without a sales charge. The charge for Class C shares is 1.00% of the lesser of current market value or the cost of shares redeemed within 12 months of purchase. The charge for Class J shares is 1.00% of the lesser of current market value or the cost of shares redeemed within 18 months of purchase. The Distributor also retains sales charges on sales of Class A sharesbased on declining rates which begin at 3.75% for Diversified Real Asset Fund, Global Multi-Strategy Fund, Opportunistic Municipal Fund,Preferred Securities Fund, and Real Estate Debt Income Fund and 5.50% for Blue Chip Fund, EDGE MidCap Fund, Global Opportunities Fund, International Small Company Fund, Multi-Manager Equity Long/Short Fund, Origin Emerging Markets Fund, and Small-MidCap Dividend Income Fund. The aggregate amounts of these charges retained by the Distributor for the period ended February 28, 2019, were as follows (amounts in thousands):
Class A | Class C | Class J | |||
Blue Chip Fund | $ | 241 | $ | 12 | $2 |
Diversified Real Asset Fund | 6 | 1 | N/A | ||
Global Multi-Strategy Fund | 2 | 3 | N/A | ||
Global Opportunities Fund | 5 | 1 | N/A | ||
International Small Company Fund | 3 | N/A | N/A | ||
Multi-Manager Equity Long/Short Fund | – | N/A | N/A | ||
Opportunistic Municipal Fund | 9 | – | N/A | ||
Origin Emerging Markets Fund | 2 | N/A | N/A | ||
Preferred Securities Fund | 65 | 20 | – | ||
Real Estate Debt Income Fund | 2 | N/A | N/A | ||
Small-MidCap Dividend Income Fund | 18 | 3 | N/A |
51
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
5. Management Agreement and Transactions with Affiliates (continued)
Effective January 22, 2019, Class C shares automatically convert into Class A shares, based on relative net asset value (without a sales charge), 10 years after purchase.
Affiliated Ownership.At February 28, 2019, Principal Life Insurance Company (an affiliate of the Manager), the Manager, the Distributor, Principal Securities, Inc., Collective Investment Trusts sponsored by Principal Trust Company, benefit plans and separate accounts sponsored on behalf of Principal Life Insurance Company, and other affiliated entities owned shares of the Funds as follows (amounts in thousands):
Class A | Institutional | R-3 | R-4 | R-5 | R-6 | |
Blue Chip Fund | – | 388 | – | – | – | 26,297 |
Diversified Real Asset Fund | – | 102 | 1 | 1 | 1 | 23,499 |
EDGE MidCap Fund | 1 | 30 | N/A | N/A | N/A | — |
Global Multi-Strategy Fund | – | 33 | N/A | N/A | N/A | 7,235 |
Global Opportunities Fund | – | 2,164 | N/A | N/A | N/A | N/A |
International Small Company Fund | – | 120 | N/A | N/A | N/A | — |
Multi-Manager Equity Long/Short Fund | – | 5 | N/A | N/A | N/A | 17,711 |
Opportunistic Municipal Fund | N/A | 32 | N/A | N/A | N/A | N/A |
Origin Emerging Markets Fund | – | – | N/A | N/A | N/A | 17,574 |
Preferred Securities Fund | – | – | – | – | – | 7,765 |
Real Estate Debt Income Fund | – | 83 | N/A | N/A | N/A | — |
Small-MidCap Dividend Income Fund | – | 36 | N/A | N/A | N/A | 384 |
Affiliated Brokerage Commissions.With respect to Preferred Securities Fund, $44,000 of brokerage commission was paid to SAMI Brokerage LLC, a member of the Principal Financial Group. The other Funds did not pay brokerage commissions to any member of the Principal Financial Group during the period ended February 28, 2019.
6. Capital Share Transactions
The following table reflects the conversion of Class C shares into Class A shares (reflected in the statements of changes in net assets asClass C shares and dollars redeemed and Class A dollars sold) for the period ended February 28, 2019 (amounts in thousands).
Shares | Dollars | |||
Global Opportunities Fund | 568 | $ | 1,887 | |
Opportunistic Municipal Fund | 670 | 7,020 | ||
7. Investment Transactions |
For the period ended February 28, 2019, the cost of investment securities purchased and proceeds from investment securities sold (not including short-term investments and U.S. government securities) by the Funds were as follows (amounts in thousands):
Covers on Securities | ||||||||
Purchases | Sales | Sold Short | Securities Sold Short | |||||
Blue Chip Fund | $ | 643,519 | $ | 343,110 | $ | — | $ | — |
Diversified Real Asset Fund | 804,294 | 874,275 | — | — | ||||
EDGE MidCap Fund | 46,962 | 47,752 | — | — | ||||
Global Multi-Strategy Fund | 1,965,116 | 2,381,207 | 663,800 | 572,534 | ||||
Global Opportunities Fund | 42,986 | 708,572 | — | — | ||||
International Small Company Fund | 193,057 | 242,866 | — | — | ||||
Multi-Manager Equity Long/Short Fund | 354,250 | 396,946 | 124,869 | 108,592 | ||||
Opportunistic Municipal Fund | 38,007 | 36,980 | — | — | ||||
Origin Emerging Markets Fund | 136,655 | 188,309 | — | — | ||||
Preferred Securities Fund | 349,530 | 813,567 | — | — | ||||
Real Estate Debt Income Fund | 25,250 | 74,718 | — | — | ||||
Small-MidCap Dividend Income Fund | 261,043 | 529,972 | — | — |
For the period ended February 28, 2019, the cost of U.S. government securities purchased and proceeds from U.S. government securities sold (not including short-term investments) by the Funds were as follows (amounts in thousands):
Covers on Securities | ||||||||
Purchases | Sales | Sold Short | Securities Sold Short | |||||
Diversified Real Asset Fund | $ | 346,469 | $ | 382,571 | $ | — | $ | — |
Global Multi-Strategy Fund | 1,612,907 | 1,402,961 | 725,493 | 789,206 |
52
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
8. Federal Tax Information
Distributions to Shareholders.The federal income tax character of distributions paid for the periods ended February 28, 2019 and August 31, 2018 were as follows (amounts in thousands):
Long-Term Capital | ||||||||||||||
Ordinary Income | Tax-Exempt Income^ | Gain* | ||||||||||||
2019 | 2018 | 2019 | 2018 | 2019 | 2018 | |||||||||
Blue Chip Fund | $ | 344 | $ | 1,717 | $ | — $ | — $ | 218,577 | $ | 65,155 | ||||
Diversified Real Asset Fund | 126,294 | 89,016 | — | — | — | — | ||||||||
EDGE MidCap Fund | 9,632 | 2,589 | — | — | 25,893 | 7,165 | ||||||||
Global Multi-Strategy Fund | 90,848 | 66,313 | — | — | 49,328 | 12,311 | ||||||||
Global Opportunities Fund | 16,851 | 78,458 | — | — | — | 13,245 | ||||||||
International Small Company Fund | 24,797 | 45,565 | — | — | 44,174 | 4,754 | ||||||||
Multi-Manager Equity Long/Short Fund | 4,120 | 10,995 | — | — | 25,785 | 6,573 | ||||||||
Opportunistic Municipal Fund | — | 1 | 2,195 | 4,519 | — | — | ||||||||
Origin Emerging Markets Fund | 8,633 | 6,798 | — | — | — | — | ||||||||
Preferred Securities Fund | 148,563 | 286,109 | — | — | — | 8,667 | ||||||||
Real Estate Debt Income Fund | 2,753 | 6,873 | — | — | — | — | ||||||||
Small-MidCap Dividend Income Fund | 49,901 | 85,682 | — | — | 267,715 | 98,725 |
^ The Funds designate these distributions as exempt interest per IRC Sec. 852(b)(5).
*The Funds designate these distributions as long-term capital gain dividends per IRC Sec. 852 (b)(3)(C) in the 20-percent group (which may be taxed at a 20-percent rate, a 15-percent rate or a 0-percent rate, depending on the shareholder’s taxable income).
Certain Funds may also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paiddeduction.
For U.S. federal income tax purposes, short-term capital gain distributions are considered ordinary income distributions.
Distributable Earnings.As of August 31, 2018, the components of distributable earnings/(deficit) on a federal tax basis were as follows
(amounts in thousands):
Total | |||||||||||||||||||||
Undistributed | Undistributed | Undistributed | Net Unrealized | Other | Accumulated | ||||||||||||||||
Ordinary | Tax-Exempt | Long-Term | Accumulated | Appreciation | Temporary | Earnings | |||||||||||||||
Income | Income | Capital Gains | Losses | (Depreciation) | Differences* | (Deficit) | |||||||||||||||
Blue Chip Fund | $ | — | $ | — | $ | 181,038 | $ | — | $ | 855,016 | $ | — | $ | 1,036,054 | |||||||
Diversified Real Asset Fund | 91,437 | — | — | (121,809 | ) | (4,457 | ) | (1,474 | ) | (36,303 | ) | ||||||||||
EDGE MidCap Fund | 7,864 | — | 24,870 | — | 104,558 | — | 137,292 | ||||||||||||||
Global Multi-Strategy Fund | 51,758 | — | 40,175 | — | 10,044 | (21,756 | ) | 80,221 | |||||||||||||
Global Opportunities Fund | 16,607 | — | 83,441 | — | 81,558 | 12 | 181,618 | ||||||||||||||
International Small Company Fund | 24,189 | — | 47,102 | — | 102,381 | — | 173,672 | ||||||||||||||
Multi-Manager Equity Long/Short Fund | 4,103 | — | 23,430 | — | 3,487 | (5,716 | ) | 25,304 | |||||||||||||
Opportunistic Municipal Fund | — | 55 | — | (1,831 | ) | 1,799 | — | 23 | |||||||||||||
Origin Emerging Markets Fund | 7,809 | — | — | (98,210 | ) | 97,431 | — | 7,030 | |||||||||||||
Preferred Securities Fund | 5,933 | — | — | (8,741 | ) | 133,772 | 40,848 | 171,812 | |||||||||||||
Real Estate Debt Income Fund | 72 | — | — | (1,238 | ) | (4,105 | ) | — | (5,271 | ) | |||||||||||
Small-MidCap Dividend Income Fund | 28,326 | — | 301,790 | — | 439,756 | — | 769,872 |
*Represents book-to-tax accounting differences related to straddle loss deferrals, constructive sale gain recognition, defaulted securities, inverse floating rate securities,contingent convertible bonds, short sales, and perpetual bonds.
Capital Loss Carryforwards.For federal income tax purposes, capital loss carryforwards are losses that can be used to offset future capital gains of the Funds. At August 31, 2018, the Funds had approximate net capital loss carryforwards as follows (amounts in thousands):
Short-Term | Long-Term | Total | ||||
Diversified Real Asset Fund | $ | 121,809 | $ | —$ | 121,809 | |
Opportunistic Municipal Fund | 1,224 | 607 | 1,831 | |||
Origin Emerging Markets Fund | 98,210 | — | 98,210 | |||
Real Estate Debt Income Fund | 291 | 947 | 1,238 |
Capital losses generated in taxable years beginning after the enactment date of the Regulated Investment Company Modernization Act of 2010 on December 22, 2010, will be carried forward with no expiration and with the character of the loss retained.
For the year ended August 31,2018, the following funds utilized capital loss carryforwards as follows (amounts in thousands):
Utilized | ||
Diversified Real Asset Fund | $ | 191,548 |
International Small Company Fund | 566 |
53
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
8. Federal Tax Information (continued)
Utilized | ||
Opportunistic Municipal Fund | 537 | |
Origin Emerging Markets Fund | 66,304 |
Late-Year Losses.A regulated investment company may elect to treat any portion of its qualified late-year loss as arising on the first day of the next taxable year. Qualified late-year losses are certain capital and ordinary losses which occur during the portion of the fund’s taxableyear subsequent to October 31 and December 31, respectively. For the taxable year ended August 31, 2018, Preferred Securities Fund has an approximate late-year loss deferral of $8,741,000.
Reclassification of Capital Accounts.The Funds may record reclassifications in their capital accounts. These reclassifications have no impact on the total net assets of the Funds. The reclassifications are a result of permanent differences between U.S. GAAPand tax accounting. Adjustments are made to reflect the impact these items have on current and future distributions to shareholders. Therefore, the source ofthe Funds’ distributions may be shown in the accompanying Statement of Changes in Net Assets as from net investment income, from net realized gains on investments or from capital depending on the type of book and tax differences that exist. For the year ended August 31,2018, the Funds recorded reclassifications as follows (amounts in thousands):
Accumulated | ||||||||||
Undistributed Net | Accumulated Net Realized | |||||||||
Investment Income | Gain on Investments | Paid in Capital | ||||||||
Blue Chip Fund | $ | 1,531 | $ | 27,140 | $ | (28,671 | ) | |||
Diversified Real Asset Fund | 9,420 | (2,895 | ) | (6,525 | ) | |||||
EDGE MidCap Fund | 1,289 | 4,615 | (5,904 | ) | ||||||
Global Multi-Strategy Fund | (35,485 | ) | 36,250 | (765 | ) | |||||
Global Opportunities Fund | 669 | (669 | ) | — | ||||||
International Small Company Fund | 5,609 | (4,401 | ) | (1,208 | ) | |||||
Multi-Manager Equity Long/Short Fund | 2,151 | (2,151 | ) | — | ||||||
Opportunistic Municipal Fund | (190 | ) | 190 | — | ||||||
Origin Emerging Markets Fund | (465 | ) | 465 | — | ||||||
Preferred Securities Fund | (7,183 | ) | (712 | ) | 7,895 | |||||
Real Estate Debt Income Fund | (229 | ) | 229 | — | ||||||
Small-MidCap Dividend Income Fund | (3,326 | ) | 30,712 | (27,386 | ) |
Federal Income Tax Basis.At February 28, 2019, the net federal income tax unrealized appreciation (depreciation) and federal tax cost of investments held by the Funds were as follows (amounts in thousands):
Cost for Federal | |||||||||||
Unrealized | Unrealized | Net Unrealized | Income Tax | ||||||||
Appreciation | (Depreciation) | Appreciation/(Depreciation) | Purposes | ||||||||
Blue Chip Fund | $ | 798,412 | $ | (62,412 | ) | $ | 736,000 | $ | 2,776,616 | ||
Diversified Real Asset Fund | 170,771 | (251,589 | ) | (80,818 | ) | 4,107,846 | |||||
EDGE MidCap Fund | 109,137 | (31,181 | ) | 77,956 | 570,765 | ||||||
Global Multi-Strategy Fund | 125,937 | (166,826 | ) | (40,889 | ) | 2,517,389 | |||||
Global Opportunities Fund | 1,312 | (1,975 | ) | (663 | ) | 20,077 | |||||
International Small Company Fund | 94,905 | (57,705 | ) | 37,200 | 846,390 | ||||||
Multi-Manager Equity Long/Short Fund | 30,127 | (30,632 | ) | (505 | ) | 288,505 | |||||
Opportunistic Municipal Fund* | 2,747 | (1,262 | ) | 1,485 | 109,324 | ||||||
Origin Emerging Markets Fund | 94,729 | (25,112 | ) | 69,617 | 479,715 | ||||||
Preferred Securities Fund | 177,344 | (126,497 | ) | 50,847 | 5,167,517 | ||||||
Real Estate Debt Income Fund | 2,174 | (2,810 | ) | (636 | ) | 133,173 | |||||
Small-MidCap Dividend Income Fund | 365,942 | (193,604 | ) | 172,338 | 2,139,747 |
* The Fund holds floating rate securities which are accounted for differently for U.S. GAAP vs. federal income tax purposes. This causes a difference in cost basisand fair market value of investments for tax and U.S. GAAP purposes.
9. Subsequent Events
Management has evaluated events and transactions that have occurred through the date the financial statements were issued that would merit recognition or disclosure in the financial statements. There were no items requiring adjustment of the financial statements or additionaldisclosure.
54
Schedule of Investments | |||||||||||||
Blue Chip Fund | |||||||||||||
February 28, 2019 (unaudited) | |||||||||||||
COMMON STOCKS - 100.00% | Shares Held Value (000's) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||||
Aerospace & Defense - 4.31% | Software - 10.25% | ||||||||||||
TransDigm Group Inc(a) | 347,341 | $ | 150,777 | Adobe Inc(a) | 231,187 | $ | 60,687 | ||||||
Banks - 0.79% | Microsoft Corp | 1,545,695 | 173,164 | ||||||||||
First Republic Bank/CA | 262,484 | 27,556 | salesforce.com Inc(a) | 765,286 | 125,239 | ||||||||
Beverages - 0.54% | $ | 359,090 | |||||||||||
Monster Beverage Corp(a) | 294,615 | 18,805 | TOTAL COMMON STOCKS | $ | 3,501,658 | ||||||||
Biotechnology - 1.00% | INVESTMENT COMPANIES - 0.31% | Shares Held Value (000's) | |||||||||||
Illumina Inc(a) | 112,138 | 35,073 | Money Market Funds - 0.31% | ||||||||||
Chemicals - 3.97% | Principal Government Money Market Fund | 10,958,381 | 10,958 | ||||||||||
Air Products & Chemicals Inc | 147,717 | 26,763 | 2.33%(b),(c) | ||||||||||
TOTAL INVESTMENT COMPANIES | $ | 10,958 | |||||||||||
Linde PLC | 542,259 | 93,941 | Total Investments | $ | 3,512,616 | ||||||||
Sherwin-Williams Co/The | 42,298 | 18,324 | Other Assets and Liabilities - (0.31)% | (10,870 | ) | ||||||||
$ | 139,028 | TOTAL NET ASSETS - 100.00% | $ | 3,501,746 | |||||||||
Commercial Services - 10.43% | |||||||||||||
Ecolab Inc | 88,167 | 14,892 | |||||||||||
Gartner Inc(a) | 136,823 | 19,470 | (a) | Non-income producing security | |||||||||
IHS Markit Ltd(a) | 333,375 | 17,726 | (b) | Affiliated Security. Security is either an affiliate (and registered under the | |||||||||
Moody's Corp | 382,705 | 66,254 | Investment Company Act of 1940) or an affiliate as defined by the Investment | ||||||||||
PayPal Holdings Inc(a) | 1,654,359 | 162,243 | Company Act of 1940 (controls 5.0% or more of the outstanding voting | ||||||||||
S&P Global Inc | 422,050 | 84,566 | shares of the security). Please see affiliated sub-schedule for transactional | ||||||||||
$ | 365,151 | information. | |||||||||||
Diversified Financial Services - 11.71% | (c) | Current yield shown is as of period end. | |||||||||||
Charles Schwab Corp/The | 1,592,398 | 73,266 | |||||||||||
Mastercard Inc | 720,405 | 161,926 | Portfolio Summary (unaudited) | ||||||||||
Visa Inc | 1,179,747 | 174,744 | Sector | Percent | |||||||||
$ | 409,936 | Financial | 32.78 | % | |||||||||
Healthcare - Products - 4.02% | Communications | 25.24 | % | ||||||||||
Danaher Corp | 861,455 | 109,422 | Consumer, Non-cyclical | 15.99 | % | ||||||||
IDEXX Laboratories Inc(a) | 149,328 | 31,513 | Technology | 11.31 | % | ||||||||
$ | 140,935 | Consumer, Cyclical | 5.95 | % | |||||||||
Insurance - 8.87% | Industrial | 4.31 | % | ||||||||||
Aon PLC | 177,205 | 30,396 | Basic Materials | 3.97 | % | ||||||||
Berkshire Hathaway Inc - Class B(a) | 1,038,623 | 209,075 | Energy | 0.45 | % | ||||||||
Markel Corp(a) | 52,337 | 52,593 | Investment Companies | 0.31 | % | ||||||||
Progressive Corp/The | 253,790 | 18,501 | Other Assets and Liabilities | (0.31 | )% | ||||||||
$ | 310,565 | TOTAL NET ASSETS | 100.00 | % | |||||||||
Internet - 25.24% | |||||||||||||
Alphabet Inc - A Shares(a) | 8,009 | 9,022 | |||||||||||
Alphabet Inc - C Shares(a) | 250,735 | 280,803 | |||||||||||
Amazon.com Inc(a) | 188,978 | 309,892 | |||||||||||
Booking Holdings Inc(a) | 59,998 | 101,819 | |||||||||||
Facebook Inc(a) | 917,786 | 148,177 | |||||||||||
Shopify Inc(a) | 181,457 | 34,323 | |||||||||||
$ | 884,036 | ||||||||||||
Lodging - 2.10% | |||||||||||||
Hilton Worldwide Holdings Inc | 885,264 | 73,565 | |||||||||||
Pipelines - 0.45% | |||||||||||||
Kinder Morgan Inc/DE | 823,668 | 15,781 | |||||||||||
Private Equity - 4.98% | |||||||||||||
Brookfield Asset ManagementInc | 3,859,623 | 174,339 | |||||||||||
REITs - 6.43% | |||||||||||||
American Tower Corp | 851,753 | 150,037 | |||||||||||
Equinix Inc | 125,587 | 53,186 | |||||||||||
SBA Communications Corp(a) | 121,451 | 21,929 | |||||||||||
$ | 225,152 | ||||||||||||
Retail - 3.85% | |||||||||||||
CarMax Inc(a) | 282,747 | 17,559 | |||||||||||
Costco Wholesale Corp | 85,336 | 18,666 | |||||||||||
Restaurant Brands International Inc | 712,299 | 45,025 | |||||||||||
TJX Cos Inc/The | 310,433 | 15,922 | |||||||||||
Yum! Brands Inc | 397,358 | 37,550 | |||||||||||
$ | 134,722 | ||||||||||||
Semiconductors - 1.06% | |||||||||||||
NVIDIA Corp | 240,810 | 37,147 |
See accompanying notes.
55
Schedule of Investments | ||||||||||||
Blue Chip Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | ||||||||
Value | Cost | Proceeds | Value | |||||||||
Principal Government Money Market Fund 2.33% | $ | 1,766$ | 406,534 | $ | 397,342 | $ | 10,958 | |||||
$ | 1,766$ | 406,534 | $ | 397,342 | $ | 10,958 | ||||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | ||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | |||||||||
Principal Government Money Market Fund 2.33% | $ | 73 | $ | — $ | — $ | — | ||||||
$ | 73 | $ | — $ | — $ | — | |||||||
Amounts in thousands |
See accompanying notes.
56
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
COMMON STOCKS - 51.88% | Shares Held Value (000's) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Agriculture - 0.53% | Electric (continued) | ||||||||||
Archer-Daniels-Midland Co | 433,444 | $ | 18,421 | Sembcorp Industries Ltd | 643,100 | $ | 1,245 | ||||
Bunge Ltd | 53,292 | 2,829 | Sempra Energy | 167,800 | 20,210 | ||||||
$ | 21,250 | Spark Infrastructure Group | 8,714,049 | 14,425 | |||||||
Biotechnology - 0.01% | SSE PLC | 718,194 | 11,302 | ||||||||
Advanz Pharma Corp(a) | 22,681 | 423 | Terna Rete Elettrica Nazionale SpA | 1,060,808 | 6,600 | ||||||
Building Materials - 0.30% | Transmissora Alianca de Energia Eletrica SA | 966,900 | 6,438 | ||||||||
Boise Cascade Co | 31,677 | 884 | $ | 193,516 | |||||||
Forterra Inc(a) | 11,452 | 60 | Electronics - 0.18% | ||||||||
Geberit AG | 13,849 | 5,523 | Badger Meter Inc | 17,892 | 1,053 | ||||||
Louisiana-Pacific Corp | 78,048 | 1,972 | Halma PLC | 232,205 | 4,790 | ||||||
Norbord Inc | 70,034 | 1,810 | Watts Water Technologies Inc | 17,086 | 1,376 | ||||||
Pinnacle Renewable Energy Inc | 82,408 | 661 | $ | 7,219 | |||||||
Universal Forest Products Inc | 39,559 | 1,225 | Energy - Alternate Sources - 0.67% | ||||||||
$ | 12,135 | Algonquin Power & Utilities Corp | 331,800 | 3,681 | |||||||
Chemicals - 2.01% | Pattern Energy Group Inc | 376,004 | 7,843 | ||||||||
CF Industries Holdings Inc | 72,088 | 3,042 | TerraForm Power Inc | 705,816 | 8,830 | ||||||
FMC Corp | 36,760 | 3,290 | Vestas Wind Systems A/S | 78,361 | 6,529 | ||||||
Ingevity Corp(a) | 8,253 | 951 | $ | 26,883 | |||||||
Israel Chemicals Ltd | 521,667 | 2,919 | Engineering & Construction - 1.26% | ||||||||
K+S AG | 173,241 | 3,300 | Aegion Corp(a) | 22,781 | 395 | ||||||
Lenzing AG | 8,555 | 855 | Aena SME SA(b) | 34,897 | 6,224 | ||||||
Linde PLC | 25,519 | 4,443 | Enav SpA(b) | 2,503,682 | 12,867 | ||||||
Mosaic Co/The | 490,943 | 15,352 | Ferrovial SA | 180,709 | 4,161 | ||||||
Nutrien Ltd | 419,062 | 22,810 | Flughafen Zurich AG | 52,016 | 9,261 | ||||||
Nutrien Ltd | 20,070 | 1,093 | Sydney Airport | 3,484,280 | 17,804 | ||||||
OCI NV(a) | 133,371 | 3,162 | $ | 50,712 | |||||||
Olin Corp | 102,619 | 2,654 | Environmental Control - 0.25% | ||||||||
PPG Industries Inc | 60,408 | 6,764 | AquaVenture Holdings Ltd(a) | 9,185 | 203 | ||||||
Sociedad Quimica y Minera de Chile SA ADR | 69,123 | 2,849 | China Water Affairs Group Ltd | 604,000 | 629 | ||||||
Tokai Carbon Co Ltd | 298,900 | 4,179 | Energy Recovery Inc(a) | 19,105 | 153 | ||||||
Yara International ASA | 75,777 | 3,187 | Evoqua Water Technologies Corp(a) | 35,697 | 485 | ||||||
$ | 80,850 | Kurita Water Industries Ltd | 65,600 | 1,656 | |||||||
Commercial Services - 2.43% | METAWATER Co Ltd | 6,600 | 186 | ||||||||
ALEATICA SAB de CV | 6,335,436 | 6,204 | Pentair PLC | 99,161 | 4,218 | ||||||
Atlantia SpA | 1,364,064 | 33,163 | Tetra Tech Inc | 39,011 | 2,342 | ||||||
Atlas Arteria Ltd | 1,567,804 | 7,922 | $ | 9,872 | |||||||
Cengage Learning Holdings II Inc(a) | 7,506 | 52 | Food - 0.15% | ||||||||
China Merchants Port Holdings Co Ltd | 4,799,687 | 10,085 | Ingredion Inc | 29,117 | 2,692 | ||||||
Shenzhen Expressway Co Ltd | 3,494,000 | 3,842 | Wilmar International Ltd | 1,372,700 | 3,242 | ||||||
Transurban Group | 4,155,076 | 36,763 | $ | 5,934 | |||||||
$ | 98,031 | Forest Products & Paper - 2.07% | |||||||||
Consumer Products - 0.16% | Acadian Timber Corp | 122,760 | 1,599 | ||||||||
Avery Dennison Corp | 31,550 | 3,409 | Canfor Corp | 246,458 | 2,648 | ||||||
Kimberly-Clark Corp | 27,185 | 3,176 | Clearwater Paper Corp(a) | 25,532 | 730 | ||||||
$ | 6,585 | Domtar Corp | 29,162 | 1,485 | |||||||
Cosmetics & Personal Care - 0.15% | Empresas CMPC SA | 672,241 | 2,521 | ||||||||
Essity AB | 92,781 | 2,589 | Ence Energia y Celulosa SA | 89,101 | 641 | ||||||
Kao Corp | 12,200 | 925 | Holmen AB | 140,952 | 2,979 | ||||||
Unicharm Corp | 79,700 | 2,539 | Interfor Corp(a) | 226,994 | 2,555 | ||||||
$ | 6,053 | International Paper Co | 135,895 | 6,227 | |||||||
Electric - 4.81% | Mondi PLC | 323,007 | 7,394 | ||||||||
ACEA SpA | 31,534 | 498 | Nine Dragons Paper Holdings Ltd | 4,256,000 | 4,411 | ||||||
American Electric Power Co Inc | 156,200 | 12,676 | Oji Holdings Corp | 990,400 | 5,916 | ||||||
Atlantica Yield PLC | 451,268 | 9,007 | Quintis Ltd(a),(c),(d) | 2,854,062 | — | ||||||
AusNet Services | 5,953,170 | 7,336 | Sappi Ltd | 308,167 | 1,578 | ||||||
China Longyuan Power Group Corp Ltd | 3,643,000 | 2,720 | Smurfit Kappa Group PLC | 202,371 | 5,733 | ||||||
Dominion Energy Inc | 180,327 | 13,360 | Stora Enso OYJ | 535,422 | 7,172 | ||||||
Duke Energy Corp | 15,783 | 1,415 | Sumitomo Forestry Co Ltd | 130,100 | 1,700 | ||||||
Edison International | 177,398 | 10,625 | Suzano Papel e Celulose SA ADR | 136,642 | 3,478 | ||||||
EDP - Energias de Portugal SA | 1,315,863 | 4,825 | Suzano Papel e Celulose SA | 272,000 | 3,476 | ||||||
Emera Inc | 388,797 | 13,833 | Svenska Cellulosa AB SCA | 843,754 | 7,774 | ||||||
Enel SpA | 775,898 | 4,692 | UPM-Kymmene OYJ | 255,335 | 7,699 | ||||||
Huadian Fuxin Energy Corp Ltd | 17,732,000 | 4,015 | West Fraser Timber Co Ltd | 74,095 | 3,647 | ||||||
Hydro One Ltd(b) | 339,619 | 5,329 | Western Forest Products Inc | 1,485,654 | 2,055 | ||||||
Iberdrola SA | 2,081,848 | 17,417 | $ | 83,418 | |||||||
Infraestructura Energetica Nova SAB de CV | 2,027,964 | 7,795 | |||||||||
NextEra Energy Inc | 69,200 | 12,990 | |||||||||
Red Electrica Corp SA | 220,433 | 4,763 |
See accompanying notes.
57
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Gas - 1.59% | Mining (continued) | ||||||||||
National Grid PLC | 2,794,494 | $ | 31,493 | Fresnillo PLC | 316,389 | $ | 3,599 | ||||
Snam SpA | 1,484,390 | 7,327 | Glencore PLC(a) | 821,536 | 3,310 | ||||||
Southwest Gas Holdings Inc | 122,800 | 10,062 | Goldcorp Inc | 328,000 | 3,464 | ||||||
Western Midstream Partners LP | 452,554 | 15,143 | Livent Corp(a) | 212,004 | 2,714 | ||||||
$ | 64,025 | MMC Norilsk Nickel PJSC ADR | 161,430 | 3,482 | |||||||
Hand & Machine Tools - 0.03% | Newcrest Mining Ltd | 800,368 | 13,765 | ||||||||
Franklin Electric Co Inc | 23,827 | 1,268 | Newmont Mining Corp | 409,148 | 13,960 | ||||||
Healthcare - Products - 0.18% | Norsk Hydro ASA | 646,061 | 2,666 | ||||||||
Danaher Corp | 58,256 | 7,400 | Rio Tinto Ltd | 339,923 | 23,168 | ||||||
Healthcare - Services - 0.00% | South32 Ltd | 1,343,485 | 3,756 | ||||||||
Millennium Health LLC(a),(e) | 22,091 | 1 | Southern Copper Corp | 90,841 | 3,235 | ||||||
Millennium Health LLC(a),(c),(d),(e) | 20,580 | 40 | Sumitomo Metal Mining Co Ltd | 104,500 | 3,064 | ||||||
Millennium Health LLC(a),(c),(d),(e) | 19,318 | 37 | Teck Resources Ltd | 150,200 | 3,366 | ||||||
$ | 78 | Wheaton Precious Metals Corp | 193,800 | 4,215 | |||||||
$ | 149,384 | ||||||||||
Holding Companies - Diversified - 0.06% | Miscellaneous Manufacturers - 0.15% | ||||||||||
Empresas COPEC SA | 180,388 | 2,449 | Aalberts Industries NV | 59,119 | 2,182 | ||||||
Home Builders - 0.22% | Alfa Laval AB | 184,130 | 4,024 | ||||||||
DR Horton Inc | 51,625 | 2,008 | $ | 6,206 | |||||||
Lennar Corp - A Shares | 36,070 | 1,730 | |||||||||
PulteGroup Inc | 70,581 | 1,906 | Oil & Gas - 5.30% | ||||||||
Taylor Morrison Home Corp(a) | 57,135 | 958 | Anadarko Petroleum Corp | 57,493 | 2,501 | ||||||
Toll Brothers Inc | 37,467 | 1,334 | Antero Midstream Partners LP | 197,740 | 4,775 | ||||||
TRI Pointe Group Inc(a) | 66,883 | 843 | BP PLC | 458,402 | 3,250 | ||||||
$ | 8,779 | Cairn Energy PLC(a) | 1,180,126 | 3,187 | |||||||
Canadian Natural Resources Ltd | 121,000 | 3,437 | |||||||||
Iron & Steel - 0.97% | Chevron Corp | 25,572 | 3,058 | ||||||||
ArcelorMittal | 412,919 | 9,461 | CNOOC Ltd | 4,573,000 | 7,943 | ||||||
Fortescue Metals Group Ltd | 1,041,200 | 4,453 | ConocoPhillips | 45,957 | 3,118 | ||||||
JFE Holdings Inc | 172,500 | 3,015 | Continental Resources Inc/OK(a) | 136,050 | 6,069 | ||||||
Nippon Steel & Sumitomo Metal Corp | 166,400 | 3,001 | Devon Energy Corp | 112,517 | 3,320 | ||||||
Novolipetsk Steel PJSC | 129,199 | 3,076 | Diamondback Energy Inc | 48,557 | 4,998 | ||||||
Nucor Corp | 50,347 | 3,050 | Ecopetrol SA ADR | 158,320 | 3,204 | ||||||
Steel Dynamics Inc | 134,489 | 5,019 | Eni SpA | 188,551 | 3,252 | ||||||
thyssenkrupp AG | 162,843 | 2,438 | EOG Resources Inc | 123,082 | 11,569 | ||||||
Vale SA ADR | 221,996 | 2,770 | Equinor ASA | 130,501 | 2,935 | ||||||
voestalpine AG | 91,520 | 2,829 | Exxon Mobil Corp | 38,258 | 3,024 | ||||||
$ | 39,112 | Fieldwood Energy LLC(a),(e) | 12,648 | 405 | |||||||
Lodging - 0.52% | Fieldwood Energy LLC(a) | 2,556 | 82 | ||||||||
City Developments Ltd | 1,212,900 | 7,986 | Galp Energia SGPS SA | 397,928 | 6,524 | ||||||
Hilton Grand Vacations Inc(a) | 68,778 | 2,186 | Gazprom PJSC ADR | 638,938 | 3,030 | ||||||
Hilton Worldwide Holdings Inc | 128,714 | 10,696 | Hess Corp | 141,345 | 8,177 | ||||||
$ | 20,868 | Imperial Oil Ltd | 102,100 | 2,764 | |||||||
Machinery - Diversified - 0.63% | LUKOIL PJSC ADR | 119,944 | 9,974 | ||||||||
ANDRITZ AG | 64,512 | 3,220 | Marathon Petroleum Corp | 165,291 | 10,249 | ||||||
Ebara Corp | 58,300 | 1,662 | Novatek PJSC | 17,881 | 3,098 | ||||||
Gorman-Rupp Co/The | 11,718 | 396 | Occidental Petroleum Corp | 219,224 | 14,502 | ||||||
IDEX Corp | 43,172 | 6,221 | OMV AG | 182,283 | 9,596 | ||||||
Kadant Inc | 10,869 | 950 | Petroleo Brasileiro SA ADR | 505,638 | 7,246 | ||||||
Lindsay Corp | 6,609 | 611 | Petroleo Brasileiro SA ADR | 208,883 | 3,284 | ||||||
Mueller Water Products Inc - Class A | 97,200 | 1,015 | Phillips 66 | 32,521 | 3,134 | ||||||
SIG Combibloc Services AG(a) | 180,203 | 1,896 | Pioneer Natural Resources Co | 48,873 | 6,888 | ||||||
Valmet OYJ | 36,865 | 918 | Repsol SA | 176,137 | 3,031 | ||||||
Xylem Inc/NY | 110,373 | 8,339 | Rosneft Oil Co PJSC | 482,754 | 2,891 | ||||||
$ | 25,228 | Royal Dutch Shell PLC - A Shares | 100,578 | 3,135 | |||||||
Media - 0.03% | S-Oil Corp | 31,985 | 2,835 | ||||||||
Cumulus Media Inc(a) | 74,266 | 1,323 | Suncor Energy Inc | 94,300 | 3,251 | ||||||
Metal Fabrication & Hardware - 0.05% | TOTAL SA | 432,298 | 24,606 | ||||||||
Advanced Drainage Systems Inc | 25,189 | 640 | Transocean Ltd(a) | 54,446 | 445 | ||||||
Reliance Worldwide Corp Ltd | 436,997 | 1,401 | Valero Energy Corp | 135,620 | 11,062 | ||||||
$ | 2,041 | Vantage Drilling International(a),(c),(d) | 1,554 | 122 | |||||||
Mining - 3.71% | Woodside Petroleum Ltd | 134,089 | 3,436 | ||||||||
Alcoa Corp(a) | 177,497 | 5,237 | $ | 213,407 | |||||||
Anglo American PLC | 590,356 | 15,657 | Oil & Gas Services - 0.16% | ||||||||
Antofagasta PLC | 297,812 | 3,690 | Halliburton Co | 96,766 | 2,970 | ||||||
Barrick Gold Corp | 1,015,278 | 12,807 | Schlumberger Ltd | 67,436 | 2,971 | ||||||
BHP Group Ltd | 135,705 | 3,584 | Select Energy Services Inc(a) | 41,399 | 417 | ||||||
Compass Minerals International Inc | 76,358 | 4,000 | $ | 6,358 | |||||||
Franco-Nevada Corp | 44,000 | 3,315 | |||||||||
Freeport-McMoRan Inc | 1,033,354 | 13,330 |
See accompanying notes.
58
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Packaging & Containers - 1.14% | REITs (continued) | ||||||||||
Amcor Ltd/Australia | 310,113 | $ | 3,309 | Essex Property Trust Inc | 47,978 | $ | 13,426 | ||||
Ball Corp | 171,259 | 9,382 | Frasers Logistics & Industrial Trust | 3,637,151 | 2,962 | ||||||
DS Smith PLC | 1,036,991 | 4,616 | Gecina SA | 57,213 | 8,472 | ||||||
Graphic Packaging Holding Co | 93,666 | 1,141 | Goodman Group | 1,853,107 | 16,855 | ||||||
Greif Inc - Class A | 42,464 | 1,707 | Inmobiliaria Colonial Socimi SA | 790,242 | 8,145 | ||||||
Klabin SA | 379,800 | 1,832 | Invitation Homes Inc | 533,935 | 12,281 | ||||||
Packaging Corp of America | 150,933 | 14,428 | Japan Hotel REIT Investment Corp | 8,680 | 6,702 | ||||||
Sealed Air Corp | 83,258 | 3,632 | Japan Retail Fund Investment Corp | 1,874 | 3,780 | ||||||
Sonoco Products Co | 21,203 | 1,227 | Kilroy Realty Corp | 82,091 | 6,051 | ||||||
Westrock Co | 126,771 | 4,738 | Klepierre SA | 100,709 | 3,513 | ||||||
$ | 46,012 | Link REIT | 1,112,870 | 12,588 | |||||||
Pipelines - 8.31% | MCUBS MidCity Investment Corp | 6,381 | 5,618 | ||||||||
AltaGas Ltd | 616,249 | 8,279 | Merlin Properties Socimi SA | 464,856 | 6,022 | ||||||
Andeavor Logistics LP | 246,743 | 8,680 | Minto Apartment Real Estate Investment Trust | 324,240 | 4,795 | ||||||
Antero Midstream GP LP | 67,098 | 857 | Park Hotels & Resorts Inc | 61,178 | 1,911 | ||||||
APA Group | 1,824,699 | 12,961 | Physicians Realty Trust | 185,307 | 3,349 | ||||||
BP Midstream Partners LP | 118,024 | 1,934 | PotlatchDeltic Corp | 207,940 | 7,484 | ||||||
Buckeye Partners LP | 144,967 | 4,564 | Prologis Inc | 200,693 | 14,061 | ||||||
Cheniere Energy Inc(a) | 399,110 | 25,723 | Rayonier Inc | 357,189 | 10,527 | ||||||
DCP Midstream LP | 27,969 | 901 | Regency Centers Corp | 148,252 | 9,673 | ||||||
Enbridge Inc | 1,038,234 | 38,407 | Rexford Industrial Realty Inc | 356,013 | 12,204 | ||||||
Enbridge Inc | 259,837 | 9,612 | Segro PLC | 1,246,171 | 10,929 | ||||||
Energy Transfer LP | 1,318,141 | 19,495 | Simon Property Group Inc | 114,851 | 20,806 | ||||||
EnLink Midstream LLC | 293,668 | 3,274 | STORE Capital Corp | 158,720 | 5,154 | ||||||
Enterprise Products Partners LP | 699,541 | 19,342 | Sun Communities Inc | 68,275 | 7,754 | ||||||
EQM Midstream Partners LP | 229,764 | 8,931 | Sunstone Hotel Investors Inc | 305,780 | 4,602 | ||||||
Kinder Morgan Inc/DE | 634,158 | 12,151 | Unibail-Rodamco-Westfield | 7,179 | 1,156 | ||||||
Koninklijke Vopak NV | 98,199 | 4,797 | UNITE Group PLC/The | 575,796 | 6,990 | ||||||
Magellan Midstream Partners LP | 292,171 | 17,784 | United Urban Investment Corp | 3,269 | 5,070 | ||||||
MPLX LP | 442,224 | 14,664 | Welltower Inc | 129,912 | 9,654 | ||||||
Noble Midstream Partners LP | 45,074 | 1,517 | Weyerhaeuser Co | 425,639 | 10,594 | ||||||
ONEOK Inc | 194,561 | 12,503 | $ | 361,678 | |||||||
Pembina Pipeline Corp | 81,221 | 2,973 | Retail - 0.06% | ||||||||
Phillips 66 Partners LP | 198,668 | 9,747 | Gymboree Corp/The(a),(e) | 17,842 | 27 | ||||||
Plains All American Pipeline LP | 807,860 | 18,855 | Gymboree Holding Corp(a) | 48,577 | 73 | ||||||
Shell Midstream Partners LP | 316,652 | 5,662 | Home Depot Inc/The | 12,626 | 2,337 | ||||||
Tallgrass Energy LP | 288,101 | 6,520 | $ | 2,437 | |||||||
Targa Resources Corp | 112,005 | 4,507 | Software - 0.18% | ||||||||
TransCanada Corp | 440,392 | 19,694 | Avaya Holdings Corp(a) | 171,909 | 2,663 | ||||||
Williams Cos Inc/The | 1,509,405 | 40,286 | InterXion Holding NV(a) | 71,317 | 4,671 | ||||||
$ | 334,620 | $ | 7,334 | ||||||||
Real Estate - 1.72% | Storage & Warehousing - 0.08% | ||||||||||
ADO Properties SA(b) | 138,361 | 7,922 | Safestore Holdings PLC | 405,243 | 3,298 | ||||||
Aroundtown SA | 943,314 | 7,921 | Telecommunications - 0.05% | ||||||||
Deutsche Wohnen SE | 245,893 | 11,443 | Eutelsat Communications SA | 96,996 | 1,914 | ||||||
Entra ASA(b) | 272,869 | 3,826 | Transportation - 0.14% | ||||||||
Fabege AB | 517,875 | 6,953 | East Japan Railway Co | 54,300 | 5,201 | ||||||
Hongkong Land Holdings Ltd | 714,397 | 5,124 | Harvey Gulf(a),(c),(d) | 3,014 | 109 | ||||||
Mitsui Fudosan Co Ltd | 447,870 | 10,628 | Harvey Gulf - Warrants(a),(c),(d) | 13,471 | 485 | ||||||
New World Development Co Ltd | 7,576,140 | 12,096 | $ | 5,795 | |||||||
Pope Resources a Delaware LP | 47,701 | 3,267 | |||||||||
$ | 69,180 | Water - 2.64% | |||||||||
American States Water Co | 25,898 | 1,842 | |||||||||
REITs - 8.98% | American Water Works Co Inc | 127,249 | 12,931 | ||||||||
Agree Realty Corp | 53,891 | 3,542 | Aqua America Inc | 125,433 | 4,508 | ||||||
Alexandria Real Estate Equities Inc | 110,253 | 14,982 | Beijing Enterprises Water Group Ltd | 3,918,000 | 2,346 | ||||||
Allied Properties Real Estate Investment Trust | 62,000 | 2,262 | California Water Service Group | 33,891 | 1,763 | ||||||
American Tower Corp | 21,840 | 3,847 | Cia de Saneamento Basico do Estado de Sao | 240,947 | 2,506 | ||||||
Americold Realty Trust | 312,539 | 8,985 | Paulo ADR | ||||||||
Apartment Investment & Management Co | 162,608 | 7,956 | Cia de Saneamento do Parana | 426,540 | 8,727 | ||||||
AvalonBay Communities Inc | 80,466 | 15,661 | Connecticut Water Service Inc | 8,492 | 570 | ||||||
Boston Properties Inc | 15,700 | 2,083 | Guangdong Investment Ltd | 2,028,000 | 3,887 | ||||||
CatchMark Timber Trust Inc | 280,792 | 2,682 | Middlesex Water Co | 11,558 | 680 | ||||||
CFE Capital S de RL de CV | 6,017,200 | 5,305 | Pennon Group PLC | 1,123,512 | 11,597 | ||||||
Crown Castle International Corp | 118,529 | 14,076 | PICO Holdings Inc(a) | 15,452 | 159 | ||||||
CubeSmart | 164,132 | 5,029 | Severn Trent PLC | 603,759 | 16,172 | ||||||
Daiwa Office Investment Corp | 916 | 6,108 | SJW Group | 11,193 | 685 | ||||||
Dexus | 849,192 | 7,249 | Suez | 298,849 | 3,821 | ||||||
EPR Properties | 58,257 | 4,281 | United Utilities Group PLC | 2,440,604 | 27,197 | ||||||
Equinix Inc | 10,631 | 4,502 |
See accompanying notes.
59
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | Principal | |||||||||||||
Water (continued) | BONDS (continued) | Amount (000’s) Value (000’s) | |||||||||||||
Veolia Environnement SA | 303,723 | $ | 6,664 | Media - 0.01% | |||||||||||
York Water Co/The | 9,108 | 332 | iHeartCommunications Inc | ||||||||||||
$ | 106,387 | 0.00%, 12/15/2019(a) | $ | 523 | $ | 364 | |||||||||
TOTAL COMMON STOCKS | $ | 2,089,462 | Sovereign - 1.47% | ||||||||||||
INVESTMENT COMPANIES - 2.51% | Shares Held Value (000's) | French Republic Government Bond OAT | |||||||||||||
Exchange-Traded Funds - 0.35% | 0.10%, 07/25/2047(b) | EUR | 1,872 | 2,195 | |||||||||||
Invesco S&P Global Water Index ETF | 105,289 | 3,690 | 1.85%, 07/25/2027 | 9,657 | 13,450 | ||||||||||
SPDR S&P Global Natural Resources ETF | 231,968 | 10,610 | Italy Buoni Poliennali Del Tesoro | ||||||||||||
$ | 14,300 | 1.25%, 10/27/2020(b) | 999 | 1,161 | |||||||||||
Money Market Funds - 2.16% | 1.30%, 05/15/2028(b) | 3,009 | 3,243 | ||||||||||||
Principal Government Money Market Fund | 86,921,547 | 86,922 | 1.65%, 04/23/2020(b) | 1,867 | 2,170 | ||||||||||
2.33%(f),(g) | 3.45%, 03/01/2048(b) | 3,130 | 3,422 | ||||||||||||
TOTAL INVESTMENT COMPANIES | $ | 101,222 | Japanese Government CPI Linked Bond | ||||||||||||
PREFERRED STOCKS - 0.15% | Shares Held Value (000's) | 0.10%, 03/10/2027 | JPY | 689,106 | 6,397 | ||||||||||
Electric - 0.15% | 0.10%, 03/10/2028 | 1,365,788 | 12,691 | ||||||||||||
Cia Energetica de Sao Paulo 0.04% | 939,200 | $ | 6,041 | New Zealand Government Inflation Linked Bond | |||||||||||
TOTAL PREFERRED STOCKS | $ | 6,041 | 2.60%, 09/20/2040 | NZD | 1,099 | 922 | |||||||||
Principal | 2.63%, 09/20/2035 | 2,831 | 2,365 | ||||||||||||
BONDS - 7.74% | Amount (000's) Value (000's) | 3.00%, 09/20/2030 | 10,354 | 8,985 | |||||||||||
Federal & Federally Sponsored Credit - 2.36% | United Kingdom Gilt | ||||||||||||||
Federal Farm Credit Banks | 1.50%, 07/22/2047 | GBP | 1,105 | 1,359 | |||||||||||
2.54%, 07/09/2020(h) | $ | 14,000 | $ | 13,989 | United Kingdom Gilt Inflation Linked | ||||||||||
Federal Reserve Bank Prime Loan Rate US | 0.75%, 11/22/2047 | 320 | 771 | ||||||||||||
+ (2.96)% | $ | 59,131 | |||||||||||||
2.56%, 12/28/2020(h) | 8,000 | 8,003 | TOTAL BONDS | $ | 311,538 | ||||||||||
1 Month USD LIBOR + 0.07% | COMMODITY INDEXED STRUCTURED | Principal | |||||||||||||
2.57%, 08/27/2020(h) | 3,800 | 3,801 | NOTES - 0.46% | Amount (000's) Value (000's) | |||||||||||
Federal Reserve Bank Prime Loan Rate US | Banks - 0.46% | ||||||||||||||
+ (2.93)% | Royal Bank of Canada; Dow Jones - UBS | ||||||||||||||
2.57%, 09/24/2020(h) | 8,700 | 8,700 | Commodity Index Linked Note | ||||||||||||
Federal Reserve Bank Prime Loan Rate US | 2.40%, 04/23/2019(b) | $ | 22,000 | 18,586 | |||||||||||
+ (5.86)% | TOTAL COMMODITY INDEXED STRUCTURED NOTES | $ | 18,586 | ||||||||||||
2.59%, 12/11/2019(h) | 13,500 | 13,511 | Principal | ||||||||||||
Federal Reserve Bank Prime Loan Rate US | CONVERTIBLE BONDS - 0.01% | Amount (000's) Value (000's) | |||||||||||||
+ (5.82)% | Oil & Gas - 0.01% | ||||||||||||||
2.62%, 07/23/2020(h) | 28,200 | 28,192 | Vantage Drilling International | ||||||||||||
3 Month USD LIBOR + (0.30)% | 1.00%, PIK 1.00%, 12/31/2030(d),(i),(j) | 276 | 276 | ||||||||||||
2.64%, 01/27/2020(h) | 3,700 | 3,703 | TOTAL CONVERTIBLE BONDS | $ | 276 | ||||||||||
3 Month USD LIBOR + (0.12)% | SENIOR FLOATING RATE INTERESTS | Principal | |||||||||||||
2.71%, 01/15/2021(h) | 15,000 | 15,007 | - 14.23% | Amount (000's) Value (000's) | |||||||||||
3 Month USD LIBOR + (0.08)% | Advertising - 0.06% | ||||||||||||||
$ | 94,906 | Advantage Sales & Marketing Inc | |||||||||||||
Finance - Mortgage Loan/Banker - 3.90% | 5.74%, 07/23/2021(k) | $ | 382 | $ | 334 | ||||||||||
Fannie Mae | US LIBOR + 3.25% | ||||||||||||||
2.47%, 04/30/2020(h) | 13,800 | 13,810 | AffinionGroup Inc | ||||||||||||
United States Secured Overnight Financing | 10.23%, 03/31/2022(k) | 856 | 769 | ||||||||||||
Rate + 0.10% | US LIBOR + 7.75% | ||||||||||||||
2.53%, 01/30/2020(h) | 42,160 | 42,206 | Checkout Holding Corp | ||||||||||||
United States Secured Overnight Financing | 0.00%, 04/09/2021(a),(k) | 1,333 | 120 | ||||||||||||
Rate + 0.16% | US LIBOR + 3.50% | ||||||||||||||
Federal Home Loan Banks | 3.49%, PIK 9.50%, 08/15/2023(j),(k) | 222 | 170 | ||||||||||||
0.88%, 08/05/2019(h) | 11,500 | 11,422 | US LIBOR + 1.00% | ||||||||||||
2.38%, 06/27/2019(h) | 9,300 | 9,298 | 9.99%, 02/15/2023(k) | 184 | 177 | ||||||||||
1 Month USD LIBOR + (0.19)% | US LIBOR + 7.50% | ||||||||||||||
2.42%, 01/23/2020(h) | 5,800 | 5,797 | Red Ventures LLC | ||||||||||||
1 Month USD LIBOR + (0.07)% | 5.49%, 11/08/2024(k) | 797 | 795 | ||||||||||||
2.43%, 12/16/2019(h) | 7,500 | 7,498 | US LIBOR + 3.00% | ||||||||||||
1 Month USD LIBOR + (0.06)% | $ | 2,365 | |||||||||||||
2.53%, 01/30/2020(h) | 11,000 | 11,002 | Aerospace & Defense - 0.24% | ||||||||||||
3 Month Treasury Bill + 0.14% | Sequa Mezzanine Holdings LLC | ||||||||||||||
Freddie Mac | 7.78%, 10/28/2021(k) | 3,643 | 3,576 | ||||||||||||
2.28%, 09/20/2019(h),(i) | 18,000 | 18,004 | US LIBOR + 5.00% | ||||||||||||
2.39%, 06/28/2019(h) | 3,300 | 3,300 | 11.75%, 04/28/2022(k) | 1,304 | 1,265 | ||||||||||
1 Month USD LIBOR + (0.10)% | US LIBOR + 9.00% | ||||||||||||||
2.40%, 08/12/2019(h) | 29,400 | 29,399 | |||||||||||||
1 Month USD LIBOR + (0.20)% | |||||||||||||||
2.63%, 07/05/2019(h) | 5,400 | 5,401 | |||||||||||||
3 Month USD LIBOR + (0.17)% | |||||||||||||||
$ | 157,137 |
See accompanying notes.
60
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
SENIOR FLOATING RATE INTERESTS | Principal | SENIOR FLOATING RATE INTERESTS | Principal | ||||||||
(continued) | Amount (000’s) Value (000’s) | (continued) | Amount (000’s) Value (000’s) | ||||||||
Aerospace & Defense (continued) | Commercial Services (continued) | ||||||||||
TransDigm Inc | Gartner Inc | ||||||||||
4.99%, 06/09/2023(k) | $ | 3,754 | $ | 3,706 | 3.99%, 03/20/2022(k) | $ | 918 | $ | 913 | ||
US LIBOR + 2.50% | US LIBOR + 2.00% | ||||||||||
4.99%, 05/30/2025(k) | 993 | 978 | Laureate Education Inc | ||||||||
US LIBOR + 2.50% | 6.00%, 04/26/2024(k) | 1,321 | 1,322 | ||||||||
$ | 9,525 | US LIBOR + 3.50% | |||||||||
Airlines - 0.24% | Monitronics International Inc | ||||||||||
Allegiant Travel Co | 8.30%, 09/30/2022(k) | 97 | 85 | ||||||||
7.24%, 01/29/2024(k) | 600 | 598 | US LIBOR + 5.50% | ||||||||
US LIBOR + 4.50% | PAREXEL International Corp | ||||||||||
American Airlines Inc | 5.24%, 08/09/2024(k) | 1,040 | 1,009 | ||||||||
4.23%, 06/27/2025(k) | 2,806 | 2,748 | US LIBOR + 2.75% | ||||||||
US LIBOR + 1.75% | Prime Security Services Borrower LLC | ||||||||||
4.49%, 12/14/2023(k) | 1,646 | 1,619 | 5.24%, 05/02/2022(k) | 1,920 | 1,914 | ||||||
US LIBOR + 2.00% | US LIBOR + 2.75% | ||||||||||
4.52%, 10/10/2021(k) | 4,762 | 4,742 | RefinitivUS Holdings Inc | ||||||||
US LIBOR + 2.00% | 6.24%, 09/18/2025(k) | 3,000 | 2,952 | ||||||||
$ | 9,707 | US LIBOR + 3.75% | |||||||||
Automobile Parts & Equipment - 0.02% | Syniverse Holdings Inc | ||||||||||
Altra Industrial Motion Corp | 7.51%, 02/09/2023(k) | 3,598 | 3,395 | ||||||||
4.49%, 09/26/2025(k) | 978 | 966 | US LIBOR + 5.00% | ||||||||
US LIBOR + 2.00% | 11.51%, 02/09/2024(k) | 2,000 | 1,660 | ||||||||
Beverages - 0.05% | US LIBOR + 9.00% | ||||||||||
Jacobs Douwe Egberts International BV | Team Health Holdings Inc | ||||||||||
4.56%, 10/23/2025(k) | 2,108 | 2,094 | 5.25%, 02/06/2024(k) | 1,398 | 1,260 | ||||||
US LIBOR + 2.00% | US LIBOR + 2.75% | ||||||||||
Verscend Holding Corp | |||||||||||
Biotechnology - 0.11% | 7.00%, 08/08/2025(k) | 1,132 | 1,134 | ||||||||
Concordia International Corp | US LIBOR + 4.50% | ||||||||||
8.02%, 09/06/2024(k) | 4,682 | 4,438 | Wand NewCo 3 Inc | ||||||||
US LIBOR + 5.50% | 6.01%, 01/23/2026(k) | 1,000 | 1,002 | ||||||||
Building Materials - 0.09% | US LIBOR + 3.50% | ||||||||||
Quikrete Holdings Inc | WEX Inc | ||||||||||
5.24%, 11/03/2023(k) | 3,583 | 3,532 | 4.74%, 06/30/2023(k) | 922 | 917 | ||||||
US LIBOR + 2.75% | US LIBOR + 2.25% | ||||||||||
Chemicals - 0.07% | Worldpay LLC | ||||||||||
INEOS US Finance LLC | 4.21%, 08/09/2024(k) | 1,489 | 1,477 | ||||||||
4.49%, 03/31/2024(k) | 238 | 235 | US LIBOR + 1.75% | ||||||||
US LIBOR + 2.00% | $ | 26,610 | |||||||||
Minerals Technologies Inc | Computers - 0.55% | ||||||||||
4.75%, 05/09/2021(k) | 1,144 | 1,136 | Dell International LLC | ||||||||
Starfruit US Holdco LLC | 4.50%, 09/07/2023(k) | 8,356 | 8,323 | ||||||||
5.76%, 10/01/2025(k) | 1,310 | 1,300 | US LIBOR + 2.00% | ||||||||
US LIBOR + 3.25% | iQor US Inc | ||||||||||
Tronox Blocked Borrower LLC | 7.80%, 04/01/2021(k) | 2,330 | 2,170 | ||||||||
5.50%, 09/13/2024(k) | 62 | 61 | US LIBOR + 5.00% | ||||||||
US LIBOR + 3.00% | McAfee LLC | ||||||||||
Tronox Finance LLC | 6.24%, 09/30/2024(k) | 3,247 | 3,252 | ||||||||
5.49%, 09/13/2024(k) | 143 | 142 | US LIBOR + 3.75% | ||||||||
US LIBOR + 3.00% | 10.99%, 09/29/2025(k) | 687 | 695 | ||||||||
$ | 2,874 | US LIBOR + 8.50% | |||||||||
Coal - 0.03% | NeuStar Inc | ||||||||||
Peabody Energy Corp | 5.99%, 08/08/2024(k) | 984 | 942 | ||||||||
5.24%, 03/07/2025(k) | 1,181 | 1,175 | US LIBOR + 3.50% | ||||||||
US LIBOR + 2.75% | Optiv Security Inc | ||||||||||
Commercial Services - 0.66% | 5.74%, 02/01/2024(k) | 911 | 872 | ||||||||
Allied Universal Holdco LLC | US LIBOR + 3.25% | ||||||||||
6.24%, 07/28/2022(k) | 1,407 | 1,381 | Tempo Acquisition LLC | ||||||||
US LIBOR + 3.75% | 5.49%, 05/01/2024(k) | 1,474 | 1,472 | ||||||||
Atlantic Aviation FBO Inc | US LIBOR + 3.00% | ||||||||||
6.27%, 11/28/2025(k) | 750 | 755 | Western Digital Corp | ||||||||
US LIBOR + 3.75% | 4.23%, 04/29/2023(k) | 4,398 | 4,313 | ||||||||
Camelot Finance LP | US LIBOR + 1.75% | ||||||||||
5.74%, 10/03/2023(k) | 2,386 | 2,376 | $ | 22,039 | |||||||
US LIBOR + 3.25% | Consumer Products - 0.04% | ||||||||||
Concentra Inc | Champ Acquisition Corp | ||||||||||
5.27%, 06/01/2022(k) | 3,077 | 3,058 | 8.13%, 12/17/2025(k) | 1,000 | 998 | ||||||
US LIBOR + 2.50% | US LIBOR + 5.50% |
See accompanying notes.
61
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
SENIOR FLOATING RATE INTERESTS | Principal | SENIOR FLOATING RATE INTERESTS | Principal | ||||||||
(continued) | Amount (000’s) Value (000’s) | (continued) | Amount (000’s) Value (000’s) | ||||||||
Consumer Products (continued) | Engineering & Construction - 0.10% | ||||||||||
Prestige Brands Inc | Brand Industrial Services Inc | ||||||||||
4.49%, 01/20/2024(k) | $ | 609 | $ | 605 | 6.96%, 06/21/2024(k) | $ | 2,248 | $ | 2,192 | ||
US LIBOR + 2.00% | US LIBOR + 4.25% | ||||||||||
$ | 1,603 | Standard Aero Ltd | |||||||||
Cosmetics & Personal Care - 0.16% | 0.00%, 01/23/2026(k),(l) | 1,301 | 1,304 | ||||||||
Coty Inc | 0.00%, 01/23/2026(k),(l) | 699 | 701 | ||||||||
4.26%, 04/05/2023(k) | 2,438 | 2,377 | $ | 4,197 | |||||||
US LIBOR + 1.75% | Entertainment - 0.66% | ||||||||||
4.76%, 04/07/2025(k) | 1,493 | 1,456 | CCM Merger Inc | ||||||||
US LIBOR + 2.25% | 4.74%, 08/08/2021(k) | 1,029 | 1,024 | ||||||||
Revlon Consumer Products Corp | US LIBOR + 2.25% | ||||||||||
6.13%, 07/21/2023(k) | 3,463 | 2,580 | CEOC LLC | ||||||||
US LIBOR + 3.50% | 4.50%, 10/06/2024(k) | 2,489 | 2,464 | ||||||||
$ | 6,413 | US LIBOR + 2.00% | |||||||||
Distribution & Wholesale - 0.15% | Crown Finance US Inc | ||||||||||
Core & Main LP | 5.00%, 02/07/2025(k) | 711 | 705 | ||||||||
5.72%, 08/01/2024(k) | 1,481 | 1,467 | US LIBOR + 2.50% | ||||||||
US LIBOR + 3.00% | Formula One Management Ltd | ||||||||||
KAR Auction Services Inc | 4.99%, 02/01/2024(k) | 6,702 | 6,549 | ||||||||
5.31%, 03/09/2023(k) | 764 | 762 | US LIBOR + 2.50% | ||||||||
US LIBOR + 2.50% | Metro-Goldwyn-Mayer Inc | ||||||||||
Univar USA Inc | 5.00%, 07/03/2025(k) | 1,496 | 1,485 | ||||||||
4.74%, 07/01/2024(k) | 3,754 | 3,746 | US LIBOR + 2.50% | ||||||||
US LIBOR + 2.25% | 7.00%, 07/03/2026(k) | 1,500 | 1,460 | ||||||||
$ | 5,975 | US LIBOR + 4.50% | |||||||||
Diversified Financial Services - 0.24% | Penn National Gaming Inc | ||||||||||
Capital Automotive LP | 4.84%, 08/14/2025(k) | 2,000 | 1,990 | ||||||||
5.00%, 03/21/2024(k) | 3,560 | 3,503 | US LIBOR + 2.25% | ||||||||
US LIBOR + 2.50% | Scientific Games InternationalInc | ||||||||||
8.49%, 03/21/2025(k) | 2,061 | 2,054 | 5.31%, 08/14/2024(k) | 6,090 | 6,032 | ||||||
US LIBOR + 6.00% | US LIBOR + 2.75% | ||||||||||
Ditech Holding Corp | Stars Group Holdings BV | ||||||||||
0.00%, 06/30/2022(a),(k) | 5,199 | 3,491 | 6.30%, 06/27/2025(k) | 2,905 | 2,904 | ||||||
US LIBOR + 3.75% | US LIBOR + 3.50% | ||||||||||
Lions Gate Capital Holdings LLC | William Morris Endeavor Entertainment LLC | ||||||||||
4.74%, 03/24/2025(k) | 593 | 590 | 5.25%, 05/16/2025(k) | 1,968 | 1,907 | ||||||
US LIBOR + 2.25% | US LIBOR + 2.75% | ||||||||||
$ | 9,638 | $ | 26,520 | ||||||||
Electric - 0.48% | Environmental Control - 0.14% | ||||||||||
Calpine Corp | Advanced Disposal Services Inc | ||||||||||
5.31%, 05/05/2023(k) | 2,332 | 2,317 | 4.67%, 11/10/2023(k) | 4,737 | 4,729 | ||||||
US LIBOR + 2.50% | US LIBOR + 2.25% | ||||||||||
5.31%, 01/15/2024(k) | 1,341 | 1,331 | GFL Environmental Inc | ||||||||
US LIBOR + 2.50% | 5.50%, 05/09/2025(k) | 997 | 980 | ||||||||
Dayton Power & Light Co/The | US LIBOR + 3.00% | ||||||||||
4.50%, 08/24/2022(k) | 2,101 | 2,096 | $ | 5,709 | |||||||
US LIBOR + 2.00% | Food - 0.40% | ||||||||||
NRG Energy Inc | Albertson's LLC | ||||||||||
4.24%, 06/30/2023(k) | 772 | 768 | 5.49%, 10/29/2025(k) | 9,286 | 9,215 | ||||||
US LIBOR + 1.75% | US LIBOR + 3.00% | ||||||||||
Vistra Operations Co LLC | CHG PPC Parent LLC | ||||||||||
4.48%, 12/31/2025(k) | 2,122 | 2,112 | 5.24%, 03/30/2025(k) | 746 | 739 | ||||||
US LIBOR + 2.00% | US LIBOR + 2.75% | ||||||||||
4.49%, 08/04/2023(k) | 8,449 | 8,421 | US Foods Inc | ||||||||
US LIBOR + 2.00% | 4.49%, 06/27/2023(k) | 6,290 | 6,249 | ||||||||
4.74%, 12/14/2023(k) | 2,444 | 2,440 | US LIBOR + 2.00% | ||||||||
US LIBOR + 2.25% | $ | 16,203 | |||||||||
$ | 19,485 | Food Service - 0.02% | |||||||||
Electrical Components & Equipment - 0.02% | 8th Avenue Food & Provisions Inc | ||||||||||
Energizer Holdings Inc | 6.26%, 09/19/2025(k) | 900 | 901 | ||||||||
4.74%, 12/17/2025(k) | 750 | 749 | US LIBOR + 3.75% | ||||||||
US LIBOR + 2.25% | Healthcare - Products - 0.30% | ||||||||||
Electronics - 0.03% | Carestream Health Inc | ||||||||||
TTM Technologies Inc | 8.24%, 02/28/2021(k) | 3,215 | 3,154 | ||||||||
5.01%, 09/13/2024(k) | 1,307 | 1,286 | US LIBOR + 5.75% | ||||||||
US LIBOR + 2.50% | 11.99%, 06/07/2021(k) | 570 | 559 | ||||||||
US LIBOR + 9.50% |
See accompanying notes.
62
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
SENIOR FLOATING RATE INTERESTS | Principal | SENIOR FLOATING RATE INTERESTS | Principal | ||||||||
(continued) | Amount (000’s) Value (000’s) | (continued) | Amount (000’s) Value (000’s) | ||||||||
Healthcare - Products (continued) | Healthcare - Services (continued) | ||||||||||
ConvaTec Inc | Syneos Health Inc | ||||||||||
5.05%, 10/31/2023(k) | $ | 2,595 | $ | 2,580 | 4.49%, 08/01/2024(k) | $ | 1,888 | $ | 1,844 | ||
US LIBOR + 2.25% | US LIBOR + 2.00% | ||||||||||
Kinetic Concepts Inc | $ | 35,932 | |||||||||
6.05%, 02/02/2024(k) | 2,359 | 2,352 | Home Furnishings - 0.02% | ||||||||
US LIBOR + 3.25% | Compuware Corp | ||||||||||
LifeScan Global Corp | 5.99%, 08/08/2025(k) | 699 | 701 | ||||||||
8.80%, 10/01/2024(k) | 750 | 719 | US LIBOR + 3.50% | ||||||||
US LIBOR + 6.00% | Insurance - 0.16% | ||||||||||
MedPlast Holdings Inc | Acrisure LLC | ||||||||||
6.55%, 06/26/2025(k) | 1,746 | 1,752 | 6.75%, 11/20/2023(k) | 1,226 | 1,226 | ||||||
US LIBOR + 3.75% | US LIBOR + 4.25% | ||||||||||
Vyaire Medical Inc | Alliant Holdings Intermediate LLC | ||||||||||
7.55%, 04/11/2025(k) | 995 | 916 | 5.23%, 05/09/2025(k) | 2,705 | 2,671 | ||||||
US LIBOR + 4.75% | US LIBOR + 2.75% | ||||||||||
$ | 12,032 | HUB International Ltd | |||||||||
Healthcare - Services - 0.89% | 5.51%, 04/25/2025(k) | 2,560 | 2,534 | ||||||||
Air Medical Group Holdings Inc | US LIBOR + 3.00% | ||||||||||
6.74%, 03/14/2025(k) | 323 | 313 | $ | 6,431 | |||||||
US LIBOR + 4.25% | Internet - 0.10% | ||||||||||
Ardent Health Partners LLC | Ancestry.com Operations Inc | ||||||||||
6.99%, 06/16/2025(k) | 1,742 | 1,744 | 5.75%, 10/19/2023(k) | 1,839 | 1,827 | ||||||
US LIBOR + 4.50% | US LIBOR + 3.25% | ||||||||||
Catalent Pharma Solutions Inc | Uber Technologies Inc | ||||||||||
4.74%, 05/20/2024(k) | 2,434 | 2,424 | 5.98%, 07/13/2023(k) | 992 | 988 | ||||||
US LIBOR + 2.25% | US LIBOR + 3.50% | ||||||||||
CHS/Community Health Systems Inc | 6.52%, 04/04/2025(k) | 995 | 995 | ||||||||
5.88%, 01/27/2021(k) | 1,634 | 1,623 | US LIBOR + 4.00% | ||||||||
US LIBOR + 3.25% | $ | 3,810 | |||||||||
Envision Healthcare Corp | Investment Companies - 0.15% | ||||||||||
6.25%, 09/26/2025(k) | 750 | 720 | Abe Investment Holdings Inc | ||||||||
US LIBOR + 3.75% | 7.06%, 02/13/2026(k) | 1,999 | 1,994 | ||||||||
Gentiva Health Services Inc | US LIBOR + 4.50% | ||||||||||
6.25%, 07/02/2025(k) | 2,925 | 2,928 | RPI Finance Trust | ||||||||
US LIBOR + 3.75% | 4.49%, 03/27/2023(k) | 3,855 | 3,847 | ||||||||
9.50%, 07/02/2026(k) | 500 | 508 | US LIBOR + 2.00% | ||||||||
US LIBOR + 7.00% | $ | 5,841 | |||||||||
HCA Inc | |||||||||||
4.24%, 03/17/2023(k) | 3,128 | 3,125 | Leisure Products & Services - 0.26% | ||||||||
US LIBOR + 1.75% | Alterra Mountain Co | ||||||||||
4.49%, 03/07/2025(k) | 6,116 | 6,113 | 5.49%, 07/31/2024(k) | 1,566 | 1,560 | ||||||
US LIBOR + 2.00% | US LIBOR + 3.00% | ||||||||||
Heartland Dental LLC | Callaway Golf Co | ||||||||||
6.15%, 04/30/2025(k) | 5 | 5 | 7.01%, 12/17/2025(k) | 1,500 | 1,505 | ||||||
US LIBOR + 3.75% | US LIBOR + 4.50% | ||||||||||
6.25%, 04/18/2025(k) | 113 | 112 | Equinox Holdings Inc | ||||||||
US LIBOR + 3.75% | 5.49%, 03/08/2024(k) | 1,032 | 1,025 | ||||||||
Jaguar Holding Co II | US LIBOR + 3.00% | ||||||||||
4.99%, 08/18/2022(k) | 6,666 | 6,627 | Fitness International LLC | ||||||||
US LIBOR + 2.50% | 5.24%, 04/18/2023(k) | 1,706 | 1,693 | ||||||||
MPH Acquisition Holdings LLC | US LIBOR + 2.75% | ||||||||||
5.55%, 05/25/2023(k) | 712 | 704 | Life Time Fitness Inc | ||||||||
US LIBOR + 3.00% | 5.38%, 06/10/2022(k) | 3,561 | 3,540 | ||||||||
New Millennium Holdco Inc | US LIBOR + 2.75% | ||||||||||
8.99%, 12/21/2020(k) | 1,088 | 528 | Sabre GLBL Inc | ||||||||
US LIBOR + 6.50% | 4.49%, 02/22/2024(k) | 967 | 964 | ||||||||
Phoenix Guarantor Inc | US LIBOR + 2.00% | ||||||||||
0.00%, 02/12/2026(k),(l) | 1,269 | 1,257 | $ | 10,287 | |||||||
Quorum Health Corp | Lodging - 0.35% | ||||||||||
9.24%, 04/29/2022(k) | 393 | 393 | Boyd Gaming Corp | ||||||||
US LIBOR + 6.75% | 4.66%, 09/15/2023(k) | 2,044 | 2,032 | ||||||||
RegionalCare Hospital Partners Holdings Inc | US LIBOR + 2.25% | ||||||||||
6.98%, 11/14/2025(k) | 3,000 | 2,995 | Caesars Resort Collection LLC | ||||||||
US LIBOR + 4.50% | 5.24%, 12/22/2024(k) | 3,958 | 3,943 | ||||||||
Select Medical Corp | US LIBOR + 2.75% | ||||||||||
4.99%, 03/06/2025(k) | 1,986 | 1,969 | CityCenter Holdings LLC | ||||||||
US LIBOR + 2.50% | 4.74%, 04/18/2024(k) | 3,027 | 3,004 | ||||||||
US LIBOR + 2.25% |
See accompanying notes.
63
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
SENIOR FLOATING RATE INTERESTS | Principal | SENIOR FLOATING RATE INTERESTS | Principal | ||||||||
(continued) | Amount (000’s) Value (000’s) | (continued) | Amount (000’s) Value (000’s) | ||||||||
Lodging (continued) | Media (continued) | ||||||||||
Hilton Worldwide Finance LLC | Mission Broadcasting Inc | ||||||||||
4.24%, 10/25/2023(k) | $ | 3,079 | $ | 3,076 | 4.76%, 01/17/2024(k) | $ | 405 | $ | 399 | ||
US LIBOR + 1.75% | US LIBOR + 2.25% | ||||||||||
Wyndham Hotels & Resorts Inc | Nexstar Broadcasting Inc | ||||||||||
4.24%, 05/30/2025(k) | 1,995 | 1,984 | 4.74%, 01/17/2024(k) | 2,234 | 2,204 | ||||||
US LIBOR + 1.75% | US LIBOR + 2.25% | ||||||||||
$ | 14,039 | Nielsen Finance LLC | |||||||||
Machinery - Construction & Mining - 0.03% | 4.52%, 10/04/2023(k) | 2,451 | 2,436 | ||||||||
North American Lifting Holdings Inc | US LIBOR + 2.00% | ||||||||||
7.30%, 11/27/2020(k) | 1,504 | 1,368 | Sinclair Television Group Inc | ||||||||
US LIBOR + 4.50% | 4.75%, 01/03/2024(k) | 992 | 987 | ||||||||
Machinery - Diversified - 0.24% | US LIBOR + 2.25% | ||||||||||
Columbus McKinnon Corp/NY | Tribune Media Co | ||||||||||
5.30%, 01/31/2024(k) | 1,246 | 1,240 | 5.49%, 01/27/2024(k) | 2,053 | 2,051 | ||||||
US LIBOR + 2.50% | US LIBOR + 3.00% | ||||||||||
Gardner Denver Inc | UPC Financing Partnership | ||||||||||
5.24%, 07/30/2024(k) | 4,484 | 4,479 | 4.99%, 01/15/2026(k) | 2,801 | 2,796 | ||||||
US LIBOR + 2.75% | US LIBOR + 2.50% | ||||||||||
NN Inc | Ziggo Secured Finance Partnership | ||||||||||
5.74%, 03/26/2021(k) | 2,131 | 2,075 | 4.99%, 04/15/2025(k) | 2,150 | 2,123 | ||||||
US LIBOR + 3.25% | US LIBOR + 2.50% | ||||||||||
6.24%, 10/19/2022(k) | 665 | 650 | $ | 62,982 | |||||||
US LIBOR + 3.75% | Mining - 0.01% | ||||||||||
RBS Global Inc | Covia Holdings Corp | ||||||||||
4.49%, 08/21/2024(k) | 1,114 | 1,110 | 6.55%, 04/09/2025(k) | 433 | 374 | ||||||
US LIBOR + 2.00% | US LIBOR + 3.75% | ||||||||||
$ | 9,554 | Miscellaneous Manufacturers - 0.08% | |||||||||
Media - 1.56% | Gates Global LLC | ||||||||||
Altice Financing SA | 5.24%, 03/31/2024(k) | 3,396 | 3,383 | ||||||||
5.24%, 07/15/2025(k) | 2,948 | 2,848 | US LIBOR + 2.75% | ||||||||
US LIBOR + 2.75% | Oil & Gas - 0.36% | ||||||||||
Altice France SA/France | California Resources Corp | ||||||||||
6.49%, 08/14/2026(k) | 3,990 | 3,875 | 7.24%, 11/14/2022(k) | 4,500 | 4,425 | ||||||
US LIBOR + 4.00% | US LIBOR + 4.75% | ||||||||||
CBS Radio Inc | 12.87%, 12/31/2021(k) | 1,750 | 1,834 | ||||||||
5.24%, 11/17/2024(k) | 2,357 | 2,342 | US LIBOR + 10.37% | ||||||||
US LIBOR + 2.75% | Fieldwood Energy LLC | ||||||||||
Charter Communications Operating LLC | 7.74%, 04/11/2022(k) | 3,429 | 3,109 | ||||||||
4.50%, 04/13/2025(k) | 6,333 | 6,312 | US LIBOR + 5.25% | ||||||||
US LIBOR + 2.00% | 9.74%, 04/11/2023(k) | 2,651 | 2,130 | ||||||||
CSC Holdings LLC | US LIBOR + 7.25% | ||||||||||
4.99%, 01/25/2026(k) | 1,489 | 1,479 | Seadrill Operating LP | ||||||||
US LIBOR + 2.50% | 8.80%, 02/12/2021(k) | 3,417 | 2,850 | ||||||||
Cumulus Media New Holdings Inc | US LIBOR + 6.00% | ||||||||||
7.00%, 05/15/2022(k) | 6,027 | 5,897 | $ | 14,348 | |||||||
US LIBOR + 4.50% | Oil & Gas Services - 0.06% | ||||||||||
Gray Television Inc | McDermott Technology Americas Inc | ||||||||||
4.76%, 02/02/2024(k) | 553 | 550 | 7.49%, 04/04/2025(k) | 2,481 | 2,384 | ||||||
US LIBOR + 2.50% | US LIBOR + 5.00% | ||||||||||
5.01%, 11/02/2025(k) | 750 | 748 | Packaging & Containers - 0.22% | ||||||||
US LIBOR + 2.50% | Berry Global Inc | ||||||||||
Houghton Mifflin Harcourt PublishersInc | 4.52%, 01/19/2024(k) | 1,960 | 1,949 | ||||||||
5.49%, 05/11/2021(k) | 3,616 | 3,417 | US LIBOR + 2.00% | ||||||||
US LIBOR + 3.00% | Reynolds Group Holdings Inc | ||||||||||
iHeartCommunications Inc | 5.24%, 02/05/2023(k) | 6,881 | 6,847 | ||||||||
0.00%, 01/30/2019(a),(k) | 20,455 | 14,259 | US LIBOR + 2.75% | ||||||||
US LIBOR + 6.75% | $ | 8,796 | |||||||||
0.00%, 07/30/2019(a),(k) | 2,886 | 2,010 | Pharmaceuticals - 0.44% | ||||||||
US LIBOR + 7.50% | Bausch Health Americas Inc | ||||||||||
McGraw-Hill Global Education Holdings LLC | 5.26%, 11/14/2025(k) | 642 | 640 | ||||||||
6.49%, 05/04/2022(k) | 3,312 | 3,046 | US LIBOR + 2.75% | ||||||||
US LIBOR + 4.00% | 5.51%, 05/19/2025(k) | 4,185 | 4,187 | ||||||||
Mediacom Illinois LLC | US LIBOR + 3.00% | ||||||||||
4.17%, 02/15/2024(k) | 481 | 476 | Change Healthcare Holdings LLC | ||||||||
US LIBOR + 1.75% | 5.24%, 03/01/2024(k) | 7,653 | 7,592 | ||||||||
Meredith Corp | US LIBOR + 2.75% | ||||||||||
5.24%, 01/31/2025(k) | 2,728 | 2,727 | |||||||||
US LIBOR + 2.75% |
See accompanying notes.
64
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
SENIOR FLOATING RATE INTERESTS | Principal | SENIOR FLOATING RATE INTERESTS | Principal | ||||||||
(continued) | Amount (000’s) Value (000’s) | (continued) | Amount (000’s) Value (000’s) | ||||||||
Pharmaceuticals (continued) | Semiconductors - 0.08% | ||||||||||
Grifols Worldwide Operations USA Inc | Bright Bidco BV | ||||||||||
4.67%, 01/31/2025(k) | $ | 4,903 | $ | 4,882 | 6.20%, 06/30/2024(k) | $ | 718 | $ | 583 | ||
US LIBOR + 2.25% | US LIBOR + 3.50% | ||||||||||
Vizient Inc | Microchip Technology Inc | ||||||||||
5.24%, 02/13/2023(k) | 223 | 222 | 4.50%, 05/29/2025(k) | 715 | 711 | ||||||
US LIBOR + 2.75% | US LIBOR + 2.00% | ||||||||||
$ | 17,523 | MKS Instruments Inc | |||||||||
Pipelines - 0.07% | 4.76%, 01/18/2026(k) | 750 | 749 | ||||||||
BCP Renaissance Parent LLC | US LIBOR + 2.25% | ||||||||||
6.24%, 10/31/2024(k) | 1,447 | 1,447 | ON Semiconductor Corp | ||||||||
US LIBOR + 3.50% | 4.24%, 03/31/2023(k) | 1,263 | 1,259 | ||||||||
Traverse Midstream Partners LLC | US LIBOR + 1.75% | ||||||||||
6.60%, 09/21/2024(k) | 1,480 | 1,479 | $ | 3,302 | |||||||
US LIBOR + 4.00% | Software - 1.94% | ||||||||||
$ | 2,926 | Blackboard Inc | |||||||||
Real Estate - 0.15% | 7.78%, 06/30/2021(k) | 1,863 | 1,787 | ||||||||
Brookfield Retail Holdings VII Sub 3 LLC | US LIBOR + 5.00% | ||||||||||
0.00%, 08/28/2023(k),(l) | 4,738 | 4,608 | Boxer Parent Co Inc | ||||||||
US LIBOR + 2.50% | 7.05%, 09/01/2025(k) | 5,395 | 5,360 | ||||||||
Realogy Group LLC | US LIBOR + 4.25% | ||||||||||
4.74%, 02/08/2025(k) | 1,477 | 1,437 | Cengage Learning Inc | ||||||||
US LIBOR + 2.25% | 6.74%, 06/07/2023(k) | 6,074 | 5,597 | ||||||||
$ | 6,045 | US LIBOR + 4.25% | |||||||||
REITs - 0.13% | Ceridian HCM Holding Inc | ||||||||||
Uniti Group LP | 5.74%, 04/04/2025(k) | 2,046 | 2,040 | ||||||||
5.49%, 10/24/2022(k) | 5,771 | 5,317 | US LIBOR + 3.25% | ||||||||
US LIBOR + 3.00% | DTI Holdco Inc | ||||||||||
Retail - 0.74% | 7.49%, 10/02/2023(k) | 896 | 839 | ||||||||
1011778 BC ULC | US LIBOR + 4.75% | ||||||||||
4.74%, 02/16/2024(k) | 9,141 | 9,063 | Dun & Bradstreet Corp/The | ||||||||
US LIBOR + 2.25% | 7.48%, 01/30/2026(k) | 1,000 | 1,000 | ||||||||
Academy Ltd | US LIBOR + 5.00% | ||||||||||
6.51%, 07/01/2022(k) | 1,634 | 1,131 | Dynatrace LLC | ||||||||
US LIBOR + 4.00% | 5.74%, 08/08/2025(k) | 1,105 | 1,100 | ||||||||
Belk Inc | US LIBOR + 3.25% | ||||||||||
7.45%, 12/12/2022(k) | 2,153 | 1,719 | 9.49%, 08/08/2026(k) | 112 | 111 | ||||||
US LIBOR + 4.75% | US LIBOR + 7.00% | ||||||||||
BJ's Wholesale Club Inc | EagleView Technology Corp | ||||||||||
5.50%, 02/03/2024(k) | 1,262 | 1,258 | 5.98%, 07/15/2025(k) | 1,500 | 1,464 | ||||||
US LIBOR + 3.00% | US LIBOR + 3.50% | ||||||||||
EG America LLC | Evergreen Skills Lux Sarl | ||||||||||
6.81%, 02/07/2025(k) | 1,241 | 1,207 | 7.24%, 04/23/2021(k) | 5,526 | 4,439 | ||||||
US LIBOR + 4.00% | US LIBOR + 4.75% | ||||||||||
Hudson's Bay Co | 10.74%, 04/28/2022(k) | 804 | 323 | ||||||||
5.75%, 09/30/2022(k) | 879 | 861 | US LIBOR + 8.25% | ||||||||
US LIBOR + 3.25% | Finastra USA Inc | ||||||||||
IRB Holding Corp | 10.05%, 04/28/2025(k) | 200 | 196 | ||||||||
5.74%, 01/17/2025(k) | 248 | 246 | US LIBOR + 7.25% | ||||||||
US LIBOR + 3.25% | First Data Corp | ||||||||||
Neiman Marcus Group Ltd LLC | 4.49%, 07/08/2022(k) | 6,820 | 6,811 | ||||||||
5.76%, 10/25/2020(k) | 2,843 | 2,607 | US LIBOR + 2.00% | ||||||||
US LIBOR + 3.25% | 4.49%, 04/26/2024(k) | 2,724 | 2,720 | ||||||||
Petco Animal Supplies Inc | US LIBOR + 2.00% | ||||||||||
5.99%, 01/26/2023(k) | 5,419 | 4,221 | Greeneden US Holdings II LLC | ||||||||
US LIBOR + 3.25% | 5.74%, 12/01/2023(k) | 3,614 | 3,572 | ||||||||
PetSmart Inc | US LIBOR + 3.50% | ||||||||||
5.52%, 03/11/2022(k) | 4,560 | 3,883 | Infor US Inc | ||||||||
US LIBOR + 3.00% | 5.24%, 02/01/2022(k) | 6,170 | 6,164 | ||||||||
Serta Simmons Bedding LLC | US LIBOR + 2.75% | ||||||||||
6.01%, 10/20/2023(k) | 2,189 | 1,818 | Informatica LLC | ||||||||
US LIBOR + 3.50% | 5.74%, 08/05/2022(k) | 2,494 | 2,494 | ||||||||
10.49%, 11/08/2024(k) | 470 | 314 | US LIBOR + 3.25% | ||||||||
US LIBOR + 8.00% | Ivanti Software Inc | ||||||||||
SRS Distribution Inc | 6.77%, 01/20/2024(k) | 1,962 | 1,945 | ||||||||
5.74%, 05/19/2025(k) | 1,493 | 1,461 | US LIBOR + 4.25% | ||||||||
US LIBOR + 3.25% | Kronos Inc/MA | ||||||||||
$ | 29,789 | 5.74%, 11/01/2023(k) | 1,506 | 1,499 | |||||||
US LIBOR + 3.00% |
See accompanying notes.
65
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
SENIOR FLOATING RATE INTERESTS | Principal | SENIOR FLOATING RATE INTERESTS | Principal | |||||||||
(continued) | Amount (000’s) Value (000’s) | (continued) | Amount (000’s) Value (000’s) | |||||||||
Software (continued) | Telecommunications (continued) | |||||||||||
MA FinanceCo LLC | Windstream Services LLC | |||||||||||
4.99%, 06/21/2024(k) | $ | 730 | $ | 722 | 6.49%, 03/29/2021(k) | $ | 859 | $ | 831 | |||
US LIBOR + 2.50% | US LIBOR + 4.00% | |||||||||||
Rackspace Hosting Inc | $ | 41,380 | ||||||||||
5.74%, 11/03/2023(k) | 2,129 | 2,025 | Transportation - 0.13% | |||||||||
US LIBOR + 3.00% | CEVA Logistics Finance BV | |||||||||||
RP Crown Parent LLC | 6.55%, 08/03/2025(k) | 741 | 740 | |||||||||
5.24%, 10/12/2023(k) | 2,444 | 2,418 | US LIBOR + 3.75% | |||||||||
US LIBOR + 2.75% | Commercial Barge Line Co | |||||||||||
Seattle SpinCo Inc | 11.24%, 11/12/2020(k) | 863 | 591 | |||||||||
4.99%, 06/21/2024(k) | 4,931 | 4,875 | US LIBOR + 8.75% | |||||||||
US LIBOR + 2.50% | HGIM Corp | |||||||||||
Sophia LP | 8.74%, 07/02/2023(k) | 1,282 | 1,265 | |||||||||
6.05%, 09/30/2022(k) | 3,844 | 3,830 | US LIBOR + 6.00% | |||||||||
US LIBOR + 3.25% | Savage Enterprises LLC | |||||||||||
SS&C European Holdings Sarl | 7.02%, 08/01/2025(k) | 1,639 | 1,644 | |||||||||
4.75%, 02/28/2025(k) | 1,343 | 1,336 | US LIBOR + 4.50% | |||||||||
US LIBOR + 2.25% | XPO Logistics Inc | |||||||||||
SS&C Technologies Inc | 4.49%, 02/24/2025(k) | 1,144 | 1,133 | |||||||||
4.75%, 02/28/2025(k) | 3,505 | 3,489 | US LIBOR + 2.00% | |||||||||
US LIBOR + 2.25% | $ | 5,373 | ||||||||||
4.75%, 04/16/2025(k) | 2,494 | 2,482 | Trucking & Leasing - 0.17% | |||||||||
US LIBOR + 2.25% | Avolon TLB Borrower 1 US LLC | |||||||||||
TIBCO Software Inc | 4.48%, 01/15/2025(k) | 6,713 | 6,705 | |||||||||
6.03%, 12/04/2020(k) | 5,411 | 5,401 | US LIBOR + 2.00% | |||||||||
US LIBOR + 3.50% | TOTAL SENIOR FLOATING RATE INTERESTS | $ | 572,930 | |||||||||
Veritas US Inc | U.S. GOVERNMENT & GOVERNMENT | Principal | ||||||||||
7.07%, 01/27/2023(k) | 2,416 | 2,265 | AGENCY OBLIGATIONS - 22.71% | Amount (000's) Value (000's) | ||||||||
US LIBOR + 4.50% | U.S. Treasury - 2.22% | |||||||||||
$ | 78,304 | 0.88%, 09/15/2019(h) | $ | 5,000 | $ | 4,956 | ||||||
Telecommunications - 1.03% | 1.38%, 09/30/2019(h) | 5,000 | 4,967 | |||||||||
Avaya Inc | 2.42%, 01/31/2020(h) | 11,600 | 11,597 | |||||||||
6.78%, 12/16/2024(k) | 5,544 | 5,534 | US Treasury 3 Month Bill Money Market | |||||||||
US LIBOR + 4.25% | Yield + 0.00% | |||||||||||
CenturyLink Inc | 2.45%, 04/30/2020(h) | 850 | 850 | |||||||||
5.24%, 11/01/2022(k) | 1,425 | 1,419 | US Treasury 3 Month Bill Money Market | |||||||||
US LIBOR + 2.75% | Yield + 0.03% | |||||||||||
5.25%, 01/31/2025(k) | 4,846 | 4,769 | 2.46%, 07/31/2020(h) | 14,000 | 13,994 | |||||||
US LIBOR + 2.75% | US Treasury 3 Month Bill Money Market | |||||||||||
CommScope Inc | Yield + 0.09% | |||||||||||
0.00%, 02/06/2026(k),(l) | 1,500 | 1,504 | 2.46%, 10/31/2020(h),(m),(n) | 38,000 | 37,968 | |||||||
4.49%, 12/29/2022(k) | 112 | 111 | US Treasury 3 Month Bill Money Market | |||||||||
US LIBOR + 2.00% | Yield + 0.09% | |||||||||||
Frontier Communications Corp | 2.53%, 01/31/2021(h) | 15,000 | 14,990 | |||||||||
6.25%, 06/15/2024(k) | 2,559 | 2,463 | US Treasury 3 Month Bill Money Market | |||||||||
US LIBOR + 3.75% | Yield + 0.23% | |||||||||||
Intelsat Jackson Holdings SA | $ | 89,322 | ||||||||||
6.23%, 11/27/2023(k) | 8,176 | 8,168 | U.S. Treasury Bill - 6.64% | |||||||||
US LIBOR + 3.75% | 2.26%, 03/07/2019(o) | 37,100 | 37,085 | |||||||||
6.63%, 01/15/2024(k) | 2,425 | 2,449 | 2.39%, 04/11/2019(o) | 20,000 | 19,945 | |||||||
6.98%, 01/15/2024(k) | 1,578 | 1,599 | 2.39%, 09/12/2019(o) | 36,800 | 36,314 | |||||||
US LIBOR + 4.50% | 2.40%, 05/16/2019(o) | 27,450 | 27,311 | |||||||||
Maxar Technologies Ltd | 2.45%, 06/20/2019(o) | 35,000 | 34,741 | |||||||||
5.25%, 10/05/2024(k) | 1,909 | 1,634 | 2.45%, 08/15/2019(o) | 67,975 | 67,209 | |||||||
US LIBOR + 2.75% | 2.47%, 08/01/2019(h),(o) | 10,200 | 10,096 | |||||||||
Plantronics Inc | 2.50%, 07/18/2019(o) | 35,000 | 34,674 | |||||||||
5.04%, 06/02/2025(k) | 2,078 | 2,066 | $ | 267,375 | ||||||||
US LIBOR + 2.50% | ||||||||||||
Sprint Communications Inc | U.S. Treasury Inflation-Indexed Obligations - 13.85% | |||||||||||
5.00%, 02/02/2024(k) | 5,111 | 5,041 | 0.13%, 04/15/2021 | 15,419 | 15,215 | |||||||
US LIBOR + 2.50% | 0.13%, 01/15/2022 | 28,769 | 28,352 | |||||||||
5.50%, 02/02/2024(k) | 2,500 | 2,469 | 0.13%, 04/15/2022 | 17,941 | 17,627 | |||||||
US LIBOR + 3.00% | 0.13%, 07/15/2022 | 24,815 | 24,504 | |||||||||
West Corp | 0.13%, 01/15/2023 | 6,682 | 6,554 | |||||||||
6.13%, 10/10/2024(k) | 340 | 319 | 0.13%, 07/15/2024 | 23,807 | 23,275 | |||||||
US LIBOR + 3.50% | 0.13%, 07/15/2026 | 31,771 | 30,545 | |||||||||
6.63%, 10/10/2024(k) | 1,063 | 1,004 | 0.25%, 01/15/2025 | 18,687 | 18,254 | |||||||
US LIBOR + 4.00% | 0.38%, 07/15/2023 | 20,863 | 20,732 | |||||||||
0.38%, 07/15/2025 | 31,934 | 31,444 |
See accompanying notes.
66
Consolidated Schedule of Investments
Diversified Real Asset Fund February 28, 2019 (unaudited)
U.S. GOVERNMENT & GOVERNMENT | Principal | (e) | Restricted Security. Please see Restricted Security Sub-Schedule for more | |||||||||||||||
AGENCY OBLIGATIONS (continued) | Amount (000’s) | Value (000’s) | information. | |||||||||||||||
U.S. Treasury Inflation-Indexed Obligations (continued) | (f) | Affiliated Security. Security is either an affiliate (and registered under the | ||||||||||||||||
0.38%, 01/15/2027(n) | $ | 42,839 | $ | 41,668 | Investment Company Act of 1940) or an affiliate as defined by the Investment | |||||||||||||
0.38%, 07/15/2027 | 22,811 | 22,207 | Company Act of 1940 (controls 5.0% or more of the outstanding voting | |||||||||||||||
0.50%, 01/15/2028 | 23,726 | 23,195 | shares of the security). Please see affiliated sub-schedule for transactional | |||||||||||||||
0.63%, 07/15/2021 | 23,477 | 23,573 | information. | |||||||||||||||
0.63%, 04/15/2023 | 20,369 | 20,346 | (g) | Current yield shown is as of period end. | ||||||||||||||
0.63%, 01/15/2024 | 23,527 | 23,546 | (h) | All or a portion of this security is owned by the DRA Cayman Corporation, | ||||||||||||||
0.63%, 01/15/2026 | 25,470 | 25,363 | which is a 100% owned subsidiary of the fund. | |||||||||||||||
0.63%, 02/15/2043 | 7,065 | 6,341 | (i) | Certain variable rate securities are not based on a published reference rate | ||||||||||||||
0.75%, 07/15/2028 | 12,148 | 12,169 | and spread but are determined by the issuer or agent and are based on current | |||||||||||||||
0.75%, 02/15/2042 | 11,959 | 11,115 | market conditions. These securities do not indicate a reference rate and | |||||||||||||||
0.75%, 02/15/2045 | 14,245 | 13,046 | spread in their description. Rate shown is the rate in effect as of period end. | |||||||||||||||
0.88%, 01/15/2029 | 13,348 | 13,484 | (j) | Payment in kind; the issuer has the option of paying additional securities in | ||||||||||||||
0.88%, 02/15/2047 | 7,696 | 7,238 | lieu of cash. | |||||||||||||||
1.00%, 02/15/2046 | 8,372 | 8,128 | (k) | Rate information disclosed is based on an average weighted rate of the | ||||||||||||||
1.00%, 02/15/2048 | 15,748 | 15,286 | underlying tranches as of period end. | |||||||||||||||
1.00%, 02/15/2049 | 3,050 | 2,966 | (l) | This Senior Floating Rate Note will settle after February 28, 2019, at which | ||||||||||||||
1.38%, 02/15/2044 | 10,143 | 10,714 | time the interest rate will be determined. | |||||||||||||||
1.75%, 01/15/2028 | 3,069 | 3,326 | (m) | Security or a portion of the security was pledged to cover margin requirements | ||||||||||||||
2.00%, 01/15/2026 | 7,653 | 8,325 | for futures contracts. At the end of the period, the value of these securities | |||||||||||||||
2.13%, 02/15/2040 | 5,232 | 6,285 | totaled $22,981 or 0.57% of net assets. | |||||||||||||||
2.13%, 02/15/2041 | 6,059 | 7,308 | (n) | Security or a portion of the security was pledged to cover margin requirements | ||||||||||||||
2.38%, 01/15/2025 | 7,481 | 8,221 | for swap and/or swaptioncontracts. At the end of the period, the value of these | |||||||||||||||
2.38%, 01/15/2027 | 6,716 | 7,559 | securities totaled $3,605 or 0.09% of net assets. | |||||||||||||||
2.50%, 01/15/2029 | 6,182 | 7,187 | (o) | Rate shown is the discount rate of the original purchase. | ||||||||||||||
3.38%, 04/15/2032 | 5,083 | 6,687 | ||||||||||||||||
3.63%, 04/15/2028 | 3,506 | 4,375 | Portfolio Summary (unaudited) | |||||||||||||||
3.88%, 04/15/2029 | 1,228 | 1,593 | Sector | Percent | ||||||||||||||
$ | 557,753 | Government | 30.44 | % | ||||||||||||||
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY | Energy | 14.97 | % | |||||||||||||||
OBLIGATIONS | $ | 914,450 | Financial | 11.99 | % | |||||||||||||
TOTAL PURCHASED OPTIONS - 0.00% | $ | 34 | ||||||||||||||||
TOTAL PURCHASED CAPPED OPTIONS - 0.00% | $ | 26 | Utilities | 9.67 | % | |||||||||||||
TOTAL PURCHASED INTEREST RATE SWAPTIONS - 0.04% $ | 1,709 | Basic Materials | 8.84 | % | ||||||||||||||
Total Investments | $ | 4,016,274 | Consumer, Non-cyclical | 6.66 | % | |||||||||||||
Other Assets and Liabilities - 0.27% | 10,837 | Industrial | 5.62 | % | ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 4,027,111 | Consumer, Cyclical | 3.34 | % | |||||||||||||
Communications | 2.84 | % | ||||||||||||||||
Technology | 2.75 | % | ||||||||||||||||
(a) | Non-income producing security | Investment Companies | 2.51 | % | ||||||||||||||
(b) | Security exempt from registration under Rule 144A of the Securities Act of | Diversified | 0.06 | % | ||||||||||||||
1933. These securities may be resold in transactions exempt from registration, | Purchased Interest Rate Swaptions | 0.04 | % | |||||||||||||||
normally to qualified institutional buyers. At the end of the period, the value of | Purchased Options | 0.00 | % | |||||||||||||||
these securities totaled $66,945 or 1.66% of net assets. | Purchased Capped Options | 0.00 | % | |||||||||||||||
(c) | The value of these investments was determined using significant unobservable | Other Assets and Liabilities | 0.27 | % | ||||||||||||||
inputs. | TOTAL NET ASSETS | 100.00 | % | |||||||||||||||
(d) | Fair value of these investments is determined in good faith by the Manager | |||||||||||||||||
under procedures established and periodically reviewed by the Board of | ||||||||||||||||||
Directors. Certain inputs used in the valuation may be unobservable; however, | ||||||||||||||||||
each security is evaluated individually for purposes of ASC 820 which results | ||||||||||||||||||
in not all securities being identified as Level 3 of the fair value hierarchy. At | ||||||||||||||||||
the end of the period, the fair value of these securities totaled $1,069 or 0.03% | ||||||||||||||||||
of net assets. | ||||||||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | ||||||||||||||
Value | Cost | Proceeds | Value | |||||||||||||||
Principal Government Money Market Fund 2.33% | $ | 76,474 | $ | 955,281 | $ | 944,833 | $ | 86,922 | ||||||||||
$ | 76,474 | $ | 955,281 | $ | 944,833 | $ | 86,922 | |||||||||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | ||||||||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | |||||||||||||||
Principal Government Money Market Fund 2.33% | $ | 827 | $ | — $ | — $ | — | ||||||||||||
$ | 827 | $ | — $ | — $ | — | |||||||||||||
Amounts in thousands |
See accompanying notes.
67
Consolidated Schedule of Investments | |||||||||||||||||||||||||||
Diversified Real Asset Fund | |||||||||||||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||||||||||||
Restricted Securities | |||||||||||||||||||||||||||
Security Name | Acquisition Date | Cost | Value | Percent of Net Assets | |||||||||||||||||||||||
Fieldwood Energy LLC | 04/05/2018 | $ | 273 | $ | 405 | 0.01 | % | ||||||||||||||||||||
Gymboree Corp/The | 08/18/2017 | 223 | 27 | 0.00 | % | ||||||||||||||||||||||
Millennium Health LLC | 03/15/2016 | — | 37 | 0.00 | % | ||||||||||||||||||||||
Millennium Health LLC | 03/15/2016 | — | 40 | 0.00 | % | ||||||||||||||||||||||
Millennium Health LLC | 12/21/2015 | 206 | 1 | 0.00 | % | ||||||||||||||||||||||
Total | $ | 510 | 0.01 | % | |||||||||||||||||||||||
Amounts in thousands. | |||||||||||||||||||||||||||
Options | |||||||||||||||||||||||||||
Upfront | Unrealized | ||||||||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | |||||||||||||||||||||||||
Purchased Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | |||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 145 | $ | 363 | $ | 97.75 | 06/18/2019 | $ | 11 | $ | 1 | $ | (10 | ) | |||||||||||||
June 2019 | |||||||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 145 | $ | 363 | $ | 97.75 | 03/17/2020 | 25 | 31 | 6 | |||||||||||||||||
March 2020 | |||||||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 23 | $ | 58 | $ | 97.25 | 07/15/2019 | 1 | 1 | — | |||||||||||||||||
September 2019 | |||||||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 70 | $ | 175 | $ | 97.00 | 07/15/2019 | 3 | 1 | (2 | ) | ||||||||||||||||
September 2019 | |||||||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 24 | $ | 60 | $ | 97.13 | 07/15/2019 | 2 | — | (2 | ) | ||||||||||||||||
September 2019 | |||||||||||||||||||||||||||
Total | $ | 42 | $ | 34 | $ | (8 | ) | ||||||||||||||||||||
Upfront | Unrealized | ||||||||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | |||||||||||||||||||||||||
Written Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | |||||||||||||||||||
Call - EUR versus JPY | JPMorgan Chase | 1EUR | 9,370 EUR | 125.51 | 03/18/2019 | $ | (43 | )$ | (127 | )$ | (84 | ) | |||||||||||||||
Call - NZD versus CAD | Deutsche Bank AG | 1NZD | 19,231 NZD | 0.91 | 03/07/2019 | (51 | ) | (1 | ) | 50 | |||||||||||||||||
Call - NZD versus USD | JPMorgan Chase | 1NZD | 19,615 NZD | 0.68 | 03/11/2019 | (64 | ) | (44 | ) | 20 | |||||||||||||||||
Put - EUR versus CAD | Barclays Bank PLC | 1EUR | 11,706 EUR | 1.49 | 03/13/2019 | (46 | ) | (36 | ) | 10 | |||||||||||||||||
Put - EUR versus USD | JPMorgan Chase | 1EUR | 9,275 EUR | 1.13 | 03/07/2019 | (36 | ) | (5 | ) | 31 | |||||||||||||||||
Put - USD versus JPY | JPMorgan Chase | 1$ | 13,275$ | 107.50 | 03/01/2019 | (50 | ) | — | 50 | ||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 145$ | 363$ | 97.88 | 06/18/2019 | (7 | ) | (1 | ) | 6 | |||||||||||||||||
June 2019 | |||||||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 145$ | 363$ | 97.88 | 03/17/2020 | (19 | ) | (23 | ) | (4 | ) | ||||||||||||||||
March 2020 | |||||||||||||||||||||||||||
Total | $ | (316 | )$ | (237 | )$ | 79 | |||||||||||||||||||||
Amounts in thousands except contracts/shares. | |||||||||||||||||||||||||||
Interest Rate Swaptions | |||||||||||||||||||||||||||
Pay/Receive | Upfront | Unrealized | |||||||||||||||||||||||||
Purchased Swaptions | Floating | Notional | Exercise | Expiration | Payments/ | Appreciation/ | |||||||||||||||||||||
Outstanding | Counterparty | Floating Rate Index | Rate | Amount | Rate | Date | (Premiums) | Fair Value | (Depreciation) | ||||||||||||||||||
Call - 1 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Receive | $ | 14,250 | 2.95 | % | 01/31/2020 | $ | 32 | $ | 59 | $ | 27 | |||||||||||||
Swap | |||||||||||||||||||||||||||
Call - 1 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Pay | 29,160 | 2.95 | % | 01/22/2020 | 76 | 118 | 42 | |||||||||||||||||
Swap | |||||||||||||||||||||||||||
Call - 1 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Pay | 29,160 | 2.95 | % | 01/13/2020 | 77 | 115 | 38 | |||||||||||||||||
Swap | |||||||||||||||||||||||||||
Call - 10 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Pay | 1,590 | 2.60 | % | 03/25/2019 | 2 | 1 | (1 | ) | ||||||||||||||||
Swap | |||||||||||||||||||||||||||
Call - 10 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | 1,490 | 3.09 | % | 12/07/2038 | 69 | 83 | 14 | |||||||||||||||||
Swap | |||||||||||||||||||||||||||
Call - 10 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Pay | 1,070 | 2.70 | % | 03/25/2019 | 5 | 4 | (1 | ) | ||||||||||||||||
Swap | |||||||||||||||||||||||||||
Call - 10 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Pay | 560 | 3.08 | % | 01/30/2029 | 32 | 31 | (1 | ) | ||||||||||||||||
Swap | |||||||||||||||||||||||||||
Call - 10 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Pay | 560 | 3.05 | % | 01/11/2029 | 32 | 30 | (2 | ) | ||||||||||||||||
Swap | |||||||||||||||||||||||||||
Call - 10 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Receive | 410 | 2.99 | % | 04/28/2038 | 20 | 22 | 2 | |||||||||||||||||
Swap | |||||||||||||||||||||||||||
Call - 10 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Pay | 520 | 2.86 | % | 02/23/2039 | 26 | 26 | — | |||||||||||||||||
Swap | |||||||||||||||||||||||||||
Call - 10 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Pay | 560 | 3.04 | % | 01/12/2029 | 32 | 30 | (2 | ) | ||||||||||||||||
Swap |
See accompanying notes.
68
Consolidated Schedule of Investments | ||||||||||||||||||||||||
Diversified Real Asset Fund | ||||||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||||||
Interest Rate Swaptions (continued) | ||||||||||||||||||||||||
Pay/Receive | Upfront | Unrealized | ||||||||||||||||||||||
Purchased Swaptions | Floating | Notional | Exercise | Expiration | Payments/ | Appreciation/ | ||||||||||||||||||
Outstanding | Counterparty | Floating Rate Index | Rate | Amount | Rate | Date | (Premiums) | Fair Value | (Depreciation) | |||||||||||||||
Call - 20 Year Interest Rate | JPMorgan Chase | 6 Month JPY LIBOR | Receive | JPY | 47,100 | 0.78 | % | 04/19/2021 | $ | 15 | $ | 20 | $ | 5 | ||||||||||
Swap | ||||||||||||||||||||||||
Call - 30 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Pay | $ | 300 | 2.97 | % | 01/30/2024 | 31 | 30 | (1 | ) | ||||||||||||
Swap | ||||||||||||||||||||||||
Call - 30 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 235 | 3.12 | % | 04/27/2023 | 24 | 26 | 2 | ||||||||||||||
Swap | ||||||||||||||||||||||||
Call - 5 Year Interest Rate | Barclays Bank PLC | 6 Month Euro | Pay | EUR | 3,065 | 0.55 | % | 02/16/2021 | 40 | 35 | (5 | ) | ||||||||||||
Swap | Interbank Offered Rate | |||||||||||||||||||||||
Call - 5 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Pay | $ | 5,370 | 2.52 | % | 02/27/2020 | 59 | 52 | (7 | ) | ||||||||||||
Swap | ||||||||||||||||||||||||
Call - 5 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 4,985 | 3.21 | % | 10/28/2019 | 61 | 152 | 91 | ||||||||||||||
Swap | ||||||||||||||||||||||||
Call - 5 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Receive | 4,985 | 3.17 | % | 10/30/2019 | 63 | 144 | 81 | ||||||||||||||
Swap | ||||||||||||||||||||||||
Call - 5 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Receive | 9,830 | 3.09 | % | 11/29/2019 | 127 | 253 | 126 | ||||||||||||||
Swap | ||||||||||||||||||||||||
Put - 10 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | 560 | 3.05 | % | 01/11/2029 | 32 | 31 | (1 | ) | |||||||||||||
Swap | ||||||||||||||||||||||||
Put - 10 Year Interest Rate | Barclays Bank PLC | 6 Month JPY LIBOR | Pay | JPY | 1,517,095 | 1.10 | % | 06/30/2022 | 206 | 51 | (155 | ) | ||||||||||||
Swap | ||||||||||||||||||||||||
Put - 10 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | $ | 1,070 | 2.70 | % | 03/25/2019 | 5 | 5 | — | |||||||||||||
Swap | ||||||||||||||||||||||||
Put - 10 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | 560 | 3.08 | % | 01/30/2029 | 32 | 30 | (2 | ) | |||||||||||||
Swap | ||||||||||||||||||||||||
Put - 10 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | 1,490 | 3.09 | % | 12/07/2038 | 69 | 68 | (1 | ) | |||||||||||||
Swap | ||||||||||||||||||||||||
Put - 10 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Receive | 410 | 2.99 | % | 04/28/2038 | 19 | 20 | 1 | ||||||||||||||
Swap | ||||||||||||||||||||||||
Put - 10 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Receive | 520 | 2.86 | % | 02/23/2039 | 26 | 27 | 1 | ||||||||||||||
Swap | ||||||||||||||||||||||||
Put - 10 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Receive | 560 | 3.04 | % | 01/12/2029 | 32 | 31 | (1 | ) | |||||||||||||
Swap | ||||||||||||||||||||||||
Put - 20 Year Interest Rate | JPMorgan Chase | 6 Month JPY LIBOR | Receive | JPY | 47,100 | 0.78 | % | 04/19/2021 | 15 | 7 | (8 | ) | ||||||||||||
Swap | ||||||||||||||||||||||||
Put - 30 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | $ | 1,650 | 3.80 | % | 06/08/2021 | 64 | 27 | (37 | ) | ||||||||||||
Swap | ||||||||||||||||||||||||
Put - 30 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | 300 | 2.97 | % | 01/30/2024 | 30 | 28 | (2 | ) | |||||||||||||
Swap | ||||||||||||||||||||||||
Put - 30 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 235 | 3.12 | % | 04/27/2023 | 24 | 18 | (6 | ) | |||||||||||||
Swap | ||||||||||||||||||||||||
Put - 5 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | 5,370 | 2.52 | % | 02/27/2020 | 59 | 67 | 8 | ||||||||||||||
Swap | ||||||||||||||||||||||||
Put - 5 Year Interest Rate | Barclays Bank PLC | 6 Month Euro | Receive | EUR | 3,065 | 0.55 | % | 02/16/2021 | 40 | 42 | 2 | |||||||||||||
Swap | Interbank Offered Rate | |||||||||||||||||||||||
Put - 5 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | $ | 4,985 | 3.21 | % | 10/28/2019 | 60 | 4 | (56 | ) | ||||||||||||
Swap | ||||||||||||||||||||||||
Put - 5 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Receive | 4,985 | 3.17 | % | 10/30/2019 | 63 | 5 | (58 | ) | |||||||||||||
Swap | ||||||||||||||||||||||||
Put - 5 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Receive | 9,830 | 3.09 | % | 11/29/2019 | 127 | 17 | (110 | ) | |||||||||||||
Swap | ||||||||||||||||||||||||
Total | $ | 1,726 | $ | 1,709 | $ | (17 | ) | |||||||||||||||||
Pay/Receive | Upfront | Unrealized | ||||||||||||||||||||||
Written Swaptions | Floating | Notional | Exercise | Expiration | Payments/ | Appreciation/ | ||||||||||||||||||
Outstanding | Counterparty | Floating Rate Index | Rate | Amount | Rate | Date | (Premiums) | Fair Value | (Depreciation) | |||||||||||||||
Call - 1 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Pay | $ | 35,200 | 2.45 | % | 04/17/2020 | $ | (27 | )$ | (66 | ) | $ | (39 | ) | ||||||||
Swap | ||||||||||||||||||||||||
Call - 1 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Pay | 43,740 | 2.45 | % | 01/13/2020 | (54 | ) | (53 | ) | 1 | ||||||||||||
Swap | ||||||||||||||||||||||||
Call - 1 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Pay | 43,740 | 2.45 | % | 01/21/2020 | (51 | ) | (55 | ) | (4 | ) | |||||||||||
Swap | ||||||||||||||||||||||||
Call - 1 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Receive | 21,375 | 2.45 | % | 01/31/2020 | (21 | ) | (29 | ) | (8 | ) | |||||||||||
Swap | ||||||||||||||||||||||||
Call - 2 Year Interest Rate | Barclays Bank PLC | 6 Month Euro | Receive | EUR | 9,450 | 0.21 | % | 02/16/2021 | (41 | ) | (35 | ) | 6 | |||||||||||
Swap | Interbank Offered Rate |
See accompanying notes.
69
Consolidated Schedule of Investments | |||||||||||||||||||
Diversified Real Asset Fund | |||||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||||
Interest Rate Swaptions (continued) | |||||||||||||||||||
Pay/Receive | Upfront | Unrealized | |||||||||||||||||
Written Swaptions | Floating | Notional | Exercise | Expiration | Payments/ | Appreciation/ | |||||||||||||
Outstanding | Counterparty | Floating Rate Index | Rate | Amount | Rate | Date | (Premiums) | Fair Value | (Depreciation) | ||||||||||
Call - 2 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | $ | 12,970 | 2.46 | % | 02/27/2020 | $ | (57 | )$ | (52 | ) | $ | 5 | ||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | 9,675 | 2.90 | % | 07/02/2019 | (10 | ) | (2 | ) | 8 | |||||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 7,480 | 2.89 | % | 04/15/2020 | (54 | ) | (69 | ) | (15 | ) | ||||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 7,400 | 2.94 | % | 04/20/2020 | (52 | ) | (74 | ) | (22 | ) | ||||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 4,030 | 2.90 | % | 06/01/2020 | (29 | ) | (39 | ) | (10 | ) | ||||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 7,470 | 2.88 | % | 04/15/2020 | (54 | ) | (68 | ) | (14 | ) | ||||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 5,920 | 3.30 | % | 11/08/2019 | (29 | ) | (86 | ) | (57 | ) | ||||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Pay | 71,800 | 2.40 | % | 02/25/2020 | (219 | ) | (255 | ) | (36 | ) | ||||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Receive | 30,990 | 2.10 | % | 07/05/2019 | (34 | ) | (8 | ) | 26 | |||||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Receive | 16,530 | 2.15 | % | 07/09/2019 | (13 | ) | (6 | ) | 7 | |||||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Receive | 6,465 | 3.07 | % | 11/30/2020 | (53 | ) | (84 | ) | (31 | ) | ||||||
Swap | |||||||||||||||||||
Call - 2 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Receive | 10,330 | 2.10 | % | 07/05/2019 | (14 | ) | (3 | ) | 11 | |||||||
Swap | |||||||||||||||||||
Put - 10 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | 3,490 | 3.87 | % | 06/08/2021 | (68 | ) | (24 | ) | 44 | |||||||
Swap | |||||||||||||||||||
Put - 10 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 4,280 | 2.90 | % | 04/17/2019 | (112 | ) | (5 | ) | 107 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Barclays Bank PLC | 6 Month Euro | Pay | EUR | 5,720 | 0.20 | % | 01/24/2020 | (7 | ) | (4 | ) | 3 | ||||||
Swap | Interbank Offered Rate | ||||||||||||||||||
Put - 2 Year Interest Rate | Barclays Bank PLC | 6 Month Euro | Receive | 4,360 | 0.55 | % | 12/22/2020 | (16 | ) | (7 | ) | 9 | |||||||
Swap | Interbank Offered Rate | ||||||||||||||||||
Put - 2 Year Interest Rate | Barclays Bank PLC | 6 Month Euro | Pay | 9,450 | 0.21 | % | 02/16/2021 | (42 | ) | (44 | ) | (2 | ) | ||||||
Swap | Interbank Offered Rate | ||||||||||||||||||
Put - 2 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | $ | 8,350 | 3.50 | % | 08/25/2020 | (29 | ) | (5 | ) | 24 | ||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Pay | 9,675 | 2.90 | % | 07/02/2019 | (12 | ) | (2 | ) | 10 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Pay | 4,900 | 2.80 | % | 01/06/2020 | (11 | ) | (8 | ) | 3 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Pay | 12,970 | 2.46 | % | 02/27/2020 | (57 | ) | (64 | ) | (7 | ) | ||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Barclays Bank PLC | 3 Month USD LIBOR | Receive | 8,050 | 3.25 | % | 12/30/2020 | (30 | ) | (13 | ) | 17 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 7,400 | 2.94 | % | 04/20/2020 | (51 | ) | (11 | ) | 40 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 4,030 | 2.90 | % | 06/01/2020 | (30 | ) | (8 | ) | 22 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 5,640 | 3.45 | % | 06/09/2020 | (23 | ) | (2 | ) | 21 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 5,920 | 3.30 | % | 11/08/2019 | (29 | ) | (1 | ) | 28 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 4,100 | 3.15 | % | 05/06/2020 | (23 | ) | (4 | ) | 19 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 3,580 | 3.50 | % | 06/16/2020 | (13 | ) | (1 | ) | 12 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Pay | 6,180 | 3.30 | % | 09/09/2019 | (14 | ) | — | 14 | ||||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 7,470 | 2.88 | % | 04/15/2020 | (55 | ) | (14 | ) | 41 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 7,480 | 2.89 | % | 04/15/2020 | (54 | ) | (13 | ) | 41 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 71,800 | 3.40 | % | 02/25/2020 | (273 | ) | (18 | ) | 255 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Deutsche Bank AG | 3 Month USD LIBOR | Receive | 5,660 | 3.35 | % | 06/01/2020 | (21 | ) | (3 | ) | 18 | |||||||
Swap |
See accompanying notes.
70
Consolidated Schedule of Investments | |||||||||||||||||||
Diversified Real Asset Fund | |||||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||||
Interest Rate Swaptions (continued) | |||||||||||||||||||
Pay/Receive | Upfront | Unrealized | |||||||||||||||||
Written Swaptions | Floating | Notional | Exercise | Expiration | Payments/ | Appreciation/ | |||||||||||||
Outstanding | Counterparty | Floating Rate Index | Rate | Amount | Rate | Date | (Premiums) | Fair Value | (Depreciation) | ||||||||||
Put - 2 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Pay | $ | 6,550 | 2.70 | % | 08/27/2019 | $ | (7 | )$ | (9 | ) | $ | (2 | ) | |||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Pay | 30,990 | 2.90 | % | 07/05/2019 | (34 | ) | (6 | ) | 28 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | JPMorgan Chase | 3 Month USD LIBOR | Pay | 16,530 | 2.95 | % | 07/09/2019 | (19 | ) | (2 | ) | 17 | |||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | JPMorgan Chase | 6 Month Euro | Receive | EUR | 9,280 | 0.60 | % | 12/15/2020 | (35 | ) | (13 | ) | 22 | ||||||
Swap | Interbank Offered Rate | ||||||||||||||||||
Put - 2 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Receive | $ | 6,465 | 3.07 | % | 11/30/2020 | (53 | ) | (14 | ) | 39 | ||||||
Swap | |||||||||||||||||||
Put - 2 Year Interest Rate | Morgan Stanley & Co | 3 Month USD LIBOR | Pay | 10,330 | 2.90 | % | 07/05/2019 | (9 | ) | (2 | ) | 7 | |||||||
Swap | |||||||||||||||||||
Put - 5 Year Interest Rate | Barclays Bank PLC | 6 Month Euro | Receive | EUR | 1,885 | 0.60 | % | 06/26/2019 | (14 | ) | — | 14 | |||||||
Swap | Interbank Offered Rate | ||||||||||||||||||
Total | $ | (1,953 | )$ | (1,281 | ) | $ | 672 | ||||||||||||
Amounts in thousands. |
Futures Contracts | ||||||||||
Description and Expiration Date | Type | Contracts | Notional Amount | Value and Unrealized Appreciation/(Depreciation) | ||||||
Brent Crude; July 2019(a) | Long | 17 | $ | 1,126 | $ | 83 | ||||
Brent Crude; May 2019(a) | Long | 147 | 9,748 | 742 | ||||||
Cocoa; May 2019(a) | Long | 828 | 18,605 | (250 | ) | |||||
Coffee 'C'; May 2019(a) | Short | 280 | 10,337 | 366 | ||||||
Copper; May 2019(a) | Long | 122 | 8,991 | 16 | ||||||
Corn; May 2019(a) | Short | 256 | 4,746 | 153 | ||||||
Cotton No.2; May 2019(a) | Long | 232 | 8,447 | 57 | ||||||
Euro Bund 10 Year Bund; March 2019 | Short | 110 | 20,683 | (334 | ) | |||||
Euro Buxl 30 Year Bond; March 2019 | Short | 22 | 4,605 | (154 | ) | |||||
Euro Schatz; March 2019 | Long | 140 | 17,806 | (6 | ) | |||||
Euro-BTP; March 2019 | Short | 68 | 9,919 | (244 | ) | |||||
Euro-Oat; March 2019 | Short | 68 | 11,826 | (155 | ) | |||||
Gasoline RBOB; May 2019(a) | Long | 181 | 13,424 | (97 | ) | |||||
Gold 100 oz; June 2019(a) | Long | 148 | 19,576 | 1,245 | ||||||
Japan 10 Year Bond TSE; March 2019 | Short | 22 | 30,147 | (124 | ) | |||||
KC HRW Wheat; May 2019(a) | Short | 685 | 15,224 | 213 | ||||||
Lean Hogs; April 2019(a) | Short | 289 | 6,459 | 1,269 | ||||||
Live Cattle; April 2019(a) | Long | 166 | 8,622 | 173 | ||||||
Live Cattle; June 2019(a) | Long | 155 | 7,449 | 184 | ||||||
LME Lead; March 2019(a) | Short | — | — | (1,066 | ) | |||||
LME Lead; May 2019(a) | Short | 164 | 8,830 | (368 | ) | |||||
LME Nickel; June 2019(a) | Long | 88 | 6,902 | 413 | ||||||
LME Nickel; March 2019(a) | Short | — | — | 1,001 | ||||||
LME PRI Alum; June 2019(a) | Short | 266 | 12,750 | (1,137 | ) | |||||
LME PRI Alum; March 2019(a) | Short | — | — | 265 | ||||||
LME Zinc; June 2019(a) | Short | 168 | 11,648 | (476 | ) | |||||
LME Zinc; March 2019(a) | Short | — | — | (519 | ) | |||||
Low Sulphur Gasoline; May 2019(a) | Long | 307 | 18,950 | 1,320 | ||||||
Natural Gas; May 2019(a) | Long | 242 | 6,832 | 49 | ||||||
NY Harb ULSD; May 2019(a) | Short | 3 | 255 | (3 | ) | |||||
Palladium; June 2019(a) | Long | 24 | 3,604 | 101 | ||||||
Platinum; April 2019(a) | Long | 202 | 8,840 | 623 | ||||||
Short Term Euro-BTP; March 2019 | Short | 19 | 2,405 | (32 | ) | |||||
Silver; May 2019(a) | Long | 213 | 16,650 | (134 | ) | |||||
Soybean Meal; May 2019(a) | Short | 389 | 11,903 | 269 | ||||||
Soybean Oil; May 2019(a) | Long | 89 | 1,615 | (29 | ) | |||||
Soybean; May 2019(a) | Short | 40 | 1,821 | 37 | ||||||
Sugar #11; May 2019(a) | Long | 776 | 11,107 | 67 | ||||||
UK 10 Year Gilt; June 2019 | Short | 49 | 8,175 | 94 | ||||||
US 10 Year Ultra Note; June 2019 | Short | 60 | 7,767 | 27 | ||||||
US 2 Year Note; June 2019 | Long | 272 | 57,717 | (36 | ) | |||||
US 5 Year Note; June 2019 | Long | 36 | 4,124 | (11 | ) | |||||
US Long Bond; June 2019 | Short | 10 | 1,445 | 9 | ||||||
US Ultra Bond; June 2019 | Short | 3 | 479 | 5 | ||||||
Wheat; May 2019(a) | Long | 620 | 14,245 | (1,932 | ) | |||||
WTI Crude; April 2019(a) | Long | 474 | 27,122 | 1,386 | ||||||
WTI Crude; December 2019(a) | Short | 474 | 28,028 | 3,883 | ||||||
See accompanying notes. | 71 |
Consolidated Schedule of Investments | ||||||||||||||||
Diversified Real Asset Fund | ||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||
Futures Contracts (continued) | ||||||||||||||||
Description and Expiration Date | Type | Contracts | Notional Amount | Value and Unrealized Appreciation/(Depreciation) | ||||||||||||
WTI Crude; May 2019(a) | Short | 150 | $ | 8,642 | $ | (379 | ) | |||||||||
Total | $ | 6,564 | ||||||||||||||
Amounts in thousands except contracts. | ||||||||||||||||
(a)All or a portion of this security is owned by the DRA Cayman Corporation, which is a 100% owned subsidiary of the fund. | ||||||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Unrealized Appreciation/(Depreciation) | ||||||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | |||||||||||
Australia and New Zealand Banking Group | 03/05/2019 | $ | 9,943 | JPY | 1,077,295 | $ | 277 | $ | — | |||||||
Bank of America NA | 03/20/2019 | AUD | 1,760$ | 1,249 | — | — | ||||||||||
Bank of America NA | 03/20/2019 | $ | 1,249 | CAD | 1,645 | — | (2 | ) | ||||||||
Bank of America NA | 03/20/2019 | EUR | 530$ | 609 | — | (5 | ) | |||||||||
Bank of America NA | 03/20/2019 | JPY | 69,551$ | 629 | — | (5 | ) | |||||||||
Bank of America NA | 03/20/2019 | $ | 30 | JPY | 3,312 | — | — | |||||||||
Barclays Bank PLC | 03/05/2019 | GBP | 1,519$ | 2,020 | — | (5 | ) | |||||||||
Barclays Bank PLC | 03/05/2019 | $ | 9,860 | JPY | 1,077,295 | 194 | — | |||||||||
Barclays Bank PLC | 04/04/2019 | $ | 2,023 | GBP | 1,519 | 5 | — | |||||||||
Barclays Bank PLC | 04/11/2019 | AUD | 81,570$ | 58,683 | — | (797 | ) | |||||||||
Barclays Bank PLC | 04/11/2019 | $ | 80,014 | AUD | 111,506 | 884 | — | |||||||||
Barclays Bank PLC | 04/11/2019 | $ | 2,635 | GBP | 1,972 | 15 | — | |||||||||
Barclays Bank PLC | 04/11/2019 | GBP | 8,178$ | 10,683 | 183 | — | ||||||||||
Barclays Bank PLC | 04/11/2019 | $ | 18,617 | GBP | 14,315 | — | (404 | ) | ||||||||
Barclays Bank PLC | 04/11/2019 | CAD | 43,453$ | 32,860 | 195 | — | ||||||||||
Barclays Bank PLC | 04/11/2019 | $ | 23,125 | CAD | 30,635 | — | (179 | ) | ||||||||
Barclays Bank PLC | 04/11/2019 | EUR | 18,771$ | 21,387 | 30 | — | ||||||||||
Barclays Bank PLC | 04/11/2019 | EUR | 73,768$ | 84,841 | — | (673 | ) | |||||||||
Barclays Bank PLC | 04/11/2019 | $ | 56,599 | EUR | 49,966 | — | (411 | ) | ||||||||
Barclays Bank PLC | 04/11/2019 | $ | 95,377 | EUR | 83,128 | 530 | — | |||||||||
Barclays Bank PLC | 04/11/2019 | JPY | 4,799,884$ | 44,024 | — | (819 | ) | |||||||||
Barclays Bank PLC | 04/11/2019 | $ | 52,212 | JPY | 5,694,631 | 953 | — | |||||||||
Barclays Bank PLC | 04/11/2019 | MXN | 124,435$ | 6,391 | 25 | — | ||||||||||
Barclays Bank PLC | 04/11/2019 | $ | 6,315 | MXN | 121,372 | 57 | — | |||||||||
Barclays Bank PLC | 04/11/2019 | MXN | 140,697$ | 7,275 | — | (21 | ) | |||||||||
Barclays Bank PLC | 04/11/2019 | NZD | 10,675$ | 7,186 | 87 | — | ||||||||||
Barclays Bank PLC | 04/11/2019 | NZD | 26,604$ | 18,270 | — | (144 | ) | |||||||||
Barclays Bank PLC | 04/11/2019 | $ | 13,031 | NZD | 19,070 | 38 | — | |||||||||
Barclays Bank PLC | 04/11/2019 | $ | 15,565 | NZD | 22,881 | — | (25 | ) | ||||||||
Barclays Bank PLC | 04/11/2019 | NOK | 129,608$ | 15,062 | 118 | — | ||||||||||
Barclays Bank PLC | 04/11/2019 | $ | 6,748 | NOK | 57,788 | — | (20 | ) | ||||||||
Barclays Bank PLC | 04/11/2019 | NOK | 112,963$ | 13,254 | — | (24 | ) | |||||||||
Barclays Bank PLC | 04/11/2019 | $ | 6,637 | SEK | 61,216 | — | (14 | ) | ||||||||
Barclays Bank PLC | 04/11/2019 | CHF | 2,636$ | 2,640 | 12 | — | ||||||||||
Barclays Bank PLC | 04/11/2019 | CHF | 12,838$ | 12,983 | — | (66 | ) | |||||||||
Barclays Bank PLC | 04/11/2019 | $ | 6,639 | CHF | 6,620 | — | (21 | ) | ||||||||
Barclays Bank PLC | 04/11/2019 | $ | 5,310 | CHF | 5,228 | 49 | — | |||||||||
BNP Paribas | 03/05/2019 | $ | 768 | GBP | 592 | — | (17 | ) | ||||||||
BNP Paribas | 03/05/2019 | $ | 12,628 | NZD | 18,258 | 194 | — | |||||||||
BNP Paribas | 03/20/2019 | $ | 602 | AUD | 848 | 1 | — | |||||||||
BNP Paribas | 03/20/2019 | GBP | 470$ | 602 | 22 | — | ||||||||||
BNP Paribas | 03/20/2019 | $ | 619 | CAD | 820 | — | (4 | ) | ||||||||
BNP Paribas | 03/20/2019 | CAD | 780$ | 590 | 3 | — | ||||||||||
BNP Paribas | 03/20/2019 | EUR | 520$ | 596 | — | (4 | ) | |||||||||
BNP Paribas | 03/20/2019 | JPY | 66,950$ | 619 | — | (18 | ) | |||||||||
BNP Paribas | 03/20/2019 | $ | 597 | JPY | 64,531 | 17 | — | |||||||||
Citigroup Inc | 03/20/2019 | $ | 1,844 | AUD | 2,584 | 11 | — | |||||||||
Citigroup Inc | 03/20/2019 | AUD | 1,703$ | 1,228 | — | (20 | ) | |||||||||
Citigroup Inc | 03/20/2019 | $ | 594 | GBP | 470 | — | (30 | ) | ||||||||
Citigroup Inc | 03/20/2019 | CAD | 3,309$ | 2,504 | 12 | — | ||||||||||
Citigroup Inc | 03/20/2019 | EUR | 1,030$ | 1,166 | 7 | — | ||||||||||
Citigroup Inc | 03/20/2019 | EUR | 520$ | 594 | — | (2 | ) | |||||||||
Citigroup Inc | 03/20/2019 | $ | 599 | EUR | 530 | — | (4 | ) | ||||||||
Citigroup Inc | 03/20/2019 | $ | 2,433 | EUR | 2,130 | 7 | — | |||||||||
Citigroup Inc | 03/20/2019 | $ | 599 | JPY | 67,339 | — | (6 | ) | ||||||||
Citigroup Inc | 03/20/2019 | $ | 35 | JPY | 3,922 | — | — | |||||||||
Deutsche Bank AG | 03/05/2019 | JPY | 2,152,382$ | 19,426 | — | (114 | ) | |||||||||
Deutsche Bank AG | 04/04/2019 | $ | 19,473 | JPY | 2,152,382 | 111 | — | |||||||||
Deutsche Bank AG | 04/11/2019 | AUD | 14,712$ | 10,541 | — | (101 | ) |
See accompanying notes.
72
Consolidated Schedule of Investments | ||||||||||||
Diversified Real Asset Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Foreign Currency Contracts (continued) | ||||||||||||
Unrealized Appreciation/(Depreciation) | ||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | |||||||
Deutsche Bank AG | 04/11/2019 | $ | 10,376 | AUD | 14,523 | $ | 70 | $ | — | |||
Deutsche Bank AG | 04/11/2019 | BRL | 2,798$ | 738 | 5 | — | ||||||
Deutsche Bank AG | 04/11/2019 | GBP | 8,178$ | 10,664 | 202 | — | ||||||
Deutsche Bank AG | 04/11/2019 | $ | 8,045 | GBP | 6,158 | — | (137 | ) | ||||
Deutsche Bank AG | 04/11/2019 | CAD | 9,841$ | 7,434 | 52 | — | ||||||
Deutsche Bank AG | 04/11/2019 | $ | 13,275 | CAD | 17,494 | — | (33 | ) | ||||
Deutsche Bank AG | 04/11/2019 | CLP | 477,269$ | 710 | 18 | — | ||||||
Deutsche Bank AG | 04/11/2019 | EUR | 9,400$ | 10,743 | — | (18 | ) | |||||
Deutsche Bank AG | 04/11/2019 | $ | 41,036 | EUR | 35,885 | 92 | — | |||||
Deutsche Bank AG | 04/11/2019 | $ | 21,404 | EUR | 18,838 | — | (90 | ) | ||||
Deutsche Bank AG | 04/11/2019 | EUR | 18,460$ | 21,009 | 53 | — | ||||||
Deutsche Bank AG | 04/11/2019 | $ | 10,597 | HKD | 82,809 | 33 | — | |||||
Deutsche Bank AG | 04/11/2019 | INR | 947,064$ | 13,217 | 84 | — | ||||||
Deutsche Bank AG | 04/11/2019 | $ | 12,392 | INR | 890,334 | — | (113 | ) | ||||
Deutsche Bank AG | 04/11/2019 | $ | 10,350 | JPY | 1,116,701 | 298 | — | |||||
Deutsche Bank AG | 04/11/2019 | ZAR | 150,304$ | 10,819 | — | (198 | ) | |||||
Deutsche Bank AG | 04/11/2019 | $ | 10,743 | ZAR | 149,551 | 175 | — | |||||
Deutsche Bank AG | 04/11/2019 | KRW | 928,154$ | 824 | 2 | — | ||||||
Deutsche Bank AG | 04/11/2019 | KRW | 2,923,070$ | 2,621 | — | (20 | ) | |||||
Deutsche Bank AG | 04/11/2019 | CHF | 2,615$ | 2,644 | — | (13 | ) | |||||
Deutsche Bank AG | 04/11/2019 | $ | 5,324 | CHF | 5,305 | — | (14 | ) | ||||
Deutsche Bank AG | 04/11/2019 | $ | 4,780 | CHF | 4,697 | 55 | — | |||||
Deutsche Bank AG | 04/11/2019 | CHF | 5,300$ | 5,302 | 31 | — | ||||||
Deutsche Bank AG | 04/11/2019 | TRY | 16,387$ | 2,911 | 98 | — | ||||||
Goldman Sachs & Co | 03/20/2019 | AUD | 2,582$ | 1,834 | — | (2 | ) | |||||
Goldman Sachs & Co | 03/20/2019 | $ | 1,879 | AUD | 2,648 | 1 | — | |||||
Goldman Sachs & Co | 03/20/2019 | $ | 1,194 | CAD | 1,588 | — | (14 | ) | ||||
Goldman Sachs & Co | 03/20/2019 | CAD | 1,620$ | 1,217 | 15 | — | ||||||
Goldman Sachs & Co | 03/20/2019 | EUR | 1,650$ | 1,879 | — | — | ||||||
Goldman Sachs & Co | 03/20/2019 | $ | 1,834 | EUR | 1,620 | — | (11 | ) | ||||
Goldman Sachs & Co | 03/20/2019 | $ | 618 | JPY | 68,196 | 5 | — | |||||
Goldman Sachs & Co | 03/20/2019 | JPY | 66,532$ | 604 | — | (6 | ) | |||||
Goldman Sachs & Co | 03/20/2019 | $ | 1,198 | JPY | 134,608 | — | (11 | ) | ||||
HSBC Securities Inc | 03/05/2019 | $ | 405 | GBP | 308 | — | (4 | ) | ||||
HSBC Securities Inc | 03/05/2019 | EUR | 22,333$ | 25,508 | — | (103 | ) | |||||
HSBC Securities Inc | 04/04/2019 | $ | 25,573 | EUR | 22,333 | 107 | — | |||||
JPMorgan Chase | 03/05/2019 | NZD | 18,176$ | 12,436 | — | (58 | ) | |||||
JPMorgan Chase | 03/20/2019 | AUD | 880$ | 624 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 625 | JPY | 69,547 | — | — | |||||
JPMorgan Chase | 04/04/2019 | $ | 12,443 | NZD | 18,176 | 61 | — | |||||
JPMorgan Chase | 04/11/2019 | $ | 41,760 | AUD | 58,366 | 341 | — | |||||
JPMorgan Chase | 04/11/2019 | AUD | 64,166$ | 45,761 | — | (226 | ) | |||||
JPMorgan Chase | 04/11/2019 | BRL | 12,286$ | 3,279 | — | (16 | ) | |||||
JPMorgan Chase | 04/11/2019 | GBP | 4,100$ | 5,314 | 134 | — | ||||||
JPMorgan Chase | 04/11/2019 | $ | 2,653 | GBP | 2,010 | — | (18 | ) | ||||
JPMorgan Chase | 04/11/2019 | $ | 30,905 | CAD | 41,028 | — | (306 | ) | ||||
JPMorgan Chase | 04/11/2019 | CAD | 34,132$ | 25,754 | 211 | — | ||||||
JPMorgan Chase | 04/11/2019 | CLP | 2,197,351$ | 3,220 | 132 | — | ||||||
JPMorgan Chase | 04/11/2019 | COP | 12,510,258$ | 3,910 | 145 | — | ||||||
JPMorgan Chase | 04/11/2019 | EUR | 12,587$ | 14,299 | 63 | — | ||||||
JPMorgan Chase | 04/11/2019 | EUR | 56,935$ | 65,616 | — | (654 | ) | |||||
JPMorgan Chase | 04/11/2019 | $ | 60,937 | EUR | 53,072 | 383 | — | |||||
JPMorgan Chase | 04/11/2019 | $ | 4,147 | EUR | 3,670 | — | (40 | ) | ||||
JPMorgan Chase | 04/11/2019 | INR | 223,109$ | 3,169 | — | (35 | ) | |||||
JPMorgan Chase | 04/11/2019 | INR | 765,335$ | 10,640 | 109 | — | ||||||
JPMorgan Chase | 04/11/2019 | $ | 10,610 | INR | 760,196 | — | (67 | ) | ||||
JPMorgan Chase | 04/11/2019 | IDR | 207,309,533$ | 14,433 | 142 | — | ||||||
JPMorgan Chase | 04/11/2019 | $ | 42,932 | JPY | 4,717,455 | 469 | — | |||||
JPMorgan Chase | 04/11/2019 | JPY | 8,731,937$ | 81,018 | — | (2,419 | ) | |||||
JPMorgan Chase | 04/11/2019 | $ | 6,637 | MXN | 128,818 | — | (5 | ) | ||||
JPMorgan Chase | 04/11/2019 | MXN | 328,948$ | 17,125 | — | (165 | ) | |||||
JPMorgan Chase | 04/11/2019 | $ | 10,807 | MXN | 208,670 | 48 | — | |||||
JPMorgan Chase | 04/11/2019 | MXN | 145,147$ | 7,406 | 78 | — | ||||||
JPMorgan Chase | 04/11/2019 | NZD | 3,874$ | 2,625 | 14 | — | ||||||
JPMorgan Chase | 04/11/2019 | NZD | 6,325$ | 4,367 | — | (58 | ) | |||||
JPMorgan Chase | 04/11/2019 | $ | 16,085 | NZD | 23,863 | — | (174 | ) | ||||
JPMorgan Chase | 04/11/2019 | $ | 11,410 | NZD | 16,598 | 101 | — | |||||
JPMorgan Chase | 04/11/2019 | NOK | 234,151$ | 27,235 | 189 | — |
See accompanying notes.
73
Consolidated Schedule of Investments | |||||||||||||||||||
Diversified Real Asset Fund | |||||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||||
Foreign Currency Contracts (continued) | |||||||||||||||||||
Unrealized Appreciation/(Depreciation) | |||||||||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | ||||||||||||||
JPMorgan Chase | 04/11/2019 | NOK | 55,938$ | 6,591 | $ | — $ | (39 | ) | |||||||||||
JPMorgan Chase | 04/11/2019 | $ | 18,584 | NOK | 156,695 | 232 | — | ||||||||||||
JPMorgan Chase | 04/11/2019 | $ | 22,538 | NOK | 193,242 | — | (95 | ) | |||||||||||
JPMorgan Chase | 04/11/2019 | PLN | 10,096$ | 2,656 | 17 | — | |||||||||||||
JPMorgan Chase | 04/11/2019 | $ | 2,655 | PLN | 10,140 | — | (29 | ) | |||||||||||
JPMorgan Chase | 04/11/2019 | RUB | 1,159,217$ | 17,184 | 307 | — | |||||||||||||
JPMorgan Chase | 04/11/2019 | $ | 2,906 | RUB | 192,212 | 6 | — | ||||||||||||
JPMorgan Chase | 04/11/2019 | RUB | 177,373$ | 2,683 | — | (7 | ) | ||||||||||||
JPMorgan Chase | 04/11/2019 | ZAR | 351,641$ | 25,216 | — | (368 | ) | ||||||||||||
JPMorgan Chase | 04/11/2019 | $ | 21,490 | ZAR | 298,043 | 430 | — | ||||||||||||
JPMorgan Chase | 04/11/2019 | KRW | 4,109,800$ | 3,684 | — | (28 | ) | ||||||||||||
JPMorgan Chase | 04/11/2019 | $ | 4,933 | SEK | 43,943 | 158 | — | ||||||||||||
JPMorgan Chase | 04/11/2019 | SEK | 220,287$ | 24,701 | — | (765 | ) | ||||||||||||
JPMorgan Chase | 04/11/2019 | SEK | 61,829$ | 6,637 | 81 | — | |||||||||||||
JPMorgan Chase | 04/11/2019 | $ | 5,761 | SEK | 53,031 | — | (1 | ) | |||||||||||
JPMorgan Chase | 04/11/2019 | CHF | 9,187$ | 9,411 | — | (168 | ) | ||||||||||||
JPMorgan Chase | 04/11/2019 | $ | 6,889 | CHF | 6,861 | — | (14 | ) | |||||||||||
JPMorgan Chase | 04/11/2019 | CHF | 6,608$ | 6,637 | 11 | — | |||||||||||||
JPMorgan Chase | 04/11/2019 | TRY | 64,974$ | 11,628 | 302 | — | |||||||||||||
JPMorgan Chase | 04/11/2019 | $ | 343 | TRY | 1,874 | — | (1 | ) | |||||||||||
Nomura Securities | 03/05/2019 | $ | 3,405 | EUR | 2,992 | 1 | — | ||||||||||||
Royal Bank of Scotland | 03/05/2019 | $ | 970 | GBP | 748 | — | (22 | ) | |||||||||||
Royal Bank of Scotland | 03/20/2019 | $ | 595 | EUR | 520 | 3 | — | ||||||||||||
Royal Bank of Scotland | 03/20/2019 | JPY | 66,841$ | 595 | 6 | — | |||||||||||||
Toronto Dominion Bank | 03/05/2019 | $ | 22,285 | EUR | 19,341 | 284 | — | ||||||||||||
Westpac Banking Corporation | 03/20/2019 | $ | 630 | JPY | 70,091 | — | — | ||||||||||||
Total | $ | 9,891 | $ | (10,520 | ) | ||||||||||||||
Amounts in thousands. | |||||||||||||||||||
Exchange Cleared Interest Rate Swaps | |||||||||||||||||||
(Pay)/ | |||||||||||||||||||
Receive | Unrealized | Upfront | |||||||||||||||||
Floating | Fixed | Payment | Effective | Notional | Appreciation/ | Payments/ | |||||||||||||
Floating Rate Index | Rate | Rate | Frequency | Date (a) | Maturity Date | Amount | (Depreciation) | (Receipts | Fair Value | ||||||||||
3 Month USD LIBOR | Pay | 2.53%Semiannual | N/A | 08/02/2021 | $ | 2,025 | $ | (2 | )$ | — $ | (2 | ) | |||||||
3 Month USD LIBOR | Receive | 2.53%Quarterly | N/A | 02/07/2023 | 4,500 | (3 | ) | 1 | (2 | ) | |||||||||
3 Month USD LIBOR | Pay | 2.53% Semiannual | N/A | 08/02/2021 | 2,025 | (2 | ) | — | (2 | ) | |||||||||
3 Month USD LIBOR | Pay | 2.60% Semiannual | N/A | 08/05/2021 | 2,020 | 1 | — | 1 | |||||||||||
3 Month USD LIBOR | Pay | 2.54% Semiannual | N/A | 08/05/2021 | 2,020 | (2 | ) | — | (2 | ) | |||||||||
3 Month USD LIBOR | Pay | 2.53% Semiannual | N/A | 02/07/2022 | 55,620 | 35 | (42 | ) | (7 | ) | |||||||||
3 Month USD LIBOR | Pay | 2.52% Semiannual | N/A | 02/09/2023 | 1,710 | 1 | — | 1 | |||||||||||
3 Month USD LIBOR | Pay | 2.72% Semiannual | N/A | 02/07/2029 | 2,860 | (4 | ) | — | (4 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.58%Quarterly | N/A | 02/07/2022 | 2,860 | (2 | ) | — | (2 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.57%Quarterly | N/A | 02/07/2025 | 11,040 | (8 | ) | 12 | 4 | ||||||||||
3 Month USD LIBOR | Pay | 2.93% Semiannual | N/A | 01/31/2029 | 4,640 | — | 1 | 1 | |||||||||||
3 Month USD LIBOR | Receive | 2.66%Quarterly | N/A | 07/18/2021 | 2,000 | (3 | ) | — | (3 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.71%Quarterly | N/A | 07/22/2021 | 1,000 | (3 | ) | 1 | (2 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.50%Quarterly | N/A | 01/10/2023 | 10,370 | — | — | — | |||||||||||
3 Month USD LIBOR | Pay | 2.83% Semiannual | N/A | 12/17/2022 | 1,251 | 8 | — | 8 | |||||||||||
3 Month USD LIBOR | Pay | 2.45% Semiannual | N/A | 01/08/2022 | 10,170 | (4 | ) | — | (4 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.71%Quarterly | N/A | 07/24/2021 | 1,995 | (5 | ) | — | (5 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.92%Quarterly | N/A | 01/31/2049 | 940 | (2 | ) | — | (2 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.72%Quarterly | N/A | 07/24/2021 | 1,995 | (5 | ) | — | (5 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.48%Quarterly | N/A | 03/02/2022 | 3,420 | 3 | — | 3 | |||||||||||
3 Month USD LIBOR | Receive | 2.73%Quarterly | N/A | 07/22/2021 | 1,600 | (5 | ) | — | (5 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.58%Quarterly | N/A | 03/15/2021 | 33,340 | 24 | (12 | ) | 12 | ||||||||||
3 Month USD LIBOR | Pay | 2.50% Semiannual | N/A | 02/24/2022 | 1,035 | (1 | ) | — | (1 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.62%Quarterly | N/A | 02/18/2021 | 2,035 | (1 | ) | — | (1 | ) | |||||||||
3 Month USD LIBOR | Pay | 2.62% Semiannual | N/A | 02/14/2025 | 3,160 | 6 | — | 6 | |||||||||||
3 Month USD LIBOR | Receive | 2.62%Quarterly | N/A | 02/18/2021 | 3,230 | (1 | ) | — | (1 | ) | |||||||||
3 Month USD LIBOR | Pay | 2.46% Semiannual | N/A | 02/28/2022 | 2,070 | (2 | ) | — | (2 | ) | |||||||||
3 Month USD LIBOR | Pay | 2.55% Semiannual | N/A | 03/15/2021 | 11,915 | (11 | ) | — | (11 | ) | |||||||||
3 Month USD LIBOR | Pay | 2.55% Semiannual | N/A | 03/15/2021 | 11,915 | (10 | ) | — | (10 | ) | |||||||||
3 Month USD LIBOR | Pay | 2.86% Semiannual | N/A | 02/15/2036 | 1,360 | (10 | ) | 6 | (4 | ) | |||||||||
3 Month USD LIBOR | Receive | 2.89%Quarterly | N/A | 08/15/2044 | 840 | 9 | (5 | ) | 4 | ||||||||||
3 Month USD LIBOR | Receive | 2.58%Quarterly | N/A | 02/14/2022 | 6,380 | (5 | ) | — | (5 | ) | |||||||||
3 Month USD LIBOR | Pay | 2.57% Semiannual | N/A | 02/13/2024 | 1,740 | — | — | — |
See accompanying notes.
74
Consolidated Schedule of Investments | |||||||||||||||||
Diversified Real Asset Fund | |||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||
Exchange Cleared Interest Rate Swaps (continued) | |||||||||||||||||
(Pay)/ | |||||||||||||||||
Receive | Unrealized | Upfront | |||||||||||||||
Floating | Fixed | Payment | Effective | Notional | Appreciation/ | Payments/ | |||||||||||
Floating Rate Index | Rate | Rate | Frequency | Date (a) | Maturity Date | Amount | (Depreciation) | (Receipts | Fair Value | ||||||||
3 Month USD LIBOR | Receive | 2.71 | % | Quarterly | N/A | 02/13/2029 | $ | 900 | $ | 2 | $ | — $ | 2 | ||||
3 Month USD LIBOR | Pay | 2.48% | Semiannual | N/A | 02/11/2022 | 1,025 | (1 | ) | — | (1 | ) | ||||||
3 Month USD LIBOR | Receive | 2.50 | % | Quarterly | N/A | 02/08/2023 | 2,780 | — | — | — | |||||||
3 Month USD LIBOR | Pay | 2.51% | Semiannual | N/A | 02/11/2022 | 1,025 | — | — | — | ||||||||
3 Month USD LIBOR | Receive | 2.55 | % | Quarterly | N/A | 02/16/2023 | 2,020 | (2 | ) | — | (2 | ) | |||||
3 Month USD LIBOR | Receive | 2.90 | % | Quarterly | N/A | 02/15/2049 | 940 | 2 | — | 2 | |||||||
3 Month USD LIBOR | Pay | 2.72% | Semiannual | N/A | 02/14/2029 | 450 | (1 | ) | — | (1 | ) | ||||||
3 Month USD LIBOR | Receive | 2.52 | % | Quarterly | N/A | 02/13/2022 | 6,420 | 2 | — | 2 | |||||||
3 Month USD LIBOR | Pay | 2.57% | Semiannual | N/A | 02/13/2025 | 3,340 | (2 | ) | — | (2 | ) | ||||||
3 Month USD LIBOR | Receive | 2.90 | % | Quarterly | N/A | 12/19/2024 | 2,623 | (12 | ) | — | (12 | ) | |||||
3 Month USD LIBOR | Pay | 2.98% | Semiannual | N/A | 07/19/2026 | 4,740 | 12 | — | 12 | ||||||||
3 Month USD LIBOR | Receive | 3.05 | % | Quarterly | N/A | 11/29/2023 | 11,168 | (242 | ) | — | (242 | ) | |||||
3 Month USD LIBOR | Receive | 2.92 | % | Quarterly | N/A | 07/19/2024 | 8,990 | (51 | ) | — | (51 | ) | |||||
3 Month USD LIBOR | Pay | 3.05% | Semiannual | N/A | 12/17/2026 | 1,380 | 4 | — | 4 | ||||||||
3 Month USD LIBOR | Receive | 2.72 | % | Quarterly | N/A | 07/22/2021 | 1,000 | (3 | ) | — | (3 | ) | |||||
6 Month Euro Interbank Offered Rate | Pay | (0.02 | )% | Annual | N/A | 02/13/2022 | EUR | 1,700 | (2 | ) | — | (2 | ) | ||||
6 Month Euro Interbank Offered Rate | Receive | 1.04% | Semiannual | N/A | 03/23/2028 | 1,445 | (64 | ) | — | (64 | ) | ||||||
6 Month Euro Interbank Offered Rate | Pay | 0.83 | % | Annual | N/A | 02/15/2028 | 8,710 | 196 | — | 196 | |||||||
6 Month Euro Interbank Offered Rate | Receive | (0.14)% | Semiannual | N/A | 04/09/2021 | 17,030 | 7 | 2 | 9 | ||||||||
6 Month Euro Interbank Offered Rate | Pay | 0.36 | % | Annual | N/A | 12/21/2022 | 1,450 | 5 | — | 5 | |||||||
6 Month Euro Interbank Offered Rate | Pay | 0.57 | % | Annual | N/A | 02/15/2028 | 7,630 | (47 | ) | — | (47 | ) | |||||
6 Month Euro Interbank Offered Rate | Pay | 0.88 | % | Annual | N/A | 08/28/2028 | 220 | 5 | — | 5 | |||||||
6 Month Euro Interbank Offered Rate | Receive | 0.42% | Semiannual | N/A | 12/17/2022 | 3,480 | (16 | ) | — | (16 | ) | ||||||
6 Month JPY LIBOR | Receive | 0.17% | Semiannual | N/A | 06/19/2029 | JPY | 1,382,470 | 16 | — | 16 | |||||||
6 Month JPY LIBOR | Pay | 0.00% | Semiannual | N/A | 06/19/2024 | 2,790,460 | 7 | 1 | 8 | ||||||||
6 Month JPY LIBOR | Receive | 0.34% | Semiannual | N/A | 02/08/2034 | 8,650 | — | — | — | ||||||||
Consumer Price All Urban Non-Seasonally | Receive | 2.31 | % | Annual | N/A | 10/12/2020 | $ | 14,945 | (189 | ) | — | ||||||
Adjusted Index | (189 | ) | |||||||||||||||
Consumer Price All Urban Non-Seasonally | Receive | 1.90 | % | Annual | N/A | 02/12/2024 | 3,930 | 12 | — | ||||||||
Adjusted Index | 12 | ||||||||||||||||
Consumer Price All Urban Non-Seasonally | Pay | 2.16 | % | Annual | N/A | 10/30/2023 | 6,270 | 74 | — | ||||||||
Adjusted Index | 74 | ||||||||||||||||
Consumer Price All Urban Non-Seasonally | Receive | 2.23 | % | Annual | N/A | 09/18/2020 | 29,220 | (338 | ) | 1 | |||||||
Adjusted Index | (337 | ) | |||||||||||||||
Consumer Price All Urban Non-Seasonally | Receive | 1.85 | % | Annual | N/A | 02/08/2022 | 5,825 | — | — | ||||||||
Adjusted Index | — | ||||||||||||||||
Consumer Price All Urban Non-Seasonally | Receive | 2.25 | % | Annual | N/A | 10/30/2028 | 6,270 | (90 | ) | — | |||||||
Adjusted Index | (90 | ) | |||||||||||||||
Harmonised Indices of Consumer Prices Excluding | Pay | 1.83 | % | Annual | N/A | 05/15/2047 | EUR | 535 | 25 | — | |||||||
Food and Energy | 25 | ||||||||||||||||
Harmonised Indices of Consumer Prices Excluding | Pay | 1.97 | % | Annual | N/A | 01/15/2048 | 590 | 56 | (1 | ) | |||||||
Food and Energy | 55 | ||||||||||||||||
Harmonised Indices of Consumer Prices Excluding | Pay | 1.99 | % | Annual | N/A | 01/15/2048 | 590 | 60 | — | ||||||||
Food and Energy | 60 | ||||||||||||||||
Harmonised Indices of Consumer Prices Excluding Receive | 1.38 | % | Annual | N/A | 04/15/2023 | 3,995 | (52 | ) | (1 | ) | |||||||
Food and Energy | (53 | ) | |||||||||||||||
Harmonised Indices of Consumer Prices Excluding Receive | 1.55 | % | Annual | N/A | 07/15/2023 | 4,110 | (82 | ) | — | ||||||||
Food and Energy | (82 | ) | |||||||||||||||
Harmonised Indices of Consumer Prices Excluding | Pay | 1.98 | % | Annual | N/A | 06/15/2048 | 615 | 57 | — | ||||||||
Food and Energy | 57 | ||||||||||||||||
Harmonised Indices of Consumer Prices Excluding | Pay | 1.90 | % | Annual | N/A | 12/15/2048 | 740 | 46 | — | ||||||||
Food and Energy | 46 | ||||||||||||||||
Harmonised Indices of Consumer Prices Excluding | Pay | 1.95 | % | Annual | N/A | 08/15/2048 | 405 | 33 | — | ||||||||
Food and Energy | 33 | ||||||||||||||||
Harmonised Indices of Consumer Prices Excluding Receive | 1.30 | % | Annual | N/A | 01/15/2029 | 2,535 | (11 | ) | — | ||||||||
Food and Energy | (11 | ) | |||||||||||||||
New Zealand Bank Bill 3 Month FRA | Receive | 2.58 | % | Quarterly | N/A | 03/20/2029 | NZD | 1,219 | (9 | ) | — | (9 | ) | ||||
New Zealand Bank Bill 3 Month FRA | Receive | 2.80 | % | Quarterly | N/A | 03/20/2029 | 17,000 | (355 | ) | (1 | ) | (356 | ) | ||||
New Zealand Bank Bill 3 Month FRA | Receive | 2.55 | % | Quarterly | N/A | 03/20/2029 | 3,335 | (18 | ) | — | (18 | ) | |||||
New Zealand Bank Bill 3 Month FRA | Receive | 2.59 | % | Quarterly | N/A | 03/20/2029 | 651 | (5 | ) | — | (5 | ) | |||||
United Kingdom Retail Prices Index | Pay | 3.51 | % | Annual | N/A | 10/15/2028 | GBP | 3,420 | 56 | — | 56 | ||||||
United Kingdom Retail Prices Index | Receive | 3.41 | % | Annual | N/A | 03/15/2048 | 605 | 16 | — | 16 | |||||||
United Kingdom Retail Prices Index | Pay | 3.41 | % | Annual | N/A | 01/15/2028 | 5,135 | (3 | ) | (8 | ) | (11 | ) | ||||
United Kingdom Retail Prices Index | Pay | 3.55 | % | Annual | N/A | 11/15/2032 | 4,640 | 110 | (11 | ) | 99 | ||||||
United Kingdom Retail Prices Index | Receive | 3.58 | % | Annual | N/A | 12/15/2023 | 2,685 | (47 | ) | — | (47 | ) | |||||
United Kingdom Retail Prices Index | Pay | 3.39 | % | Annual | N/A | 08/15/2028 | 3,495 | (33 | ) | (3 | ) | (36 | ) |
See accompanying notes.
75
Consolidated Schedule of Investments | ||||||||||||||||||||||||||||||||
Diversified Real Asset Fund | ||||||||||||||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||||||||||||||
Exchange Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||||||||||
(Pay)/ | ||||||||||||||||||||||||||||||||
Receive | Unrealized | Upfront | ||||||||||||||||||||||||||||||
Floating | Fixed | Payment | Effective | Notional | Appreciation/ | Payments/ | ||||||||||||||||||||||||||
Floating Rate Index | Rate | Rate | Frequency | Date (a) | Maturity Date | Amount | (Depreciation) | (Receipts | Fair Value | |||||||||||||||||||||||
United Kingdom Retail Prices Index | Receive | 3.46 | % | Annual | N/A | 11/15/2027 | GBP | 4,640 | $ | (42 | )$ | 8 | $ | (34 | ) | |||||||||||||||||
United Kingdom Retail Prices Index | Receive | 3.55 | % | Annual | N/A | 11/15/2047 | 2,795 | (209 | ) | 5 | (204 | ) | ||||||||||||||||||||
United Kingdom Retail Prices Index | Pay | 3.60 | % | Annual | N/A | 11/15/2042 | 2,795 | 171 | (8 | ) | 163 | |||||||||||||||||||||
United Kingdom Retail Prices Index | Pay | 3.61 | % | Annual | N/A | 01/15/2029 | 1,145 | 28 | — | 28 | ||||||||||||||||||||||
United Kingdom Retail Prices Index | Receive | 3.36 | % | Annual | N/A | 08/15/2023 | 7,700 | (6 | ) | 3 | (3 | ) | ||||||||||||||||||||
United Kingdom Retail Prices Index | Pay | 3.44 | % | Annual | N/A | 08/15/2048 | 770 | (7 | ) | — | (7 | ) | ||||||||||||||||||||
United Kingdom Retail Prices Index | Receive | 3.48 | % | Annual | N/A | 09/15/2023 | 6,770 | (70 | ) | 2 | (68 | ) | ||||||||||||||||||||
United Kingdom Retail Prices Index | Pay | 3.50 | % | Annual | N/A | 09/15/2028 | 6,770 | 68 | (3 | ) | 65 | |||||||||||||||||||||
United Kingdom Retail Prices Index | Pay | 3.36 | % | Annual | N/A | 08/15/2023 | 19,810 | 10 | (6 | ) | 4 | |||||||||||||||||||||
United Kingdom Retail Prices Index | Receive | 3.35 | % | Annual | N/A | 08/15/2023 | 7,705 | (2 | ) | 3 | 1 | |||||||||||||||||||||
United Kingdom Retail Prices Index | Receive | 3.47 | % | Annual | N/A | 09/15/2048 | 1,255 | (22 | ) | 6 | (16 | ) | ||||||||||||||||||||
United Kingdom Retail Prices Index | Pay | 3.34 | % | Annual | N/A | 06/15/2028 | 925 | (16 | ) | (1 | ) | (17 | ) | |||||||||||||||||||
United Kingdom Retail Prices Index | Receive | 3.45 | % | Annual | N/A | 10/15/2023 | 3,420 | (47 | ) | — | (47 | ) | ||||||||||||||||||||
United Kingdom Retail Prices Index | Receive | 3.26 | % | Annual | N/A | 05/15/2023 | 6,900 | 35 | 3 | 38 | ||||||||||||||||||||||
United Kingdom Retail Prices Index | Receive | 3.48 | % | Annual | N/A | 01/15/2029 | 3,450 | (17 | ) | 1 | (16 | ) | ||||||||||||||||||||
United Kingdom Retail Prices Index | Pay | 3.40 | % | Annual | N/A | 08/15/2028 | 6,710 | (46 | ) | (6 | ) | (52 | ) | |||||||||||||||||||
United Kingdom Retail Prices Index | Pay | 3.45 | % | Annual | N/A | 10/15/2023 | 3,940 | 53 | — | 53 | ||||||||||||||||||||||
United Kingdom Retail Prices Index | Pay | 3.41 | % | Annual | N/A | 01/15/2024 | 3,450 | 13 | — | 13 | ||||||||||||||||||||||
Total | $ | (982 | )$ | (52)$ (1,034) | ||||||||||||||||||||||||||||
Amounts in thousands. | ||||||||||||||||||||||||||||||||
(a) Forward swap. | ||||||||||||||||||||||||||||||||
Total Return Swaps | ||||||||||||||||||||||||||||||||
Value and | ||||||||||||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||||||||
Upfront | Appreciation/ | |||||||||||||||||||||||||||||||
Pay/Receive | Payment | Expiration | Notional | Payments/ | (Depreciation) | |||||||||||||||||||||||||||
Counterparty | Reference Entity | Contracts | Positive Return | Financing Rate | Frequency | Date | Amount | (Receipts) | Asset---- | Liability | ||||||||||||||||||||||
Bank of America NA Bloomberg Commodity | 442,842 | Receive | UST 13 Week Bill | Monthly | 03/21/2019 | $ | 75,536 | $ | — $ | $ | — | (198 | ) | |||||||||||||||||||
Index Total Return(a) | High Discount Rate | |||||||||||||||||||||||||||||||
+ 0.10 | % | |||||||||||||||||||||||||||||||
M3 Capital Partners | Bloomberg Commodity | 538,621 | Receive | UST 13 Week Bill | Monthly | 03/21/2019 | 91,873 | — | — | (241 | ) | |||||||||||||||||||||
Index Total Return(a) | High Discount Rate | |||||||||||||||||||||||||||||||
+ 0.09 | % | |||||||||||||||||||||||||||||||
M3 Capital Partners | Macquarie Commodity | 157,306 | Receive | 0.32 | % | Annual | 03/04/2019 | 14,964 | — | — | (198 | ) | ||||||||||||||||||||
Product 251E(a) | ||||||||||||||||||||||||||||||||
Merrill Lynch | BofA Merrill Lynch | 202,500 | Receive | 0.22 | % | Annual | 03/04/2019 | 20,555 | — | 17 | — | |||||||||||||||||||||
Commodity MLBXCS3E | ||||||||||||||||||||||||||||||||
Excess Return Strategy(a) | ||||||||||||||||||||||||||||||||
Societe Generele | Bloomberg Commodity | 146,250 | Receive | UST 13 Week Bill | Monthly | 03/21/2019 | 24,946 | — | — | (65 | ) | |||||||||||||||||||||
Index Total Return(a) | High Discount Rate | �� | ||||||||||||||||||||||||||||||
+ 0.11 | % | |||||||||||||||||||||||||||||||
Societe Generele | Societe Generale | 198,396 | Receive | 0.35 | % | Annual | 03/04/2019 | 18,877 | — | — | (397 | ) | ||||||||||||||||||||
Commodities Custom | ||||||||||||||||||||||||||||||||
Alpha(a) | ||||||||||||||||||||||||||||||||
Total | $ | — $ | $ | 17 | (1,099 | ) | ||||||||||||||||||||||||||
Amounts in thousands except contracts | ||||||||||||||||||||||||||||||||
(a)All or a portion of this security is owned by the DRA Cayman Corporation, which is a 100% owned subsidiary of the fund. | ||||||||||||||||||||||||||||||||
Purchased Capped Options | ||||||||||||||||||||||||||||||||
Pay/Receive | Upfront | Unrealized | ||||||||||||||||||||||||||||||
Floating | Notional | Expiration | Payments/ | Appreciation/ | ||||||||||||||||||||||||||||
Description | Counterparty | Range | Rate | Amount | Exercise Rate | Date | (Premiums) | Fair Value | (Depreciation) | |||||||||||||||||||||||
Call - 5Y-10Y CMS Index Cap | Morgan Stanley | Max (0, 5Y CMS-0.14%) | Receive $ | 25,700 | 0.14 | % | 04/11/2019 | $ | 7 | $ | 7 | $ | — | |||||||||||||||||||
& Co | ||||||||||||||||||||||||||||||||
Call - 5Y-30Y CMS Index Cap | Barclays Bank | Max (0, 5Y CMS-0.35%) | Pay | 39,000 | 0.35 | % | 07/29/2019 | 20 | 19 | (1 | ) | |||||||||||||||||||||
PLC | ||||||||||||||||||||||||||||||||
Total | $ | 27 | $ | 26 | $ | (1 | ) |
See accompanying notes.
76
Consolidated Schedule of Investments | ||||||||||||||||
Diversified Real Asset Fund | ||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||
Written Capped Options | ||||||||||||||||
Pay/Receive | Upfront | Unrealized | ||||||||||||||
Floating | Notional | Expiration | Payments/ | Appreciation/ | ||||||||||||
Description | Counterparty | Range | Rate | Amount | Exercise Rate | Date | (Premiums) | Fair Value | (Depreciation) | |||||||
Call - 5Y-30Y CMS Index Cap | Barclays Bank | Max (0, 5Y CMS-0.45%) | Pay | $ | 39,000 | 0.45 | % | 07/29/2019 | $ | (10 | )$ | (7) | $ 3 | |||
PLC | ||||||||||||||||
Total | $ | (10 | )$ | (7) | $ 3 | |||||||||||
Amounts in thousands. |
See accompanying notes.
77
Schedule of Investments | ||||||||||||
EDGE MidCap Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
COMMON STOCKS - 98.35% | Shares Held Value (000's) | COMMON STOCKS (continued) | Shares Held Value (000’s) | |||||||||
Airlines - 2.54% | Semiconductors - 4.41% | |||||||||||
Alaska Air Group Inc | 267,396 | $ | 16,498 | Microchip Technology Inc | 216,034 | $ | 18,767 | |||||
Automobile Parts & Equipment - 2.32% | Teradyne Inc | 242,067 | 9,884 | |||||||||
Autoliv Inc | 184,310 | 15,078 | $ | 28,651 | ||||||||
Banks - 4.65% | Software - 7.81% | |||||||||||
Bank OZK | 206,285 | 6,766 | Black Knight Inc(a) | 493,295 | 25,774 | |||||||
Cullen/Frost Bankers Inc | 226,170 | 23,449 | Fair Isaac Corp(a) | 100,671 | 24,948 | |||||||
$ | 30,215 | $ | 50,722 | |||||||||
Chemicals - 5.26% | Toys, Games & Hobbies - 2.62% | |||||||||||
FMC Corp | 128,705 | 11,519 | Hasbro Inc | 200,741 | 17,043 | |||||||
HB Fuller Co | 448,167 | 22,624 | Transportation - 4.41% | |||||||||
$ | 34,143 | Expeditors International of Washington Inc | 234,804 | 17,599 | ||||||||
Commercial Services - 2.54% | Kirby Corp(a) | 148,825 | 11,046 | |||||||||
Aaron's Inc | 303,907 | 16,499 | $ | 28,645 | ||||||||
Consumer Products - 1.65% | TOTAL COMMON STOCKS | $ | 638,676 | |||||||||
Avery Dennison Corp | 99,281 | 10,726 | INVESTMENT COMPANIES - 1.55% | Shares Held Value (000's) | ||||||||
Electric - 6.59% | Money Market Funds - 1.55% | |||||||||||
Eversource Energy | 301,140 | 21,023 | Principal Government Money Market Fund | 10,044,700 | 10,045 | |||||||
WEC Energy Group Inc | 285,162 | 21,752 | 2.33%(b),(c) | |||||||||
$ | 42,775 | TOTAL INVESTMENT COMPANIES | $ | 10,045 | ||||||||
Total Investments | $ | 648,721 | ||||||||||
Electrical Components & Equipment - 4.81% | Other Assets and Liabilities - 0.10% | 628 | ||||||||||
Energizer Holdings Inc | 319,568 | 14,662 | TOTAL NET ASSETS - 100.00% | $ | 649,349 | |||||||
Littelfuse Inc | 85,598 | 16,528 | ||||||||||
$ | 31,190 | |||||||||||
Electronics - 2.83% | (a) | Non-income producing security | ||||||||||
Arrow Electronics Inc(a) | 230,597 | 18,378 | (b) | Affiliated Security. Security is either an affiliate (and registered under the | ||||||||
Environmental Control - 2.42% | Investment Company Act of 1940) or an affiliate as defined by the Investment | |||||||||||
Waste Connections Inc | 188,263 | 15,701 | Company Act of 1940 (controls 5.0% or more of the outstanding voting | |||||||||
Hand & Machine Tools - 3.69% | shares of the security). Please see affiliated sub-schedule for transactional | |||||||||||
Lincoln Electric Holdings Inc | 203,993 | 17,629 | information. | |||||||||
Snap-on Inc | 39,800 | 6,368 | (c) | Current yield shown is as of period end. | ||||||||
$ | 23,997 | |||||||||||
Healthcare - Products - 6.46% | Portfolio Summary (unaudited) | |||||||||||
TeleflexInc | 69,525 | 20,151 | Sector | Percent | ||||||||
Varian Medical Systems Inc(a) | 162,618 | 21,849 | Financial | 21.39 | % | |||||||
$ | 42,000 | Industrial | 19.17 | % | ||||||||
Healthcare - Services - 3.71% | Consumer, Cyclical | 14.58 | % | |||||||||
Universal Health Services Inc | 173,048 | 24,025 | Consumer, Non-cyclical | 14.36 | % | |||||||
Insurance - 4.73% | Technology | 12.22 | % | |||||||||
Fidelity National Financial Inc | 429,717 | 15,079 | Utilities | 6.59 | % | |||||||
Markel Corp(a) | 15,572 | 15,647 | Basic Materials | 5.26 | % | |||||||
$ | 30,726 | Energy | 4.78 | % | ||||||||
Investment Companies - 1.72% | Investment Companies | 1.55 | % | |||||||||
Oaktree Capital Group LLC | 263,254 | 11,154 | Other Assets and Liabilities | 0.10 | % | |||||||
Machinery - Diversified - 1.01% | TOTAL NET ASSETS | 100.00 | % | |||||||||
Nordson Corp | 48,311 | 6,559 | ||||||||||
Office Furnishings - 0.88% | ||||||||||||
HNI Corp | 147,394 | 5,694 | ||||||||||
Oil & Gas - 4.78% | ||||||||||||
Cimarex Energy Co | 200,087 | 14,388 | ||||||||||
Helmerich & Payne Inc | 169,070 | 9,164 | ||||||||||
HollyFrontier Corp | 146,792 | 7,516 | ||||||||||
$ | 31,068 | |||||||||||
REITs - 7.40% | ||||||||||||
Alexandria Real Estate Equities Inc | 131,920 | 17,927 | ||||||||||
CyrusOne Inc | 336,062 | 16,749 | ||||||||||
Tanger Factory Outlet Centers Inc | 620,107 | 13,388 | ||||||||||
$ | 48,064 | |||||||||||
Retail - 6.22% | ||||||||||||
Chipotle Mexican Grill Inc(a) | 26,708 | 16,226 | ||||||||||
Lululemon Athletica Inc(a) | 160,633 | 24,163 | ||||||||||
$ | 40,389 | |||||||||||
Savings & Loans - 2.89% | ||||||||||||
Washington Federal Inc | 610,693 | 18,736 |
See accompanying notes.
78
Schedule of Investments | ||||||||||||
EDGE MidCap Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | ||||||||
Value | Cost | Proceeds | Value | |||||||||
Principal Government Money Market Fund 2.33% | $ | 8,424 | $ | 42,156 | $ | 40,535 | $ | 10,045 | ||||
$ | 8,424 | $ | 42,156 | $ | 40,535 | $ | 10,045 | |||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | ||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | |||||||||
Principal Government Money Market Fund 2.33% | $ | 101 | $ | — $ | — $ | — | ||||||
$ | 101 | $ | — $ | — $ | — | |||||||
Amounts in thousands |
See accompanying notes.
79
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
COMMON STOCKS - 30.12% | Shares Held Value (000's) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Advertising - 0.02% | Automobile Parts & Equipment (continued) | ||||||||||
Gendai Agency Inc | 3,700 | $ | 16 | NGK Insulators Ltd | 31,090 | $ | 475 | ||||
Ocean Outdoor Ltd(a),(b) | 15,649 | 108 | Nissin Kogyo Co Ltd | 13,115 | 185 | ||||||
Omnicom Group Inc | 1,611 | 122 | Nokian Renkaat OYJ | 4,975 | 176 | ||||||
Relia Inc | 8,900 | 78 | Pacific Industrial Co Ltd | 6,014 | 92 | ||||||
Trade Desk Inc/The(a) | 484 | 96 | Rheinmetall AG | 4,089 | 437 | ||||||
$ | 420 | Sumitomo Riko Co Ltd | 12,370 | 113 | |||||||
Aerospace & Defense - 0.50% | Tachi-S Co Ltd | 4,013 | 60 | ||||||||
Cobham PLC(a) | 283,290 | 442 | Tokai Rika Co Ltd | 14,150 | 260 | ||||||
Dassault Aviation SA | 775 | 1,304 | Toyo Tire Corp | 54,192 | 693 | ||||||
Esterline Technologies Corp(a) | 11,311 | 1,377 | Toyoda Gosei Co Ltd | 14,640 | 333 | ||||||
IHI Corp | 5,080 | 134 | Unipres Corp | 9,100 | 163 | ||||||
Jamco Corp | 4,450 | 99 | WABCO Holdings Inc(a) | 9,039 | 1,243 | ||||||
Kawasaki Heavy Industries Ltd | 7,791 | 201 | $ | 6,170 | |||||||
L3 Technologies Inc | 11,954 | 2,531 | Banks - 1.79% | ||||||||
Leonardo SpA | 36,548 | 368 | Allegiance Bancshares Inc(a) | 3,041 | 116 | ||||||
Lockheed Martin Corp(c) | 4,000 | 1,238 | Ameris Bancorp | 3,260 | 133 | ||||||
Moog Inc | 1,757 | 165 | AU Small Finance Bank Ltd(b) | 27,431 | 224 | ||||||
Raytheon Co(c) | 5,800 | 1,082 | Banca Generali SpA | 11,396 | 284 | ||||||
Triumph Group Inc | 6,677 | 155 | BancorpSouth Bank | 4,603 | 150 | ||||||
Ultra Electronics Holdings PLC | 19,996 | 329 | Bank of East Asia Ltd/The | 86,000 | 299 | ||||||
United Technologies Corp(c) | 1,500 | 188 | Bank of Ireland Group PLC | 53,385 | 347 | ||||||
$ | 9,613 | Bank of Kyoto Ltd/The | 1,175 | 53 | |||||||
Agriculture - 0.18% | Bank OZK | 5,456 | 179 | ||||||||
Altria Group Inc(c) | 11,659 | 611 | Bank Tabungan Pensiunan Nasional Syariah Tbk | 624,400 | 91 | ||||||
Japan Tobacco Inc | 52,495 | 1,337 | PT(a) | ||||||||
Philip Morris International Inc(c) | 13,725 | 1,194 | Blue Hills Bancorp Inc | 6,169 | 154 | ||||||
Swedish Match AB | 7,650 | 358 | Cadence BanCorp | 6,165 | 123 | ||||||
$ | 3,500 | China Construction Bank Corp | 376,000 | 335 | |||||||
Airlines - 0.12% | CIT Group Inc | 9,700 | 494 | ||||||||
Delta Air Lines Inc | 2,471 | 123 | Citigroup Inc | 8,607 | 550 | ||||||
Deutsche Lufthansa AG | 20,033 | 511 | Comerica Inc | 5,000 | 436 | ||||||
easyJet PLC | 64,627 | 1,051 | Danske Bank A/S | 18,566 | 369 | ||||||
Japan Airlines Co Ltd | 10,900 | 398 | East West Bancorp Inc | 19,600 | 1,070 | ||||||
Southwest Airlines Co | 2,141 | 120 | Fidelity Southern Corp | 2,701 | 88 | ||||||
$ | 2,203 | Fifth Third Bancorp(c) | 33,500 | 924 | |||||||
Apparel - 0.35% | FinecoBank Banca Fineco SpA | 25,311 | 314 | ||||||||
Carter's Inc | 1,844 | 180 | First Citizens BancShares Inc/NC | 721 | 315 | ||||||
Hermes International | 1,846 | 1,169 | First Midwest Bancorp Inc/IL | 5,401 | 125 | ||||||
Kering SA | 831 | 453 | First Republic Bank/CA | 5,530 | 581 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 5,233 | 1,796 | FNB Corp/PA | 10,374 | 127 | ||||||
Moncler SpA | 6,592 | 253 | Great Western Bancorp Inc | 3,961 | 149 | ||||||
NIKE Inc(c) | 21,500 | 1,843 | Hang Seng Bank Ltd | 43,700 | 1,082 | ||||||
Samsonite International SA(a),(b) | 33,153 | 98 | Heritage Commerce Corp | 5,200 | 73 | ||||||
Sanyo Shokai Ltd | 7,550 | 122 | Hilltop Holdings Inc | 8,019 | 154 | ||||||
Under Armour Inc - Class A(a) | 33,141 | 747 | ICICI Bank Ltd ADR | 17,271 | 170 | ||||||
Under Armour Inc - Class C(a) | 844 | 17 | Independent Bank Group Inc | 1,996 | 116 | ||||||
$ | 6,678 | Japan Post Bank Co Ltd | 95,200 | 1,064 | |||||||
JPMorgan Chase & Co | 1,148 | 120 | |||||||||
Automobile Manufacturers - 0.33% | M&T Bank Corp(c) | 19,085 | 3,303 | ||||||||
Ferrari NV | 4,297 | 553 | Macquarie Group Ltd | 5,134 | 469 | ||||||
Guangzhou Automobile Group Co Ltd | 160,560 | 197 | MB Financial Inc | 16,331 | 739 | ||||||
Honda Motor Co Ltd | 58,350 | 1,648 | Mitsubishi UFJ Financial Group Inc | 302,723 | 1,571 | ||||||
Mazda Motor Corp | 113,700 | 1,339 | Mizuho Financial Group Inc | 810,890 | 1,275 | ||||||
PACCAR Inc | 13,969 | 947 | Morgan Stanley | 476 | 20 | ||||||
REV Group Inc | 17,433 | 154 | National Australia Bank Ltd | 27,385 | 489 | ||||||
Subaru Corp | 19,050 | 486 | OFG Bancorp | 8,266 | 171 | ||||||
Suzuki Motor Corp | 3,100 | 159 | Opus Bank | 7,408 | 169 | ||||||
Tesla Inc(a) | 800 | 256 | Raiffeisen Bank International AG | 6,868 | 175 | ||||||
Volvo AB - B Shares | 35,344 | 520 | Regions Financial Corp(c) | 63,284 | 1,038 | ||||||
$ | 6,259 | Resona Holdings Inc | 94,500 | 428 | |||||||
Automobile Parts & Equipment - 0.32% | San-In Godo Bank Ltd/The | 6,600 | 48 | ||||||||
Aisan Industry Co Ltd | 11,260 | 77 | Sberbank of Russia PJSC | 97,524 | 307 | ||||||
Bridgestone Corp | 20,700 | 820 | Standard Chartered PLC | 49,885 | 398 | ||||||
Cooper Tire & Rubber Co | 4,775 | 153 | State Bank of India Ltd(a) | 1,656 | 63 | ||||||
Daikyonishikawa Corp | 11,480 | 128 | State Street Corp(c) | 18,581 | 1,335 | ||||||
Exedy Corp | 6,620 | 158 | Sumitomo Mitsui Financial Group Inc | 66,430 | 2,360 | ||||||
Faurecia SA | 6,897 | 329 | Sumitomo Mitsui Trust Holdings Inc | 44,030 | 1,673 | ||||||
IJT Technology Holdings Co Ltd | 6,200 | 35 | SunTrust Banks Inc(c) | 42,684 | 2,769 | ||||||
Keihin Corp | 13,650 | 240 | Synovus Financial Corp | 68,289 | 2,710 |
See accompanying notes.
80
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | |||||||||
Banks (continued) | Chemicals (continued) | |||||||||||
TCF Financial Corp | 10,829 | $ | 248 | Hitachi Chemical Co Ltd | 127,011 | $ | 2,312 | |||||
Tokyo Kiraboshi Financial Group Inc | 4,123 | 60 | IMCD NV | 4,707 | 369 | |||||||
UBS Group AG(a) | 38,982 | 495 | JSR Corp | 24,040 | 400 | |||||||
Umpqua Holdings Corp | 7,853 | 143 | Kanto Denka Kogyo Co Ltd | 14,463 | 112 | |||||||
Union Bankshares Corp | 3,902 | 139 | KH Neochem Co Ltd | 6,875 | 176 | |||||||
Univest Financial Corp | 5,068 | 134 | Koninklijke DSM NV | 30,334 | 3,263 | |||||||
Wells Fargo & Co | 14,862 | 741 | Linde PLC(c) | 6,264 | 1,085 | |||||||
$ | 34,279 | LyondellBasell Industries NV(c) | 5,500 | 470 | ||||||||
Beverages - 0.31% | Mitsubishi Chemical Holdings Corp | 41,800 | 309 | |||||||||
Anheuser-Busch InBev SA/NV | 19,073 | 1,490 | Mitsubishi Gas Chemical Co Inc | 19,400 | 297 | |||||||
Asahi Group Holdings Ltd | 7,700 | 333 | Quaker Chemical Corp | 737 | 154 | |||||||
Carlsberg A/S | 1,728 | 209 | Sherwin-Williams Co/The(c) | 3,721 | 1,612 | |||||||
Heineken NV | 3,482 | 351 | Shin-Etsu Chemical Co Ltd | 32,238 | 2,696 | |||||||
Kirin Holdings Co Ltd | 36,500 | 818 | Sumitomo Chemical Co Ltd | 48,700 | 242 | |||||||
MGP Ingredients Inc | 1,666 | 136 | Tokuyama Corp | 4,470 | 112 | |||||||
Molson Coors Brewing Co | 11,564 | 713 | Tokyo Ohka Kogyo Co Ltd | 4,462 | 130 | |||||||
Monster Beverage Corp(a),(c) | 26,200 | 1,672 | Tosoh Corp | 18,600 | 275 | |||||||
Remy Cointreau SA | 2,145 | 280 | Tri Chemical Laboratories Inc | 2,200 | 97 | |||||||
$ | 6,002 | Versum Materials Inc | 14,424 | 707 | ||||||||
Biotechnology - 0.41% | Yara International ASA | 19,852 | 835 | |||||||||
Abcam PLC | 21,686 | 369 | $ | 27,658 | ||||||||
Amgen Inc | 669 | 127 | Commercial Services - 1.11% | |||||||||
Amicus Therapeutics Inc(a) | 4,150 | 50 | 2U Inc(a) | 1,457 | 107 | |||||||
BioMarin Pharmaceutical Inc(a) | 930 | 87 | Adecco Group AG | 8,339 | 432 | |||||||
Blueprint Medicines Corp(a) | 2,004 | 165 | Adtalem Global Education Inc(a) | 2,946 | 142 | |||||||
Celgene Corp(a) | 10,248 | 852 | AMERCO | 2,346 | 902 | |||||||
Exact Sciences Corp(a) | 11,046 | 1,005 | Aramark(c) | 48,235 | 1,462 | |||||||
Five Prime Therapeutics Inc(a) | 4,799 | 56 | Atlantia SpA | 40,153 | 976 | |||||||
Gilead Sciences Inc(c) | 8,321 | 541 | Automatic Data Processing Inc | 838 | 128 | |||||||
Hugel Inc(a) | 1,442 | 449 | Babcock International Group PLC | 50,422 | 362 | |||||||
Illumina Inc(a),(c) | 1,984 | 620 | Benesse Holdings Inc | 4,870 | 132 | |||||||
Intrexon Corp(a) | 1,448 | 12 | Booz Allen Hamilton Holding Corp | 459 | 24 | |||||||
Jinyu Bio-Technology Co Ltd | 168,817 | 393 | Brambles Ltd | 58,206 | 486 | |||||||
Myriad Genetics Inc(a) | 5,032 | 156 | Brink's Co/The | 3,102 | 245 | |||||||
Pacific Biosciences of California Inc(a) | 63,004 | 461 | Bureau Veritas SA | 77,359 | 1,848 | |||||||
Regeneron Pharmaceuticals Inc(a),(c) | 1,985 | 855 | Cardtronics PLC(a) | 4,255 | 126 | |||||||
Sangamo Therapeutics Inc(a) | 9,761 | 88 | Carriage Services Inc | 7,105 | 149 | |||||||
Spark Therapeutics Inc(a) | 7,514 | 851 | CENVEO STOCK(a) | 46,083 | 611 | |||||||
Vertex Pharmaceuticals Inc(a),(c) | 3,500 | 661 | Cimpress NV(a) | 3,063 | 253 | |||||||
$ | 7,798 | Cintas Corp | 5,722 | 1,182 | ||||||||
Building Materials - 0.31% | CoStar Group Inc(a) | 1,637 | 749 | |||||||||
Cemex SAB de CV ADR(a) | 147,854 | 717 | Deluxe Corp | 2,586 | 120 | |||||||
China Resources Cement Holdings Ltd | 177,316 | 189 | EVERTEC Inc | 4,577 | 131 | |||||||
Cie de Saint-Gobain | 21,029 | 757 | FleetCor Technologies Inc(a) | 2,363 | 551 | |||||||
CRH PLC | 20,022 | 635 | H&R Block Inc(c) | 16,100 | 389 | |||||||
JELD-WEN Holding Inc(a) | 6,199 | 125 | HMS Holdings Corp(a) | 5,634 | 194 | |||||||
Katitas Co Ltd | 3,400 | 107 | Kforce Inc | 3,690 | 137 | |||||||
Lennox International Inc | 5,463 | 1,340 | Kroton Educacional SA | 56,300 | 164 | |||||||
Masonite International Corp(a) | 2,038 | 113 | LiveRamp Holdings Inc(a) | 1,167 | 63 | |||||||
Sanwa Holdings Corp | 11,996 | 139 | Localiza Rent a Car SA | 69,646 | 636 | |||||||
USG Corp | 35,013 | 1,509 | Loomis AB | 12,564 | 457 | |||||||
Wienerberger AG | 11,216 | 254 | M&A Capital Partners Co Ltd(a) | 2,310 | 106 | |||||||
$ | 5,885 | Moody's Corp | 8,896 | 1,540 | ||||||||
Chemicals - 1.44% | New Oriental Education & Technology Group Inc | 4,303 | 353 | |||||||||
A. Schulman Inc.(a),(d),(e) | 2,332 | 1 | ADR(a) | |||||||||
Air Liquide SA | 11,501 | 1,434 | Nutrisystem Inc | 15,206 | 658 | |||||||
Air Products & Chemicals Inc(c) | 1,200 | 217 | Persol Holdings Co Ltd | 24,258 | 417 | |||||||
Akzo Nobel NV | 8,949 | 811 | Prestige International Inc | 15,814 | 185 | |||||||
Asahi Kasei Corp | 56,300 | 615 | Raksul Inc(a) | 1,800 | 62 | |||||||
BASF SE | 13,861 | 1,055 | Randstad NV | 17,002 | 907 | |||||||
Borregaard ASA | 21,686 | 205 | Rent-A-Center Inc/TX(a) | 17,758 | 330 | |||||||
Cabot Corp | 2,300 | 108 | Rollins Inc(c) | 18,600 | 738 | |||||||
CF Industries Holdings Inc | 2,388 | 101 | S&P Global Inc | 1,400 | 280 | |||||||
Denka Co Ltd | 2,940 | 89 | SEACOR Marine Holdings Inc(a) | 7,564 | 104 | |||||||
DowDuPont Inc | 38,774 | 2,064 | Ser Educacional SA(b) | 28,300 | 143 | |||||||
EMS-Chemie Holding AG | 3,403 | 1,962 | SGS SA | 501 | 1,276 | |||||||
FMC Corp | 26,880 | 2,406 | Tarena International Inc ADR | 18,270 | 121 | |||||||
GCP Applied Technologies Inc(a) | 23,027 | 690 | TechnoPro Holdings Inc | 3,706 | 201 | |||||||
Hanwha Chemical Corp | 11,889 | 247 | Toppan Forms Co Ltd | 17,900 | 155 |
See accompanying notes.
81
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Commercial Services (continued) | Diversified Financial Services (continued) | ||||||||||
Travelport Worldwide Ltd | 20,318 | $ | 319 | Euronext NV(b) | 4,500 | $ | 274 | ||||
XPS Pensions Group PLC | 109,902 | 196 | Franklin Resources Inc(c) | 4,400 | 143 | ||||||
$ | 21,249 | Greenhill & Co Inc | 5,647 | 133 | |||||||
Computers - 0.57% | Hamilton Lane Inc | 3,178 | 148 | ||||||||
Accenture PLC - Class A | 757 | 122 | Hannon Armstrong Sustainable Infrastructure | 6,835 | 168 | ||||||
Apple Inc(c) | 14,773 | 2,558 | Capital Inc | ||||||||
BayCurrent Consulting Inc | 2,900 | 87 | Hong Kong Exchanges & Clearing Ltd | 25,900 | 893 | ||||||
Cognizant Technology Solutions Corp(c) | 11,098 | 788 | Hypoport AG(a) | 1,861 | 355 | ||||||
DXC Technology Co | 2,500 | 165 | Ichiyoshi Securities Co Ltd | 12,730 | 101 | ||||||
Ferrotec Holdings Corp | 15,800 | 149 | Intercontinental Exchange Inc(c) | 12,060 | 930 | ||||||
Fujitsu Ltd | 9,121 | 616 | INTL. FCStone Inc(a) | 2,758 | 120 | ||||||
Gemalto NV(a) | 18,382 | 1,064 | Investment Technology Group Inc | 7,613 | 230 | ||||||
Globant SA(a) | 1,763 | 122 | KB Financial Group Inc | 9,434 | 372 | ||||||
Hewlett Packard Enterprise Co | 7,779 | 127 | Kenedix Inc | 17,800 | 86 | ||||||
Luxoft Holding Inc(a) | 14,037 | 818 | LPL Financial Holdings Inc | 1,427 | 108 | ||||||
Melco Holdings Inc | 2,190 | 76 | Mahindra & Mahindra Financial Services Ltd | 26,466 | 148 | ||||||
NetApp Inc | 421 | 27 | Mastercard Inc | 568 | 128 | ||||||
NTT Data Corp | 62,742 | 687 | Mebuki Financial Group Inc | 167,900 | 456 | ||||||
Oro Co Ltd | 1,860 | 82 | Moelis & Co | 3,432 | 153 | ||||||
Perspecta Inc | 133,185 | 2,810 | Navient Corp | 11,318 | 138 | ||||||
SCSK Corp | 4,370 | 191 | Nomura Holdings Inc | 102,400 | 399 | ||||||
Serco Group PLC(a) | 219,513 | 377 | Partners Group Holding AG | 2,227 | 1,609 | ||||||
UT Group Co Ltd(a) | 4,675 | 107 | PRA Group Inc(a) | 4,805 | 155 | ||||||
$ | 10,973 | Premium Group Co Ltd | 3,030 | 93 | |||||||
Consumer Products - 0.10% | Sanne Group PLC | 39,249 | 268 | ||||||||
ACCO Brands Corp | 55,058 | 512 | SEI Investments Co(c) | 21,800 | 1,150 | ||||||
Church & Dwight Co Inc | 5,400 | 355 | Solium Capital Inc(a) | 1,045 | 15 | ||||||
Spectrum Brands Holdings Inc | 18,769 | 1,017 | TD Ameritrade Holding Corp | 10,499 | 591 | ||||||
$ | 1,884 | Tochigi Bank Ltd/The | 37,270 | 79 | |||||||
Cosmetics & Personal Care - 0.38% | Tokyo Century Corp | 1,300 | 58 | ||||||||
Colgate-Palmolive Co(c) | 15,900 | 1,047 | Visa Inc(c) | 14,674 | 2,173 | ||||||
Coty Inc | 119,007 | 1,309 | VZ Holding AG | 1,228 | 320 | ||||||
Edgewell Personal Care Co(a) | 3,719 | 165 | Zenkoku Hosho Co Ltd | 6,887 | 254 | ||||||
Estee Lauder Cos Inc/The | 6,300 | 989 | $ | 19,634 | |||||||
Kolmar Korea Co Ltd | 2,759 | 194 | Electric - 0.78% | ||||||||
L'Oreal SA | 6,883 | 1,736 | AGL Energy Ltd | 14,888 | 224 | ||||||
Procter & Gamble Co/The(c) | 12,900 | 1,271 | Avista Corp(c) | 20,334 | 822 | ||||||
Unicharm Corp | 16,300 | 519 | Dominion Energy Inc | 1,706 | 126 | ||||||
$ | 7,230 | E.ON SE | 48,847 | 537 | |||||||
Distribution & Wholesale - 0.27% | Edison International(c) | 9,700 | 581 | ||||||||
Ahlsell AB(b) | 33,332 | 199 | Endesa SA | 81,408 | 2,051 | ||||||
Diploma PLC | 23,510 | 421 | Enel SpA | 243,843 | 1,475 | ||||||
Fastenal Co | 7,982 | 502 | Engie SA | 15,694 | 236 | ||||||
Fourlis Holdings SA(a) | 13,813 | 75 | FirstEnergy Corp | 3,100 | 126 | ||||||
H&E Equipment Services Inc | 6,176 | 178 | GenOn Energy - Class A(a),(f) | 35,586 | 4,982 | ||||||
HD Supply Holdings Inc(a),(c) | 36,500 | 1,570 | Huadian Fuxin Energy Corp Ltd | 328,000 | 74 | ||||||
Mitsui & Co Ltd | 19,700 | 310 | Innogy SE(b) | 1,289 | 60 | ||||||
Nippon Gas Co Ltd | 3,700 | 129 | PG&E Corp(a) | 57,160 | 973 | ||||||
Sumitomo Corp | 89,000 | 1,280 | PPL Corp | 4,044 | 130 | ||||||
Trusco Nakayama Corp | 7,876 | 217 | Red Electrica Corp SA | 33,440 | 723 | ||||||
WW Grainger Inc(c) | 800 | 244 | Southern Co/The(c) | 11,300 | 562 | ||||||
$ | 5,125 | Terna Rete Elettrica Nazionale SpA | 163,247 | 1,016 | |||||||
Uniper SE | 7,350 | 214 | |||||||||
Diversified Financial Services - 1.02% | $ | 14,912 | |||||||||
Affiliated Managers Group Inc(c) | 3,600 | 395 | |||||||||
Ally Financial Inc | 23,000 | 623 | Electrical Components & Equipment - 0.35% | ||||||||
American Express Co | 6,209 | 669 | AMETEK Inc(c) | 27,344 | 2,177 | ||||||
Aruhi Corp | 5,050 | 95 | Belden Inc | 16,073 | 993 | ||||||
ASX Ltd | 13,294 | 659 | Emerson Electric Co(c) | 24,600 | 1,677 | ||||||
Bharat Financial Inclusion Ltd(a) | 8,889 | 116 | EnerSys | 2,621 | 193 | ||||||
Capital One Financial Corp | 1,579 | 132 | Funai Electric Co Ltd(a) | 19,480 | 133 | ||||||
Cboe Global Markets Inc | 2,200 | 211 | Legrand SA | 3,585 | 236 | ||||||
Charles Schwab Corp/The | 6,700 | 308 | Schneider Electric SE | 14,258 | 1,108 | ||||||
CI Financial Corp | 21,800 | 308 | Ushio Inc | 19,590 | 220 | ||||||
Credit Acceptance Corp(a) | 2,071 | 911 | $ | 6,737 | |||||||
Curo Group Holdings Corp(a) | 5,174 | 57 | Electronics - 0.59% | ||||||||
Ditech Holding Corp - Warrants(a) | 4,425 | — | Amphenol Corp(c) | 17,400 | 1,635 | ||||||
Ditech Holding Corp - Warrants(a) | 6,987 | — | AVX Corp | 7,508 | 137 | ||||||
Element Comm Aviation(a),(d),(e),(f) | 280 | 2,424 | Bel Fuse Inc | 6,414 | 157 | ||||||
Ellie Mae Inc(a) | 4,803 | 478 | Bizlink Holding Inc | 20,056 | 129 |
See accompanying notes.
82
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | |||||||||
Electronics (continued) | Environmental Control - 0.22% | |||||||||||
Celestica Inc(a) | 15,410 | $ | 142 | Daiseki Co Ltd | 5,819 | $ | 144 | |||||
Chroma ATE Inc | 19,000 | 79 | Kurita Water Industries Ltd | 16,000 | 404 | |||||||
Fujitsu General Ltd | 21,727 | 291 | Pentair PLC(c) | 41,100 | 1,748 | |||||||
Garmin Ltd | 8,100 | 680 | Waste Management Inc(c) | 19,871 | 2,012 | |||||||
Halma PLC | 20,543 | 424 | $ | 4,308 | ||||||||
Hitachi High-Technologies Corp | 61,921 | 2,367 | Food - 0.52% | |||||||||
Honeywell International Inc(c) | 4,813 | 742 | a2 Milk Co Ltd(a) | 17,783 | 173 | |||||||
Hosiden Corp | 10,480 | 84 | Ajinomoto Co Inc | 15,939 | 241 | |||||||
Ibiden Co Ltd | 17,210 | 245 | Associated British Foods PLC | 7,802 | 232 | |||||||
KEMET Corp | 5,542 | 105 | Barry Callebaut AG | 244 | 420 | |||||||
Kyocera Corp | 4,642 | 256 | Belc Co Ltd | 1,800 | 83 | |||||||
LEM Holding SA | 122 | 145 | Calbee Inc | 5,500 | 153 | |||||||
MINEBEA MITSUMI Inc | 14,515 | 234 | CJ CheilJedang Corp | 2,032 | 581 | |||||||
Nichicon Corp | 24,365 | 219 | Cranswick PLC | 10,606 | 348 | |||||||
Nippon Ceramic Co Ltd | 5,460 | 138 | Dino Polska SA(a),(b) | 7,729 | 219 | |||||||
NOK Corp | 21,220 | 343 | Empire Co Ltd | 12,900 | 300 | |||||||
nVent Electric PLC | 24,743 | 680 | Hershey Co/The | 3,712 | 411 | |||||||
Rotork PLC | 79,714 | 300 | Hostess Brands Inc(a) | 13,848 | 168 | |||||||
SCREEN Holdings Co Ltd | 2,663 | 107 | ICA Gruppen AB | 15,665 | 602 | |||||||
Shibaura Electronics Co Ltd | 2,580 | 90 | Kobe Bussan Co Ltd | 4,680 | 160 | |||||||
Siix Corp | 9,380 | 140 | Koninklijke Ahold Delhaize NV | 26,172 | 674 | |||||||
Silergy Corp | 10,000 | 179 | Lamb Weston Holdings Inc | 7,004 | 485 | |||||||
Tokyo Seimitsu Co Ltd | 6,780 | 175 | Nestle SA | 2,251 | 204 | |||||||
Venture Corp Ltd | 54,500 | 716 | Nissin Foods Holdings Co Ltd | 6,300 | 438 | |||||||
Waters Corp(a) | 800 | 194 | Orion Holdings Corp | 7,140 | 121 | |||||||
Yageo Corp | 22,125 | 246 | Performance Food Group Co(a) | 5,389 | 208 | |||||||
$ | 11,379 | Post Holdings Inc(a) | 8,119 | 827 | ||||||||
Engineering & Construction - 0.45% | Seven & i Holdings Co Ltd | 12,560 | 552 | |||||||||
Alten SA | 4,610 | 475 | Tesco PLC | 184,427 | 553 | |||||||
Argan Inc | 3,102 | 144 | Viscofan SA | 4,318 | 252 | |||||||
Badger Daylighting Ltd | 5,467 | 159 | Warabeya Nichiyo Holdings Co Ltd | 2,750 | 46 | |||||||
Chiyoda Corp | 21,890 | 61 | Wesfarmers Ltd | 28,434 | 670 | |||||||
CIMIC Group Ltd | 22,709 | 808 | Woolworths Group Ltd | 37,453 | 763 | |||||||
COMSYS Holdings Corp | 6,900 | 184 | Yihai International Holding Ltd | 42,718 | 135 | |||||||
Eiffage SA | 4,342 | 423 | $ | 10,019 | ||||||||
Grupo Aeroportuario del Sureste SAB de CV | 5,767 | 98 | Food Service - 0.03% | |||||||||
Hazama Ando Corp | 54,374 | 384 | Compass Group PLC | 24,025 | 531 | |||||||
HOCHTIEF AG | 1,661 | 263 | Forest Products & Paper - 0.12% | |||||||||
JGC Corp | 19,890 | 290 | Domtar Corp | 1,416 | 72 | |||||||
KBR Inc | 7,583 | 150 | Schweitzer-Mauduit International Inc | 4,582 | 177 | |||||||
Kyowa Exeo Corp | 3,440 | 93 | Smurfit Kappa Group PLC | 20,849 | 591 | |||||||
Kyudenko Corp | 6,747 | 232 | UPM-Kymmene OYJ | 49,317 | 1,487 | |||||||
Maeda Corp | 21,700 | 230 | $ | 2,327 | ||||||||
MasTec Inc(a) | 3,283 | 142 | Gas - 0.13% | |||||||||
Mirait Holdings Corp | 9,800 | 153 | Osaka Gas Co Ltd | 36,200 | 743 | |||||||
Obayashi Corp | 42,700 | 416 | Snam SpA | 85,892 | 424 | |||||||
SHO-BOND Holdings Co Ltd | 1,140 | 82 | Tokyo Gas Co Ltd | 29,100 | 802 | |||||||
Singapore Technologies Engineering Ltd | 121,500 | 335 | UGI Corp | 8,462 | 465 | |||||||
SNC-Lavalin Group Inc | 73,892 | 2,041 | $ | 2,434 | ||||||||
Toshiba Plant Systems & Services Corp | 44,979 | 815 | ||||||||||
Toyo Engineering Corp(a) | 15,090 | 98 | Hand & Machine Tools - 0.02% | |||||||||
Vinci SA | 4,302 | 411 | Disco Corp | 493 | 68 | |||||||
Yokogawa Bridge Holdings Corp | 7,598 | 142 | DMG Mori Co Ltd | 8,300 | 108 | |||||||
$ | 8,629 | Kennametal Inc | 6,313 | 238 | ||||||||
Entertainment - 0.25% | $ | 414 | ||||||||||
Avex Inc | 12,490 | 163 | Healthcare - Products - 0.69% | |||||||||
Cineworld Group PLC | 103,662 | 384 | ABIOMED Inc(a),(c) | 1,300 | 435 | |||||||
CJ CGV Co Ltd | 5,385 | 210 | Align Technology Inc(a) | 3,314 | 858 | |||||||
Genting Singapore Ltd | 1,155,500 | 871 | Asahi Intecc Co Ltd | 2,371 | 114 | |||||||
IMAX China Holding Inc(b) | 49,400 | 129 | Baxter International Inc(c) | 11,449 | 856 | |||||||
Madison Square Garden Co/The(a) | 1,623 | 468 | Boston Scientific Corp(a) | 6,100 | 245 | |||||||
Marriott Vacations Worldwide Corp | 7,126 | 694 | Cellavision AB | 9,013 | 281 | |||||||
Monarch Casino & Resort Inc(a) | 2,720 | 119 | Consort Medical PLC | 22,112 | 266 | |||||||
OPAP SA | 31,787 | 325 | DiaSorin SpA | 2,408 | 236 | |||||||
Oriental Land Co Ltd/Japan | 4,300 | 473 | Edwards Lifesciences Corp(a) | 1,300 | 220 | |||||||
Sankyo Co Ltd | 21,500 | 793 | Elekta AB | 16,979 | 196 | |||||||
Universal Entertainment Corp | 4,660 | 148 | Haemonetics Corp(a) | 7,202 | 626 | |||||||
$ | 4,777 | Hill-Rom Holdings Inc | 2,209 | 234 | ||||||||
IDEXX Laboratories Inc(a),(c) | 3,073 | 648 |
See accompanying notes.
83
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Healthcare - Products (continued) | Housewares - 0.01% | ||||||||||
InBody Co Ltd | 2,248 | $ | 47 | Tupperware Brands Corp | 4,016 | $ | 121 | ||||
Insulet Corp(a) | 11,033 | 1,036 | Insurance - 1.55% | ||||||||
Intuitive Surgical Inc(a),(c) | 1,300 | 712 | Admiral Group PLC | 19,335 | 560 | ||||||
Japan Lifeline Co Ltd | 9,550 | 157 | Aflac Inc | 2,542 | 125 | ||||||
Koninklijke Philips NV | 10,756 | 428 | AIA Group Ltd | 41,800 | 417 | ||||||
Medtronic PLC(c) | 17,800 | 1,611 | Alleghany Corp(c) | 3,049 | 1,960 | ||||||
Merit Medical Systems Inc(a) | 3,410 | 190 | Allianz SE | 12,777 | 2,844 | ||||||
Microport Scientific Corp | 131,700 | 116 | Athene Holding Ltd(a) | 8,100 | 361 | ||||||
Natus Medical Inc(a) | 4,376 | 121 | Berkshire Hathaway Inc - Class B(a) | 17,945 | 3,612 | ||||||
Nipro Corp | 27,678 | 365 | Brighthouse Financial Inc(a) | 15,900 | 616 | ||||||
NuVasive Inc(a) | 7,000 | 412 | Dai-ichi Life Holdings Inc | 40,110 | 611 | ||||||
Olympus Corp | 14,400 | 639 | Fairfax Financial Holdings Ltd | 761 | 377 | ||||||
OraSure Technologies Inc(a) | 10,005 | 108 | Fidelity National Financial Inc(c) | 22,550 | 791 | ||||||
Penumbra Inc(a) | 5,349 | 715 | Genworth Financial Inc(a),(c) | 99,924 | 387 | ||||||
Sartorius Stedim Biotech | 2,676 | 315 | Insurance Australia Group Ltd | 35,406 | 185 | ||||||
Shandong Weigao Group Medical Polymer Co | 194,347 | 169 | James River Group Holdings Ltd | 3,824 | 157 | ||||||
Ltd | Lancashire Holdings Ltd | 16,977 | 149 | ||||||||
STERIS PLC | 5,105 | 617 | Manulife Financial Corp | 75,900 | 1,283 | ||||||
Tandem Diabetes Care Inc(a) | 1,440 | 94 | Markel Corp(a),(c) | 2,125 | 2,136 | ||||||
Thermo Fisher Scientific Inc | 503 | 131 | MBIA Inc(a) | 15,174 | 151 | ||||||
$ | 13,198 | Medibank Pvt Ltd | 192,566 | 388 | |||||||
Healthcare - Services - 0.38% | MetLife Inc(c) | 45,489 | 2,055 | ||||||||
Ain Holdings Inc | 1,601 | 110 | Navigators Group Inc/The | 2,190 | 153 | ||||||
Alliar Medicos A Frente SA(a) | 32,897 | 138 | Progressive Corp/The | 7,100 | 518 | ||||||
Apollo Hospitals Enterprise Ltd | 11,009 | 177 | Prudential Financial Inc | 1,344 | 129 | ||||||
Centene Corp(a) | 61,760 | 3,761 | QBE Insurance Group Ltd | 34,869 | 306 | ||||||
CMIC Holdings Co Ltd | 3,800 | 59 | Radian Group Inc | 8,882 | 181 | ||||||
EPS Holdings Inc | 5,400 | 91 | Sampo Oyj | 62,937 | 3,028 | ||||||
HCA Healthcare Inc | 1,200 | 167 | Sony Financial Holdings Inc | 92,292 | 1,752 | ||||||
Laboratory Corp of America Holdings(a) | 4,042 | 599 | Stewart Information Services Corp | 2,901 | 124 | ||||||
Molina Healthcare Inc(a) | 1,084 | 146 | T&D Holdings Inc | 52,110 | 630 | ||||||
Orpea | 3,746 | 441 | Third Point Reinsurance Ltd(a) | 12,399 | 132 | ||||||
Ramsay Health Care Ltd | 14,840 | 682 | Tokio Marine Holdings Inc | 3,337 | 163 | ||||||
Syneos Health Inc(a) | 2,916 | 122 | Voya Financial Inc | 15,625 | 790 | ||||||
UnitedHealth Group Inc(c) | 3,673 | 890 | White Mountains Insurance Group Ltd | 520 | 488 | ||||||
$ | 7,383 | Willis Towers Watson PLC | 12,432 | 2,139 | |||||||
Holding Companies - Diversified - 0.08% | $ | 29,698 | |||||||||
CK Hutchison Holdings Ltd | 90,000 | 958 | Internet - 1.25% | ||||||||
Industrivarden AB | 12,086 | 251 | 51job Inc ADR(a) | 1,074 | 78 | ||||||
J2 Acquisition Ltd(a),(b) | 27,215 | 261 | 58.com Inc ADR(a) | 5,075 | 370 | ||||||
J2 Acquisition Ltd - Warrants(a) | 38,500 | 9 | Alibaba Group Holding Ltd ADR(a) | 2,826 | 517 | ||||||
US Well Services Inc - Warrants(a) | 103,668 | 73 | Alphabet Inc - A Shares(a),(c) | 3,672 | 4,137 | ||||||
$ | 1,552 | Amazon.com Inc(a),(c) | 1,308 | 2,145 | |||||||
Home Builders - 0.21% | ASKUL Corp | 5,743 | 132 | ||||||||
Berkeley Group Holdings PLC | 12,552 | 657 | Baozun Inc ADR(a) | 2,275 | 85 | ||||||
Cairn Homes PLC(a) | 295,100 | 455 | Booking Holdings Inc(a),(c) | 1,062 | 1,802 | ||||||
Century Communities Inc(a) | 5,077 | 116 | Cafe24 Corp(a) | 1,300 | 136 | ||||||
Glenveagh Properties PLC(a),(b) | 342,157 | 335 | CDW Corp/DE | 1,330 | 125 | ||||||
Installed Building Products Inc(a) | 2,550 | 111 | Cerved Group SpA | 43,482 | 401 | ||||||
Land & Houses PCL | 555,309 | 185 | DraftKings Inc(a),(d),(e),(f) | 54,277 | 138 | ||||||
LCI Industries | 530 | 43 | eBay Inc | 8,200 | 305 | ||||||
NVR Inc(a) | 442 | 1,158 | Etsy Inc(a) | 1,365 | 97 | ||||||
Persimmon PLC | 8,748 | 283 | Expedia Group Inc | 157 | 19 | ||||||
PulteGroup Inc | 9,200 | 248 | Facebook Inc(a),(c) | 13,071 | 2,110 | ||||||
Skyline Champion Corp | 11,637 | 231 | GoDaddy Inc(a) | 10,198 | 761 | ||||||
Token Corp | 1,350 | 83 | Klarna Holding AB(a),(d),(e),(f) | 808 | 109 | ||||||
WHA Corp PCL | 733,303 | 98 | LAC Co Ltd | 4,700 | 67 | ||||||
Winnebago Industries Inc | 3,602 | 117 | Limelight Networks Inc(a) | 58,371 | 170 | ||||||
$ | 4,120 | Mimecast Ltd(a) | 4,878 | 235 | |||||||
Home Furnishings - 0.14% | Netflix Inc(a) | 2,621 | 939 | ||||||||
Crompton Greaves Consumer Electricals Ltd | 61,856 | 183 | NHN Entertainment Corp(a) | 3,739 | 246 | ||||||
Hoshizaki Corp | 2,400 | 163 | Palo Alto Networks Inc(a),(c) | 2,500 | 616 | ||||||
Maxell Holdings Ltd | 22,470 | 329 | PChome Online Inc(a) | 64,000 | 293 | ||||||
Roku Inc(a) | 515 | 34 | Proto Corp | 2,600 | 38 | ||||||
Sony Corp | 37,247 | 1,788 | Rakuten Inc | 40,600 | 320 | ||||||
Tempur Sealy International Inc(a) | 2,486 | 145 | Scout24 AG(b) | 11,331 | 597 | ||||||
TTK Prestige Ltd | 926 | 99 | Shopify Inc(a) | 3,932 | 744 | ||||||
$ | 2,741 | SMS Co Ltd | 7,900 | 140 | |||||||
Spotify Technology SA(a) | 4,454 | 624 |
See accompanying notes.
84
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Internet (continued) | Machinery - Diversified - 0.59% | ||||||||||
Stamps.com Inc(a) | 1,726 | $ | 162 | Alamo Group Inc | 1,638 | $ | 157 | ||||
Twitter Inc(a),(c) | 12,600 | 388 | Briggs & Stratton Corp | 12,104 | 159 | ||||||
Wayfair Inc(a) | 4,454 | 738 | Cummins Inc(c) | 1,941 | 299 | ||||||
Wix.com Ltd(a) | 114 | 12 | Dover Corp(c) | 3,600 | 326 | ||||||
Yahoo Japan Corp | 985,881 | 2,642 | FANUC Corp | 2,100 | 348 | ||||||
Yandex NV(a) | 28,427 | 978 | Flowserve Corp | 5,100 | 227 | ||||||
Yume No Machi Souzou Iinkai Co Ltd | 4,820 | 91 | Hexagon AB | 10,818 | 568 | ||||||
ZOZO Inc | 25,963 | 490 | Hisaka Works Ltd | 8,290 | 67 | ||||||
$ | 23,997 | Ichor Holdings Ltd(a) | 8,178 | 172 | |||||||
Investment Companies - 0.37% | IDEX Corp(c) | 12,093 | 1,742 | ||||||||
Altaba Inc(a) | 69,002 | 5,147 | Interpump Group SpA | 10,776 | 349 | ||||||
B. Riley Financial Inc | 8,413 | 143 | Japan Elevator Service Holdings Co Ltd | 3,700 | 70 | ||||||
EXOR NV | 725 | 45 | Keyence Corp | 3,600 | 2,105 | ||||||
GT Capital Holdings Inc | 7,664 | 142 | Kone OYJ | 11,107 | 543 | ||||||
Investor AB | 7,604 | 339 | Kubota Corp | 28,800 | 388 | ||||||
Kinnevik AB | 20,656 | 523 | Nabtesco Corp | 7,434 | 197 | ||||||
Wendel SA | 5,596 | 705 | Rockwell Automation Inc(c) | 2,704 | 483 | ||||||
$ | 7,044 | Roper Technologies Inc(c) | 5,500 | 1,780 | |||||||
Iron & Steel - 0.16% | Shima Seiki Manufacturing Ltd | 2,360 | 78 | ||||||||
BlueScope Steel Ltd | 43,541 | 414 | Spirax-Sarco Engineering PLC | 4,707 | 416 | ||||||
Carpenter Technology Corp | 4,506 | 211 | Stabilus SA | 4,111 | 238 | ||||||
Chubu Steel Plate Co Ltd | 5,500 | 31 | THK Co Ltd | 11,480 | 283 | ||||||
Fortescue Metals Group Ltd | 67,127 | 287 | Toshiba Machine Co Ltd | 6,282 | 128 | ||||||
Hitachi Metals Ltd | 75,123 | 767 | Washtec AG | 4,366 | 267 | ||||||
Japan Steel Works Ltd/The | 6,870 | 125 | $ | 11,390 | |||||||
Kyoei Steel Ltd | 12,730 | 197 | Media - 0.65% | ||||||||
Nakayama Steel Works Ltd | 17,790 | 80 | Altice USA Inc | 36,616 | 799 | ||||||
Tokyo Steel Manufacturing Co Ltd | 43,620 | 362 | Comcast Corp - Class A(c) | 24,527 | 949 | ||||||
Vale SA ADR | 25,245 | 315 | Entercom Communications Corp | 21,689 | 134 | ||||||
Yamato Kogyo Co Ltd | 10,490 | 290 | FactSet Research Systems Inc | 2,760 | 649 | ||||||
$ | 3,079 | Fuji Media Holdings Inc | 11,180 | 164 | |||||||
Leisure Products & Services - 0.27% | Global Eagle Entertainment Inc(a) | 409,695 | 1,090 | ||||||||
Amer Sports Oyj(a) | 29,274 | 1,327 | Gray Television Inc(a) | 70,740 | 1,550 | ||||||
Carnival Corp | 2,198 | 127 | Liberty Global PLC - C Shares(a) | 21,705 | 551 | ||||||
CTS Eventim AG & Co KGaA | 10,071 | 452 | Nexstar Media Group Inc | 1,427 | 139 | ||||||
CVC Brasil Operadora e Agencia de Viagens SA | 10,565 | 165 | Nippon Television Holdings Inc | 20,285 | 319 | ||||||
Malibu Boats Inc(a) | 2,636 | 122 | Schibsted ASA - A Shares | 3,620 | 144 | ||||||
MIPS AB(a) | 8,485 | 126 | Schibsted ASA - B Shares | 20,404 | 756 | ||||||
Nautilus Inc(a) | 10,551 | 69 | Sinclair Broadcast Group Inc | 3,810 | 137 | ||||||
Planet Fitness Inc(a) | 4,015 | 236 | Sirius XM Holdings Inc | 37,849 | 224 | ||||||
Round One Corp | 5,700 | 74 | TEGNA Inc | 12,878 | 170 | ||||||
Shimano Inc | 11,100 | 1,688 | Telenet Group Holding NV | 9,504 | 428 | ||||||
Thule Group AB(b) | 16,322 | 363 | Tribune Media Co | 46,152 | 2,134 | ||||||
Yamaha Motor Co Ltd | 16,632 | 339 | TV Asahi Holdings Corp | 6,630 | 122 | ||||||
$ | 5,088 | Twenty-First Century Fox Inc - A Shares | 27,841 | 1,404 | |||||||
Lodging - 0.33% | Viacom Inc - B Shares | 4,337 | 127 | ||||||||
Accor SA | 7,689 | 325 | Wolters Kluwer NV | 6,077 | 400 | ||||||
Belmond Ltd(a) | 45,469 | 1,130 | World Wrestling Entertainment Inc | 304 | 25 | ||||||
Boyd Gaming Corp | 4,610 | 137 | $ | 12,415 | |||||||
Caesars Entertainment Corp(a) | 136,019 | 1,172 | Metal Fabrication & Hardware - 0.04% | ||||||||
Choice Hotels International Inc | 11,632 | 929 | Advanced Drainage Systems Inc | 4,708 | 120 | ||||||
Galaxy Entertainment Group Ltd | 56,000 | 397 | Neturen Co Ltd | 6,400 | 52 | ||||||
Hilton Worldwide Holdings Inc(c) | 7,700 | 640 | NSK Ltd | 17,100 | 158 | ||||||
Kyoritsu Maintenance Co Ltd | 7,951 | 379 | Rexnord Corp(a) | 5,030 | 134 | ||||||
Las Vegas Sands Corp(c) | 9,000 | 553 | Troax Group AB | 8,575 | 284 | ||||||
Marcus Corp/The | 3,555 | 151 | Tsubaki Nakashima Co Ltd | 2,702 | 48 | ||||||
Marriott International Inc/MD | 4,800 | 601 | $ | 796 | |||||||
$ | 6,414 | Mining - 0.51% | |||||||||
Machinery - Construction & Mining - 0.15% | Antofagasta PLC | 32,635 | 404 | ||||||||
Atlas Copco AB - A Shares | 45,221 | 1,226 | Barrick Gold Corp | 67,518 | 854 | ||||||
Hitachi Ltd | 12,793 | 384 | BHP Group Ltd | 49,875 | 1,317 | ||||||
Lonking Holdings Ltd | 199,000 | 67 | BHP Group PLC | 34,511 | 801 | ||||||
Mitsubishi Heavy Industries Ltd | 13,690 | 558 | Boliden AB | 45,440 | 1,242 | ||||||
Sandvik AB | 37,763 | 619 | Compass Minerals International Inc | 2,863 | 150 | ||||||
$ | 2,854 | Franco-Nevada Corp | 4,200 | 316 | |||||||
Freeport-McMoRan Inc(c) | 13,300 | 172 | |||||||||
Goldcorp Inc | 87,331 | 921 | |||||||||
Kinross Gold Corp(a) | 84,900 | 283 | |||||||||
Livent Corp(a) | 32,676 | 418 |
See accompanying notes.
85
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Mining (continued) | Oil & Gas Services - 0.13% | ||||||||||
Pacific Metals Co Ltd | 5,520 | $ | 141 | C&J Energy Services Inc(a) | 92,577 | $ | 1,599 | ||||
Pretium Resources Inc(a) | 168,436 | 1,363 | Liberty Oilfield Services Inc | 7,003 | 115 | ||||||
Rio Tinto PLC | 16,159 | 928 | Oil States International Inc(a) | 418 | 7 | ||||||
Teck Resources Ltd | 18,400 | 412 | ProPetro Holding Corp(a) | 7,813 | 155 | ||||||
$ | 9,722 | Schlumberger Ltd(c) | 6,000 | 264 | |||||||
Miscellaneous Manufacturers - 0.35% | TGS NOPEC Geophysical Co ASA | 9,730 | 265 | ||||||||
Actuant Corp | 5,968 | 146 | Thermon Group Holdings Inc(a) | 6,765 | 168 | ||||||
Airtac International Group | 6,011 | 74 | $ | 2,573 | |||||||
Alstom SA(a) | 10,262 | 446 | Packaging & Containers - 0.14% | ||||||||
AO Smith Corp(c) | 9,408 | 488 | Ball Corp | 10,890 | 597 | ||||||
Eaton Corp PLC | 1,609 | 128 | Bemis Co Inc | 2,490 | 132 | ||||||
Enplas Corp | 3,910 | 105 | Multi-Color Corp | 810 | 40 | ||||||
Escorts Ltd | 21,062 | 195 | Nampak Ltd(a) | 135,442 | 110 | ||||||
Fabrinet(a) | 2,541 | 149 | Sealed Air Corp | 27,493 | 1,199 | ||||||
FUJIFILM Holdings Corp | 18,068 | 809 | Silgan Holdings Inc(c) | 7,552 | 214 | ||||||
Haynes International Inc | 4,612 | 162 | Vidrala SA | 4,160 | 396 | ||||||
Illinois Tool Works Inc(c) | 12,458 | 1,795 | $ | 2,688 | |||||||
ITT Inc | 3,516 | 203 | Pharmaceuticals - 1.02% | ||||||||
Knorr-Bremse AG(a) | 2,136 | 215 | AbbVie Inc | 1,556 | 123 | ||||||
Nikon Corp | 13,960 | 212 | Aerie Pharmaceuticals Inc(a) | 2,931 | 137 | ||||||
Siemens AG | 8,562 | 935 | Alkermes PLC(a) | 6,500 | 216 | ||||||
Sturm Ruger & Co Inc | 2,378 | 135 | Allergan PLC | 784 | 108 | ||||||
Toshiba Corp | 13,330 | 418 | AmerisourceBergen Corp | 1,418 | 118 | ||||||
Toyobo Co Ltd | 8,000 | 114 | Astellas Pharma Inc | 49,600 | 769 | ||||||
$ | 6,729 | AstraZeneca PLC | 5,558 | 453 | |||||||
Office & Business Equipment - 0.09% | AstraZeneca PLC ADR | 25,012 | 1,040 | ||||||||
Canon Inc | 46,790 | 1,344 | Bristol-Myers Squibb Co | 2,446 | 126 | ||||||
Toshiba TEC Corp | 4,575 | 129 | Cardinal Health Inc(c) | 4,400 | 239 | ||||||
Zebra Technologies Corp(a) | 1,337 | 268 | China Biologic Products Holdings Inc(a) | 18,959 | 1,524 | ||||||
$ | 1,741 | China Traditional Chinese Medicine Holdings | 274,000 | 181 | |||||||
Office Furnishings - 0.01% | Co Ltd | ||||||||||
Knoll Inc | 6,943 | 147 | Cigna Corp | 591 | 103 | ||||||
Oil & Gas - 0.91% | CSPC Pharmaceutical Group Ltd | 344,488 | 588 | ||||||||
Cabot Oil & Gas Corp(c) | 6,100 | 150 | CVS Health Corp | 1,853 | 107 | ||||||
Canadian Natural Resources Ltd | 19,800 | 562 | DexCom Inc(a),(c) | 2,100 | 293 | ||||||
Centennial Resource Development Inc/DE(a) | 2,938 | 27 | Eisai Co Ltd | 4,320 | 357 | ||||||
Chesapeake Energy Corp(a) | 94,858 | 281 | Elan Corp | 6,800 | 90 | ||||||
CNOOC Ltd | 97,000 | 168 | Galapagos NV ADR(a) | 987 | 96 | ||||||
Cosmo Energy Holdings Co Ltd | 4,770 | 101 | Global Blood Therapeutics Inc(a) | 2,241 | 118 | ||||||
DCC PLC | 8,688 | 752 | Heron Therapeutics Inc(a) | 1,757 | 47 | ||||||
Dommo Energia SA ADR(a) | 269 | 6 | Jazz Pharmaceuticals PLC(a) | 164 | 23 | ||||||
Encana Corp | 284,195 | 2,061 | Johnson & Johnson(c) | 6,493 | 887 | ||||||
Equinor ASA | 43,711 | 983 | Kyowa Hakko Kirin Co Ltd | 22,210 | 424 | ||||||
Exxon Mobil Corp(c) | 5,800 | 458 | McKesson Corp | 934 | 119 | ||||||
Halcon Resources Corp(a) | 380,526 | 571 | Merck & Co Inc | 1,585 | 129 | ||||||
Inpex Corp | 43,320 | 420 | MyoKardia Inc(a) | 760 | 34 | ||||||
Japan Petroleum Exploration Co Ltd | 13,180 | 274 | Nippon Shinyaku Co Ltd | 4,814 | 307 | ||||||
JXTG Holdings Inc | 320,561 | 1,498 | Novartis AG | 8,312 | 757 | ||||||
Lundin Petroleum AB | 6,799 | 223 | Novo Nordisk A/S | 57,524 | 2,820 | ||||||
Marathon Petroleum Corp | 1,829 | 113 | Ono Pharmaceutical Co Ltd | 13,060 | 268 | ||||||
Midstates Petroleum Co Inc(a) | 109,282 | 944 | Pfizer Inc | 4,000 | 173 | ||||||
Occidental Petroleum Corp(c) | 16,500 | 1,091 | Phibro Animal Health Corp | 3,330 | 98 | ||||||
OMV AG | 9,088 | 478 | PRA Health Sciences Inc(a) | 1,241 | 133 | ||||||
Penn Virginia Corp(a) | 1,049 | 56 | Roche Holding AG | 8,855 | 2,457 | ||||||
Petroleo Brasileiro SA ADR | 15,115 | 238 | Santen Pharmaceutical Co Ltd | 11,000 | 172 | ||||||
Phillips 66(c) | 4,900 | 472 | Shionogi & Co Ltd | 12,200 | 781 | ||||||
Pioneer Natural Resources Co(c) | 12,000 | 1,691 | Sinopharm Group Co Ltd | 25,010 | 111 | ||||||
PrairieSky Royalty Ltd | 43,500 | 634 | Supernus Pharmaceuticals Inc(a) | 1,028 | 42 | ||||||
Repsol SA | 22,907 | 394 | Takeda Pharmaceutical Co Ltd ADR | 9,353 | 188 | ||||||
Resolute Energy Corp(a) | 3,615 | 112 | Takeda Pharmaceutical Co Ltd | 57,440 | 2,312 | ||||||
Rowan Cos PLC(a) | 17,042 | 193 | UCB SA | 2,402 | 201 | ||||||
Suncor Energy Inc | 33,500 | 1,155 | Zoetis Inc | 2,200 | 207 | ||||||
TOTAL SA | 14,577 | 830 | $ | 19,476 | |||||||
Transocean Ltd(a) | 13,232 | 108 | Pipelines - 0.06% | ||||||||
Viper Energy Partners LP | 2,805 | 92 | Kinder Morgan Inc/DE(c) | 8,200 | 157 | ||||||
Whiting Petroleum Corp(a) | 14,653 | 357 | ONEOK Inc(c) | 13,000 | 835 | ||||||
$ | 17,493 | Plains GP Holdings LP(a) | 5,035 | 117 | |||||||
Williams Cos Inc/The(c) | 5,000 | 134 | |||||||||
$ | 1,243 |
See accompanying notes.
86
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||||
Private Equity - 0.01% | Retail (continued) | ||||||||||||
3i Group PLC | 2,096 | $ | 26 | Cie Financiere Richemont SA | 35,725 | $ | 2,730 | ||||||
Grivalia Properties REIC AE | 8,751 | 98 | Citizen Watch Co Ltd | 49,750 | 284 | ||||||||
Kennedy-Wilson Holdings Inc | 6,618 | 138 | CJ ENM Co Ltd | 2,218 | 470 | ||||||||
$ | 262 | Clicks Group Ltd | 12,641 | 162 | |||||||||
Real Estate - 0.43% | cocokara fine Inc | 1,649 | 74 | ||||||||||
Aedas Homes SAU(a),(b) | 11,370 | 304 | Costco Wholesale Corp(c) | 2,374 | 519 | ||||||||
Catena AB | 4,269 | 119 | Dick's Sporting Goods Inc | 3,388 | 132 | ||||||||
China Overseas Land & Investment Ltd | 36,750 | 135 | Dollar General Corp(c) | 2,400 | 284 | ||||||||
CK Asset Holdings Ltd | 205,500 | 1,705 | Dollarama Inc | 34,800 | 942 | ||||||||
Corp Inmobiliaria Vesta SAB de CV | 117,636 | 171 | DP Eurasia NV(a),(b) | 79,590 | 101 | ||||||||
Hembla AB(a) | 16,091 | 296 | Five Below Inc(a) | 1,308 | 157 | ||||||||
Henderson Land Development Co Ltd | 79,000 | 447 | Floor & Decor Holdings Inc(a) | 1,629 | 61 | ||||||||
Hongkong Land Holdings Ltd | 74,000 | 531 | Gourmet Master Co Ltd | 23,788 | 178 | ||||||||
Ichigo Inc | 58,700 | 198 | H2O Retailing Corp | 2,551 | 35 | ||||||||
Kerry Properties Ltd | 64,000 | 267 | Home Depot Inc/The(c) | 9,620 | 1,781 | ||||||||
LEG Immobilien AG | 2,637 | 294 | Honeys Holdings Co Ltd | 7,080 | 62 | ||||||||
McGrath RentCorp | 2,691 | 161 | Hyundai Department Store Co Ltd | 4,005 | 344 | ||||||||
Metrovacesa SA(a),(b) | 23,144 | 299 | IDOM Inc | 16,300 | 55 | ||||||||
Mitsubishi Estate Co Ltd | 154,695 | 2,658 | Industria de Diseno Textil SA | 66,478 | 2,007 | ||||||||
Neinor Homes SA(a),(b) | 22,750 | 298 | Jand Inc(a),(d),(e),(f) | 1,693 | 23 | ||||||||
Oberoi Realty Ltd | 29,799 | 208 | Jollibee Foods Corp | 29,590 | 176 | ||||||||
Parque Arauco SA | 79,587 | 218 | Kohl's Corp | 1,886 | 127 | ||||||||
WeWork Cos Inc(a),(d),(e),(f) | 356 | 24 | K's Holdings Corp | 6,200 | 57 | ||||||||
$ | 8,333 | Lowe's Cos Inc(c) | 8,400 | 883 | |||||||||
REITs - 0.76% | Magazine Luiza SA | 3,750 | 172 | ||||||||||
Agree Realty Corp | 4,453 | 293 | Maisons du Monde SA(b) | 10,046 | 262 | ||||||||
American Tower Corp | 3,607 | 635 | Matahari Department Store Tbk PT | 1,199,958 | 489 | ||||||||
Brookfield Property REIT Inc | 11,600 | 228 | McDonald's Corp(c) | 7,700 | 1,416 | ||||||||
CoreCivic Inc | 6,891 | 146 | Michaels Cos Inc/The(a) | 9,564 | 135 | ||||||||
Crown Castle International Corp | 5,235 | 622 | Mitra Adiperkasa Tbk PT | 3,096,162 | 233 | ||||||||
Duke Realty Corp(c) | 54,300 | 1,606 | Next PLC | 4,412 | 298 | ||||||||
Easterly Government Properties Inc | 7,217 | 130 | Nishimatsuya Chain Co Ltd | 11,040 | 93 | ||||||||
Equity Residential(c) | 4,100 | 302 | Noodles & Co(a) | 9,938 | 78 | ||||||||
Hersha Hospitality Trust | 6,555 | 124 | PAL GROUP Holdings Co Ltd | 4,480 | 127 | ||||||||
Hibernia REIT plc | 216,928 | 317 | Panera Bread Co(a),(d),(e),(f) | 1,664 | 19 | ||||||||
Hoshino Resorts REIT Inc | 14 | 67 | RH(a) | 681 | 104 | ||||||||
Host Hotels & Resorts Inc(c) | 47,800 | 937 | Ruth's Hospitality Group Inc | 3,570 | 91 | ||||||||
InfraREIT Inc | 16,494 | 352 | Shanghai Pharmaceuticals Holding Co Ltd | 118,580 | 266 | ||||||||
Lamar Advertising Co | 1,616 | 125 | Shimamura Co Ltd | 3,230 | 273 | ||||||||
Liberty Property Trust(c) | 7,700 | 364 | Starbucks Corp(c) | 7,257 | 510 | ||||||||
Monmouth Real Estate Investment Corp | 8,381 | 111 | Sundrug Co Ltd | 6,800 | 208 | ||||||||
Nippon Building Fund Inc | 103 | 671 | Swatch Group AG/The - REG | 3,293 | 188 | ||||||||
Outfront Media Inc | 7,381 | 166 | Tiffany & Co | 5,118 | 486 | ||||||||
Pebblebrook Hotel Trust | 5,569 | 178 | TJX Cos Inc/The(c) | 20,600 | 1,057 | ||||||||
PotlatchDeltic Corp | 8,596 | 309 | Tsuruha Holdings Inc | 590 | 52 | ||||||||
Prologis Inc(c) | 16,500 | 1,156 | United Arrows Ltd | 2,600 | 86 | ||||||||
Public Storage | 3,284 | 694 | Vera Bradley Inc(a) | 11,732 | 112 | ||||||||
RPT Realty | 10,636 | 135 | Walgreens Boots Alliance Inc | 1,739 | 124 | ||||||||
Segro PLC | 31,878 | 280 | Walmart Inc(c) | 10,500 | 1,039 | ||||||||
Simon Property Group Inc(c) | 8,400 | 1,522 | Westlife Development Ltd(a) | 41,692 | 207 | ||||||||
Vicinity Centres | 188,916 | 330 | Xebio Holdings Co Ltd | 14,940 | 169 | ||||||||
Vornado Realty Trust(c) | 11,900 | 801 | Yum! Brands Inc | 1,259 | 119 | ||||||||
Welltower Inc(c) | 24,888 | 1,849 | Zumiez Inc(a) | 5,712 | 141 | ||||||||
Weyerhaeuser Co(c) | 8,900 | 221 | $ | 23,694 | |||||||||
$ | 14,671 | Savings & Loans - 0.05% | |||||||||||
Retail - 1.24% | Beneficial Bancorp Inc | 10,870 | 175 | ||||||||||
Ace Hardware Indonesia Tbk PT | 1,546,500 | 193 | OceanFirst Financial Corp | 4,654 | 117 | ||||||||
Adastria Co Ltd | 4,700 | 82 | People's United Financial Inc | 23,800 | 423 | ||||||||
Advance Auto Parts Inc | 8,065 | 1,305 | Sterling Bancorp/DE | 8,035 | 163 | ||||||||
Alsea SAB de CV | 42,100 | 107 | United Financial Bancorp Inc | 8,740 | 136 | ||||||||
American Eagle Outfitters Inc | 6,052 | 123 | $ | 1,014 | |||||||||
AutoZone Inc(a),(c) | 300 | 282 | Semiconductors - 0.71% | ||||||||||
Best Buy Co Inc | 1,829 | 126 | Advanced Micro Devices Inc(a) | 27,478 | 647 | ||||||||
BK Brasil Operacao e Assessoria a Restaurantes | 10,500 | 62 | Applied Materials Inc | 11,400 | 437 | ||||||||
SA | ASML Holding NV | 13,358 | 2,444 | ||||||||||
CarMax Inc(a) | 9,619 | 597 | ASPEED Technology Inc | 2,200 | 49 | ||||||||
Cawachi Ltd | 4,760 | 90 | Broadcom Inc | 443 | 122 | ||||||||
Children's Place Inc/The | 2,995 | 286 | Entegris Inc | 3,755 | 133 | ||||||||
Chipotle Mexican Grill Inc(a),(c) | 400 | 243 | FormFactor Inc(a) | 8,035 | 127 |
See accompanying notes.
87
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Semiconductors (continued) | Software (continued) | ||||||||||
Globalwafers Co Ltd | 20,542 | $ | 221 | TechMatrix Corp | 6,900 | $ | 116 | ||||
Hamamatsu Photonics KK | 13,400 | 473 | Temenos AG(a) | 2,704 | 391 | ||||||
Inari Amertron Bhd | 261,500 | 101 | TiVo Corp | 10,930 | 110 | ||||||
Integrated Device Technology Inc(a) | 39,627 | 1,915 | Twilio Inc(a) | 3,254 | 396 | ||||||
KLA-Tencor Corp | 6,155 | 711 | Ultimate Software Group Inc/The(a) | 469 | 156 | ||||||
Maxim Integrated Products Inc | 11,678 | 636 | Veeva Systems Inc(a) | 5,886 | 694 | ||||||
Micron Technology Inc(a) | 16,300 | 666 | Workday Inc(a) | 3,523 | 697 | ||||||
Miraial Co Ltd | 4,310 | 48 | Zuora Inc(a) | 9,509 | 226 | ||||||
Nova Measuring Instruments Ltd(a) | 3,271 | 81 | $ | 33,962 | |||||||
NVIDIA Corp(c) | 5,200 | 802 | Storage & Warehousing - 0.01% | ||||||||
NXP Semiconductors NV(c) | 14,618 | 1,335 | ID Logistics Group(a) | 1,605 | 269 | ||||||
QUALCOMM Inc(c) | 5,800 | 310 | Telecommunications - 1.10% | ||||||||
Rohm Co Ltd | 3,221 | 204 | ADTRAN Inc | 7,077 | 106 | ||||||
Samsung Electronics Co Ltd | 19,273 | 771 | Arista Networks Inc(a),(c) | 2,700 | 770 | ||||||
Shinko Electric Industries Co Ltd | 10,730 | 78 | ARRIS International PLC(a) | 53,233 | 1,686 | ||||||
Silicon Motion Technology Corp ADR | 3,652 | 150 | AT&T Inc(c) | 14,500 | 451 | ||||||
Sino-American Silicon Products Inc(a) | 31,851 | 73 | Calix Inc(a) | 15,326 | 126 | ||||||
Skyworks Solutions Inc(c) | 4,300 | 351 | China Mobile Ltd | 40,011 | 423 | ||||||
SOITEC(a) | 2,980 | 237 | Cisco Systems Inc(c) | 16,334 | 845 | ||||||
Texas Instruments Inc | 461 | 49 | Deutsche Telekom AG | 63,196 | 1,042 | ||||||
Tower Semiconductor Ltd(a) | 15,666 | 281 | Finisar Corp(a) | 52,599 | 1,288 | ||||||
Xperi Corp | 7,519 | 180 | Goodman Networks Inc(a),(e),(f) | 142,878 | — | ||||||
$ | 13,632 | Hellenic Telecommunications Organization SA | 28,792 | 365 | |||||||
Software - 1.77% | HKT Trust & HKT Ltd | 107,000 | 167 | ||||||||
Akamai Technologies Inc(a) | 589 | 41 | HMS Networks AB | 12,674 | 213 | ||||||
Allscripts Healthcare Solutions Inc(a) | 14,923 | 160 | Intelsat SA(a) | 57,652 | 1,388 | ||||||
Amadeus IT Group SA | 2,848 | 214 | Koninklijke KPN NV | 273,059 | 842 | ||||||
Autodesk Inc(a) | 3,029 | 494 | Loral Space & Communications Inc(a) | 37,932 | 1,552 | ||||||
Avid Technology Inc(a) | 31,153 | 148 | Motorola Solutions Inc(c) | 17,149 | 2,454 | ||||||
Birst Inc(a),(d),(e),(f) | 21,065 | 1 | Nippon Telegraph & Telephone Corp | 3,854 | 167 | ||||||
Black Knight Inc(a) | 12,843 | 671 | Nokia OYJ | 60,031 | 363 | ||||||
Broadridge Financial Solutions Inc | 1,169 | 118 | NTT DOCOMO Inc | 26,500 | 617 | ||||||
Cadence Design Systems Inc(a),(c) | 37,500 | 2,147 | Oi SA ADR(a) | 136,100 | 312 | ||||||
Cerner Corp(a),(c) | 11,400 | 638 | Ooma Inc(a) | 9,150 | 149 | ||||||
Citrix Systems Inc(c) | 3,500 | 369 | Plantronics Inc | 3,342 | 168 | ||||||
Computer Engineering & Consulting Ltd | 3,400 | 70 | Rogers Communications Inc | 24,100 | 1,332 | ||||||
Constellation Software Inc/Canada | 1,172 | 1,001 | Sectra AB(a) | 7,748 | 220 | ||||||
Cresco Ltd | 2,698 | 83 | SoftBank Group Corp | 15,300 | 1,420 | ||||||
CSG Systems International Inc | 4,196 | 174 | Sprint Corp(a) | 206,141 | 1,309 | ||||||
DeNA Co Ltd | 21,530 | 333 | Telenor ASA | 58,831 | 1,147 | ||||||
Douzone Bizon Co Ltd | 3,494 | 132 | Viavi Solutions Inc(a) | 11,041 | 145 | ||||||
Electronic Arts Inc(a),(c) | 9,128 | 874 | $ | 21,067 | |||||||
Envestnet Inc(a) | 2,840 | 173 | Textiles - 0.03% | ||||||||
Everbridge Inc(a) | 1,795 | 127 | Coats Group PLC | 336,419 | 396 | ||||||
Fair Isaac Corp(a) | 615 | 152 | Seiren Co Ltd | 5,579 | 93 | ||||||
Fidelity National Information Services Inc(c) | 3,400 | 368 | $ | 489 | |||||||
First Data Corp(a),(c) | 70,310 | 1,768 | Toys, Games & Hobbies - 0.02% | ||||||||
First Derivatives PLC | 5,193 | 151 | Nintendo Co Ltd | 1,570 | 431 | ||||||
Five9 Inc(a) | 2,779 | 147 | |||||||||
Gree Inc | 58,080 | 245 | Transportation - 0.81% | ||||||||
Guidewire Software Inc(a) | 9,008 | 826 | Canadian National Railway Co | 28,769 | 2,469 | ||||||
HubSpot Inc(a) | 534 | 90 | Central Japan Railway Co | 2,000 | 449 | ||||||
Intuit Inc(c) | 6,042 | 1,493 | CH Robinson Worldwide Inc(c) | 5,400 | 488 | ||||||
Kingdee International Software Group Co Ltd | 100,637 | 109 | CJ Logistics Corp(a) | 2,976 | 502 | ||||||
Linx SA | 27,592 | 211 | CSX Corp | 7,097 | 516 | ||||||
Microsoft Corp(c) | 32,173 | 3,604 | Dorian LPG Ltd(a) | 29,942 | 177 | ||||||
New Relic Inc(a) | 650 | 69 | DSV A/S | 19,969 | 1,661 | ||||||
Nexon Co Ltd(a) | 94,444 | 1,506 | East Japan Railway Co | 12,800 | 1,226 | ||||||
Omnicell Inc(a) | 4,218 | 358 | Expeditors International of Washington Inc | 7,328 | 549 | ||||||
Oracle Corp(c) | 32,224 | 1,680 | Genesee & Wyoming Inc(a) | 13,827 | 1,134 | ||||||
Paychex Inc | 1,665 | 128 | JB Hunt Transport Services Inc(c) | 11,500 | 1,238 | ||||||
Progress Software Corp | 4,002 | 147 | Knight-Swift Transportation Holdings Inc | 12,200 | 410 | ||||||
PROS Holdings Inc(a) | 4,228 | 180 | Kuehne + Nagel International AG | 12,575 | 1,638 | ||||||
Red Hat Inc(a) | 37,144 | 6,783 | Nippon Yusen KK | 7,140 | 113 | ||||||
salesforce.com Inc(a) | 4,283 | 701 | Panalpina Welttransport Holding AG | 7,413 | 1,155 | ||||||
SAP SE | 4,549 | 487 | Scorpio Tankers Inc | 13,013 | 239 | ||||||
ServiceNow Inc(a) | 3,608 | 864 | SEACOR Holdings Inc(a) | 7,103 | 317 | ||||||
Splunk Inc(a) | 3,330 | 453 | Seibu Holdings Inc | 33,800 | 602 | ||||||
SS&C Technologies Holdings Inc | 11,172 | 688 | Yamato Holdings Co Ltd | 24,300 | 635 | ||||||
$ | 15,518 |
See accompanying notes.
88
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | CONVERTIBLE PREFERRED STOCKS | ||||||||||||
Trucking & Leasing - 0.07% | (continued) | Shares Held Value (000’s) | ||||||||||||
AerCap Holdings NV(a) | 18,400 | $ | 831 | Retail - 0.00% | ||||||||||
GATX Corp | 5,377 | 427 | Jand Inc 0.00%(a),(d),(e),(f) | 3,781 | $ | 52 | ||||||||
$ | 1,258 | TOTAL CONVERTIBLE PREFERRED STOCKS | $ | 11,701 | ||||||||||
Water - 0.03% | PREFERRED STOCKS - 0.26% | Shares Held Value (000's) | ||||||||||||
Connecticut Water Service Inc | 2,973 | 200 | Automobile Manufacturers - 0.08% | |||||||||||
Veolia Environnement SA | 16,874 | 370 | Porsche Automobil Holding SE 1.76% | 14,773 | 982 | |||||||||
$ | 570 | Volkswagen AG 4.86% | 3,415 | 586 | ||||||||||
TOTAL COMMON STOCKS | $ | 577,899 | $ | 1,568 | ||||||||||
INVESTMENT COMPANIES - 13.82% | Shares Held Value (000's) | Banks - 0.01% | ||||||||||||
Exchange-Traded Funds - 0.11% | Itau Unibanco Holding SA 0.18% | 29,950 | 282 | |||||||||||
Invesco QQQ Trust Series 1 | 5,353 | 927 | Chemicals - 0.04% | |||||||||||
iShares China Large-Cap ETF | 15,601 | 681 | FUCHS PETROLUB SE 0.95% | 19,126 | 854 | |||||||||
iShares MSCI EM Small Cap UCITS ETF | 6,409 | 411 | Electrical Components & Equipment - 0.00% | |||||||||||
TOPIX Exchange Traded Fund | 10,170 | 152 | Lithium Technology Corp 0.00%(a),(d),(e),(f) | 59,552 | 1 | |||||||||
$ | 2,171 | Internet - 0.06% | ||||||||||||
Money Market Funds - 13.71% | Pinterest Inc 0.00%(a),(d),(e),(f) | 87,425 | 449 | |||||||||||
First American Government Obligations Fund | 9,157,807 | 9,158 | Uber Technologies Inc 0.00%(a),(d),(e),(f) | 14,315 | 622 | |||||||||
2.28%(g) | Veracode Inc 0.00%(a),(d),(e),(f) | 6,031 | 3 | |||||||||||
Goldman Sachs Financial Square Funds - | 70,947 | 71 | $ | 1,074 | ||||||||||
Government Fund 2.31%(g),(h) | Private Equity - 0.02% | |||||||||||||
Morgan Stanley Institutional Liquidity Funds - | 21,799,297 | 21,799 | Forward Venture Services LLC 0.00%(a),(d),(e),(f) | 54,650 | 312 | |||||||||
Government Portfolio 2.30%(c),(g),(i) | ||||||||||||||
Principal Government Money Market Fund | 232,035,602 | 232,036 | Real Estate - 0.03% | |||||||||||
2.33%(g),(j) | WeWork Cos Inc Series D-1 | 0.00%(a),(d),(e),(f) | 4,867 | 331 | ||||||||||
Wells Fargo Advantage Government Money | 518 | — | WeWork Cos Inc Series D-2 | 0.00%(a),(d),(e),(f) | 3,824 | 260 | ||||||||
Market Fund 2.27%(g),(h) | $ | 591 | ||||||||||||
$ | 263,064 | Software - 0.01% | ||||||||||||
TOTAL INVESTMENT COMPANIES | $ | 265,235 | Marklogic Corp 0.00%(a),(d),(e),(f) | 14,832 | 149 | |||||||||
CONVERTIBLE PREFERRED STOCKS | Telecommunications - 0.01% | |||||||||||||
- 0.61% | Shares Held Value (000's) | Goodman Networks Inc 0.00%(a),(e),(f) | 169,992 | 127 | ||||||||||
Agriculture - 0.03% | TOTAL PREFERRED STOCKS | $ | 4,958 | |||||||||||
Bunge Ltd 4.88%(k) | 6,930 | $ | 674 | Principal | ||||||||||
Computers - 0.02% | BONDS - 36.48% | Amount (000's) Value (000's) | ||||||||||||
NCR Corp 5.50% PIK 1.38%(k),(l) | 301 | 332 | Aerospace & Defense - 0.20% | |||||||||||
Diversified Financial Services - 0.02% | General Dynamics Corp | |||||||||||||
2017 Mandatory Exchangeable Trust 5.19%, | 2,150 | 342 | 3.08%, 05/11/2021 | $ | 3,300 | $ | 3,308 | |||||||
12/01/2020(b) | 3 Month USD LIBOR + 0.38% | |||||||||||||
Leonardo US Holdings Inc | ||||||||||||||
Electric - 0.13% | 6.25%, 01/15/2040(b) | 716 | 623 | |||||||||||
CenterPoint Energy Inc 7.00%, 09/01/2021 | 15,250 | 797 | $ | 3,931 | ||||||||||
DTE Energy Co 6.50%, 10/01/2019 | 12,850 | 712 | ||||||||||||
Sempra Energy 6.00%, 01/15/2021 | 8,975 | 931 | Airlines - 0.04% | |||||||||||
$ | 2,440 | Latam Airlines 2015-1 Pass Through Trust B | ||||||||||||
Electronics - 0.11% | 4.50%, 08/15/2025 | 871 | 843 | |||||||||||
Fortive Corp 5.00%, 07/01/2021 | 1,950 | 2,038 | Automobile Asset Backed Securities - 1.51% | |||||||||||
ACC Trust 2018-1 | ||||||||||||||
Gas - 0.00% | 3.70%, 12/21/2020(b) | 80 | 80 | |||||||||||
South Jersey Industries Inc 7.25%, 04/15/2021 | 1,500 | 73 | AmeriCredit Automobile Receivables 2015-4 | |||||||||||
Hand & Machine Tools - 0.04% | 3.72%, 12/08/2021 | 189 | 190 | |||||||||||
Colfax Corp 5.75%, 01/15/2022 | 5,550 | 679 | AmeriCredit Automobile Receivables Trust | |||||||||||
Healthcare - Products - 0.02% | 2016-2 | |||||||||||||
Danaher Corp 4.75%, 04/15/2022(m) | 400 | 409 | 3.65%, 05/09/2022 | 80 | 81 | |||||||||
Insurance - 0.01% | AmeriCredit Automobile Receivables Trust | |||||||||||||
Assurant Inc 6.50%, 03/15/2021 | 2,100 | 229 | 2017-3 | |||||||||||
Internet - 0.01% | 2.72%, 12/18/2020 | 595 | 595 | |||||||||||
Airbnb, Inc 0.00%(a),(d),(e),(f) | 1,685 | 185 | 1.00 x 1 Month USD LIBOR + 0.24% | |||||||||||
Investment Companies - 0.20% | Americredit Automobile Receivables Trust 2018-2 | |||||||||||||
Mandatory Exchangeable Trust 5.75%, | 18,658 | 3,802 | 4.01%, 07/18/2024 | 550 | 555 | |||||||||
06/01/2019(b) | Americredit Automobile Receivables Trust 2018-3 | |||||||||||||
Metal Fabrication & Hardware - 0.01% | 2.73%, 01/18/2022 | 755 | 755 | |||||||||||
Rexnord Corp 5.75%, 11/15/2019 | 2,750 | 154 | 1.00 x 1 Month USD LIBOR + 0.25% | |||||||||||
4.04%, 11/18/2024 | 670 | 677 | ||||||||||||
Oil & Gas - 0.01% | CarMax Auto Owner Trust 2017-4 | |||||||||||||
Chesapeake Energy Corp 5.75%(k) | 355 | 190 | 2.62%, 04/15/2021 | 329 | 328 | |||||||||
Pipelines - 0.00% | 1.00 x 1 Month USD LIBOR + 0.13% | |||||||||||||
El Paso Energy Capital Trust I 4.75%, | 452 | 23 | CarMax Auto Owner Trust 2018-1 | |||||||||||
03/31/2028 | 3.37%, 07/15/2024 | 25 | 25 | |||||||||||
REITs - 0.00% | CarMax Auto Owner Trust 2018-2 | |||||||||||||
QTS Realty Trust Inc 6.50%(k) | 750 | 79 | 3.99%, 04/15/2025 | 320 | 324 |
See accompanying notes.
89
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
Principal | Principal | ||||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||||
Automobile Asset Backed Securities (continued) | Automobile Asset Backed Securities (continued) | ||||||||||||
Carmax Auto Owner Trust 2018-4 | Nissan Auto Receivables 2018-C Owner Trust | ||||||||||||
4.15%, 04/15/2025 | $ | 205 | $ | 207 | 2.66%, 10/15/2021 | $ | 1,105 | $ | 1,105 | ||||
Carmax Auto Owner Trust 2019-1 | 1.00 x 1 Month USD LIBOR + 0.17% | ||||||||||||
3.05%, 03/15/2024 | 1,415 | 1,422 | Prestige Auto Receivables Trust 2016-1 | ||||||||||
4.04%, 08/15/2025 | 455 | 457 | 5.15%, 11/15/2021(b) | 815 | 830 | ||||||||
Chesapeake Funding II LLC | Santander Drive Auto Receivables Trust 2018-2 | ||||||||||||
3.57%, 04/15/2030(b) | 175 | 176 | 3.88%, 02/15/2024 | 800 | 805 | ||||||||
3.71%, 05/15/2029(b) | 130 | 131 | Santander Drive Auto Receivables Trust 2018-5 | ||||||||||
3.92%, 04/15/2030(b) | 455 | 457 | 3.81%, 12/16/2024 | 490 | 495 | ||||||||
CIG AUTO RECEIVABLES TRUST 2017-1 | Tidewater Auto Receivables Trust 2018-A | ||||||||||||
2.71%, 05/15/2023(b) | 57 | 56 | 4.30%, 11/15/2024(b) | 100 | 101 | ||||||||
CPS Auto Receivables Trust 2017-D | Toyota Auto Receivables 2016-C | ||||||||||||
3.73%, 09/15/2023(b) | 190 | 190 | 1.14%, 08/17/2020 | 53 | 53 | ||||||||
CPS Auto Receivables Trust 2018-A | Toyota Auto Receivables 2017-A Owner Trust | ||||||||||||
3.05%, 12/15/2023(b) | 105 | 105 | 1.73%, 02/16/2021 | 349 | 348 | ||||||||
CPS Auto Receivables Trust 2018-D | Toyota Auto Receivables 2017-C Owner Trust | ||||||||||||
3.83%, 09/15/2023(b) | 330 | 334 | 2.57%, 07/15/2020 | 413 | 413 | ||||||||
Drive Auto Receivables Trust 2018-1 | 1.00 x 1 Month USD LIBOR + 0.08% | ||||||||||||
3.81%, 05/15/2024 | 685 | 688 | Toyota Auto Receivables 2018-B Owner Trust | ||||||||||
Drive Auto Receivables Trust 2018-5 | 2.96%, 09/15/2022 | 1,190 | 1,194 | ||||||||||
2.81%, 07/15/2021 | 1,010 | 1,010 | USAA Auto Owner Trust 2016-1 | ||||||||||
1.00 x 1 Month USD LIBOR + 0.32% | 1.20%, 06/15/2020 | 20 | 20 | ||||||||||
4.53%, 04/15/2026 | 420 | 430 | Veros Automobile Receivables Trust 2017-1 | ||||||||||
Drive Auto Receivables Trust 2019-1 | 2.84%, 04/17/2023(b) | 80 | 80 | ||||||||||
4.09%, 06/15/2026 | 260 | 264 | Westlake Automobile Receivables Trust 2017-1 | ||||||||||
DT Auto Owner Trust 2015-2 | 3.46%, 10/17/2022(b) | 145 | 145 | ||||||||||
4.25%, 02/15/2022(b) | 157 | 157 | Westlake Automobile Receivables Trust 2018-1 | ||||||||||
DT Auto Owner Trust 2016-1 | 3.41%, 05/15/2023(b) | 175 | 175 | ||||||||||
4.66%, 12/15/2022(b) | 1,180 | 1,191 | Westlake Automobile Receivables Trust 2018-3 | ||||||||||
DT Auto Owner Trust 2016-2 | 2.84%, 01/18/2022(b) | 1,110 | 1,110 | ||||||||||
5.43%, 11/15/2022(b) | 818 | 829 | 1.00 x 1 Month USD LIBOR + 0.35% | ||||||||||
DT Auto Owner Trust 2018-2 | 4.00%, 10/16/2023(b) | 225 | 227 | ||||||||||
4.15%, 03/15/2024(b) | 290 | 294 | $ | 28,931 | |||||||||
DT Auto Owner Trust 2018-3 | Automobile Floor Plan Asset Backed Securities - 0.09% | ||||||||||||
3.79%, 07/15/2024(b) | 395 | 398 | Navistar Financial Dealer Note Master Owner | ||||||||||
First Investors Auto Owner Trust 2014-2 | Trust II | ||||||||||||
3.47%, 02/15/2021(b) | 120 | 120 | 3.12%, 09/25/2023(b) | 205 | 205 | ||||||||
First Investors Auto Owner Trust 2015-1 | 1.00 x 1 Month USD LIBOR + 0.63% | ||||||||||||
3.59%, 01/18/2022(b) | 100 | 100 | NextGear Floorplan Master Owner Trust | ||||||||||
First Investors Auto Owner Trust 2015-2 | 3.17%, 10/17/2022(b) | 850 | 852 | ||||||||||
4.22%, 12/15/2021(b) | 565 | 568 | 1.00 x 1 Month USD LIBOR + 0.68% | ||||||||||
First Investors Auto Owner Trust 2016-2 | 3.34%, 04/18/2022(b) | 715 | 718 | ||||||||||
3.35%, 11/15/2022(b) | 70 | 70 | 1.00 x 1 Month USD LIBOR + 0.85% | ||||||||||
Flagship Credit Auto Trust 2015-1 | $ | 1,775 | |||||||||||
3.76%, 06/15/2021(b) | 165 | 166 | Automobile Manufacturers - 0.31% | ||||||||||
Ford Credit Auto Owner Trust 2017-B | American Honda Finance Corp | ||||||||||||
1.69%, 11/15/2021 | 1,700 | 1,685 | 3.26%, 01/08/2021 | 1,500 | 1,504 | ||||||||
Hertz Vehicle Financing II LP | 3 Month USD LIBOR + 0.47% | ||||||||||||
3.29%, 10/25/2023(b) | 315 | 312 | BMW US Capital LLC | ||||||||||
Honda Auto Receivables 2016-4 Owner Trust | 3.20%, 09/13/2019(b) | 1,205 | 1,206 | ||||||||||
1.21%, 12/18/2020 | 621 | 616 | 3 Month USD LIBOR + 0.41% | ||||||||||
Honda Auto Receivables 2017-1 Owner Trust | General Motors Financial Co Inc | ||||||||||||
1.72%, 07/21/2021 | 221 | 220 | 3.73%, 04/13/2020 | 1,500 | 1,499 | ||||||||
Honda Auto Receivables 2017-3 Owner Trust | 3 Month USD LIBOR + 0.93% | ||||||||||||
1.79%, 09/20/2021 | 380 | 377 | Nissan Motor Acceptance Corp | ||||||||||
Honda Auto Receivables 2018-1 Owner Trust | 3.38%, 01/13/2020(b) | 1,215 | 1,215 | ||||||||||
2.64%, 02/15/2022 | 1,175 | 1,173 | 3 Month USD LIBOR + 0.58% | ||||||||||
Honda Auto Receivables 2018-4 Owner Trust | Toyota Motor Credit Corp | ||||||||||||
2.98%, 05/17/2021 | 2,300 | 2,302 | 3.22%, 10/18/2019 | 605 | 607 | ||||||||
Motor 2017-1 PLC | 3 Month USD LIBOR + 0.44% | ||||||||||||
3.02%, 09/25/2024(b) | 527 | 526 | $ | 6,031 | |||||||||
1.00 x 1 Month USD LIBOR + 0.53% | |||||||||||||
Nissan Auto Receivables 2016-C Owner Trust | |||||||||||||
1.18%, 01/15/2021 | 99 | 98 | |||||||||||
Nissan Auto Receivables 2017-A Owner Trust | |||||||||||||
1.74%, 08/16/2021 | 349 | 347 | |||||||||||
Nissan Auto Receivables 2018-A Owner Trust | |||||||||||||
2.65%, 05/16/2022 | 745 | 744 |
See accompanying notes.
90
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
Principal | Principal | ||||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||||
Banks - 1.84% | Banks (continued) | ||||||||||||
Banco Hipotecario SA | Yapi ve Kredi Bankasi AS | ||||||||||||
46.75%, 01/12/2020(b) | ARS | 9,230 | $ | 234 | 13.88%, 12/31/2049(b),(k),(n) | $ | 1,150 | $ | 1,233 | ||||
Argentina Deposit Rates Badlar Private | USD Swap Semi-Annual 5 Year + 11.25% | ||||||||||||
Banks ARS 30 to 35 Days + 2.50% | $ | 35,336 | |||||||||||
41.12%, 11/07/2022(b) | 10,245 | 247 | Beverages - 0.15% | ||||||||||
Argentina Deposit Rates Badlar Private | CEDC Finance Corp International Inc | ||||||||||||
Banks ARS 30 to 35 Days + 4.00% | 10.00%, 12/31/2022(b) | 1,154 | 785 | ||||||||||
Banco Macro SA | PepsiCo Inc | ||||||||||||
17.50%, 05/08/2022(b) | 5,115 | 84 | 2.78%, 05/02/2019 | 1,430 | 1,430 | ||||||||
Banco Supervielle SA | 3 Month USD LIBOR + 0.04% | ||||||||||||
57.29%, 08/09/2020(b) | 11,000 | 275 | 3.06%, 10/04/2019 | 610 | 611 | ||||||||
Argentina Deposit Rates Badlar Private | 3 Month USD LIBOR + 0.27% | ||||||||||||
Banks ARS 30 to 35 Days + 4.50% | $ | 2,826 | |||||||||||
Bank of America NA | Biotechnology - 0.15% | ||||||||||||
2.88%, 08/28/2020 | $ | 2,640 | 2,641 | Gilead Sciences Inc | |||||||||
3 Month USD LIBOR + 0.25% | 3.01%, 03/20/2019 | 1,415 | 1,415 | ||||||||||
Bank of New York Mellon/The | 3 Month USD LIBOR + 0.22% | ||||||||||||
3.04%, 12/04/2020 | 1,250 | 1,251 | 3.04%, 09/20/2019 | 1,415 | 1,415 | ||||||||
3 Month USD LIBOR + 0.30% | 3 Month USD LIBOR + 0.25% | ||||||||||||
Citibank NA | $ | 2,830 | |||||||||||
3.05%, 02/12/2021 | 1,385 | 1,384 | Chemicals - 0.57% | ||||||||||
3 Month USD LIBOR + 0.35% | Braskem Netherlands Finance BV | ||||||||||||
Financiera de Desarrollo Territorial SA Findeter | 4.50%, 01/10/2028 | 1,950 | 1,916 | ||||||||||
7.88%, 08/12/2024(b) | COP | 3,380,000 | 1,120 | Hexion Inc | |||||||||
HSBC Holdings PLC | 6.63%, 04/15/2020 | 3,635 | 3,099 | ||||||||||
3.43%, 09/11/2021 | $ | 1,305 | 1,304 | 10.38%, 02/01/2022(b) | 1,041 | 882 | |||||||
3 Month USD LIBOR + 0.65% | 10.00%, 04/15/2020 | 1,041 | 895 | ||||||||||
6.25%, 12/31/2049(k),(n) | 5,650 | 5,636 | SASOL Financing USA LLC | ||||||||||
USD Swap Rate NY 5 Year + 3.45% | 5.88%, 03/27/2024 | 3,950 | 4,096 | ||||||||||
HSH N Funding I Via Banque de Luxembourg | $ | 10,888 | |||||||||||
0.00%, 12/31/2049(a),(k) | EUR | 3,630 | 1,321 | ||||||||||
12 Month Euro Interbank Offered Rate + | Commercial Mortgage Backed Securities - 2.75% | ||||||||||||
2.15% | BANK 2017-BNK9 | ||||||||||||
JPMorgan Chase & Co | 3.37%, 11/15/2054(b) | 1,221 | 792 | ||||||||||
3.42%, 06/01/2021 | $ | 850 | 852 | CCRESG Commercial Mortgage Trust | |||||||||
3 Month USD LIBOR + 0.68% | 2016-HEAT | ||||||||||||
JPMorgan Chase Bank NA | 5.49%, 04/10/2029(b),(p) | 255 | 259 | ||||||||||
3.41%, 09/23/2019 | 1,215 | 1,218 | Citigroup Commercial Mortgage Trust | ||||||||||
3 Month USD LIBOR + 0.59% | 2015-GC33 | ||||||||||||
KeyBank NA/Cleveland OH | 4.57%, 09/10/2058(b),(p) | 1,354 | 1,085 | ||||||||||
3.30%, 02/01/2022 | 860 | 866 | COMM 2014-CCRE15 Mortgage Trust | ||||||||||
Kreditanstalt fuer Wiederaufbau | 4.24%, 02/10/2047(b),(p) | 775 | 655 | ||||||||||
2.13%, 03/07/2022(o) | 973 | 960 | COMM 2014-CCRE16 Mortgage Trust | ||||||||||
2.63%, 02/28/2024 | 730 | 729 | 3.22%, 04/10/2047(b) | 400 | 243 | ||||||||
3.13%, 12/15/2021(o) | 1,835 | 1,861 | COMM 2014-CCRE18 Mortgage Trust | ||||||||||
Mitsubishi UFJ Financial Group Inc | 3.60%, 07/15/2047(b) | 1,925 | 1,424 | ||||||||||
3.41%, 07/26/2021 | 1,345 | 1,345 | COMM 2014-CCRE21 Mortgage Trust | ||||||||||
3 Month USD LIBOR + 0.65% | 3.00%, 12/10/2047(b) | 653 | 492 | ||||||||||
3.54%, 07/26/2021 | 1,345 | 1,354 | COMM 2015-CCRE25 Mortgage Trust | ||||||||||
Oesterreichische Kontrollbank AG | 3.79%, 08/10/2048(p) | 2,280 | 1,855 | ||||||||||
3.13%, 11/07/2023 | 406 | 413 | COMM 2015-CCRE27 Mortgage Trust | ||||||||||
QNB Finansbank AS | 3.25%, 10/10/2048(b) | 2,800 | 2,063 | ||||||||||
6.88%, 09/07/2024(b),(e),(m) | 3,900 | 3,887 | COMM 2015-LC21 Mortgage Trust | ||||||||||
RESPARCS Funding II LP | 1.05%, 07/10/2048(b),(p),(q) | 10,000 | 601 | ||||||||||
0.00%, 12/31/2049(a),(k) | EUR | 1,481 | 537 | 1.05%, 07/10/2048(b),(p),(q) | 3,125 | 182 | |||||||
Standard Chartered PLC | 3.25%, 07/10/2048(b) | 1,967 | 1,419 | ||||||||||
3.91%, 01/20/2023(b) | $ | 640 | 637 | Commercial Mortgage Pass Through Certificates | |||||||||
3 Month USD LIBOR + 1.15% | 3.25%, 02/10/2049(b) | 850 | 621 | ||||||||||
4.25%, 01/20/2023(b),(n) | 640 | 645 | Credit Suisse Commercial Mortgage Securities | ||||||||||
3 Month USD LIBOR + 1.15% | Corp 2019-SLKZ | ||||||||||||
US Bank NA/Cincinnati OH | 6.11%, 01/15/2034(b) | 105 | 106 | ||||||||||
3.00%, 02/04/2021 | 1,400 | 1,403 | 1.00 x 1 Month USD LIBOR + 3.60% | ||||||||||
3.10%, 01/24/2020 | 1,255 | 1,257 | CSMC 2014-USA OA LLC | ||||||||||
3 Month USD LIBOR + 0.32% | 4.37%, 09/15/2037(b) | 825 | 748 | ||||||||||
Wells Fargo Bank NA | Ginnie Mae | ||||||||||||
3.63%, 10/22/2021 | 635 | 642 | 0.58%, 01/16/2053(p),(q) | 6,474 | 231 | ||||||||
GS Mortgage Securities Corp II | |||||||||||||
4.41%, 07/10/2051(b),(p) | 635 | 465 |
See accompanying notes.
91
Consolidated Schedule of Investments | |||||||||||||
Global Multi-Strategy Fund | |||||||||||||
February 28, 2019 (unaudited) | |||||||||||||
Principal | Principal | ||||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||||
Commercial Mortgage Backed Securities (continued) | Commercial Mortgage Backed Securities (continued) | ||||||||||||
GS Mortgage Securities Trust 2007-GG10 | Wells Fargo Commercial Mortgage Trust | ||||||||||||
5.77%, 08/10/2045(p) | $ | 55 | $ | 55 | 2015-LC20 | ||||||||
GS Mortgage Securities Trust 2013-GCJ14 | 2.63%, 04/15/2050(b) | $ | 988 | $ | 673 | ||||||||
4.75%, 08/10/2046(b),(p) | 872 | 735 | Wells Fargo Commercial Mortgage Trust | ||||||||||
GS Mortgage Securities Trust 2014-GC20 | 2015-LC22 | ||||||||||||
4.97%, 04/10/2047(b),(p) | 1,820 | 1,543 | 3.36%, 09/15/2058(b) | 260 | 184 | ||||||||
GS Mortgage Securities Trust 2015-GC32 | Wells Fargo Commercial Mortgage Trust | ||||||||||||
4.41%, 07/10/2048(b),(p) | 2,476 | 1,794 | 2015-NXS1 | ||||||||||
JP Morgan Chase Commercial Mortgage | 2.88%, 05/15/2048(b),(p) | 1,485 | 1,059 | ||||||||||
Securities Trust 2007-LDP10 | Wells Fargo Commercial Mortgage Trust | ||||||||||||
5.46%, 01/15/2049(p) | 31 | 31 | 2016-NXS6 | ||||||||||
JP Morgan Chase Commercial Mortgage | 2.00%, 11/15/2049(b),(p),(q) | 7,575 | 907 | ||||||||||
Securities Trust 2013-C13 | 2.31%, 11/15/2049(b),(p) | 2,570 | 1,534 | ||||||||||
3.99%, 01/15/2046(b),(p) | 268 | 226 | WFRBS Commercial Mortgage Trust 2011-C3 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 5.68%, 03/15/2044(b),(p) | 350 | 323 | ||||||||||
2013-C12 | WFRBS Commercial Mortgage Trust 2011-C4 | ||||||||||||
4.10%, 07/15/2045(b),(p) | 1,300 | 1,094 | 5.23%, 06/15/2044(b),(p) | 845 | 841 | ||||||||
JPMBB Commercial Mortgage Securities Trust | WFRBS Commercial Mortgage Trust 2012-C6 | ||||||||||||
2014-C21 | 5.58%, 04/15/2045(b),(p) | 500 | 515 | ||||||||||
3.90%, 08/15/2047(b),(p) | 1,120 | 796 | WFRBS Commercial Mortgage Trust 2012-C7 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 4.82%, 06/15/2045(p) | 80 | 80 | ||||||||||
2014-C26 | 4.82%, 06/15/2045(b),(p) | 225 | 192 | ||||||||||
4.00%, 01/15/2048(b) | 1,300 | 1,037 | WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 3.49%, 08/15/2047(b) | 1,030 | 741 | ||||||||||
2015-C29 | 3.50%, 08/15/2047(b) | 4,515 | 3,551 | ||||||||||
3.67%, 05/15/2048(p) | 5,735 | 4,622 | WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||||
3.90%, 05/15/2048(b),(p) | 2,160 | 1,498 | 3.50%, 03/15/2047(b),(p) | 1,300 | 979 | ||||||||
JPMBB Commercial Mortgage Securities Trust | $ | 52,777 | |||||||||||
2015-C31 | Commercial Services - 0.27% | ||||||||||||
4.62%, 08/15/2048(b),(p) | 1,797 | 1,282 | APX Group Inc | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 7.63%, 09/01/2023 | 1,300 | 1,146 | ||||||||||
2016-C1 | Atento Luxco 1 SA | ||||||||||||
4.74%, 03/15/2049(b),(p) | 1,806 | 1,385 | 6.13%, 08/10/2022 | 4,045 | 4,030 | ||||||||
Morgan Stanley Bank of America Merrill Lynch | $ | 5,176 | |||||||||||
Trust 2014 C19 | Computers - 0.49% | ||||||||||||
3.25%, 12/15/2047(b) | 1,140 | 827 | Apple Inc | ||||||||||
Morgan Stanley Bank of America Merrill Lynch | 2.94%, 02/07/2020 | 720 | 722 | ||||||||||
Trust 2015-C25 | 3 Month USD LIBOR + 0.20% | ||||||||||||
4.53%, 10/15/2048(b),(p) | 285 | 232 | 2.95%, 02/07/2020 | 2,985 | 2,991 | ||||||||
Morgan Stanley Bank of America Merrill Lynch | 3 Month USD LIBOR + 0.25% | ||||||||||||
Trust 2017-C34 | IBM Credit LLC | ||||||||||||
0.89%, 11/15/2052(b),(p),(q) | 3,150 | 199 | 2.89%, 02/05/2021 | 1,370 | 1,366 | ||||||||
Morgan Stanley Capital I Trust 2011-C2 | 3 Month USD LIBOR + 0.16% | ||||||||||||
5.48%, 06/15/2044(b),(p) | 475 | 478 | International Business Machines Corp | ||||||||||
5.48%, 06/15/2044(b),(p) | 160 | 155 | 2.99%, 01/27/2020 | 1,255 | 1,256 | ||||||||
Motel 6 Trust 2017-M6MZ | 3 Month USD LIBOR + 0.23% | ||||||||||||
9.42%, 08/15/2019(b) | 1,304 | 1,317 | West Corp | ||||||||||
1.00 x 1 Month USD LIBOR + 6.93% | 8.50%, 10/15/2025(b) | 3,668 | 3,035 | ||||||||||
SG Commercial Mortgage Securities Trust | $ | 9,370 | |||||||||||
2016-C5 | Consumer Products - 0.02% | ||||||||||||
2.54%, 10/10/2048(b) | 2,100 | 1,230 | Kronos Acquisition Holdings Inc | ||||||||||
Starwood Retail Property Trust 2014-STAR | 9.00%, 08/15/2023(b) | 393 | 336 | ||||||||||
6.64%, 11/15/2027(b) | 645 | 488 | |||||||||||
1.00 x 1 Month USD LIBOR + 4.15% | Credit Card Asset Backed Securities - 0.72% | ||||||||||||
Wachovia Bank Commercial Mortgage Trust | American Express Credit Account Master Trust | ||||||||||||
Series 2006-C25 | 2.04%, 05/15/2023 | 1,260 | 1,247 | ||||||||||
5.19%, 05/15/2043(b),(p) | 799 | 759 | BA Credit Card Trust | ||||||||||
Wells Fargo Commercial Mortgage Trust | 1.95%, 08/15/2022 | 1,030 | 1,022 | ||||||||||
2015-C26 | 2.70%, 07/17/2023 | 1,365 | 1,364 | ||||||||||
3.25%, 02/15/2048(b) | 1,981 | 1,391 | Capital One Multi-Asset Execution Trust | ||||||||||
3.59%, 02/15/2048(b) | 1,480 | 1,308 | 2.00%, 01/17/2023 | 1,941 | 1,927 | ||||||||
Wells Fargo Commercial Mortgage Trust | Chase Issuance Trust | ||||||||||||
2015-C28 | 2.79%, 01/15/2022 | 1,260 | 1,261 | ||||||||||
3.00%, 05/15/2048(b) | 2,051 | 1,340 | 1.00 x 1 Month USD LIBOR + 0.30% | ||||||||||
Wells Fargo Commercial Mortgage Trust | 3.04%, 06/15/2023 | 1,150 | 1,155 | ||||||||||
2015-C31 | 1.00 x 1 Month USD LIBOR + 0.55% | ||||||||||||
3.85%, 11/15/2048 | 1,040 | 908 | |||||||||||
4.61%, 11/15/2048(b),(p) | 1,661 | 1,227 |
See accompanying notes.
92
Consolidated Schedule of Investments | ||||||||||||
Global Multi-Strategy Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Principal | Principal | |||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | |||||||||
Credit Card Asset Backed Securities (continued) | Healthcare - Services (continued) | |||||||||||
Citibank Credit Card Issuance Trust | RegionalCare Hospital Partners Holdings Inc / | |||||||||||
1.75%, 11/19/2021 | $ | 1,210 | $ | 1,202 | LifePoint Health Inc | |||||||
1.92%, 04/07/2022 | 1,330 | 1,318 | 9.75%, 12/01/2026(b) | $ | 2,000 | $ | 2,050 | |||||
2.49%, 01/20/2023 | 1,370 | 1,363 | $ | 8,163 | ||||||||
2.73%, 04/07/2022 | 1,330 | 1,331 | Insurance - 0.57% | |||||||||
1.00 x 1 Month USD LIBOR + 0.22% | Acrisure LLC / Acrisure Finance Inc | |||||||||||
Discover Card Execution Note Trust | 7.00%, 11/15/2025(b) | 3,500 | 3,091 | |||||||||
3.04%, 07/15/2024 | 585 | 589 | 8.13%, 02/15/2024(b) | 800 | 819 | |||||||
Genesis Sales Finance Master Trust Series 2019-A | AIA Group Ltd | |||||||||||
4.68%, 08/20/2023(b),(e),(f) | 115 | 116 | 3.31%, 09/20/2021(b) | 515 | 514 | |||||||
$ | 13,895 | 3 Month USD LIBOR + 0.52% | ||||||||||
Distribution & Wholesale - 0.04% | Berkshire Hathaway Finance Corp | |||||||||||
H&E Equipment Services Inc | 3.10%, 01/10/2020 | 1,225 | 1,227 | |||||||||
5.63%, 09/01/2025 | 553 | 547 | 3 Month USD LIBOR + 0.32% | |||||||||
KAR Auction Services Inc | Jackson National Life Global Funding | |||||||||||
5.13%, 06/01/2025(b) | 221 | 215 | 3.30%, 02/01/2022(b) | 1,400 | 1,407 | |||||||
$ | 762 | Marsh & McLennan Cos Inc | ||||||||||
Diversified Financial Services - 0.28% | 3.50%, 12/29/2020 | 750 | 757 | |||||||||
American Express Co | Metropolitan Life Global Funding I | |||||||||||
3.33%, 11/05/2021 | 870 | 871 | 3.38%, 01/11/2022(b) | 835 | 840 | |||||||
3 Month USD LIBOR + 0.60% | New York Life Global Funding | |||||||||||
Unifin Financiera SAB de CV SOFOM ENR | 2.95%, 01/28/2021(b) | 855 | 856 | |||||||||
7.25%, 09/27/2023 | 4,540 | 4,495 | 3.05%, 08/06/2021(b) | 1,365 | 1,365 | |||||||
$ | 5,366 | 3 Month USD LIBOR + 0.32% | ||||||||||
Electric - 0.45% | $ | 10,876 | ||||||||||
Enel SpA | Internet - 0.10% | |||||||||||
8.75%, 09/24/2073(b),(n) | 1,700 | 1,844 | Uber Technologies Inc | |||||||||
USD Swap Semi-Annual 5 Year + 5.88% | 7.50%, 11/01/2023(b) | 1,265 | 1,294 | |||||||||
GenOn Energy Inc - Escrow | 8.00%, 11/01/2026(b) | 625 | 653 | |||||||||
0.00%, 10/15/2018(a),(e),(f) | 6,993 | — | $ | 1,947 | ||||||||
0.00%, 10/15/2020(a),(e),(f) | 6,143 | — | Leisure Products & Services - 0.32% | |||||||||
GenOn Energy Inc / NRG Americas Inc | Constellation Merger Sub Inc | |||||||||||
9.39%, 12/01/2023 | 2,847 | 2,826 | 8.50%, 09/15/2025(b) | 4,000 | 3,830 | |||||||
3 Month USD LIBOR + 6.50% | Viking Cruises Ltd | |||||||||||
Pacific Gas & Electric Co | 5.88%, 09/15/2027(b) | 2,000 | 1,928 | |||||||||
0.00%, 08/01/2023(a),(b) | 1,220 | 1,074 | VOC Escrow Ltd | |||||||||
0.00%, 03/01/2034(a) | 1,712 | 1,571 | 5.00%, 02/15/2028(b) | 366 | 356 | |||||||
0.00%, 04/15/2042(a) | 1,526 | 1,251 | $ | 6,114 | ||||||||
$ | 8,566 | Lodging - 0.09% | ||||||||||
Energy - Alternate Sources - 0.00% | Diamond Resorts International Inc | |||||||||||
SunEdison Inc | 10.75%, 09/01/2024(b) | 1,812 | 1,726 | |||||||||
0.00%, 10/01/2018(a),(d) | 400 | 8 | Machinery - Construction & Mining - 0.06% | |||||||||
0.00%, 01/15/2020(a),(d) | 1,425 | 30 | Caterpillar Financial Services Corp | |||||||||
0.00%, 01/01/2021(a),(d) | 725 | 15 | 3.29%, 01/10/2020 | 1,225 | 1,230 | |||||||
$ | 53 | 3 Month USD LIBOR + 0.51% | ||||||||||
Environmental Control - 0.15% | Machinery - Diversified - 0.21% | |||||||||||
Waste Pro USA Inc | Cloud Crane LLC | |||||||||||
5.50%, 02/15/2026(b) | 2,974 | 2,885 | 10.13%, 08/01/2024(b) | 1,075 | 1,145 | |||||||
Food - 0.52% | John Deere Capital Corp | |||||||||||
JBS Investments GmbH | 3.20%, 01/10/2022 | 2,955 | 2,986 | |||||||||
6.25%, 02/05/2023 | 6,005 | 6,059 | $ | 4,131 | ||||||||
Marfrig Holdings Europe BV | Media - 0.31% | |||||||||||
8.00%, 06/08/2023 | 3,750 | 3,893 | Clear Channel Worldwide Holdings Inc | |||||||||
$ | 9,952 | 7.63%, 03/15/2020 | 1,145 | 1,146 | ||||||||
Hand & Machine Tools - 0.03% | Fox Corp | |||||||||||
Apex Tool Group LLC / BC Mountain Finance | 3.67%, 01/25/2022(b) | 910 | 921 | |||||||||
Inc | Grupo Televisa SAB | |||||||||||
9.00%, 02/15/2023(b) | 554 | 513 | 7.25%, 05/14/2043 | MXN | 4,370 | 148 | ||||||
Healthcare - Services - 0.43% | iHeartCommunications Inc | |||||||||||
CHS/Community Health Systems Inc | 0.00%, 12/15/2019(a) | $ | 3,500 | 2,432 | ||||||||
6.25%, 03/31/2023 | 2,090 | 2,011 | NBCUniversal Enterprise Inc | |||||||||
8.00%, 03/15/2026(b),(e),(m) | 3,142 | 3,101 | 5.25%, 12/19/2049(b),(k) | 1,205 | 1,224 | |||||||
Hadrian Merger Sub Inc | $ | 5,871 | ||||||||||
8.50%, 05/01/2026(b) | 1,091 | 1,001 | Miscellaneous Manufacturers - 0.12% | |||||||||
FXI Holdings Inc | ||||||||||||
7.88%, 11/01/2024(b) | 2,365 | 2,265 |
See accompanying notes.
93
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
Principal | Principal | ||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||
Mortgage Backed Securities - 2.64% | Mortgage Backed Securities (continued) | ||||||||||
Adjustable Rate Mortgage Trust 2004-4 | Eurosail-UK 2007-2np PLC | ||||||||||
4.13%, 03/25/2035(p) | $ | 66 | $ | 66 | 1.05%, 03/13/2045 | GBP | 117 | $ | 151 | ||
Adjustable Rate Mortgage Trust 2005-1 | 1.00 x 3 Month GBP LIBOR + 0.15% | ||||||||||
4.35%, 05/25/2035(p) | 195 | 197 | Fannie Mae Connecticut Avenue Securities | ||||||||
Alternative Loan Trust 2003-22CB | 4.69%, 01/25/2030 | $ | 40 | 41 | |||||||
5.75%, 12/25/2033 | 115 | 118 | 1.00 x 1 Month USD LIBOR + 2.20% | ||||||||
Alternative Loan Trust 2004-14T2 | 4.89%, 05/25/2030 | 65 | 67 | ||||||||
5.50%, 08/25/2034 | 65 | 68 | 1.00 x 1 Month USD LIBOR + 2.40% | ||||||||
Alternative Loan Trust 2004-16CB | 6.04%, 07/25/2030 | 2,936 | 2,938 | ||||||||
5.50%, 07/25/2034 | 91 | 93 | 1.00 x 1 Month USD LIBOR + 3.55% | ||||||||
5.50%, 08/25/2034 | 105 | 108 | 6.74%, 01/25/2031 | 5,900 | 5,990 | ||||||
Alternative Loan Trust 2004-28CB | 1.00 x 1 Month USD LIBOR + 4.25% | ||||||||||
5.75%, 01/25/2035 | 49 | 49 | 7.34%, 10/25/2029 | 2,000 | 2,230 | ||||||
Alternative Loan Trust 2004-J10 | 1.00 x 1 Month USD LIBOR + 4.85% | ||||||||||
6.00%, 09/25/2034 | 215 | 224 | 8.24%, 07/25/2029 | 2,281 | 2,681 | ||||||
Alternative Loan Trust 2004-J3 | 1.00 x 1 Month USD LIBOR + 5.75% | ||||||||||
5.50%, 04/25/2034 | 60 | 61 | Fannie Mae REMICS | ||||||||
Alternative Loan Trust 2005-J1 | 3.61%, 05/25/2047(q) | 2,204 | 376 | ||||||||
5.50%, 02/25/2025 | 112 | 113 | (1.00) x 1 Month USD LIBOR + 6.10% | ||||||||
Banc of America Alternative Loan Trust 2003-8 | 3.71%, 12/25/2045(q) | 1,350 | 273 | ||||||||
5.50%, 10/25/2033 | 88 | 90 | (1.00) x 1 Month USD LIBOR + 6.20% | ||||||||
Banc of America Funding 2004-B Trust | Freddie Mac Structured Agency Credit Risk Debt | ||||||||||
4.28%, 11/20/2034(p) | 153 | 151 | Notes | ||||||||
Banc of America Funding 2005-5 Trust | 4.14%, 04/25/2024 | 174 | 176 | ||||||||
5.50%, 09/25/2035 | 45 | 48 | 1.00 x 1 Month USD LIBOR + 1.65% | ||||||||
Banc of America Funding 2005-7 Trust | 4.29%, 07/25/2030 | 25 | 25 | ||||||||
5.75%, 11/25/2035 | 85 | 90 | 1.00 x 1 Month USD LIBOR + 1.80% | ||||||||
Banc of America Funding 2007-4 Trust | 4.34%, 10/25/2027 | 419 | 424 | ||||||||
5.50%, 11/25/2034 | 121 | 120 | 1.00 x 1 Month USD LIBOR + 1.85% | ||||||||
Banc of America Mortgage 2005-A Trust | 4.69%, 02/25/2024 | 301 | 307 | ||||||||
4.52%, 02/25/2035(p) | 34 | 34 | 1.00 x 1 Month USD LIBOR + 2.20% | ||||||||
Banc of America Mortgage 2005-I Trust | 7.44%, 07/25/2029 | 1,619 | 1,824 | ||||||||
4.04%, 10/25/2035(p) | 270 | 260 | 1.00 x 1 Month USD LIBOR + 4.95% | ||||||||
BCAP LLC Trust 2007-AA2 | 11.29%, 03/25/2028 | 6,967 | 8,470 | ||||||||
6.00%, 03/25/2022 | 96 | 95 | 1.00 x 1 Month USD LIBOR + 8.80% | ||||||||
CHL Mortgage Pass-Through Trust 2004-12 | GMACM Mortgage Loan Trust 2005-AR1 | ||||||||||
4.44%, 08/25/2034(p) | 56 | 55 | 4.71%, 03/18/2035(p) | 251 | 256 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB4 | GMACM Mortgage Loan Trust 2005-AR4 | ||||||||||
4.21%, 09/20/2034(p) | 36 | 35 | 4.22%, 07/19/2035(p) | 55 | 53 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB8 | Gosforth Funding 2018-1 plc | ||||||||||
3.36%, 01/20/2035(p) | 80 | 80 | 3.10%, 08/25/2060(b) | 338 | 337 | ||||||
Citigroup Mortgage Loan Trust 2005-3 | 1.00 x 3 Month USD LIBOR + 0.45% | ||||||||||
4.59%, 08/25/2035(p) | 379 | 375 | Grand Avenue Mortgage Loan Trust 2017-RPL1 | ||||||||
Citigroup Mortgage Loan Trust 2018-A | 3.25%, 08/25/2064(b) | 139 | 134 | ||||||||
4.00%, 01/25/2068(b),(p) | 241 | 241 | GSR Mortgage Loan Trust 2005-4F | ||||||||
Citigroup Mortgage Loan Trust 2018-C | 6.50%, 02/25/2035 | 47 | 47 | ||||||||
4.13%, 03/25/2059(b),(p) | 549 | 549 | HarborView Mortgage Loan Trust 2003-2 | ||||||||
Civic Mortgage LLC 2018-1 | 3.22%, 10/19/2033 | 479 | 464 | ||||||||
4.86%, 06/25/2022(b),(p) | 609 | 608 | 1.00 x 1 Month USD LIBOR + 0.74% | ||||||||
Credit Suisse First Boston Mortgage Securities | IndyMac INDX Mortgage Loan Trust 2004-AR12 | ||||||||||
Corp | 3.27%, 12/25/2034 | 496 | 439 | ||||||||
4.34%, 11/25/2033(p) | 69 | 69 | 1.00 x 1 Month USD LIBOR + 0.78% | ||||||||
4.66%, 12/25/2033(p) | 34 | 35 | IndyMac INDX Mortgage Loan Trust 2004-AR6 | ||||||||
CSFB Mortgage-Backed Pass-Through | 4.60%, 10/25/2034(p) | 568 | 586 | ||||||||
Certificates Series 2003-27 | IndyMac INDX Mortgage Loan Trust 2004-AR7 | ||||||||||
5.75%, 11/25/2033 | 40 | 41 | 3.71%, 09/25/2034 | 145 | 134 | ||||||
CSMC 2018-RPL2 Trust | 1.00 x 1 Month USD LIBOR + 1.22% | ||||||||||
4.03%, 08/25/2062(b),(p) | 641 | 639 | IndyMac INDX Mortgage Loan Trust 2005-AR11 | ||||||||
Deutsche Mortgage Securities Inc Mortgage Loan | 3.96%, 08/25/2035(p) | 644 | 571 | ||||||||
Trust 2004-4 | IndyMac INDX Mortgage Loan Trust | ||||||||||
2.84%, 06/25/2034 | 147 | 143 | 2005-AR16IP | ||||||||
1.00 x 1 Month USD LIBOR + 0.35% | 3.13%, 07/25/2045 | 166 | 160 | ||||||||
DSLA Mortgage Loan Trust 2005-AR5 | 1.00 x 1 Month USD LIBOR + 0.64% | ||||||||||
2.81%, 09/19/2045 | 157 | 128 | JP Morgan Mortgage Trust 2005-A2 | ||||||||
1.00 x 1 Month USD LIBOR + 0.33% | 4.16%, 04/25/2035(p) | 134 | 135 | ||||||||
Dukinfield II PLC | JP Morgan Mortgage Trust 2006-A1 | ||||||||||
2.16%, 12/20/2052 | GBP | 324 | 432 | 4.69%, 02/25/2036(p) | 169 | 156 | |||||
1.00 x 3 Month GBP LIBOR + 1.25% |
See accompanying notes.
94
Consolidated Schedule of Investments | |||||||||||
Global Multi-Strategy Fund | |||||||||||
February 28, 2019 (unaudited) | |||||||||||
Principal | Principal | ||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||
Mortgage Backed Securities (continued) | Mortgage Backed Securities (continued) | ||||||||||
Lanark Master Issuer PLC | Wells Fargo Mortgage Backed Securities 2003-M | ||||||||||
3.47%, 12/22/2069(b) | $ | 310 | $ | 310 | Trust | ||||||
1.00 x 3 Month USD LIBOR + 0.77% | 4.90%, 12/25/2033(p) | $ | 166 | $ | 170 | ||||||
Lehman XS Trust Series 2005-7N | Wells Fargo Mortgage Backed Securities 2004-I | ||||||||||
2.77%, 12/25/2035 | 56 | 49 | Trust | ||||||||
1.00 x 1 Month USD LIBOR + 0.28% | 4.47%, 07/25/2034(p) | 286 | 291 | ||||||||
Lehman XS Trust Series 2006-2N | Wells Fargo Mortgage Backed Securities 2004-O | ||||||||||
2.75%, 02/25/2046 | 117 | 109 | Trust | ||||||||
1.00 x 1 Month USD LIBOR + 0.26% | 4.68%, 08/25/2034(p) | 66 | 68 | ||||||||
Ludgate Funding PLC | Wells Fargo Mortgage Backed Securities 2005-11 | ||||||||||
0.00%, 01/01/2061(a) | EUR | 94 | 101 | Trust | |||||||
1.00 x 3 Month Euro Interbank Offered | 5.50%, 11/25/2035 | 17 | 17 | ||||||||
Rate + 0.16% | Wells Fargo Mortgage Backed Securities 2005-16 | ||||||||||
1.51%, 01/01/2061 | GBP | 364 | 466 | Trust | |||||||
1.00 x 3 Month GBP LIBOR + 0.60% | 6.00%, 12/25/2035 | 87 | 87 | ||||||||
MASTR Adjustable Rate Mortgages Trust 2004-7 | Wells Fargo Mortgage Backed Securities 2005- | ||||||||||
4.20%, 07/25/2034(p) | $ | 177 | 173 | AR10 Trust | |||||||
MASTR Adjustable Rate Mortgages Trust 2005-2 | 4.77%, 05/01/2035(p) | 44 | 45 | ||||||||
3.64%, 03/25/2035(p) | 475 | 431 | Wells Fargo Mortgage Backed Securities 2005- | ||||||||
MASTR Adjustable Rate Mortgages Trust 2006-2 | AR12 Trust | ||||||||||
4.60%, 04/25/2036(p) | 93 | 93 | 4.80%, 06/25/2035(p) | 83 | 85 | ||||||
MASTR Alternative Loan Trust 2003-9 | Wells Fargo Mortgage Backed Securities 2005- | ||||||||||
5.25%, 11/25/2033 | 47 | 49 | AR2 Trust | ||||||||
MASTR Alternative Loan Trust 2004-5 | 5.11%, 03/25/2035(p) | 108 | 110 | ||||||||
5.50%, 06/25/2034 | 51 | 52 | Wells Fargo Mortgage Backed Securities 2006-3 | ||||||||
6.00%, 06/25/2034 | 62 | 64 | Trust | ||||||||
MASTR Alternative Loan Trust 2004-8 | 5.50%, 03/25/2036 | 353 | 353 | ||||||||
6.00%, 09/25/2034 | 313 | 335 | $ | 50,620 | |||||||
Merrill Lynch Mortgage Investors Trust Series | Oil & Gas - 1.87% | ||||||||||
MLCC 2006-2 | Bellatrix Exploration Ltd | ||||||||||
4.30%, 05/25/2036(p) | 27 | 28 | 8.50%, 05/15/2020(b) | 1,040 | 707 | ||||||
Newgate Funding PLC | California Resources Corp | ||||||||||
0.29%, 12/15/2050 | EUR | 133 | 146 | 8.00%, 12/15/2022(b) | 2,100 | 1,677 | |||||
1.00 x 3 Month Euro Interbank Offered | Cobalt International Energy Inc | ||||||||||
Rate + 0.60% | 0.00%, 12/01/2023(a) | 4,635 | 278 | ||||||||
RALI Series 2006-QO4 Trust | Denbury Resources Inc | ||||||||||
2.68%, 04/25/2046 | $ | 177 | 166 | 9.00%, 05/15/2021(b) | 653 | 659 | |||||
1.00 x 1 Month USD LIBOR + 0.19% | 9.25%, 03/31/2022(b) | 3,882 | 3,892 | ||||||||
Residential Asset Securitization Trust 2003-A9 | Gran Tierra Energy International Holdings Ltd | ||||||||||
4.00%, 08/25/2033 | 401 | 388 | 6.25%, 02/15/2025(b) | 600 | 570 | ||||||
Residential Asset Securitization Trust 2005-A8CB | Gulfport Energy Corp | ||||||||||
5.38%, 07/25/2035 | 269 | 228 | 6.00%, 10/15/2024 | 175 | 159 | ||||||
RFMSI Series 2006-S1 Trust | 6.38%, 05/15/2025 | 705 | 631 | ||||||||
5.75%, 01/25/2036 | 82 | 78 | Halcon Resources Corp | ||||||||
RFMSI Series 2006-SA2 Trust | 6.75%, 02/15/2025 | 1,053 | 787 | ||||||||
4.97%, 08/25/2036(p) | 386 | 359 | Jagged Peak Energy LLC | ||||||||
RMAC Securities No 1 PLC | 5.88%, 05/01/2026(b) | 500 | 505 | ||||||||
0.00%, 06/12/2044(a) | EUR | 88 | 94 | Jones Energy Holdings LLC / Jones Energy | |||||||
1.00 x 3 Month Euro Interbank Offered | Finance Corp | ||||||||||
Rate + 0.15% | 9.25%, 03/15/2023(b) | 629 | 393 | ||||||||
STACR Trust 2018-DNA3 | MEG Energy Corp | ||||||||||
6.39%, 09/25/2048(b) | $ | 3,345 | 3,273 | 6.38%, 01/30/2023(b) | 295 | 269 | |||||
1.00 x 1 Month USD LIBOR + 3.90% | 7.00%, 03/31/2024(b) | 570 | 522 | ||||||||
STACR Trust 2018-HRP2 | Midstates Petroleum Co Inc | ||||||||||
4.89%, 02/25/2047(b) | 4,540 | 4,650 | 0.00%, 06/01/2020(a),(e),(f) | 1,471 | — | ||||||
1.00 x 1 Month USD LIBOR + 2.40% | Odebrecht Drilling Norbe VIII/IX Ltd | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust | 6.35%, 12/01/2021 | 2,341 | 2,282 | ||||||||
2.80%, 07/25/2035 | 678 | 535 | Odebrecht Offshore Drilling Finance Ltd | ||||||||
1.00 x 1 Month USD LIBOR + 0.31% | 6.72%, 12/01/2022 | 390 | 370 | ||||||||
4.43%, 09/25/2034(p) | 124 | 126 | OGX Austria GmbH | ||||||||
Structured Asset Securities Corp Trust 2005-1 | 0.00%, 06/01/2019(a),(b) | 600 | — | ||||||||
5.50%, 02/25/2035 | 104 | 104 | 0.00%, 04/01/2022(a),(b) | 1,100 | — | ||||||
Toorak Mortgage Corp 2018-1 Ltd | Petrobras Global Finance BV | ||||||||||
4.34%, 08/25/2021(b),(p) | 1,880 | 1,862 | 5.75%, 02/01/2029 | 8,015 | 7,990 | ||||||
Towd Point Mortgage Funding 2016-Granite1 | 7.25%, 03/17/2044 | 425 | 454 | ||||||||
PLC | Petroleos Mexicanos | ||||||||||
2.32%, 07/20/2046 | GBP | 200 | 265 | 6.35%, 02/12/2048 | 7,500 | 6,221 | |||||
1.00 x 3 Month GBP LIBOR + 1.40% |
See accompanying notes.
95
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
Principal | Principal | ||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||
Oil & Gas (continued) | Other Asset Backed Securities (continued) | ||||||||||
Tengizchevroil Finance Co International Ltd | Bayview Opportunity Master Fund Trust IIb | ||||||||||
4.00%, 08/15/2026 | $ | 5,775 | $ | 5,562 | 2018-RN5 | ||||||
Vine Oil & Gas LP / Vine Oil & Gas Finance | 3.82%, 04/28/2033(b),(p) | $ | 87 | $ | 87 | ||||||
Corp | Bayview Opportunity Master Fund Trust IVb | ||||||||||
8.75%, 04/15/2023(b) | 690 | 557 | 2019-RN1 | ||||||||
9.75%, 04/15/2023(b) | 640 | 531 | 4.09%, 02/28/2034(b),(p) | 495 | 495 | ||||||
YPF SA | BCC Funding XIV LLC | ||||||||||
6.95%, 07/21/2027(b) | 860 | 765 | 6.00%, 04/21/2025(b) | 250 | 252 | ||||||
21.21%, 07/07/2020(b) | 410 | 154 | Blackbird Capital Aircraft Lease Securitization | ||||||||
Argentina Deposit Rates Badlar Private | Ltd 2016-1 | ||||||||||
Banks ARS 30 to 35 Days + 4.00% | 4.21%, 12/16/2041(b),(p) | 222 | 223 | ||||||||
$ | 35,935 | 5.68%, 12/16/2041(b),(p) | 613 | 631 | |||||||
Oil & Gas Services - 0.08% | Bowman Park CLO Ltd | ||||||||||
McDermott Technology Americas Inc / | 8.05%, 11/23/2025(b) | 1,000 | 977 | ||||||||
McDermott Technology US Inc | 1.00 x 3 Month USD LIBOR + 5.40% | ||||||||||
10.63%, 05/01/2024(b) | 1,957 | 1,624 | CAM Mortgage Trust 2018-1 | ||||||||
Other Asset Backed Securities - 2.65% | 3.96%, 12/01/2065(b),(p) | 44 | 44 | ||||||||
AASET 2018-1 US Ltd | CCG Receivables Trust 2018-1 | ||||||||||
5.44%, 01/16/2038(b) | 224 | 226 | 3.42%, 06/16/2025(b) | 100 | 100 | ||||||
Accelerated Assets 2018-1 LLC | Coinstar Funding LLC Series 2017-1 | ||||||||||
4.51%, 12/02/2033(b) | 202 | 203 | 5.22%, 04/25/2047(b) | 712 | 716 | ||||||
Adams Outdoor Advertising LP | Colony American Finance 2015-1 Ltd | ||||||||||
4.81%, 11/15/2048(b) | 628 | 640 | 5.65%, 10/15/2047(b) | 550 | 551 | ||||||
AIG CLO 2018-1 Ltd | Colony American Finance 2016-1 Ltd | ||||||||||
9.27%, 01/20/2032(b) | 2,640 | 2,486 | 4.64%, 06/15/2048(b),(p) | 260 | 260 | ||||||
1.00 x 3 Month USD LIBOR + 6.45% | Colony Starwood Homes 2016-2 Trust | ||||||||||
AIM Aviation Finance Ltd | 5.84%, 12/17/2033(b) | 197 | 197 | ||||||||
5.07%, 02/15/2040(b),(p) | 885 | 875 | 1.00 x 1 Month USD LIBOR + 3.35% | ||||||||
AJAX Mortgage Loan Trust | CONSUMER LOAN UNDERLYING BOND | ||||||||||
3.47%, 04/25/2057(b),(p) | 75 | 75 | CREDIT TRUST 2017-P1 | ||||||||
Ajax Mortgage Loan Trust 2016-C | 2.42%, 09/15/2023(b) | 26 | 26 | ||||||||
4.00%, 10/25/2057(b),(p) | 204 | 204 | Diamond Resorts Owner Trust | ||||||||
Ajax Mortgage Loan Trust 2017-B | 6.07%, 10/22/2029(b) | 126 | 127 | ||||||||
3.16%, 09/25/2056(b),(p) | 331 | 327 | Diamond Resorts Owner Trust 2018-1 | ||||||||
ALM VII R Ltd | 4.53%, 01/21/2031(b) | 470 | 472 | ||||||||
9.93%, 10/15/2028(b) | 2,000 | 1,998 | Driven Brands Funding LLC | ||||||||
1.00 x 3 Month USD LIBOR + 7.14% | 4.74%, 04/20/2048(b) | 169 | 171 | ||||||||
American Homes 4 Rent 2014-SFR2 Trust | Dryden 33 Senior Loan Fund | ||||||||||
5.15%, 10/17/2036(b) | 280 | 294 | 0.00%, 04/15/2029(a),(b),(m) | 700 | 693 | ||||||
6.23%, 10/17/2036(b) | 695 | 758 | 1.00 x 3 Month USD LIBOR + 6.97% | ||||||||
American Homes 4 Rent 2014-SFR3 Trust | Dryden 63 GBP CLO 2018 BV | ||||||||||
6.42%, 12/17/2036(b) | 900 | 990 | 3.82%, 10/15/2032(b) | GBP | 2,060 | 2,737 | |||||
American Homes 4 Rent 2015-SFR1 | 1.00 x 3 Month GBP LIBOR + 2.90% | ||||||||||
5.64%, 04/17/2052(b) | 1,045 | 1,117 | 5.42%, 10/15/2032(b) | 750 | 997 | ||||||
Apidos CLO XXII | 1.00 x 3 Month GBP LIBOR + 4.50% | ||||||||||
8.76%, 10/20/2027(b) | 750 | 735 | Five Guys Funding LLC | ||||||||
1.00 x 3 Month USD LIBOR + 6.00% | 4.60%, 07/25/2047(b) | $ | 462 | 469 | |||||||
Ascentium Equipment Receivables 2017-2 Trust | GCA2014 Holdings Ltd - Class C | ||||||||||
2.87%, 08/10/2022(b) | 80 | 79 | 6.00%, 01/05/2030(b),(e),(f) | 671 | 513 | ||||||
Avery Point VII CLO Ltd | GCA2014 Holdings Ltd - Class D | ||||||||||
9.39%, 01/15/2028(b) | 1,400 | 1,396 | 7.50%, 01/05/2030(b),(e),(f) | 274 | 133 | ||||||
1.00 x 3 Month USD LIBOR + 6.60% | GCA2014 Holdings Ltd - Class E | ||||||||||
Bayview Opportunity Master Fund IIIa Trust | 0.00%, 01/05/2030(a),(b),(e),(f) | 1,030 | — | ||||||||
2017-RN8 | GCAT 2017-2 LLC | ||||||||||
3.35%, 11/28/2032(b),(p) | 70 | 70 | 3.50%, 04/25/2047(b),(p) | 124 | 124 | ||||||
Bayview Opportunity Master Fund IIIa Trust | GCAT 2018-1 LLC | ||||||||||
2018-RN8 | 3.84%, 06/25/2048(b),(p) | 199 | 198 | ||||||||
4.07%, 09/28/2033(b),(p) | 176 | 176 | GCAT 2018-2 LLC | ||||||||
Bayview Opportunity Master Fund IV Trust | 4.09%, 06/26/2023(b),(p) | 409 | 410 | ||||||||
2018-RN2 | Global Container Assets Ltd | ||||||||||
3.60%, 02/25/2033(b),(p) | 97 | 96 | 4.50%, 02/05/2030(b) | 288 | 277 | ||||||
Bayview Opportunity Master Fund IVa Trust | Harbour Aircraft Investments Ltd | ||||||||||
2018-RN3 | 8.00%, 11/15/2037(e),(f) | 1,216 | 1,218 | ||||||||
3.67%, 03/28/2033(b),(p) | 84 | 84 | Home Partners of America 2016-2 Trust | ||||||||
Bayview Opportunity Master Fund IVb Trust | 6.26%, 10/17/2033(b) | 245 | 245 | ||||||||
2018-RN9 | 1.00 x 1 Month USD LIBOR + 3.78% | ||||||||||
4.21%, 10/29/2033(b),(p) | 175 | 175 | 7.18%, 10/17/2033(b) | 415 | 415 | ||||||
1.00 x 1 Month USD LIBOR + 4.70% |
See accompanying notes.
96
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
Principal | Principal | |||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | |||||||||
Other Asset Backed Securities (continued) | Other Asset Backed Securities (continued) | |||||||||||
Invitation Homes 2018-SFR1 Trust | Sound Point Clo XV Ltd | |||||||||||
4.48%, 03/17/2037(b) | $ | 470 | $ | 466 | 8.73%, 01/23/2029(b) | $ | 1,500 | $ | 1,427 | |||
1.00 x 1 Month USD LIBOR + 2.00% | 1.00 x 3 Month USD LIBOR + 5.96% | |||||||||||
Invitation Homes 2018-SFR2 Trust | SpringCastle America Funding LLC | |||||||||||
4.49%, 06/17/2037(b) | 835 | 828 | 3.05%, 04/25/2029(b) | 134 | 134 | |||||||
1.00 x 1 Month USD LIBOR + 2.00% | Sprite 2017-1 Ltd | |||||||||||
Kabbage Asset Securitization LLC | 5.75%, 12/15/2037(b) | 682 | 695 | |||||||||
8.00%, 03/15/2022(b) | 653 | 665 | Stanwich Mortgage Loan Trust Series 2018-NPB1 | |||||||||
Kestrel Aircraft Funding LTD | 4.02%, 05/16/2023(b),(p) | 575 | 574 | |||||||||
4.25%, 12/15/2038(b) | 390 | 383 | TAL Advantage V LLC | |||||||||
Magnetite IX Ltd | 3.55%, 11/20/2038(b) | 249 | 248 | |||||||||
8.52%, 07/25/2026(b) | 1,750 | 1,613 | Thunderbolt Aircraft Lease Ltd | |||||||||
1.00 x 3 Month USD LIBOR + 5.75% | 5.75%, 05/17/2032(b),(p) | 205 | 211 | |||||||||
Marlette Funding Trust 2019-1 | Thunderbolt II Aircraft Lease Ltd | |||||||||||
3.44%, 04/16/2029(b) | 290 | 290 | 4.15%, 09/15/2038(b),(p) | 267 | 269 | |||||||
NYMT Residential 2016-RP1 | Verizon Owner Trust 2017-3 | |||||||||||
4.00%, 03/25/2021(b),(p) | 12 | 12 | 2.75%, 04/20/2022(b) | 2,410 | 2,411 | |||||||
Oak Hill Advisors Residential Loan Trust | 1.00 x 1 Month USD LIBOR + 0.27% | |||||||||||
2017-NPL2 | Verizon Owner Trust 2018-1 | |||||||||||
3.00%, 07/25/2057(b),(p) | 324 | 318 | 2.74%, 09/20/2022(b) | 520 | 520 | |||||||
Oak Hill Advisors Residential Loan Trust | 1.00 x 1 Month USD LIBOR + 0.26% | |||||||||||
2017-NPLA | VOLT LXVIII LLC | |||||||||||
3.00%, 06/25/2057(b),(p) | 123 | 121 | 4.34%, 07/27/2048(b),(p) | 329 | 330 | |||||||
Octagon Investment Partners XVI Ltd | VOLT LXX LLC | |||||||||||
8.52%, 07/17/2030(b) | 500 | 472 | 4.11%, 09/25/2048(b),(p) | 351 | 350 | |||||||
1.00 x 3 Month USD LIBOR + 5.75% | VOLT LXXI LLC | |||||||||||
OneMain Financial Issuance Trust 2015-1 | 3.97%, 09/25/2048(b),(p) | 186 | 186 | |||||||||
3.19%, 03/18/2026(b) | 23 | 23 | VOLT LXXII LLC | |||||||||
OneMain Financial Issuance Trust 2015-2 | 4.21%, 10/26/2048(b),(p) | 891 | 886 | |||||||||
5.64%, 07/18/2025(b) | 625 | 628 | VOLT LXXV LLC | |||||||||
OneMain Financial Issuance Trust 2015-3 | 4.34%, 01/25/2049(b),(p) | 715 | 716 | |||||||||
4.16%, 11/20/2028(b) | 790 | 795 | WAVE 2017-1 Trust | |||||||||
OneMain Financial Issuance Trust 2016-2 | 5.68%, 11/15/2042(b) | 276 | 281 | |||||||||
5.94%, 03/20/2028(b) | 1,295 | 1,308 | Wingstop Funding 2018-1 LLC | |||||||||
OneMain Financial Issuance Trust 2019-1 | 4.97%, 12/05/2048(b) | 155 | 159 | |||||||||
4.22%, 02/14/2031(b) | 620 | 621 | $ | 50,833 | ||||||||
Oxford Finance Funding 2019-1 LLC | Packaging & Containers - 0.07% | |||||||||||
4.46%, 02/15/2027(b) | 145 | 146 | Flex Acquisition Co Inc | |||||||||
Planet Fitness Master Issuer LLC | 7.88%, 07/15/2026(b) | 1,457 | 1,395 | |||||||||
4.26%, 09/05/2048(b) | 603 | 607 | Pharmaceuticals - 0.41% | |||||||||
Progress Residential 2017-SFR2 Trust | Bayer US Finance II LLC | |||||||||||
4.14%, 12/17/2034(b) | 100 | 100 | 3.80%, 12/15/2023(b) | 3,300 | 3,230 | |||||||
Progress Residential 2018-SFR2 Trust | 3 Month USD LIBOR + 1.01% | |||||||||||
4.66%, 08/17/2035(b) | 100 | 101 | CVS Health Corp | |||||||||
Progress Residential 2019-SFR1 Trust | 3.40%, 03/09/2020 | 1,385 | 1,388 | |||||||||
4.47%, 08/17/2035(b) | 420 | 422 | 3 Month USD LIBOR + 0.63% | |||||||||
PRPM 2017-2 LLC | 3.49%, 03/09/2021 | 1,385 | 1,387 | |||||||||
3.47%, 09/25/2022(b),(p) | 548 | 546 | 3 Month USD LIBOR + 0.72% | |||||||||
5.00%, 09/25/2022(b),(p) | 270 | 269 | Pfizer Inc | |||||||||
PRPM 2017-3 LLC | 3.00%, 09/15/2021 | 1,315 | 1,323 | |||||||||
3.47%, 11/25/2022(b),(p) | 246 | 245 | Teva Pharmaceutical Finance Netherlands III BV | |||||||||
5.00%, 11/25/2022(b),(p) | 105 | 103 | 3.15%, 10/01/2026 | 345 | 286 | |||||||
PRPM 2018-1 LLC | 6.00%, 04/15/2024 | 200 | 202 | |||||||||
5.00%, 04/25/2023(b),(p) | 200 | 197 | $ | 7,816 | ||||||||
RCO Mortgage LLC 2017-1 | Pipelines - 0.02% | |||||||||||
3.38%, 08/25/2022(b),(p) | 322 | 322 | Transportadora de Gas del Sur SA | |||||||||
Rise Ltd | 6.75%, 05/02/2025(b) | 480 | 452 | |||||||||
4.75%, 02/15/2039(p) | 252 | 252 | ||||||||||
RMAT 2018-NPL1 LP | Real Estate - 0.36% | |||||||||||
4.09%, 05/25/2048(b),(p) | 365 | 364 | CFLD Cayman Investment Ltd | |||||||||
SCF Equipment Leasing 2018-1 LLC | 6.50%, 12/21/2020 | 200 | 197 | |||||||||
4.21%, 04/20/2027(b) | 795 | 811 | China Evergrande Group | |||||||||
Shenton Aircraft Investment I Ltd | 8.75%, 06/28/2025 | 200 | 179 | |||||||||
4.75%, 10/15/2042(b) | 422 | 423 | Country Garden Holdings Co Ltd | |||||||||
S-Jets 2017-1 Ltd | 5.13%, 01/17/2025 | 3,155 | 2,863 | |||||||||
3.97%, 08/15/2042(b) | 869 | 863 | 8.00%, 01/27/2024 | 2,570 | 2,641 | |||||||
Sofi Consumer Loan Program 2018-2 Trust | Easy Tactic Ltd | |||||||||||
3.35%, 04/26/2027(b) | 360 | 360 | 7.00%, 04/25/2021 | 200 | 200 |
See accompanying notes.
97
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
Principal | Principal | ||||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||||
Real Estate (continued) | Sovereign (continued) | ||||||||||||
New Metro Global Ltd | Hellenic Republic Treasury Bill | ||||||||||||
6.50%, 04/23/2021 | $ | 200 | $ | 200 | 0.00%, 03/15/2019(a) | EUR | 6,537 | $ | 7,434 | ||||
Shimao Property Holdings Ltd | 0.00%, 06/14/2019(a) | 1,124 | 1,275 | ||||||||||
4.75%, 07/03/2022 | 200 | 196 | 0.00%, 12/13/2019(a) | 8,600 | 9,642 | ||||||||
5.20%, 01/30/2025 | 215 | 207 | Indonesia Treasury Bond | ||||||||||
Sunac China Holdings Ltd | 6.13%, 05/15/2028 | IDR | 49,925,000 | 3,160 | |||||||||
8.63%, 07/27/2020 | 200 | 204 | 8.38%, 03/15/2024 | 70,400,000 | 5,159 | ||||||||
$ | 6,887 | 8.38%, 03/15/2034 | 79,400,000 | 5,765 | |||||||||
Regional Authority - 0.10% | Iraq International Bond | ||||||||||||
Provincia de Buenos Aires/Argentina | 6.75%, 03/09/2023 | $ | 5,225 | 5,304 | |||||||||
6.50%, 02/15/2023(b) | 545 | 465 | Italy Buoni Poliennali Del Tesoro | ||||||||||
50.31%, 04/12/2025(b) | ARS | 11,045 | 253 | 2.30%, 10/15/2021 | EUR | 16,500 | 19,418 | ||||||
Argentina Deposit Rates Badlar Private | Ivory Coast Government International Bond | ||||||||||||
Banks ARS 30 to 35 Days + 3.75% | 5.25%, 03/22/2030 | 6,360 | 6,885 | ||||||||||
40.33%, 05/31/2022 | 51,665 | 1,221 | Malaysia Government Bond | ||||||||||
Argentina Deposit Rates Badlar Private | 3.73%, 06/15/2028 | MYR | 37,100 | 8,951 | |||||||||
Banks ARS 30 to 35 Days + 3.83% | Montenegro Government International Bond | ||||||||||||
$ | 1,939 | 3.38%, 04/21/2025(b) | EUR | 3,280 | 3,793 | ||||||||
Retail - 0.31% | 5.75%, 03/10/2021 | 2,282 | 2,799 | ||||||||||
Alimentation Couche-Tard Inc | Nigeria Government International Bond | ||||||||||||
3.28%, 12/13/2019(b) | $ | 690 | 690 | 6.50%, 11/28/2027 | $ | 4,600 | 4,520 | ||||||
3 Month USD LIBOR + 0.50% | Pakistan Government International Bond | ||||||||||||
Home Depot Inc/The | 8.25%, 09/30/2025 | 3,190 | 3,358 | ||||||||||
3.05%, 03/01/2022 | 1,020 | 1,019 | Peru Government Bond | ||||||||||
3 Month USD LIBOR + 0.31% | 6.15%, 08/12/2032(b) | PEN | 17,225 | 5,374 | |||||||||
Staples Inc | Peruvian Government International Bond | ||||||||||||
8.50%, 09/15/2025(b) | 2,270 | 2,224 | 6.35%, 08/12/2028(b) | 6,800 | 2,185 | ||||||||
Walmart Inc | 6.35%, 08/12/2028 | 14,150 | 4,547 | ||||||||||
2.86%, 06/23/2020 | 1,969 | 1,967 | Qatar Government International Bond | ||||||||||
3 Month USD LIBOR + 0.04% | 5.10%, 04/23/2048 | $ | 4,240 | 4,574 | |||||||||
$ | 5,900 | Republic of South Africa Government Bond | |||||||||||
Sovereign - 12.64% | 7.00%, 02/28/2031 | ZAR | 75,600 | 4,460 | |||||||||
1MDB Global Investments Ltd | 8.25%, 03/31/2032 | 86,516 | 5,576 | ||||||||||
4.40%, 03/09/2023 | 5,600 | 5,215 | 8.75%, 01/31/2044 | 68,825 | 4,396 | ||||||||
Argentina POM Politica Monetaria | 8.75%, 02/28/2048 | 22,820 | 1,453 | ||||||||||
53.67%, 06/21/2020 | ARS | 6,725 | 186 | 10.50%, 12/21/2026(o) | 27,900 | 2,176 | |||||||
Argentina Blended Historical Policy Rate | Republic of South Africa Government | ||||||||||||
+ 0.00% | International Bond | ||||||||||||
Argentina Treasury Bill | 6.88%, 05/27/2019(o) | $ | 22,930 | 23,092 | |||||||||
0.00%, 06/28/2019(a) | 176,400 | 4,914 | Russian Federal Bond - OFZ | ||||||||||
Argentine Republic Government International | 7.05%, 01/19/2028 | RUB | 478,700 | 6,778 | |||||||||
Bond | Turkey Government International Bond | ||||||||||||
2.50%, 12/31/2038(p) | $ | 10,389 | 6,062 | 7.50%, 11/07/2019 | $ | 1,334 | 1,361 | ||||||
3.38%, 10/12/2020 | CHF | 5,463 | 5,151 | Ukraine Government International Bond | |||||||||
3.38%, 01/15/2023 | EUR | 532 | 510 | 0.00%, 05/31/2040(a),(p) | 2,575 | 1,660 | |||||||
3.88%, 01/15/2022 | 66 | 67 | 7.75%, 09/01/2025 | 4,050 | 3,770 | ||||||||
5.00%, 01/15/2027 | 3,806 | 3,387 | $ | 242,471 | |||||||||
5.25%, 01/15/2028 | 7,354 | 6,462 | Student Loan Asset Backed Securities - 0.10% | ||||||||||
6.25%, 11/09/2047 | 1,310 | 1,122 | SLM Private Credit Student Loan Trust 2003-A | ||||||||||
6.63%, 07/06/2028 | $ | 1,380 | 1,113 | 4.75%, 06/15/2032 | 239 | 240 | |||||||
Costa Rica Government International Bond | 1.00 x US 28 Day Auction Rate + 0.00% | ||||||||||||
4.25%, 01/26/2023 | 4,375 | 4,106 | SLM Private Credit Student Loan Trust 2003-B | ||||||||||
4.37%, 05/22/2019 | 5,075 | 5,094 | 4.81%, 03/15/2033 | 700 | 701 | ||||||||
4.38%, 04/30/2025 | 6,797 | 6,208 | 1.00 x US 28 Day Auction Rate + 0.00% | ||||||||||
7.00%, 04/04/2044 | 2,062 | 1,959 | 4.81%, 03/15/2033 | 100 | 100 | ||||||||
Ecuador Government International Bond | 1.00 x US 28 Day Auction Rate + 0.00% | ||||||||||||
7.88%, 01/23/2028 | 7,375 | 6,997 | SMB Private Education Loan Trust 2017-B | ||||||||||
Egypt Government International Bond | 3.24%, 10/15/2035(b) | 310 | 310 | ||||||||||
5.58%, 02/21/2023 | 2,555 | 2,542 | 1.00 x 1 Month USD LIBOR + 0.75% | ||||||||||
7.60%, 03/01/2029(b) | 6,600 | 6,762 | SoFi Professional Loan Program 2014-B LLC | ||||||||||
El Salvador Government International Bond | 3.74%, 08/25/2032(b) | 22 | 22 | ||||||||||
7.38%, 12/01/2019 | 1,286 | 1,296 | 1.00 x 1 Month USD LIBOR + 1.25% | ||||||||||
Hazine Mustesarligi Varlik Kiralama AS | SoFi Professional Loan Program 2015-A LLC | ||||||||||||
5.80%, 02/21/2022(b) | 8,100 | 8,101 | 3.69%, 03/25/2033(b) | 128 | 128 | ||||||||
Hellenic Republic Government Bond | 1.00 x 1 Month USD LIBOR + 1.20% | ||||||||||||
3.38%, 02/15/2025(b) | EUR | 3,013 | 3,455 | SoFi Professional Loan Program 2015-C LLC | |||||||||
3.45%, 04/02/2024(b) | 2,239 | 2,619 | 3.58%, 08/25/2036(b) | 61 | 61 | ||||||||
3.75%, 01/30/2028 | 243 | 278 |
See accompanying notes.
98
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
Principal | Principal | |||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | CONVERTIBLE BONDS (continued) | Amount (000’s) Value (000’s) | |||||||||
Student Loan Asset Backed Securities (continued) | Banks - 0.02% | |||||||||||
Sofi Professional Loan Program 2016-A LLC | Deutsche Bank AG/London | |||||||||||
3.57%, 01/26/2038(b) | $ | 335 | $ | 329 | 1.00%, 05/01/2023 | $ | 175 | $ | 164 | |||
$ | 1,891 | Hope Bancorp Inc | ||||||||||
Supranational Bank - 0.43% | 2.00%, 05/15/2038(b) | 200 | 180 | |||||||||
Banque Ouest Africaine de Developpement | $ | 344 | ||||||||||
5.00%, 07/27/2027(b) | 1,875 | 1,851 | Biotechnology - 0.08% | |||||||||
5.00%, 07/27/2027 | 1,525 | 1,506 | AMAG Pharmaceuticals Inc | |||||||||
European Investment Bank | 3.25%, 06/01/2022 | 200 | 183 | |||||||||
2.88%, 12/15/2021(o) | 1,194 | 1,203 | BioMarin Pharmaceutical Inc | |||||||||
2.88%, 08/15/2023(o) | 2,097 | 2,119 | 0.60%, 08/01/2024 | 455 | 475 | |||||||
3.13%, 12/14/2023(o) | 812 | 830 | Innoviva Inc | |||||||||
International Bank for Reconstruction & | 2.13%, 01/15/2023 | 200 | 210 | |||||||||
Development | Intrexon Corp | |||||||||||
3.00%, 09/27/2023(o) | 796 | 811 | 3.50%, 07/01/2023 | 200 | 144 | |||||||
$ | 8,320 | Ligand Pharmaceuticals Inc | ||||||||||
Telecommunications - 1.79% | 0.75%, 05/15/2023(b) | 100 | 86 | |||||||||
Avanti Communications Group PLC | Medicines Co/The | |||||||||||
9.00%, PIK 9.00%, 10/01/2022(b),(l),(p) | 1,346 | 915 | 2.50%, 01/15/2022 | 75 | 70 | |||||||
Bharti Airtel International Netherlands BV | 2.75%, 07/15/2023 | 150 | 120 | |||||||||
5.35%, 05/20/2024 | 7,255 | 7,218 | Omeros Corp | |||||||||
C&W Senior Financing DAC | 6.25%, 11/15/2023(b) | 200 | 200 | |||||||||
7.50%, 10/15/2026(b) | 3,350 | 3,417 | $ | 1,488 | ||||||||
Cisco Systems Inc | Commercial Services - 0.07% | |||||||||||
3.13%, 09/20/2019 | 1,420 | 1,422 | Element Fleet Management Corp | |||||||||
3 Month USD LIBOR + 0.34% | 5.13%, 06/30/2019(b) | CAD | 725 | 551 | ||||||||
CommScope Finance LLC | FTI Consulting Inc | |||||||||||
5.50%, 03/01/2024(b) | 278 | 283 | 2.00%, 08/15/2023(b) | $ | 450 | 451 | ||||||
6.00%, 03/01/2026(b) | 278 | 284 | Square Inc | |||||||||
8.25%, 03/01/2027(b) | 648 | 672 | 0.50%, 05/15/2023(b) | 300 | 380 | |||||||
Digicel Ltd | $ | 1,382 | ||||||||||
6.75%, 03/01/2023 | 4,450 | 3,093 | Computers - 0.01% | |||||||||
Frontier Communications Corp | Pure Storage Inc | |||||||||||
9.00%, 08/15/2031 | 3,092 | 1,701 | 0.13%, 04/15/2023(b) | 175 | 181 | |||||||
Goodman Networks Inc | Diversified Financial Services - 0.01% | |||||||||||
8.00%, 05/11/2022 | 2,310 | 1,132 | JPMorgan Chase Financial Co LLC | |||||||||
Intelsat Connect Finance SA | 0.25%, 05/01/2023(b) | 250 | 241 | |||||||||
9.50%, 02/15/2023(b) | 2,000 | 1,935 | Electronics - 0.04% | |||||||||
Intelsat Jackson Holdings SA | TTM Technologies Inc | |||||||||||
8.50%, 10/15/2024(b) | 1,531 | 1,546 | 1.75%, 12/15/2020(c) | 550 | 732 | |||||||
9.75%, 07/15/2025(b) | 7,861 | 8,156 | ||||||||||
Telefonica Emisiones SA | Engineering & Construction - 0.04% | |||||||||||
5.52%, 03/01/2049(m) | 1,330 | 1,328 | KBR Inc | |||||||||
Windstream Services LLC / Windstream Finance | 2.50%, 11/01/2023(b) | 450 | 458 | |||||||||
Corp | Tutor Perini Corp | |||||||||||
8.63%, 10/31/2025(b) | 1,420 | 1,324 | 2.88%, 06/15/2021 | 265 | 257 | |||||||
$ | 34,426 | $ | 715 | |||||||||
Toys, Games & Hobbies - 0.06% | Healthcare - Products - 0.01% | |||||||||||
Mattel Inc | OPKO Health Inc | |||||||||||
6.20%, 10/01/2040 | 1,516 | 1,226 | 4.50%, 02/15/2025 | 125 | 118 | |||||||
Transportation - 0.10% | Healthcare - Services - 0.54% | |||||||||||
FedEx Corp | Anthem Inc | |||||||||||
3.40%, 01/14/2022 | 675 | 681 | 2.75%, 10/15/2042(c) | 2,450 | 10,302 | |||||||
Navios Maritime Holdings Inc / Navios Maritime | Holding Companies - Diversified - 0.01% | |||||||||||
Finance II US Inc | RWT Holdings Inc | |||||||||||
11.25%, 08/15/2022(b) | 1,848 | 1,173 | 5.63%, 11/15/2019 | 185 | 186 | |||||||
$ | 1,854 | Insurance - 0.01% | ||||||||||
Trucking & Leasing - 0.06% | AXA SA | |||||||||||
Penske Truck Leasing Co Lp / PTL Finance Corp | 7.25%, 05/15/2021(b) | 300 | 288 | |||||||||
3.65%, 07/29/2021(b) | 1,070 | 1,076 | Internet - 0.18% | |||||||||
TOTAL BONDS | $ | 700,030 | Booking Holdings Inc | |||||||||
Principal | 0.35%, 06/15/2020 | 150 | 199 | |||||||||
CONVERTIBLE BONDS - 3.94% | Amount (000's) Value (000's) | MercadoLibre Inc | ||||||||||
Automobile Parts & Equipment - 0.01% | 2.00%, 08/15/2028(b) | 700 | 854 | |||||||||
Meritor Inc | Palo Alto Networks Inc | |||||||||||
3.25%, 10/15/2037 | 300 | 296 | 0.75%, 07/01/2023(b) | 75 | 83 | |||||||
Twitter Inc | ||||||||||||
0.25%, 06/15/2024(b) | 950 | 862 |
See accompanying notes.
99
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
Principal | Principal | ||||||||||
CONVERTIBLE BONDS (continued) | Amount (000’s) Value (000’s) | CONVERTIBLE BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||
Internet (continued) | REITs (continued) | ||||||||||
Wayfair Inc | Blackstone Mortgage Trust Inc | ||||||||||
1.13%, 11/01/2024(b) | $ | 675 | $ | 1,048 | 4.38%, 05/05/2022 | $ | 75 | $ | 75 | ||
Zillow Group Inc | 4.75%, 03/15/2023 | 200 | 200 | ||||||||
1.50%, 07/01/2023 | 375 | 355 | iStar Inc | ||||||||
$ | 3,401 | 3.13%, 09/15/2022 | 720 | 655 | |||||||
Investment Companies - 0.41% | Redwood Trust Inc | ||||||||||
Aabar Investments PJSC | 4.75%, 08/15/2023 | 125 | 117 | ||||||||
0.50%, 03/27/2020 | EUR | 2,800 | 2,991 | 5.63%, 07/15/2024 | 200 | 192 | |||||
1.00%, 03/27/2022 | 4,800 | 4,708 | $ | 1,579 | |||||||
Prospect Capital Corp | Retail - 0.02% | ||||||||||
4.95%, 07/15/2022 | $ | 275 | 271 | RH | |||||||
$ | 7,970 | 0.00%, 06/15/2023(a),(b) | 375 | 380 | |||||||
Iron & Steel - 0.02% | Semiconductors - 1.10% | ||||||||||
Allegheny Technologies Inc | Cree Inc | ||||||||||
4.75%, 07/01/2022 | 125 | 261 | 0.88%, 09/01/2023(b) | 350 | 389 | ||||||
Cleveland-Cliffs Inc | Intel Corp | ||||||||||
1.50%, 01/15/2025 | 100 | 148 | 3.25%, 08/01/2039 | 3,501 | 9,052 | ||||||
$ | 409 | Microchip Technology Inc | |||||||||
Lodging - 0.01% | 1.63%, 02/15/2025 | 50 | 85 | ||||||||
Caesars Entertainment Corp | 2.25%, 02/15/2037 | 808 | 939 | ||||||||
5.00%, 10/01/2024 | 75 | 107 | Novellus Systems Inc | ||||||||
Media - 0.36% | 2.63%, 05/15/2041 | 1,900 | 10,233 | ||||||||
DISH Network Corp | NXP Semiconductors NV | ||||||||||
2.38%, 03/15/2024 | 940 | 779 | 1.00%, 12/01/2019 | 200 | 208 | ||||||
3.38%, 08/15/2026 | 6,274 | 5,389 | ON Semiconductor Corp | ||||||||
Gannett Co Inc | 1.00%, 12/01/2020 | 75 | 97 | ||||||||
4.75%, 04/15/2024(b) | 200 | 226 | Rovi Corp | ||||||||
Liberty Media Corp | 0.50%, 03/01/2020 | 150 | 144 | ||||||||
2.25%, 09/30/2046 | 115 | 59 | $ | 21,147 | |||||||
2.25%, 12/01/2048(b) | 400 | 422 | Software - 0.19% | ||||||||
$ | 6,875 | Atlassian Inc | |||||||||
Mining - 0.00% | 0.63%, 05/01/2023(b) | 150 | 216 | ||||||||
Endeavour Mining Corp | Benefitfocus Inc | ||||||||||
3.00%, 02/15/2023(b) | 50 | 47 | 1.25%, 12/15/2023(b) | 150 | 172 | ||||||
Oil & Gas - 0.16% | Citrix Systems Inc | ||||||||||
Chesapeake Energy Corp | 0.50%, 04/15/2019 | 50 | 73 | ||||||||
5.50%, 09/15/2026 | 2,656 | 2,433 | Envestnet Inc | ||||||||
Nabors Industries Inc | 1.75%, 06/01/2023(b) | 50 | 55 | ||||||||
0.75%, 01/15/2024 | 395 | 276 | Five9 Inc | ||||||||
SM Energy Co | 0.13%, 05/01/2023(b) | 50 | 70 | ||||||||
1.50%, 07/01/2021 | 90 | 83 | j2 Global Inc | ||||||||
Whiting Petroleum Corp | 3.25%, 06/15/2029 | 225 | 295 | ||||||||
1.25%, 04/01/2020 | 200 | 192 | LivePerson Inc | ||||||||
$ | 2,984 | 0.75%, 03/01/2024(b),(m) | 100 | 100 | |||||||
MongoDB Inc | |||||||||||
Oil & Gas Services - 0.01% | 0.75%, 06/15/2024(b) | 175 | 280 | ||||||||
Weatherford International Ltd | ServiceNow Inc | ||||||||||
5.88%, 07/01/2021 | 300 | 230 | 0.00%, 06/01/2022(a) | 468 | 843 | ||||||
Pharmaceuticals - 0.06% | Splunk Inc | ||||||||||
Clovis Oncology Inc | 0.50%, 09/15/2023(b) | 375 | 419 | ||||||||
1.25%, 05/01/2025 | 25 | 20 | 1.13%, 09/15/2025(b) | 575 | 651 | ||||||
DexCom Inc | Verint Systems Inc | ||||||||||
0.75%, 12/01/2023(b) | 400 | 440 | 1.50%, 06/01/2021 | 445 | 461 | ||||||
Flexion Therapeutics Inc | $ | 3,635 | |||||||||
3.38%, 05/01/2024 | 165 | 146 | Telecommunications - 0.47% | ||||||||
Herbalife Nutrition Ltd | 8x8 Inc | ||||||||||
2.00%, 08/15/2019 | 250 | 328 | 0.50%, 02/01/2024(b) | 100 | 100 | ||||||
2.63%, 03/15/2024(b) | 125 | 136 | Finisar Corp | ||||||||
Ironwood Pharmaceuticals Inc | 0.50%, 12/15/2036 | 770 | 752 | ||||||||
2.25%, 06/15/2022 | 50 | 56 | Gogo Inc | ||||||||
Tilray Inc | 6.00%, 05/15/2022(b) | 1,604 | 1,534 | ||||||||
5.00%, 10/01/2023(b) | 75 | 64 | Infinera Corp | ||||||||
$ | 1,190 | 2.13%, 09/01/2024 | 250 | 210 | |||||||
REITs - 0.08% | Inmarsat PLC | ||||||||||
Apollo Commercial Real Estate Finance Inc | 3.88%, 09/09/2023 | 5,000 | 5,922 | ||||||||
4.75%, 08/23/2022 | 125 | 121 | Intelsat SA | ||||||||
5.38%, 10/15/2023 | 225 | 219 | 4.50%, 06/15/2025(b) | 340 | 529 | ||||||
$ | 9,047 |
See accompanying notes.
100
Consolidated Schedule of Investments | |||||||||||||
Global Multi-Strategy Fund | |||||||||||||
February 28, 2019 (unaudited) | |||||||||||||
Principal | SENIOR FLOATING RATE INTERESTS | Principal | |||||||||||
CONVERTIBLE BONDS (continued) | Amount (000’s) Value (000’s) | (continued) | Amount (000’s) Value (000’s) | ||||||||||
Transportation - 0.01% | Chemicals (continued) | ||||||||||||
Ship Finance International Ltd | Vantage Specialty Chemicals Inc | ||||||||||||
5.75%, 10/15/2021 | $ | 275 | $ | 268 | 10.88%, 10/27/2025(r) | $ | 659 | $ | 642 | ||||
Trucking & Leasing - 0.01% | US LIBOR + 8.25% | ||||||||||||
Greenbrier Cos Inc/The | WR Grace & Co-Conn | ||||||||||||
2.88%, 02/01/2024 | 140 | 145 | 4.55%, 04/03/2025(r) | 163 | 162 | ||||||||
TOTAL CONVERTIBLE BONDS | $ | 75,687 | US LIBOR + 1.75% | ||||||||||
Principal | 4.55%, 04/03/2025(r) | 279 | 277 | ||||||||||
MUNICIPAL BONDS - 0.04% | Amount (000's) Value (000's) | US LIBOR + 1.75% | |||||||||||
Massachusetts - 0.04% | $ | 3,825 | |||||||||||
Massachusetts Educational Financing Authority | Coal - 0.23% | ||||||||||||
3.85%, 05/25/2033 | $ | 673 | $ | 681 | Sandy Creek Energy Associates LP | ||||||||
TOTAL MUNICIPAL BONDS | $ | 681 | 6.80%, 11/08/2020(r) | 5,127 | 4,416 | ||||||||
SENIOR FLOATING RATE INTERESTS | Principal | US LIBOR + 4.00% | |||||||||||
- 6.90% | Amount (000's) Value (000's) | Commercial Services - 0.43% | |||||||||||
Advertising - 0.04% | APX Group Inc | ||||||||||||
Imagine! Print Solutions Inc | 7.50%, 02/02/2024(r) | 998 | 980 | ||||||||||
11.25%, 06/21/2023(r) | $ | 427 | $ | 378 | US LIBOR + 5.00% | ||||||||
US LIBOR + 8.75% | ASGN Inc | ||||||||||||
Lamar Media Corp | 4.50%, 02/21/2025(r) | 129 | 129 | ||||||||||
4.31%, 03/14/2025(r) | 453 | 452 | US LIBOR + 2.00% | ||||||||||
US LIBOR + 1.75% | Cambium Learning Group Inc | ||||||||||||
$ | 830 | 6.99%, 12/18/2025(r) | 1,262 | 1,240 | |||||||||
Apparel - 0.05% | US LIBOR + 4.50% | ||||||||||||
Hanesbrands Inc | Cenveo Corp | ||||||||||||
4.25%, 12/15/2024(r) | 906 | 903 | 11.52%, 06/07/2023(r) | 811 | 748 | ||||||||
US LIBOR + 1.75% | Global Payments Inc | ||||||||||||
Automobile Manufacturers - 0.03% | 4.25%, 10/10/2025(r) | 318 | 315 | ||||||||||
EnTrans International LLC | US LIBOR + 1.75% | ||||||||||||
8.49%, 11/02/2024(r) | 628 | 619 | PSC Industrial Outsourcing LP | ||||||||||
US LIBOR + 6.00% | 10.99%, 10/13/2025(r) | 980 | 931 | ||||||||||
US LIBOR + 8.50% | |||||||||||||
Automobile Parts & Equipment - 0.21% | Quad/Graphics Inc | ||||||||||||
GC EOS Buyer Inc | 7.50%, 12/18/2025(r) | 1,128 | 1,124 | ||||||||||
7.01%, 06/27/2025(r) | 1,995 | 1,970 | US LIBOR + 5.00% | ||||||||||
US LIBOR + 4.00% | Refinitiv US Holdings Inc | ||||||||||||
Superior Industries International Inc | 6.24%, 09/18/2025(r) | 1,927 | 1,896 | ||||||||||
6.52%, 03/22/2024(r) | 1,477 | 1,440 | US LIBOR + 3.75% | ||||||||||
US LIBOR + 4.50% | United Rentals North America Inc | ||||||||||||
Truck Hero Inc | 4.25%, 10/03/2025(r) | 817 | 814 | ||||||||||
6.25%, 05/16/2024(r) | 635 | 621 | US LIBOR + 1.75% | ||||||||||
US LIBOR + 3.75% | $ | 8,177 | |||||||||||
$ | 4,031 | ||||||||||||
Building Materials - 0.29% | Computers - 0.14% | ||||||||||||
24-7 Intouch Inc | |||||||||||||
Airxcel Inc | 6.74%, 08/20/2025(r) | 413 | 399 | ||||||||||
11.24%, 04/27/2026(r) | 567 | 513 | US LIBOR + 4.25% | ||||||||||
US LIBOR + 8.75% | McAfee LLC | ||||||||||||
American Bath Group LLC | 10.99%, 09/29/2025(r) | 1,833 | 1,854 | ||||||||||
7.05%, 09/30/2023(r) | 3,351 | 3,334 | US LIBOR + 8.50% | ||||||||||
US LIBOR + 4.25% | Science Applications International Corp | ||||||||||||
JELD-WEN Inc | 4.25%, 11/05/2025(r) | 443 | 439 | ||||||||||
4.80%, 12/14/2024(r) | 963 | 946 | US LIBOR + 1.75% | ||||||||||
US LIBOR + 2.00% | $ | 2,692 | |||||||||||
Summit Materials LLC | |||||||||||||
4.50%, 11/21/2024(r) | 720 | 715 | Consumer Products - 0.10% | ||||||||||
US LIBOR + 2.00% | Champ Acquisition Corp | ||||||||||||
$ | 5,508 | 8.13%, 12/17/2025(r) | 1,253 | 1,251 | |||||||||
US LIBOR + 5.50% | |||||||||||||
Chemicals - 0.20% | Diamond BC BV | ||||||||||||
Addivant USA Holdings Corp | 5.74%, 07/25/2024(r) | 643 | 619 | ||||||||||
7.54%, 08/17/2025(r) | 649 | 647 | US LIBOR + 3.00% | ||||||||||
Axalta Coating Systems US Holdings Inc | $ | 1,870 | |||||||||||
4.55%, 06/21/2024(r) | 757 | 749 | |||||||||||
US LIBOR + 1.75% | Distribution & Wholesale - 0.02% | ||||||||||||
Consolidated Energy Finance SA | American Builders & Contractors Supply Co Inc | ||||||||||||
4.99%, 05/07/2025(r) | 436 | 422 | 4.50%, 10/31/2023(r) | 432 | 429 | ||||||||
US LIBOR + 2.50% | US LIBOR + 2.00% | ||||||||||||
Polymer Additives Inc | Diversified Financial Services - 0.04% | ||||||||||||
8.49%, 07/25/2025(r) | 1,029 | 926 | MMTEC Inc | ||||||||||
0.00%, 02/27/2026(r),(s) | 822 | 814 |
See accompanying notes.
101
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
SENIOR FLOATING RATE INTERESTS | Principal | SENIOR FLOATING RATE INTERESTS | Principal | ||||||||
(continued) | Amount (000’s) Value (000’s) | (continued) | Amount (000’s) Value (000’s) | ||||||||
Diversified Operations - 0.01% | Home Furnishings - 0.03% | ||||||||||
Belfor Holdings Inc | TGP Holdings III LLC | ||||||||||
0.00%, 02/13/2026(r),(s) | $ | 175 | $ | 176 | 11.30%, 09/25/2025(r) | $ | 516 | $ | 495 | ||
Electric - 0.15% | US LIBOR + 8.50% | ||||||||||
AES Corp/VA | Insurance - 0.31% | ||||||||||
4.46%, 05/31/2022(r) | 1,143 | 1,142 | AIS Holdco LLC | ||||||||
US LIBOR + 1.75% | 7.80%, 08/15/2025(r) | 293 | 286 | ||||||||
Star West Generation LLC | US LIBOR + 5.00% | ||||||||||
7.25%, 03/13/2020(r) | 1,126 | 1,085 | Amynta Agency Borrower Inc | ||||||||
US LIBOR + 4.75% | 10.99%, 03/02/2026(r) | 1,074 | 1,047 | ||||||||
Vistra Operations Co LLC | US LIBOR + 8.50% | ||||||||||
4.48%, 12/31/2025(r) | 637 | 634 | Confie Seguros Holding II Co | ||||||||
US LIBOR + 2.00% | 7.38%, 04/19/2022(r) | 2,585 | 2,575 | ||||||||
$ | 2,861 | US LIBOR + 5.25% | |||||||||
Engineering & Construction - 0.06% | 11.24%, 10/31/2025(r) | 1,162 | 1,136 | ||||||||
Hamilton Holdco LLC | US LIBOR + 8.50% | ||||||||||
4.81%, 06/02/2025(r) | 670 | 667 | Newport Group Holdings II Inc | ||||||||
US LIBOR + 2.00% | 6.54%, 08/08/2025(r) | 890 | 881 | ||||||||
Qualtek USA LLC | US LIBOR + 3.75% | ||||||||||
8.49%, 07/18/2025(r) | 596 | 583 | $ | 5,925 | |||||||
US LIBOR + 5.75% | Internet - 0.15% | ||||||||||
$ | 1,250 | Uber Technologies Inc | |||||||||
Entertainment - 0.03% | 5.98%, 07/13/2023(r) | 976 | 971 | ||||||||
Allen Media LLC | US LIBOR + 3.50% | ||||||||||
9.14%, 09/22/2023(r) | 526 | 506 | Web.com Group Inc | ||||||||
US LIBOR + 6.50% | 10.27%, 09/17/2026(r) | 1,857 | 1,820 | ||||||||
Environmental Control - 0.02% | US LIBOR + 7.75% | ||||||||||
Concrete Pumping Merger Sub Inc | $ | 2,791 | |||||||||
8.81%, 11/14/2025(r) | 97 | 94 | Investment Companies - 0.17% | ||||||||
Innovative Water Care Global Corp | TKC Holdings Inc | ||||||||||
0.00%, 02/27/2026(r),(s) | 371 | 353 | 10.50%, 01/31/2024(r) | 3,337 | 3,240 | ||||||
$ | 447 | US LIBOR + 8.00% | |||||||||
Food - 0.25% | Iron & Steel - 0.09% | ||||||||||
Give & Go Prepared Foods Corp | Can Am Construction Inc/Canada | ||||||||||
7.05%, 07/29/2023(r) | 1,595 | 1,469 | 7.50%, 07/01/2024(r) | 1,767 | 1,723 | ||||||
US LIBOR + 4.25% | US LIBOR + 5.00% | ||||||||||
JBS USA LUX SA | Leisure Products & Services - 0.05% | ||||||||||
5.26%, 10/30/2022(r) | 297 | 296 | Recess Holdings Inc | ||||||||
US LIBOR + 2.50% | 10.40%, 09/29/2025(r) | 790 | 754 | ||||||||
Post Holdings Inc | US LIBOR + 7.75% | ||||||||||
4.49%, 05/17/2024(r) | 427 | 425 | Topgolf International Inc | ||||||||
US LIBOR + 2.00% | 8.02%, 02/08/2026(r) | 298 | 298 | ||||||||
United Natural Foods Inc | $ | 1,052 | |||||||||
6.74%, 10/18/2025(r) | 3,000 | 2,652 | Lodging - 0.01% | ||||||||
US LIBOR + 4.25% | Wyndham Hotels & Resorts Inc | ||||||||||
$ | 4,842 | 4.24%, 05/30/2025(r) | 190 | 188 | |||||||
Food Service - 0.07% | US LIBOR + 1.75% | ||||||||||
Aramark Services Inc | Media - 0.58% | ||||||||||
4.25%, 03/11/2025(r) | 1,279 | 1,272 | Charter Communications Operating LLC | ||||||||
US LIBOR + 1.75% | 4.50%, 04/13/2025(r) | 369 | 368 | ||||||||
Healthcare - Products - 0.19% | US LIBOR + 2.00% | ||||||||||
LifeScan Global Corp | CSC Holdings LLC | ||||||||||
8.80%, 10/01/2024(r) | 1,288 | 1,235 | 4.74%, 07/17/2025(r) | 676 | 667 | ||||||
US LIBOR + 6.00% | US LIBOR + 2.25% | ||||||||||
VVC Holding Corp | iHeartCommunications Inc | ||||||||||
7.20%, 02/07/2026(r) | 2,417 | 2,402 | 0.00%, 01/30/2019(a),(r) | 4,263 | 2,972 | ||||||
US LIBOR + 4.50% | US LIBOR + 6.75% | ||||||||||
$ | 3,637 | MediArena Acquisition BV | |||||||||
Healthcare - Services - 0.27% | 0.00%, 08/13/2021(r),(s) | 1,003 | 994 | ||||||||
Air Methods Corp | US LIBOR + 5.75% | ||||||||||
6.30%, 04/12/2024(r) | 1,007 | 815 | 11.81%, 08/13/2022(r) | 1,000 | 981 | ||||||
US LIBOR + 3.50% | Mission Broadcasting Inc | ||||||||||
Phoenix Guarantor Inc | 4.76%, 01/17/2024(r) | 275 | 271 | ||||||||
0.00%, 02/12/2026(r),(s) | 1,248 | 1,235 | US LIBOR + 2.25% | ||||||||
RegionalCare Hospital Partners Holdings Inc | Nexstar Broadcasting Inc | ||||||||||
6.98%, 11/14/2025(r) | 3,064 | 3,059 | 4.74%, 01/17/2024(r) | 1,519 | 1,498 | ||||||
US LIBOR + 4.50% | US LIBOR + 2.25% | ||||||||||
$ | 5,109 |
See accompanying notes.
102
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
SENIOR FLOATING RATE INTERESTS | Principal | SENIOR FLOATING RATE INTERESTS | Principal | ||||||||
(continued) | Amount (000’s) Value (000’s) | (continued) | Amount (000’s) Value (000’s) | ||||||||
Media (continued) | Retail (continued) | ||||||||||
Sequel Merger Sub II LLC | EG America LLC | ||||||||||
7.55%, 06/28/2025(r) | $ | 515 | $ | 506 | 6.81%, 02/07/2025(r) | $ | 947 | $ | 921 | ||
Unitymedia Finance LLC | US LIBOR + 4.00% | ||||||||||
4.49%, 06/01/2023(r) | 560 | 556 | GOBP Holdings Inc | ||||||||
US LIBOR + 2.00% | 10.05%, 10/22/2026(r) | 397 | 389 | ||||||||
4.74%, 09/30/2025(r) | 999 | 993 | US LIBOR + 7.25% | ||||||||
US LIBOR + 2.25% | JC Penney Corp Inc | ||||||||||
UPC Financing Partnership | 6.88%, 06/23/2023(r) | 2,483 | 2,182 | ||||||||
4.99%, 01/15/2026(r) | 313 | 313 | US LIBOR + 4.25% | ||||||||
US LIBOR + 2.50% | PFC Acquisition Corp | �� | |||||||||
Virgin Media Bristol LLC | 0.00%, 02/07/2026(r),(s) | 265 | 263 | ||||||||
4.99%, 01/15/2026(r) | 425 | 422 | US LIBOR + 6.50% | ||||||||
US LIBOR + 2.50% | SP PF Buyer LLC | ||||||||||
Ziggo Secured Finance Partnership | 7.32%, 12/19/2025(r) | 1,308 | 1,288 | ||||||||
4.99%, 04/15/2025(r) | 632 | 624 | US LIBOR + 4.50% | ||||||||
US LIBOR + 2.50% | $ | 6,681 | |||||||||
$ | 11,165 | Semiconductors - 0.02% | |||||||||
Metal Fabrication & Hardware - 0.13% | Brooks Automation Inc | ||||||||||
Eco-Bat Technologies Ltd | 5.69%, 10/04/2024(r) | 78 | 78 | ||||||||
12.00%, PIK 11.00%, 03/31/2022(l),(p),(r) | EUR | 6,350 | 2,456 | US LIBOR + 3.00% | |||||||
Miscellaneous Manufacturers - 0.13% | Microchip Technology Inc | ||||||||||
4L Technologies Inc/NV | 4.50%, 05/29/2025(r) | 250 | 249 | ||||||||
6.99%, 05/08/2020(r) | $ | 2,486 | 2,446 | US LIBOR + 2.00% | |||||||
US LIBOR + 4.50% | $ | 327 | |||||||||
Oil & Gas - 0.20% | Software - 0.32% | ||||||||||
California Resources Corp | Dun & Bradstreet Corp/The | ||||||||||
7.24%, 11/14/2022(r) | 184 | 181 | 0.00%, 01/30/2026(r),(s) | 1,245 | 1,245 | ||||||
US LIBOR + 4.75% | US LIBOR + 5.00% | ||||||||||
Gavilan Resources LLC | Evergreen Skills Lux Sarl | ||||||||||
8.49%, 03/01/2024(r) | 680 | 539 | 10.74%, 04/28/2022(r) | 1,554 | 624 | ||||||
US LIBOR + 6.00% | US LIBOR + 8.25% | ||||||||||
Seadrill Operating LP | First Data Corp | ||||||||||
8.80%, 02/12/2021(r) | 3,738 | 3,118 | 4.49%, 07/08/2022(r) | 1,177 | 1,176 | ||||||
US LIBOR + 6.00% | US LIBOR + 2.00% | ||||||||||
$ | 3,838 | IQVIA Inc | |||||||||
Packaging & Containers - 0.11% | 4.25%, 06/11/2025(r) | 996 | 989 | ||||||||
Schur Flexibles GmbH | US LIBOR + 1.75% | ||||||||||
0.00%, 12/24/2025(r),(s) | EUR | 2,000 | 2,138 | 4.80%, 01/17/2025(r) | 591 | 589 | |||||
Pharmaceuticals - 0.06% | US LIBOR + 2.00% | ||||||||||
Bausch Health Americas Inc | Mitchell International Inc | ||||||||||
5.26%, 11/14/2025(r) | $ | 366 | 365 | 5.74%, 11/20/2024(r) | 648 | 631 | |||||
US LIBOR + 2.75% | US LIBOR + 3.25% | ||||||||||
Grifols Worldwide Operations USA Inc | Vero Parent Inc | ||||||||||
4.67%, 01/31/2025(r) | 833 | 829 | 6.99%, 08/16/2024(r) | 949 | 944 | ||||||
US LIBOR + 2.25% | US LIBOR + 4.50% | ||||||||||
$ | 1,194 | $ | 6,198 | ||||||||
Pipelines - 0.40% | Telecommunications - 0.66% | ||||||||||
Southcross Energy Partners LP | Global Tel*Link Corp | ||||||||||
7.05%, 08/04/2021(r) | 8,618 | 7,744 | 6.74%, 11/20/2025(r) | 317 | 316 | ||||||
US LIBOR + 4.25% | US LIBOR + 4.25% | ||||||||||
10.74%, 11/29/2026(r) | 1,864 | 1,814 | |||||||||
Real Estate - 0.08% | US LIBOR + 8.25% | ||||||||||
Toys R Us Property Co I LLC | Intelsat Jackson Holdings SA | ||||||||||
0.00%, 08/21/2019(a),(r) | 1,646 | 1,494 | 6.23%, 11/27/2023(r) | 3,616 | 3,612 | ||||||
US LIBOR + 5.00% | US LIBOR + 3.75% | ||||||||||
REITs - 0.05% | Maxar Technologies Ltd | ||||||||||
Iron Mountain Inc | 5.25%, 10/05/2024(r) | 1,766 | 1,511 | ||||||||
4.25%, 01/02/2026(r) | 1,024 | 1,003 | US LIBOR + 2.75% | ||||||||
US LIBOR + 1.75% | MLN US Holdco LLC | ||||||||||
Retail - 0.35% | 6.99%, 11/30/2025(r) | 743 | 738 | ||||||||
1011778 BC ULC | US LIBOR + 4.50% | ||||||||||
4.74%, 02/16/2024(r) | 1,152 | 1,142 | Plantronics Inc | ||||||||
US LIBOR + 2.25% | 5.04%, 06/02/2025(r) | 616 | 613 | ||||||||
Del Frisco's Restaurant Group Inc | US LIBOR + 2.50% | ||||||||||
8.50%, 06/27/2025(r) | 511 | 496 | Securus Technologies Holdings Inc | ||||||||
US LIBOR + 6.00% | 6.99%, 11/01/2024(r) | 1,479 | 1,470 | ||||||||
10.74%, 11/01/2025(r) | 645 | 628 |
See accompanying notes.
103
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
SENIOR FLOATING RATE INTERESTS | Principal | Maturity | ||||||||||||
(continued) | Amount (000’s) Value (000’s) | REPURCHASE AGREEMENTS - 11.99% | Amount (000's) Value (000's) | |||||||||||
Telecommunications (continued) | Banks - 11.99% | |||||||||||||
Telenet Financing USD LLC | Barclays Repurchase Agreement on securities sold | $ | 6,459 | $ | 6,454 | |||||||||
4.74%, 08/15/2026(r) | $ | 379 | $ | 373 | short; 1.75% dated 02/13/2019 (collateralized | |||||||||
US LIBOR + 2.25% | by Comision Federal de Electricidad; | |||||||||||||
US TelePacific Corp | $7,724,476; 6.13%; dated 06/16/45)(w) | |||||||||||||
7.80%, 05/02/2023(r) | 1,696 | 1,663 | Merrill Lynch Repurchase Agreement on | 52,296 | 52,293 | |||||||||
US LIBOR + 5.00% | securities sold short; 1.70% dated 02/28/2019 | |||||||||||||
$ | 12,738 | maturing 03/01/2019 (collateralized by United | ||||||||||||
Textiles - 0.06% | States Treasury Note/Bond; $52,234,868; | |||||||||||||
ASP Unifrax Holdings Inc | 2.50%; dated 01/31/24) | |||||||||||||
6.53%, 11/05/2025(r) | 660 | 628 | Merrill Lynch Repurchase Agreement on | 3,158 | 3,147 | |||||||||
US LIBOR + 3.75% | securities sold short; 1.85% dated 12/20/2018 | |||||||||||||
11.28%, 11/05/2026(r) | 659 | 607 | (collateralized by Republic of South Africa | |||||||||||
US LIBOR + 8.50% | Government International Bond; $3,324,188; | |||||||||||||
$ | 1,235 | 4.85%; dated 09/27/27)(w) | ||||||||||||
Transportation - 0.11% | Merrill Lynch Repurchase Agreement on | 3,988 | 3,988 | |||||||||||
Gruden Acquisition Inc | securities sold short; 1.86% dated 02/27/2019 | |||||||||||||
8.30%, 08/18/2022(r) | 957 | 941 | (collateralized by Mexico Government | |||||||||||
US LIBOR + 5.50% | International Bond; $3,985,302; 4.15%; dated | |||||||||||||
Navios Maritime Partners LP | 03/28/27)(w) | |||||||||||||
7.78%, 09/14/2020(r) | 1,173 | 1,163 | Merrill Lynch Repurchase Agreement on | 1,232 | 1,227 | |||||||||
US LIBOR + 5.00% | securities sold short; 2.00% dated 12/20/2018 | |||||||||||||
$ | 2,104 | (collateralized by Mexico Government | ||||||||||||
TOTAL SENIOR FLOATING RATE INTERESTS | $ | 132,389 | International Bond; $1,238,749; 4.13%; dated | |||||||||||
U.S. GOVERNMENT & GOVERNMENT | Principal | 01/21/26)(w) | ||||||||||||
AGENCY OBLIGATIONS - 25.67% | Amount (000's) Value (000's) | Merrill Lynch Repurchase Agreement on | 6,367 | 6,342 | ||||||||||
Federal National Mortgage Association (FNMA) - 1.25% | securities sold short; 2.00% dated 12/20/2018 | |||||||||||||
5.00%, 03/01/2048(t) | $ | 22,938 | $ | 24,053 | (collateralized by Mexico Government | |||||||||
U.S. Treasury - 22.12% | International Bond; $6,402,010; 3.75%; dated | |||||||||||||
1.13%, 02/28/2021(o) | 8,063 | 7,843 | 01/11/28)(w) | |||||||||||
1.38%, 02/29/2020(o) | 4,339 | 4,289 | Merrill Lynch Repurchase Agreement on | 2,956 | 2,944 | |||||||||
1.38%, 04/30/2020(o) | 11,960 | 11,798 | securities sold short; 2.00% dated 12/20/2018 | |||||||||||
1.38%, 05/31/2020(o) | 15,995 | 15,763 | (collateralized by Republic of South Africa | |||||||||||
1.63%, 02/15/2026(o) | 8,840 | 8,283 | Government International Bond; $3,109,725; | |||||||||||
1.75%, 11/30/2019(o) | 7,100 | 7,058 | 4.85%; dated 09/27/27)(w) | |||||||||||
2.00%, 02/15/2025(o) | 23,250 | 22,499 | Merrill Lynch Repurchase Agreement on | 1,348 | 1,343 | |||||||||
2.13%, 02/29/2024(o) | 32,215 | 31,605 | securities sold short; 2.00% dated 12/20/2018 | |||||||||||
2.25%, 12/31/2023(o) | 13,206 | 13,043 | (collateralized by Mexico Government | |||||||||||
2.25%, 11/15/2027 | 22,366 | 21,608 | International Bond; $1,370,872; 5.55%; dated | |||||||||||
2.38%, 02/29/2024(o) | 11,001 | 10,932 | 01/21/45)(w) | |||||||||||
2.50%, 05/31/2020(o) | 12,007 | 11,998 | Merrill Lynch Repurchase Agreement on | 4,374 | 4,367 | |||||||||
2.50%, 02/28/2021 | 46,385 | 46,372 | securities sold short; 2.00% dated 01/29/2019 | |||||||||||
2.50%, 01/15/2022(o) | 13,471 | 13,472 | (collateralized by Republic of South Africa | |||||||||||
2.50%, 05/15/2024(o) | 7,251 | 7,235 | Government International Bond; $4,469,173; | |||||||||||
2.50%, 02/28/2026 | 5,270 | 5,229 | 5.88%; dated 06/22/30)(w) | |||||||||||
2.63%, 05/15/2021(o) | 1,119 | 1,121 | Merrill Lynch Repurchase Agreement on | 952 | 948 | |||||||||
2.63%, 12/31/2023(o) | 20,628 | 20,722 | securities sold short; 2.15% dated 12/20/2018 | |||||||||||
2.63%, 01/31/2026(o) | 71,000 | 71,078 | (collateralized by Republic of South Africa | |||||||||||
2.75%, 09/30/2020(o) | 35,315 | 35,420 | Government International Bond; $1,001,511; | |||||||||||
2.75%, 08/31/2025(o) | 17,170 | 17,319 | 4.30%; dated 10/12/28)(w) | |||||||||||
2.88%, 10/31/2020(o) | 23,611 | 23,735 | Merrill Lynch Repurchase Agreement on | 1,317 | 1,311 | |||||||||
2.88%, 11/15/2021(o) | 292 | 295 | securities sold short; 2.20% dated 12/20/2018 | |||||||||||
3.00%, 02/15/2047 | 773 | 762 | (collateralized by Mexico Government | |||||||||||
3.13%, 11/15/2028(o) | 7,555 | 7,818 | International Bond; $1,323,724; 3.75%; dated | |||||||||||
3.38%, 11/15/2019(o) | 7,100 | 7,140 | 01/11/28)(w) | |||||||||||
$ | 424,437 | Merrill Lynch Repurchase Agreement on | 545 | 543 | ||||||||||
U.S. Treasury Bill - 2.30% | securities sold short; 2.20% dated 12/20/2018 | |||||||||||||
2.30%, 06/20/2019(u) | 25,000 | 24,815 | (collateralized by Mexico Government | |||||||||||
2.34%, 03/21/2019(c),(u) | 13,000 | 12,983 | International Bond; $547,781; 3.75%; dated | |||||||||||
2.34%, 07/18/2019(u) | 3,275 | 3,245 | 01/11/28)(w) | |||||||||||
2.36%, 08/15/2019(u),(v) | 3,185 | 3,149 | Merrill Lynch Repurchase Agreement on | 961 | 957 | |||||||||
$ | 44,192 | securities sold short; 2.25% dated 12/20/2018 | ||||||||||||
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY | (collateralized by Mexico Government | |||||||||||||
OBLIGATIONS | $ | 492,682 | International Bond; $965,596; 3.75%; dated | |||||||||||
01/11/28)(w) |
See accompanying notes.
104
Consolidated Schedule of Investments
Global Multi-Strategy Fund
February 28, 2019 (unaudited)
Maturity | (h) | Security or a portion of the security was pledged to cover margin requirements | |||||||||||
REPURCHASE AGREEMENTS (continued) | Amount (000’s) | Value (000’s) | for swap and/or swaption contracts. At the end of the period, the value of these | ||||||||||
Banks (continued) | securities totaled $71 or 0.00% of net assets. | ||||||||||||
Merrill Lynch Repurchase Agreement on | $ | 3,598 | $ | 3,598 | (i) | All or a portion of this security is owned by the GMS Cayman Corporation, | |||||||
securities sold short; 2.62% dated 02/28/2019 | which is a 100% owned subsidiary of the fund. | ||||||||||||
maturing 03/01/2019 (collateralized by United | (j) | Affiliated Security. Security is either an affiliate (and registered under the | |||||||||||
States Treasury Note/Bond; $3,597,974; | Investment Company Act of 1940) or an affiliate as defined by the Investment | ||||||||||||
1.38%; dated 09/15/20) | Company Act of 1940 (controls 5.0% or more of the outstanding voting | ||||||||||||
Merrill Lynch Repurchase Agreement on | 3,995 | 3,995 | shares of the security). Please see affiliated sub-schedule for transactional | ||||||||||
securities sold short; 2.65% dated 02/28/2019 | information. | ||||||||||||
maturing 03/01/2019 (collateralized by United | (k) | Perpetual security. Perpetual securities pay an indefinite stream of interest, | |||||||||||
States Treasury Note/Bond; $3,951,706; | but they may be called by the issuer at an earlier date. Date shown, if any, | ||||||||||||
1.88%; dated 08/31/24) | reflects the next call date or final legal maturity date. Rate shown is as of | ||||||||||||
Merrill Lynch Repurchase Agreement on | 14,234 | 14,233 | period end. | ||||||||||
securities sold short; 2.70% dated 02/28/2019 | (l) | Payment in kind; the issuer has the option of paying additional securities in | |||||||||||
maturing 03/01/2019 (collateralized by United | lieu of cash. | ||||||||||||
States Treasury Note/Bond; $14,210,899; | (m) | Security purchased on a when-issued basis. | |||||||||||
2.38%; dated 05/15/27) | (n) | Rate shown is as of period end. The rate may be a variable or floating rate or | |||||||||||
Merrill Lynch Repurchase Agreement on | 2,845 | 2,845 | a fixed rate which may convert to a variable or floating rate in the future. | ||||||||||
securities sold short; 2.70% dated 02/28/2019 | (o) | Security or portion of the security was pledged as collateral for reverse | |||||||||||
maturing 03/01/2019 (collateralized by United | repurchase agreements. At the end of the period, the value of these securities | ||||||||||||
States Treasury Note/Bond; $2,843,683; | totaled $421,828 or 21.98% of net assets. | ||||||||||||
2.88%; dated 04/30/25) | (p) | Certain variable rate securities are not based on a published reference rate | |||||||||||
Merrill Lynch Repurchase Agreement on | 33,592 | 33,589 | and spread but are determined by the issuer or agent and are based on current | ||||||||||
securities sold short; 2.70% dated 02/28/2019 | market conditions. These securities do not indicate a reference rate and | ||||||||||||
maturing 03/01/2019 (collateralized by United | spread in their description. Rate shown is the rate in effect as of period end. | ||||||||||||
States Treasury Note/Bond; $33,539,327; | (q) | Security is an Interest Only Strip. | |||||||||||
2.88%; dated 11/30/25) | (r) | Rate information disclosed is based on an average weighted rate of the | |||||||||||
Merrill Lynch Repurchase Agreement on | 44,678 | 44,675 | underlying tranches as of period end. | ||||||||||
securities sold short; 2.70% dated 02/28/2019 | (s) | This Senior Floating Rate Note will settle after February 28, 2019, at which | |||||||||||
maturing 03/01/2019 (collateralized by United | time the interest rate will be determined. | ||||||||||||
States Treasury Note/Bond; $44,662,784; | (t) | Security was purchased in a "to-be-announced" ("TBA") transaction. See | |||||||||||
2.50%; dated 02/28/21) | Notes to Financial Statements for additional information. | ||||||||||||
Merrill Lynch Repurchase Agreement on | 35,357 | 35,354 | (u) | Rate shown is the discount rate of the original purchase. | |||||||||
securities sold short; 2.70% dated 02/28/2019 | (v) | Security or a portion of the security was pledged to cover margin requirements | |||||||||||
maturing 03/01/2019 (collateralized by United | for futures contracts. At the end of the period, the value of these securities | ||||||||||||
States Treasury Note/Bond; $35,346,889; | totaled $840 or 0.04% of net assets. | ||||||||||||
2.50%; dated 02/15/22) | (w) | Although the maturity date of the repurchase agreement is open-ended | |||||||||||
Merrill Lynch Repurchase Agreement on | 5,850 | 5,849 | through the maturity date of the collateral, the Fund has a right to terminate | ||||||||||
securities sold short; 2.70% dated 02/28/2019 | the repurchase agreement and demand repayment from the counterparty at | ||||||||||||
maturing 03/01/2019 (collateralized by United | any time with two days' notice or less. During periods of high demand for the | ||||||||||||
States Treasury Note/Bond; $5,848,103; | collateral security, the fund may also pay the counterparty a fee. | ||||||||||||
2.50%; dated 02/15/22) | |||||||||||||
$ | 230,002 | Portfolio Summary (unaudited) | |||||||||||
TOTAL REPURCHASE AGREEMENTS | $ | 230,002 | Sector | Percent | |||||||||
TOTAL PURCHASED OPTIONS - 0.26% | $ | 4,998 | Government | 37.59 | % | ||||||||
TOTAL PURCHASED INTEREST RATE SWAPTIONS - 0.01% $ | 282 | Financial | 22.49 | % | |||||||||
Total Investments | $ | 2,496,544 | Investment Companies | 13.82 | % | ||||||||
Other Assets and Liabilities - (30.10)% | (577,662 | ) | Consumer, Non-cyclical | 9.16 | % | ||||||||
TOTAL NET ASSETS - 100.00% | $ | 1,918,882 | Communications | 7.74 | % | ||||||||
Industrial | 6.70 | % | |||||||||||
(a) | Non-income producing security | Mortgage Securities | 6.64 | % | |||||||||
(b) | Security exempt from registration under Rule 144A of the Securities Act of | Consumer, Cyclical | 6.14 | % | |||||||||
1933. These securities may be resold in transactions exempt from registration, | Technology | 5.44 | % | ||||||||||
normally to qualified institutional buyers. At the end of the period, the value of | Asset Backed Securities | 5.07 | % | ||||||||||
these securities totaled $268,957 or 14.02% of net assets. | Energy | 4.08 | % | ||||||||||
(c) | Security or a portion of the security was pledged as collateral for short sales. | Basic Materials | 3.15 | % | |||||||||
At the end of the period, the value of these securities totaled $103,172 or | Utilities | 1.67 | % | ||||||||||
5.38% of net assets. | Purchased Options | 0.26 | % | ||||||||||
(d) | Restricted Security. Please see Restricted Security Sub-Schedule for more | Diversified | 0.10 | % | |||||||||
information. | Revenue Bonds | 0.04 | % | ||||||||||
(e) | Fair value of these investments is determined in good faith by the Manager | Purchased Interest Rate Swaptions | 0.01 | % | |||||||||
under procedures established and periodically reviewed by the Board of | Investments Sold Short | (28.47 | )% | ||||||||||
Directors. Certain inputs used in the valuation may be unobservable; however, | Other Assets and Liabilities | (1.63 | )% | ||||||||||
each security is evaluated individually for purposes of ASC 820 which results | TOTAL NET ASSETS | 100.00 | % | ||||||||||
in not all securities being identified as Level 3 of the fair value hierarchy. | |||||||||||||
At the end of the period, the fair value of these securities totaled $14,198 or | |||||||||||||
0.74% of net assets. | |||||||||||||
(f) | The value of these investments was determined using significant unobservable | ||||||||||||
inputs. | |||||||||||||
(g) | Current yield shown is as of period end. |
See accompanying notes.
105
Consolidated Schedule of Investments | ||||||||||||||||||||||||
Global Multi-Strategy Fund | ||||||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | ||||||||||||||||||||
Value | Cost | Proceeds | Value | |||||||||||||||||||||
Principal Government Money Market Fund 2.33% | $ | 395,686$ | 1,090,002$ 1,090,002$ | 1,253,652 | $ | 232,036 | ||||||||||||||||||
$ | 395,686$ | 1,253,652 | $ | 232,036 | ||||||||||||||||||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | ||||||||||||||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | |||||||||||||||||||||
Principal Government Money Market Fund 2.33% | $ | 3,776 | $ | — $ | — $ | — | ||||||||||||||||||
$ | 3,776 | $ | — $ | — $ | — | |||||||||||||||||||
Amounts in thousands | ||||||||||||||||||||||||
Restricted Securities | ||||||||||||||||||||||||
Security Name | Acquisition Date | Cost | Value Percent of Net Assets | |||||||||||||||||||||
A. Schulman Inc. | 08/22/2018 | $ | 5 | $ | 1 | 0.00 | % | |||||||||||||||||
Airbnb, Inc - 0.00% | 06/24/2015 | 157 | 185 | 0.01 | % | |||||||||||||||||||
Birst Inc | 06/15/2017 | 23 | 1 | 0.00 | % | |||||||||||||||||||
DraftKings Inc | 12/04/2014 | 89 | 138 | 0.01 | % | |||||||||||||||||||
Element Comm Aviation | 06/15/2015 | 2,800 | 2,424 | 0.13 | % | |||||||||||||||||||
Forward Venture Services LLC - 0.00% | 11/20/2014 | 170 | 312 | 0.02 | % | |||||||||||||||||||
Jand Inc | 04/23/2015 | 19 | 23 | 0.00 | % | |||||||||||||||||||
Jand Inc - 0.00% | 04/23/2015 | 43 | 52 | 0.00 | % | |||||||||||||||||||
Klarna Holding AB | 08/07/2015 | 89 | 109 | 0.01 | % | |||||||||||||||||||
Lithium Technology Corp - 0.00% | 04/16/2015 | 21 | 1 | 0.00 | % | |||||||||||||||||||
Marklogic Corp - 0.00% | 04/27/2015 | 172 | 149 | 0.01 | % | |||||||||||||||||||
Panera Bread Co | 01/26/2012-07/19/2017 | — | 19 | 0.00 | % | |||||||||||||||||||
Pinterest Inc - 0.00% | 03/16/2015 | 627 | 449 | 0.03 | % | |||||||||||||||||||
SunEdison Inc - 0.00%, 10/01/2018 | 01/08/2018 | 400 | 8 | 0.00 | % | |||||||||||||||||||
SunEdison Inc - 0.00%, 01/01/2021 | 01/08/2018 | 815 | 15 | 0.00 | % | |||||||||||||||||||
SunEdison Inc - 0.00%, 01/15/2020 | 01/08/2018 | 1,425 | 30 | 0.00 | % | |||||||||||||||||||
Uber Technologies Inc - 0.00% | 06/05/2014 | 222 | 622 | 0.03 | % | |||||||||||||||||||
Veracode Inc - 0.00% | 04/18/2017 | 24 | 3 | 0.00 | % | |||||||||||||||||||
WeWork Cos Inc | 12/08/2014 | 6 | 24 | 0.00 | % | |||||||||||||||||||
WeWork Cos Inc Series D-1 - 0.00% | 12/08/2014 | 81 | 331 | 0.02 | % | |||||||||||||||||||
WeWork Cos Inc Series D-2 - 0.00% | 12/08/2014 | 64 | 260 | 0.01 | % | |||||||||||||||||||
Total | $ | 5,156 | 0.28 | % | ||||||||||||||||||||
Amounts in thousands. | ||||||||||||||||||||||||
Options | ||||||||||||||||||||||||
Upfront | Unrealized | |||||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | ||||||||||||||||||||||
Purchased Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | ||||||||||||||||
Call - Mellanox Technologies Ltd | N/A | 134 | $ | 13 | $ | 85.00 | 03/18/2019 | $ | 89 | $ | 302 | $ | 213 | |||||||||||
Put - Bristol-Myers Squibb Co | N/A | 20 | $ | 2 | $ | 50.00 | 06/24/2019 | 9 | 6 | (3 | ) | |||||||||||||
Put - Intelsat SA | N/A | 512 | $ | 51 | $ | 18.00 | 04/22/2019 | 44 | 37 | (7 | ) | |||||||||||||
Put - iShares Russell 2000 ETF | N/A | 295 | $ | 30 | $ | 142.00 | 04/01/2019 | 59 | 13 | (46 | ) | |||||||||||||
Put - iShares Russell 2000 ETF | N/A | 295 | $ | 30 | $ | 140.00 | 04/01/2019 | 74 | 10 | (64 | ) | |||||||||||||
Put - iShares Russell 2000 ETF | N/A | 929 | $ | 93 | $ | 140.00 | 07/01/2019 | 293 | 153 | (140 | ) | |||||||||||||
Put - iShares Russell 2000 ETF | N/A | 295 | $ | 30 | $ | 141.00 | 04/01/2019 | 67 | 11 | (56 | ) | |||||||||||||
Put - Materials Select Sector SPDR | N/A | 179 | $ | 18 | $ | 51.00 | 03/18/2019 | 27 | 1 | (26 | ) | |||||||||||||
Fund | ||||||||||||||||||||||||
Put - S&P 500 Index | N/A | 118 | $ | 12 | $ | 2,375.00 | 12/23/2019 | 1,365 | 552 | (813 | ) | |||||||||||||
Put - S&P 500 Index | N/A | 120 | $ | 12 | $ | 2,450.00 | 06/24/2019 | 938 | 229 | (709 | ) | |||||||||||||
Put - S&P 500 Index | N/A | 120 | $ | 12 | $ | 2,650.00 | 09/23/2019 | 1,147 | 891 | (256 | ) | |||||||||||||
Put - S&P 500 Index | N/A | 121 | $ | 12 | $ | 2,500.00 | 03/18/2019 | 1,230 | 10 | (1,220 | ) | |||||||||||||
Put - SPDR S&P 500 ETF Trust | N/A | 114 | $ | 11 | $ | 271.00 | 05/20/2019 | 96 | 48 | (48 | ) | |||||||||||||
Put - SPDR S&P 500 ETF Trust | N/A | 110 | $ | 11 | $ | 257.00 | 04/01/2019 | 32 | 7 | (25 | ) | |||||||||||||
Put - SPDR S&P 500 ETF Trust | N/A | 145 | $ | 15 | $ | 265.00 | 04/22/2019 | 116 | 28 | (88 | ) | |||||||||||||
Put - SPDR S&P 500 ETF Trust | N/A | 214 | $ | 21 | $ | 255.00 | 04/01/2019 | 68 | 10 | (58 | ) | |||||||||||||
Put - SPDR S&P 500 ETF Trust | N/A | 199 | $ | 20 | $ | 253.00 | 07/01/2019 | 92 | 59 | (33 | ) | |||||||||||||
Call - AUD versus USD | Barclays Bank PLC | 1 AUD | 3,069 | AUD | 0.75 | 12/12/2019 | 57 | 30 | (27 | ) | ||||||||||||||
Call - AUD versus USD | Barclays Bank PLC | 1 AUD | 3,990 | AUD | 0.74 | 04/03/2019 | 20 | 1 | (19 | ) | ||||||||||||||
Call - AUD versus USD | Barclays Bank PLC | 1 AUD | 4,978 | AUD | 0.73 | 05/06/2019 | 28 | 14 | (14 | ) | ||||||||||||||
Call - EUR versus CNH | Standard Chartered Hong | 1 EUR | 2,715 | EUR | 8.00 | 07/31/2019 | 17 | 13 | (4 | ) | ||||||||||||||
Kong | ||||||||||||||||||||||||
Call - EUR versus CNH | Standard Chartered Hong | 1 EUR | 9,730 | EUR | 8.00 | 07/31/2019 | 104 | 47 | (57 | ) | ||||||||||||||
Kong | ||||||||||||||||||||||||
Call - EUR versus CNH | Standard Chartered Hong | 1 EUR | 1,810 | EUR | 8.00 | 07/31/2019 | 15 | 9 | (6 | ) | ||||||||||||||
Kong | ||||||||||||||||||||||||
Call - EUR versus GBP | Barclays Bank PLC | 1 EUR | 2,433 | EUR | 0.87 | 03/22/2019 | 19 | 12 | (7 | ) | ||||||||||||||
Call - EUR versus USD | Citigroup Inc | 1 EUR | 5,115 | EUR | 1.17 | 06/24/2019 | 84 | 36 | (48 | ) |
See accompanying notes.
106
Consolidated Schedule of Investments | ||||||||||||||||||||||
Global Multi-Strategy Fund | ||||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||||
Options (continued) | ||||||||||||||||||||||
Upfront | Unrealized | |||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | ||||||||||||||||||||
Purchased Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | ||||||||||||||
Call - EUR versus USD | Credit Agricole Co | 1 EUR | 7,298 | EUR | 1.18 | 07/10/2019 | $ | 136 | $ | 44 | $ | (92 | ) | |||||||||
Call - EUR versus USD | Citigroup Inc | 1 EUR | 4,865 | EUR | 1.18 | 10/04/2019 | 120 | 68 | (52 | ) | ||||||||||||
Call - EUR versus USD | Citigroup Inc | 1 EUR | 5,115 | EUR | 1.17 | 06/12/2019 | 85 | 33 | (52 | ) | ||||||||||||
Call - NZD versus USD | Barclays Bank PLC | 1NZD | 3,069 | NZD | 0.71 | 12/12/2019 | 54 | 31 | (23 | ) | ||||||||||||
Call - USD versus CNH | Standard Chartered Hong | 1$ | 905 | $ | 6.85 | 08/09/2019 | 11 | 7 | (4 | ) | ||||||||||||
Kong | ||||||||||||||||||||||
Call - USD versus CNH | Goldman Sachs & Co | 1$ | 25,000 | $ | 6.85 | 08/09/2019 | 199 | 173 | (26 | ) | ||||||||||||
Call - USD versus CNH | Goldman Sachs & Co | 1$ | 4,525 | $ | 6.85 | 08/09/2019 | 37 | 32 | (5 | ) | ||||||||||||
Call - USD versus CNH | Standard Chartered Hong | 1$ | 7,298 | $ | 6.85 | 08/09/2019 | 75 | 51 | (24 | ) | ||||||||||||
Kong | ||||||||||||||||||||||
Call - USD versus CNH | BNP Paribas | 1$ | 2,263 | $ | 6.85 | 08/09/2019 | 29 | 16 | (13 | ) | ||||||||||||
Call - USD versus KRW | Goldman Sachs & Co | 1$ | 2,715 | $ | 1,145.00 | 09/04/2019 | 32 | 32 | — | |||||||||||||
Call - USD versus MXN | Barclays Bank PLC | 1$ | 9,987 | $ | 19.75 | 03/28/2019 | 294 | 42 | (252 | ) | ||||||||||||
Call - USD versus MXN | HSBC Securities Inc | 1$ | 2,715 | $ | 20.00 | 06/19/2019 | 59 | 47 | (12 | ) | ||||||||||||
Call - USD versus MXN | Goldman Sachs & Co | 1$ | 2,263 | $ | 19.95 | 05/14/2019 | 43 | 25 | (18 | ) | ||||||||||||
Call - USD versus MXN | Barclays Bank PLC | 1$ | 6,766 | $ | 19.75 | 03/28/2019 | 170 | 28 | (142 | ) | ||||||||||||
Call - USD versus PHP | Standard Chartered Hong | 1$ | 35,000 | $ | 53.50 | 05/28/2019 | 120 | 83 | (37 | ) | ||||||||||||
Kong | ||||||||||||||||||||||
Call - USD versus THB | JPMorgan Chase | 1$ | 70,000 | $ | 32.00 | 05/27/2019 | 364 | 361 | (3 | ) | ||||||||||||
Call - USD versus ZAR | Morgan Stanley & Co | 1$ | 543 | $ | 14.25 | 05/08/2019 | 12 | 13 | 1 | |||||||||||||
Call - USD versus ZAR | M3 Capital Partners | 1$ | 4,245 | $ | 14.25 | 05/08/2019 | 120 | 104 | (16 | ) | ||||||||||||
Call - USD versus ZAR | Bank of America NA | 1$ | 4,715 | $ | 14.25 | 05/08/2019 | 136 | 115 | (21 | ) | ||||||||||||
Call - USD versus ZAR | Morgan Stanley & Co | 1$ | 1,358 | $ | 14.25 | 05/08/2019 | 27 | 34 | 7 | |||||||||||||
Put - EUR versus GBP | Barclays Bank PLC | 1 EUR | 2,388 | EUR | 0.88 | 03/15/2019 | 43 | 73 | 30 | |||||||||||||
Put - EUR versus NOK | Citigroup Inc | 1 EUR | 2,919 | EUR | 9.70 | 03/08/2019 | 23 | 5 | (18 | ) | ||||||||||||
Put - USD versus BRL | M3 Capital Partners | 1$ | 973 | $ | 3.69 | 06/14/2019 | 16 | 16 | — | |||||||||||||
Put - USD versus BRL | Citigroup Inc | 1$ | 4,092 | $ | 3.69 | 06/14/2019 | 60 | 67 | 7 | |||||||||||||
Put - USD versus CHF | Barclays Bank PLC | 1$ | 5,115 | $ | 0.95 | 12/23/2019 | 137 | 75 | (62 | ) | ||||||||||||
Put - USD versus JPY | Citigroup Inc | 1$ | 5,115 | $ | 107.00 | 12/18/2019 | 108 | 97 | (11 | ) | ||||||||||||
Put - USD versus JPY | Goldman Sachs & Co | 1$ | 4,865 | $ | 106.50 | 04/26/2019 | 46 | 6 | (40 | ) | ||||||||||||
Put - USD versus JPY | Citigroup Inc | 1$ | 7,673 | $ | 108.00 | 03/25/2019 | 54 | 4 | (50 | ) | ||||||||||||
Put - USD versus JPY | Credit Agricole Co | 1$ | 7,298 | $ | 106.00 | 04/05/2019 | 112 | 3 | (109 | ) | ||||||||||||
Put - USD versus JPY | Barclays Bank PLC | 1$ | 5,115 | $ | 107.30 | 12/12/2019 | 114 | 99 | (15 | ) | ||||||||||||
Put - USD versus MXN | Morgan Stanley & Co | 1$ | 3,069 | $ | 20.20 | 03/13/2019 | 68 | 141 | 73 | |||||||||||||
Put - USD versus SEK | Barclays Bank PLC | 1$ | 2,715 | $ | 9.00 | 05/06/2019 | 34 | 13 | (21 | ) | ||||||||||||
Put - USD versus SEK | Goldman Sachs & Co | 1$ | 4,525 | $ | 9.00 | 05/06/2019 | 57 | 22 | (35 | ) | ||||||||||||
Put - USD versus SEK | Goldman Sachs & Co | 1$ | 4,525 | $ | 9.15 | 05/20/2019 | 48 | 59 | 11 | |||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 59$ | 148 | $ | 97.25 | 12/17/2019 | 26 | 28 | 2 | |||||||||||||
December 2019 | ||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 362$ | 905 | $ | 97.63 | 06/18/2019 | 10 | 5 | (5 | ) | ||||||||||||
June 2019 | ||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 362$ | 905 | $ | 97.38 | 06/18/2019 | 46 | 50 | 4 | |||||||||||||
June 2019 | ||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 97$ | 243 | $ | 97.38 | 04/15/2019 | 29 | 35 | 6 | |||||||||||||
June 2020 | ||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 97$ | 243 | $ | 97.63 | 04/15/2019 | 12 | 8 | (4 | ) | ||||||||||||
June 2020 | ||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 40$ | 100 | $ | 97.50 | 03/19/2019 | 1 | — | (1 | ) | ||||||||||||
March 2019 | ||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 338$ | 845 | $ | 97.38 | 03/19/2019 | 37 | 27 | (10 | ) | ||||||||||||
March 2019 | ||||||||||||||||||||||
Call - Canadian Bank Acceptance | N/A | 164 CAD | 410 | CAD | 98.00 | 06/18/2019 | 7 | 9 | 2 | |||||||||||||
Future; June 2019 | ||||||||||||||||||||||
Call - Canadian Bank Acceptance | N/A | 38 CAD | 95 | CAD | 98.00 | 03/19/2019 | 2 | — | (2 | ) | ||||||||||||
Future; March 2019 | ||||||||||||||||||||||
Call - Canadian Bank Acceptance | N/A | 81 CAD | 203 | CAD | 97.88 | 09/17/2019 | 3 | 14 | 11 | |||||||||||||
Future; September 2019 | ||||||||||||||||||||||
Call - US 10 Year Note Future; | N/A | 73$ | 73 | $ | 123.50 | 03/25/2019 | 40 | 3 | (37 | ) | ||||||||||||
June 2019 | ||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 59$ | 148 | $ | 97.25 | 12/17/2019 | 25 | 12 | (13 | ) | ||||||||||||
December 2019 | ||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 74$ | 185 | $ | 97.13 | 06/17/2019 | 12 | 3 | (9 | ) | ||||||||||||
June 2020 | ||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 342$ | 855 | $ | 97.25 | 06/17/2019 | 48 | 30 | (18 | ) | ||||||||||||
June 2021 | ||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 195$ | 488 | $ | 97.13 | 03/19/2019 | 5 | 1 | (4 | ) | ||||||||||||
March 2019 |
See accompanying notes.
107
Consolidated Schedule of Investments | |||||||||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||||||
Options (continued) | |||||||||||||||||||||
Upfront | Unrealized | ||||||||||||||||||||
Contracts/ Shares | Payments/ | Appreciation/ | |||||||||||||||||||
Purchased Options Outstanding | Counterparty | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | ||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 810$ | 2,025$ | 96.25 | 03/18/2019 | $ | 36 | $ | 5 | $ | (31 | ) | |||||||||
March 2021 | |||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 325$ | 813$ | 97.25 | 09/16/2019 | 70 | 55 | (15 | ) | ||||||||||||
September 2021 | |||||||||||||||||||||
Put - Euribor Future; June 2022 | N/A | 181 EUR | 453 | EUR | 99.63 | 05/13/2019 | 18 | 21 | 3 | ||||||||||||
Put - Euribor Future; June 2022 | N/A | 168 EUR | 420 | EUR | 99.38 | 06/17/2019 | 19 | 6 | (13 | ) | |||||||||||
Put - Euro Bund 10 Year Bund | N/A | 54 EUR | 54 | EUR | 164.00 | 03/25/2019 | 39 | 87 | 48 | ||||||||||||
Future; June 2019 | |||||||||||||||||||||
Put - Japan 10 Year Bond TSE | N/A | 32 JPY | 32,000 | JPY | 152.50 | 04/01/2019 | 35 | 41 | 6 | ||||||||||||
Future; June 2019 | |||||||||||||||||||||
Put - US 5 Year Note Future; June | N/A | 54$ | 54$ | 114.75 | 03/04/2019 | 5 | 10 | 5 | |||||||||||||
2019 | |||||||||||||||||||||
Total | $ | 9,658 | $ | 4,998 | $ | (4,660 | ) | ||||||||||||||
Upfront | Unrealized | ||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | |||||||||||||||||||
Written Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | |||||||||||||
Call - AbbVie Inc | N/A | 5 | $ | 1 | $ | 85.00 | 03/18/2019 | $ | — $ | — $ | — | ||||||||||
Call - AbbVie Inc | N/A | 5 | $ | 1 | $ | 95.00 | 05/20/2019 | (1 | ) | — | 1 | ||||||||||
Call - AbbVie Inc | N/A | 5 | $ | 1 | $ | 87.50 | 04/19/2019 | — | — | — | |||||||||||
Call - Accenture PLC | N/A | 2 | $ | — | $ | 165.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Accenture PLC | N/A | 2 | $ | — | $ | 165.00 | 05/20/2019 | — | — | — | |||||||||||
Call - Aflac Inc | N/A | 8 | $ | 1 | $ | 50.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Aflac Inc | N/A | 8 | $ | 1 | $ | 50.00 | 05/20/2019 | (1 | ) | (1 | ) | — | |||||||||
Call - Allergan PLC | N/A | 2 | $ | — | $ | 145.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Allergan PLC | N/A | 2 | $ | — | $ | 150.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Altria Group Inc | N/A | 12 | $ | 1 | $ | 52.50 | 04/19/2019 | — | (1 | ) | (1 | ) | |||||||||
Call - American Eagle Outfitters | N/A | 30 | $ | 3 | $ | 22.00 | 03/18/2019 | (1 | ) | (1 | ) | — | |||||||||
Inc | |||||||||||||||||||||
Call - AmerisourceBergen Corp | N/A | 4 | $ | — | $ | 92.50 | 05/20/2019 | (1 | ) | (1 | ) | — | |||||||||
Call - AmerisourceBergen Corp | N/A | 4 | $ | — | $ | 90.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Amgen Inc | N/A | 2 | $ | — | $ | 200.00 | 04/19/2019 | — | — | — | |||||||||||
Call - Amgen Inc | N/A | 2 | $ | — | $ | 210.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Amgen Inc | N/A | 2 | $ | — | $ | 195.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Apple Inc | N/A | 2 | $ | — | $ | 185.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Apple Inc | N/A | 2 | $ | — | $ | 185.00 | 04/19/2019 | — | — | — | |||||||||||
Call - Automatic Data Processing | N/A | 2 | $ | — | $ | 155.00 | 03/18/2019 | — | — | — | |||||||||||
Inc | |||||||||||||||||||||
Call - Automatic Data Processing | N/A | 2 | $ | — | $ | 160.00 | 05/20/2019 | — | — | — | |||||||||||
Inc | |||||||||||||||||||||
Call - Best Buy Co Inc | N/A | 9 | $ | 1 | $ | 65.00 | 04/19/2019 | (1 | ) | (4 | ) | (3 | ) | ||||||||
Call - Bristol-Myers Squibb Co | N/A | 7 | $ | 1 | $ | 55.00 | 03/18/2019 | (1 | ) | (1 | ) | — | |||||||||
Call - Bristol-Myers Squibb Co | N/A | 8 | $ | 1 | $ | 55.00 | 05/20/2019 | (2 | ) | (2 | ) | — | |||||||||
Call - Bristol-Myers Squibb Co | N/A | 8 | $ | 1 | $ | 55.00 | 04/22/2019 | (2 | ) | (2 | ) | — | |||||||||
Call - Broadcom Inc | N/A | 1 | $ | — | $ | 280.00 | 04/22/2019 | (1 | ) | (1 | ) | — | |||||||||
Call - Broadcom Inc | N/A | 1 | $ | — | $ | 300.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Broadcom Inc | N/A | 1 | $ | — | $ | 310.00 | 04/19/2019 | — | — | — | |||||||||||
Call - Broadridge Financial | N/A | 3 | $ | — | $ | 110.00 | 03/18/2019 | — | — | — | |||||||||||
Solutions Inc | |||||||||||||||||||||
Call - Broadridge Financial | N/A | 3 | $ | — | $ | 105.00 | 06/24/2019 | (1 | ) | (1 | ) | — | |||||||||
Solutions Inc | |||||||||||||||||||||
Call - Capital One Financial Corp | N/A | 5 | $ | 1 | $ | 90.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Capital One Financial Corp | N/A | 10 | $ | 1 | $ | 85.00 | 03/18/2019 | (1 | ) | (1 | ) | — | |||||||||
Call - Carnival Corp | N/A | 12 | $ | 1 | $ | 60.00 | 04/19/2019 | (1 | ) | (1 | ) | — | |||||||||
Call - CDW Corp/DE | N/A | 6 | $ | 1 | $ | 100.00 | 06/24/2019 | (2 | ) | (2 | ) | — | |||||||||
Call - CF Industries Holdings Inc | N/A | 11 | $ | 1 | $ | 45.00 | 03/18/2019 | — | — | — | |||||||||||
Call - Cigna Corp | N/A | 3 | $ | — | $ | 200.00 | 03/18/2019 | (1 | ) | — | 1 | ||||||||||
Call - Citigroup Inc | N/A | 6 | $ | 1 | $ | 67.50 | 04/19/2019 | (1 | ) | (1 | ) | — | |||||||||
Call - Citigroup Inc | N/A | 6 | $ | 1 | $ | 65.00 | 03/18/2019 | (1 | ) | (1 | ) | — | |||||||||
Call - Citigroup Inc | N/A | 6 | $ | 1 | $ | 67.50 | 03/18/2019 | — | — | — | |||||||||||
Call - Cummins Inc | N/A | 2 | $ | — | $ | 155.00 | 03/18/2019 | (1 | ) | — | 1 | ||||||||||
Call - Cummins Inc | N/A | 5 | $ | 1 | $ | 160.00 | 03/18/2019 | (1 | ) | (1 | ) | — | |||||||||
Call - CVS Health Corp | N/A | 9 | $ | 1 | $ | 70.00 | 03/18/2019 | (1 | ) | — | 1 | ||||||||||
Call - CVS Health Corp | N/A | 6 | $ | 1 | $ | 72.50 | 04/19/2019 | (1 | ) | — | 1 | ||||||||||
Call - Delta Air Lines Inc | N/A | 8 | $ | 1 | $ | 52.50 | 03/18/2019 | — | — | — | |||||||||||
Call - Dick's Sporting Goods Inc | N/A | 16 | $ | 2 | $ | 40.00 | 04/19/2019 | (3 | ) | (4 | ) | (1 | ) | ||||||||
Call - Dominion Energy Inc | N/A | 5 | $ | 1 | $ | 80.00 | 04/22/2019 | (1 | ) | — | 1 | ||||||||||
Call - Domtar Corp | N/A | 9 | $ | 1 | $ | 57.50 | 04/19/2019 | (1 | ) | (1 | ) | — |
See accompanying notes.
108
Consolidated Schedule of Investments | ||||||||||||||||||||||
Global Multi-Strategy Fund | ||||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||||
Options (continued) | ||||||||||||||||||||||
Upfront | Unrealized | |||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | ||||||||||||||||||||
Written Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | ||||||||||||||
Call - Domtar Corp | N/A | 4 | $ | — | $ | 55.00 | 03/18/2019 | $ | — $ | — $ | — | |||||||||||
Call - Eaton Corp PLC | N/A | 5 | $ | 1 | $ | 80.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - EURO STOXX 50 Price | N/A | 2 | EUR | — | EUR | 3,125.00 | 04/21/2019 | (2 | ) | (4 | ) | (2 | ) | |||||||||
EUR Index | ||||||||||||||||||||||
Call - FirstEnergy Corp | N/A | 20 | $ | 2 | $ | 41.00 | 04/22/2019 | (1 | ) | (2 | ) | (1 | ) | |||||||||
Call - FirstEnergy Corp | N/A | 10 | $ | 1 | $ | 41.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - FTSE 100 Index | N/A | 1 | GBP | — | GBP | 7,100.00 | 04/21/2019 | (2 | ) | (1 | ) | 1 | ||||||||||
Call - FTSE 100 Index | N/A | 1 | GBP | — | GBP | 7,125.00 | 03/18/2019 | (1 | ) | — | 1 | |||||||||||
Call - Gilead Sciences Inc | N/A | 1 | $ | — | $ | 75.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - Gilead Sciences Inc | N/A | 3 | $ | — | $ | 70.00 | 04/19/2019 | — | — | — | ||||||||||||
Call - Hewlett Packard Enterprise | N/A | 25 | $ | 3 | $ | 18.00 | 05/20/2019 | — | — | — | ||||||||||||
Co | ||||||||||||||||||||||
Call - Hewlett Packard Enterprise | N/A | 25 | $ | 3 | $ | 17.00 | 03/18/2019 | (1 | ) | (1 | ) | — | ||||||||||
Co | ||||||||||||||||||||||
Call - Home Depot Inc/The | N/A | 2 | $ | — | $ | 190.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - Home Depot Inc/The | N/A | 4 | $ | — | $ | 200.00 | 04/19/2019 | (1 | ) | — | 1 | |||||||||||
Call - Honeywell International Inc | N/A | 2 | $ | — | $ | 160.00 | 06/24/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Illinois Tool Works Inc | N/A | 2 | $ | — | $ | 150.00 | 06/24/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Illinois Tool Works Inc | N/A | 2 | $ | — | $ | 145.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - Intelsat SA | N/A | 256 | $ | 26 | $ | 29.00 | 04/22/2019 | (46 | ) | (42 | ) | 4 | ||||||||||
Call - Intuit Inc | N/A | 1 | $ | — | $ | 250.00 | 04/19/2019 | — | — | — | ||||||||||||
Call - Johnson & Johnson | N/A | 5 | $ | 1 | $ | 140.00 | 04/19/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Johnson & Johnson | N/A | 2 | $ | — | $ | 135.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - JPMorgan Chase & Co | N/A | 6 | $ | 1 | $ | 110.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - KLA-Tencor Corp | N/A | 11 | $ | 1 | $ | 120.00 | 06/24/2019 | (3 | ) | (6 | ) | (3 | ) | |||||||||
Call - Kohl's Corp | N/A | 6 | $ | 1 | $ | 80.00 | 03/18/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Kohl's Corp | N/A | 6 | $ | 1 | $ | 72.50 | 04/19/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Kohl's Corp | N/A | 6 | $ | 1 | $ | 70.00 | 03/18/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Lamar Advertising Co | N/A | 5 | $ | 1 | $ | 80.00 | 03/18/2019 | (1 | ) | — | 1 | |||||||||||
Call - Lamar Advertising Co | N/A | 10 | $ | 1 | $ | 80.00 | 04/22/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - LPL Financial Holdings Inc | N/A | 7 | $ | 1 | $ | 80.00 | 03/18/2019 | (1 | ) | — | 1 | |||||||||||
Call - Marathon Petroleum Corp | N/A | 6 | $ | 1 | $ | 70.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - Marathon Petroleum Corp | N/A | 6 | $ | 1 | $ | 70.00 | 04/19/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Mastercard Inc | N/A | 2 | $ | — | $ | 230.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - Merck & Co Inc | N/A | 5 | $ | 1 | $ | 80.00 | 04/22/2019 | (1 | ) | (2 | ) | (1 | ) | |||||||||
Call - Merck & Co Inc | N/A | 5 | $ | 1 | $ | 80.00 | 03/18/2019 | — | (1 | ) | (1 | ) | ||||||||||
Call - MetLife Inc | N/A | 8 | $ | 1 | $ | 47.50 | 04/19/2019 | — | — | — | ||||||||||||
Call - MetLife Inc | N/A | 8 | $ | 1 | $ | 47.50 | 03/18/2019 | — | — | — | ||||||||||||
Call - Microsoft Corp | N/A | 3 | $ | — | $ | 115.00 | 03/18/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Microsoft Corp | N/A | 7 | $ | 1 | $ | 115.00 | 04/19/2019 | (1 | ) | (2 | ) | (1 | ) | |||||||||
Call - Molson Coors Brewing Co | N/A | 6 | $ | 1 | $ | 67.50 | 04/22/2019 | (1 | ) | — | 1 | |||||||||||
Call - Molson Coors Brewing Co | N/A | 6 | $ | 1 | $ | 65.00 | 04/22/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Morgan Stanley | N/A | 1 | $ | — | $ | 47.00 | 04/22/2019 | — | — | — | ||||||||||||
Call - Morgan Stanley | N/A | 3 | $ | — | $ | 44.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - NetApp Inc | N/A | 1 | $ | — | $ | 70.00 | 04/19/2019 | — | — | — | ||||||||||||
Call - NetApp Inc | N/A | 2 | $ | — | $ | 70.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - Nexstar Media Group Inc | N/A | 14 | $ | 1 | $ | 95.00 | 03/18/2019 | (2 | ) | (6 | ) | (4 | ) | |||||||||
Call - Omnicom Group Inc | N/A | 10 | $ | 1 | $ | 82.50 | 04/22/2019 | (1 | ) | — | 1 | |||||||||||
Call - Omnicom Group Inc | N/A | 5 | $ | 1 | $ | 80.00 | 04/19/2019 | — | — | — | ||||||||||||
Call - Oracle Corp | N/A | 23 | $ | 2 | $ | 55.00 | 04/19/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - PACCAR Inc | N/A | 6 | $ | 1 | $ | 73.00 | 05/20/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - PACCAR Inc | N/A | 6 | $ | 1 | $ | 70.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - Philip Morris International | N/A | 7 | $ | 1 | $ | 87.50 | 03/18/2019 | — | — | — | ||||||||||||
Inc | ||||||||||||||||||||||
Call - Philip Morris International | N/A | 7 | $ | 1 | $ | 90.00 | 04/19/2019 | — | — | — | ||||||||||||
Inc | ||||||||||||||||||||||
Call - Plains GP Holdings LP | N/A | 25 | $ | 3 | $ | 26.00 | 05/20/2019 | (2 | ) | (1 | ) | 1 | ||||||||||
Call - PPL Corp | N/A | 26 | $ | 3 | $ | 32.00 | 04/22/2019 | (1 | ) | (2 | ) | (1 | ) | |||||||||
Call - Prudential Financial Inc | N/A | 6 | $ | 1 | $ | 97.50 | 03/18/2019 | — | — | — | ||||||||||||
Call - Rockwell Automation Inc | N/A | 2 | $ | — | $ | 190.00 | 04/19/2019 | — | — | — | ||||||||||||
Call - Rockwell Automation Inc | N/A | 2 | $ | — | $ | 185.00 | 03/18/2019 | — | — | — | ||||||||||||
Call - S&P 500 Index | N/A | 1 | $ | — | $ | 2,710.00 | 03/18/2019 | (5 | ) | (8 | ) | (3 | ) | |||||||||
Call - S&P 500 Index | N/A | 1 | $ | — | $ | 2,685.00 | 03/18/2019 | (6 | ) | (10 | ) | (4 | ) | |||||||||
Call - S&P 500 Index | N/A | 1 | $ | — | $ | 2,715.00 | 04/21/2019 | (7 | ) | (10 | ) | (3 | ) | |||||||||
Call - S&P 500 Index | N/A | 1 | $ | — | $ | 2,730.00 | 03/18/2019 | (5 | ) | (7 | ) | (2 | ) | |||||||||
Call - Sinclair Broadcast Group Inc | N/A | 9 | $ | 1 | $ | 35.00 | 03/18/2019 | — | (1 | ) | (1 | ) | ||||||||||
Call - Sinclair Broadcast Group Inc | N/A | 19 | $ | 2 | $ | 33.00 | 03/18/2019 | (1 | ) | (6 | ) | (5 | ) |
See accompanying notes.
109
Consolidated Schedule of Investments | ||||||||||||||||||||||
Global Multi-Strategy Fund | ||||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||||
Options (continued) | ||||||||||||||||||||||
Upfront | Unrealized | |||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | ||||||||||||||||||||
Written Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | ||||||||||||||
Call - Southwest Airlines Co | N/A | 7 | $ | 1 | $ | 60.00 | 03/18/2019 | $ | — $ | — $ | — | |||||||||||
Call - Southwest Airlines Co | N/A | 14 | $ | 1 | $ | 62.50 | 04/19/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Starbucks Corp | N/A | 5 | $ | 1 | $ | 75.00 | 04/19/2019 | — | — | — | ||||||||||||
Call - Texas Instruments Inc | N/A | 3 | $ | — | $ | 115.00 | 04/19/2019 | — | — | — | ||||||||||||
Call - UnitedHealth Group Inc | N/A | 2 | $ | — | $ | 280.00 | 03/18/2019 | (1 | ) | — | 1 | |||||||||||
Call - UnitedHealth Group Inc | N/A | 2 | $ | — | $ | 290.00 | 04/19/2019 | — | — | — | ||||||||||||
Call - Viacom Inc | N/A | 14 | $ | 1 | $ | 30.00 | 03/18/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Viacom Inc | N/A | 14 | $ | 1 | $ | 32.50 | 06/24/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Visa Inc | N/A | 2 | $ | — | $ | 145.00 | 03/18/2019 | — | (1 | ) | (1 | ) | ||||||||||
Call - Visa Inc | N/A | 2 | $ | — | $ | 155.00 | 04/19/2019 | — | — | — | ||||||||||||
Call - Walgreens Boots Alliance Inc | N/A | 8 | $ | 1 | $ | 77.50 | 04/22/2019 | (1 | ) | (1 | ) | — | ||||||||||
Call - Walgreens Boots Alliance Inc | N/A | 5 | $ | 1 | $ | 77.50 | 03/18/2019 | — | — | — | ||||||||||||
Call - World Wrestling | N/A | 1 | $ | — | $ | 95.00 | 04/19/2019 | — | — | — | ||||||||||||
Entertainment Inc | ||||||||||||||||||||||
Call - World Wrestling | N/A | 1 | $ | — | $ | 95.00 | 03/18/2019 | — | — | — | ||||||||||||
Entertainment Inc | ||||||||||||||||||||||
Call - Yum! Brands Inc | N/A | 4 | $ | — | $ | 97.50 | 03/18/2019 | — | — | — | ||||||||||||
Call - Yum! Brands Inc | N/A | 4 | $ | — | $ | 97.50 | 04/22/2019 | (1 | ) | (1 | ) | — | ||||||||||
Put - EURO STOXX 50 Price EUR | N/A | 3 | EUR | — | EUR | 3,025.00 | 04/21/2019 | (2 | ) | (1 | ) | 1 | ||||||||||
Index | ||||||||||||||||||||||
Put - EURO STOXX 50 Price EUR | N/A | 1 | EUR | — | EUR | 3,175.00 | 03/18/2019 | — | — | — | ||||||||||||
Index | ||||||||||||||||||||||
Put - EURO STOXX 50 Price EUR | N/A | 3 | EUR | — | EUR | 3,075.00 | 04/21/2019 | (2 | ) | — | 2 | |||||||||||
Index | ||||||||||||||||||||||
Put - FTSE 100 Index | N/A | 1 | GBP | — | GBP | 6,975.00 | 03/18/2019 | (1 | ) | (1 | ) | — | ||||||||||
Put - FTSE 100 Index | N/A | 1 | GBP | — | GBP | 7,025.00 | 03/18/2019 | (1 | ) | (1 | ) | — | ||||||||||
Put - FTSE 100 Index | N/A | 1 | GBP | — | GBP | 6,825.00 | 04/21/2019 | (1 | ) | (1 | ) | — | ||||||||||
Put - FTSE 100 Index | N/A | 1 | GBP | — | GBP | 6,925.00 | 03/18/2019 | — | — | — | ||||||||||||
Put - FTSE 100 Index | N/A | 1 | GBP | — | GBP | 6,925.00 | 04/21/2019 | (1 | ) | (1 | ) | — | ||||||||||
Put - FTSE 100 Index | N/A | 1 | GBP | — | GBP | 7,075.00 | 03/18/2019 | (1 | ) | (1 | ) | — | ||||||||||
Put - FTSE 100 Index | N/A | 1 | GBP | — | GBP | 6,750.00 | 04/21/2019 | (1 | ) | (1 | ) | — | ||||||||||
Put - FTSE 100 Index | N/A | 1 | GBP | — | GBP | 7,025.00 | 04/21/2019 | (2 | ) | (2 | ) | — | ||||||||||
Put - iShares Russell 2000 ETF | N/A | 929 | $ | 93 | $ | 128.00 | 07/01/2019 | (125 | ) | (66 | ) | 59 | ||||||||||
Put - iShares Russell 2000 ETF | N/A | 885 | $ | 89 | $ | 122.00 | 04/01/2019 | (30 | ) | (4 | ) | 26 | ||||||||||
Put - Materials Select Sector SPDR | N/A | 179 | $ | 18 | $ | 46.00 | 03/18/2019 | (8 | ) | — | 8 | |||||||||||
Fund | ||||||||||||||||||||||
Put - Russell 1000 Index | N/A | 1 | $ | — | $ | 1,445.00 | 04/21/2019 | (1 | ) | — | 1 | |||||||||||
Put - Russell 1000 Index | N/A | 1 | $ | — | $ | 1,590.00 | 03/18/2019 | (2 | ) | (3 | ) | (1 | ) | |||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,620.00 | 04/21/2019 | (2 | ) | (1 | ) | 1 | ||||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,655.00 | 04/21/2019 | (3 | ) | (2 | ) | 1 | ||||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,755.00 | 03/18/2019 | (1 | ) | (1 | ) | — | ||||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,610.00 | 04/21/2019 | (3 | ) | (1 | ) | 2 | ||||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,650.00 | 04/21/2019 | (4 | ) | (2 | ) | 2 | ||||||||||
Put - S&P 500 Index | N/A | 118 | $ | 12 | $ | 2,175.00 | 12/23/2019 | (822 | ) | (315 | ) | 507 | ||||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,695.00 | 03/18/2019 | (2 | ) | (1 | ) | 1 | ||||||||||
Put - S&P 500 Index | N/A | 121 | $ | 12 | $ | 2,300.00 | 03/18/2019 | (682 | ) | — | 682 | |||||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,720.00 | 03/18/2019 | (2 | ) | (1 | ) | 1 | ||||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,705.00 | 03/18/2019 | (2 | ) | (1 | ) | 1 | ||||||||||
Put - S&P 500 Index | N/A | 120 | $ | 12 | $ | 2,425.00 | 09/23/2019 | (684 | ) | (435 | ) | 249 | ||||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,750.00 | 04/21/2019 | (3 | ) | (4 | ) | (1 | ) | |||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,675.00 | 03/18/2019 | (1 | ) | — | 1 | |||||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,690.00 | 04/21/2019 | (2 | ) | (2 | ) | — | ||||||||||
Put - S&P 500 Index | N/A | 68 | $ | 7 | $ | 2,175.00 | 06/24/2019 | (276 | ) | (43 | ) | 233 | ||||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,780.00 | 04/21/2019 | (4 | ) | (5 | ) | (1 | ) | |||||||||
Put - S&P 500 Index | N/A | 1 | $ | — | $ | 2,720.00 | 04/21/2019 | (3 | ) | (3 | ) | — | ||||||||||
Put - SPDR S&P 500 ETF Trust | N/A | 145 | $ | 15 | $ | 250.00 | 04/22/2019 | (56 | ) | (11 | ) | 45 | ||||||||||
Put - SPDR S&P 500 ETF Trust | N/A | 114 | $ | 11 | $ | 245.00 | 05/20/2019 | (28 | ) | (13 | ) | 15 | ||||||||||
Put - SPDR S&P 500 ETF Trust | N/A | 324 | $ | 32 | $ | 225.00 | 04/01/2019 | (16 | ) | (2 | ) | 14 | ||||||||||
Put - SPDR S&P 500 ETF Trust | N/A | 199 | $ | 20 | $ | 232.00 | 07/01/2019 | (40 | ) | (24 | ) | 16 | ||||||||||
Call - AUD versus CAD | Goldman Sachs & Co | 1 | AUD | 2,046 | AUD | 0.98 | 12/12/2019 | (31 | ) | (10 | ) | 21 | ||||||||||
Call - EUR versus GBP | Barclays Bank PLC | 1 | EUR | 2,388 | EUR | 0.93 | 06/14/2019 | (49 | ) | (7 | ) | 42 | ||||||||||
Call - EUR versus JPY | UBS AG | 1 | EUR | 3,581 | EUR | 131.50 | 12/18/2019 | (107 | ) | (53 | ) | 54 | ||||||||||
Call - EUR versus JPY | Barclays Bank PLC | 1 | EUR | 3,581 | EUR | 131.50 | 12/12/2019 | (107 | ) | (52 | ) | 55 | ||||||||||
Call - EUR versus NOK | Merrill Lynch | 1 | EUR | 2,715 | EUR | 9.90 | 05/16/2019 | (25 | ) | (18 | ) | 7 | ||||||||||
Call - EUR versus NOK | Citigroup Inc | 1 | EUR | 2,919 | EUR | 10.00 | 04/09/2019 | (23 | ) | (5 | ) | 18 | ||||||||||
Call - EUR versus SEK | Goldman Sachs & Co | 1 | EUR | 3,892 | EUR | 10.60 | 07/31/2019 | (42 | ) | (56 | ) | (14 | ) | |||||||||
Call - NZD versus CAD | Goldman Sachs & Co | 1 | NZD | 1,535 | NZD | 0.94 | 12/13/2019 | (20 | ) | (10 | ) | 10 |
See accompanying notes.
110
Consolidated Schedule of Investments | |||||||||||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||||||||
Options (continued) | |||||||||||||||||||||||
Upfront | Unrealized | ||||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | |||||||||||||||||||||
Written Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | |||||||||||||||
Call - USD versus BRL | BNP Paribas | 1 | $ | 2,433 | $ | 3.95 | 07/05/2019 | $ | (33 | )$ | (43 | )$ | (10 | ) | |||||||||
Call - USD versus BRL | Goldman Sachs & Co | 1 | $ | 2,433 | $ | 3.95 | 07/05/2019 | (65 | ) | (43 | ) | 22 | |||||||||||
Call - USD versus BRL | Goldman Sachs & Co | 1 | $ | 2,433 | $ | 3.95 | 07/15/2019 | (54 | ) | (46 | ) | 8 | |||||||||||
Call - USD versus CLP | HSBC Securities Inc | 1 | $ | 1,358 | $ | 670.00 | 06/12/2019 | (14 | ) | (17 | ) | (3 | ) | ||||||||||
Call - USD versus CLP | HSBC Securities Inc | 1 | $ | 3,168 | $ | 670.00 | 06/12/2019 | (35 | ) | (40 | ) | (5 | ) | ||||||||||
Call - USD versus JPY | Barclays Bank PLC | 1 | $ | 3,980 | $ | 113.75 | 03/08/2019 | (26 | ) | — | 26 | ||||||||||||
Call - USD versus MXN | HSBC Securities Inc | 1 | $ | 2,715 | $ | 21.00 | 06/19/2019 | (27 | ) | (19 | ) | 8 | |||||||||||
Put - AUD versus CAD | Goldman Sachs & Co | 1 | AUD | 2,046 | AUD | 0.94 | 12/12/2019 | (29 | ) | (46 | ) | (17 | ) | ||||||||||
Put - EUR versus CNH | Morgan Stanley & Co | 1 | EUR | 4,525 | EUR | 7.50 | 07/31/2019 | (31 | ) | (26 | ) | 5 | |||||||||||
Put - EUR versus GBP | Barclays Bank PLC | 1 | EUR | 2,433 | EUR | 0.87 | 03/22/2019 | (28 | ) | (50 | ) | (22 | ) | ||||||||||
Put - EUR versus JPY | UBS AG | 1 | EUR | 3,581 | EUR | 124.00 | 12/18/2019 | (88 | ) | (83 | ) | 5 | |||||||||||
Put - EUR versus JPY | Barclays Bank PLC | 1 | EUR | 3,581 | EUR | 124.30 | 12/12/2019 | (94 | ) | (84 | ) | 10 | |||||||||||
Put - NZD versus CAD | Goldman Sachs & Co | 1 | NZD | 1,535 | NZD | 0.89 | 12/13/2019 | (21 | ) | (26 | ) | (5 | ) | ||||||||||
Put - NZD versus JPY | Goldman Sachs & Co | 1 | NZD | 2,919 | NZD | 68.00 | 12/19/2019 | (65 | ) | (28 | ) | 37 | |||||||||||
Put - SEK versus JPY | Barclays Bank PLC | 1 | SEK | 18,100 | SEK | 11.50 | 08/09/2019 | (30 | ) | (20 | ) | 10 | |||||||||||
Put - SEK versus JPY | Merrill Lynch | 1 | SEK | 18,100 | SEK | 11.50 | 08/09/2019 | (31 | ) | (20 | ) | 11 | |||||||||||
Put - USD versus BRL | Morgan Stanley & Co | 1 | $ | 2,263 | $ | 3.60 | 06/14/2019 | (25 | ) | (20 | ) | 5 | |||||||||||
Put - USD versus CLP | Citigroup Inc | 1 | $ | 905 | $ | 660.00 | 04/05/2019 | (11 | ) | (14 | ) | (3 | ) | ||||||||||
Put - USD versus CLP | Merrill Lynch | 1 | $ | 1,460 | $ | 660.00 | 04/05/2019 | (14 | ) | (22 | ) | (8 | ) | ||||||||||
Put - USD versus CNH | Goldman Sachs & Co | 1 | $ | 25,000 | $ | 6.55 | 08/09/2019 | (141 | ) | (145 | ) | (4 | ) | ||||||||||
Put - USD versus CNH | Nomura Securities | 1 | $ | 4,525 | $ | 6.55 | 08/09/2019 | (27 | ) | (24 | ) | 3 | |||||||||||
Put - USD versus CNH | Goldman Sachs & Co | 1 | $ | 3,168 | $ | 6.55 | 08/09/2019 | (20 | ) | (18 | ) | 2 | |||||||||||
Put - USD versus KRW | Goldman Sachs & Co | 1 | $ | 2,715 | $ | 1,100.00 | 09/04/2019 | (32 | ) | (32 | ) | — | |||||||||||
Put - USD versus KRW | Citigroup Inc | 1 | $ | 3,892 | $ | 1,110.00 | 03/15/2019 | (31 | ) | (1 | ) | 30 | |||||||||||
Put - USD versus MXN | Morgan Stanley & Co | 1 | $ | 6,138 | $ | 19.65 | 03/13/2019 | (71 | ) | (118 | ) | (47 | ) | ||||||||||
Put - USD versus MXN | BNP Paribas | 1 | $ | 2,558 | $ | 19.50 | 03/15/2019 | (27 | ) | (33 | ) | (6 | ) | ||||||||||
Put - USD versus MXN | M3 Capital Partners | 1 | $ | 4,092 | $ | 19.55 | 06/14/2019 | (56 | ) | (94 | ) | (38 | ) | ||||||||||
Put - USD versus MXN | Morgan Stanley & Co | 1 | $ | 1,023 | $ | 19.55 | 06/14/2019 | (18 | ) | (23 | ) | (5 | ) | ||||||||||
Put - USD versus MXN | Morgan Stanley & Co | 1 | $ | 2,046 | $ | 19.50 | 03/15/2019 | (21 | ) | (26 | ) | (5 | ) | ||||||||||
Put - USD versus PHP | Standard Chartered Hong | 1 | $ | 35,000 | $ | 51.50 | 05/28/2019 | (123 | ) | (169 | ) | (46 | ) | ||||||||||
Kong | |||||||||||||||||||||||
Put - USD versus ZAR | Morgan Stanley & Co | 1 | $ | 543 | $ | 13.50 | 05/08/2019 | (8 | ) | (4 | ) | 4 | |||||||||||
Put - USD versus ZAR | M3 Capital Partners | 1 | $ | 4,245 | $ | 13.50 | 05/08/2019 | (82 | ) | (28 | ) | 54 | |||||||||||
Put - USD versus ZAR | Morgan Stanley & Co | 1 | $ | 1,358 | $ | 13.50 | 05/08/2019 | (14 | ) | (8 | ) | 6 | |||||||||||
Put - USD versus ZAR | Bank of America NA | 1 | $ | 4,715 | $ | 13.50 | 05/08/2019 | (90 | ) | (31 | ) | 59 | |||||||||||
Call - 90 Day Eurodollar Future; | N/A | 49 | $ | 123 | $ | 97.25 | 12/16/2019 | (28 | ) | (28 | ) | — | |||||||||||
December 2023 | |||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 724 | $ | 1,810 | $ | 97.50 | 06/18/2019 | (35 | ) | (27 | ) | 8 | |||||||||||
June 2019 | |||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 194 | $ | 485 | $ | 97.50 | 04/15/2019 | (36 | ) | (35 | ) | 1 | |||||||||||
June 2020 | |||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 37 | $ | 93 | $ | 97.50 | 06/17/2019 | (12 | ) | (10 | ) | 2 | |||||||||||
June 2020 | |||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 40 | $ | 100 | $ | 97.25 | 03/19/2019 | (8 | ) | (15 | ) | (7 | ) | ||||||||||
March 2019 | |||||||||||||||||||||||
Call - 90 Day Eurodollar Future; | N/A | 75 | $ | 188 | $ | 97.25 | 03/18/2019 | (30 | ) | (57 | ) | (27 | ) | ||||||||||
March 2021 | |||||||||||||||||||||||
Call - Euro Bund 10 Year Bund | N/A | 54 | EUR | 54 | EUR | 164.00 | 03/25/2019 | (37 | ) | (11 | ) | 26 | |||||||||||
Future; June 2019 | |||||||||||||||||||||||
Call - Euro Bund 10 Year Bund | N/A | 1 | EUR | 1 | EUR | 162.00 | 03/25/2019 | (1 | ) | (1 | ) | — | |||||||||||
Future; June 2019 | |||||||||||||||||||||||
Call - Euro Bund 10 Year Bund | N/A | 1 | EUR | 1 | EUR | 165.50 | 04/29/2019 | (1 | ) | (1 | ) | — | |||||||||||
Future; June 2019 | |||||||||||||||||||||||
Call - Japan 10 Year Bond TSE | N/A | 32 | JPY | 32,000 | JPY | 153.00 | 04/01/2019 | (32 | ) | (26 | ) | 6 | |||||||||||
Future; June 2019 | |||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 49 | $ | 123 | $ | 97.25 | 12/16/2019 | (32 | ) | (21 | ) | 11 | |||||||||||
December 2023 | |||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 252 | $ | 630 | $ | 97.00 | 06/17/2019 | (12 | ) | (8 | ) | 4 | |||||||||||
June 2021 | |||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 195 | $ | 488 | $ | 97.00 | 03/19/2019 | (1 | ) | (1 | ) | — | |||||||||||
March 2019 | |||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 810 | $ | 2,025 | $ | 96.00 | 03/18/2019 | (11 | ) | (5 | ) | 6 | |||||||||||
March 2021 | |||||||||||||||||||||||
Put - 90 Day Eurodollar Future; | N/A | 325 | $ | 813 | $ | 97.00 | 09/16/2019 | (24 | ) | (20 | ) | 4 | |||||||||||
September 2021 | |||||||||||||||||||||||
Put - Euribor Future; June 2022 | N/A | 168 | EUR | 420 | EUR | 99.25 | 06/17/2019 | (11 | ) | (4 | ) | 7 | |||||||||||
Put - Euribor Future; June 2022 | N/A | 181 | EUR | 453 | EUR | 99.50 | 05/13/2019 | (8 | ) | (8 | ) | — |
See accompanying notes.
111
Consolidated Schedule of Investments | |||||||||||||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||||||||||
Options (continued) | |||||||||||||||||||||||||
Upfront | Unrealized | ||||||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | |||||||||||||||||||||||
Written Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value (Depreciation) | ||||||||||||||||||
Put - Euro Bund 10 Year Bund | N/A | 2 | EUR | 2 | EUR | 163.50 | 03/25/2019 | $ | (1 | )$ | (2 | )$ | (1 | ) | |||||||||||
Future; June 2019 | |||||||||||||||||||||||||
Put - Euro Bund 10 Year Bund | N/A | 2 | EUR | 2 | EUR | 162.00 | 03/25/2019 | (1 | ) | (1 | ) | — | |||||||||||||
Future; June 2019 | |||||||||||||||||||||||||
Put - Euro Bund 10 Year Bund | N/A | 3 | EUR | 3 | EUR | 163.00 | 03/25/2019 | (1 | ) | (2 | ) | (1 | ) | ||||||||||||
Future; June 2019 | |||||||||||||||||||||||||
Put - Euro Bund 10 Year Bund | N/A | 1 | EUR | 1 | EUR | 162.50 | 03/25/2019 | (1 | ) | (1 | ) | — | |||||||||||||
Future; June 2019 | |||||||||||||||||||||||||
Put - Euro Bund 10 Year Bund | N/A | 3 | EUR | 3 | EUR | 163.50 | 04/29/2019 | (3 | ) | (5 | ) | (2 | ) | ||||||||||||
Future; June 2019 | |||||||||||||||||||||||||
Put - Euro Bund 10 Year Bund | N/A | 6 | EUR | 6 | EUR | 162.50 | 04/29/2019 | (3 | ) | (6 | ) | (3 | ) | ||||||||||||
Future; June 2019 | |||||||||||||||||||||||||
Total | $ | (5,167 | )$ | (3,013 | )$ | 2,154 | |||||||||||||||||||
Amounts in thousands except contracts/shares. | |||||||||||||||||||||||||
Interest Rate Swaptions | |||||||||||||||||||||||||
Pay/Receive | Upfront | Unrealized | |||||||||||||||||||||||
Purchased Swaptions | Floating | Notional | Exercise | Expiration | Payments/ | Appreciation/ | |||||||||||||||||||
Outstanding | Counterparty | Floating Rate Index | Rate | Amount | Rate | Date | (Premiums) | Fair Value | (Depreciation) | ||||||||||||||||
Call - 3 Year Interest Rate | Bank of America NA | 3 Month Johannesburg | Pay | ZAR | 105,000 | 7.20 | % | 11/08/2019 | $ | 52 | $ | 49 | $ | (3 | ) | ||||||||||
Swap | Interbank Agreed Rate | ||||||||||||||||||||||||
Call - 5 Year Interest Rate | Bank of America NA | 3 Month Johannesburg | Pay | 180,000 | 7.90 | % | 05/08/2019 | 104 | 233 | 129 | |||||||||||||||
Swap | Interbank Agreed Rate | ||||||||||||||||||||||||
Total | $ | 156 | $ | 282 | $ | 126 | |||||||||||||||||||
Amounts in thousands. | |||||||||||||||||||||||||
Futures Contracts | |||||||||||||||||||||||||
Description and Expiration Date | Type | Contracts | Notional Amount | Value and Unrealized Appreciation/(Depreciation) | |||||||||||||||||||||
3 Month Euro Swiss; December 2019 | Long | 1 | $ | 252 | $ | — | |||||||||||||||||||
3 Month Euro Swiss; September 2019 | Long | 1 | 252 | — | |||||||||||||||||||||
90 Day Eurodollar; December 2019 | Long | 11 | 2,677 | — | |||||||||||||||||||||
90 Day Eurodollar; December 2019 | Long | 351 | 85,433 | 497 | |||||||||||||||||||||
90 Day Eurodollar; December 2020 | Long | 24 | 5,852 | — | |||||||||||||||||||||
90 Day Eurodollar; December 2021 | Short | 351 | 85,583 | (635 | ) | ||||||||||||||||||||
90 Day Eurodollar; June 2019 | Long | 30 | 7,305 | — | |||||||||||||||||||||
90 Day Eurodollar; June 2020 | Long | 20 | 4,874 | (1 | ) | ||||||||||||||||||||
90 Day Eurodollar; June 2020 | Long | 1,958 | 477,165 | 46 | |||||||||||||||||||||
90 Day Eurodollar; March 2020 | Long | 15 | 3,654 | (1 | ) | ||||||||||||||||||||
90 Day Eurodollar; March 2020 | Short | 143 | 34,831 | (7 | ) | ||||||||||||||||||||
90 Day Eurodollar; September 2019 | Long | 17 | 4,139 | — | |||||||||||||||||||||
90 Day Eurodollar; September 2020 | Long | 22 | 5,364 | — | |||||||||||||||||||||
90 Day Short Sterling; December 2019 | Long | 94 | 15,425 | 10 | |||||||||||||||||||||
90 Day Short Sterling; December 2020 | Long | 13 | 2,130 | (2 | ) | ||||||||||||||||||||
90 Day Short Sterling; June 2019 | Long | 58 | 9,530 | 9 | |||||||||||||||||||||
90 Day Short Sterling; June 2020 | Long | 1,468 | 240,671 | 81 | |||||||||||||||||||||
90 Day Short Sterling; June 2020 | Long | 13 | 2,131 | (2 | ) | ||||||||||||||||||||
90 Day Short Sterling; March 2020 | Long | 46 | 7,545 | (2 | ) | ||||||||||||||||||||
90 Day Short Sterling; March 2020 | Short | 132 | 21,652 | 14 | |||||||||||||||||||||
90 Day Short Sterling; September 2019 | Long | 92 | 15,107 | 12 | |||||||||||||||||||||
90 Day Short Sterling; September 2020 | Long | 13 | 2,130 | (2 | ) | ||||||||||||||||||||
AEX Index; March 2019 | Long | 15 | 1,846 | 27 | |||||||||||||||||||||
Australia 10 Year Bond; March 2019 | Long | 270 | 25,858 | 594 | |||||||||||||||||||||
Australia 10 Year Bond; March 2019 | Long | 82 | 7,853 | 177 | |||||||||||||||||||||
Australia 3 Year Bond; March 2019 | Long | 110 | 8,796 | 33 | |||||||||||||||||||||
CAC40 Index; March 2019 | Long | 87 | 5,184 | 137 | |||||||||||||||||||||
CAC40 Index; March 2019 | Long | 37 | 2,205 | 46 | |||||||||||||||||||||
Canada 10 Year Bond; June 2019 | Long | 38 | 3,919 | (18 | ) | ||||||||||||||||||||
Canada 10 Year Bond; June 2019 | Short | 20 | 2,062 | 14 | |||||||||||||||||||||
Canadian Bank Acceptance; December 2019 | Short | 16 | 2,973 | (2 | ) | ||||||||||||||||||||
Canadian Bank Acceptance; June 2019 | Short | 6 | 1,116 | (1 | ) | ||||||||||||||||||||
Canadian Bank Acceptance; June 2020 | Long | 64 | 11,894 | 34 | |||||||||||||||||||||
Canadian Bank Acceptance; March 2020 | Short | 7 | 1,301 | — | |||||||||||||||||||||
Canadian Bank Acceptance; March 2020 | Short | 291 | 54,081 | (21 | ) | ||||||||||||||||||||
Canadian Bank Acceptance; September 2019 | Short | 13 | 2,417 | (1 | ) | ||||||||||||||||||||
See accompanying notes. | 112 |
Consolidated Schedule of Investments | ||||||||||
Global Multi-Strategy Fund | ||||||||||
February 28, 2019 (unaudited) | ||||||||||
Futures Contracts (continued) | ||||||||||
Description and Expiration Date | Type | Contracts | Notional Amount | Value and Unrealized Appreciation/(Depreciation) | ||||||
Canadian Bank Acceptance; September 2019 | Short | 170 | $ | 31,603 | $ | (46 | ) | |||
Canadian Bank Acceptance; September 2020 | Short | 25 | 4,646 | — | ||||||
DAX Index; March 2019 | Short | 15 | 4,914 | (282 | ) | |||||
DAX Index; March 2019 | Short | 73 | 23,914 | (885 | ) | |||||
DJ Euro Stoxx 50; March 2019 | Long | 562 | 21,082 | 456 | ||||||
DJ Euro Stoxx 50; March 2019 | Long | 47 | 1,763 | 6 | ||||||
DJ Euro Stoxx 50; March 2019 | Short | 371 | 13,917 | (1,022 | ) | |||||
E-Mini DJIA Index; March 2019 | Long | 125 | 16,196 | 818 | ||||||
E-Mini DJIA Index; March 2019 | Long | 2 | 259 | (1 | ) | |||||
eMini MSCI Emerging Markets; March 2019 | Long | 16 | 837 | (9 | ) | |||||
eMini MSCI Emerging Markets; March 2019 | Short | 142 | 7,432 | (520 | ) | |||||
Euribor; December 2019 | Long | 25 | 7,127 | 1 | ||||||
Euribor; December 2019 | Short | 126 | 35,917 | (7 | ) | |||||
Euribor; December 2020 | Long | 8 | 2,277 | 2 | ||||||
Euribor; December 2021 | Long | 126 | 35,769 | 151 | ||||||
Euribor; June 2019 | Long | 13 | 3,708 | — | ||||||
Euribor; June 2020 | Long | 18 | 5,127 | 3 | ||||||
Euribor; June 2020 | Long | 977 | 278,280 | 207 | ||||||
Euribor; March 2020 | Long | 19 | 5,414 | 1 | ||||||
Euribor; March 2020 | Short | 78 | 22,227 | 6 | ||||||
Euribor; September 2019 | Long | 18 | 5,133 | — | ||||||
Euribor; September 2020 | Long | 19 | 5,409 | 4 | ||||||
Euro Bund 10 Year Bund; June 2019 | Short | 160 | 29,623 | 23 | ||||||
Euro Bund 10 Year Bund; June 2019 | Long | 2 | 370 | — | ||||||
Euro Bund 10 Year Bund; June 2019 | Short | 4 | 741 | 5 | ||||||
Euro Bund 10 Year Bund; March 2019 | Long | 26 | 4,889 | (34 | ) | |||||
FTSE China A50 Index; March 2019 | Short | 13 | 163 | (1 | ) | |||||
FTSE China A50 Index; March 2019 | Long | 2 | 25 | — | ||||||
FTSE KLCI Index; March 2019 | Short | 7 | 146 | 2 | ||||||
FTSE/JSE Top 40; March 2019 | Short | 28 | 985 | (78 | ) | |||||
FTSE/MIB Index; March 2019 | Long | 4 | 470 | 34 | ||||||
FTSE100 Index; March 2019 | Short | 154 | 14,452 | (298 | ) | |||||
FTSE100 Index; March 2019 | Short | 95 | 8,915 | (436 | ) | |||||
FTSE100 Index; March 2019 | Long | 41 | 3,848 | (32 | ) | |||||
Hang Seng Index; March 2019 | Long | 88 | 16,068 | (12 | ) | |||||
Hang Seng Index; March 2019 | Long | 1 | 183 | (2 | ) | |||||
Hang Seng Index; March 2019 | Short | 1 | 183 | (1 | ) | |||||
HSCEI China Index; March 2019 | Long | 5 | 363 | (3 | ) | |||||
IBEX 35 Index; March 2019 | Long | 11 | 1,163 | 31 | ||||||
Japan Topix Index; March 2019 | Short | 32 | 4,611 | (131 | ) | |||||
Japan Topix Index; March 2019 | Short | 210 | 30,257 | (237 | ) | |||||
Japan Topix Index; March 2019 | Short | 7 | 1,009 | 5 | ||||||
Japan Topix Index; March 2019 | Short | 68 | 9,797 | (384 | ) | |||||
KOSPI 200 Index; March 2019 | Short | 1 | 63 | — | ||||||
Mex Bolsa Index; March 2019 | Short | 9 | 201 | 1 | ||||||
MSCI Taiwan Index; March 2019 | Short | 11 | 416 | (1 | ) | |||||
Nasdaq 100 E-Mini; March 2019 | Long | 144 | 20,455 | 212 | ||||||
Nasdaq 100 E-Mini; March 2019 | Long | 6 | 852 | 3 | ||||||
Nikkei 225 OSE; March 2019 | Short | 18 | 3,454 | (72 | ) | |||||
Nikkei 225 OSE; March 2019 | Long | 28 | 5,373 | 7 | ||||||
Nikkei 225 OSE; March 2019 | Short | 4 | 768 | (32 | ) | |||||
OMXS30 Index; March 2019 | Long | 32 | 545 | 3 | ||||||
Russell 2000 Emini; March 2019 | Long | 18 | 1,418 | 13 | ||||||
Russell 2000 Emini; March 2019 | Short | 21 | 1,654 | (70 | ) | |||||
Russell 2000 Emini; March 2019 | Short | 301 | 23,711 | (1,827 | ) | |||||
S&P 500 Emini; March 2019 | Long | 66 | 9,190 | 12 | ||||||
S&P 500 Emini; March 2019 | Short | 101 | 14,063 | (429 | ) | |||||
S&P 500 Emini; March 2019 | Short | 36 | 5,012 | (475 | ) | |||||
S&P 500 Emini; March 2019 | Short | 125 | 17,404 | (1,119 | ) | |||||
S&P Mid 400 Emini; March 2019 | Short | 61 | 11,656 | (705 | ) | |||||
S&P/TSX 60 Index; March 2019 | Long | 34 | 4,921 | 112 | ||||||
SET50 Index; March 2019 | Short | 69 | 480 | (9 | ) | |||||
SPI 200 Index; March 2019 | Long | 38 | 4,144 | 127 | ||||||
UK 10 Year Gilt; June 2019 | Short | 1 | 167 | 1 | ||||||
UK 10 Year Gilt; June 2019 | Long | 50 | 8,342 | (98 | ) | |||||
US 10 Year Note; June 2019 | Long | 53 | 6,466 | (4 | ) | |||||
US 10 Year Note; March 2019 | Short | 31 | 3,774 | 10 | ||||||
US 10 Year Ultra Note; June 2019 | Long | 136 | 17,606 | (112 | ) | |||||
US 10 Year Ultra Note; June 2019 | Short | 59 | 7,638 | (2 | ) | |||||
US 5 Year Note; June 2019 | Short | 343 | 39,295 | 53 | ||||||
See accompanying notes. | 113 |
Consolidated Schedule of Investments | |||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||
Futures Contracts (continued) | |||||||||||||||
Description and Expiration Date | Type | Contracts | Notional Amount | Value and Unrealized Appreciation/(Depreciation) | |||||||||||
US Long Bond; June 2019 | Short | 142 | $ | 20,514 | $ | 94 | |||||||||
US Long Bond; June 2019 | Long | 706 | 101,995 | (907 | ) | ||||||||||
US Ultra Bond; June 2019 | Long | 122 | 19,470 | (293 | ) | ||||||||||
US Ultra Bond; June 2019 | Short | 23 | 3,671 | 1 | |||||||||||
Total | $ | (7,136 | ) | ||||||||||||
Amounts in thousands except contracts. | |||||||||||||||
Foreign Currency Contracts | |||||||||||||||
Unrealized Appreciation/(Depreciation) | |||||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | ||||||||||
Bank of America NA | 03/20/2019 | $ | 17,248 | EUR | 15,090 | $ | 62 | $ | — | ||||||
Bank of America NA | 03/20/2019 | JPY | 656,800 | $ | 6,125 | — | (224 | ) | |||||||
Bank of America NA | 03/22/2019 | AUD | 7,033 | $ | 4,976 | 14 | — | ||||||||
Bank of America NA | 03/22/2019 | $ | 62,807 | AUD | 87,400 | 799 | — | ||||||||
Bank of America NA | 03/22/2019 | $ | 1,293 | AUD | 1,833 | — | (7 | ) | |||||||
Bank of America NA | 03/22/2019 | AUD | 47,773 | $ | 34,344 | — | (450 | ) | |||||||
Bank of America NA | 03/22/2019 | $ | 69,003 | GBP | 53,849 | — | (2,477 | ) | |||||||
Bank of America NA | 03/22/2019 | GBP | 32,573 | $ | 42,228 | 1,010 | — | ||||||||
Bank of America NA | 03/22/2019 | GBP | 10,189 | $ | 13,569 | — | (44 | ) | |||||||
Bank of America NA | 03/22/2019 | CAD | 9,076 | $ | 6,920 | — | (19 | ) | |||||||
Bank of America NA | 03/22/2019 | CAD | 24,860 | $ | 18,643 | 258 | — | ||||||||
Bank of America NA | 03/22/2019 | $ | 54,135 | CAD | 71,963 | — | (579 | ) | |||||||
Bank of America NA | 03/22/2019 | EUR | 1,655 | $ | 1,882 | 3 | — | ||||||||
Bank of America NA | 03/22/2019 | EUR | 24,154 | $ | 27,770 | — | (257 | ) | |||||||
Bank of America NA | 03/22/2019 | $ | 73,409 | EUR | 64,031 | 472 | — | ||||||||
Bank of America NA | 03/22/2019 | $ | 13,528 | EUR | 11,926 | — | (57 | ) | |||||||
Bank of America NA | 03/22/2019 | JPY | 69,715 | $ | 621 | 5 | — | ||||||||
Bank of America NA | 03/22/2019 | $ | 28,447 | JPY | 3,119,277 | 419 | — | ||||||||
Bank of America NA | 03/22/2019 | JPY | 9,836,591 | $ | 90,017 | — | (1,630 | ) | |||||||
Bank of America NA | 03/22/2019 | $ | 73,733 | JPY | 8,276,364 | — | (635 | ) | |||||||
Bank of America NA | 03/22/2019 | $ | 152 | MXN | 2,916 | 1 | — | ||||||||
Bank of America NA | 03/22/2019 | MXN | 200,394 | $ | 10,428 | — | (64 | ) | |||||||
Bank of America NA | 03/22/2019 | MXN | 186,318 | $ | 9,497 | 139 | — | ||||||||
Bank of America NA | 03/22/2019 | $ | 9,401 | MXN | 192,073 | — | (533 | ) | |||||||
Bank of America NA | 03/22/2019 | $ | 7,749 | NZD | 11,508 | — | (89 | ) | |||||||
Bank of America NA | 03/22/2019 | $ | 18,458 | NZD | 26,881 | 148 | — | ||||||||
Bank of America NA | 03/22/2019 | NZD | 34,776 | $ | 23,566 | 121 | — | ||||||||
Bank of America NA | 03/22/2019 | NZD | 32,599 | $ | 22,334 | — | (130 | ) | |||||||
Bank of America NA | 03/22/2019 | CHF | 11,619 | $ | 11,814 | — | (149 | ) | |||||||
Bank of America NA | 03/22/2019 | CHF | 4,851 | $ | 4,851 | 19 | — | ||||||||
Bank of America NA | 03/22/2019 | $ | 31,916 | CHF | 31,384 | 407 | — | ||||||||
Bank of America NA | 03/22/2019 | $ | 2,725 | CHF | 2,719 | — | (5 | ) | |||||||
Bank of New York Mellon | 03/01/2019 | $ | 5,330 | EUR | 4,608 | 89 | — | ||||||||
Bank of New York Mellon | 03/01/2019 | EUR | 3,653 | $ | 4,208 | — | (52 | ) | |||||||
Bank of New York Mellon | 03/01/2019 | NOK | 745 | $ | 87 | — | — | ||||||||
Bank of New York Mellon | 03/15/2019 | $ | 11,045 | EUR | 8,733 | 1,103 | — | ||||||||
Bank of New York Mellon | 03/15/2019 | EUR | 2,261 | $ | 2,591 | — | (17 | ) | |||||||
Bank of New York Mellon | 03/20/2019 | GBP | 12,642 | $ | 16,014 | 766 | — | ||||||||
Bank of New York Mellon | 03/20/2019 | $ | 14,044 | GBP | 11,085 | — | (668 | ) | |||||||
Bank of New York Mellon | 03/20/2019 | $ | 3,190 | CAD | 4,250 | — | (41 | ) | |||||||
Bank of New York Mellon | 03/20/2019 | CAD | 1,580 | $ | 1,193 | 8 | — | ||||||||
Bank of New York Mellon | 03/20/2019 | DKK | 9,000 | $ | 1,370 | 4 | — | ||||||||
Bank of New York Mellon | 03/20/2019 | $ | 927 | DKK | 6,000 | 11 | — | ||||||||
Bank of New York Mellon | 03/20/2019 | $ | 502 | DKK | 3,300 | — | (2 | ) | |||||||
Bank of New York Mellon | 03/20/2019 | $ | 8,802 | EUR | 7,700 | 32 | — | ||||||||
Bank of New York Mellon | 03/20/2019 | EUR | 912 | $ | 1,042 | — | (3 | ) | |||||||
Bank of New York Mellon | 03/20/2019 | $ | 510 | HKD | 4,000 | — | — | ||||||||
Bank of New York Mellon | 03/20/2019 | $ | 20,654 | JPY | 2,239,100 | 538 | — | ||||||||
Bank of New York Mellon | 03/20/2019 | $ | 9,336 | JPY | 1,049,500 | — | (93 | ) | |||||||
Bank of New York Mellon | 03/20/2019 | JPY | 1,872,159 | $ | 17,208 | — | (389 | ) | |||||||
Bank of New York Mellon | 03/20/2019 | $ | 1,406 | NOK | 12,000 | 2 | — | ||||||||
Bank of New York Mellon | 03/20/2019 | SEK | 13,500 | $ | 1,463 | 1 | — | ||||||||
Bank of New York Mellon | 03/20/2019 | $ | 1,505 | SEK | 13,500 | 41 | — | ||||||||
Bank of New York Mellon | 03/20/2019 | $ | 3,250 | CHF | 3,200 | 38 | — | ||||||||
Bank of New York Mellon | 03/29/2019 | $ | 19,986 | EUR | 17,403 | 151 | — | ||||||||
Bank of New York Mellon | 03/29/2019 | $ | 8,500 | ZAR | 114,179 | 419 | — | ||||||||
Bank of New York Mellon | 03/29/2019 | ZAR | 14,601 | $ | 1,067 | — | (34 | ) | |||||||
Bank of New York Mellon | 03/29/2019 | ZAR | 31,460 | $ | 2,215 | 11 | — |
See accompanying notes.
114
Consolidated Schedule of Investments | ||||||||||||
Global Multi-Strategy Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Foreign Currency Contracts (continued) | ||||||||||||
Unrealized Appreciation/(Depreciation) | ||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | |||||||
Bank of New York Mellon | 03/29/2019 | $ | 983 | ZAR | 14,293 | $ | — $ | (29 | ) | |||
Bank of New York Mellon | 03/29/2019 | $ | 5,225 | CHF | 5,132 | 68 | — | |||||
Bank of New York Mellon | 04/18/2019 | $ | 3,573 | GBP | 2,800 | — | (149 | ) | ||||
Bank of New York Mellon | 04/18/2019 | $ | 4,132 | EUR | 3,243 | 430 | — | |||||
Bank of New York Mellon | 04/30/2019 | EUR | 19,995 | $ | 22,984 | — | (132 | ) | ||||
Bank of New York Mellon | 04/30/2019 | $ | 28,276 | EUR | 24,563 | 203 | — | |||||
Bank of New York Mellon | 06/14/2019 | $ | 1,330 | EUR | 1,112 | 55 | — | |||||
Bank of New York Mellon | 06/20/2019 | $ | 9,200 | JPY | 1,000,000 | 149 | — | |||||
Bank of New York Mellon | 08/14/2019 | $ | 3,016 | EUR | 2,578 | 43 | — | |||||
Barclays Bank PLC | 03/01/2019 | AUD | 1,810 | $ | 1,292 | — | (8 | ) | ||||
Barclays Bank PLC | 03/01/2019 | $ | 1,293 | AUD | 1,810 | 9 | — | |||||
Barclays Bank PLC | 03/01/2019 | GBP | 1,548 | $ | 2,060 | — | (7 | ) | ||||
Barclays Bank PLC | 03/01/2019 | GBP | 3,576 | $ | 4,712 | 31 | — | |||||
Barclays Bank PLC | 03/01/2019 | $ | 6,662 | GBP | 5,124 | — | (134 | ) | ||||
Barclays Bank PLC | 03/01/2019 | $ | 4,335 | CAD | 5,722 | — | (13 | ) | ||||
Barclays Bank PLC | 03/01/2019 | $ | 905 | CAD | 1,190 | 1 | — | |||||
Barclays Bank PLC | 03/01/2019 | CAD | 3,335 | $ | 2,525 | 9 | — | |||||
Barclays Bank PLC | 03/01/2019 | EUR | 7,296 | $ | 8,272 | 27 | — | |||||
Barclays Bank PLC | 03/01/2019 | $ | 6,685 | EUR | 5,883 | — | (6 | ) | ||||
Barclays Bank PLC | 03/01/2019 | EUR | 5,430 | $ | 6,184 | — | (8 | ) | ||||
Barclays Bank PLC | 03/01/2019 | $ | 7,804 | EUR | 6,844 | 20 | — | |||||
Barclays Bank PLC | 03/01/2019 | $ | 2,715 | JPY | 300,836 | 16 | — | |||||
Barclays Bank PLC | 03/01/2019 | JPY | 300,836 | $ | 2,716 | — | (17 | ) | ||||
Barclays Bank PLC | 03/01/2019 | $ | 1 | NOK | 8 | — | — | |||||
Barclays Bank PLC | 03/01/2019 | NOK | 4,121 | $ | 487 | — | (5 | ) | ||||
Barclays Bank PLC | 03/01/2019 | $ | 487 | NOK | 4,113 | 6 | — | |||||
Barclays Bank PLC | 03/01/2019 | TRY | 260 | $ | 50 | — | (1 | ) | ||||
Barclays Bank PLC | 03/01/2019 | $ | 49 | TRY | 260 | — | — | |||||
Barclays Bank PLC | 03/04/2019 | $ | 15,151 | CAD | 19,971 | — | (25 | ) | ||||
Barclays Bank PLC | 03/04/2019 | CAD | 18,587 | $ | 14,127 | — | (2 | ) | ||||
Barclays Bank PLC | 03/04/2019 | CAD | 2,742 | $ | 2,079 | 5 | — | |||||
Barclays Bank PLC | 03/04/2019 | $ | 730 | CAD | 961 | — | — | |||||
Barclays Bank PLC | 03/04/2019 | EUR | 3,000 | $ | 3,405 | 7 | — | |||||
Barclays Bank PLC | 03/04/2019 | $ | 1,259 | EUR | 1,100 | 8 | — | |||||
Barclays Bank PLC | 03/04/2019 | $ | 1,538 | EUR | 1,358 | — | (6 | ) | ||||
Barclays Bank PLC | 03/04/2019 | $ | 2,796 | IDR | 40,066,126 | — | (52 | ) | ||||
Barclays Bank PLC | 03/04/2019 | $ | 4,109 | IDR | 57,496,216 | 22 | — | |||||
Barclays Bank PLC | 03/04/2019 | IDR | 100,456,151 | $ | 6,905 | 236 | — | |||||
Barclays Bank PLC | 03/04/2019 | MYR | 59,213 | $ | 14,226 | 335 | — | |||||
Barclays Bank PLC | 03/04/2019 | MYR | 3,683 | $ | 905 | 1 | — | |||||
Barclays Bank PLC | 03/04/2019 | $ | 14,226 | MYR | 57,967 | — | (29 | ) | ||||
Barclays Bank PLC | 03/04/2019 | $ | 905 | MYR | 3,687 | — | (2 | ) | ||||
Barclays Bank PLC | 03/04/2019 | PHP | 81,053 | $ | 1,534 | 33 | — | |||||
Barclays Bank PLC | 03/04/2019 | $ | 1,534 | PHP | 81,098 | — | (34 | ) | ||||
Barclays Bank PLC | 03/04/2019 | $ | 617 | PLN | 2,336 | — | — | |||||
Barclays Bank PLC | 03/04/2019 | SEK | 1,275 | $ | 138 | — | — | |||||
Barclays Bank PLC | 03/04/2019 | $ | 141 | SEK | 1,275 | 3 | — | |||||
Barclays Bank PLC | 03/04/2019 | SEK | 4,710 | $ | 509 | 1 | — | |||||
Barclays Bank PLC | 03/04/2019 | SEK | 20,876 | $ | 2,288 | — | (28 | ) | ||||
Barclays Bank PLC | 03/04/2019 | $ | 2,787 | SEK | 26,111 | — | (40 | ) | ||||
Barclays Bank PLC | 03/05/2019 | $ | 4,958 | AUD | 6,920 | 49 | — | |||||
Barclays Bank PLC | 03/05/2019 | AUD | 6,920 | $ | 4,936 | — | (27 | ) | ||||
Barclays Bank PLC | 03/05/2019 | $ | 1,021 | GBP | 785 | — | (20 | ) | ||||
Barclays Bank PLC | 03/05/2019 | $ | 187 | GBP | 141 | — | — | |||||
Barclays Bank PLC | 03/05/2019 | GBP | 367 | $ | 472 | 15 | — | |||||
Barclays Bank PLC | 03/05/2019 | GBP | 64 | $ | 85 | — | — | |||||
Barclays Bank PLC | 03/05/2019 | $ | 3,675 | EUR | 3,241 | — | (12 | ) | ||||
Barclays Bank PLC | 03/05/2019 | EUR | 99 | $ | 113 | — | — | |||||
Barclays Bank PLC | 03/05/2019 | EUR | 1,533 | $ | 1,738 | 6 | — | |||||
Barclays Bank PLC | 03/05/2019 | $ | 388 | EUR | 341 | — | — | |||||
Barclays Bank PLC | 03/05/2019 | $ | 6,199 | JPY | 686,292 | 41 | — | |||||
Barclays Bank PLC | 03/05/2019 | JPY | 777,709 | $ | 7,030 | — | (52 | ) | ||||
Barclays Bank PLC | 03/05/2019 | NZD | 1,007 | $ | 685 | 1 | — | |||||
Barclays Bank PLC | 03/05/2019 | NZD | 8,663 | $ | 5,934 | — | (34 | ) | ||||
Barclays Bank PLC | 03/05/2019 | $ | 6,630 | NZD | 9,646 | 61 | — | |||||
Barclays Bank PLC | 03/05/2019 | $ | 59 | NOK | 504 | — | — | |||||
Barclays Bank PLC | 03/05/2019 | NOK | 3,222 | $ | 377 | — | — | |||||
Barclays Bank PLC | 03/05/2019 | $ | 5,497 | NOK | 47,179 | — | (17 | ) |
See accompanying notes.
115
Consolidated Schedule of Investments | ||||||||||||
Global Multi-Strategy Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Foreign Currency Contracts (continued) | ||||||||||||
Unrealized Appreciation/(Depreciation) | ||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | |||||||
Barclays Bank PLC | 03/05/2019 | NOK | 56,118 | $ | 6,528 | $ | 31 | $ | — | |||
Barclays Bank PLC | 03/05/2019 | $ | 7,416 | PEN | 24,428 | 10 | — | |||||
Barclays Bank PLC | 03/05/2019 | $ | 8,001 | PEN | 26,512 | — | (37 | ) | ||||
Barclays Bank PLC | 03/05/2019 | PEN | 40,779 | $ | 12,427 | — | (64 | ) | ||||
Barclays Bank PLC | 03/05/2019 | $ | 1,506 | PEN | 4,965 | 1 | — | |||||
Barclays Bank PLC | 03/05/2019 | PEN | 14,873 | $ | 4,496 | 13 | — | |||||
Barclays Bank PLC | 03/05/2019 | PHP | 487,976 | $ | 9,207 | 227 | — | |||||
Barclays Bank PLC | 03/05/2019 | $ | 9,207 | PHP | 485,646 | — | (182 | ) | ||||
Barclays Bank PLC | 03/05/2019 | SEK | 710 | $ | 77 | — | — | |||||
Barclays Bank PLC | 03/05/2019 | SEK | 39,709 | $ | 4,276 | 24 | — | |||||
Barclays Bank PLC | 03/05/2019 | $ | 5,380 | SEK | 49,916 | — | (25 | ) | ||||
Barclays Bank PLC | 03/06/2019 | $ | 574 | CLP | 375,233 | 2 | — | |||||
Barclays Bank PLC | 03/06/2019 | $ | 383 | CLP | 254,936 | — | (6 | ) | ||||
Barclays Bank PLC | 03/06/2019 | CLP | 641,491 | $ | 956 | 22 | — | |||||
Barclays Bank PLC | 03/06/2019 | EUR | 3,589 | $ | 4,127 | — | (44 | ) | ||||
Barclays Bank PLC | 03/06/2019 | $ | 4,124 | EUR | 3,589 | 41 | — | |||||
Barclays Bank PLC | 03/06/2019 | JPY | 312,964 | $ | 2,794 | 14 | — | |||||
Barclays Bank PLC | 03/06/2019 | $ | 1,362 | JPY | 150,212 | 14 | — | |||||
Barclays Bank PLC | 03/06/2019 | $ | 1,432 | JPY | 159,934 | — | (3 | ) | ||||
Barclays Bank PLC | 03/07/2019 | $ | 2,642 | CLP | 1,724,148 | 13 | — | |||||
Barclays Bank PLC | 03/07/2019 | CLP | 10,447,553 | $ | 15,480 | 451 | — | |||||
Barclays Bank PLC | 03/07/2019 | MYR | 3,975 | $ | 973 | 4 | — | |||||
Barclays Bank PLC | 03/07/2019 | KRW | 4,899,522 | $ | 4,378 | — | (22 | ) | ||||
Barclays Bank PLC | 03/07/2019 | $ | 4,379 | KRW | 4,865,234 | 53 | — | |||||
Barclays Bank PLC | 03/07/2019 | $ | 200 | CHF | 200 | — | — | |||||
Barclays Bank PLC | 03/08/2019 | AUD | 1,358 | $ | 966 | — | (3 | ) | ||||
Barclays Bank PLC | 03/08/2019 | $ | 139 | GBP | 105 | — | — | |||||
Barclays Bank PLC | 03/08/2019 | GBP | 453 | $ | 600 | — | — | |||||
Barclays Bank PLC | 03/08/2019 | $ | 602 | GBP | 453 | 2 | — | |||||
Barclays Bank PLC | 03/08/2019 | CAD | 21,478 | $ | 16,285 | 38 | — | |||||
Barclays Bank PLC | 03/08/2019 | $ | 8,133 | CAD | 10,760 | — | (45 | ) | ||||
Barclays Bank PLC | 03/08/2019 | $ | 5,738 | CAD | 7,544 | 4 | — | |||||
Barclays Bank PLC | 03/08/2019 | $ | 2,061 | EUR | 1,810 | 2 | — | |||||
Barclays Bank PLC | 03/08/2019 | EUR | 122 | $ | 139 | — | — | |||||
Barclays Bank PLC | 03/08/2019 | EUR | 3,224 | $ | 3,682 | — | (14 | ) | ||||
Barclays Bank PLC | 03/08/2019 | $ | 905 | JPY | 100,748 | 1 | — | |||||
Barclays Bank PLC | 03/08/2019 | JPY | 350,796 | $ | 3,167 | — | (19 | ) | ||||
Barclays Bank PLC | 03/11/2019 | AUD | 8,129 | $ | 5,788 | — | (21 | ) | ||||
Barclays Bank PLC | 03/11/2019 | $ | 2,948 | AUD | 4,127 | 20 | — | |||||
Barclays Bank PLC | 03/11/2019 | GBP | 817 | $ | 1,061 | 23 | — | |||||
Barclays Bank PLC | 03/11/2019 | EUR | 905 | $ | 1,030 | — | — | |||||
Barclays Bank PLC | 03/11/2019 | $ | 3,984 | EUR | 3,501 | — | — | |||||
Barclays Bank PLC | 03/11/2019 | $ | 9,845 | JPY | 1,080,685 | 144 | — | |||||
Barclays Bank PLC | 03/11/2019 | JPY | 702,507 | $ | 6,356 | — | (50 | ) | ||||
Barclays Bank PLC | 03/11/2019 | $ | 5,270 | NZD | 7,692 | 31 | — | |||||
Barclays Bank PLC | 03/11/2019 | NZD | 3,982 | $ | 2,695 | 17 | — | |||||
Barclays Bank PLC | 03/11/2019 | $ | 463 | NZD | 685 | — | (4 | ) | ||||
Barclays Bank PLC | 03/11/2019 | NZD | 3,759 | $ | 2,571 | — | (11 | ) | ||||
Barclays Bank PLC | 03/11/2019 | $ | 1,030 | NOK | 8,794 | 2 | — | |||||
Barclays Bank PLC | 03/11/2019 | $ | 4,115 | NOK | 35,335 | — | (16 | ) | ||||
Barclays Bank PLC | 03/11/2019 | NOK | 47,576 | $ | 5,534 | 28 | — | |||||
Barclays Bank PLC | 03/11/2019 | NOK | 28,749 | $ | 3,367 | — | (6 | ) | ||||
Barclays Bank PLC | 03/11/2019 | $ | 15 | ZAR | 217 | — | — | |||||
Barclays Bank PLC | 03/11/2019 | $ | 1,565 | ZAR | 22,239 | — | (12 | ) | ||||
Barclays Bank PLC | 03/11/2019 | ZAR | 22,455 | $ | 1,564 | 28 | — | |||||
Barclays Bank PLC | 03/11/2019 | $ | 881 | SEK | 8,122 | 1 | — | |||||
Barclays Bank PLC | 03/11/2019 | SEK | 18,743 | $ | 2,033 | — | (2 | ) | ||||
Barclays Bank PLC | 03/11/2019 | $ | 1,734 | SEK | 16,027 | — | (2 | ) | ||||
Barclays Bank PLC | 03/12/2019 | $ | 2,247 | ZAR | 32,608 | — | (65 | ) | ||||
Barclays Bank PLC | 03/13/2019 | $ | 703 | MXN | 14,492 | — | (48 | ) | ||||
Barclays Bank PLC | 03/14/2019 | $ | 6,339 | ZAR | 91,164 | — | (123 | ) | ||||
Barclays Bank PLC | 03/14/2019 | ZAR | 91,164 | $ | 6,565 | — | (103 | ) | ||||
Barclays Bank PLC | 03/15/2019 | CNH | 214,142 | $ | 31,707 | 251 | — | |||||
Barclays Bank PLC | 03/15/2019 | $ | 31,707 | CNH | 218,910 | — | (963 | ) | ||||
Barclays Bank PLC | 03/15/2019 | EUR | 1,358 | $ | 1,541 | 4 | — | |||||
Barclays Bank PLC | 03/15/2019 | $ | 1,539 | EUR | 1,358 | — | (6 | ) | ||||
Barclays Bank PLC | 03/15/2019 | NOK | 36,624 | $ | 4,255 | 28 | — | |||||
Barclays Bank PLC | 03/15/2019 | $ | 1,810 | NOK | 15,429 | 6 | — |
See accompanying notes.
116
Consolidated Schedule of Investments | ||||||||||||
Global Multi-Strategy Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Foreign Currency Contracts (continued) | ||||||||||||
Unrealized Appreciation/(Depreciation) | ||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | |||||||
Barclays Bank PLC | 03/15/2019 | $ | 2,292 | NOK | 19,699 | $ | — $ | (12 | ) | |||
Barclays Bank PLC | 03/15/2019 | SEK | 31,921 | $ | 3,476 | — | (16 | ) | ||||
Barclays Bank PLC | 03/15/2019 | $ | 3,928 | SEK | 36,622 | — | (41 | ) | ||||
Barclays Bank PLC | 03/15/2019 | SEK | 4,198 | $ | 452 | 3 | — | |||||
Barclays Bank PLC | 03/18/2019 | KRW | 1,636,691 | $ | 1,459 | — | (4 | ) | ||||
Barclays Bank PLC | 03/18/2019 | $ | 1,912 | KRW | 2,156,276 | — | (5 | ) | ||||
Barclays Bank PLC | 03/18/2019 | $ | 3,269 | KRW | 3,657,233 | 17 | — | |||||
Barclays Bank PLC | 03/20/2019 | $ | 5,236 | GBP | 4,115 | — | (226 | ) | ||||
Barclays Bank PLC | 03/20/2019 | $ | 14,283 | EUR | 12,582 | — | (47 | ) | ||||
Barclays Bank PLC | 03/20/2019 | $ | 39,657 | JPY | 4,451,392 | — | (334 | ) | ||||
Barclays Bank PLC | 03/22/2019 | $ | 1,946 | KRW | 2,182,186 | 6 | — | |||||
Barclays Bank PLC | 03/25/2019 | ARS | 41,335 | $ | 1,007 | 29 | — | |||||
Barclays Bank PLC | 03/25/2019 | ARS | 91,175 | $ | 2,220 | 65 | — | |||||
Barclays Bank PLC | 03/25/2019 | CNH | 9,116 | $ | 1,358 | 3 | — | |||||
Barclays Bank PLC | 03/25/2019 | $ | 1,357 | CNH | 9,133 | — | (6 | ) | ||||
Barclays Bank PLC | 03/25/2019 | EUR | 453 | $ | 516 | — | — | |||||
Barclays Bank PLC | 03/25/2019 | $ | 4,270 | EUR | 3,752 | — | (5 | ) | ||||
Barclays Bank PLC | 03/25/2019 | JPY | 469,644 | $ | 4,251 | — | (30 | ) | ||||
Barclays Bank PLC | 03/25/2019 | PLN | 71 | $ | 19 | — | — | |||||
Barclays Bank PLC | 03/25/2019 | $ | 516 | PLN | 1,949 | — | — | |||||
Barclays Bank PLC | 03/27/2019 | $ | 2,433 | KRW | 2,715,395 | 18 | — | |||||
Barclays Bank PLC | 03/28/2019 | ARS | 19,295 | $ | 486 | — | (4 | ) | ||||
Barclays Bank PLC | 03/29/2019 | AUD | 245 | $ | 176 | — | (2 | ) | ||||
Barclays Bank PLC | 03/29/2019 | HUF | 44,660 | $ | 160 | 1 | — | |||||
Barclays Bank PLC | 04/01/2019 | ARS | 18,620 | $ | 453 | 11 | — | |||||
Barclays Bank PLC | 04/01/2019 | $ | 453 | ARS | 18,068 | 3 | — | |||||
Barclays Bank PLC | 04/01/2019 | TRY | 260 | $ | 48 | — | — | |||||
Barclays Bank PLC | 04/04/2019 | $ | 138 | SEK | 1,275 | — | — | |||||
Barclays Bank PLC | 04/08/2019 | $ | 2,676 | JPY | 285,783 | 104 | — | |||||
Barclays Bank PLC | 04/08/2019 | JPY | 285,854 | $ | 2,675 | — | (103 | ) | ||||
Barclays Bank PLC | 04/17/2019 | EUR | 4,184 | $ | 4,843 | — | (67 | ) | ||||
Barclays Bank PLC | 04/17/2019 | EUR | 498 | $ | 567 | 1 | — | |||||
Barclays Bank PLC | 04/17/2019 | $ | 443 | EUR | 389 | — | (1 | ) | ||||
Barclays Bank PLC | 04/17/2019 | $ | 569 | EUR | 498 | 1 | — | |||||
Barclays Bank PLC | 04/17/2019 | $ | 981 | JPY | 107,558 | 12 | — | |||||
Barclays Bank PLC | 04/17/2019 | JPY | 937,682 | $ | 8,663 | — | (218 | ) | ||||
Barclays Bank PLC | 04/17/2019 | $ | 6,957 | THB | 217,858 | 36 | — | |||||
Barclays Bank PLC | 04/17/2019 | THB | 513,673 | $ | 16,405 | — | (86 | ) | ||||
Barclays Bank PLC | 04/17/2019 | THB | 45,974 | $ | 1,460 | 1 | — | |||||
Barclays Bank PLC | 04/17/2019 | $ | 13,622 | THB | 433,175 | — | (140 | ) | ||||
Barclays Bank PLC | 04/23/2019 | PLN | 5,325 | $ | 1,418 | — | (8 | ) | ||||
Barclays Bank PLC | 05/06/2019 | BRL | 36,953 | $ | 9,975 | — | (177 | ) | ||||
Barclays Bank PLC | 05/06/2019 | $ | 543 | BRL | 2,024 | 6 | — | |||||
Barclays Bank PLC | 05/06/2019 | $ | 12,651 | PHP | 665,612 | — | (147 | ) | ||||
Barclays Bank PLC | 05/06/2019 | PHP | 661,045 | $ | 12,651 | 59 | — | |||||
Barclays Bank PLC | 05/06/2019 | $ | 4,233 | TRY | 23,174 | 38 | — | |||||
Barclays Bank PLC | 05/06/2019 | TRY | 23,276 | $ | 4,233 | — | (19 | ) | ||||
Barclays Bank PLC | 05/07/2019 | ZAR | 11,290 | $ | 790 | 5 | — | |||||
Barclays Bank PLC | 05/07/2019 | $ | 790 | ZAR | 11,215 | — | — | |||||
Barclays Bank PLC | 05/20/2019 | $ | 1,162 | EUR | 1,015 | — | — | |||||
Barclays Bank PLC | 05/20/2019 | EUR | 10,987 | $ | 12,477 | 101 | — | |||||
Barclays Bank PLC | 05/20/2019 | $ | 12,476 | RON | 52,781 | — | (147 | ) | ||||
Barclays Bank PLC | 05/20/2019 | RON | 4,889 | $ | 1,162 | 7 | — | |||||
Barclays Bank PLC | 05/28/2019 | MYR | 3,683 | $ | 905 | — | (2 | ) | ||||
Barclays Bank PLC | 05/28/2019 | MYR | 53,942 | $ | 13,253 | — | (27 | ) | ||||
Barclays Bank PLC | 05/28/2019 | PHP | 796,793 | $ | 15,221 | 80 | — | |||||
Barclays Bank PLC | 05/28/2019 | $ | 15,221 | PHP | 796,676 | — | (78 | ) | ||||
Barclays Bank PLC | 05/31/2019 | IDR | 44,015,090 | $ | 3,110 | — | (39 | ) | ||||
Barclays Bank PLC | 06/26/2019 | IDR | 6,953,058 | $ | 487 | — | (3 | ) | ||||
Barclays Bank PLC | 06/28/2019 | IDR | 9,791,272 | $ | 658 | 23 | — | |||||
Barclays Bank PLC | 07/08/2019 | $ | 3,406 | PHP | 180,358 | — | (49 | ) | ||||
Barclays Bank PLC | 07/08/2019 | PHP | 178,834 | $ | 3,406 | 20 | — | |||||
Barclays Bank PLC | 08/01/2019 | CNH | 22,419 | $ | 3,339 | 7 | — | |||||
Barclays Bank PLC | 08/01/2019 | $ | 3,339 | CNH | 22,419 | — | (7 | ) | ||||
Barclays Bank PLC | 08/01/2019 | EUR | 2,872 | $ | 3,339 | — | (31 | ) | ||||
Barclays Bank PLC | 08/01/2019 | $ | 3,339 | EUR | 2,872 | 31 | — | |||||
Barclays Bank PLC | 09/05/2019 | KRW | 2,151,420 | $ | 1,923 | 1 | — | |||||
Citigroup Inc | 03/20/2019 | AUD | 28,438 | $ | 20,594 | — | (419 | ) |
See accompanying notes.
117
Consolidated Schedule of Investments | ||||||||||||
Global Multi-Strategy Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Foreign Currency Contracts (continued) | ||||||||||||
Unrealized Appreciation/(Depreciation) | ||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | |||||||
Citigroup Inc | 03/20/2019 | $ | 2,962 | AUD | 4,198 | $ | — $ | (16 | ) | |||
Citigroup Inc | 03/20/2019 | AUD | 498$ | 352 | 1 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 15,811 | AUD | 21,989 | 211 | — | |||||
Citigroup Inc | 03/20/2019 | BRL | 25,431$ | 6,821 | — | (58 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 8,145 | BRL | 31,494 | — | (231 | ) | ||||
Citigroup Inc | 03/20/2019 | BRL | 6,731$ | 1,782 | 8 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 2,787 | BRL | 10,415 | 17 | — | |||||
Citigroup Inc | 03/20/2019 | GBP | 5$ | 7 | — | — | ||||||
Citigroup Inc | 03/20/2019 | GBP | 11,410$ | 14,779 | 365 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 60 | GBP | 46 | — | — | |||||
Citigroup Inc | 03/20/2019 | $ | 14,266 | GBP | 11,128 | — | (503 | ) | ||||
Citigroup Inc | 03/20/2019 | $ | 1,937 | CAD | 2,546 | 2 | — | |||||
Citigroup Inc | 03/20/2019 | CAD | 32,874$ | 24,806 | 187 | — | ||||||
Citigroup Inc | 03/20/2019 | CAD | 5,027$ | 3,830 | — | (8 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 20,121 | CAD | 26,872 | — | (309 | ) | ||||
Citigroup Inc | 03/20/2019 | CLP | 381,936$ | 585 | — | (2 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 3,103 | CLP | 2,102,544 | — | (104 | ) | ||||
Citigroup Inc | 03/20/2019 | $ | 12 | CLP | 7,597 | — | — | |||||
Citigroup Inc | 03/20/2019 | CLP | 1,624,901$ | 2,429 | 49 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 3,255 | CNY | 22,619 | — | (125 | ) | ||||
Citigroup Inc | 03/20/2019 | CNY | 15,094$ | 2,220 | 35 | — | ||||||
Citigroup Inc | 03/20/2019 | CNY | 5,016$ | 751 | — | (1 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 263 | COP | 849,708 | — | (13 | ) | ||||
Citigroup Inc | 03/20/2019 | COP | 880,670$ | 277 | 9 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 5 | COP | 15,481 | — | — | |||||
Citigroup Inc | 03/20/2019 | CZK | 38,100$ | 1,668 | 24 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 416 | CZK | 9,300 | 3 | — | |||||
Citigroup Inc | 03/20/2019 | $ | 1,265 | CZK | 28,800 | — | (14 | ) | ||||
Citigroup Inc | 03/20/2019 | $ | 58 | EUR | 51 | — | — | |||||
Citigroup Inc | 03/20/2019 | $ | 46,314 | EUR | 40,373 | 334 | — | |||||
Citigroup Inc | 03/20/2019 | EUR | 11,576$ | 13,154 | 30 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 3,149 | EUR | 2,776 | — | (13 | ) | ||||
Citigroup Inc | 03/20/2019 | EUR | 18,220$ | 20,931 | — | (180 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 3,233 | HKD | 25,307 | 7 | — | |||||
Citigroup Inc | 03/20/2019 | HKD | 28,120$ | 3,604 | — | (19 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 34 | HUF | 9,414 | — | — | |||||
Citigroup Inc | 03/20/2019 | HUF | 474,678$ | 1,702 | 11 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 2,175 | HUF | 612,764 | — | (36 | ) | ||||
Citigroup Inc | 03/20/2019 | HUF | 50,000$ | 182 | — | (2 | ) | |||||
Citigroup Inc | 03/20/2019 | INR | 149,290$ | 2,090 | 9 | — | ||||||
Citigroup Inc | 03/20/2019 | INR | 127,981$ | 1,812 | — | (13 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 27 | INR | 1,887 | — | — | |||||
Citigroup Inc | 03/20/2019 | $ | 3,041 | INR | 217,720 | — | (20 | ) | ||||
Citigroup Inc | 03/20/2019 | IDR | 11,483,855$ | 790 | 22 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 395 | IDR | 5,556,250 | 2 | — | |||||
Citigroup Inc | 03/20/2019 | $ | 561 | IDR | 8,117,087 | — | (13 | ) | ||||
Citigroup Inc | 03/20/2019 | IDR | 3,715,353$ | 265 | — | (2 | ) | |||||
Citigroup Inc | 03/20/2019 | ILS | 2,757$ | 756 | 6 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 4,856ILS | 17,928 | — | (97 | ) | |||||
Citigroup Inc | 03/20/2019 | ILS | 12,882$ | 3,569 | — | (11 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 10ILS | 37 | — | — | ||||||
Citigroup Inc | 03/20/2019 | JPY | 663,293$ | 5,933 | 26 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 7,889 | JPY | 865,732 | 111 | — | |||||
Citigroup Inc | 03/20/2019 | JPY | 1,395,723$ | 12,735 | — | (196 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 9,749 | JPY | 1,093,505 | — | (75 | ) | ||||
Citigroup Inc | 03/20/2019 | MXN | 268,102$ | 13,106 | 764 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 6,454 | MXN | 124,138 | 32 | — | |||||
Citigroup Inc | 03/20/2019 | $ | 2,131 | MXN | 42,748 | — | (81 | ) | ||||
Citigroup Inc | 03/20/2019 | MXN | 19,529$ | 1,017 | — | (7 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 2,672 | TWD | 81,628 | 20 | — | |||||
Citigroup Inc | 03/20/2019 | TWD | 24,208$ | 785 | 1 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 129 | TWD | 3,964 | — | — | |||||
Citigroup Inc | 03/20/2019 | TWD | 23,814$ | 777 | — | (3 | ) | |||||
Citigroup Inc | 03/20/2019 | NZD | 6,639$ | 4,508 | 14 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 4,181 | NZD | 6,185 | — | (32 | ) | ||||
Citigroup Inc | 03/20/2019 | NZD | 16,382$ | 11,285 | — | (128 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 6,874 | NZD | 10,025 | 46 | — | |||||
Citigroup Inc | 03/20/2019 | $ | 1,492 | NOK | 12,905 | — | (18 | ) |
See accompanying notes.
118
Consolidated Schedule of Investments | ||||||||||||
Global Multi-Strategy Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Foreign Currency Contracts (continued) | ||||||||||||
Unrealized Appreciation/(Depreciation) | ||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | |||||||
Citigroup Inc | 03/20/2019 | NOK | 7,442$ | 875 | $ | — $ | (4 | ) | ||||
Citigroup Inc | 03/20/2019 | $ | 3,910 | NOK | 33,205 | 26 | — | |||||
Citigroup Inc | 03/20/2019 | NOK | 16,757$ | 1,949 | 11 | — | ||||||
Citigroup Inc | 03/20/2019 | PHP | 29,351$ | 557 | 9 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 484 | PHP | 25,545 | — | (9 | ) | ||||
Citigroup Inc | 03/20/2019 | PLN | 962$ | 254 | 1 | — | ||||||
Citigroup Inc | 03/20/2019 | PLN | 8,502$ | 2,264 | — | (15 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 989 | PLN | 3,713 | 7 | — | |||||
Citigroup Inc | 03/20/2019 | $ | 1,034 | PLN | 3,944 | — | (9 | ) | ||||
Citigroup Inc | 03/20/2019 | SGD | 2,414$ | 1,786 | — | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 1,773 | SGD | 2,393 | 3 | — | |||||
Citigroup Inc | 03/20/2019 | SGD | 2,755$ | 2,019 | 20 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 1,194 | SGD | 1,616 | — | (2 | ) | ||||
Citigroup Inc | 03/20/2019 | $ | 1,538 | ZAR | 22,000 | — | (20 | ) | ||||
Citigroup Inc | 03/20/2019 | $ | 2,477 | ZAR | 34,199 | 54 | — | |||||
Citigroup Inc | 03/20/2019 | ZAR | 18,041$ | 1,267 | 11 | — | ||||||
Citigroup Inc | 03/20/2019 | ZAR | 38,690$ | 2,786 | — | (45 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 1,779 | KRW | 2,002,130 | — | (1 | ) | ||||
Citigroup Inc | 03/20/2019 | $ | 5,820 | KRW | 6,494,356 | 45 | — | |||||
Citigroup Inc | 03/20/2019 | KRW | 1,187,395$ | 1,055 | 1 | — | ||||||
Citigroup Inc | 03/20/2019 | KRW | 5,549,549$ | 4,967 | — | (32 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 16,058 | SEK | 143,927 | 451 | — | |||||
Citigroup Inc | 03/20/2019 | $ | 588 | SEK | 5,438 | — | (2 | ) | ||||
Citigroup Inc | 03/20/2019 | SEK | 55,428$ | 6,168 | — | (158 | ) | |||||
Citigroup Inc | 03/20/2019 | SEK | 41,750$ | 4,477 | 50 | — | ||||||
Citigroup Inc | 03/20/2019 | CHF | 4,795$ | 4,854 | — | (41 | ) | |||||
Citigroup Inc | 03/20/2019 | CHF | 6,579$ | 6,584 | 20 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 20,074 | CHF | 19,768 | 231 | — | |||||
Citigroup Inc | 03/20/2019 | $ | 247 | CHF | 246 | — | — | |||||
Citigroup Inc | 03/20/2019 | $ | 81 | THB | 2,512 | 1 | — | |||||
Citigroup Inc | 03/20/2019 | THB | 2,440$ | 74 | 3 | — | ||||||
Citigroup Inc | 03/20/2019 | THB | 72$ | 2 | — | — | ||||||
Citigroup Inc | 06/19/2019 | AUD | 7,858$ | 5,628 | — | (46 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 3,030 | AUD | 4,228 | 28 | — | |||||
Citigroup Inc | 06/19/2019 | $ | 3,912 | BRL | 14,676 | 37 | — | |||||
Citigroup Inc | 06/19/2019 | BRL | 43$ | 11 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 2,858 | BRL | 10,842 | — | (5 | ) | ||||
Citigroup Inc | 06/19/2019 | $ | 7 | GBP | 5 | — | — | |||||
Citigroup Inc | 06/19/2019 | GBP | 1,111$ | 1,468 | 13 | — | ||||||
Citigroup Inc | 06/19/2019 | GBP | 588$ | 785 | — | (2 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 505 | GBP | 384 | — | (7 | ) | ||||
Citigroup Inc | 06/19/2019 | CAD | 7,756$ | 5,894 | 16 | — | ||||||
Citigroup Inc | 06/19/2019 | CAD | 1,338$ | 1,020 | — | (1 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 72 | CAD | 95 | — | — | |||||
Citigroup Inc | 06/19/2019 | $ | 1,224 | CAD | 1,611 | — | (4 | ) | ||||
Citigroup Inc | 06/19/2019 | CLP | 1,519$ | 2 | — | — | ||||||
Citigroup Inc | 06/19/2019 | CLP | 40,122$ | 61 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 28 | CLP | 18,600 | — | — | |||||
Citigroup Inc | 06/19/2019 | $ | 143 | CLP | 93,210 | 1 | — | |||||
Citigroup Inc | 06/19/2019 | $ | 424 | CNY | 2,868 | — | (4 | ) | ||||
Citigroup Inc | 06/19/2019 | $ | 1,160 | CNY | 7,758 | 3 | — | |||||
Citigroup Inc | 06/19/2019 | CNY | 120$ | 18 | — | — | ||||||
Citigroup Inc | 06/19/2019 | CNY | 232$ | 35 | — | — | ||||||
Citigroup Inc | 06/19/2019 | COP | 15,481$ | 5 | — | — | ||||||
Citigroup Inc | 06/19/2019 | COP | 46,443$ | 15 | — | — | ||||||
Citigroup Inc | 06/19/2019 | CZK | 6,100$ | 271 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 245 | CZK | 5,500 | — | — | |||||
Citigroup Inc | 06/19/2019 | $ | 4,439 | EUR | 3,859 | 10 | — | |||||
Citigroup Inc | 06/19/2019 | $ | 13,257 | EUR | 11,578 | — | (31 | ) | ||||
Citigroup Inc | 06/19/2019 | EUR | 530$ | 607 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | EUR | 711$ | 817 | — | (1 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 90 | HKD | 701 | — | — | |||||
Citigroup Inc | 06/19/2019 | HKD | 12,427$ | 1,589 | — | (1 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 1,056 | HUF | 292,500 | — | (7 | ) | ||||
Citigroup Inc | 06/19/2019 | HUF | 10,001$ | 36 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 56 | INR | 4,000 | — | — | |||||
Citigroup Inc | 06/19/2019 | INR | 116,659$ | 1,615 | 9 | — | ||||||
Citigroup Inc | 06/19/2019 | IDR | 1,852,083$ | 129 | — | — |
See accompanying notes.
119
Consolidated Schedule of Investments | |||||||||||||
Global Multi-Strategy Fund | |||||||||||||
February 28, 2019 (unaudited) | |||||||||||||
Foreign Currency Contracts (continued) | |||||||||||||
Unrealized Appreciation/(Depreciation) | |||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | ||||||||
Citigroup Inc | 06/19/2019 | $ | 23 | IDR | 326,212 | $ | — $ | — | |||||
Citigroup Inc | 06/19/2019 | IDR | 5,826,713 | $ | 410 | — | (4 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 115 | IDR | 1,642,958 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | ILS | 4,010 | $ | 1,118 | — | (3 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 3,281 | ILS | 11,770 | 10 | — | ||||||
Citigroup Inc | 06/19/2019 | JPY | 367,670 | $ | 3,353 | — | (25 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 3,262 | JPY | 358,302 | 19 | — | ||||||
Citigroup Inc | 06/19/2019 | MXN | 105,646 | $ | 5,415 | — | (24 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 321 | MXN | 6,261 | 2 | — | ||||||
Citigroup Inc | 06/19/2019 | TWD | 1,849 | $ | 60 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 692 | TWD | 21,213 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | TWD | 375 | $ | 12 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 519 | TWD | 15,910 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 1,498 | NZD | 2,178 | 12 | — | ||||||
Citigroup Inc | 06/19/2019 | NZD | 7,963 | $ | 5,472 | — | (39 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 1,949 | NOK | 16,698 | — | (12 | ) | |||||
Citigroup Inc | 06/19/2019 | NOK | 3,365 | $ | 395 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 656 | NOK | 5,566 | 2 | — | ||||||
Citigroup Inc | 06/19/2019 | NOK | 3,475 | $ | 406 | 2 | — | ||||||
Citigroup Inc | 06/19/2019 | PHP | 11,742 | $ | 224 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | PLN | 370 | $ | 98 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 178 | PLN | 676 | — | (1 | ) | |||||
Citigroup Inc | 06/19/2019 | PLN | 1,110 | $ | 291 | 3 | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 19 | SGD | 26 | — | — | ||||||
Citigroup Inc | 06/19/2019 | SGD | 2,369 | $ | 1,759 | — | (3 | ) | |||||
Citigroup Inc | 06/19/2019 | SGD | 1,184 | $ | 878 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 215 | SGD | 289 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 516 | ZAR | 7,275 | 6 | — | ||||||
Citigroup Inc | 06/19/2019 | ZAR | 1,321 | $ | 92 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | ZAR | 4,464 | $ | 317 | — | (4 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 62 | ZAR | 880 | — | — | ||||||
Citigroup Inc | 06/19/2019 | KRW | 368,317 | $ | 329 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 1,953 | KRW | 2,181,180 | 8 | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 917 | KRW | 1,029,719 | — | (1 | ) | |||||
Citigroup Inc | 06/19/2019 | KRW | 315,744 | $ | 283 | — | (1 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 1,145 | SEK | 10,438 | 5 | — | ||||||
Citigroup Inc | 06/19/2019 | SEK | 4,293 | $ | 464 | 5 | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 4,578 | SEK | 42,383 | — | (53 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 2,193 | CHF | 2,164 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | CHF | 4 | $ | 4 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 6,728 | CHF | 6,665 | — | (22 | ) | |||||
Citigroup Inc | 06/19/2019 | CHF | 162 | $ | 164 | — | — | ||||||
Citigroup Inc | 06/19/2019 | THB | 2,512 | $ | 80 | — | — | ||||||
Credit Suisse | 03/28/2019 | $ | 1,071 | COP | 3,330,000 | — | (9 | ) | |||||
Deutsche Bank AG | 03/20/2019 | GBP | 2,407 | $ | 3,149 | 47 | — | ||||||
Deutsche Bank AG | 03/29/2019 | $ | 1,380 | GBP | 1,046 | — | (9 | ) | |||||
Deutsche Bank AG | 03/29/2019 | $ | 470 | EUR | 412 | — | — | ||||||
Goldman Sachs & Co | 03/20/2019 | EUR | 3,409 | $ | 3,901 | — | (18 | ) | |||||
Goldman Sachs & Co | 03/20/2019 | EUR | 2,079 | $ | 2,363 | 5 | — | ||||||
HSBC Securities Inc | 03/20/2019 | EUR | 1,133 | $ | 1,288 | 3 | — | ||||||
HSBC Securities Inc | 03/28/2019 | BRL | 25,600 | $ | 6,803 | 1 | — | ||||||
HSBC Securities Inc | 03/28/2019 | CLP | 4,430,000 | $ | 6,833 | — | (77 | ) | |||||
HSBC Securities Inc | 03/28/2019 | $ | 6,788 | RUB | 448,000 | 15 | — | ||||||
HSBC Securities Inc | 03/28/2019 | $ | 4,575 | ZAR | 64,000 | 46 | — | ||||||
JPMorgan Chase | 03/20/2019 | EUR | 514 | $ | 581 | 5 | — | ||||||
Merrill Lynch | 03/04/2019 | $ | 162 | COP | 510,785 | — | (4 | ) | |||||
Merrill Lynch | 03/04/2019 | COP | 510,785 | $ | 165 | 1 | — | ||||||
Merrill Lynch | 03/07/2019 | $ | 229 | EUR | 200 | 1 | — | ||||||
Merrill Lynch | 03/08/2019 | IDR | 3,483,560 | $ | 249 | — | (2 | ) | |||||
Merrill Lynch | 03/25/2019 | TRY | 870 | $ | 160 | 1 | — | ||||||
Merrill Lynch | 03/29/2019 | KRW | 178,940 | $ | 160 | — | (1 | ) | |||||
Merrill Lynch | 04/15/2019 | NOK | 18,155 | $ | 2,141 | — | (14 | ) | |||||
Morgan Stanley & Co | 03/05/2019 | INR | 13,170 | $ | 184 | 1 | — | ||||||
Morgan Stanley & Co | 03/05/2019 | $ | 183 | INR | 13,170 | — | (2 | ) | |||||
Morgan Stanley & Co | 03/06/2019 | RUB | 9,160 | $ | 139 | — | — | ||||||
Morgan Stanley & Co | 03/07/2019 | ARS | 1,800 | $ | 47 | — | (1 | ) | |||||
Morgan Stanley & Co | 03/07/2019 | $ | 46 | ARS | 1,800 | — | — | ||||||
Morgan Stanley & Co | 03/07/2019 | BRL | 510 | $ | 139 | — | (3 | ) |
See accompanying notes.
120
Consolidated Schedule of Investments | ||||||||||||||||||||||
Global Multi-Strategy Fund | ||||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||||
Foreign Currency Contracts (continued) | ||||||||||||||||||||||
Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | |||||||||||||||||
Morgan Stanley & Co | 03/07/2019 | $ | 136 | BRL | 510 | $ | — $ | — | ||||||||||||||
Morgan Stanley & Co | 03/14/2019 | $ | 167 | INR | 11,865 | — | — | |||||||||||||||
Morgan Stanley & Co | 03/14/2019 | INR | 11,865 | $ | 168 | — | (1 | ) | ||||||||||||||
Morgan Stanley & Co | 03/20/2019 | $ | 1,050 | CNH | 7,137 | — | (15 | ) | ||||||||||||||
Morgan Stanley & Co | 03/20/2019 | $ | 250 | KRW | 280,875 | — | — | |||||||||||||||
Morgan Stanley & Co | 03/25/2019 | $ | 261 | GBP | 200 | — | (4 | ) | ||||||||||||||
Morgan Stanley & Co | 03/28/2019 | $ | 164 | ARS | 6,610 | — | (1 | ) | ||||||||||||||
Morgan Stanley & Co | 03/28/2019 | ARS | 6,610 | $ | 164 | 1 | — | |||||||||||||||
Morgan Stanley & Co | 03/29/2019 | $ | 6,263 | ZAR | 86,950 | 111 | — | |||||||||||||||
Morgan Stanley & Co | 04/08/2019 | ARS | 1,800 | $ | 45 | — | — | |||||||||||||||
Morgan Stanley & Co | 04/08/2019 | BRL | 510 | $ | 135 | — | — | |||||||||||||||
Morgan Stanley & Co | 04/15/2019 | MYR | 8,735 | $ | 2,127 | 14 | — | |||||||||||||||
State Street Financial Global Markets | 03/20/2019 | JPY | 211,600 | $ | 1,950 | — | (49 | ) | ||||||||||||||
UBS AG | 03/04/2019 | $ | 163 | THB | 5,125 | — | — | |||||||||||||||
UBS AG | 03/04/2019 | THB | 5,125 | $ | 165 | — | (2 | ) | ||||||||||||||
UBS AG | 03/11/2019 | SGD | 210 | $ | 155 | — | — | |||||||||||||||
UBS AG | 03/20/2019 | JPY | 436,100 | $ | 3,945 | — | (27 | ) | ||||||||||||||
UBS AG | 04/04/2019 | THB | 5,125 | $ | 163 | — | — | |||||||||||||||
UBS AG | 04/15/2019 | HUF | 397,285 | $ | 1,431 | 6 | — | |||||||||||||||
Total | $ | 14,968 | $ | (17,141 | ) | |||||||||||||||||
Amounts in thousands. | ||||||||||||||||||||||
Credit Default Swaps | ||||||||||||||||||||||
Buy Protection | ||||||||||||||||||||||
Implied Credit | ||||||||||||||||||||||
Spread as of | (Pay)/ | Upfront | Unrealized | |||||||||||||||||||
February 28, | Receive Fixed | Payment | Notional | Payments/ | Appreciation/ | Fair Value | ||||||||||||||||
Counterparty | Reference Entity | 2019 | (a) | Rate | Frequency | Maturity Date | Amount | (Receipts) | (Depreciation) | Asset---- | Liability | |||||||||||
Bank of America NA | CDX.30.EM.100 | N/A | (1.00)% | Quarterly | 12/20/2023 | $ | 1,330 | $ | 38 | $ | (1 | )$ | 37 | $ | — | |||||||
Barclays Bank PLC | ITRAXX.ASIA | N/A | (1.00)% | Quarterly | 12/20/2023 | 16,800 | (102 | ) | (121 | ) | — | (223 | ) | |||||||||
Goldman Sachs & Co | Frontier | 21.01 | % | (5.00 | )% | Quarterly | 06/20/2022 | 3,000 | 730 | 238 | 968 | — | ||||||||||
Communications, 9.00%, | ||||||||||||||||||||||
08/15/2031 | ||||||||||||||||||||||
Goldman Sachs & Co | Gap Inc/The, 5.95%, | 0.74 | % | (1.00 | )% | Quarterly | 12/20/2021 | 3,000 | 177 | (198 | ) | — | (21 | ) | ||||||||
04/12/2021 | ||||||||||||||||||||||
Goldman Sachs & Co | Hertz Corp/The, 5.88%, | 2.73 | % | (5.00 | )% | Quarterly | 12/20/2020 | 6,000 | 26 | (261 | ) | — | (235 | ) | ||||||||
10/15/2020 | ||||||||||||||||||||||
Goldman Sachs & Co | International Lease | 0.64 | % | (5.00 | )% | Quarterly | 12/20/2021 | 6,000 | (593 | ) | (114 | ) | — | (707 | ) | |||||||
Finance Corp, 8.25%, | ||||||||||||||||||||||
12/15/2020 | ||||||||||||||||||||||
Goldman Sachs & Co | JC Penney Corp Inc, | 29.84 | % | (5.00 | )% | Quarterly | 12/20/2022 | 1,500 | 256 | 516 | 772 | — | ||||||||||
6.38%, 10/15/2036 | ||||||||||||||||||||||
Goldman Sachs & Co | JC Penney Corp Inc, | 26.79 | % | (5.00 | )% | Quarterly | 12/20/2021 | 1,000 | 323 | 84 | 407 | — | ||||||||||
6.38%, 10/15/2036 | ||||||||||||||||||||||
Goldman Sachs & Co | Kohl's Corp, 4.00%, | 0.53 | % | (1.00 | )% | Quarterly | 12/20/2021 | 3,000 | 105 | (144 | ) | — | (39 | ) | ||||||||
11/01/2021 | ||||||||||||||||||||||
Goldman Sachs & Co | Macy's Retail Holdings | 1.38 | % | (1.00 | )% | Quarterly | 12/20/2022 | 3,000 | 238 | (197 | ) | 41 | — | |||||||||
Inc, 3.45%, 01/15/2021 | ||||||||||||||||||||||
Goldman Sachs & Co | Nordstrom Inc, 6.95%, | 0.61 | % | (1.00 | )% | Quarterly | 12/20/2021 | 3,000 | 44 | (76 | ) | — | (32 | ) | ||||||||
03/15/2028 | ||||||||||||||||||||||
Goldman Sachs & Co | RR Donnelley and Sons | 6.96 | % | (5.00 | )% | Quarterly | 12/20/2023 | 2,000 | 100 | 47 | 147 | — | ||||||||||
Co, 7.88%, 03/15/2021 | ||||||||||||||||||||||
Goldman Sachs & Co | Staples Inc, 3.75%, | 1.78 | % | (1.00 | )% | Quarterly | 12/20/2021 | 3,000 | 111 | (48 | ) | 63 | — | |||||||||
01/12/2018 | ||||||||||||||||||||||
HSBC Securities Inc | Republic of South Africa | 1.75 | % | (1.00 | )% | Quarterly | 12/20/2023 | 12,800 | 483 | (62 | ) | 421 | — | |||||||||
Government International | ||||||||||||||||||||||
Bond, 5.50%, 03/09/2020 | ||||||||||||||||||||||
HSBC Securities Inc | Saudi Government | 0.83 | % | (1.00 | )% | Quarterly | 12/20/2023 | 1,600 | 3 | (15 | ) | — | (12 | ) | ||||||||
International Bond, | ||||||||||||||||||||||
2.38%, 10/26/2021 | ||||||||||||||||||||||
JPMorgan Chase | Saudi Government | 0.83 | % | (1.00 | )% | Quarterly | 12/20/2023 | 9,875 | 13 | (87 | ) | — | (74 | ) | ||||||||
International Bond, | ||||||||||||||||||||||
2.38%, 10/26/2021 | ||||||||||||||||||||||
Merrill Lynch | Enel Spa, 5.25%, | 0.76 | % | (1.00 | )% | Quarterly | 06/20/2023 | EUR | 1,700 | (1 | ) | (19 | ) | — | (20 | ) | ||||||
05/20/2024 | ||||||||||||||||||||||
Morgan Stanley & Co | CMBX.NA.AAA | N/A (3.00)% | Monthly | 05/11/2063 | $ | 2,000 | 238 | 6 | 244 | — |
See accompanying notes.
121
Consolidated Schedule of Investments | ||||||||||||||||||||
Global Multi-Strategy Fund | ||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||
Credit Default Swaps (continued) | ||||||||||||||||||||
Buy Protection (continued) | ||||||||||||||||||||
Implied Credit | ||||||||||||||||||||
Spread as of | (Pay)/ | Upfront | Unrealized | |||||||||||||||||
February 28, | Receive Fixed | Payment | Notional | Payments/ | Appreciation/ | Fair Value | ||||||||||||||
Counterparty | Reference Entity | 2019 | (a) | Rate | Frequency | Maturity Date | Amount | (Receipts) | (Depreciation) | Asset---- | Liability | |||||||||
Morgan Stanley & Co | Enel Spa, 5.25%, | 0.85 | % | (1.00 | )% | Quarterly | 12/20/2023 | EUR | 1,120 | $ | 7 | $ | (15 | )$ | — $ | (8 | ) | |||
05/20/2024 | ||||||||||||||||||||
Morgan Stanley & Co | ITRAXX.ASIA | N/A | (1.00 | )% | Quarterly | 12/20/2023 | $ | 1,330 | (18 | ) | — | — | (18 | ) | ||||||
Total | $ | 2,178 | $ | (467) | $ 3,100 | $ (1,389) | ||||||||||||||
Amounts in thousands. | ||||||||||||||||||||
Exchange Cleared Credit Default Swaps | ||||||||||||||||||||
Buy Protection | ||||||||||||||||||||
Implied Credit | ||||||||||||||||||||
Spread as of | (Pay)/ | Upfront | Unrealized | |||||||||||||||||
February 28, | Receive Fixed | Payment | Notional | Payments/ | Appreciation/ | |||||||||||||||
Reference Entity | 2019 | (a) | Rate | Frequency | Maturity Date | Amount | (Receipts) | (Depreciation) | Fair Value | |||||||||||
Argentine Republic Government International | 6.59 | % | (5.00 | )% | Quarterly | 12/20/2023 | $ | 285 | $ | 14 | $ | 5 | $ | 19 | ||||||
Bond, 7.50%, 04/22/2026 | ||||||||||||||||||||
Argentine Republic Government International | 6.52 | % | (5.00 | )% | Quarterly | 06/20/2023 | 284 | 1 | 16 | 17 | ||||||||||
Bond, 7.50%, 04/22/2026 | ||||||||||||||||||||
Argentine Republic Government International | 6.52 | % | (5.00 | )% | Quarterly | 06/20/2023 | 760 | 1 | 44 | 45 | ||||||||||
Bond, 7.50%, 04/22/2026 | ||||||||||||||||||||
Argentine Republic Government International | 6.52 | % | (5.00 | )% | Quarterly | 06/20/2023 | 3,167 | 248 | (58 | ) | 190 | |||||||||
Bond, 7.50%, 04/22/2026 | ||||||||||||||||||||
CDX.NA.HY.31 | N/A | (5.00 | )% | Quarterly | 12/20/2023 | 2,940 | (97 | ) | (86 | ) | (183 | ) | ||||||||
ITRAXX.30.15 | N/A | (5.00 | )% | Quarterly | 12/20/2023 | EUR | 2,368 | (187 | ) | (77 | ) | (264 | ) | |||||||
ITRAXX.CDS.I | N/A | (5.00 | )% | Quarterly | 12/20/2022 | 7,893 | (773 | ) | 22 | (751 | ) | |||||||||
Turkey Government International Bond, 11.88%, | 3.92 | % | (1.00 | )% | Quarterly | 12/20/2023 | $ 20,256 | 2,165 | (439) | 1,726 | ||||||||||
01/15/2030 | ||||||||||||||||||||
Total | $ | 1,372 | $ | (573 | )$ | 799 | ||||||||||||||
Amounts in thousands. |
(a) Implied credit spreads, represented in absolute terms, used in determining the market value of credit default swap agreements on corporate issues or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Currency Swaps | ||||||||||||||||||||||
Notional Amount | Notional Amount | Upfront | Unrealized | |||||||||||||||||||
Payment | of Currency | of Currency | Payments/ | Appreciation/ | Fair Value | |||||||||||||||||
Counterparty | Fund Receives | Fund Pays | Frequency | Maturity Date | Received | Delivered | (Receipts) | (Depreciation) | Asset---- | Liability | ||||||||||||
Merrill Lynch | 3 Month Euro | 4.08 | % | Quarterly | 06/21/2021 | EUR | 5,677 | RON 27,000 | $ | — $ | (43 | )$ | — $ | (43 | ) | |||||||
Interbank Offered | ||||||||||||||||||||||
Rate | ||||||||||||||||||||||
Total | $ | — $ | (43 | )$ | — $ | (43 | ) | |||||||||||||||
Amounts in thousands. | ||||||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||
(Pay)/ | ||||||||||||||||||||||
Receive | Unrealized | Upfront | ||||||||||||||||||||
Floating | Fixed Payment | Effective | Notional | Appreciation/ | Payments/ | Fair Value | ||||||||||||||||
Counterparty | Floating Rate Index | Rate | Rate Frequency | Date (a) | Maturity Date | Amount | (Depreciation) | (Receipts) | Asset---- | Liability | ||||||||||||
Bank of America NA | 6 Month Thai Baht | Receive | 1.87% Semiannual | N/A | 12/13/2023 | THB | 70,715 | $ | 7 | $ | — $ | 7 | $ | — | ||||||||
Interest Rate Fixing | ||||||||||||||||||||||
Bank of America NA | 6 Month Thai Baht | Receive | 2.14% Semiannual | N/A | 08/02/2023 | 63,000 | (17 | ) | — | — | (17 | ) | ||||||||||
Interest Rate Fixing | ||||||||||||||||||||||
Bank of America NA | 6 Month Thai Baht | Receive | 2.09% Semiannual | N/A | 07/11/2023 | 58,736 | (12 | ) | 1 | — | (11 | ) | ||||||||||
Interest Rate Fixing | ||||||||||||||||||||||
Bank of America NA | 6 Month Thai Baht | Receive | 2.14% Semiannual | N/A | 05/11/2023 | 163,172 | (48 | ) | — | — | (48 | ) | ||||||||||
Interest Rate Fixing | ||||||||||||||||||||||
Bank of America NA | 6 Month Thai Baht | Receive | 2.10% Semiannual | N/A | 05/15/2023 | 163,172 | (38 | ) | — | — | (38 | ) | ||||||||||
Interest Rate Fixing | ||||||||||||||||||||||
Bank of America NA | Bank Negara Malaysia | Pay | 3.62% Quarterly | N/A | 03/20/2020 | MYR | 63,000 | (7 | ) | — | — | (7 | ) | |||||||||
Klibor Interbank Offered | ||||||||||||||||||||||
Rate Fixing 3 Month |
See accompanying notes.
122
Consolidated Schedule of Investments | ||||||||||||||||||||||||
Global Multi-Strategy Fund | ||||||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||||||
Interest Rate Swaps (continued) | ||||||||||||||||||||||||
(Pay)/ | ||||||||||||||||||||||||
Receive | Unrealized | Upfront | ||||||||||||||||||||||
Floating | Fixed | Payment | Effective | Notional | Appreciation/ | Payments/ | Fair Value | |||||||||||||||||
Counterparty | Floating Rate Index | Rate | Rate | Frequency | Date (a) | Maturity Date | Amount | (Depreciation) | (Receipts) | Asset----Liability | ||||||||||||||
Bank of America NA | Bank Negara Malaysia | Receive | 3.79 | % | Quarterly | N/A | 03/20/2024 | MYR | 13,500 | $ | 1 | $ | — $ | 1 | $ | — | ||||||||
Klibor Interbank Offered | ||||||||||||||||||||||||
Rate Fixing 3 Month | ||||||||||||||||||||||||
Bank of America NA | China Foreign Exchange | Pay | 3.63 | % | Quarterly | N/A | 05/04/2023 | CNY | 21,937 | 96 | 1 | 97 | — | |||||||||||
Trade System Fixing | ||||||||||||||||||||||||
Repo Rates 7 Day | ||||||||||||||||||||||||
Bank of America NA | China Foreign Exchange | Pay | 3.77 | % | Quarterly | N/A | 09/18/2022 | 5,859 | 28 | — | 28 | — | ||||||||||||
Trade System Fixing | ||||||||||||||||||||||||
Repo Rates 7 Day | ||||||||||||||||||||||||
Bank of America NA | China Foreign Exchange | Pay | 3.72 | % | Quarterly | N/A | 06/22/2022 | 11,886 | 52 | — | 52 | — | ||||||||||||
Trade System Fixing | ||||||||||||||||||||||||
Repo Rates 7 Day | ||||||||||||||||||||||||
Bank of America NA | China Foreign Exchange | Pay | 3.98 | % | Quarterly | N/A | 03/24/2022 | 9,200 | 49 | — | 49 | — | ||||||||||||
Trade System Fixing | ||||||||||||||||||||||||
Repo Rates 7 Day | ||||||||||||||||||||||||
Bank of America NA | China Foreign Exchange | Pay | 4.01 | % | Quarterly | N/A | 11/01/2022 | 5,889 | 36 | — | 36 | — | ||||||||||||
Trade System Fixing | ||||||||||||||||||||||||
Repo Rates 7 Day | ||||||||||||||||||||||||
Bank of America NA | China Foreign Exchange | Pay | 3.85 | % | Quarterly | N/A | 09/08/2022 | 8,370 | 44 | — | 44 | — | ||||||||||||
Trade System Fixing | ||||||||||||||||||||||||
Repo Rates 7 Day | ||||||||||||||||||||||||
Bank of America NA | Financial Benchmarks | Receive | 6.60% | Semiannual | N/A | 04/03/2023 | INR | 282,500 | (82 | ) | — | — | (82 | ) | ||||||||||
India Pvt. Ltd - | ||||||||||||||||||||||||
Overnight Mumbai | ||||||||||||||||||||||||
Interbank Offered Rate | ||||||||||||||||||||||||
Bank of America NA | Financial Benchmarks | Receive | 7.49% | Semiannual | N/A | 10/03/2023 | 133,728 | (98 | ) | — | — | (98 | ) | |||||||||||
India Pvt. Ltd - | ||||||||||||||||||||||||
Overnight Mumbai | ||||||||||||||||||||||||
Interbank Offered Rate | ||||||||||||||||||||||||
Barclays Bank PLC | 6 Month Budapest | Receive | 1.33% | Semiannual | N/A | 12/12/2021 | HUF | 3,208,874 | (40 | ) | — | — | (40 | ) | ||||||||||
Interbank Offered Rate | ||||||||||||||||||||||||
Barclays Bank PLC | 6 Month Warsaw | Receive | 2.20% | Semiannual | N/A | 12/12/2023 | PLN | 10,712 | (17 | ) | — | — | (17 | ) | ||||||||||
Interbank Offered Rate | ||||||||||||||||||||||||
Barclays Bank PLC | Brazil Cetip DI Interbank | Pay | 7.84 | % | Annual | N/A | 01/03/2022 | BRL | 9,050 | 8 | — | 8 | — | |||||||||||
Deposit Rate | ||||||||||||||||||||||||
Barclays Bank PLC | China Foreign Exchange | Pay | 2.98 | % | Quarterly | N/A | 12/12/2023 | CNY | 7,120 | 2 | — | 2 | — | |||||||||||
Trade System Fixing | ||||||||||||||||||||||||
Repo Rates 7 Day | ||||||||||||||||||||||||
Barclays Bank PLC | Financial Benchmarks | Receive | 7.54% | Semiannual | N/A | 10/10/2023 | INR | 174,580 | (145 | ) | — | — | (145 | ) | ||||||||||
India Pvt. Ltd - | ||||||||||||||||||||||||
Overnight Mumbai | ||||||||||||||||||||||||
Interbank Offered Rate | ||||||||||||||||||||||||
Merrill Lynch | 6 Month Thai Baht | Receive | 2.22% | Semiannual | N/A | 05/22/2023 | THB | 94,961 | (37 | ) | — | — | (37 | ) | ||||||||||
Interest Rate Fixing | ||||||||||||||||||||||||
Total | $ | (218 | )$ | 2 | $ | 324 | $ | (540 | ) | |||||||||||||||
Amounts in thousands. | ||||||||||||||||||||||||
Exchange Cleared Interest Rate Swaps | ||||||||||||||||||||||||
(Pay)/ | ||||||||||||||||||||||||
Receive | Unrealized | Upfront | ||||||||||||||||||||||
Floating | Fixed | Payment | Effective | Notional | Appreciation/ | Payments/ | ||||||||||||||||||
Floating Rate Index | Rate | Rate | Frequency | Date (a) | Maturity Date | Amount | (Depreciation) | (Receipts | Fair Value | |||||||||||||||
3 Month Johannesburg Interbank Agreed Rate | Pay | 7.82 | % | Quarterly | N/A | 05/08/2028 | ZAR | 14,707 | $ | (10 | )$ | — $ | (10 | ) | ||||||||||
3 Month Johannesburg Interbank Agreed Rate | Pay | 6.88 | % | Quarterly | N/A | 05/11/2020 | 69,549 | (14 | ) | 1 | (13 | ) | ||||||||||||
3 Month Johannesburg Interbank Agreed Rate | Pay | 7.64 | % | Quarterly | N/A | 03/29/2028 | 11,583 | (18 | ) | 1 | (17 | ) | ||||||||||||
3 Month Johannesburg Interbank Agreed Rate | Pay | 7.91 | % | Quarterly | N/A | 05/24/2028 | 17,804 | (4 | ) | (1 | ) | (5 | ) | |||||||||||
3 Month Johannesburg Interbank Agreed Rate | Pay | 7.20 | % | Quarterly | N/A | 06/04/2020 | 132,866 | 14 | (4 | ) | 10 | |||||||||||||
3 Month Johannesburg Interbank Agreed Rate | Receive | 7.01 | % | Quarterly | N/A | 06/04/2020 | 132,866 | 10 | 1 | 11 | ||||||||||||||
3 Month Johannesburg Interbank Agreed Rate | Receive | 7.76 | % | Quarterly | N/A | 12/21/2026 | 28,000 | 7 | — | 7 | ||||||||||||||
3 Month Johannesburg Interbank Agreed Rate | Pay | 6.95 | % | Quarterly | N/A | 03/22/2021 | 53,793 | (15 | ) | 2 | (13 | ) | ||||||||||||
3 Month Johannesburg Interbank Agreed Rate | Pay | 7.72 | % | Quarterly | N/A | 04/26/2028 | 19,000 | (21 | ) | — | (21 | ) | ||||||||||||
3 Month KRW Certificate of Deposit | Pay | 2.39 | % | Quarterly | N/A | 04/26/2028 | KRW | 2,174,550 | 102 | — | 102 | |||||||||||||
3 Month KRW Certificate of Deposit | Pay | 2.27 | % | Quarterly | N/A | 04/26/2023 | 4,196,500 | 77 | — | 77 | ||||||||||||||
3 Month KRW Certificate of Deposit | Pay | 2.18 | % | Quarterly | N/A | 05/31/2023 | 4,141,500 | 63 | 1 | 64 | ||||||||||||||
3 Month KRW Certificate of Deposit | Pay | 2.39 | % | Quarterly | N/A | 04/27/2028 | 2,174,550 | 102 | — | 102 | ||||||||||||||
3 Month KRW Certificate of Deposit | Pay | 2.05 | % | Quarterly | N/A | 04/27/2020 | 10,376,800 | 21 | — | 21 |
See accompanying notes.
123
Consolidated Schedule of Investments | ||||||||||||||||||
Global Multi-Strategy Fund | ||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||
Exchange Cleared Interest Rate Swaps (continued) | ||||||||||||||||||
(Pay)/ | ||||||||||||||||||
Receive | Unrealized | Upfront | ||||||||||||||||
Floating | Fixed | Payment | Effective | Notional | Appreciation/ | Payments/ | ||||||||||||
Floating Rate Index | Rate | Rate | Frequency | Date (a) | Maturity Date | Amount | (Depreciation) | (Receipts | Fair Value | |||||||||
3 Month KRW Certificate of Deposit | Pay | 2.11 | % | Quarterly | N/A | 07/19/2023 | KRW | 4,748,000 | $ | 62 | $ | 1 | $ | 63 | ||||
3 Month KRW Certificate of Deposit | Pay | 1.85 | % | Quarterly | N/A | 12/12/2028 | 3,200,000 | 13 | — | 13 | ||||||||
3 Month Stockholm Interbank Offered Rate | Receive | 1.27 | % | Quarterly | N/A | 03/27/2028 | SEK | 15,100 | (52 | ) | 1 | (51 | ) | |||||
3 Month USD LIBOR | Receive | 2.81 | % | Quarterly | N/A | 12/12/2021 | $ | 1,835 | (12 | ) | — | (12 | ) | |||||
3 Month USD LIBOR | Receive | 2.88 | % | Quarterly | N/A | 09/07/2021 | 1,289 | (10 | ) | 1 | (9 | ) | ||||||
3 Month USD LIBOR | Receive | 2.90 | % | Quarterly | N/A | 07/19/2023 | 2,097 | (30 | ) | — | (30 | ) | ||||||
3 Month USD LIBOR | Receive | 2.77 | % | Quarterly | N/A | 03/07/2025 | 3,938 | (40 | ) | — | (40 | ) | ||||||
3 Month USD LIBOR | Receive | 2.75 | % | Quarterly | N/A | 03/29/2025 | 1,575 | (14 | ) | — | (14 | ) | ||||||
3 Month USD LIBOR | Receive | 2.84 | % | Quarterly | N/A | 12/13/2023 | 812 | (11 | ) | 1 | (10 | ) | ||||||
3 Month USD LIBOR | Pay | 2.81% | Semiannual | N/A | 07/09/2020 | 6,292 | 13 | — | 13 | |||||||||
3 Month USD LIBOR | Receive | 2.61 | % | Quarterly | N/A | 01/10/2024 | 10,227 | (25 | ) | — | (25 | ) | ||||||
3 Month USD LIBOR | Receive | 2.57 | % | Quarterly | N/A | 01/07/2024 | 10,279 | (3 | ) | — | (3 | ) | ||||||
3 Month USD LIBOR | Receive | 2.57 | % | Quarterly | N/A | 01/08/2022 | 1,012 | — | — | — | ||||||||
3 Month USD LIBOR | Receive | 3.16 | % | Quarterly | N/A | 11/06/2023 | 3,990 | (106 | ) | — | (106 | ) | ||||||
3 Month USD LIBOR | Receive | 3.04 | % | Quarterly | N/A | 05/22/2025 | 3,180 | (82 | ) | — | (82 | ) | ||||||
3 Month USD LIBOR | Receive | 2.94 | % | Quarterly | N/A | 05/10/2023 | 1,785 | (28 | ) | — | (28 | ) | ||||||
3 Month USD LIBOR | Receive | 2.88 | % | Quarterly | N/A | 08/21/2025 | 6,337 | (107 | ) | 1 | (106 | ) | ||||||
3 Month USD LIBOR | Receive | 2.09 | % | Quarterly | N/A | 03/03/2022 | 7,419 | 100 | 1 | 101 | ||||||||
3 Month USD LIBOR | Receive | 2.00 | % | Quarterly | N/A | 04/11/2022 | 5,502 | 93 | — | 93 | ||||||||
3 Month USD LIBOR | Receive | 2.84 | % | Quarterly | N/A | 12/13/2023 | 406 | (5 | ) | — | (5 | ) | ||||||
3 Month USD LIBOR | Receive | 1.94 | % | Quarterly | N/A | 01/10/2022 | 2,111 | 37 | — | 37 | ||||||||
3 Month USD LIBOR | Receive | 2.97 | % | Quarterly | N/A | 08/03/2021 | 1,008 | (9 | ) | — | (9 | ) | ||||||
3 Month USD LIBOR | Receive | 3.08 | % | Quarterly | N/A | 09/24/2023 | 788 | (18 | ) | — | (18 | ) | ||||||
3 Month USD LIBOR | Pay | 1.74% | Semiannual | N/A | 07/05/2020 | 11,160 | (136 | ) | 1 | (135 | ) | |||||||
3 Month USD LIBOR | Receive | 2.97 | % | Quarterly | N/A | 05/04/2025 | 2,381 | (51 | ) | — | (51 | ) | ||||||
3 Month USD LIBOR | Receive | 3.09 | % | Quarterly | N/A | 10/01/2024 | 4,584 | (122 | ) | — | (122 | ) | ||||||
3 Month USD LIBOR | Receive | 2.62 | % | Quarterly | N/A | 01/17/2024 | 739 | (2 | ) | — | (2 | ) | ||||||
3 Month USD LIBOR | Pay | 2.98% | Semiannual | N/A | 08/07/2023 | 4,428 | 78 | — | 78 | |||||||||
3 Month USD LIBOR | Receive | 3.04 | % | Quarterly | N/A | 08/07/2028 | 2,362 | (66 | ) | — | (66 | ) | ||||||
3 Month USD LIBOR | Receive | 2.79 | % | Quarterly | N/A | 03/26/2023 | 3,918 | (37 | ) | — | (37 | ) | ||||||
3 Month USD LIBOR | Pay | 3.08% | Semiannual | N/A | 10/26/2020 | 9,736 | 70 | — | 70 | |||||||||
3 Month USD LIBOR | Receive | 2.71 | % | Quarterly | N/A | 02/09/2025 | 7,061 | (46 | ) | — | (46 | ) | ||||||
3 Month USD LIBOR | Pay | 2.61% | Semiannual | N/A | 03/26/2020 | 9,437 | (5 | ) | — | (5 | ) | |||||||
3 Month USD LIBOR | Receive | 2.12 | % | Quarterly | N/A | 03/08/2022 | 6,219 | 79 | — | 79 | ||||||||
3 Month USD LIBOR | Receive | 2.02 | % | Quarterly | N/A | 02/07/2022 | 4,265 | 67 | — | 67 | ||||||||
3 Month USD LIBOR | Receive | 1.93 | % | Quarterly | N/A | 01/13/2022 | 4,225 | 76 | — | 76 | ||||||||
3 Month USD LIBOR | Receive | 2.23 | % | Quarterly | N/A | 04/03/2024 | 4,061 | 65 | — | 65 | ||||||||
3 Month USD LIBOR | Receive | 2.02 | % | Quarterly | N/A | 01/23/2022 | 5,283 | 82 | — | 82 | ||||||||
3 Month USD LIBOR | Receive | 1.92 | % | Quarterly | N/A | 01/11/2022 | 2,111 | 38 | — | 38 | ||||||||
3 Month USD LIBOR | Receive | 2.69 | % | Quarterly | 9/18/2019 | 12/18/2019 | 48,650 | (10 | ) | — | (10 | ) | ||||||
3 Month USD LIBOR | Receive | 1.89 | % | Quarterly | N/A | 01/19/2022 | 2,111 | 40 | — | 40 | ||||||||
3 Month USD LIBOR | Receive | 1.19 | % | Quarterly | N/A | 08/11/2021 | 6,434 | 214 | — | 214 | ||||||||
3 Month USD LIBOR | Receive | 2.21 | % | Quarterly | N/A | 03/15/2022 | 5,314 | 54 | — | 54 | ||||||||
3 Month USD LIBOR | Receive | 2.93 | % | Quarterly | N/A | 06/11/2025 | 3,963 | (79 | ) | 1 | (78 | ) | ||||||
3 Month USD LIBOR | Receive | 2.97 | % | Quarterly | N/A | 04/25/2025 | 2,700 | (58 | ) | — | (58 | ) | ||||||
3 Month USD LIBOR | Receive | 2.75 | % | Quarterly | N/A | 03/08/2023 | 1,892 | (15 | ) | — | (15 | ) | ||||||
3 Month USD LIBOR | Pay | 2.77% | Semiannual | N/A | 05/10/2020 | 4,292 | 5 | 1 | 6 | |||||||||
6 Month Budapest Interbank Offered Rate | Receive | 0.76% | Semiannual | N/A | 05/29/2021 | HUF | 1,242,450 | 27 | — | 27 | ||||||||
6 Month Budapest Interbank Offered Rate | Receive | 1.12% | Semiannual | N/A | 07/17/2022 | 688,840 | 19 | — | 19 | |||||||||
6 Month Budapest Interbank Offered Rate | Receive | 1.58% | Semiannual | N/A | 01/08/2024 | 600,000 | 7 | 1 | 8 | |||||||||
6 Month Budapest Interbank Offered Rate | Receive | 1.68% | Semiannual | N/A | 06/13/2023 | 724,713 | (15 | ) | — | (15 | ) | |||||||
6 Month Budapest Interbank Offered Rate | Receive | 1.58% | Semiannual | N/A | 08/15/2021 | 795,400 | (34 | ) | — | (34 | ) | |||||||
6 Month Budapest Interbank Offered Rate | Receive | 1.54% | Semiannual | N/A | 09/25/2021 | 756,200 | (28 | ) | — | (28 | ) | |||||||
6 Month Budapest Interbank Offered Rate | Receive | 1.89% | Semiannual | N/A | 06/29/2023 | 631,810 | (33 | ) | 1 | (32 | ) | |||||||
6 Month Budapest Interbank Offered Rate | Receive | 1.29% | Semiannual | N/A | 12/14/2021 | 1,089,495 | (12 | ) | 1 | (11 | ) | |||||||
6 Month Budapest Interbank Offered Rate | Receive | 1.32% | Semiannual | N/A | 12/04/2021 | 1,197,000 | (16 | ) | 1 | (15 | ) | |||||||
6 Month Budapest Interbank Offered Rate | Receive | 2.46% | Semiannual | N/A | 10/18/2023 | 334,950 | (45 | ) | (1 | ) | (46 | ) | ||||||
6 Month Budapest Interbank Offered Rate | Receive | 2.09% | Semiannual | N/A | 07/11/2023 | 482,425 | (39 | ) | — | (39 | ) | |||||||
6 Month Budapest Interbank Offered Rate | Receive | 0.77% | Semiannual | N/A | 06/08/2021 | 534,314 | 11 | — | 11 | |||||||||
6 Month Budapest Interbank Offered Rate | Receive | 1.56% | Semiannual | N/A | 09/28/2021 | 676,600 | (26 | ) | — | (26 | ) | |||||||
6 Month Budapest Interbank Offered Rate | Receive | 0.98% | Semiannual | N/A | 12/21/2020 | 1,176,450 | (9 | ) | — | (9 | ) | |||||||
6 Month Warsaw Interbank Offered Rate | Receive | 2.52% | Semiannual | N/A | 03/09/2022 | PLN | 3,605 | (18 | ) | — | (18 | ) | ||||||
6 Month Warsaw Interbank Offered Rate | Receive | 2.05% | Semiannual | N/A | 02/28/2024 | 5,883 | 4 | — | 4 | |||||||||
6 Month Warsaw Interbank Offered Rate | Receive | 2.46% | Semiannual | N/A | 05/14/2023 | 4,788 | (23 | ) | — | (23 | ) | |||||||
6 Month Warsaw Interbank Offered Rate | Receive | 2.54% | Semiannual | N/A | 05/17/2023 | 5,873 | (33 | ) | — | (33 | ) | |||||||
6 Month Warsaw Interbank Offered Rate | Receive | 2.48% | Semiannual | N/A | 03/23/2023 | 4,152 | (21 | ) | — | (21 | ) | |||||||
6 Month Warsaw Interbank Offered Rate | Receive | 2.54% | Semiannual | N/A | 06/11/2023 | 11,235 | (63 | ) | — | (63 | ) |
See accompanying notes.
124
Consolidated Schedule of Investments | |||||||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||||
Exchange Cleared Interest Rate Swaps (continued) | |||||||||||||||||||
(Pay)/ | |||||||||||||||||||
Receive | Unrealized | Upfront | |||||||||||||||||
Floating | Fixed | Payment | Effective | Notional | Appreciation/ | Payments/ | |||||||||||||
Floating Rate Index | Rate | Rate | Frequency | Date (a) | Maturity Date | Amount | (Depreciation) | (Receipts | Fair Value | ||||||||||
6 Month Warsaw Interbank Offered Rate | Receive | 2.37% Semiannual | N/A | 04/26/2022 | PLN | 6,600 | $ | (27 | )$ | 2 | $ | (25 | ) | ||||||
6 Month Warsaw Interbank Offered Rate | Receive | 2.55% Semiannual | N/A | 03/10/2022 | 6,420 | (33 | ) | — | (33 | ) | |||||||||
6 Month Warsaw Interbank Offered Rate | Receive | 2.44% Semiannual | N/A | 05/07/2023 | 11,752 | (54 | ) | — | (54 | ) | |||||||||
Brazil Cetip DI Interbank Deposit Rate | Pay | 7.58%Annual | N/A | 01/03/2022 | BRL | 37,169 | (20 | ) | — | (20 | ) | ||||||||
Canada Bankers Acceptances 3 Month | Pay | 2.44% Semiannual | N/A | 03/22/2023 | CAD | 5,285 | 33 | 5 | 38 | ||||||||||
Canada Bankers Acceptances 3 Month | Pay | 2.62% Semiannual | N/A | 03/23/2028 | 2,642 | 34 | 4 | 38 | |||||||||||
Canada Bankers Acceptances 3 Month | Pay | 2.58% Semiannual | N/A | 03/22/2028 | 2,642 | 27 | 5 | 32 | |||||||||||
Canada Bankers Acceptances 3 Month | Pay | 2.53% Semiannual | N/A | 04/03/2028 | 2,670 | 18 | 5 | 23 | |||||||||||
MXN TIIE Banxico | Pay | 8.14%Monthly | N/A | 02/04/2022 | MXN | 47,869 | 4 | — | 4 | ||||||||||
MXN TIIE Banxico | Pay | 8.32%Monthly | N/A | 03/16/2022 | 71,510 | 26 | — | 26 | |||||||||||
MXN TIIE Banxico | Receive | 8.37%Monthly | N/A | 03/13/2024 | 46,000 | (31 | ) | 1 | (30 | ) | |||||||||
MXN TIIE Banxico | Pay | 8.43%Monthly | N/A | 12/31/2021 | 52,578 | 25 | — | 25 | |||||||||||
MXN TIIE Banxico | Pay | 8.06%Monthly | N/A | 03/16/2022 | 67,000 | — | — | — | |||||||||||
MXN TIIE Banxico | Pay | 8.69%Monthly | N/A | 03/16/2022 | 78,771 | 69 | — | 69 | |||||||||||
MXN TIIE Banxico | Receive | 8.76%Monthly | N/A | 03/13/2024 | 51,150 | (77 | ) | — | (77 | ) | |||||||||
MXN TIIE Banxico | Receive | 8.06%Monthly | N/A | 03/13/2024 | 43,000 | (1 | ) | — | (1 | ) | |||||||||
MXN TIIE Banxico | Pay | 8.46%Monthly | N/A | 01/07/2022 | 30,000 | 15 | 1 | 16 | |||||||||||
US Federal Funds Effective Rate (continuous | Pay | 2.43%Annual | N/A | 12/18/2019 | $ | 48,650 | 4 | 1 | |||||||||||
series) | 5 | ||||||||||||||||||
Total | $ | (14 | )$ | 37 | $ | 23 | |||||||||||||
Amounts in thousands. | |||||||||||||||||||
a) Forward swap. | |||||||||||||||||||
Total Return Equity Basket Swaps | |||||||||||||||||||
Upfront | Value and Unrealized | ||||||||||||||||||
Payment | Notional | Payments/ | Appreciation/(Depreciation) | ||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Frequency | Expiration Date | Amount | (Receipts) | Asset----- Liability | ||||||||||||
Bank of America NA | Floating rate based on 1 | Total return on a custom basket of | Monthly | 09/25/2020 | $ | 168 | $ | — $ | — $ | — | |||||||||
Month GBP LIBOR plus/ | long and short securities traded in | ||||||||||||||||||
less spread | GBP | ||||||||||||||||||
Bank of America NA | Floating rate based on the | Total return on a custom basket of | Monthly | 09/25/2020- | 2,582 | — | 28 | — | |||||||||||
Euro Interbank Offered | long and short securities traded in | 12/28/2020 | |||||||||||||||||
rate plus/less spread | EUR | ||||||||||||||||||
Deutsche Bank AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 03/18/2021 | 1,652 | — | 155 | — | |||||||||||
Month LIBOR plus/less | long and short securities traded in | ||||||||||||||||||
spread | USD | ||||||||||||||||||
Deutsche Bank AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 09/22/2022 | 242 | — | — | (39 | ) | ||||||||||
Week LIBOR plus/less | long and short securities traded in IDR | ||||||||||||||||||
spread | |||||||||||||||||||
Deutsche Bank AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 03/22/2019 | 3,706 | — | — | (57 | ) | ||||||||||
Month LIBOR plus/less | long and short securities traded in | ||||||||||||||||||
spread | TWD | ||||||||||||||||||
Deutsche Bank AG | Floating rate based on the | Total return on a custom basket of | Monthly | 03/20/2023 | 1,133 | — | 67 | — | |||||||||||
Mexico Interbank TIIE | long and short securities traded in | ||||||||||||||||||
rate plus/less spread | MXN | ||||||||||||||||||
Deutsche Bank AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 06/15/2022 | 62 | — | — | (8 | ) | ||||||||||
Month LIBOR plus/less | long and short securities traded in CLP | ||||||||||||||||||
spread | |||||||||||||||||||
Deutsche Bank AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 03/22/2023 | 1,547 | — | 59 | — | |||||||||||
Month LIBOR plus/less | long and short securities traded in | ||||||||||||||||||
spread | BRL | ||||||||||||||||||
Deutsche Bank AG | Floating rate based on the | Total return on a custom basket of | Monthly | 05/23/2022 | 1,032 | — | 8 | — | |||||||||||
Overnight Reserve Bank | long and short securities traded in | ||||||||||||||||||
of Australia Cash Rate | AUD | ||||||||||||||||||
plus/less spread | |||||||||||||||||||
Deutsche Bank AG | Floating rate based on | Total return on a custom basket of | Monthly | 01/19/2022 | 15,046 | — | — | (692 | ) | ||||||||||
the Hong Kong Interbank | long and short securities traded in | ||||||||||||||||||
Offered Rate plus/less | HKD | ||||||||||||||||||
spread | |||||||||||||||||||
Deutsche Bank AG(a) | Floating rate based on 1 | Total return on a custom basket of | Monthly | 05/21/2019- | 21,183 | — | — | (199 | ) | ||||||||||
Week LIBOR plus/less | long and short securities traded in | 01/21/2020 | |||||||||||||||||
spread | GBP | ||||||||||||||||||
Deutsche Bank AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 08/19/2022 | 8,052 | — | 229 | — | |||||||||||
Week EUR LIBOR plus/ | long and short securities traded in | ||||||||||||||||||
less spread | EUR |
See accompanying notes.
125
Consolidated Schedule of Investments | ||||||||||||
Global Multi-Strategy Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Total Return Equity Basket Swaps (continued) | ||||||||||||
Upfront | Value and Unrealized | |||||||||||
Payment | Notional | Payments/ | Appreciation/(Depreciation) | |||||||||
Counterparty | Fund Pays | Fund Receives | Frequency | Expiration Date | Amount | (Receipts) | Asset | ----- | Liability | |||
Deutsche Bank AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 03/28/2019- | $ | 8,790 | $ | — $ | — $ | (222 | ) | |
Month LIBOR plus/less | long and short securities traded in | 04/19/2019 | ||||||||||
spread | KRW | |||||||||||
Deutsche Bank AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 03/22/2019 | 520 | — | 17 | — | ||||
Month LIBOR plus/less | long and short securities traded in | |||||||||||
spread | MYR | |||||||||||
Deutsche Bank AG | Floating rate based on the | Total return on a custom basket of | Monthly | 01/20/2022 | 1,140 | — | 40 | — | ||||
Poland Warsaw Interbank | long and short securities traded in | |||||||||||
Offer/Bid Spot Week | PLN | |||||||||||
Rate plus/less spread | ||||||||||||
Deutsche Bank AG | Floating rate based on the | Total return on a custom basket of | Monthly | 03/24/2019- | 1,587 | — | — | (35 | ) | |||
Johannesburg Interbank | long and short securities traded in | 10/16/2023 | ||||||||||
Agreed Rate plus/less | ZAR | |||||||||||
spread | ||||||||||||
Goldman Sachs & Co | Floating rate based on the | Total return on a custom basket of | Monthly | 01/18/2029 | 743 | — | — | (42 | ) | |||
HKD Overnight-Indexed | long and short securities traded in | |||||||||||
Swap Rate plus/less | HKD | |||||||||||
spread | ||||||||||||
Goldman Sachs & Co | Floating rate based on 1 | Total return on a custom basket of | Monthly | 12/25/2028- | 670 | — | — | (45 | ) | |||
Month JPY LIBOR plus/ | long and short securities traded in JPY | 12/26/2028 | ||||||||||
less spread | ||||||||||||
Goldman Sachs & Co | Floating rate based on the | Total return on a custom basket of | Monthly | 01/19/2029- | 126 | — | — | (11 | ) | |||
Federal Funds Rate plus/ | long and short securities traded in | 01/24/2029 | ||||||||||
less spread | KRW | |||||||||||
Goldman Sachs & Co | Floating rate based on 1 | Total return on a custom basket of | Monthly | 01/22/2029 | 1,410 | — | 225 | — | ||||
Month LIBOR plus/less | long and short securities traded in | |||||||||||
spread | CNY | |||||||||||
Goldman Sachs & Co | Floating rate based on 1 | Total return on a custom basket of | Monthly | 02/01/2029- | 1,576 | — | 73 | — | ||||
Month Euro Interbank | long and short securities traded in | 02/07/2029 | ||||||||||
Offered rate plus/less | EUR | |||||||||||
spread | ||||||||||||
Goldman Sachs & Co | Floating rate based on 1 | Total return on a custom basket of | Monthly | 12/22/2028- | 1,736 | — | 61 | — | ||||
Month LIBOR plus/less | long and short securities traded in | 12/26/2028 | ||||||||||
spread | GBP | |||||||||||
JPMorgan Chase | Floating rate based on 1 | Total return on a custom basket of | Monthly | 06/22/2023 | 28 | — | — | (10 | ) | |||
Month LIBOR plus/less | long and short securities traded in | |||||||||||
spread | KRW | |||||||||||
JPMorgan Chase | Floating rate based on | Total return on a custom basket of | Monthly | 06/21/2023 | 85 | — | 1 | — | ||||
the Mexico Equilibrium | long and short securities traded in | |||||||||||
Interbank Interest Rate | MXN | |||||||||||
plus/less spread | ||||||||||||
JPMorgan Chase | Floating rate based on 1 | Total return on a custom basket of | Monthly | 06/22/2023 | 7 | — | — | (1 | ) | |||
Month LIBOR plus/less | long and short securities traded in CLP | |||||||||||
spread | ||||||||||||
JPMorgan Chase | Floating rate based on 1 | Total return on a custom basket of | Monthly | 06/26/2023 | 19 | — | 4 | — | ||||
Month LIBOR plus/less | long and short securities traded in IDR | |||||||||||
spread | ||||||||||||
JPMorgan Chase | Floating rate based on the | Total return on a custom basket of | Monthly | 07/03/2023 | 62 | — | — | (1 | ) | |||
Federal Funds Rate plus/ | long and short securities traded in | |||||||||||
less spread | USD | |||||||||||
JPMorgan Chase | Floating rate based on the | Total return on a custom basket of | Monthly | 06/22/2023- | 2 | — | 18 | — | ||||
Johannesburg Interbank | long and short securities traded in | 12/28/2023 | ||||||||||
Agreed Rate plus/less | ZAR | |||||||||||
spread | ||||||||||||
JPMorgan Chase | Floating rate based on | Total return on a custom basket of | Monthly | 06/21/2023 | 203 | — | 32 | — | ||||
the Warsaw Interbank | long and short securities traded in | |||||||||||
Offered Rate plus/less | PLN | |||||||||||
spread | ||||||||||||
JPMorgan Chase | Floating rate based on 1 | Total return on a custom basket of | Monthly | 06/26/2023 | — | — | — | (1 | ) | |||
Month LIBOR plus/less | long and short securities traded in | |||||||||||
spread | MYR | |||||||||||
Morgan Stanley & Co | Floating rate based on | Total return on a custom basket of | Monthly | 01/28/2021 | 776 | — | 149 | — | ||||
the Hong Kong Interbank | long and short securities traded in | |||||||||||
Offered Rate plus/less | HKD | |||||||||||
spread |
See accompanying notes.
126
Consolidated Schedule of Investments | ||||||||||||
Global Multi-Strategy Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Total Return Equity Basket Swaps (continued) | ||||||||||||
Upfront | Value and Unrealized | |||||||||||
Payment | Notional | Payments/ | Appreciation/(Depreciation) | |||||||||
Counterparty | Fund Pays | Fund Receives | Frequency | Expiration Date | Amount | (Receipts) | Asset-----Liability | |||||
Morgan Stanley & Co | Floating rate based on 1 | Total return on a custom basket of | Monthly | 11/28/2019 | $ | 10,209 | $ | — $ | 342 | $ | — | |
Month LIBOR plus/less | long and short securities traded in JPY | |||||||||||
spread | ||||||||||||
Morgan Stanley & Co | Floating rate based on 1 | Total return on a custom basket of | Monthly | 01/22/2021 | 259 | — | 26 | — | ||||
Month LIBOR plus/less | long and short securities traded in | |||||||||||
spread | KRW | |||||||||||
Morgan Stanley & Co | Floating rate based on 1 | Total return on a custom basket of | Monthly | 05/20/2020 | 8,507 | — | 333 | — | ||||
Month LIBOR plus/less | long and short securities traded in | |||||||||||
spread | GBP | |||||||||||
Morgan Stanley & Co | Floating rate based on | Total return on a custom basket of | Monthly | 08/19/2020 | 16,277 | — | — | (193 | ) | |||
the Euro Overnight Index | long and short securities traded in | |||||||||||
Average plus/less spread | EUR | |||||||||||
Morgan Stanley & | Floating rate based on the | Total return on a custom basket of | Monthly | 08/20/2020 | 35,547 | — | 300 | — | ||||
Co(b) | Bank of Japan Estimate | long and short securities traded in JPY | ||||||||||
Unsecured Overnight | ||||||||||||
Call Rate plus/less spread | ||||||||||||
Morgan Stanley & Co | Floating rate based on | Total return on a custom basket of | Monthly | 11/20/2019 | 2,665 | — | — | — | ||||
the Tomorrow/Next | long and short securities traded in | |||||||||||
Overnight Index Swap | CHF | |||||||||||
rate plus/less spread | ||||||||||||
Morgan Stanley & Co | Floating rate based on 1 | Total return on a custom basket of | Monthly | 08/19/2020 | 2,264 | — | — | (139 | ) | |||
Week LIBOR plus/less | long and short securities traded in | |||||||||||
spread | DKK | |||||||||||
Morgan Stanley & Co | Floating rate based on 1 | Total return on a custom basket of | Monthly | 08/19/2020 | 1,512 | — | — | (60 | ) | |||
Week LIBOR plus/less | long and short securities traded in | |||||||||||
spread | NOK | |||||||||||
Morgan Stanley & | Floating rate based on 1 | Total return on a custom basket of | Monthly | 08/22/2019- | 40,187 | — | 859 | — | ||||
Co(c) | Month LIBOR plus/less | long and short securities traded in | 10/10/2019 | |||||||||
spread | USD | |||||||||||
Morgan Stanley & | Floating rate based on the | Total return on a custom basket of | Monthly | 10/09/2019 | 32,607 | — | — | (1,413 | ) | |||
Co(d) | Euro Interbank Offered | long and short securities traded in | ||||||||||
rate plus/less spread | EUR | |||||||||||
Morgan Stanley & Co | Floating rate based on 1 | Total return on a custom basket of | Monthly | 08/19/2020 | 1,754 | — | — | (99 | ) | |||
Week LIBOR plus/less | long and short securities traded in | |||||||||||
spread | SEK | |||||||||||
Morgan Stanley & | Floating rate based on the | Total return on a custom basket of | Monthly | 08/19/2020 | 224,752 | — | — | (2,099 | ) | |||
Co(e) | Federal Funds Rate plus/ | long and short securities traded in | ||||||||||
less spread | USD | |||||||||||
UBS AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 02/01/2022 | 211 | — | — | (2 | ) | |||
Month GBP LIBOR plus/ | long and short securities traded in | |||||||||||
less spread | GBP | |||||||||||
UBS AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 02/01/2022 | 316 | — | 5 | — | ||||
Day JPY LIBOR plus/ | long and short securities traded in JPY | |||||||||||
less spread | ||||||||||||
UBS AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 02/01/2022 | 550 | — | — | (19 | ) | |||
Month CHF LIBOR plus/ | long and short securities traded in | |||||||||||
less spread | CHF | |||||||||||
UBS AG | Floating rate based on 1 | Total return on a custom basket of | Monthly | 02/01/2022 | 4,463 | — | 182 | — | ||||
Month EUR LIBOR plus/ | long and short securities traded in | |||||||||||
less spread | EUR | |||||||||||
Total | $ | 457,965 | $ | — $ | 3,213 | $ | (5,387 | ) |
The expiration dates are measured from the commencement of investment in each underlying swap position.
The fund pays a floating rate based on the reference rate plus/less a spread. The spread is negotiated at the security level and is usually similar within a region but may vary depending on how difficult it is to borrow the security.
Notional Amount represents the total absolute value of the underlying securities.
Amounts in thousands.
(a)
Top Underlying Securities462292
See accompanying notes.
127
Consolidated Schedule of Investments | ||||||
Global Multi-Strategy Fund | ||||||
February 28, 2019 (unaudited) | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Jardine Lloyd Thompson Group PLC | 71,535 | $ | 1,810 | 8.55 | % | |
BTG PLC | 89,590 | 990 | 4.67 | % | ||
Micro Focus International PLC | (38,486 | ) | (955 | ) | (4.51 | )% |
Hargreaves Lansdown PLC | (25,922 | ) | (599 | ) | (2.83 | )% |
Smith & Nephew PLC | 31,115 | 593 | 2.80 | % | ||
John Wood Group PLC | (84,307 | ) | (582 | ) | (2.75 | )% |
Evraz PLC | 74,654 | 559 | 2.64 | % | ||
Anglo American PLC | 20,734 | 551 | 2.60 | % | ||
Rio Tinto PLC | 8,430 | 485 | 2.29 | % | ||
Intermediate Capital Group PLC | 32,306 | 449 | 2.12 | % | ||
RPC Group PLC | 41,214 | 433 | 2.04 | % | ||
BHP Group PLC | 18,189 | 421 | 1.99 | % | ||
BP PLC | 59,190 | 420 | 1.98 | % | ||
Merlin Entertainments PLC | (72,823 | ) | (349 | ) | (1.65 | )% |
Just Eat PLC | (33,484 | ) | (331 | ) | (1.57 | )% |
Inchcape PLC | 42,788 | 321 | 1.51 | % | ||
Aggreko PLC | (31,582 | ) | (300 | ) | (1.42 | )% |
Dixons Carphone PLC | 155,897 | 274 | 1.30 | % | ||
Persimmon PLC | 8,439 | 272 | 1.29 | % | ||
Close Brothers Group PLC | 13,344 | 267 | 1.26 | % | ||
Royal Dutch Shell PLC - A Shares | 8,270 | 258 | 1.22 | % | ||
Babcock International Group PLC | (35,769 | ) | (257 | ) | (1.21 | )% |
Drax Group PLC | 51,335 | 248 | 1.17 | % | ||
Legal & General Group PLC | (64,709 | ) | (241 | ) | (1.14 | )% |
Investec PLC | 36,436 | 238 | 1.12 | % | ||
BT Group PLC | 83,445 | 238 | 1.12 | % | ||
Greene King PLC | (27,081 | ) | (237 | ) | (1.12 | )% |
Ashmore Group PLC | (41,080 | ) | (230 | ) | (1.09 | )% |
Man Group PLC | 123,204 | 226 | 1.07 | % | ||
International Consolidated Airlines Group SA | (27,811 | ) | (221 | ) | (1.04 | )% |
Auto Trader Group PLC | (34,237 | ) | (216 | ) | (1.02 | )% |
Moneysupermarket.com Group PLC | 46,913 | 214 | 1.01 | % | ||
Rightmove PLC | (32,898 | ) | (210 | ) | (0.99 | )% |
Admiral Group PLC | (7,242 | ) | (210 | ) | (0.99 | )% |
Capita PLC | (126,287 | ) | (208 | ) | (0.98 | )% |
Kingfisher PLC | (64,421 | ) | (207 | ) | (0.98 | )% |
ASOS PLC | (4,869 | ) | (206 | ) | (0.97 | )% |
British American Tobacco PLC | (5,375 | ) | (197 | ) | (0.93 | )% |
Bellway PLC | 4,873 | 196 | 0.92 | % | ||
Direct Line Insurance Group PLC | 39,721 | 188 | 0.89 | % | ||
Old Mutual Ltd | (103,039 | ) | (170 | ) | (0.80 | )% |
Rentokil Initial PLC | (35,642 | ) | (166 | ) | (0.78 | )% |
Royal Mail PLC | 43,545 | 163 | 0.77 | % | ||
Weir Group PLC/The | (7,301 | ) | (159 | ) | (0.75 | )% |
Indivior PLC | 106,736 | 152 | 0.72 | % | ||
Mediclinic International PLC | (34,206 | ) | (144 | ) | (0.68 | )% |
Spirax-Sarco Engineering PLC | (1,624 | ) | (144 | ) | (0.68 | )% |
Tate & Lyle PLC | 15,563 | 143 | 0.68 | % | ||
IWG PLC | 44,876 | 137 | 0.65 | % | ||
Petrofac Ltd | (23,595 | ) | (134 | ) | (0.63 | )% |
(b) | ||||||
Top Underlying SecuritiesAQRMSJPY |
See accompanying notes.
128
Consolidated Schedule of Investments | ||||||
Global Multi-Strategy Fund | ||||||
February 28, 2019 (unaudited) | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Yaskawa Electric Corp | (20,700 | ) $ | (588 | ) | (1.65 | )% |
Hitachi Ltd | 18,100 | 542 | 1.52 | % | ||
Kansai Paint Co Ltd | (27,300 | ) | (501 | ) | (1.41 | )% |
Sony Corp | 9,500 | 455 | 1.28 | % | ||
Resona Holdings Inc | 99,100 | 447 | 1.26 | % | ||
M3 Inc | (26,900 | ) | (445 | ) | (1.25 | )% |
Nippon Paint Holdings Co Ltd | (11,600 | ) | (445 | ) | (1.25 | )% |
Sojitz Corp | 119,900 | 440 | 1.24 | % | ||
Murata Manufacturing Co Ltd | (2,800 | ) | (435 | ) | (1.22 | )% |
Calbee Inc | (15,300 | ) | (423 | ) | (1.19 | )% |
Kamigumi Co Ltd | 17,700 | 410 | 1.15 | % | ||
Sumitomo Dainippon Pharma Co Ltd | 15,900 | 392 | 1.10 | % | ||
ZOZO Inc | (20,600 | ) | (387 | ) | (1.09 | )% |
Alfresa Holdings Corp | 13,200 | 382 | 1.07 | % | ||
Tokyo Electric Power Co Holdings Inc | 60,300 | 375 | 1.06 | % | ||
Japan Airlines Co Ltd | 10,200 | 372 | 1.05 | % | ||
Ricoh Co Ltd | (36,500 | ) | (370 | ) | (1.04 | )% |
Shimadzu Corp | 14,900 | 367 | 1.03 | % | ||
Shimano Inc | (2,400 | ) | (364 | ) | (1.02 | )% |
Eisai Co Ltd | 4,200 | 346 | 0.98 | % | ||
Marubeni Corp | 48,100 | 343 | 0.96 | % | ||
Sawai Pharmaceutical Co Ltd | (5,900 | ) | (338 | ) | (0.95 | )% |
Taisei Corp | 7,100 | 335 | 0.94 | % | ||
Kajima Corp | 22,600 | 334 | 0.94 | % | ||
Casio Computer Co Ltd | (23,900 | ) | (324 | ) | (0.91 | )% |
Suruga Bank Ltd | (64,800 | ) | (312 | ) | (0.88 | )% |
Stanley Electric Co Ltd | 10,500 | 301 | 0.85 | % | ||
Aisin Seiki Co Ltd | 7,700 | 300 | 0.84 | % | ||
Kikkoman Corp | (6,000 | ) | (298 | ) | (0.84 | )% |
Showa Denko KK | (7,700 | ) | (286 | ) | (0.81 | )% |
Taiheiyo Cement Corp | 8,200 | 280 | 0.79 | % | ||
Hikari Tsushin Inc | 1,554 | 278 | 0.78 | % | ||
Acom Co Ltd | (80,650 | ) | (276 | ) | (0.77 | )% |
Nippon Express Co Ltd | 4,600 | 271 | 0.76 | % | ||
Daifuku Co Ltd | (5,400 | ) | (265 | ) | (0.74 | )% |
Obayashi Corp | 27,100 | 264 | 0.74 | % | ||
Bandai Namco Holdings Inc | 6,200 | 264 | 0.74 | % | ||
DeNA Co Ltd | (17,100 | ) | (263 | ) | (0.74 | )% |
Kakaku.com Inc | (13,636 | ) | (262 | ) | (0.74 | )% |
Haseko Corp | 20,600 | 257 | 0.72 | % | ||
Hankyu Hanshin Holdings Inc | 6,900 | 250 | 0.70 | % | ||
Nagoya Railroad Co Ltd | (8,900 | ) | (245 | ) | (0.69 | )% |
Marui Group Co Ltd | (13,900 | ) | (244 | ) | (0.69 | )% |
Shiseido Co Ltd | 3,600 | 237 | 0.67 | % | ||
Mitsubishi Logistics Corp | (9,400 | ) | (237 | ) | (0.67 | )% |
Isuzu Motors Ltd | 16,500 | 236 | 0.66 | % | ||
Nippon Yusen KK | (15,000 | ) | (236 | ) | (0.66 | )% |
Fast Retailing Co Ltd | (500 | ) | (234 | ) | (0.66 | )% |
Hirose Electric Co Ltd | (2,200 | ) | (226 | ) | (0.64 | )% |
Toyota Boshoku Corp | 13,400 | 220 | 0.62 | % | ||
(c) | ||||||
Top Underlying SecuritiesYORKEBS |
See accompanying notes.
129
Consolidated Schedule of Investments | ||||||
Global Multi-Strategy Fund | ||||||
February 28, 2019 (unaudited) | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Alibaba Group Holding Ltd | (42,898 | ) $ | (7,852 | ) | (19.54 | )% |
Altaba Inc | 99,387 | 7,413 | 18.45 | % | ||
Cigna Corp | 28,117 | 4,905 | 12.20 | % | ||
iShares iBoxx High Yield Corporate Bond ETF | (46,326 | ) | (3,972 | ) | (9.88 | )% |
SPDR S&P Regional Banking ETF | (39,084 | ) | (2,213 | ) | (5.51 | )% |
Ashland Global Holdings Inc | 27,000 | 2,089 | 5.20 | % | ||
Finisar Corp | (70,455 | ) | (1,725 | ) | (4.29 | )% |
Walgreens Boots Alliance Inc | (21,118 | ) | (1,503 | ) | (3.74 | )% |
Mellanox Technologies Ltd | (10,050 | ) | (1,080 | ) | (2.69 | )% |
Amgen Inc | (5,341 | ) | (1,015 | ) | (2.53 | )% |
Illinois Tool Works Inc | (6,113 | ) | (881 | ) | (2.19 | )% |
Iron Mountain Inc | (24,675 | ) | (874 | ) | (2.18 | )% |
Lowe's Cos Inc | (7,591 | ) | (798 | ) | (1.99 | )% |
Home Depot Inc/The | 4,099 | 759 | 1.89 | % | ||
Henry Schein Inc | (11,328 | ) | (672 | ) | (1.67 | )% |
II-VI Inc | 15,627 | 664 | 1.65 | % | ||
Tractor Supply Co | (4,852 | ) | (463 | ) | (1.15 | )% |
Elanco Animal Health Inc | 15,004 | 454 | 1.13 | % | ||
EOG Resources Inc | (1,643 | ) | (154 | ) | (0.39 | )% |
Marathon Oil Corp | (9,303 | ) | (154 | ) | (0.38 | )% |
Apache Corp | (4,633 | ) | (154 | ) | (0.38 | )% |
Devon Energy Corp | (5,199 | ) | (153 | ) | (0.38 | )% |
Continental Resources Inc/OK | (3,338 | ) | (149 | ) | (0.37 | )% |
China Biologic Products Holdings Inc | 1,127 | 91 | 0.23 | % | ||
(d) | ||||||
Top Underlying SecuritiesYRKEBSEUR | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Stoxx Europe 600 Index | (52,264 | ) $ | (22,162 | ) | (67.97 | )% |
Ferrovial SA | 182,795 | 4,212 | 12.92 | % | ||
Sanofi | 19,013 | 1,590 | 4.87 | % | ||
Aeroports de Paris | 5,588 | 1,084 | 3.32 | % | ||
EDP - Energias de Portugal SA | 271,571 | 996 | 3.06 | % | ||
Eurofins Scientific SE | (2,008 | ) | (846 | ) | (2.59 | )% |
Kering SA | (926 | ) | (506 | ) | (1.55 | )% |
LVMH Moet Hennessy Louis Vuitton SE | (1,330 | ) | (457 | ) | (1.40 | )% |
Smurfit Kappa Group PLC | 14,118 | 400 | 1.23 | % | ||
Salvatore Ferragamo SpA | 16,651 | 354 | 1.08 | % | ||
(e) | ||||||
Top Underlying SecuritiesAQRMSUSD | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Exelon Corp | 41,921 | $ | 2,037 | 0.91 | % | |
PPL Corp | (58,432 | ) | (1,880 | ) | (0.84 | )% |
ConocoPhillips | 22,761 | 1,544 | 0.69 | % | ||
Middleby Corp/The | (11,811 | ) | (1,448 | ) | (0.64 | )% |
Popular Inc | 24,994 | 1,409 | 0.63 | % | ||
MarketAxess Holdings Inc | (5,170 | ) | (1,261 | ) | (0.56 | )% |
TransDigm Group Inc | (2,902 | ) | (1,260 | ) | (0.56 | )% |
Zebra Technologies Corp | 6,135 | 1,230 | 0.55 | % |
See accompanying notes.
130
Consolidated Schedule of Investments | ||||||
Global Multi-Strategy Fund | ||||||
February 28, 2019 (unaudited) | ||||||
Description (continued) | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Insulet Corp | (12,384 | ) | (1,163 | ) | (0.52 | )% |
Sempra Energy | (8,750 | ) | (1,054 | ) | (0.47 | )% |
First Republic Bank/CA | (9,841 | ) | (1,033 | ) | (0.46 | )% |
Cognex Corp | (19,066 | ) | (1,018 | ) | (0.45 | )% |
BWX Technologies Inc | (19,168 | ) | (1,003 | ) | (0.45 | )% |
Williams Cos Inc/The | (36,936 | ) | (986 | ) | (0.44 | )% |
Keysight Technologies Inc | 11,263 | 951 | 0.42 | % | ||
Curtiss-Wright Corp | 7,438 | 917 | 0.41 | % | ||
Liberty Broadband Corp - C Shares | (10,230 | ) | (916 | ) | (0.41 | )% |
Healthcare Services Group Inc | (23,098 | ) | (882 | ) | (0.39 | )% |
Square Inc | (10,848 | ) | (881 | ) | (0.39 | )% |
Archer-Daniels-Midland Co | 20,365 | 866 | 0.38 | % | ||
Seattle Genetics Inc | (11,458 | ) | (851 | ) | (0.38 | )% |
Hanesbrands Inc | (45,241 | ) | (841 | ) | (0.37 | )% |
Teledyne Technologies Inc | 3,501 | 826 | 0.37 | % | ||
Copart Inc | (13,949 | ) | (818 | ) | (0.36 | )% |
Henry Schein Inc | (13,762 | ) | (816 | ) | (0.36 | )% |
NorthWestern Corp | 11,843 | 812 | 0.36 | % | ||
Chemours Co/The | (20,882 | ) | (794 | ) | (0.35 | )% |
Spirit AeroSystems Holdings Inc | 7,986 | 789 | 0.35 | % | ||
Conagra Brands Inc | (33,629 | ) | (786 | ) | (0.35 | )% |
Fortive Corp | (9,518 | ) | (776 | ) | (0.34 | )% |
Public Service Enterprise Group Inc | 13,186 | 775 | 0.35 | % | ||
Tyson Foods Inc | 12,373 | 763 | 0.34 | % | ||
Crown Holdings Inc | (14,008 | ) | (760 | ) | (0.34 | )% |
Universal Display Corp | (4,956 | ) | (740 | ) | (0.33 | )% |
Campbell Soup Co | (20,432 | ) | (736 | ) | (0.33 | )% |
Lear Corp | 4,683 | 712 | 0.32 | % | ||
HealthEquity Inc | (8,732 | ) | (703 | ) | (0.31 | )% |
HEICO Corp | (7,490 | ) | (702 | ) | (0.31 | )% |
Dover Corp | 7,692 | 696 | 0.31 | % | ||
Mondelez International Inc | 14,732 | 695 | 0.31 | % | ||
Fastenal Co | (11,012 | ) | (693 | ) | (0.31 | )% |
Lamb Weston Holdings Inc | 9,889 | 685 | 0.31 | % | ||
Microchip Technology Inc | (7,818 | ) | (679 | ) | (0.30 | )% |
Micron Technology Inc | 16,490 | 674 | 0.30 | % | ||
Hyatt Hotels Corp | 9,233 | 672 | 0.30 | % | ||
Worldpay Inc | (6,997 | ) | (670 | ) | (0.30 | )% |
Alliant Energy Corp | (14,565 | ) | (668 | ) | (0.30 | )% |
Bank OZK | (20,306 | ) | (666 | ) | (0.30 | )% |
Sprouts Farmers Market Inc | (28,538 | ) | (666 | ) | (0.30 | )% |
Hormel Foods Corp | (15,133 | ) | (656 | ) | (0.29 | )% |
See accompanying notes.
131
Consolidated Schedule of Investments | |||||||||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||||||
Reverse Repurchase Agreements | |||||||||||||||||||||
Counterparty | Coupon Rate | Maturity Date | Principal Amount | Payable for Reverse Repurchase Agreements | |||||||||||||||||
Barclays Bank PLC | (2.85 | )% | Open ended | $ | 5,496 | $ | (5,502 | ) | |||||||||||||
Merrill Lynch | (2.90 | )% | Open ended | 3,580 | (3,600 | ) | |||||||||||||||
Merrill Lynch | (3.00 | )% | Open ended | 5,408 | (5,434 | ) | |||||||||||||||
Merrill Lynch | (3.05 | )% | Open ended | 9,038 | (9,071 | ) | |||||||||||||||
Merrill Lynch | (2.75 | )% | Open ended | 1,826 | (1,832 | ) | |||||||||||||||
Merrill Lynch | (2.75 | )% | Open ended | 944 | (947 | ) | |||||||||||||||
Merrill Lynch | (2.75 | )% | Open ended | 797 | (799 | ) | |||||||||||||||
Merrill Lynch | (2.75 | )% | Open ended | 812 | (815 | ) | |||||||||||||||
Merrill Lynch | (2.75 | )% | Open ended | 1,179 | (1,183 | ) | |||||||||||||||
Merrill Lynch | (2.75 | )% | Open ended | 2,092 | (2,099 | ) | |||||||||||||||
Merrill Lynch | (7.10 | )% | Open ended | ZAR | 28,979 | (2,065 | ) | ||||||||||||||
Merrill Lynch | 0.38 | % | Open ended | EUR | 16,697 | (18,991 | ) | ||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | $ | 8,474 | (8,475 | ) | ||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 7,341 | (7,342 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 7,296 | (7,297 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 22,553 | (22,555 | ) | |||||||||||||||
Merrill Lynch | (2.70 | )% | 03/01/2019 | 4,317 | (4,317 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 6,899 | (6,899 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 8,299 | (8,300 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 7,892 | (7,893 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 13,090 | (13,091 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 31,973 | (31,975 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 7,091 | (7,091 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 1,130 | (1,130 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 12,067 | (12,068 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 12,459 | (12,460 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 35,801 | (35,804 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 15,004 | (15,005 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 8,961 | (8,962 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 297 | (297 | ) | |||||||||||||||
Merrill Lynch | (2.70 | )% | 03/01/2019 | 7,904 | (7,905 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 20,834 | (20,836 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 7,207 | (7,207 | ) | |||||||||||||||
Merrill Lynch | (2.80 | )% | 03/01/2019 | 13,505 | (13,506 | ) | |||||||||||||||
Merrill Lynch | (2.35 | )% | 03/01/2019 | 31,882 | (31,884 | ) | |||||||||||||||
Merrill Lynch | (2.65 | )% | 03/01/2019 | 71,355 | (71,360 | ) | |||||||||||||||
Merrill Lynch | (2.70 | )% | 03/01/2019 | 25,776 | (25,778 | ) | |||||||||||||||
Merrill Lynch | (2.75 | )% | 03/01/2019 | 10,788 | (10,789 | ) | |||||||||||||||
Total | $ | (452,564 | ) | ||||||||||||||||||
Amounts in thousands. | |||||||||||||||||||||
Total Return Swaps | |||||||||||||||||||||
Value and | |||||||||||||||||||||
Unrealized | |||||||||||||||||||||
Upfront | Appreciation/ | ||||||||||||||||||||
Pay/Receive | Payment | Expiration | Notional | Payments/ | (Depreciation) | ||||||||||||||||
Counterparty | Reference Entity | Contracts | Positive Return | Financing Rate | Frequency | Date | Amount | (Receipts) | Asset----Liability | ||||||||||||
Goldman Sachs & Co | Seritage Growth | 9,187 | Receive | 1 Month USD | Expiration | 06/03/2021 | $ | 398 | $ | — $ | 8 | $ | — | ||||||||
Properties - A REIT | LIBOR + 0.70% | ||||||||||||||||||||
Goldman Sachs & Co | Seritage Growth | 2,427 | Receive | 1 Month USD | Expiration | 06/03/2021 | 100 | — | 7 | — | |||||||||||
Properties - A REIT | LIBOR + 0.70% | ||||||||||||||||||||
Goldman Sachs & Co | Seritage Growth | 6,860 | Receive | 1 Month USD | Expiration | 06/03/2021 | 284 | — | 19 | — | |||||||||||
Properties - A REIT | LIBOR + 0.70% | ||||||||||||||||||||
Goldman Sachs & Co | Seritage Growth | 9,664 | Receive | 1 Month USD | Expiration | 06/03/2021 | 458 | — | — | (32 | ) | ||||||||||
Properties - A REIT | LIBOR + 0.70% | ||||||||||||||||||||
Goldman Sachs & Co | Seritage Growth | 9,664 | Receive | 1 Month USD | Expiration | 06/03/2021 | 439 | — | — | (12 | ) | ||||||||||
Properties - A REIT | LIBOR + 0.70% | ||||||||||||||||||||
Goldman Sachs & Co | Seritage Growth | 11,497 | Receive | 1 Month USD | Expiration | 06/03/2021 | 493 | — | 15 | — | |||||||||||
Properties - A REIT | LIBOR + 0.70% | ||||||||||||||||||||
Goldman Sachs & Co | Seritage Growth | 10,347 | Receive | 1 Month USD | Expiration | 06/03/2021 | 432 | — | 25 | — | |||||||||||
Properties - A REIT | LIBOR + 0.70% | ||||||||||||||||||||
HSBC Securities Inc | Egypt Treasury Bills, | 44,514,799 | Receive | 3 Month USD | Quarterly | 04/19/2019 | 2,400 | — | 87 | — | |||||||||||
0.00%, 04/16/2019 | LIBOR | ||||||||||||||||||||
HSBC Securities Inc | Egypt Treasury Bills, | 48,500,000 | Receive | 3 Month USD | Quarterly | 04/17/2019 | 2,587 | — | 122 | — | |||||||||||
0.00%, 04/16/2019 | LIBOR | ||||||||||||||||||||
HSBC Securities Inc | Egypt Treasury Bills, | 116,000,000 | Receive | 3 Month USD | Quarterly | 04/24/2019 | 6,166 | — | 292 | — | |||||||||||
0.00%, 04/23/2019 | LIBOR |
See accompanying notes.
132
Consolidated Schedule of Investments | |||||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||
Total Return Swaps (continued) | |||||||||||||||||
Value and | |||||||||||||||||
Unrealized | |||||||||||||||||
Upfront | Appreciation/ | ||||||||||||||||
Pay/Receive | Payment | Expiration | Notional | Payments/ | (Depreciation) | ||||||||||||
Counterparty | Reference Entity | Contracts | Positive Return | Financing Rate | Frequency | Date | Amount | (Receipts) | Asset----Liability | ||||||||
HSBC Securities Inc Nigeria Treasury Bill, | Receive | 3 Month USD | Quarterly | 10/04/2019 | $ | 7,476 | $ | — | $ 151 | $ | — | ||||||
0.00%, 10/03/2019 | LIBOR + 0.75% | ||||||||||||||||
Morgan Stanley & Co MSCI Daily Total Return | 56 | Receive | 1 Month USD | Monthly | 03/20/2019 | 8 | — | — | — | ||||||||
Net Israel USD Index | LIBOR + 0.30% | ||||||||||||||||
Morgan Stanley & Co MSCI Daily Total Return | 17 | Receive | 1 Month USD | Monthly | 03/20/2019 | 2 | — | — | — | ||||||||
Net Israel USD Index | LIBOR + 0.30% | ||||||||||||||||
Morgan Stanley & Co MSCI Daily Total Return | 1 | Receive | 1 Month USD | Monthly | 03/20/2019 | — | — | — | — | ||||||||
Net Israel USD Index | LIBOR + 0.30% | ||||||||||||||||
Morgan Stanley & Co MSCI Emerging Markets | 868 | Pay | 1 Month USD | Monthly | 03/20/2019 | $ | 666 | — | 12 | — | |||||||
Korea Net Total Return | LIBOR - 0.40% | ||||||||||||||||
USD Index | |||||||||||||||||
Morgan Stanley & Co MSCI Emerging Markets | 28 | Pay | 1 Month USD | Monthly | 03/20/2019 | 40 | — | — | — | ||||||||
Thailand Net Total | LIBOR - 0.10% | ||||||||||||||||
Return USD Index | |||||||||||||||||
Morgan Stanley & Co MSCI Emerging Markets | 9 | Pay | 1 Month USD | Monthly | 03/20/2019 | 13 | — | — | — | ||||||||
Thailand Net Total | LIBOR - 0.10% | ||||||||||||||||
Return USD Index | |||||||||||||||||
Morgan Stanley & Co MSCI Emerging Markets | 11 | Pay | 1 Month USD | Monthly | 03/20/2019 | 16 | — | — | — | ||||||||
Thailand Net Total | LIBOR - 0.10% | ||||||||||||||||
Return USD Index | |||||||||||||||||
Morgan Stanley & Co MSCI Emerging Markets | 9 | Pay | 1 Month USD | Monthly | 03/20/2019 | 13 | — | — | — | ||||||||
Thailand Net Total | LIBOR - 0.10% | ||||||||||||||||
Return USD Index | |||||||||||||||||
Morgan Stanley & Co MSCI Hong Kong Net | 152 | Receive | 1 Month Hong | Monthly | 03/20/2019 | HKD | 13,775 | — | 16 | — | |||||||
Return HKD Index | Kong Interbank | ||||||||||||||||
Offered Rate + | |||||||||||||||||
0.15 | % | ||||||||||||||||
Morgan Stanley & Co MSCI Japan Net Return | 182,767 | Receive | 1 Month JPY | Monthly | 03/20/2019 | JPY | 342,928 | — | — | (13 | ) | ||||||
JPY Index | LIBOR - 0.10% | ||||||||||||||||
Morgan Stanley & Co MSCI Mexico Net | 54 | Pay | MXN TIIE Banxico | Monthly | 03/20/2019 | MXN | 49 | — | — | — | |||||||
Return MXN Index | |||||||||||||||||
Morgan Stanley & Co MSCI Mexico Net | 1,052 | Pay | MXN TIIE Banxico | Monthly | 03/20/2019 | 961 | — | 1 | — | ||||||||
Return MXN Index | |||||||||||||||||
Morgan Stanley & Co MSCI Mexico Net | 4 | Pay | MXN TIIE Banxico | Monthly | 03/20/2019 | 4 | — | — | — | ||||||||
Return MXN Index | |||||||||||||||||
Morgan Stanley & Co MSCI Mexico Net | 15 | Pay | MXN TIIE Banxico | Monthly | 03/20/2019 | 14 | — | — | — | ||||||||
Return MXN Index | |||||||||||||||||
Morgan Stanley & Co MSCI Mexico Net | 3 | Pay | MXN TIIE Banxico | Monthly | 03/20/2019 | 3 | — | — | — | ||||||||
Return MXN Index | |||||||||||||||||
Morgan Stanley & Co MSCI Mexico Net | 4 | Pay | MXN TIIE Banxico | Monthly | 03/20/2019 | 4 | — | — | — | ||||||||
Return MXN Index | |||||||||||||||||
Morgan Stanley & Co MSCI Poland Net Return | 194 | Pay | 1 Month Warsaw | Monthly | 03/20/2019 | PLN | 40 | — | — | — | |||||||
PLN Index | Interbank Offered | ||||||||||||||||
Rate - 0.20% | |||||||||||||||||
Morgan Stanley & Co MSCI Poland Net Return | 119 | Pay | 1 Month Warsaw | Monthly | 03/20/2019 | 25 | — | — | — | ||||||||
PLN Index | Interbank Offered | ||||||||||||||||
Rate - 0.20% | |||||||||||||||||
Morgan Stanley & Co MSCI Singapore Net | 51 | Receive | 1 Month Singapore | Monthly | 03/20/2019 | SGD | 293 | — | — | (4 | ) | ||||||
Return SGD Index | Interbank Offered | ||||||||||||||||
Rate + 0.30% | |||||||||||||||||
Morgan Stanley & Co MSCI South Africa Net | 8,111 | Pay | 1 Month | Monthly | 03/20/2019 | ZAR | 7,753 | — | — | (1 | ) | ||||||
Return ZAR Index | Johannesburg | ||||||||||||||||
Interbank Agreed | |||||||||||||||||
Rate - 0.27% | |||||||||||||||||
Morgan Stanley & Co MSCI South Africa Net | 1 | Pay | 1 Month | Monthly | 03/20/2019 | 1 | — | — | — | ||||||||
Return ZAR Index | Johannesburg | ||||||||||||||||
Interbank Agreed | |||||||||||||||||
Rate - 0.27% | |||||||||||||||||
Morgan Stanley & Co MSCI South Africa Net | 528 | Pay | SAFE South Africa | Monthly | 03/20/2019 | 505 | — | — | — | ||||||||
Return ZAR Index | Johannesburg | ||||||||||||||||
Interbank Agreed | |||||||||||||||||
Rate 1 Month | |||||||||||||||||
- 0.27 | % |
See accompanying notes.
133
Consolidated Schedule of Investments | |||||||||||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||||||||
Total Return Swaps (continued) | |||||||||||||||||||||||
Value and | |||||||||||||||||||||||
Unrealized | |||||||||||||||||||||||
Upfront | Appreciation/ | ||||||||||||||||||||||
Pay/Receive | Payment | Expiration | Notional | Payments/ | (Depreciation) | ||||||||||||||||||
Counterparty | Reference Entity | Contracts | Positive Return | Financing Rate | Frequency | Date | Amount | (Receipts) | Asset----Liability | ||||||||||||||
Morgan Stanley & Co | MSCI South Africa Net | 101 | Pay | SAFE South Africa | Monthly | 03/20/2019 ZAR | 97 | $ | — $ | — | $ | — | |||||||||||
Return ZAR Index | Johannesburg | ||||||||||||||||||||||
Interbank Agreed | |||||||||||||||||||||||
Rate 1 Month | |||||||||||||||||||||||
- 0.27 | % | ||||||||||||||||||||||
Morgan Stanley & Co | MSCI South Africa Net | 108 | Pay | 1 Month | Monthly | 03/20/2019 | 103 | — | — | — | |||||||||||||
Return ZAR Index | Johannesburg | ||||||||||||||||||||||
Interbank Agreed | |||||||||||||||||||||||
Rate - 0.27% | |||||||||||||||||||||||
Morgan Stanley & Co | MSCI South Africa Net | 127 | Pay | 1 Month | Monthly | 03/20/2019 | 121 | — | — | — | |||||||||||||
Return ZAR Index | Johannesburg | ||||||||||||||||||||||
Interbank Agreed | |||||||||||||||||||||||
Rate - 0.27% | |||||||||||||||||||||||
Morgan Stanley & Co | MSCI Sweden Net | 29 | Pay | 1 Month Stockholm | Monthly | 03/20/2019 | SEK | 1,117 | — | 1 | — | ||||||||||||
Return SEK Index | Interbank Offered | ||||||||||||||||||||||
Rate - 0.15% | |||||||||||||||||||||||
Morgan Stanley & Co | MSCI Switzerland Net | 451 | Pay | 1 Month CHF | Monthly | 03/20/2019 | CHF | 1,242 | — | — | (8 | ) | |||||||||||
Return CHF Index | LIBOR - 0.80% | ||||||||||||||||||||||
Total | $ | — $ | 756 | $ | (70 | ) | |||||||||||||||||
Amounts in thousands except contracts | |||||||||||||||||||||||
Synthetic Futures | |||||||||||||||||||||||
Upfront | Unrealized | ||||||||||||||||||||||
Notional | Payments/ | Appreciation/ | Fair Value | ||||||||||||||||||||
Counterparty | Reference Entity | Expiration Date | Amount | (Receipts) | (Depreciation) | Asset----Liability | |||||||||||||||||
Bank of America NA | Canada 10 Year Bond Future; June 2019 | 06/20/2019 | $ | (4,434 | )$ | — $ | 16 | $ | 16 | $ | — | ||||||||||||
Bank of America NA | Euro Bund 10 Year Bund Future; June 2019 | 06/11/2019 | 19,070 | — | (131 | ) | — | (131 | ) | ||||||||||||||
Bank of America NA | Euro Buxl 30 Year Bond Future; June 2019 | 06/07/2019 | 208 | — | — | — | — | ||||||||||||||||
Bank of America NA | Euro-Bobl 5 Year Future; June 2019 | 06/07/2019 | 5,557 | — | (5 | ) | — | (5 | ) | ||||||||||||||
Bank of America NA | Euro-BTP Future; June 2019 | 06/07/2019 | 1,006 | — | 2 | 2 | — | ||||||||||||||||
Bank of America NA | Euro-OAT Future; June 2019 | 06/07/2019 | 2,159 | — | (5 | ) | — | (5 | ) | ||||||||||||||
Bank of America NA | Euro-Schatz 2 Year Future; June 2019 | 06/11/2019 | 4,959 | — | (3 | ) | — | (3 | ) | ||||||||||||||
Bank of America NA | Japan 10 Year Bond TSE Future; March 2019 | 03/14/2019 | (16,444 | ) | — | (45 | ) | — | (45 | ) | |||||||||||||
Bank of America NA | UK 10 Year Gilt Future; June 2019 | 06/27/2019 | (13,180 | ) | — | 141 | 141 | — | |||||||||||||||
Bank of America NA | US 10 Year Note Future; June 2019 | 06/20/2019 | (9,272 | ) | — | 27 | 27 | — | |||||||||||||||
Bank of America NA | US 2 Year Note Future; June 2019 | 06/29/2019 | (2,334 | ) | — | 1 | 1 | — | |||||||||||||||
Bank of America NA | US 5 Year Note Future; June 2019 | 06/29/2019 | 916 | — | (2 | ) | — | (2 | ) | ||||||||||||||
Bank of America NA | US Long Bond Future; June 2019 | 06/20/2019 | 1,011 | — | (12 | ) | — | (12 | ) | ||||||||||||||
Bank of America NA | US Ultra Bond Future; June 2019 | 06/20/2019 | 479 | — | (9 | ) | — | (9 | ) | ||||||||||||||
Citigroup Inc(a) | Brent Crude Future; May 2019 | 03/30/2019 | 1,459 | — | 27 | 27 | — | ||||||||||||||||
Citigroup Inc(a) | Cocoa Future; May 2019 | 05/16/2019 | 45 | — | — | — | — | ||||||||||||||||
Citigroup Inc(a) | Coffee 'C' Future; May 2019 | 05/21/2019 | (74 | ) | — | 3 | 3 | — | |||||||||||||||
Citigroup Inc(a) | Copper Future; May 2019 | 05/30/2019 | (74 | ) | — | (4 | ) | — | (4 | ) | |||||||||||||
Citigroup Inc(a) | Corn Future; May 2019 | 05/15/2019 | (556 | ) | — | 15 | 15 | — | |||||||||||||||
Citigroup Inc(a) | Cotton No.2 Future; May 2019 | 05/09/2019 | (218 | ) | — | 4 | 4 | — | |||||||||||||||
Citigroup Inc(a) | Gasoline RBOB Future; April 2019 | 03/30/2019 | (294 | ) | — | (25 | ) | — | (25 | ) | |||||||||||||
Citigroup Inc(a) | LME Copper Future; June 2019 | 06/18/2019 | (977 | ) | — | (38 | ) | — | (38 | ) | |||||||||||||
Citigroup Inc(a) | LME Nickel Future; June 2019 | 06/18/2019 | 78 | — | 1 | 1 | — | ||||||||||||||||
Citigroup Inc(a) | LME PRI Alum Future; June 2019 | 06/18/2019 | (240 | ) | — | (6 | ) | — | (6 | ) | |||||||||||||
Citigroup Inc(a) | LME Zinc Future; June 2019 | 06/18/2019 | (69 | ) | — | (4 | ) | — | (4 | ) | |||||||||||||
Citigroup Inc(a) | Natural Gas Future; April 2019 | 03/28/2019 | (759 | ) | — | (57 | ) | — | (57 | ) | |||||||||||||
Citigroup Inc(a) | Platinum Future; April 2019 | 04/29/2019 | (88 | ) | — | (6 | ) | — | (6 | ) | |||||||||||||
Citigroup Inc(a) | Soybean Future; May 2019 | 05/15/2019 | (1,047 | ) | — | 16 | 16 | — | |||||||||||||||
Citigroup Inc(a) | Soybean Meal Future; May 2019 | 05/15/2019 | (428 | ) | — | 7 | 7 | — | |||||||||||||||
Citigroup Inc(a) | Soybean Oil Future; May 2019 | 05/15/2019 | (54 | ) | — | 1 | 1 | — | |||||||||||||||
Citigroup Inc(a) | Sugar #11 Future; May 2019 | 05/01/2019 | (129 | ) | — | (1 | ) | — | (1 | ) | |||||||||||||
Citigroup Inc(a) | Wheat Future; May 2019 | 05/15/2019 | (46 | ) | — | 3 | 3 | — | |||||||||||||||
Citigroup Inc(a) | WTI Crude Future; April 2019 | 03/21/2019 | 572 | — | 26 | 26 | — | ||||||||||||||||
Merrill Lynch | BIST 30 Index Future; April 2019 | 05/01/2019 | (12 | ) | — | — | — | — | |||||||||||||||
Merrill Lynch(a) | Cocoa Future; May 2019 | 05/16/2019 | 45 | — | — | — | — | ||||||||||||||||
Merrill Lynch(a) | Coffee 'C' Future; May 2019 | 05/21/2019 | (628 | ) | — | 28 | 28 | — | |||||||||||||||
Merrill Lynch(a) | Corn Future; May 2019 | 05/15/2019 | (408 | ) | — | 11 | 11 | — | |||||||||||||||
Merrill Lynch(a) | Cotton No.2 Future; May 2019 | 05/09/2019 | (73 | ) | — | 1 | 1 | — | |||||||||||||||
Merrill Lynch | DTOP Index Future; March 2019 | 03/21/2019 | (38 | ) | — | — | — | — |
See accompanying notes.
134
Consolidated Schedule of Investments | ||||||||||||||
Global Multi-Strategy Fund | ||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||
Synthetic Futures (continued) | ||||||||||||||
Upfront | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Notional | Payments/ | Fair Value | ||||||||||||
Counterparty | Reference Entity | Expiration Date | Amount | (Receipts) | Asset----Liability | |||||||||
Merrill Lynch(a) | Gold 100 oz Future; April 2019 | 04/27/2019 | $ | (1,448 | )$ | — $ | (29 | )$ | — $ | (29 | ) | |||
Merrill Lynch | HSCEI China Index Future; March 2019 | 03/29/2019 | 1,454 | — | (12 | ) | — | (12 | ) | |||||
Merrill Lynch(a) | KC HRW Wheat Future; May 2019 | 05/15/2019 | (244 | ) | — | 23 | 23 | — | ||||||
Merrill Lynch(a) | Lean Hogs Future; April 2019 | 04/15/2019 | (134 | ) | — | 18 | 18 | — | ||||||
Merrill Lynch(a) | Live Cattle Future; April 2019 | 05/01/2019 | 467 | — | 3 | 3 | — | |||||||
Merrill Lynch(a) | Low Sulphur Gasoline Future; April 2019 | 04/12/2019 | 124 | — | — | — | — | |||||||
Merrill Lynch(a) | NY Harb ULSD Future; April 2019 | 03/30/2019 | (170 | ) | — | (11 | ) | — | (11 | ) | ||||
Merrill Lynch(a) | Palladium Future; June 2019 | 06/27/2019 | 150 | — | 10 | 10 | — | |||||||
Merrill Lynch(a) | Platinum Future; April 2019 | 04/29/2019 | (44 | ) | — | (3 | ) | — | (3 | ) | ||||
Merrill Lynch(a) | Soybean Meal Future; May 2019 | 05/15/2019 | (490 | ) | — | 8 | 8 | — | ||||||
Merrill Lynch(a) | Sugar #11 Future; May 2019 | 05/01/2019 | (200 | ) | — | (1 | ) | — | (1 | ) | ||||
Merrill Lynch | Taiwan TAIEX Index Future; March 2019 | 03/21/2019 | (808 | ) | — | (25 | ) | — | (25 | ) | ||||
Merrill Lynch | Tel Aviv 25 Index Future; March 2019 | 03/28/2019 | 217 | — | — | — | — | |||||||
Merrill Lynch(a) | Wheat Future; May 2019 | 05/15/2019 | (482 | ) | — | 32 | 32 | — | ||||||
Morgan Stanley & Co | Bovespa Index Future; April 2019 | 04/18/2019 | 1,664 | — | 14 | 14 | — | |||||||
Morgan Stanley & Co | HSCEI China Index Future; March 2019 | 03/29/2019 | 799 | — | (7 | ) | — | (7 | ) | |||||
Morgan Stanley & Co | KOSPI 200 Index Future; March 2019 | 03/15/2019 | 63 | — | — | — | — | |||||||
Morgan Stanley & Co | Swiss Market Index Future; March 2019 | 03/18/2019 | 93 | — | — | — | — | |||||||
Morgan Stanley & Co | WIG 20 Index Future; March 2019 | 03/18/2019 | (12 | ) | — | — | — | — | ||||||
Total | $ | — $ | (3 | )$ | 438 | $ | (441 | ) | ||||||
Amounts in thousands. |
(a) | All or a portion of this security is owned by the GMS Cayman Corporation, which is a 100% owned subsidiary of the fund. |
See accompanying notes.
135
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
Short Sales Outstanding | |||||||||||||||
COMMON STOCKS - (11.74)% | Shares | Value (000's) | COMMON STOCKS (continued) | Shares | Value (000’s) | ||||||||||
Advertising - (0.07)% | Biotechnology (continued) | ||||||||||||||
Dentsu Inc | 3,900 | $ | 163 | Omeros Corp | 5,927 | $ | 85 | ||||||||
JCDecaux SA | 11,730 | 361 | $ | 584 | |||||||||||
Omnicom Group Inc | 9,600 | 727 | Building Materials - (0.24)% | ||||||||||||
$ | 1,251 | CRH PLC | 10,887 | 345 | |||||||||||
Aerospace & Defense - (0.21)% | HeidelbergCement AG | 8,413 | 619 | ||||||||||||
BAE Systems PLC | 24,605 | 152 | Imerys SA | 18,975 | 1,079 | ||||||||||
Harris Corp | 15,552 | 2,565 | James Hardie Industries PLC | 45,259 | 566 | ||||||||||
IHI Corp | 11,000 | 290 | Johnson Controls International plc | 29,400 | 1,037 | ||||||||||
Kawasaki Heavy Industries Ltd | 14,800 | 381 | LIXIL Group Corp | 34,900 | 473 | ||||||||||
Leonardo SpA | 48,311 | 487 | Owens Corning | 6,800 | 340 | ||||||||||
$ | 3,875 | $ | 4,459 | ||||||||||||
Agriculture - (0.05)% | Chemicals - (0.41)% | ||||||||||||||
Bunge Ltd | 19,200 | 1,019 | Akzo Nobel NV | 8,000 | 725 | ||||||||||
Airlines - (0.15)% | Clariant AG | 48,524 | 1,041 | ||||||||||||
Delta Air Lines Inc | 15,500 | 768 | DowDuPont Inc | 6,100 | 325 | ||||||||||
International Consolidated Airlines Group SA | 216,662 | 1,712 | FMC Corp | 4,500 | 403 | ||||||||||
United Continental Holdings Inc | 3,400 | 299 | Hitachi Chemical Co Ltd | 46,800 | 852 | ||||||||||
$ | 2,779 | International Flavors & Fragrances Inc | 2,600 | 331 | |||||||||||
Apparel - (0.03)% | JSR Corp | 18,800 | 313 | ||||||||||||
Capri Holdings Ltd | 4,900 | 223 | Kansai Paint Co Ltd | 20,100 | 371 | ||||||||||
Hanesbrands Inc | 21,499 | 400 | Kuraray Co Ltd | 32,800 | 441 | ||||||||||
$ | 623 | LANXESS AG | 10,546 | 571 | |||||||||||
Automobile Manufacturers - (0.06)% | Nippon Paint Holdings Co Ltd | 18,200 | 702 | ||||||||||||
Bayerische Motoren Werke AG | 6,448 | 545 | Taiyo Nippon Sanso Corp | 32,800 | 465 | ||||||||||
Ford Motor Co | 45,900 | 403 | Umicore SA | 14,264 | 616 | ||||||||||
Isuzu Motors Ltd | 17,400 | 250 | Yara International ASA | 19,199 | 807 | ||||||||||
$ | 1,198 | $ | 7,963 | ||||||||||||
Automobile Parts & Equipment - (0.15)% | Commercial Services - (0.23)% | ||||||||||||||
Cie Generale des Etablissements Michelin SCA | 8,795 | 1,054 | Babcock International Group PLC | 86,306 | 619 | ||||||||||
Goodyear Tire & Rubber Co/The | 15,535 | 307 | FTI Consulting Inc | 2,353 | 174 | ||||||||||
JTEKT Corp | 64,200 | 800 | IHS Markit Ltd | 5,800 | 308 | ||||||||||
Meritor Inc | 4,154 | 93 | Nielsen Holdings PLC | 24,200 | 634 | ||||||||||
Valeo SA | 10,012 | 315 | Park24 Co Ltd | 19,500 | 468 | ||||||||||
$ | 2,569 | Square Inc | 2,775 | 225 | |||||||||||
Banks - (0.56)% | Transurban Group | 87,405 | 773 | ||||||||||||
Ameris Bancorp | 2,153 | 88 | Worldpay Inc | 14,000 | 1,341 | ||||||||||
BB&T Corp | 40,095 | 2,044 | $ | 4,542 | |||||||||||
Bendigo & Adelaide Bank Ltd | 210,197 | 1,470 | Computers - (0.13)% | ||||||||||||
Chemical Financial Corp | 5,506 | 252 | Atos SE | 3,722 | 357 | ||||||||||
Chiba Bank Ltd/The | 60,000 | 365 | Fujitsu Ltd | 7,900 | 533 | ||||||||||
Commonwealth Bank of Australia | 15,376 | 807 | Hewlett Packard Enterprise Co | 52,236 | 856 | ||||||||||
Credit Suisse Group AG | 17,367 | 214 | Ingenico Group SA | 4,821 | 323 | ||||||||||
DBS Group Holdings Ltd | 13,900 | 255 | NCR Corp | 6,484 | 182 | ||||||||||
Fifth Third Bancorp | 23,660 | 653 | Otsuka Corp | 7,300 | 263 | ||||||||||
Fukuoka Financial Group Inc | 10,200 | 221 | Pure Storage Inc | 4,123 | 84 | ||||||||||
Hope Bancorp Inc | 2,254 | 33 | $ | 2,598 | |||||||||||
Independent Bank Corp/Rockland MA | 1,418 | 121 | Consumer Products - (0.05)% | ||||||||||||
Morgan Stanley | 13,400 | 563 | Societe BIC SA | 9,365 | 886 | ||||||||||
National Bank of Canada | 22,500 | 1,062 | Cosmetics & Personal Care - (0.11)% | ||||||||||||
Nordea Bank Abp | 66,870 | 606 | Essity AB | 38,951 | 1,087 | ||||||||||
UBS Group AG | 61,733 | 783 | Kao Corp | 3,200 | 243 | ||||||||||
Wells Fargo & Co | 14,000 | 698 | Lion Corp | 13,300 | 273 | ||||||||||
Yamaguchi Financial Group Inc | 62,800 | 587 | Unilever NV | 12,243 | 663 | ||||||||||
$ | 10,822 | $ | 2,266 | ||||||||||||
Beverages - (0.16)% | Distribution & Wholesale - (0.05)% | ||||||||||||||
Coca-Cola Amatil Ltd | 47,138 | 267 | Jardine Cycle & Carriage Ltd | 22,400 | 551 | ||||||||||
Coca-Cola Bottlers Japan Holdings Inc | 48,700 | 1,257 | Rexel SA | 32,908 | 410 | ||||||||||
Heineken NV | 3,600 | 362 | $ | 961 | |||||||||||
PepsiCo Inc | 3,100 | 358 | Diversified Financial Services - (0.38)% | ||||||||||||
Pernod Ricard SA | 2,202 | 379 | AEON Financial Service Co Ltd | 19,200 | 378 | ||||||||||
Treasury Wine Estates Ltd | 43,470 | 462 | Credit Saison Co Ltd | 62,700 | 913 | ||||||||||
$ | 3,085 | E*TRADE Financial Corp | 11,300 | 554 | |||||||||||
Biotechnology - (0.02)% | Invesco Ltd | 17,200 | 333 | ||||||||||||
AMAG Pharmaceuticals Inc | 3,326 | 50 | ORIX Corp | 17,500 | 253 | ||||||||||
BioMarin Pharmaceutical Inc | 2,900 | 270 | Raymond James Financial Inc | 18,900 | 1,561 | ||||||||||
Innoviva Inc | 5,867 | 92 | SBI Holdings Inc/Japan | 46,000 | 973 | ||||||||||
Ligand Pharmaceuticals Inc | 170 | 21 | St James's Place PLC | 42,066 | 543 | ||||||||||
Medicines Co/The | 2,690 | 66 | Tokyo Century Corp | 27,600 | 1,232 |
See accompanying notes.
136
Consolidated Schedule of Investments | |||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||
Short Sales Outstanding | |||||||||||||||
COMMON STOCKS (continued) | Shares | Value (000’s) | COMMON STOCKS (continued) | Shares | Value (000’s) | ||||||||||
Diversified Financial Services (continued) | Hand & Machine Tools - (0.11)% | ||||||||||||||
Western Union Co/The | 32,500 | $ | 581 | Colfax Corp | 20,524 | $ | 543 | ||||||||
$ | 7,321 | Disco Corp | 3,700 | 512 | |||||||||||
Electric - (0.39)% | Finning International Inc | 33,700 | 628 | ||||||||||||
AES Corp/VA | 82,800 | 1,427 | Makita Corp | 10,300 | 366 | ||||||||||
CenterPoint Energy Inc | 17,769 | 536 | $ | 2,049 | |||||||||||
Chugoku Electric Power Co Inc/The | 13,500 | 175 | Healthcare - Products - (0.10)% | ||||||||||||
DTE Energy Co | 3,866 | 478 | Abbott Laboratories | 12,870 | 999 | ||||||||||
E.ON SE | 124,748 | 1,372 | Lonza Group AG | 2,675 | 743 | ||||||||||
Electricite de France SA | 32,469 | 471 | OPKO Health Inc | 20,681 | 53 | ||||||||||
Entergy Corp | 9,700 | 905 | Terumo Corp | 2,100 | 129 | ||||||||||
Exelon Corp | 13,664 | 664 | $ | 1,924 | |||||||||||
RWE AG | 15,779 | 385 | Healthcare - Services - (0.62)% | ||||||||||||
Sempra Energy | 5,032 | 606 | Anthem Inc | 33,926 | 10,203 | ||||||||||
SSE PLC | 38,866 | 612 | Fresenius Medical Care AG & Co KGaA | 973 | 76 | ||||||||||
$ | 7,631 | Fresenius SE & Co KGaA | 10,275 | 577 | |||||||||||
Electrical Components & Equipment - (0.04)% | Ryman Healthcare Ltd | 92,263 | 690 | ||||||||||||
Casio Computer Co Ltd | 32,200 | 438 | Tivity Health Inc | 3,254 | 70 | ||||||||||
OSRAM Licht AG | 9,423 | 408 | WellCare Health Plans Inc | 1,200 | 304 | ||||||||||
$ | 846 | $ | 11,920 | ||||||||||||
Electronics - (0.23)% | Holding Companies - Diversified - (0.04)% | ||||||||||||||
Corning Inc | 7,300 | 254 | Jardine Matheson Holdings Ltd | 7,900 | 541 | ||||||||||
Fortive Corp | 18,233 | 1,487 | Swire Pacific Ltd | 13,000 | 155 | ||||||||||
II-VI Inc | 9,345 | 397 | $ | 696 | |||||||||||
Murata Manufacturing Co Ltd | 2,200 | 343 | Home Builders - (0.18)% | ||||||||||||
Nippon Electric Glass Co Ltd | 15,600 | 422 | Daiwa House Industry Co Ltd | 35,700 | 1,106 | ||||||||||
Trimble Inc | 10,400 | 416 | Iida Group Holdings Co Ltd | 79,100 | 1,445 | ||||||||||
TTM Technologies Inc | 45,655 | 553 | Lennar Corp - A Shares | 8,700 | 417 | ||||||||||
Yokogawa Electric Corp | 27,200 | 525 | Sekisui Chemical Co Ltd | 24,400 | 384 | ||||||||||
$ | 4,397 | $ | 3,352 | ||||||||||||
Engineering & Construction - (0.29)% | Home Furnishings - (0.12)% | ||||||||||||||
ACS Actividades de Construccion y Servicios SA | 20,128 | 892 | Electrolux AB | 51,416 | 1,344 | ||||||||||
Jacobs Engineering Group Inc | 21,300 | 1,571 | Panasonic Corp | 16,600 | 153 | ||||||||||
JGC Corp | 33,800 | 492 | Whirlpool Corp | 4,700 | 665 | ||||||||||
KBR Inc | 9,877 | 195 | $ | 2,162 | |||||||||||
Lendlease Group | 33,180 | 303 | Housewares - (0.01)% | ||||||||||||
Skanska AB | 47,304 | 852 | Newell Brands Inc | 11,700 | 190 | ||||||||||
SNC-Lavalin Group Inc | 34,700 | 958 | Insurance - (0.83)% | ||||||||||||
WSP Global Inc | 4,100 | 217 | Aflac Inc | 13,400 | 658 | ||||||||||
$ | 5,480 | Ageas | 5,653 | 279 | |||||||||||
Entertainment - (0.07)% | Arthur J Gallagher & Co | 2,800 | 225 | ||||||||||||
Live Nation Entertainment Inc | 10,952 | 619 | Assurant Inc | 5,779 | 596 | ||||||||||
Paddy Power Betfair PLC | 4,010 | 324 | AXA Equitable Holdings Inc | 10,725 | 205 | ||||||||||
Toho Co Ltd/Tokyo | 12,200 | 436 | Baloise Holding AG | 20,587 | 3,357 | ||||||||||
$ | 1,379 | Challenger Ltd | 132,893 | 758 | |||||||||||
Food - (0.35)% | Chubb Ltd | 6,900 | 924 | ||||||||||||
Aeon Co Ltd | 22,100 | 466 | Fidelity National Financial Inc | 1,626 | 57 | ||||||||||
Carrefour SA | 22,703 | 465 | MS&AD Insurance Group Holdings Inc | 17,400 | 524 | ||||||||||
Chr Hansen Holding A/S | 7,163 | 729 | Reinsurance Group of America Inc | 8,700 | 1,257 | ||||||||||
Dairy Farm International Holdings Ltd | 63,700 | 570 | Sony Financial Holdings Inc | 16,800 | 319 | ||||||||||
Hormel Foods Corp | 29,893 | 1,296 | Swiss Life Holding AG | 3,697 | 1,609 | ||||||||||
JM Smucker Co/The | 6,000 | 635 | Tryg A/S | 22,515 | 614 | ||||||||||
Kroger Co/The | 15,100 | 443 | Voya Financial Inc | 27,121 | 1,372 | ||||||||||
McCormick & Co Inc/MD | 6,800 | 925 | Willis Towers Watson PLC | 5,100 | 877 | ||||||||||
Mondelez International Inc | 10,800 | 509 | WR Berkley Corp | 6,000 | 502 | ||||||||||
Mowi ASA | 12,232 | 282 | Zurich Insurance Group AG | 5,305 | 1,750 | ||||||||||
Yamazaki Baking Co Ltd | 22,000 | 378 | $ | 15,883 | |||||||||||
$ | 6,698 | Internet - (0.42)% | |||||||||||||
Food Service - (0.08)% | Alibaba Group Holding Ltd ADR | 20,437 | 3,741 | ||||||||||||
Sodexo SA | 13,966 | 1,534 | Booking Holdings Inc | 104 | 176 | ||||||||||
Forest Products & Paper - (0.03)% | Iliad SA | 2,748 | 286 | ||||||||||||
International Paper Co | 13,004 | 596 | MercadoLibre Inc | 1,263 | 579 | ||||||||||
Gas - (0.13)% | New Media Investment Group Inc | 114,815 | 1,529 | ||||||||||||
NiSource Inc | 55,000 | 1,484 | Palo Alto Networks Inc | 185 | 46 | ||||||||||
South Jersey Industries Inc | 1,780 | 52 | Twitter Inc | 8,978 | 276 | ||||||||||
Toho Gas Co Ltd | 21,300 | 970 | Wayfair Inc | 4,958 | 821 | ||||||||||
$ | 2,506 | Zillow Group Inc - C Shares | 13,881 | 580 | |||||||||||
$ | 8,034 | ||||||||||||||
Investment Companies - 0.00% | |||||||||||||||
Prospect Capital Corp | 1,114 | 8 |
See accompanying notes.
137
Consolidated Schedule of Investments | |||||||||||||||
Global Multi-Strategy Fund | |||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||
Short Sales Outstanding | |||||||||||||||
COMMON STOCKS (continued) | Shares | Value (000’s) | COMMON STOCKS (continued) | Shares | Value (000’s) | ||||||||||
Iron & Steel - (0.12)% | Oil & Gas (continued) | ||||||||||||||
Allegheny Technologies Inc | 7,915 | $ | 227 | Oil Search Ltd | 56,059 | $ | 333 | ||||||||
Cleveland-Cliffs Inc | 10,469 | 116 | $ | 4,326 | |||||||||||
Hitachi Metals Ltd | 77,800 | 794 | Oil & Gas Services - (0.18)% | ||||||||||||
thyssenkrupp AG | 65,736 | 984 | Baker Hughes a GE Co | 23,900 | 630 | ||||||||||
voestalpine AG | 8,532 | 264 | John Wood Group PLC | 77,442 | 535 | ||||||||||
$ | 2,385 | Keane Group Inc | 19,800 | 218 | |||||||||||
Leisure Products & Services - (0.04)% | National Oilwell Varco Inc | 20,320 | 572 | ||||||||||||
Harley-Davidson Inc | 10,142 | 376 | Patterson-UTI Energy Inc | 7,335 | 97 | ||||||||||
Polaris Industries Inc | 3,000 | 256 | ProPetro Holding Corp | 22,120 | 439 | ||||||||||
Yamaha Motor Co Ltd | 12,400 | 253 | RPC Inc | 19,977 | 215 | ||||||||||
$ | 885 | Superior Energy Services Inc | 14,676 | 69 | |||||||||||
Lodging - (0.03)% | TechnipFMC PLC | 33,200 | 740 | ||||||||||||
Caesars Entertainment Corp | 7,506 | 65 | $ | 3,515 | |||||||||||
Melco Resorts & Entertainment Ltd ADR | 13,000 | 300 | Packaging & Containers - (0.05)% | ||||||||||||
MGM Resorts International | 6,476 | 173 | Amcor Ltd/Australia | 19,370 | 207 | ||||||||||
$ | 538 | Ball Corp | 6,600 | 362 | |||||||||||
Machinery - Construction & Mining - (0.03)% | Crown Holdings Inc | 7,700 | 418 | ||||||||||||
Caterpillar Inc | 3,600 | 494 | $ | 987 | |||||||||||
Machinery - Diversified - (0.19)% | Pharmaceuticals - (0.21)% | ||||||||||||||
Deere & Co | 7,800 | 1,279 | Alfresa Holdings Corp | 28,100 | 815 | ||||||||||
GEA Group AG | 30,204 | 722 | AstraZeneca PLC | 2,473 | 202 | ||||||||||
Husqvarna AB | 82,589 | 676 | Bristol-Myers Squibb Co | 8,248 | 426 | ||||||||||
Wabtec Corp | 6,810 | 499 | Chugai Pharmaceutical Co Ltd | 4,000 | 272 | ||||||||||
Yaskawa Electric Corp | 7,200 | 205 | Clovis Oncology Inc | 174 | 5 | ||||||||||
$ | 3,381 | Daiichi Sankyo Co Ltd | 12,200 | 457 | |||||||||||
Media - (0.36)% | DexCom Inc | 1,689 | 235 | ||||||||||||
Bollore SA | 178,607 | 793 | Herbalife Nutrition Ltd | 6,686 | 375 | ||||||||||
CBS Corp | 14,900 | 748 | Ironwood Pharmaceuticals Inc | 2,051 | 29 | ||||||||||
Discovery Inc - C Shares | 19,200 | 523 | Merck & Co Inc | 2,800 | 228 | ||||||||||
DISH Network Corp | 30,571 | 993 | Orion Oyj | 5,921 | 211 | ||||||||||
EW Scripps Co/The | 36,773 | 778 | Otsuka Holdings Co Ltd | 13,100 | 547 | ||||||||||
Gannett Co Inc | 8,824 | 104 | Perrigo Co PLC | 6,200 | 302 | ||||||||||
New York Times Co/The | 9,630 | 316 | Takeda Pharmaceutical Co Ltd | 4,693 | 189 | ||||||||||
News Corp - A Shares | 48,700 | 634 | $ | 4,293 | |||||||||||
Schibsted ASA - B Shares | 6,186 | 229 | Pipelines - (0.08)% | ||||||||||||
Sirius XM Holdings Inc | 18,101 | 107 | Cheniere Energy Inc | 9,100 | 586 | ||||||||||
Thomson Reuters Corp | 24,876 | 1,353 | Koninklijke Vopak NV | 18,317 | 895 | ||||||||||
Walt Disney Co/The | 1,964 | 222 | $ | 1,481 | |||||||||||
$ | 6,800 | Real Estate - (0.19)% | |||||||||||||
Metal Fabrication & Hardware - (0.05)% | Aroundtown SA | 35,097 | 295 | ||||||||||||
MISUMI Group Inc | 35,000 | 851 | Deutsche Wohnen SE | 19,919 | 927 | ||||||||||
Rexnord Corp | 4,651 | 124 | First Capital Realty Inc | 32,200 | 524 | ||||||||||
$ | 975 | Hysan Development Co Ltd | 186,000 | 982 | |||||||||||
Mining - (0.07)% | Nomura Real Estate Holdings Inc | 23,300 | 442 | ||||||||||||
Endeavour Mining Corp | 920 | 14 | UOL Group Ltd | 72,500 | 355 | ||||||||||
Mitsubishi Materials Corp | 18,900 | 519 | $ | 3,525 | |||||||||||
Newmont Mining Corp | 21,483 | 733 | REITs - (0.11)% | ||||||||||||
$ | 1,266 | Apollo Commercial Real Estate Finance Inc | 3,557 | 65 | |||||||||||
Miscellaneous Manufacturers - (0.09)% | Blackstone Mortgage Trust Inc | 2,740 | 94 | ||||||||||||
Alstom SA | 18,852 | 819 | QTS Realty Trust Inc | 998 | 42 | ||||||||||
Siemens AG | 3,081 | 337 | Redwood Trust Inc | 4,555 | 70 | ||||||||||
Smiths Group PLC | 30,200 | 574 | Welltower Inc | 24,838 | 1,846 | ||||||||||
$ | 1,730 | $ | 2,117 | ||||||||||||
Office & Business Equipment - (0.03)% | Retail - (0.46)% | ||||||||||||||
Xerox Corp | 15,998 | 494 | Canadian Tire Corp Ltd | 3,300 | 364 | ||||||||||
Oil & Gas - (0.22)% | CarMax Inc | 7,300 | 453 | ||||||||||||
Apache Corp | 5,300 | 176 | Dollar Tree Inc | 4,900 | 472 | ||||||||||
Chesapeake Energy Corp | 190,283 | 563 | Domino's Pizza Enterprises Ltd | 11,158 | 327 | ||||||||||
Cimarex Energy Co | 829 | 60 | Dufry AG | 13,941 | 1,412 | ||||||||||
Denbury Resources Inc | 12,014 | 23 | FamilyMart UNY Holdings Co Ltd | 39,200 | 1,121 | ||||||||||
Devon Energy Corp | 5,200 | 153 | Fast Retailing Co Ltd | 700 | 329 | ||||||||||
Diamondback Energy Inc | 3,700 | 381 | Gap Inc/The | 8,100 | 206 | ||||||||||
Encana Corp | 164,912 | 1,196 | J Front Retailing Co Ltd | 29,300 | 325 | ||||||||||
Ensco PLC | 46,870 | 192 | Kohl's Corp | 4,200 | 284 | ||||||||||
Helmerich & Payne Inc | 2,883 | 156 | Macy's Inc | 20,300 | 503 | ||||||||||
Hess Corp | 4,300 | 249 | Marui Group Co Ltd | 14,200 | 250 | ||||||||||
HollyFrontier Corp | 3,100 | 159 | RH | 1,206 | 185 | ||||||||||
Inpex Corp | 46,200 | 448 | Shimamura Co Ltd | 15,200 | 1,286 | ||||||||||
Marathon Petroleum Corp | 3,822 | 237 | Welcia Holdings Co Ltd | 7,100 | 252 |
See accompanying notes.
138
Consolidated Schedule of Investments Global Multi-Strategy Fund February 28, 2019 (unaudited)
Short Sales Outstanding | |||||||||||||||
COMMON STOCKS (continued) | Shares | Value (000’s) | INVESTMENT COMPANIES - (0.16)% | Shares | Value (000's) | ||||||||||
Retail (continued) | Exchange-Traded Funds - (0.16)% | ||||||||||||||
Yamada Denki Co Ltd | 216,100 | $ | 1,044 | SPDR S&P Oil & Gas Equipment & Services | 24,827 | $ | 282 | ||||||||
$ | 8,813 | ETF | |||||||||||||
Savings & Loans - (0.01)% | SPDR S&P Oil & Gas Exploration & Production | 94,079 | 2,801 | ||||||||||||
WSFS Financial Corp | 3,264 | 141 | ETF | ||||||||||||
Semiconductors - (1.16)% | VanEck Vectors Oil Services ETF | 5,778 | 99 | ||||||||||||
Cree Inc | 3,969 | 216 | $ | 3,182 | |||||||||||
Entegris Inc | 14,779 | 522 | TOTAL INVESTMENT COMPANIES (proceeds $3,863) | $ | 3,182 | ||||||||||
Intel Corp | 172,188 | 9,119 | Principal | ||||||||||||
KLA-Tencor Corp | 4,996 | 577 | BONDS - (2.38)% | Amount (000's) Value (000's) | |||||||||||
Lam Research Corp | 58,053 | 10,223 | Automobile Parts & Equipment - (0.05)% | ||||||||||||
Microchip Technology Inc | 18,114 | 1,574 | Adient Global Holdings Ltd | ||||||||||||
NXP Semiconductors NV | 832 | 76 | 3.50%, 08/15/2024 | EUR | 983 | $ | 864 | ||||||||
ON Semiconductor Corp | 3,095 | 66 | Banks - (0.03)% | ||||||||||||
$ | 22,373 | Norddeutsche Landesbank Girozentrale | |||||||||||||
Software - (0.25)% | 6.00%, 06/29/2020 | 295 | 333 | ||||||||||||
Atlassian Corp PLC | 1,472 | 158 | 6.25%, 04/10/2024 | $ | 200 | 174 | |||||||||
Benefitfocus Inc | 2,059 | 101 | $ | 507 | |||||||||||
Citrix Systems Inc | 523 | 55 | Diversified Financial Services - (0.08)% | ||||||||||||
Envestnet Inc | 468 | 29 | |||||||||||||
Fiserv Inc | 21,303 | 1,804 | International Lease Finance Corp | ||||||||||||
Five9 Inc | 1,004 | 53 | 5.88%, 08/15/2022 | 1,436 | 1,527 | ||||||||||
j2 Global Inc | 2,597 | 221 | Electric - (0.40)% | ||||||||||||
MongoDB Inc | 2,234 | 227 | Comision Federal de Electricidad | ||||||||||||
Nexon Co Ltd | 33,900 | 541 | 6.13%, 06/16/2045 | 7,500 | 7,631 | ||||||||||
ServiceNow Inc | 3,160 | 757 | Healthcare - Services - (0.11)% | ||||||||||||
Splunk Inc | 4,446 | 604 | CHS/Community Health Systems Inc | ||||||||||||
Twilio Inc | 3,255 | 396 | 5.13%, 08/01/2021 | 2,090 | 2,043 | ||||||||||
Verint Systems Inc | 762 | 41 | Media - (0.10)% | ||||||||||||
$ | 4,987 | AMC Networks Inc | |||||||||||||
Telecommunications - (0.32)% | 4.75%, 08/01/2025 | 1,953 | 1,898 | ||||||||||||
Eutelsat Communications SA | 7,797 | 154 | REITs - (0.13)% | ||||||||||||
Gogo Inc | 16,917 | 78 | CBL & Associates LP | ||||||||||||
Infinera Corp | 13,673 | 70 | 5.25%, 12/01/2023 | 1,492 | 1,216 | ||||||||||
Inmarsat PLC | 93,219 | 495 | 5.95%, 12/15/2026 | 1,880 | 1,424 | ||||||||||
Millicom International Cellular SA | 7,264 | 437 | $ | 2,640 | |||||||||||
Nippon Telegraph & Telephone Corp | 10,000 | 432 | Sovereign - (1.42)% | ||||||||||||
Nokia OYJ | 140,694 | 851 | |||||||||||||
Orange SA | 18,205 | 278 | Mexico Government International Bond | ||||||||||||
SES SA | 7,338 | 147 | 3.75%, 01/11/2028 | 9,597 | 9,189 | ||||||||||
Swisscom AG | 674 | 312 | 4.13%, 01/21/2026 | 1,236 | 1,234 | ||||||||||
Telefonica SA | 104,771 | 904 | 4.15%, 03/28/2027 | 3,956 | 3,917 | ||||||||||
T-Mobile US Inc | 21,148 | 1,527 | 5.55%, 01/21/2045 | 1,291 | 1,363 | ||||||||||
TPG Telecom Ltd | 80,988 | 382 | Republic of South Africa Government | ||||||||||||
Zayo Group Holdings Inc | 8,000 | 198 | International Bond | ||||||||||||
$ | 6,265 | 4.30%, 10/12/2028 | 1,059 | 984 | |||||||||||
Textiles - (0.02)% | 4.85%, 09/27/2027 | 6,480 | 6,301 | ||||||||||||
Mohawk Industries Inc | 2,600 | 354 | 5.88%, 06/22/2030 | 4,318 | 4,422 | ||||||||||
Transportation - (0.28)% | $ | 27,410 | |||||||||||||
AP Moller - Maersk A/S - B | 791 | 1,064 | Telecommunications - (0.06)% | ||||||||||||
FedEx Corp | 4,890 | 885 | Frontier Communications Corp | ||||||||||||
Getlink SE | 76,953 | 1,136 | 10.50%, 09/15/2022 | 104 | 74 | ||||||||||
Kintetsu Group Holdings Co Ltd | 11,100 | 501 | Intelsat Connect Finance SA | ||||||||||||
Mitsui OSK Lines Ltd | 17,300 | 407 | 9.50%, 02/15/2023 | 1,080 | 1,045 | ||||||||||
Odakyu Electric Railway Co Ltd | 11,500 | 269 | $ | 1,119 | |||||||||||
Ship Finance International Ltd | 5,138 | 64 | TOTAL BONDS (proceeds $45,518) | $ | 45,639 | ||||||||||
United Parcel Service Inc | 8,900 | 981 | Principal | ||||||||||||
$ | 5,307 | CONVERTIBLE BONDS - (0.12)% | Amount (000's) Value (000's) | ||||||||||||
Water - (0.09)% | Biotechnology - (0.04)% | ||||||||||||||
American Water Works Co Inc | 3,900 | 396 | BioMarin Pharmaceutical Inc | ||||||||||||
Suez | 63,575 | 813 | 0.60%, 08/01/2024 | 200 | 209 | ||||||||||
United Utilities Group PLC | 44,185 | 492 | |||||||||||||
$ | 1,701 | Illumina Inc | |||||||||||||
TOTAL COMMON STOCKS (proceeds $214,149) | $ | 225,219 | 0.00%, 08/15/2023 | 575 | 603 | ||||||||||
$ | 812 | ||||||||||||||
Internet - (0.02)% | |||||||||||||||
Booking Holdings Inc | |||||||||||||||
0.90%, 09/15/2021 | 225 | 246 | |||||||||||||
Liberty Expedia Holdings Inc | |||||||||||||||
1.00%, 06/30/2047 | 100 | 98 |
See accompanying notes.
139
Consolidated Schedule of Investments
Global Multi-Strategy Fund
February 28, 2019 (unaudited)
Short Sales Outstanding | |||||||
Principal | |||||||
CONVERTIBLE BONDS (continued) | Amount (000’s) Value (000’s) | ||||||
Internet (continued) | |||||||
Wix.com Ltd | |||||||
0.00%, 07/01/2023 | $ | 25 | $ | 26 | |||
$ | 370 | ||||||
Oil & Gas - (0.01)% | |||||||
Transocean Inc | |||||||
0.50%, 01/30/2023 | 200 | 215 | |||||
Oil & Gas Services - 0.00% | |||||||
Oil States International Inc | |||||||
1.50%, 02/15/2023 | 75 | 66 | |||||
Pharmaceuticals - (0.01)% | |||||||
Jazz Investments I Ltd | |||||||
1.50%, 08/15/2024 | 75 | 72 | |||||
Supernus Pharmaceuticals Inc | |||||||
0.63%, 04/01/2023 | 100 | 101 | |||||
$ | 173 | ||||||
Software - (0.03)% | |||||||
Akamai Technologies Inc | |||||||
0.13%, 05/01/2025 | 100 | 99 | |||||
Guidewire Software Inc | |||||||
1.25%, 03/15/2025 | 150 | 159 | |||||
New Relic Inc | |||||||
0.50%, 05/01/2023 | 100 | 116 | |||||
$ | 374 | ||||||
Telecommunications - (0.01)% | |||||||
Viavi Solutions Inc | |||||||
1.00%, 03/01/2024 | 200 | 232 | |||||
TOTAL CONVERTIBLE BONDS (proceeds $2,265) | $ | 2,242 | |||||
U.S. GOVERNMENT & GOVERNMENT | Principal | ||||||
AGENCY OBLIGATIONS - (14.07)% | Amount (000's) Value (000's) | ||||||
Federal National Mortgage Association (FNMA) - (3.01)% | |||||||
3.00%, 03/01/2049 | $ | 23,223 | $ | 22,694 | |||
3.50%, 03/01/2048 | 35,092 | 35,108 | |||||
$ | 57,802 | ||||||
U.S. Treasury - (11.06)% | |||||||
1.38%, 09/15/2020 | 3,639 | 3,575 | |||||
1.88%, 08/31/2024 | 4,092 | 3,951 | |||||
2.38%, 05/15/2027 | 14,413 | 14,111 | |||||
2.50%, 01/31/2021 | 18,158 | 18,149 | |||||
2.50%, 02/15/2022 | 64,692 | 64,720 | |||||
2.50%, 01/31/2024 | 52,163 | 52,130 | |||||
2.63%, 02/15/2029 | 19,588 | 19,426 | |||||
2.88%, 04/30/2025 | 2,772 | 2,817 | |||||
2.88%, 11/30/2025 | 32,770 | 33,304 | |||||
$ | 212,183 | ||||||
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY | |||||||
OBLIGATIONS (proceeds $269,256) | $ | 269,985 | |||||
TOTAL SHORT SALES (proceeds $535,051) | $ | 546,267 |
See accompanying notes.
140
Schedule of Investments | |||||||||||
Global Opportunities Fund | |||||||||||
February 28, 2019 (unaudited) | |||||||||||
COMMON STOCKS - 94.01% | Shares Held Value (000's) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Aerospace & Defense - 2.40% | Engineering & Construction - 2.28% | ||||||||||
Boeing Co/The | 413 | $ | 182 | ACS Actividades de Construccion y Servicios SA | 4,599 | $ | 204 | ||||
Raytheon Co | 799 | 149 | China Railway Construction Corp Ltd | 68,000 | 98 | ||||||
Safran SA | 1,178 | 160 | Vinci SA | 1,729 | 165 | ||||||
$ | 491 | $ | 467 | ||||||||
Agriculture - 2.23% | Entertainment - 0.54% | ||||||||||
Philip Morris International Inc | 3,781 | 329 | GVC Holdings PLC | 12,810 | 111 | ||||||
Swedish Match AB | 2,718 | 127 | Food - 3.09% | ||||||||
$ | 456 | General Mills Inc | 5,704 | 269 | |||||||
Apparel - 1.90% | Tesco PLC | 56,938 | 171 | ||||||||
Capri Holdings Ltd(a) | 5,123 | 234 | WH Group Ltd(b) | 219,000 | 194 | ||||||
Moncler SpA | 4,046 | 155 | $ | 634 | |||||||
$ | 389 | Forest Products & Paper - 0.79% | |||||||||
Automobile Manufacturers - 2.05% | Mondi PLC | 7,039 | 161 | ||||||||
Kia Motors Corp | 4,962 | 161 | Healthcare - Services - 3.12% | ||||||||
Toyota Motor Corp | 4,300 | 260 | ICON PLC(a) | 1,286 | 180 | ||||||
$ | 421 | NMC Health PLC | 2,228 | 80 | |||||||
Banks - 6.48% | Syneos Health Inc(a) | 4,057 | 170 | ||||||||
Erste Group Bank AG | 5,847 | 220 | UnitedHealth Group Inc | 868 | 210 | ||||||
KeyCorp | 14,418 | 255 | $ | 640 | |||||||
Lloyds Banking Group PLC | 245,557 | 207 | Home Furnishings - 1.56% | ||||||||
Postal Savings Bank of China Co Ltd(b) | 130,000 | 78 | LG Electronics Inc | 1,724 | 108 | ||||||
Raiffeisen Bank International AG | 7,569 | 193 | Sony Corp | 4,400 | 211 | ||||||
Sberbank of Russia PJSC ADR | 11,166 | 142 | $ | 319 | |||||||
Swedbank AB | 7,704 | 141 | Insurance - 6.07% | ||||||||
Turkiye Is Bankasi AS | 84,978 | 92 | Allstate Corp/The | 2,214 | 209 | ||||||
$ | 1,328 | Athene Holding Ltd(a) | 5,413 | 241 | |||||||
Beverages - 1.66% | Fairfax Financial Holdings Ltd | 400 | 198 | ||||||||
Coca-Cola HBC AG(a) | 4,850 | 163 | Legal & General Group PLC | 54,401 | 203 | ||||||
Molson Coors Brewing Co | 2,864 | 177 | NN Group NV | 3,309 | 144 | ||||||
$ | 340 | Prudential Financial Inc | 2,611 | 250 | |||||||
Biotechnology - 1.01% | $ | 1,245 | |||||||||
Biogen Inc(a) | 634 | 208 | Internet - 4.98% | ||||||||
Building Materials - 0.59% | Alphabet Inc - A Shares(a) | 411 | 463 | ||||||||
Anhui Conch Cement Co Ltd | 21,000 | 120 | Amazon.com Inc(a) | 113 | 185 | ||||||
Chemicals - 0.62% | Facebook Inc(a) | 1,512 | 244 | ||||||||
Nitto Denko Corp | 2,400 | 128 | Tencent Holdings Ltd | 3,000 | 129 | ||||||
Commercial Services - 0.54% | $ | 1,021 | |||||||||
TAL Education Group ADR(a) | 3,113 | 111 | Iron & Steel - 0.58% | ||||||||
Computers - 3.34% | POSCO | 507 | 118 | ||||||||
Apple Inc | 1,370 | 237 | Leisure Products & Services - 1.00% | ||||||||
Cognizant Technology Solutions Corp | 2,724 | 194 | Norwegian Cruise Line Holdings Ltd(a) | 3,692 | 205 | ||||||
Western Digital Corp | 5,034 | 253 | Lodging - 1.45% | ||||||||
$ | 684 | Extended Stay America Inc | 7,672 | 140 | |||||||
Distribution & Wholesale - 2.61% | Las Vegas Sands Corp | 2,569 | 158 | ||||||||
HD Supply Holdings Inc(a) | 5,038 | 217 | $ | 298 | |||||||
KAR Auction Services Inc | 2,920 | 137 | Machinery - Construction & Mining - 0.83% | ||||||||
Mitsubishi Corp | 6,400 | 181 | United Tractors Tbk PT | 91,000 | 171 | ||||||
$ | 535 | Machinery - Diversified - 0.81% | |||||||||
Diversified Financial Services - 3.34% | Dover Corp | 1,851 | 167 | ||||||||
Far East Horizon Ltd | 97,000 | 108 | Media - 3.22% | ||||||||
LPL Financial Holdings Inc | 2,250 | 170 | CBS Corp | 3,803 | 191 | ||||||
Mastercard Inc | 1,211 | 272 | Comcast Corp - Class A | 6,696 | 259 | ||||||
Shinhan Financial Group Co Ltd | 3,442 | 134 | Viacom Inc - B Shares | 7,190 | 210 | ||||||
$ | 684 | $ | 660 | ||||||||
Electric - 2.47% | Mining - 0.55% | ||||||||||
China Longyuan Power Group Corp Ltd | 184,000 | 137 | Rio Tinto Ltd | 1,652 | 113 | ||||||
Exelon Corp | 3,640 | 177 | Oil & Gas - 6.76% | ||||||||
FirstEnergy Corp | 4,702 | 192 | BP PLC | 46,034 | 326 | ||||||
$ | 506 | ConocoPhillips | 3,681 | 250 | |||||||
Electrical Components & Equipment - 1.62% | Husky Energy Inc | 14,700 | 163 | ||||||||
AMETEK Inc | 1,710 | 136 | Kunlun Energy Co Ltd | 124,000 | 136 | ||||||
Energizer Holdings Inc | 4,240 | 195 | LUKOIL PJSC ADR | 1,683 | 140 | ||||||
$ | 331 | Marathon Petroleum Corp | 2,412 | 150 | |||||||
Electronics - 0.81% | Suncor Energy Inc | 6,400 | 221 | ||||||||
Hoya Corp | 2,700 | 165 | $ | 1,386 | |||||||
Energy - Alternate Sources - 0.96% | |||||||||||
Vestas Wind Systems A/S | 2,350 | 196 |
See accompanying notes.
141
Schedule of Investments
Global Opportunities Fund
February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | (a) | Non-income producing security | ||||||||||||
Pharmaceuticals - 4.65% | (b) | Security exempt from registration under Rule 144A of the Securities Act of | |||||||||||||
Hypera SA | 17,500 | $ | 126 | 1933. These securities may be resold in transactions exempt from registration, | |||||||||||
Johnson & Johnson | 1,747 | 239 | normally to qualified institutional buyers. At the end of the period, the value of | ||||||||||||
PfizerInc | 6,198 | 269 | these securities totaled $272 or 1.33% of net assets. | ||||||||||||
Roche Holding AG | 1,155 | 320 | (c) | Affiliated Security. Security is either an affiliate (and registered under the | |||||||||||
$ | 954 | Investment Company Act of 1940) or an affiliate as defined by the Investment | |||||||||||||
Pipelines - 0.98% | Company Act of 1940 (controls 5.0% or more of the outstanding voting | ||||||||||||||
TransCanada Corp | 4,500 | 201 | shares of the security). Please see affiliated sub-schedule for transactional | ||||||||||||
Private Equity - 1.15% | information. | ||||||||||||||
Brookfield Asset ManagementInc | 5,200 | 235 | (d) | Current yield shown is as of period end. | |||||||||||
Real Estate - 1.88% | |||||||||||||||
CK Asset Holdings Ltd | 23,500 | 195 | Portfolio Summary (unaudited) | ||||||||||||
Sun Hung Kai Properties Ltd | 11,500 | 191 | Country | Percent | |||||||||||
$ | 386 | United States | 45.01 | % | |||||||||||
REITs - 0.54% | United Kingdom | 6.90 | % | ||||||||||||
Liberty Property Trust | 2,348 | 111 | Japan | 6.88 | % | ||||||||||
Retail - 2.30% | Canada | 6.38 | % | ||||||||||||
Alimentation Couche-Tard Inc | 5,100 | 287 | Hong Kong | 5.21 | % | ||||||||||
Dick's Sporting Goods Inc | 4,725 | 185 | Korea, Republic Of | 3.95 | % | ||||||||||
$ | 472 | China | 3.29 | % | |||||||||||
Semiconductors - 1.41% | Switzerland | 2.36 | % | ||||||||||||
Samsung Electronics Co Ltd | 7,202 | 288 | Austria | 2.01 | % | ||||||||||
Sweden | 1.94 | % | |||||||||||||
Software - 2.04% | France | 1.58 | % | ||||||||||||
Capcom Co Ltd | 7,000 | 141 | Russian Federation | 1.37 | % | ||||||||||
Microsoft Corp | 2,477 | 277 | Spain | 1.00 | % | ||||||||||
$ | 418 | Denmark | 0.96 | % | |||||||||||
Telecommunications - 5.62% | Ireland | 0.88 | % | ||||||||||||
China Mobile Ltd | 23,000 | 243 | Indonesia | 0.83 | % | ||||||||||
Cisco Systems Inc | 8,011 | 415 | Italy | 0.76 | % | ||||||||||
Nice Ltd ADR(a) | 1,276 | 150 | Israel | 0.73 | % | ||||||||||
SoftBank Group Corp | 2,300 | 213 | Netherlands | 0.70 | % | ||||||||||
Telefonaktiebolaget LM Ericsson | 14,268 | 130 | Brazil | 0.61 | % | ||||||||||
$ | 1,151 | Isle of Man | 0.54 | % | |||||||||||
Toys, Games & Hobbies - 0.54% | Turkey | 0.45 | % | ||||||||||||
Nintendo Co Ltd | 400 | 110 | United Arab Emirates | 0.39 | % | ||||||||||
Transportation - 0.64% | Other Assets and Liabilities | 5.27 | % | ||||||||||||
Norfolk Southern Corp | 727 | 131 | TOTAL NET ASSETS | 100.00 | % | ||||||||||
TOTAL COMMON STOCKS | $ | 19,266 | |||||||||||||
INVESTMENT COMPANIES - 0.72% | Shares Held Value (000's) | ||||||||||||||
Money Market Funds - 0.72% | |||||||||||||||
Principal Government Money Market Fund | 147,633 | 148 | |||||||||||||
2.33%(c),(d) | |||||||||||||||
TOTAL INVESTMENT COMPANIES | $ | 148 | |||||||||||||
Total Investments | $ | 19,414 | |||||||||||||
Other Assets and Liabilities - 5.27% | 1,081 | ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 20,495 | |||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | |||||||||||
Value | Cost | Proceeds | Value | ||||||||||||
Principal Government Money Market Fund 2.33% | $ | 13,829 | $ | 52,757 | $ | 66,438 | $ | 148 | |||||||
$ | 13,829 | $ | 52,757 | $ | 66,438 | $ | 148 | ||||||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | |||||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | ||||||||||||
Principal Government Money Market Fund 2.33% | $ | 42 | $ | — $ | — $ | — | |||||||||
$ | 42 | $ | — $ | — $ | — | ||||||||||
Amounts in thousands |
See accompanying notes.
142
Schedule of Investments International Small Company Fund February 28, 2019 (unaudited)
COMMON STOCKS - 97.14% | Shares Held Value (000's) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Advertising - 0.96% | Computers - 4.14% | ||||||||||
JCDecaux SA | 139,889 | $ | 4,307 | Appen Ltd | 226,294 | $ | 3,755 | ||||
Stroeer SE & Co KGaA | 68,589 | 4,065 | Bechtle AG | 57,316 | 4,916 | ||||||
$ | 8,372 | Computacenter PLC | 129,819 | 1,912 | |||||||
Aerospace & Defense - 1.00% | CyberArk Software Ltd(a) | 47,029 | 5,162 | ||||||||
CAE Inc | 190,400 | 4,015 | DTS Corp | 93,200 | 3,554 | ||||||
Meggitt PLC | 664,683 | 4,755 | Logitech International SA | 53,172 | 1,996 | ||||||
$ | 8,770 | MCJ Co Ltd | 234,100 | 1,694 | |||||||
Airlines - 0.90% | NEC Corp | 59,500 | 1,985 | ||||||||
Air Canada(a) | 202,700 | 5,100 | S&T AG(a) | 165,992 | 4,006 | ||||||
Wizz Air Holdings Plc(a),(b) | 69,220 | 2,784 | Softcat PLC | 221,955 | 2,238 | ||||||
$ | 7,884 | Teleperformance | 28,446 | 5,076 | |||||||
Apparel - 1.91% | $ | 36,294 | |||||||||
boohoo Group PLC(a) | 1,673,428 | 3,891 | Distribution & Wholesale - 0.50% | ||||||||
Moncler SpA | 155,989 | 5,981 | Inchcape PLC | 580,300 | 4,351 | ||||||
Puma SE | 12,250 | 6,896 | Diversified Financial Services - 4.25% | ||||||||
$ | 16,768 | Aruhi Corp | 120,900 | 2,262 | |||||||
Automobile Manufacturers - 0.22% | Burford Capital Ltd | 289,121 | 6,799 | ||||||||
Isuzu Motors Ltd | 136,500 | 1,962 | Cembra Money Bank AG | 38,526 | 3,690 | ||||||
Automobile Parts & Equipment - 2.85% | Euronext NV(b) | 94,501 | 5,762 | ||||||||
FCC Co Ltd | 134,900 | 3,126 | Mebuki Financial Group Inc | 1,631,810 | 4,430 | ||||||
Georg Fischer AG | 5,785 | 5,121 | Mitsubishi UFJ Lease & Finance Co Ltd | 813,000 | 4,151 | ||||||
Keihin Corp | 173,300 | 3,053 | SBI Holdings Inc/Japan | 251,600 | 5,320 | ||||||
Rheinmetall AG | 68,747 | 7,356 | Zenkoku Hosho Co Ltd | 130,600 | 4,810 | ||||||
Toyo Tire Corp | 276,900 | 3,539 | $ | 37,224 | |||||||
Toyoda Gosei Co Ltd | 121,700 | 2,766 | Electric - 1.86% | ||||||||
$ | 24,961 | Capital Power Corp | 224,900 | 5,163 | |||||||
Banks - 3.14% | Chubu Electric Power Co Inc | 95,900 | 1,510 | ||||||||
77 Bank Ltd/The | 156,300 | 2,513 | Hera SpA | 1,532,829 | 5,104 | ||||||
Banco Comercial Portugues SA(a) | 10,178,426 | 2,787 | Iren SpA | 1,817,412 | 4,517 | ||||||
Israel Discount Bank Ltd | 2,041,670 | 7,222 | $ | 16,294 | |||||||
Mediobanca Banca di Credito Finanziario SpA | 577,602 | 5,781 | Electrical Components & Equipment - 0.64% | ||||||||
Mizrahi Tefahot Bank Ltd | 293,283 | 5,616 | Signify NV(b) | 209,646 | 5,564 | ||||||
Paragon Banking Group PLC | 627,587 | 3,618 | Electronics - 0.53% | ||||||||
$ | 27,537 | CMK Corp | 288,000 | 1,797 | |||||||
Beverages - 1.16% | Mycronic AB | 193,904 | 2,856 | ||||||||
Coca-Cola Bottlers Japan Holdings Inc | 126,400 | 3,262 | $ | 4,653 | |||||||
Royal Unibrew A/S | 92,933 | 6,871 | Energy - Alternate Sources - 0.20% | ||||||||
$ | 10,133 | Vestas Wind Systems A/S | 21,111 | 1,759 | |||||||
Biotechnology - 0.62% | Engineering & Construction - 3.32% | ||||||||||
Abcam PLC | 318,470 | 5,421 | ACS Actividades de Construccion y Servicios SA | 44,331 | 1,964 | ||||||
Building Materials - 2.05% | Badger Daylighting Ltd | 87,800 | 2,551 | ||||||||
Buzzi Unicem SpA | 243,546 | 4,760 | Downer EDI Ltd | 1,068,959 | 5,649 | ||||||
Ibstock PLC(b) | 691,521 | 2,315 | KAWADA TECHNOLOGIES Inc | 25,500 | 1,685 | ||||||
Nichiha Corp | 52,000 | 1,477 | Kyowa Exeo Corp | 259,200 | 7,008 | ||||||
Rockwool International A/S | 15,391 | 3,756 | Maeda Corp | 422,500 | 4,477 | ||||||
Xinyi Glass Holdings Ltd | 4,948,000 | 5,671 | Toda Corp | 655,700 | 4,175 | ||||||
$ | 17,979 | Yokogawa Bridge Holdings Corp | 85,800 | 1,599 | |||||||
Chemicals - 2.17% | $ | 29,108 | |||||||||
Denka Co Ltd | 179,000 | 5,411 | Entertainment - 1.72% | ||||||||
DIC Corp | 143,700 | 4,587 | Cineworld Group PLC | 413,022 | 1,530 | ||||||
Lintec Corp | 118,700 | 2,698 | GVC Holdings PLC | 432,015 | 3,758 | ||||||
Sumitomo Bakelite Co Ltd | 98,600 | 3,731 | Stars Group Inc/The(a) | 246,500 | 4,110 | ||||||
Zeon Corp | 256,100 | 2,610 | Tokyotokeiba Co Ltd | 52,700 | 1,721 | ||||||
$ | 19,037 | William Hill PLC | 1,576,224 | 3,924 | |||||||
Commercial Services - 4.04% | $ | 15,043 | |||||||||
Colliers International Group Inc | 59,000 | 4,031 | Food - 3.95% | ||||||||
Hays PLC | 2,492,723 | 5,023 | Empire Co Ltd | 254,200 | 5,905 | ||||||
Kanamoto Co Ltd | 109,200 | 2,880 | Glanbia PLC | 387,458 | 7,849 | ||||||
Keywords Studios PLC | 155,620 | 2,311 | J Sainsbury PLC | 673,234 | 2,046 | ||||||
Loomis AB | 138,915 | 5,052 | Morinaga Milk Industry Co Ltd | 163,200 | 5,232 | ||||||
Nishio Rent All Co Ltd | 75,600 | 2,331 | Nichirei Corp | 193,000 | 4,813 | ||||||
QinetiQ Group PLC | 788,539 | 3,209 | Sonae SGPS SA | 1,347,051 | 1,436 | ||||||
Rentokil Initial PLC | 1,703,049 | 7,915 | SSP Group Plc | 682,389 | 6,013 | ||||||
Sixt SE | 28,690 | 2,641 | WH Group Ltd(b) | 1,421,000 | 1,260 | ||||||
$ | 35,393 | $ | 34,554 | ||||||||
Food Service - 0.38% | |||||||||||
Autogrill SpA | 389,832 | 3,347 |
See accompanying notes.
143
Schedule of Investments International Small Company Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Forest Products & Paper - 1.12% | Oil & Gas - 3.42% | ||||||||||
Interfor Corp(a) | 181,500 | $ | 2,042 | Aker BP ASA | 74,192 | $ | 2,515 | ||||
Sumitomo Forestry Co Ltd | 434,400 | 5,677 | Beach Energy Ltd | 3,630,740 | 5,337 | ||||||
UPM-Kymmene OYJ | 70,008 | 2,111 | Cairn Energy PLC(a) | 877,097 | 2,368 | ||||||
$ | 9,830 | DCC PLC | 52,601 | 4,551 | |||||||
Gas - 0.74% | DNO ASA | 375,677 | 800 | ||||||||
Rubis SCA | 110,245 | 6,522 | Enerplus Corp | 562,900 | 4,962 | ||||||
Hand & Machine Tools - 0.40% | Parex Resources Inc(a) | 339,667 | 5,258 | ||||||||
Rhi Magnesita NV | 58,791 | 3,461 | Premier Oil PLC(a) | 1,979,133 | 1,946 | ||||||
Healthcare - Products - 1.52% | Tamarack Valley Energy Ltd(a) | 545,500 | 1,148 | ||||||||
Carl Zeiss Meditec AG | 67,530 | 5,759 | TORC Oil & Gas Ltd | 304,600 | 1,072 | ||||||
Elekta AB | 347,197 | 4,000 | $ | 29,957 | |||||||
Sartorius Stedim Biotech | 29,894 | 3,516 | Packaging & Containers - 1.16% | ||||||||
$ | 13,275 | DS Smith PLC | 1,204,998 | 5,364 | |||||||
Healthcare - Services - 2.53% | RPC Group PLC | 457,988 | 4,800 | ||||||||
Evotec AG(a) | 133,725 | 3,139 | $ | 10,164 | |||||||
ICON PLC(a) | 38,003 | 5,320 | Pharmaceuticals - 3.87% | ||||||||
Korian SA | 87,395 | 3,269 | Amplifon SpA | 356,588 | 6,627 | ||||||
NMC Health PLC | 99,908 | 3,581 | Clinigen Group Plc | 189,199 | 2,393 | ||||||
Orpea | 58,379 | 6,879 | Hikma Pharmaceuticals PLC | 206,825 | 4,578 | ||||||
$ | 22,188 | Nippon Shinyaku Co Ltd | 79,200 | 5,047 | |||||||
Holding Companies - Diversified - 0.77% | Sawai Pharmaceutical Co Ltd | 116,800 | 6,694 | ||||||||
Seven Group Holdings Ltd | 489,658 | 6,719 | Ship Healthcare Holdings Inc | 68,400 | 2,592 | ||||||
Towa Pharmaceutical Co Ltd | 31,100 | 2,459 | |||||||||
Home Builders - 0.46% | Tsumura & Co | 109,500 | 3,462 | ||||||||
Open House Co Ltd | 112,800 | 3,992 | $ | 33,852 | |||||||
Insurance - 2.10% | Private Equity - 1.26% | ||||||||||
ASR Nederland NV | 210,309 | 9,257 | Intermediate Capital Group PLC | 571,395 | 7,943 | ||||||
Direct Line Insurance Group PLC | 1,117,094 | 5,281 | Jafco Co Ltd | 87,200 | 3,063 | ||||||
Phoenix Group Holdings PLC | 156,798 | 1,454 | $ | 11,006 | |||||||
Swiss Life Holding AG(a) | 5,477 | 2,384 | |||||||||
$ | 18,376 | Real Estate - 3.99% | |||||||||
ADO Properties SA(b) | 46,293 | 2,651 | |||||||||
Internet - 1.63% | CA Immobilien Anlagen AG | 89,075 | 3,012 | ||||||||
LAC Co Ltd | 141,400 | 2,004 | Castellum AB | 374,257 | 6,815 | ||||||
Scout24 AG(b) | 112,842 | 5,946 | Entra ASA(b) | 130,326 | 1,827 | ||||||
Wix.com Ltd(a) | 58,027 | 6,339 | Hysan Development Co Ltd | 961,000 | 5,075 | ||||||
$ | 14,289 | LEG Immobilien AG | 67,857 | 7,566 | |||||||
Lodging - 0.49% | Nexity SA | 18,784 | 916 | ||||||||
Melco International Development Ltd | 1,775,000 | 4,332 | TLG Immobilien AG | 70,881 | 2,057 | ||||||
Machinery - Diversified - 3.72% | UOL Group Ltd | 1,025,400 | 5,022 | ||||||||
ATS Automation Tooling Systems Inc(a) | 201,400 | 2,836 | $ | 34,941 | |||||||
Bucher Industries AG | 16,690 | 5,163 | REITs - 7.33% | ||||||||
Deutz AG | 366,872 | 2,657 | Allied Properties Real Estate Investment Trust | 103,059 | 3,760 | ||||||
Ebara Corp | 206,600 | 5,891 | Canadian Apartment Properties REIT | 80,900 | 3,089 | ||||||
Juki Corp | 109,700 | 1,232 | Covivio | 60,950 | 6,171 | ||||||
Makino Milling Machine Co Ltd | 101,800 | 4,112 | Dream Global Real Estate Investment Trust | 205,200 | 2,113 | ||||||
Sumitomo Heavy Industries Ltd | 182,800 | 6,281 | GPT Group/The | 1,704,985 | 7,080 | ||||||
Toromont Industries Ltd | 84,804 | 4,414 | H&R Real Estate Investment Trust | 228,200 | 3,938 | ||||||
$ | 32,586 | ICADE | 52,126 | 4,438 | |||||||
Media - 0.74% | Inmobiliaria Colonial Socimi SA | 378,353 | 3,900 | ||||||||
Nine Entertainment Co Holdings Ltd | 3,887,620 | 4,708 | KenedixOffice Investment Corp | 861 | 5,746 | ||||||
Tokyo Broadcasting System Holdings Inc | 91,400 | 1,757 | Kenedix Residential Next Investment Corp | 2,158 | 3,514 | ||||||
$ | 6,465 | Mapletree Commercial Trust | 5,034,958 | 6,585 | |||||||
Metal Fabrication & Hardware - 0.55% | Mapletree North Asia Commercial Trust | 3,275,400 | 3,024 | ||||||||
Aurubis AG | 87,927 | 4,834 | MCUBS MidCity Investment Corp | 4,242 | 3,735 | ||||||
Mining - 3.79% | Merlin Properties Socimi SA | 412,969 | 5,349 | ||||||||
Alumina Ltd | 2,714,390 | 4,900 | Northview Apartment Real Estate Investment | 83,800 | 1,767 | ||||||
Detour Gold Corp(a) | 344,290 | 3,485 | Trust | ||||||||
KAZ Minerals PLC | 343,471 | 3,012 | $ | 64,209 | |||||||
Kirkland Lake Gold Ltd | 209,601 | 7,664 | Retail - 4.56% | ||||||||
Lundin Mining Corp | 905,900 | 4,599 | B&M European Value Retail SA | 1,188,478 | 5,576 | ||||||
Northern Star Resources Ltd | 1,010,501 | 6,622 | JD Sports Fashion PLC | 970,207 | 5,999 | ||||||
OceanaGold Corp | 911,873 | 2,938 | Komeri Co Ltd | 92,100 | 2,324 | ||||||
$ | 33,220 | K's Holdings Corp | 560,200 | 5,163 | |||||||
Miscellaneous Manufacturers - 0.57% | Matsumotokiyoshi Holdings Co Ltd | 159,300 | 5,455 | ||||||||
Vesuvius PLC | 624,002 | 5,022 | Saizeriya Co Ltd | 114,400 | 2,109 | ||||||
Office & Business Equipment - 0.72% | Sogo Medical Holdings Co Ltd | 41,000 | 681 | ||||||||
Konica Minolta Inc | 648,600 | 6,308 | Super Retail Group Ltd | 456,228 | 2,397 | ||||||
Sushiro Global Holdings Ltd | 73,800 | 4,651 |
See accompanying notes.
144
Schedule of Investments | |||||||||||||||
International Small Company Fund | |||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||
COMMON STOCKS (continued) | Shares Held Value (000’s) | (a) | Non-income producing security | ||||||||||||
Retail (continued) | (b) | Security exempt from registration under Rule 144A of the Securities Act of | |||||||||||||
Tsuruha Holdings Inc | 30,200 | $ | 2,681 | 1933. These securities may be resold in transactions exempt from registration, | |||||||||||
Valora Holding AG(a) | 10,904 | 2,919 | normally to qualified institutional buyers. At the end of the period, the value of | ||||||||||||
$ | 39,955 | these securities totaled $28,109 or 3.21% of net assets. | |||||||||||||
Software - 1.70% | (c) | Affiliated Security. Security is either an affiliate (and registered under the | |||||||||||||
Kinaxis Inc(a) | 53,700 | 3,376 | Investment Company Act of 1940) or an affiliate as defined by the Investment | ||||||||||||
Open Text Corp | 139,200 | 5,276 | Company Act of 1940 (controls 5.0% or more of the outstanding voting | ||||||||||||
TIS Inc | 132,800 | 6,192 | shares of the security). Please see affiliated sub-schedule for transactional | ||||||||||||
$ | 14,844 | information. | |||||||||||||
Telecommunications - 1.63% | (d) | Current yield shown is as of period end. | |||||||||||||
Bezeq The Israeli Telecommunication Corp Ltd | 3,413,258 | 2,992 | |||||||||||||
Proximus SADP | 196,192 | 5,178 | Portfolio Summary (unaudited) | ||||||||||||
Spark New Zealand Ltd | 2,390,189 | 6,068 | Country | Percent | |||||||||||
$ | 14,238 | Japan | 26.05 | % | |||||||||||
Transportation - 3.86% | United Kingdom | 13.04 | % | ||||||||||||
ComfortDelGro Corp Ltd | 3,537,500 | 6,244 | Canada | 11.08 | % | ||||||||||
Kamigumi Co Ltd | 258,700 | 6,009 | Germany | 6.91 | % | ||||||||||
National Express Group PLC | 920,352 | 5,174 | Australia | 5.74 | % | ||||||||||
Sankyu Inc | 123,200 | 6,038 | France | 4.68 | % | ||||||||||
Seino Holdings Co Ltd | 346,400 | 4,901 | United States | 4.53 | % | ||||||||||
TFI International Inc | 176,200 | 5,429 | Italy | 4.12 | % | ||||||||||
$ | 33,795 | Israel | 3.11 | % | |||||||||||
TOTAL COMMON STOCKS | $ | 850,788 | Switzerland | 2.74 | % | ||||||||||
INVESTMENT COMPANIES - 3.75% | Shares Held Value (000's) | Singapore | 2.37 | % | |||||||||||
Money Market Funds - 3.75% | Netherlands | 2.36 | % | ||||||||||||
Principal Government Money Market Fund | 32,802,382 | 32,802 | Ireland | 2.29 | % | ||||||||||
2.33%(c),(d) | Sweden | 2.15 | % | ||||||||||||
TOTAL INVESTMENT COMPANIES | $ | 32,802 | Hong Kong | 1.86 | % | ||||||||||
Total Investments | $ | 883,590 | Denmark | 1.42 | % | ||||||||||
Other Assets and Liabilities - (0.89)% | (7,792 | ) | Spain | 1.28 | % | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 875,798 | Austria | 1.20 | % | ||||||||||
New Zealand | 0.70 | % | |||||||||||||
Norway | 0.59 | % | |||||||||||||
Belgium | 0.59 | % | |||||||||||||
Jordan | 0.52 | % | |||||||||||||
Portugal | 0.48 | % | |||||||||||||
Isle of Man | 0.43 | % | |||||||||||||
United Arab Emirates | 0.41 | % | |||||||||||||
Finland | 0.24 | % | |||||||||||||
Other Assets and Liabilities | (0.89 | )% | |||||||||||||
TOTAL NET ASSETS | 100.00 | % | |||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | |||||||||||
Value | Cost | Proceeds | Value | ||||||||||||
Principal Government Money Market Fund 2.33% | $ | 13,053 | $ | 116,530 | $ | 96,781 | $ | 32,802 | |||||||
$ | 13,053 | $ | 116,530 | $ | 96,781 | $ | 32,802 | ||||||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | |||||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | ||||||||||||
Principal Government Money Market Fund 2.33% | $ | 167 | $ | — $ | — $ | — | |||||||||
$ | 167 | $ | — $ | — $ | — | ||||||||||
Amounts in thousands |
See accompanying notes.
145
Schedule of Investments Multi-Manager Equity Long/Short Fund February 28, 2019 (unaudited)
COMMON STOCKS - 84.85% | Shares Held Value (000's) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Advertising - 0.10% | Banks (continued) | ||||||||||
Dentsu Inc | 800 | $ | 33 | Comerica Inc | 284 | $ | 25 | ||||
Hakuhodo DY Holdings Inc | 5,200 | 80 | Commerzbank AG | 125,587 | 1,035 | ||||||
Interpublic Group of Cos Inc/The(a) | 6,005 | 138 | Concordia Financial Group Ltd | 3,900 | 16 | ||||||
Omnicom Group Inc | 393 | 30 | DNB ASA | 41,550 | 796 | ||||||
$ | 281 | Fifth Third Bancorp(a) | 46,126 | 1,272 | |||||||
Aerospace & Defense - 4.90% | FinecoBank Banca Fineco SpA | 1,415 | 18 | ||||||||
Airbus SE | 37,566 | 4,840 | First Republic Bank/CA | 286 | 30 | ||||||
Arconic Inc(a) | 9,330 | 173 | Goldman Sachs Group Inc/The(a) | 6,918 | 1,361 | ||||||
Boeing Co/The | 758 | 333 | Gunma Bank Ltd/The | 23,300 | 98 | ||||||
General Dynamics Corp(a) | 7,013 | 1,194 | Hachijuni Bank Ltd/The | 24,500 | 102 | ||||||
IHI Corp | 1,400 | 37 | Hiroshima Bank Ltd/The | 9,800 | 55 | ||||||
L3 Technologies Inc | 1,384 | 293 | Huntington Bancshares Inc/OH | 1,810 | 26 | ||||||
Lockheed Martin Corp(a) | 2,031 | 628 | ING Groep NV | 168,643 | 2,229 | ||||||
MTU Aero Engines AG | 4,206 | 901 | Iyo Bank Ltd/The | 5,500 | 30 | ||||||
Northrop Grumman Corp | 3,082 | 894 | JPMorgan Chase & Co(a) | 32,811 | 3,424 | ||||||
Raytheon Co(a) | 5,495 | 1,025 | KeyCorp | 1,763 | 31 | ||||||
Safran SA | 18,220 | 2,484 | M&T Bank Corp | 610 | 106 | ||||||
TransDigm Group Inc(b) | 954 | 414 | Mitsubishi UFJ Financial Group Inc(a) | 72,500 | 376 | ||||||
$ | 13,216 | Mizuho Financial Group Inc | 132,600 | 208 | |||||||
Agriculture - 0.63% | Northern Trust Corp | 379 | 35 | ||||||||
Altria Group Inc(a) | 20,967 | 1,099 | PNC Financial Services Group Inc/The | 2,600 | 328 | ||||||
Archer-Daniels-Midland Co(a) | 8,143 | 346 | Raiffeisen Bank International AG | 13,513 | 344 | ||||||
Philip Morris International Inc(a) | 3,020 | 263 | Regions Financial Corp(a) | 81,049 | 1,329 | ||||||
$ | 1,708 | Resona Holdings Inc | 35,400 | 160 | |||||||
Airlines - 0.50% | Shinsei Bank Ltd | 6,600 | 91 | ||||||||
American Airlines Group Inc(a) | 797 | 28 | State Street Corp(a) | 7,327 | 527 | ||||||
ANA Holdings Inc | 5,300 | 197 | Sumitomo Mitsui Financial Group Inc(a) | 14,800 | 526 | ||||||
Delta Air Lines Inc | 1,176 | 58 | Sumitomo Mitsui Trust Holdings Inc | 3,300 | 125 | ||||||
Japan Airlines Co Ltd(a) | 27,400 | 1,000 | SunTrust Banks Inc(a) | 39,251 | 2,547 | ||||||
Southwest Airlines Co | 956 | 54 | SVB Financial Group(b) | 92 | 23 | ||||||
$ | 1,337 | UniCredit SpA | 139,288 | 1,892 | |||||||
US Bancorp(a) | 2,784 | 144 | |||||||||
Apparel - 0.78% | Wells Fargo & Co(a) | 7,920 | 395 | ||||||||
Canada Goose Holdings Inc(b) | 7,398 | 421 | Western Alliance Bancorp(b) | 2,184 | 101 | ||||||
Capri Holdings Ltd(b) | 2,959 | 135 | Yamaguchi Financial Group Inc | 1,600 | 15 | ||||||
Hanesbrands Inc(a) | 6,963 | 129 | Zions Bancorp NA | 325 | 17 | ||||||
Moncler SpA(a) | 13,114 | 503 | $ | 22,743 | |||||||
PVH Corp | 1,372 | 158 | |||||||||
Ralph Lauren Corp | 458 | 57 | Beverages - 1.75% | ||||||||
Under Armour Inc - Class C(b) | 3,826 | 77 | Carlsberg A/S | 2,663 | 323 | ||||||
VF Corp(a) | 7,141 | 624 | Coca-Cola Co/The(a) | 37,968 | 1,721 | ||||||
$ | 2,104 | Constellation Brands Inc(a) | 9,160 | 1,550 | |||||||
PepsiCo Inc(a) | 9,750 | 1,127 | |||||||||
Automobile Manufacturers - 0.47% | $ | 4,721 | |||||||||
Fiat Chrysler Automobiles NV | 33,480 | 495 | |||||||||
General Motors Co(a) | 12,327 | 487 | Biotechnology - 1.43% | ||||||||
Hino Motors Ltd | 1,400 | 13 | Amgen Inc(a) | 5,908 | 1,123 | ||||||
Honda Motor Co Ltd | 1,000 | 28 | Biogen Inc(a),(b) | 3,527 | 1,157 | ||||||
Mazda Motor Corp | 9,700 | 114 | Celgene Corp(a),(b) | 12,859 | 1,069 | ||||||
Mitsubishi Motors Corp | 6,600 | 37 | Gilead Sciences Inc(a) | 2,382 | 155 | ||||||
Subaru Corp | 3,400 | 87 | H Lundbeck A/S | 7,733 | 353 | ||||||
$ | 1,261 | $ | 3,857 | ||||||||
Automobile Parts & Equipment - 0.76% | Building Materials - 0.54% | ||||||||||
Aisin Seiki Co Ltd | 2,800 | 110 | AGC Inc/Japan | 1,300 | 45 | ||||||
Aptiv PLC | 2,497 | 207 | Fortune Brands Home & Security Inc(a) | 2,731 | 129 | ||||||
BorgWarner Inc(a) | 4,021 | 163 | Johnson Controls International plc(a) | 16,329 | 576 | ||||||
JTEKT Corp | 6,000 | 75 | LIXIL Group Corp | 3,600 | 49 | ||||||
NHK Spring Co Ltd | 13,700 | 128 | Masco Corp(a) | 5,853 | 220 | ||||||
Nokian Renkaat OYJ | 19,576 | 693 | Rinnai Corp | 500 | 33 | ||||||
Rheinmetall AG | 4,209 | 450 | Rockwool International A/S | 551 | 134 | ||||||
Stanley Electric Co Ltd | 2,900 | 84 | Taiheiyo Cement Corp | 8,000 | 274 | ||||||
Toyota Boshoku Corp | 7,600 | 126 | $ | 1,460 | |||||||
$ | 2,036 | Chemicals - 1.45% | |||||||||
Banks - 8.44% | Asahi Kasei Corp | 7,700 | 84 | ||||||||
Bank of America Corp(a) | 72,974 | 2,122 | Celanese Corp | 2,282 | 233 | ||||||
Bank of New York Mellon Corp/The | 1,072 | 56 | CF Industries Holdings Inc(a) | 386 | 16 | ||||||
BB&T Corp | 1,320 | 67 | Daicel Corp | 12,200 | 129 | ||||||
BPER Banca | 21,536 | 91 | DowDuPont Inc(a) | 21,382 | 1,138 | ||||||
Citigroup Inc | 4,095 | 262 | Eastman Chemical Co | 2,714 | 224 | ||||||
Citizens Financial Group Inc(a) | 8,349 | 308 | FMC Corp | 232 | 21 | ||||||
Kaneka Corp | 900 | 35 |
See accompanying notes.
146
Schedule of Investments Multi-Manager Equity Long/Short Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Chemicals (continued) | Distribution & Wholesale (continued) | ||||||||||
Mitsubishi Chemical Holdings Corp | 11,500 | $ | 85 | Toyota Tsusho Corp | 2,600 | $ | 83 | ||||
Mitsubishi Gas Chemical Co Inc | 15,900 | 243 | WW Grainger Inc(a) | 689 | 210 | ||||||
Mitsui Chemicals Inc | 6,300 | 154 | $ | 1,837 | |||||||
Mosaic Co/The(a) | 1,295 | 40 | Diversified Financial Services - 2.23% | ||||||||
Nippon Shokubai Co Ltd | 800 | 55 | Affiliated Managers GroupInc(a) | 1,017 | 111 | ||||||
Nitto Denko Corp | 2,400 | 129 | American Express Co | 1,465 | 158 | ||||||
PPG Industries Inc | 408 | 46 | Ameriprise Financial Inc | 245 | 32 | ||||||
Sherwin-Williams Co/The(a) | 1,605 | 695 | BlackRock Inc(a) | 2,754 | 1,221 | ||||||
Sumitomo Chemical Co Ltd | 17,900 | 89 | Capital One Financial Corp | 809 | 68 | ||||||
Teijin Ltd | 7,900 | 133 | Charles Schwab Corp/The | 2,304 | 106 | ||||||
Tosoh Corp(a) | 23,800 | 352 | Credit Saison Co Ltd | 4,300 | 62 | ||||||
$ | 3,901 | Deutsche Boerse AG | 6,355 | 802 | |||||||
Commercial Services - 2.18% | Discover Financial Services(a) | 5,864 | 420 | ||||||||
Automatic Data Processing Inc(a) | 1,050 | 161 | E*TRADE Financial Corp | 429 | 21 | ||||||
Dai Nippon Printing Co Ltd | 1,800 | 42 | Franklin Resources Inc(a) | 10,691 | 349 | ||||||
Ecolab Inc | 497 | 84 | Hitachi Capital Corp | 700 | 17 | ||||||
Equifax Inc(a) | 7,436 | 814 | Intercontinental Exchange Inc | 984 | 76 | ||||||
H&R Block Inc | 356 | 8 | Invesco Ltd(a) | 9,667 | 187 | ||||||
Moody's Corp(a) | 5,179 | 897 | Mastercard Inc(a) | 2,663 | 598 | ||||||
Nielsen Holdings PLC(a) | 6,821 | 179 | Mebuki Financial Group Inc | 35,100 | 95 | ||||||
PayPal Holdings Inc(a),(b) | 25,470 | 2,498 | Mitsubishi UFJ Lease & Finance Co Ltd | 5,200 | 26 | ||||||
Persol Holdings Co Ltd | 6,100 | 105 | Nasdaq Inc(a) | 977 | 89 | ||||||
Quanta Services Inc | 2,499 | 89 | ORIX Corp | 1,700 | 25 | ||||||
Robert Half International Inc(a) | 2,698 | 184 | Raymond James Financial Inc | 244 | 20 | ||||||
S&P Global Inc(a) | 3,900 | 781 | Synchrony Financial(a) | 7,720 | 252 | ||||||
Toppan Printing Co Ltd | 1,300 | 21 | T Rowe Price Group Inc(a) | 5,693 | 572 | ||||||
$ | 5,863 | Visa Inc(a) | 3,805 | 564 | |||||||
Computers - 4.03% | Western Union Co/The(a) | 8,494 | 152 | ||||||||
Accenture PLC - Class A(a) | 5,946 | 959 | $ | 6,023 | |||||||
Apple Inc(a) | 17,549 | 3,039 | Electric - 2.02% | ||||||||
Check Point Software Technologies Ltd(b) | 5,398 | 660 | A2A SpA(a) | 158,010 | 280 | ||||||
Cognizant Technology Solutions Corp | 997 | 71 | AES Corp/VA | 1,145 | 20 | ||||||
DXC Technology Co(a) | 5,432 | 358 | Chubu Electric Power Co Inc | 14,300 | 225 | ||||||
Fujitsu Ltd | 2,100 | 142 | Dominion Energy Inc | 1,133 | 84 | ||||||
Hewlett Packard Enterprise Co(a) | 19,696 | 323 | DTE Energy Co | 315 | 39 | ||||||
HP Inc(a) | 36,540 | 721 | E.ON SE | 35,709 | 393 | ||||||
International Business Machines Corp(a) | 12,517 | 1,729 | Edison International | 564 | 34 | ||||||
Itochu Techno-Solutions Corp | 10,300 | 243 | Electric Power Development Co Ltd | 1,500 | 37 | ||||||
Logitech International SA | 23,859 | 895 | Enel SpA(a) | 185,643 | 1,123 | ||||||
NetApp Inc(a) | 3,512 | 229 | Evergy Inc | 458 | 25 | ||||||
Nomura Research Institute Ltd | 2,800 | 114 | Eversource Energy | 548 | 38 | ||||||
NTT Data Corp | 6,200 | 68 | Exelon Corp(a) | 16,756 | 814 | ||||||
Obic Co Ltd | 400 | 38 | FirstEnergy Corp(a) | 765 | 31 | ||||||
Otsuka Corp | 7,500 | 270 | Hera SpA(a) | 38,647 | 129 | ||||||
Perspecta Inc(a) | 31,179 | 658 | Kansai Electric Power Co Inc/The | 4,600 | 69 | ||||||
SCSK Corp | 2,500 | 109 | NextEra Energy Inc | 827 | 155 | ||||||
Seagate Technology PLC(a) | 5,105 | 238 | NRG Energy Inc(a) | 6,933 | 289 | ||||||
$ | 10,864 | Orsted A/S(c) | 10,917 | 793 | |||||||
Consumer Products - 0.21% | Terna Rete Elettrica Nazionale SpA | 22,224 | 138 | ||||||||
Avery Dennison Corp(a) | 1,941 | 210 | Tohoku Electric Power Co Inc | 10,800 | 142 | ||||||
Church & Dwight Co Inc(a) | 5,227 | 344 | Tokyo Electric Power Co Holdings Inc(b) | 91,900 | 573 | ||||||
$ | 554 | $ | 5,431 | ||||||||
Cosmetics & Personal Care - 1.00% | Electrical Components & Equipment - 0.08% | ||||||||||
Colgate-Palmolive Co(a) | 1,489 | 98 | AMETEK Inc | 393 | 31 | ||||||
Essity AB | 24,815 | 692 | Brother Industries Ltd | 4,600 | 84 | ||||||
Kose Corp | 2,100 | 341 | Emerson Electric Co(a) | 1,065 | 73 | ||||||
Lion Corp | 8,000 | 164 | Mabuchi Motor Co Ltd | 700 | 24 | ||||||
Pola Orbis Holdings Inc | 9,300 | 262 | $ | 212 | |||||||
Procter & Gamble Co/The(a) | 11,473 | 1,131 | Electronics - 2.36% | ||||||||
$ | 2,688 | Allegion PLC | 164 | 15 | |||||||
Distribution & Wholesale - 0.68% | Alps Alpine Co Ltd | 4,200 | 83 | ||||||||
Canon Marketing Japan Inc | 1,800 | 34 | Amphenol Corp | 1,772 | 166 | ||||||
ITOCHU Corp(a) | 6,900 | 124 | Corning Inc(a) | 1,405 | 49 | ||||||
KAR Auction Services Inc | 6,436 | 303 | FLIR Systems Inc | 236 | 12 | ||||||
Marubeni Corp | 43,200 | 309 | Fortive Corp(a) | 6,260 | 511 | ||||||
Mitsubishi Corp | 3,200 | 90 | Garmin Ltd(a) | 4,260 | 358 | ||||||
Mitsui & Co Ltd | 11,600 | 183 | Hitachi High-Technologies Corp | 1,900 | 73 | ||||||
Sojitz Corp | 83,300 | 307 | Honeywell International Inc(a) | 29,150 | 4,491 | ||||||
Sumitomo Corp | 13,500 | 194 | Ibiden Co Ltd | 3,500 | 50 |
See accompanying notes.
147
Schedule of Investments Multi-Manager Equity Long/Short Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Electronics (continued) | Healthcare - Products (continued) | ||||||||||
Keysight Technologies Inc(b) | 325 | $ | 27 | Shimadzu Corp | 2,100 | $ | 52 | ||||
Nippon Electric Glass Co Ltd | 500 | 13 | $ | 13,824 | |||||||
TE Connectivity Ltd(a) | 6,190 | 508 | Healthcare - Services - 1.54% | ||||||||
$ | 6,356 | HCA Healthcare Inc(a) | 6,061 | 843 | |||||||
Engineering & Construction - 0.67% | Humana Inc(a) | 601 | 171 | ||||||||
Fluor Corp | 1,993 | 75 | Laboratory Corp of America Holdings(a),(b) | 2,265 | 336 | ||||||
Kajima Corp(a) | 31,500 | 467 | Quest Diagnostics Inc(a) | 2,646 | 229 | ||||||
Obayashi Corp(a) | 45,400 | 443 | UnitedHealth Group Inc(a) | 6,653 | 1,611 | ||||||
Shimizu Corp | 20,600 | 181 | Universal Health Services Inc(a) | 6,828 | 948 | ||||||
Taisei Corp(a) | 13,500 | 638 | WellCare Health Plans Inc(a),(b) | 87 | 22 | ||||||
$ | 1,804 | $ | 4,160 | ||||||||
Entertainment - 0.14% | Home Builders - 0.19% | ||||||||||
Genting Singapore Ltd | 139,600 | 105 | Haseko Corp(a) | 31,900 | 400 | ||||||
Sankyo Co Ltd | 1,500 | 55 | Lennar Corp - A Shares | 561 | 27 | ||||||
Sega Sammy Holdings Inc | 19,600 | 229 | Sekisui Chemical Co Ltd | 4,600 | 72 | ||||||
$ | 389 | $ | 499 | ||||||||
Environmental Control - 0.23% | Home Furnishings - 0.27% | ||||||||||
Pentair PLC(a) | 1,274 | 54 | Hoshizaki Corp | 1,800 | 122 | ||||||
Republic Services Inc(a) | 6,315 | 496 | Leggett & Platt Inc | 2,353 | 107 | ||||||
Waste Management Inc(a) | 733 | 74 | Sony Corp | 6,400 | 307 | ||||||
$ | 624 | Whirlpool Corp(a) | 1,268 | 180 | |||||||
Food - 2.14% | $ | 716 | |||||||||
Ajinomoto Co Inc | 3,700 | 56 | Housewares - 0.05% | ||||||||
Campbell Soup Co | 1,189 | 43 | Newell Brands Inc(a) | 7,562 | 123 | ||||||
Ezaki Glico Co Ltd | 300 | 15 | Insurance - 3.48% | ||||||||
General Mills Inc(a) | 47,043 | 2,217 | AflacInc | 1,305 | 64 | ||||||
Hershey Co/The | 2,472 | 274 | Allianz SE | 3,605 | 803 | ||||||
Hormel Foods Corp | 923 | 40 | Allstate Corp/The | 573 | 54 | ||||||
Koninklijke Ahold Delhaize NV | 27,236 | 702 | American International Group Inc | 1,143 | 49 | ||||||
Kraft Heinz Co/The(a) | 18,072 | 600 | Aon PLC | 2,810 | 482 | ||||||
Kroger Co/The(a) | 17,491 | 513 | Assicurazioni Generali SpA(a) | 69,453 | 1,237 | ||||||
McCormick & Co Inc/MD | 2,364 | 321 | Assurant Inc | 108 | 11 | ||||||
NH Foods Ltd | 800 | 29 | Berkshire Hathaway Inc - Class B(a),(b) | 19,706 | 3,967 | ||||||
Sysco Corp(a) | 11,621 | 785 | Dai-ichi Life Holdings Inc | 15,300 | 233 | ||||||
Toyo Suisan Kaisha Ltd | 3,900 | 145 | Hartford Financial Services Group Inc/The(a) | 621 | 31 | ||||||
Tyson Foods Inc(a) | 631 | 39 | Japan Post Holdings Co Ltd | 15,100 | 184 | ||||||
$ | 5,779 | Lincoln National Corp | 4,048 | 253 | |||||||
Food Service - 0.03% | Loews Corp(a) | 539 | 26 | ||||||||
Autogrill SpA(a) | 8,988 | 77 | Marsh & McLennan Cos Inc(a) | 9,723 | 904 | ||||||
Forest Products & Paper - 0.19% | MS&AD Insurance Group Holdings Inc | 3,100 | 93 | ||||||||
International Paper Co(a) | 9,579 | 439 | Poste Italiane SpA(c) | 5,684 | 51 | ||||||
Oji Holdings Corp | 14,300 | 85 | Progressive Corp/The(a) | 7,426 | 541 | ||||||
$ | 524 | Prudential Financial Inc | 711 | 68 | |||||||
Gas - 0.26% | Sompo Holdings Inc | 600 | 23 | ||||||||
Italgas SpA | 24,549 | 149 | Torchmark Corp | 65 | 5 | ||||||
Osaka Gas Co Ltd | 8,500 | 174 | Travelers Cos Inc/The | 456 | 61 | ||||||
Snam SpA | 11,059 | 55 | Unipol Gruppo SpA | 24,751 | 113 | ||||||
Tokyo Gas Co Ltd | 11,300 | 311 | UnipolSai Assicurazioni SpA | 15,590 | 39 | ||||||
$ | 689 | Unum Group(a) | 2,265 | 85 | |||||||
Hand & Machine Tools - 0.26% | $ | 9,377 | |||||||||
Fuji Electric Co Ltd | 4,500 | 142 | Internet - 1.36% | ||||||||
Snap-on Inc(a) | 1,277 | 204 | Alphabet Inc - A Shares(a),(b) | 475 | 535 | ||||||
Stanley Black & Decker Inc | 2,716 | 360 | Amazon.com Inc(b) | 443 | 726 | ||||||
$ | 706 | Booking Holdings Inc(a),(b) | 493 | 837 | |||||||
Healthcare - Products - 5.13% | eBay Inc(a) | 18,594 | 691 | ||||||||
Abbott Laboratories(a) | 40,815 | 3,169 | F5 Networks Inc(a),(b) | 104 | 18 | ||||||
Becton Dickinson and Co | 15,191 | 3,779 | Facebook Inc(b) | 4,933 | 796 | ||||||
Boston Scientific Corp(a),(b) | 48,649 | 1,952 | VeriSign Inc(a),(b) | 288 | 51 | ||||||
Coloplast A/S | 335 | 33 | $ | 3,654 | |||||||
Cooper Cos Inc/The | 85 | 24 | Investment Companies - 0.58% | ||||||||
Danaher Corp | 11,998 | 1,524 | Investor AB | 34,790 | 1,553 | ||||||
DiaSorin SpA(a) | 1,209 | 118 | Iron & Steel - 0.32% | ||||||||
GN Store Nord A/S | 8,726 | 420 | JFE Holdings Inc(a) | 21,000 | 367 | ||||||
Henry Schein Inc(b) | 2,697 | 160 | Kobe Steel Ltd | 13,700 | 108 | ||||||
Koninklijke Philips NV | 56,426 | 2,245 | Nippon Steel & Sumitomo Metal Corp | 700 | 13 | ||||||
Medtronic PLC(a) | 2,317 | 210 | Nucor Corp(a) | 6,061 | 367 | ||||||
Olympus Corp | 3,100 | 138 | $ | 855 |
See accompanying notes.
148
Schedule of Investments Multi-Manager Equity Long/Short Fund February 28, 2019 (unaudited)
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Leisure Products & Services - 0.36% | Oil & Gas Services - 0.45% | ||||||||||
Carnival Corp(a) | 13,209 | $ | 763 | Halliburton Co(a) | 5,768 | $ | 177 | ||||
Norwegian Cruise Line Holdings Ltd(b) | 3,825 | 212 | National Oilwell Varco Inc(a) | 7,138 | 201 | ||||||
$ | 975 | Schlumberger Ltd(a) | 18,783 | 827 | |||||||
Lodging - 0.23% | $ | 1,205 | |||||||||
Choice Hotels International Inc(a) | 7,879 | 629 | Packaging & Containers - 0.26% | ||||||||
Machinery - Construction & Mining - 1.32% | Ball Corp(a) | 5,986 | 328 | ||||||||
Caterpillar Inc(a) | 8,499 | 1,167 | Packaging Corp of America(a) | 1,815 | 173 | ||||||
Hitachi Construction Machinery Co Ltd | 500 | 12 | Sealed Air Corp(a) | 2,780 | 121 | ||||||
Hitachi Ltd(a) | 11,200 | 337 | Toyo Seikan Group Holdings Ltd | 3,100 | 66 | ||||||
Mitsubishi Heavy Industries Ltd | 800 | 33 | $ | 688 | |||||||
Sandvik AB | 123,166 | 2,019 | Pharmaceuticals - 5.21% | ||||||||
$ | 3,568 | AbbVie Inc(a) | 11,677 | 925 | |||||||
Machinery - Diversified - 1.03% | Alfresa Holdings Corp | 9,000 | 261 | ||||||||
Amada Holdings Co Ltd | 8,600 | 90 | AmerisourceBergen Corp | 365 | 30 | ||||||
Cummins Inc(a) | 3,100 | 478 | Astellas Pharma Inc | 32,000 | 496 | ||||||
Dover Corp(a) | 3,255 | 295 | Bayer AG | 9,986 | 798 | ||||||
Flowserve Corp | 2,326 | 103 | Bristol-Myers Squibb Co(a) | 30,027 | 1,551 | ||||||
Hexagon AB | 9,852 | 518 | Cardinal Health Inc(a) | 5,792 | 315 | ||||||
Rockwell Automation Inc | 1,914 | 342 | CVS Health Corp | 5,103 | 295 | ||||||
Sumitomo Heavy Industries Ltd | 5,400 | 185 | Eisai Co Ltd | 1,000 | 83 | ||||||
THK Co Ltd | 5,900 | 146 | Elanco Animal Health Inc(b) | 6,744 | 204 | ||||||
Valmet OYJ | 25,117 | 625 | Eli Lilly & Co(a) | 11,187 | 1,413 | ||||||
$ | 2,782 | Johnson & Johnson(a) | 7,857 | 1,074 | |||||||
Media - 0.87% | Kobayashi Pharmaceutical Co Ltd | 400 | 32 | ||||||||
Discovery Inc - A Shares(a),(b) | 12,610 | 364 | Medipal Holdings Corp | 9,900 | 231 | ||||||
DISH Network Corp(a),(b) | 6,650 | 216 | Merck & Co Inc(a) | 16,981 | 1,380 | ||||||
News Corp - A Shares(a) | 12,767 | 166 | Mitsubishi Tanabe Pharma Corp(a) | 9,100 | 131 | ||||||
Tokyo Broadcasting System Holdings Inc | 6,400 | 123 | Mylan NV(b) | 892 | 24 | ||||||
Twenty-First Century Fox Inc - A Shares | 2,469 | 125 | Nektar Therapeutics(a),(b) | 3,293 | 133 | ||||||
Viacom Inc - B Shares | 696 | 20 | Nippon Shinyaku Co Ltd | 1,100 | 70 | ||||||
Walt Disney Co/The(a) | 2,577 | 291 | Novo Nordisk A/S | 26,764 | 1,312 | ||||||
World Wrestling Entertainment Inc(a) | 12,505 | 1,047 | PfizerInc(a) | 28,606 | 1,240 | ||||||
$ | 2,352 | Roche Holding AG | 5,257 | 1,459 | |||||||
Metal Fabrication & Hardware - 0.33% | Shionogi & Co Ltd | 2,300 | 147 | ||||||||
Maruichi Steel Tube Ltd | 600 | 18 | Sumitomo Dainippon Pharma Co Ltd(a) | 10,500 | 260 | ||||||
NSK Ltd | 1,400 | 13 | Suzuken Co Ltd/Aichi Japan | 2,700 | 148 | ||||||
SKF AB | 51,067 | 858 | Taisho Pharmaceutical Holdings Co Ltd | 400 | 41 | ||||||
$ | 889 | $ | 14,053 | ||||||||
Miscellaneous Manufacturers - 0.97% | Pipelines - 0.15% | ||||||||||
3M Co(a) | 2,783 | 577 | Kinder Morgan Inc/DE(a) | 21,374 | 410 | ||||||
AO Smith Corp(a) | 3,140 | 163 | Real Estate - 0.11% | ||||||||
Eaton Corp PLC(a) | 8,368 | 667 | CBRE Group Inc(a),(b) | 6,074 | 302 | ||||||
FUJIFILM Holdings Corp | 1,600 | 72 | REITs - 0.54% | ||||||||
Illinois Tool Works Inc(a) | 2,962 | 427 | Alexandria Real Estate Equities Inc | 190 | 26 | ||||||
Ingersoll-Rand PLC(a) | 4,743 | 501 | Apartment Investment & Management Co | 249 | 12 | ||||||
Nikon Corp | 12,300 | 186 | AvalonBay Communities Inc(a) | 239 | 47 | ||||||
Textron Inc(a) | 407 | 22 | Duke Realty Corp | 5,990 | 177 | ||||||
$ | 2,615 | Equity Residential(a) | 652 | 48 | |||||||
Office & Business Equipment - 0.05% | Prologis Inc | 1,089 | 76 | ||||||||
Xerox Corp(a) | 4,734 | 146 | Realty Income Corp(a) | 5,698 | 394 | ||||||
Oil & Gas - 4.44% | Simon Property Group Inc | 535 | 97 | ||||||||
Chevron Corp(a) | 13,546 | 1,620 | UDR Inc | 476 | 21 | ||||||
ConocoPhillips(a) | 23,754 | 1,612 | Ventas Inc | 654 | 41 | ||||||
Devon Energy Corp(a) | 9,944 | 293 | Welltower Inc(a) | 6,776 | 504 | ||||||
Eni SpA(a) | 158,642 | 2,736 | $ | 1,443 | |||||||
Exxon Mobil Corp(a) | 18,021 | 1,424 | Retail - 5.00% | ||||||||
Hess Corp(a) | 548 | 32 | Advance Auto Parts Inc(a) | 126 | 20 | ||||||
HollyFrontier Corp(a) | 3,886 | 199 | AutoZone Inc(a),(b) | 422 | 396 | ||||||
Idemitsu Kosan Co Ltd(a) | 9,900 | 351 | Best Buy Co Inc | 984 | 68 | ||||||
Inpex Corp | 64,400 | 625 | BJ's Wholesale Club Holdings Inc(b) | 91,160 | 2,308 | ||||||
JXTG Holdings Inc(a) | 133,700 | 625 | CarMax Inc(a),(b) | 12,958 | 805 | ||||||
Marathon Oil Corp(a) | 14,476 | 240 | Citizen Watch Co Ltd | 12,800 | 73 | ||||||
Occidental Petroleum Corp(a) | 14,434 | 955 | Costco Wholesale Corp | 668 | 146 | ||||||
Phillips 66(a) | 10,899 | 1,050 | Dollar General Corp | 3,025 | 358 | ||||||
Pioneer Natural Resources Co | 1,120 | 158 | Genuine Parts Co(a) | 3,225 | 351 | ||||||
Valero Energy Corp(a) | 721 | 59 | Home Depot Inc/The(a) | 2,092 | 387 | ||||||
$ | 11,979 | Izumi Co Ltd | 700 | 32 | |||||||
Kohl's Corp(a) | 863 | 58 |
See accompanying notes.
149
Schedule of Investments | ||||||||||||
Multi-Manager Equity Long/Short Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
COMMON STOCKS (continued) | Shares Held Value (000’s) | COMMON STOCKS (continued) | Shares Held Value (000’s) | |||||||||
Retail (continued) | Toys, Games & Hobbies - 0.20% | |||||||||||
Macy's Inc | 893 | $ | 22 | Bandai Namco Holdings Inc(a) | 10,600 | $ | 451 | |||||
Matsumotokiyoshi Holdings Co Ltd | 9,100 | 312 | Hasbro Inc | 218 | 19 | |||||||
McDonald's Corp(a) | 14,478 | 2,662 | Mattel Inc(b) | 5,188 | 75 | |||||||
Nordstrom Inc | 292 | 14 | $ | 545 | ||||||||
O'Reilly Automotive Inc(b) | 137 | 51 | Transportation - 1.66% | |||||||||
Pandora A/S | 3,334 | 175 | CH Robinson Worldwide Inc | 238 | 22 | |||||||
Ryohin Keikaku Co Ltd | 100 | 24 | ComfortDelGro Corp Ltd | 37,100 | 66 | |||||||
Shimamura Co Ltd | 700 | 59 | CSX Corp(a) | 13,057 | 949 | |||||||
Starbucks Corp | 2,149 | 151 | DSV A/S | 1,602 | 133 | |||||||
Sugi Holdings Co Ltd | 1,800 | 78 | East Japan Railway Co | 1,100 | 105 | |||||||
Sundrug Co Ltd | 3,200 | 98 | Expeditors International of Washington Inc(a) | 312 | 23 | |||||||
Takashimaya Co Ltd | 1,000 | 13 | Hankyu Hanshin Holdings Inc | 300 | 11 | |||||||
Tapestry Inc(a) | 5,238 | 183 | Kamigumi Co Ltd | 6,900 | 160 | |||||||
Target Corp | 100 | 7 | Kansas City Southern(a) | 8,620 | 937 | |||||||
TJX Cos Inc/The(a) | 21,506 | 1,103 | Kyushu Railway Co | 4,900 | 168 | |||||||
Tractor Supply Co(a) | 2,357 | 225 | Mitsui OSK Lines Ltd | 500 | 12 | |||||||
Walgreens Boots Alliance Inc(a) | 17,358 | 1,236 | Nippon Express Co Ltd(a) | 4,900 | 290 | |||||||
Walmart Inc(a) | 15,026 | 1,487 | Norfolk Southern Corp(a) | 464 | 83 | |||||||
Yum! Brands Inc(a) | 6,175 | 584 | Old Dominion Freight Line Inc(a) | 8,194 | 1,235 | |||||||
$ | 13,486 | SG Holdings Co Ltd | 3,100 | 91 | ||||||||
Savings & Loans - 0.05% | Union Pacific Corp | 693 | 116 | |||||||||
People's United Financial Inc(a) | 6,826 | 121 | West Japan Railway Co | 900 | 68 | |||||||
Semiconductors - 3.76% | $ | 4,469 | ||||||||||
Analog Devices Inc(a) | 9,431 | 1,009 | TOTAL COMMON STOCKS | $ | 228,702 | |||||||
Applied Materials Inc(a) | 18,632 | 714 | INVESTMENT COMPANIES - 17.34% | Shares Held Value (000's) | ||||||||
ASML Holding NV | 3,605 | 660 | Money Market Funds - 17.34% | |||||||||
Infineon Technologies AG | 66,789 | 1,468 | BlackRock Liquidity Funds FedFund Portfolio | 1,705 | 2 | |||||||
Intel Corp(a) | 12,848 | 680 | 2.3%(a),(d) | |||||||||
KLA-Tencor Corp(a) | 2,955 | 341 | First American Government Obligations Fund | 422,888 | 423 | |||||||
Lam Research Corp(a) | 2,841 | 500 | 2.28%(d),(e) | |||||||||
Microchip Technology Inc | 4,649 | 404 | Principal Government Money Market Fund | 32,786,303 | 32,786 | |||||||
Micron Technology Inc(a),(b) | 28,098 | 1,149 | 2.33%(d),(f) | |||||||||
Qorvo Inc(b) | 221 | 16 | Wells Fargo Advantage Government Money | 13,537,865 | 13,538 | |||||||
Renesas Electronics Corp(b) | 25,900 | 152 | Market Fund 2.27%(d),(e) | |||||||||
Skyworks Solutions Inc | 3,119 | 255 | $ | 46,749 | ||||||||
STMicroelectronics NV | 92,363 | 1,512 | TOTAL INVESTMENT COMPANIES | $ | 46,749 | |||||||
SUMCO Corp | 1,600 | 20 | PREFERRED STOCKS - 0.62% | Shares Held Value (000's) | ||||||||
Texas Instruments Inc(a) | 10,281 | 1,087 | Automobile Manufacturers - 0.62% | |||||||||
Xilinx Inc | 1,430 | 179 | Volkswagen AG 4.86% | 9,684 | $ | 1,661 | ||||||
$ | 10,146 | TOTAL PREFERRED STOCKS | $ | 1,661 | ||||||||
Shipbuilding - 0.09% | U.S. GOVERNMENT & GOVERNMENT | Principal | ||||||||||
Huntington Ingalls Industries Inc | 830 | 174 | AGENCY OBLIGATIONS - 4.44% | Amount (000's) Value (000's) | ||||||||
Yangzijiang Shipbuilding Holdings Ltd | 75,100 | 79 | U.S. Treasury Bill - 4.44% | |||||||||
$ | 253 | 2.42%, 04/25/2019(a),(g) | $ | 12,000 | $ | 11,956 | ||||||
Software - 1.94% | TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY | |||||||||||
Activision Blizzard Inc(a) | 13,518 | 570 | OBLIGATIONS | $ | 11,956 | |||||||
GungHo Online Entertainment Inc | 35,900 | 104 | Total Investments | $ | 289,068 | |||||||
Jack Henry & Associates Inc | 134 | 18 | Other Assets and Liabilities - (7.25)% | (19,543 | ) | |||||||
Microsoft Corp | 11,612 | 1,301 | TOTAL NET ASSETS - 100.00% | $ | 269,525 | |||||||
Mixi Inc | 3,700 | 90 | ||||||||||
Oracle Corp Japan | 2,600 | 194 | ||||||||||
SAP SE | 20,949 | 2,242 | (a) | Security or a portion of the security was pledged as collateral for short sales. | ||||||||
Square Enix Holdings Co Ltd(a) | 12,000 | 353 | At the end of the period, the value of these securities totaled $97,747 or | |||||||||
Temenos AG(b) | 2,447 | 354 | 36.27% of net assets. | |||||||||
$ | 5,226 | (b) | Non-income producing security | |||||||||
(c) | Security exempt from registration under Rule 144A of the Securities Act of | |||||||||||
Telecommunications - 2.45% | 1933. These securities may be resold in transactions exempt from registration, | |||||||||||
Arista Networks Inc(b) | 136 | 39 | normally to qualified institutional buyers. At the end of the period, the value of | |||||||||
AT&T Inc(a) | 29,305 | 912 | these securities totaled $844 or 0.31% of net assets. | |||||||||
CenturyLink Inc(a) | 20,864 | 275 | (d) | Current yield shown is as of period end. | ||||||||
Cisco Systems Inc(a) | 23,803 | 1,232 | (e) | Security or a portion of the security was pledged to cover margin requirements | ||||||||
Hikari Tsushin Inc | 300 | 54 | for swap and/or swaptioncontracts. At the end of the period, the value of these | |||||||||
Juniper Networks Inc | 5,678 | 154 | securities totaled $13,961 or 5.18% of net assets. | |||||||||
Koninklijke KPN NV | 213,649 | 658 | (f) | Affiliated Security. Security is either an affiliate (and registered under the | ||||||||
LogMeIn Inc(a) | 13,331 | 1,059 | Investment Company Act of 1940) or an affiliate as defined by the Investment | |||||||||
Motorola Solutions Inc(a) | 3,156 | 452 | Company Act of 1940 (controls 5.0% or more of the outstanding voting | |||||||||
Nippon Telegraph & Telephone Corp | 13,700 | 592 | shares of the security). Please see affiliated sub-schedule for transactional | |||||||||
Telecom Italia SpA/Milano(b) | 97,683 | 59 | information. | |||||||||
Verizon Communications Inc(a) | 19,811 | 1,128 | (g) | Rate shown is the discount rate of the original purchase. | ||||||||
$ | 6,614 |
See accompanying notes.
150
Schedule of Investments | ||||||||||||
Multi-Manager Equity Long/Short Fund | ||||||||||||
February 28, 2019 (unaudited) | ||||||||||||
Portfolio Summary (unaudited) | ||||||||||||
Sector | Percent | |||||||||||
Consumer, Non-cyclical | 21.22 | % | ||||||||||
Investment Companies | 17.34 | % | ||||||||||
Financial | 15.43 | % | ||||||||||
Industrial | 14.70 | % | ||||||||||
Consumer, Cyclical | 10.28 | % | ||||||||||
Technology | 9.78 | % | ||||||||||
Energy | 5.04 | % | ||||||||||
Communications | 4.78 | % | ||||||||||
Government | 4.44 | % | ||||||||||
Utilities | 2.28 | % | ||||||||||
Basic Materials | 1.96 | % | ||||||||||
Investments Sold Short | (41.77 | )% | ||||||||||
Other Assets and Liabilities | 34.52 | % | ||||||||||
TOTAL NET ASSETS | 100.00 | % | ||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | ||||||||
Value | Cost | Proceeds | Value | |||||||||
Principal Government Money Market Fund 2.33% | $ | 75,765 | $ | 156,566 | $ | 199,545 | $ | 32,786 | ||||
$ | 75,765 | $ | 156,566 | $ | 199,545 | $ | 32,786 | |||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | ||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | |||||||||
Principal Government Money Market Fund 2.33% | $ | 519 | $ | — $ | — $ | — | ||||||
$ | 519 | $ | — $ | — $ | — |
Amounts in thousands | |||||||||||||||
Futures Contracts | |||||||||||||||
Description and Expiration Date | Type | Contracts | Notional Amount | Value and Unrealized Appreciation/(Depreciation) | |||||||||||
AEX Index; March 2019 | Long | 5 | $ | 615 | $ | 9 | |||||||||
AEX Index; March 2019 | Short | 15 | 1,846 | (28 | ) | ||||||||||
CAC40 Index; March 2019 | Short | 77 | 4,588 | (139 | ) | ||||||||||
CAC40 Index; March 2019 | Long | 21 | 1,251 | 43 | |||||||||||
DAX Index; March 2019 | Long | 4 | 1,310 | 83 | |||||||||||
DAX Index; March 2019 | Short | 9 | 2,948 | (177 | ) | ||||||||||
DJ Euro Stoxx 50; March 2019 | Short | 386 | 14,480 | (1,160 | ) | ||||||||||
FTSE/MIB Index; March 2019 | Long | 1 | 117 | 11 | |||||||||||
FTSE/MIB Index; March 2019 | Short | 15 | 1,762 | (89 | ) | ||||||||||
FTSE100 Index; March 2019 | Long | 21 | 1,971 | 71 | |||||||||||
FTSE100 Index; March 2019 | Short | 39 | 3,660 | (162 | ) | ||||||||||
Hang Seng Index; March 2019 | Long | 1 | 183 | (1 | ) | ||||||||||
IBEX 35 Index; March 2019 | Long | 3 | 317 | 10 | |||||||||||
Japan Topix Index; March 2019 | Long | 20 | 2,882 | 96 | |||||||||||
MSCI Singapore Index; March 2019 | Short | 1 | 27 | — | |||||||||||
OMXS30 Index; March 2019 | Short | 96 | 1,634 | (26 | ) | ||||||||||
OMXS30 Index; March 2019 | Long | 27 | 460 | 8 | |||||||||||
S&P 500 Emini; March 2019 | Long | 153 | 21,303 | 1,461 | |||||||||||
S&P/TSX 60 Index; March 2019 | Long | 9 | 1,303 | 98 | |||||||||||
SPI 200 Index; March 2019 | Long | 9 | 981 | 94 | |||||||||||
Total | $ | 202 | |||||||||||||
Amounts in thousands except contracts. | |||||||||||||||
Foreign Currency Contracts | |||||||||||||||
Unrealized Appreciation/(Depreciation) | |||||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | ||||||||||
Bank of New York Mellon | 05/15/2019 | $ | 453 | EUR | 382 | $ | 16 | $ | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 251 | AUD | 349 | 3 | — | ||||||||
Citigroup Inc | 03/20/2019 | AUD | 486$ | 353 | — | (8 | ) | ||||||||
Citigroup Inc | 03/20/2019 | AUD | 24$ | 17 | — | — | |||||||||
Citigroup Inc | 03/20/2019 | GBP | 692$ | 890 | 29 | — | |||||||||
Citigroup Inc | 03/20/2019 | $ | 67 | GBP | 51 | — | — | ||||||||
Citigroup Inc | 03/20/2019 | $ | 442 | GBP | 339 | — | (8 | ) | |||||||
Citigroup Inc | 03/20/2019 | $ | 70 | CAD | 92 | — | — | ||||||||
Citigroup Inc | 03/20/2019 | $ | 190 | CAD | 252 | — | (1 | ) | |||||||
Citigroup Inc | 03/20/2019 | CAD | 57$ | 43 | — | — | |||||||||
Citigroup Inc | 03/20/2019 | CAD | 614$ | 463 | 4 | — | |||||||||
Citigroup Inc | 03/20/2019 | $ | 135 | DKK | 888 | — | (1 | ) |
See accompanying notes.
151
Schedule of Investments | |||||||||||||
Multi-Manager Equity Long/Short Fund | |||||||||||||
February 28, 2019 (unaudited) | |||||||||||||
Foreign Currency Contracts (continued) | |||||||||||||
Unrealized Appreciation/(Depreciation) | |||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | ||||||||
Citigroup Inc | 03/20/2019 | $ | 340 | DKK | 2,206 | $ | 3 | $ | — | ||||
Citigroup Inc | 03/20/2019 | DKK | 658 | $ | 101 | — | — | ||||||
Citigroup Inc | 03/20/2019 | DKK | 2,435 | $ | 377 | — | (5 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 1,056 | EUR | 921 | 7 | — | ||||||
Citigroup Inc | 03/20/2019 | EUR | 1,556 | $ | 1,784 | — | (12 | ) | |||||
Citigroup Inc | 03/20/2019 | EUR | 307 | $ | 348 | 1 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 635 | EUR | 559 | — | (1 | ) | |||||
Citigroup Inc | 03/20/2019 | HKD | 1,480 | $ | 190 | — | (1 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 151 | HKD | 1,185 | — | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 1 | ILS | 3 | — | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 24 | ILS | 87 | — | — | ||||||
Citigroup Inc | 03/20/2019 | ILS | 107 | $ | 29 | 1 | — | ||||||
Citigroup Inc | 03/20/2019 | JPY | 156,560 | $ | 1,398 | 9 | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 1,312 | JPY | 144,346 | 15 | — | ||||||
Citigroup Inc | 03/20/2019 | JPY | 73,944 | $ | 681 | — | (17 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 448 | JPY | 50,440 | — | (5 | ) | |||||
Citigroup Inc | 03/20/2019 | NZD | 7 | $ | 5 | — | — | ||||||
Citigroup Inc | 03/20/2019 | NZD | 10 | $ | 7 | — | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 6 | NZD | 9 | — | — | ||||||
Citigroup Inc | 03/20/2019 | NOK | 52 | $ | 6 | — | — | ||||||
Citigroup Inc | 03/20/2019 | NOK | 292 | $ | 34 | — | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 8 | NOK | 64 | — | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 14 | NOK | 121 | — | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 54 | SGD | 73 | — | — | ||||||
Citigroup Inc | 03/20/2019 | SGD | 3 | $ | 2 | — | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 33 | SGD | 44 | — | — | ||||||
Citigroup Inc | 03/20/2019 | SGD | 151 | $ | 111 | 1 | — | ||||||
Citigroup Inc | 03/20/2019 | SEK | 1,324 | $ | 148 | — | (4 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 22 | SEK | 204 | — | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 53 | SEK | 498 | — | (1 | ) | |||||
Citigroup Inc | 03/20/2019 | $ | 163 | CHF | 162 | — | — | ||||||
Citigroup Inc | 03/20/2019 | CHF | 445 | $ | 451 | — | (5 | ) | |||||
Citigroup Inc | 03/20/2019 | CHF | 9 | $ | 9 | — | — | ||||||
Citigroup Inc | 03/20/2019 | $ | 76 | CHF | 76 | — | — | ||||||
Citigroup Inc | 06/19/2019 | AUD | 405 | $ | 290 | — | (2 | ) | |||||
Citigroup Inc | 06/19/2019 | GBP | 380 | $ | 498 | 8 | — | ||||||
Citigroup Inc | 06/19/2019 | GBP | 63 | $ | 84 | — | — | ||||||
Citigroup Inc | 06/19/2019 | CAD | 359 | $ | 272 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | CAD | 51 | $ | 39 | — | — | ||||||
Citigroup Inc | 06/19/2019 | DKK | 718 | $ | 110 | — | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 155 | DKK | 1,010 | — | (1 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 108 | EUR | 94 | — | — | ||||||
Citigroup Inc | 06/19/2019 | EUR | 232 | $ | 267 | — | — | ||||||
Citigroup Inc | 06/19/2019 | EUR | 758 | $ | 868 | 2 | — | ||||||
Citigroup Inc | 06/19/2019 | $ | 324 | EUR | 283 | — | (1 | ) | |||||
Citigroup Inc | 06/19/2019 | HKD | 1,473 | $ | 188 | — | — | ||||||
Citigroup Inc | 06/19/2019 | ILS | 109 | $ | 30 | — | — | ||||||
Citigroup Inc | 06/19/2019 | JPY | 133,941 | $ | 1,221 | — | (9 | ) | |||||
Citigroup Inc | 06/19/2019 | $ | 95 | JPY | 10,383 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | NZD | 11 | $ | 8 | — | — | ||||||
Citigroup Inc | 06/19/2019 | NOK | 51 | $ | 6 | — | — | ||||||
Citigroup Inc | 06/19/2019 | NOK | 152 | $ | 18 | — | — | ||||||
Citigroup Inc | 06/19/2019 | SGD | 46 | $ | 34 | — | — | ||||||
Citigroup Inc | 06/19/2019 | SGD | 92 | $ | 68 | — | — | ||||||
Citigroup Inc | 06/19/2019 | SEK | 156 | $ | 17 | — | — | ||||||
Citigroup Inc | 06/19/2019 | SEK | 622 | $ | 67 | 1 | — | ||||||
Citigroup Inc | 06/19/2019 | CHF | 223 | $ | 226 | — | — | ||||||
Citigroup Inc | 06/19/2019 | CHF | 47 | $ | 48 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | AUD | 35 | $ | 25 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | AUD | 730 | $ | 531 | — | (13 | ) | |||||
JPMorgan Chase | 03/20/2019 | $ | 375 | AUD | 523 | 4 | — | ||||||
JPMorgan Chase | 03/20/2019 | GBP | 1,039 | $ | 1,335 | 44 | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 101 | GBP | 76 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 663 | GBP | 508 | — | (12 | ) | |||||
JPMorgan Chase | 03/20/2019 | CAD | 86 | $ | 65 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | CAD | 922 | $ | 695 | 6 | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 286 | CAD | 378 | — | (1 | ) | |||||
JPMorgan Chase | 03/20/2019 | $ | 105 | CAD | 137 | — | — |
See accompanying notes.
152
Schedule of Investments | |||||||||||||
Multi-Manager Equity Long/Short Fund | |||||||||||||
February 28, 2019 (unaudited) | |||||||||||||
Foreign Currency Contracts (continued) | |||||||||||||
Unrealized Appreciation/(Depreciation) | |||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | ||||||||
JPMorgan Chase | 03/20/2019 | DKK | 3,653 | $ | 565 | $ | — $ | (7 | ) | ||||
JPMorgan Chase | 03/20/2019 | $ | 509 | DKK | 3,309 | 4 | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 202 | DKK | 1,331 | — | (1 | ) | |||||
JPMorgan Chase | 03/20/2019 | DKK | 988 | $ | 151 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 1,585 | EUR | 1,382 | 11 | — | ||||||
JPMorgan Chase | 03/20/2019 | EUR | 2,334 | $ | 2,676 | — | (18 | ) | |||||
JPMorgan Chase | 03/20/2019 | EUR | 460 | $ | 522 | 2 | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 952 | EUR | 838 | — | (2 | ) | |||||
JPMorgan Chase | 03/20/2019 | HKD | 2,220 | $ | 285 | — | (2 | ) | |||||
JPMorgan Chase | 03/20/2019 | $ | 227 | HKD | 1,778 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 1 | ILS | 4 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 36 | ILS | 131 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | ILS | 161 | $ | 43 | 1 | — | ||||||
JPMorgan Chase | 03/20/2019 | JPY | 110,915 | $ | 1,021 | — | (25 | ) | |||||
JPMorgan Chase | 03/20/2019 | JPY | 234,840 | $ | 2,096 | 14 | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 1,967 | JPY | 216,519 | 22 | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 672 | JPY | 75,660 | — | (8 | ) | |||||
JPMorgan Chase | 03/20/2019 | NZD | 10 | $ | 7 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | NZD | 15 | $ | 10 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 9 | NZD | 14 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 21 | NOK | 182 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 11 | NOK | 96 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | NOK | 439 | $ | 51 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | NOK | 78 | $ | 9 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 49 | SGD | 66 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | SGD | 227 | $ | 166 | 2 | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 81 | SGD | 110 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | SGD | 4 | $ | 3 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 33 | SEK | 306 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | SEK | 1,986 | $ | 222 | — | (7 | ) | |||||
JPMorgan Chase | 03/20/2019 | $ | 80 | SEK | 747 | — | (1 | ) | |||||
JPMorgan Chase | 03/20/2019 | CHF | 14 | $ | 14 | — | — | ||||||
JPMorgan Chase | 03/20/2019 | $ | 243 | CHF | 243 | — | (1 | ) | |||||
JPMorgan Chase | 03/20/2019 | $ | 115 | CHF | 113 | 1 | — | ||||||
JPMorgan Chase | 03/20/2019 | CHF | 667 | $ | 678 | — | (8 | ) | |||||
JPMorgan Chase | 06/19/2019 | AUD | 405 | $ | 290 | — | (2 | ) | |||||
JPMorgan Chase | 06/19/2019 | GBP | 63 | $ | 84 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | GBP | 380 | $ | 498 | 8 | — | ||||||
JPMorgan Chase | 06/19/2019 | CAD | 51 | $ | 39 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | CAD | 359 | $ | 272 | 1 | — | ||||||
JPMorgan Chase | 06/19/2019 | DKK | 718 | $ | 110 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | $ | 154 | DKK | 1,010 | — | (1 | ) | |||||
JPMorgan Chase | 06/19/2019 | $ | 108 | EUR | 94 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | EUR | 232 | $ | 267 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | EUR | 758 | $ | 868 | 2 | — | ||||||
JPMorgan Chase | 06/19/2019 | $ | 324 | EUR | 283 | — | (1 | ) | |||||
JPMorgan Chase | 06/19/2019 | HKD | 1,473 | $ | 188 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | ILS | 109 | $ | 30 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | $ | 95 | JPY | 10,383 | 1 | — | ||||||
JPMorgan Chase | 06/19/2019 | JPY | 133,941 | $ | 1,221 | — | (9 | ) | |||||
JPMorgan Chase | 06/19/2019 | NZD | 11 | $ | 8 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | NOK | 51 | $ | 6 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | NOK | 152 | $ | 18 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | SGD | 46 | $ | 34 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | SGD | 92 | $ | 68 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | SEK | 156 | $ | 17 | — | — | ||||||
JPMorgan Chase | 06/19/2019 | SEK | 622 | $ | 67 | 1 | — | ||||||
JPMorgan Chase | 06/19/2019 | CHF | 223 | $ | 225 | 1 | — | ||||||
JPMorgan Chase | 06/19/2019 | CHF | 47 | $ | 48 | — | — | ||||||
Morgan Stanley & Co | 03/20/2019 | $ | 752 | EUR | 664 | — | (4 | ) | |||||
Morgan Stanley & Co | 03/20/2019 | EUR | 107 | $ | 122 | — | — | ||||||
Morgan Stanley & Co | 03/20/2019 | $ | 7,270 | EUR | 6,366 | 20 | — | ||||||
Morgan Stanley & Co | 03/20/2019 | EUR | 481 | $ | 551 | — | (3 | ) | |||||
Morgan Stanley & Co | 05/15/2019 | $ | 310 | GBP | 230 | 4 | — | ||||||
Morgan Stanley & Co | 05/15/2019 | $ | 1,528 | GBP | 1,178 | — | (40 | ) | |||||
Morgan Stanley & Co | 05/15/2019 | GBP | 1,053 | $ | 1,362 | 40 | — | ||||||
Morgan Stanley & Co | 05/15/2019 | GBP | 132 | $ | 176 | — | — | ||||||
Morgan Stanley & Co | 05/15/2019 | $ | 1,325 | DKK | 8,665 | — | (5 | ) |
See accompanying notes.
153
Schedule of Investments | |||||||||||||||
Multi-Manager Equity Long/Short Fund | |||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||
Foreign Currency Contracts (continued) | |||||||||||||||
Unrealized Appreciation/(Depreciation) | |||||||||||||||
Counterparty | Settlement Date | Currency to Accept | Currency to Deliver | Asset | Liability | ||||||||||
Morgan Stanley & Co | 05/15/2019 | $ | 4,439 | DKK | 27,668 | $ | 191 | $ | — | ||||||
Morgan Stanley & Co | 05/15/2019 | DKK | 27,668$ | 4,381 | — | (133 | ) | ||||||||
Morgan Stanley & Co | 05/15/2019 | EUR | 62,618$ | 74,262 | — | (2,608 | ) | ||||||||
Morgan Stanley & Co | 05/15/2019 | $ | 103,716 | EUR | 86,292 | 4,971 | — | ||||||||
Morgan Stanley & Co | 05/15/2019 | $ | 7,094 | EUR | 6,210 | — | (12 | ) | |||||||
Morgan Stanley & Co | 05/15/2019 | EUR | 6,039$ | 6,878 | 32 | — | |||||||||
Morgan Stanley & Co | 05/15/2019 | $ | 6,586 | NOK | 52,260 | 457 | — | ||||||||
Morgan Stanley & Co | 05/15/2019 | NOK | 52,260$ | 6,511 | — | (382 | ) | ||||||||
Morgan Stanley & Co | 05/15/2019 | $ | 792 | NOK | 6,814 | — | (7 | ) | |||||||
Morgan Stanley & Co | 05/15/2019 | SEK | 199,099$ | 22,739 | — | (1,047 | ) | ||||||||
Morgan Stanley & Co | 05/15/2019 | $ | 25,693 | SEK | 221,548 | 1,555 | — | ||||||||
Morgan Stanley & Co | 05/15/2019 | $ | 3,477 | SEK | 31,988 | — | (8 | ) | |||||||
Morgan Stanley & Co | 05/15/2019 | SEK | 467$ | 50 | 1 | — | |||||||||
Morgan Stanley & Co | 05/15/2019 | $ | 1,250 | CHF | 1,246 | — | (8 | ) | |||||||
Morgan Stanley & Co | 05/15/2019 | CHF | 24,876$ | 25,841 | — | (730 | ) | ||||||||
Morgan Stanley & Co | 05/15/2019 | $ | 31,061 | CHF | 29,881 | 898 | — | ||||||||
Morgan Stanley & Co | 05/15/2019 | CHF | 3,544$ | 3,568 | 9 | — | |||||||||
Total | $ | 8,405 | $ | (5,188 | ) | ||||||||||
Amounts in thousands. | |||||||||||||||
Total Return Equity Basket Swaps | |||||||||||||||
Upfront | Value and Unrealized | ||||||||||||||
Payment | Notional | Payments/ | Appreciation/(Depreciation) | ||||||||||||
Counterparty | Fund Pays | Fund Receives | Frequency | Expiration Date | Amount | (Receipts) | Asset----- Liability | ||||||||
Deutsche Bank AG(a) | Floating rate based on the | Total return on a custom basket of | Monthly | 05/05/2022 | $ | 139,674 | $ | — $ | — $ | (156 | ) | ||||
Overnight Bank Funding | long and short securities traded in | ||||||||||||||
Rate plus/less spread | USD | ||||||||||||||
Morgan Stanley & Co | Floating rate based on | Total return on a custom basket of | Monthly | 05/06/2019 | 1,486 | — | — | — | |||||||
the Norway Interbank | long and short securities traded in | ||||||||||||||
Offered Rate plus/less | NOK | ||||||||||||||
spread | |||||||||||||||
Morgan Stanley & Co | Floating rate based on the | Total return on a custom basket of | Monthly | 05/07/2019 | 1,546 | — | — | (22 | ) | ||||||
Hong Kong Overnight | long and short securities traded in | ||||||||||||||
Index Average plus/less | HKD | ||||||||||||||
spread | |||||||||||||||
Morgan Stanley & Co | Floating rate based on | Total return on a custom basket of | Monthly | 05/06/2019 | 2,525 | — | — | (101 | ) | ||||||
the Stockholm Interbank | long and short securities traded in | ||||||||||||||
Offered Rate plus/less | SEK | ||||||||||||||
spread | |||||||||||||||
Morgan Stanley & | Floating rate based on the | Total return on a custom basket of | Monthly | 04/08/2019 | 11,693 | — | 154 | — | |||||||
Co(b) | Sterling Overnight Index | long and short securities traded in | |||||||||||||
Average plus/less spread | GBP | ||||||||||||||
Morgan Stanley & | Floating rate based on | Total return on a custom basket of | Monthly | 04/08/2019 | 16,504 | — | 639 | — | |||||||
Co(c) | the Euro Overnight Index | long and short securities traded in | |||||||||||||
Average plus/less spread | EUR | ||||||||||||||
Morgan Stanley & | Floating rate based on | Total return on a custom basket of | Monthly | 05/07/2019 | 7,388 | — | — | (28 | ) | ||||||
Co(d) | the Canada Bankers | long and short securities traded in | |||||||||||||
Acceptances plus/less | CAD | ||||||||||||||
spread | |||||||||||||||
Morgan Stanley & Co | Floating rate based on | Total return on a custom basket of | Monthly | 05/06/2019 | 2,064 | — | 34 | — | |||||||
the Reserve Bank of | long and short securities traded in | ||||||||||||||
Australia Cash Rate plus/ | AUD | ||||||||||||||
less spread | |||||||||||||||
Morgan Stanley & | Floating rate based on | Total return on a custom basket of | Monthly | 08/06/2019 | 4,543 | — | 330 | — | |||||||
Co(e) | the Swiss Average Rate | long and short securities traded in | |||||||||||||
Overnight plus/less | CHF | ||||||||||||||
spread | |||||||||||||||
Morgan Stanley & Co(f) | Floating rate based on the | Total return on a custom basket of | Monthly | 05/07/2019 | 11,121 | — | — | (291 | ) | ||||||
Sterling Overnight Index | long and short securities traded in | ||||||||||||||
Average plus/less spread | GBP | ||||||||||||||
Morgan Stanley & | Floating rate based on | Total return on a custom basket of | Monthly | 05/06/2019 | 27,624 | — | 339 | — | |||||||
Co(g) | the Euro Overnight Index | long and short securities traded in | |||||||||||||
Average plus/less spread | EUR | ||||||||||||||
Total | $ | 226,168 | $ | — $ | 1,496 | $ | (598 | ) |
See accompanying notes.
154
Schedule of Investments
Multi-Manager Equity Long/Short Fund
February 28, 2019 (unaudited)
The expiration dates are measured from the commencement of investment in each underlying swap position.
The fund pays a floating rate based on the reference rate plus/less a spread. The spread is negotiated at the security level and is usually similar within a region but may vary depending on how difficult it is to borrow the security.
Notional Amount represents the total absolute value of the underlying securities.
Amounts in thousands.
(a) | ||||||
Top Underlying SecuritiesMAQDBUSD | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Microsoft Corp | 13,683 | $ | 1,533 | 1.10 | % | |
Apple Inc | 7,827 | 1,355 | 0.97 | % | ||
Gilead Sciences Inc | 17,566 | 1,142 | 0.82 | % | ||
Intuit Inc | 4,545 | 1,123 | 0.80 | % | ||
Biogen Inc | 3,353 | 1,100 | 0.79 | % | ||
Tesla Inc | (3,407 | ) | (1,090 | ) | (0.78 | )% |
PfizerInc | 22,747 | 986 | 0.71 | % | ||
International Business Machines Corp | 7,107 | 982 | 0.70 | % | ||
Adobe Inc | 3,635 | 954 | 0.68 | % | ||
Cisco Systems Inc | 18,212 | 943 | 0.67 | % | ||
Bristol-Myers Squibb Co | 17,073 | 882 | 0.63 | % | ||
Albemarle Corp | (9,192 | ) | (839 | ) | (0.60 | )% |
Global Payments Inc | (6,416 | ) | (837 | ) | (0.60 | )% |
VEREIT Inc | (96,857 | ) | (772 | ) | (0.55 | )% |
Sempra Energy | (6,351 | ) | (765 | ) | (0.55 | )% |
Raytheon Co | 4,067 | 758 | 0.54 | % | ||
Micron Technology Inc | 18,307 | 748 | 0.54 | % | ||
Merck & Co Inc | 9,105 | 740 | 0.53 | % | ||
Electronic Arts Inc | 7,631 | 731 | 0.52 | % | ||
Sterling Bancorp/DE | (35,906 | ) | (730 | ) | (0.52 | )% |
Exelon Corp | 14,978 | 728 | 0.52 | % | ||
First Republic Bank/CA | (6,705 | ) | (704 | ) | (0.50 | )% |
Universal Display Corp | (4,688 | ) | (700 | ) | (0.50 | )% |
ONEOK Inc | (10,874 | ) | (699 | ) | (0.50 | )% |
Microchip Technology Inc | (7,856 | ) | (682 | ) | (0.49 | )% |
CDW Corp/DE | 7,153 | 672 | 0.48 | % | ||
New York Community Bancorp Inc | (53,096 | ) | (664 | ) | (0.48 | )% |
Comcast Corp - Class A | 17,066 | 660 | 0.47 | % | ||
Charles River Laboratories InternationalInc | 4,599 | 654 | 0.47 | % | ||
Amgen Inc | 3,415 | 649 | 0.46 | % | ||
Symantec Corp | 28,610 | 643 | 0.46 | % | ||
CBS Corp | 12,657 | 636 | 0.46 | % | ||
WellCare Health Plans Inc | (2,503 | ) | (635 | ) | (0.45 | )% |
Facebook Inc | 3,836 | 619 | 0.44 | % | ||
Allstate Corp/The | 5,981 | 564 | 0.40 | % | ||
Honeywell International Inc | 3,585 | 552 | 0.40 | % | ||
Insulet Corp | (5,879 | ) | (552 | ) | (0.40 | )% |
Charter Communications Inc | (1,597 | ) | (551 | ) | (0.39 | )% |
Marvell Technology Group Ltd | (27,605 | ) | (551 | ) | (0.40 | )% |
McKesson Corp | 4,183 | 532 | 0.38 | % | ||
Under Armour Inc - Class A | (23,336 | ) | (526 | ) | (0.38 | )% |
QIAGEN NV | 13,662 | 525 | 0.38 | % | ||
Workday Inc | (2,622 | ) | (519 | ) | (0.37 | )% |
Foot LockerInc | 8,516 | 507 | 0.36 | % | ||
NIKE Inc | 5,882 | 504 | 0.36 | % |
See accompanying notes.
155
Schedule of Investments | ||||||
Multi-Manager Equity Long/Short Fund | ||||||
February 28, 2019 (unaudited) | ||||||
Description (continued) | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Exelixis Inc | 22,480 | 503 | 0.36 | % | ||
Fortinet Inc | 5,716 | 496 | 0.36 | % | ||
Public Service Enterprise Group Inc | 8,421 | 495 | 0.35 | % | ||
Cognizant Technology Solutions Corp | 6,973 | 495 | 0.35 | % | ||
Post Holdings Inc | (4,854 | ) | (495 | ) | (0.35 | )% |
(b) | ||||||
Top Underlying Securities3BMSGBP | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Unilever PLC | 25,696 | $ | 1,366 | 11.68 | % | |
BP PLC | 186,992 | 1,325 | 11.33 | % | ||
Anglo American PLC | 42,367 | 1,126 | 9.63 | % | ||
Sage Group PLC/The | 123,766 | 1,085 | 9.28 | % | ||
MeggittPLC | 124,074 | 887 | 7.59 | % | ||
B&M European Value Retail SA | 188,895 | 886 | 7.57 | % | ||
Carnival PLC | 12,912 | 722 | 6.17 | % | ||
Reckitt Benckiser Group PLC | 9,312 | 712 | 6.09 | % | ||
SmithsGroup PLC | 36,087 | 685 | 5.86 | % | ||
InterContinental Hotels Group PLC | 10,894 | 652 | 5.57 | % | ||
AstraZeneca PLC | 7,806 | 636 | 5.44 | % | ||
GlaxoSmithKline PLC | 22,091 | 439 | 3.75 | % | ||
Smith & Nephew PLC | 18,353 | 350 | 2.99 | % | ||
Rio Tinto PLC | 5,500 | 316 | 2.71 | % | ||
BHP Group PLC | 13,600 | 315 | 2.69 | % | ||
Smurfit Kappa Group PLC | 6,770 | 192 | 1.65 | % | ||
(c) | ||||||
Top Underlying Securities3BMSEUR | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Airbus SE | 17,387 | $ | 2,247 | 13.61 | % | |
LVMH Moet Hennessy Louis Vuitton SE | 6,531 | 2,243 | 13.60 | % | ||
Vinci SA | 21,322 | 2,035 | 12.33 | % | ||
Cie Generale des Etablissements Michelin SCA | 16,824 | 2,019 | 12.23 | % | ||
Schneider Electric SE | 19,271 | 1,500 | 9.09 | % | ||
AXA SA | 51,067 | 1,295 | 7.85 | % | ||
Pernod Ricard SA | 5,557 | 957 | 5.80 | % | ||
Electricite de France SA | 61,734 | 897 | 5.43 | % | ||
Capgemini SE | 6,609 | 791 | 4.79 | % | ||
Danone SA | 9,684 | 731 | 4.43 | % | ||
Accor SA | 15,020 | 634 | 3.84 | % | ||
Naturgy Energy Group SA | 19,820 | 538 | 3.26 | % | ||
Dassault Systemes SE | 2,906 | 425 | 2.58 | % | ||
Smurfit Kappa Group PLC | 6,769 | 192 | 1.16 | % | ||
(d) | ||||||
Top Underlying SecuritiesMAQMSCAD |
See accompanying notes.
156
Schedule of Investments | ||||||
Multi-Manager Equity Long/Short Fund | ||||||
February 28, 2019 (unaudited) | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Enbridge Inc | (20,533 | ) $ | (760 | ) | (10.28 | )% |
Air Canada | 22,224 | 559 | 7.57 | % | ||
TransCanada Corp | (10,951 | ) | (490 | ) | (6.63 | )% |
First Quantum Minerals Ltd | (36,582 | ) | (419 | ) | (5.68 | )% |
Methanex Corp | 6,022 | 339 | 4.59 | % | ||
Wheaton Precious Metals Corp | (13,699 | ) | (298 | ) | (4.03 | )% |
Magna International Inc | 4,883 | 258 | 3.49 | % | ||
West Fraser Timber Co Ltd | 4,766 | 235 | 3.18 | % | ||
Dollarama Inc | 8,447 | 229 | 3.10 | % | ||
Cenovus Energy Inc | (24,500 | ) | (225 | ) | (3.04 | )% |
Canadian Tire Corp Ltd | 1,821 | 201 | 2.72 | % | ||
CGI Inc | 2,760 | 185 | 2.51 | % | ||
Cameco Corp | (14,540 | ) | (169 | ) | (2.28 | )% |
AltaGasLtd | (12,380 | ) | (166 | ) | (2.25 | )% |
Keyera Corp | (6,713 | ) | (165 | ) | (2.23 | )% |
AgnicoEagle Mines Ltd | (3,512 | ) | (149 | ) | (2.02 | )% |
Pembina Pipeline Corp | (3,643 | ) | (133 | ) | (1.81 | )% |
Canadian Imperial Bank of Commerce | 1,316 | 112 | 1.51 | % | ||
Alimentation Couche-Tard Inc | 1,728 | 97 | 1.32 | % | ||
Linamar Corp | 2,469 | 97 | 1.31 | % | ||
BRP Inc | 3,202 | 96 | 1.30 | % | ||
Canadian Pacific Railway Ltd | 446 | 92 | 1.25 | % | ||
Encana Corp | (12,448 | ) | (91 | ) | (1.24 | )% |
Empire Co Ltd | 3,704 | 86 | 1.17 | % | ||
National Bank of Canada | 1,743 | 82 | 1.11 | % | ||
Quebecor Inc | 3,292 | 80 | 1.08 | % | ||
Constellation Software Inc/Canada | 93 | 79 | 1.08 | % | ||
Canadian National Railway Co | 923 | 79 | 1.07 | % | ||
Genworth MI Canada Inc | 2,282 | 77 | 1.04 | % | ||
Ritchie Bros Auctioneers Inc | (2,063 | ) | (76 | ) | (1.03 | )% |
Franco-Nevada Corp | (968 | ) | (73 | ) | (0.99 | )% |
PrairieSkyRoyalty Ltd | (4,729 | ) | (69 | ) | (0.93 | )% |
Inter Pipeline Ltd | (3,950 | ) | (64 | ) | (0.86 | )% |
Atco Ltd/Canada | 1,832 | 62 | 0.83 | % | ||
Brookfield Asset ManagementInc | (1,344 | ) | (61 | ) | (0.82 | )% |
Loblaw Cos Ltd | 1,184 | 59 | 0.80 | % | ||
Maple Leaf FoodsInc | 2,781 | 59 | 0.79 | % | ||
Finning International Inc | 2,865 | 53 | 0.72 | % | ||
Gildan Activewear Inc | 1,389 | 50 | 0.67 | % | ||
Element Fleet Management Corp | (8,620 | ) | (49 | ) | (0.67 | )% |
Teck Resources Ltd | 2,173 | 49 | 0.66 | % | ||
Husky Energy Inc | 4,198 | 47 | 0.63 | % | ||
Shopify Inc | (216 | ) | (41 | ) | (0.55 | )% |
Bank of Montreal | 517 | 40 | 0.55 | % | ||
Restaurant Brands International Inc | (617 | ) | (39 | ) | (0.53 | )% |
WSP Global Inc | 700 | 37 | 0.50 | % | ||
Stantec Inc | (1,386 | ) | (34 | ) | (0.46 | )% |
Whitecap Resources Inc | (7,806 | ) | (29 | ) | (0.39 | )% |
Saputo Inc | (851 | ) | (28 | ) | (0.38 | )% |
Barrick Gold Corp | (2,140 | ) | (27 | ) | (0.37 | )% |
(e) | ||||||
Top Underlying SecuritiesMAQMSCHF |
See accompanying notes.
157
Schedule of Investments | ||||||
Multi-Manager Equity Long/Short Fund | ||||||
February 28, 2019 (unaudited) | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Temenos AG | 4,012 | $ | 582 | 12.80 | % | |
Credit Suisse Group AG | (33,616 | ) | (416 | ) | (9.15 | )% |
Vifor Pharma AG | (3,049 | ) | (382 | ) | (8.40 | )% |
Roche Holding AG | 1,336 | 371 | 8.17 | % | ||
Nestle SA | 4,058 | 367 | 8.09 | % | ||
Zurich Insurance Group AG | 972 | 321 | 7.07 | % | ||
LonzaGroup AG | (1,155 | ) | (321 | ) | (7.07 | )% |
Adecco Group AG | 4,881 | 254 | 5.58 | % | ||
ams AG | (6,784 | ) | (211 | ) | (4.64 | )% |
Cie Financiere Richemont SA | (2,750 | ) | (211 | ) | (4.64 | )% |
Sonova Holding AG | 918 | 172 | 3.78 | % | ||
Swiss Life Holding AG | 353 | 154 | 3.39 | % | ||
Swisscom AG | (323 | ) | (150 | ) | (3.29 | )% |
Julius Baer Group Ltd | (2,845 | ) | (124 | ) | (2.73 | )% |
Straumann Holding AG | (113 | ) | (88 | ) | (1.94 | )% |
LafargeHolcim Ltd | (1,278 | ) | (63 | ) | (1.40 | )% |
Givaudan SA | (22 | ) | (55 | ) | (1.21 | )% |
Barry Callebaut AG | 19 | 33 | 0.72 | % | ||
Sunrise Communications Group AG | (441 | ) | (33 | ) | (0.72 | )% |
IdorsiaLtd | (1,701 | ) | (29 | ) | (0.64 | )% |
Geberit AG | (64 | ) | (26 | ) | (0.56 | )% |
GAM Holding AG | 6,089 | 24 | 0.53 | % | ||
Baloise Holding AG | 139 | 23 | 0.50 | % | ||
Helvetia Holding AG | 37 | 22 | 0.49 | % | ||
OC Oerlikon Corp AG | (1,644 | ) | (22 | ) | (0.48 | )% |
DKSH Holding AG | 261 | 15 | 0.34 | % | ||
EMS-Chemie Holding AG | (23 | ) | (13 | ) | (0.29 | )% |
Partners Group Holding AG | (18 | ) | (13 | ) | (0.29 | )% |
Sulzer AG | (129 | ) | (13 | ) | (0.28 | )% |
Sika AG | (94 | ) | (13 | ) | (0.28 | )% |
dormakaba Holding AG | (19 | ) | (12 | ) | (0.27 | )% |
Kuehne + Nagel International AG | (91 | ) | (12 | ) | (0.26 | )% |
(f) | ||||||
Top Underlying SecuritiesMAQMSGBP | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Micro Focus International PLC | (25,920 | ) $ | (643 | ) | (5.79 | )% |
HSBC Holdings PLC | (65,699 | ) | (534 | ) | (4.80 | )% |
BT Group PLC | 186,000 | 530 | 4.76 | % | ||
National Grid PLC | 43,970 | 494 | 4.45 | % | ||
Burberry Group PLC | 18,585 | 466 | 4.19 | % | ||
Centrica PLC | 266,274 | 440 | 3.95 | % | ||
John Wood Group PLC | (54,213 | ) | (374 | ) | (3.36 | )% |
Melrose Industries PLC | (145,085 | ) | (335 | ) | (3.01 | )% |
ASOS PLC | (7,254 | ) | (307 | ) | (2.76 | )% |
EvrazPLC | 39,739 | 298 | 2.68 | % | ||
NMC Health PLC | (7,846 | ) | (281 | ) | (2.53 | )% |
Vodafone Group PLC | 126,889 | 226 | 2.03 | % | ||
Hargreaves Lansdown PLC | (9,287 | ) | (215 | ) | (1.93 | )% |
BP PLC | 28,064 | 199 | 1.79 | % | ||
Whitbread PLC | (2,856 | ) | (184 | ) | (1.65 | )% |
Moneysupermarket.com Group PLC | 38,285 | 175 | 1.57 | % | ||
CobhamPLC | (100,057 | ) | (156 | ) | (1.40 | )% |
See accompanying notes.
158
Schedule of Investments | ||||||
Multi-Manager Equity Long/Short Fund | ||||||
February 28, 2019 (unaudited) | ||||||
Description (continued) | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
DraxGroup PLC | 31,325 | 152 | 1.36 | % | ||
William Hill PLC | 60,670 | 151 | 1.36 | % | ||
Weir Group PLC/The | (6,667 | ) | (145 | ) | (1.30 | )% |
Close Brothers Group PLC | 7,205 | 144 | 1.30 | % | ||
Prudential PLC | (6,608 | ) | (139 | ) | (1.25 | )% |
Royal Dutch Shell PLC - A Shares | 4,382 | 137 | 1.23 | % | ||
WH Smith PLC | 4,890 | 136 | 1.22 | % | ||
SSE PLC | (8,468 | ) | (133 | ) | (1.20 | )% |
Merlin Entertainments PLC | (27,208 | ) | (130 | ) | (1.17 | )% |
ConvaTecGroup PLC | (73,455 | ) | (129 | ) | (1.16 | )% |
GVC Holdings PLC | (14,640 | ) | (127 | ) | (1.15 | )% |
Investec PLC | 18,389 | 120 | 1.08 | % | ||
Rio Tinto PLC | 2,015 | 116 | 1.04 | % | ||
IndiviorPLC | 80,697 | 115 | 1.03 | % | ||
Man Group PLC | 62,307 | 114 | 1.03 | % | ||
Hays PLC | 56,103 | 113 | 1.02 | % | ||
Inchcape PLC | 14,527 | 109 | 0.98 | % | ||
Rentokil Initial PLC | (23,345 | ) | (109 | ) | (0.98 | )% |
Just Eat PLC | (10,905 | ) | (108 | ) | (0.97 | )% |
OcadoGroup PLC | (7,802 | ) | (107 | ) | (0.96 | )% |
MeggittPLC | 14,833 | 106 | 0.95 | % | ||
InformaPLC | (11,183 | ) | (105 | ) | (0.94 | )% |
Glencore PLC | (22,627 | ) | (91 | ) | (0.82 | )% |
Mondi PLC | 3,948 | 91 | 0.81 | % | ||
Standard Life Aberdeen PLC | 27,033 | 88 | 0.79 | % | ||
MediclinicInternational PLC | (20,471 | ) | (86 | ) | (0.78 | )% |
Royal Bank of Scotland Group PLC | (24,410 | ) | (86 | ) | (0.77 | )% |
Royal Mail PLC | 22,069 | 83 | 0.74 | % | ||
BHP Group PLC | 3,570 | 83 | 0.74 | % | ||
Sage Group PLC/The | (9,292 | ) | (81 | ) | (0.73 | )% |
Admiral Group PLC | (2,809 | ) | (81 | ) | (0.73 | )% |
St James's Place PLC | (6,204 | ) | (80 | ) | (0.72 | )% |
Bunzl PLC | (2,327 | ) | (73 | ) | (0.66 | )% |
(g) | ||||||
Top Underlying SecuritiesMAQMSEUR | ||||||
Description | Shares | Notional Amount | % of Total Absolute Notional Amount | |||
Deutsche Lufthansa AG | 33,142 | $ | 846 | 3.06 | % | |
Deutsche Bank AG | (82,470 | ) | (766 | ) | (2.77 | )% |
Valeo SA | (23,538 | ) | (743 | ) | (2.69 | )% |
Koninklijke Ahold Delhaize NV | 28,534 | 736 | 2.66 | % | ||
Endesa SA | 27,349 | 689 | 2.50 | % | ||
Engie SA | 43,500 | 656 | 2.37 | % | ||
Covestro AG | 11,343 | 647 | 2.34 | % | ||
Neste Oyj | 6,604 | 635 | 2.30 | % | ||
E.ON SE | 56,647 | 624 | 2.26 | % | ||
AXA SA | 22,875 | 580 | 2.10 | % | ||
Anheuser-Busch InBev SA/NV | (7,094 | ) | (553 | ) | (2.00 | )% |
TOTAL SA | 9,379 | 533 | 1.93 | % | ||
Repsol SA | 30,732 | 529 | 1.91 | % | ||
Iberdrola SA | 63,160 | 528 | 1.91 | % | ||
Allianz SE | 2,259 | 503 | 1.82 | % | ||
Cellnex Telecom SA | (18,431 | ) | (477 | ) | (1.72 | )% |
See accompanying notes.
159
Schedule of Investments | ||||||||||||||||||||
Multi-Manager Equity Long/Short Fund | ||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||
Description (continued) | Shares | Notional Amount | % of Total Absolute Notional Amount | |||||||||||||||||
Peugeot SA | 16,964 | 431 | 1.56 | % | ||||||||||||||||
Infineon Technologies AG | (19,571 | ) | (430 | ) | (1.56 | )% | ||||||||||||||
Zalando SE | (11,109 | ) | (409 | ) | (1.48 | )% | ||||||||||||||
Vivendi SA | (13,370 | ) | (391 | ) | (1.41 | )% | ||||||||||||||
Wirecard AG | 2,761 | 378 | 1.37 | % | ||||||||||||||||
Atos SE | 3,903 | 375 | 1.36 | % | ||||||||||||||||
Daimler AG | (6,121 | ) | (367 | ) | (1.33 | )% | ||||||||||||||
OSRAM Licht AG | (8,308 | ) | (360 | ) | (1.30 | )% | ||||||||||||||
Iliad SA | (3,443 | ) | (358 | ) | (1.30 | )% | ||||||||||||||
QIAGEN NV | (9,172 | ) | (351 | ) | (1.27 | )% | ||||||||||||||
Industria de Diseno Textil SA | (11,595 | ) | (350 | ) | (1.27 | )% | ||||||||||||||
Rheinmetall AG | 3,260 | 349 | 1.26 | % | ||||||||||||||||
ASML Holding NV | (1,894 | ) | (347 | ) | (1.26 | )% | ||||||||||||||
ASR Nederland NV | 7,792 | 343 | 1.24 | % | ||||||||||||||||
Edenred | (7,736 | ) | (343 | ) | (1.24 | )% | ||||||||||||||
Signify NV | 12,908 | 343 | 1.24 | % | ||||||||||||||||
SES SA | 16,090 | 323 | 1.17 | % | ||||||||||||||||
UPM-Kymmene OYJ | 10,666 | 322 | 1.17 | % | ||||||||||||||||
Banco Santander SA | (58,650 | ) | (287 | ) | (1.04 | )% | ||||||||||||||
Bankia SA | (92,365 | ) | (282 | ) | (1.02 | )% | ||||||||||||||
UCB SA | 3,360 | 282 | 1.02 | % | ||||||||||||||||
Eurofins Scientific SE | (637 | ) | (268 | ) | (0.97 | )% | ||||||||||||||
Continental AG | (1,610 | ) | (264 | ) | (0.95 | )% | ||||||||||||||
GEA Group AG | (10,929 | ) | (262 | ) | (0.95 | )% | ||||||||||||||
SAP SE | 2,420 | 259 | 0.94 | % | ||||||||||||||||
Getlink SE | (17,378 | ) | (257 | ) | (0.93 | )% | ||||||||||||||
Ingenico Group SA | (3,572 | ) | (240 | ) | (0.87 | )% | ||||||||||||||
Ageas | 4,543 | 224 | 0.81 | % | ||||||||||||||||
Grifols SA | (8,550 | ) | (222 | ) | (0.81 | )% | ||||||||||||||
Sartorius AG | (1,367 | ) | (217 | ) | (0.79 | )% | ||||||||||||||
ArcelorMittal | 9,100 | 209 | 0.76 | % | ||||||||||||||||
NN Group NV | 4,770 | 208 | 0.75 | % | ||||||||||||||||
Altran Technologies SA | (19,047 | ) | (202 | ) | (0.73 | )% | ||||||||||||||
thyssenkrupp AG | (13,052 | ) | (195 | ) | (0.71 | )% | ||||||||||||||
Total Return Swaps | ||||||||||||||||||||
Value and | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Upfront | Appreciation/ | |||||||||||||||||||
Pay/Receive | Payment | Expiration | Notional | Payments/ | (Depreciation) | |||||||||||||||
Counterparty | Reference Entity | Contracts | Positive Return | Financing Rate | Frequency | Date | Amount | (Receipts) | Asset---- Liability | |||||||||||
Merrill Lynch | MSCI Hong Kong Net | 36 | Receive | 1 Month Hong | Monthly | 03/20/2019 | HKD | 3,262 $ | — $ | 4 | $ | — | ||||||||
Return HKD Index | Kong Interbank | |||||||||||||||||||
Offered Rate + | ||||||||||||||||||||
0.05 | % | |||||||||||||||||||
Merrill Lynch | MSCI Italy Net Return | 1,600 | Receive | 1 Month Euro | Monthly | 03/20/2019 | EUR | 156 | — | 4 | — | |||||||||
EUR Index | Interbank Offered | |||||||||||||||||||
Rate - 0.06% | ||||||||||||||||||||
Merrill Lynch | MSCI Japan Net Return | 34 | Receive | 1 Month JPY | Monthly | 03/20/2019 | JPY | 64 | — | — | — | |||||||||
JPY Index | LIBOR - 0.20% | |||||||||||||||||||
Morgan Stanley & Co | MSCI Singapore Net | 22 | Receive | 1 Month Singapore | Monthly | 03/20/2019 | SGD | 126 | — | — | (3 | ) | ||||||||
Return SGD Index | Interbank Offered | |||||||||||||||||||
Rate + 0.30% | ||||||||||||||||||||
Total | $ | — $ | 8 | $ | (3 | ) | ||||||||||||||
Amounts in thousands except contracts |
See accompanying notes.
160
Schedule of Investments | |||||||||||||
Multi-Manager Equity Long/Short Fund | |||||||||||||
February 28, 2019 (unaudited) | |||||||||||||
Synthetic Futures | |||||||||||||
Upfront | Unrealized | ||||||||||||
Notional | Payments/ | Appreciation/ | Fair Value | ||||||||||
Counterparty | Reference Entity | Expiration Date | Amount | (Receipts) | (Depreciation) | Asset----Liability | |||||||
Morgan Stanley & Co | Swiss Market Index Future; March 2019 | 03/18/2019 | $ | 1,121 | $ | — $ | 93 | $ | 10 | $ | — | ||
Total | $ | — $ | 93 | $ | 10 | $ | — | ||||||
Amounts in thousands. |
See accompanying notes.
161
Schedule of Investments Multi-Manager Equity Long/Short Fund February 28, 2019 (unaudited)
Short Sales Outstanding | ||||||||||||||
COMMON STOCKS - (35.88)% | Shares | Value (000's) | COMMON STOCKS (continued) | Shares | Value (000’s) | |||||||||
Aerospace & Defense - (0.43)% | Biotechnology (continued) | |||||||||||||
Harris Corp | 1,739 | $ | 287 | Vertex Pharmaceuticals Inc | 5,151 | $ | 972 | |||||||
Kawasaki Heavy Industries Ltd | 2,600 | 67 | $ | 3,815 | ||||||||||
Leonardo SpA | 19,327 | 195 | Building Materials - (0.25)% | |||||||||||
United Technologies Corp | 4,929 | 619 | Buzzi Unicem SpA | 8,446 | 165 | |||||||||
$ | 1,168 | Daikin Industries Ltd | 1,200 | 131 | ||||||||||
Agriculture - (0.02)% | Martin Marietta Materials Inc | 857 | 161 | |||||||||||
Golden Agri-Resources Ltd | 19,100 | 4 | TOTO Ltd | 2,900 | 110 | |||||||||
Japan Tobacco Inc | 2,600 | 66 | Vulcan Materials Co | 1,085 | 121 | |||||||||
$ | 70 | $ | 688 | |||||||||||
Airlines - (0.17)% | Chemicals - (1.21)% | |||||||||||||
Alaska Air Group Inc | 1,820 | 112 | Air Products & Chemicals Inc | 4,060 | 736 | |||||||||
United Continental Holdings Inc | 4,030 | 354 | Albemarle Corp | 2,110 | 193 | |||||||||
$ | 466 | Hitachi Chemical Co Ltd | 3,100 | 56 | ||||||||||
Apparel - (0.35)% | International Flavors & Fragrances Inc | 1,580 | 201 | |||||||||||
Asics Corp | 13,800 | 184 | Kansai Paint Co Ltd | 15,300 | 282 | |||||||||
NIKE Inc | 8,853 | 759 | Kuraray Co Ltd | 7,000 | 94 | |||||||||
$ | 943 | Linde PLC | 750 | 130 | ||||||||||
Automobile Manufacturers - (0.80)% | LyondellBasell Industries NV | 5,451 | 466 | |||||||||||
Ferrari NV | 5,186 | 667 | Nippon Paint Holdings Co Ltd | 8,600 | 332 | |||||||||
Ford Motor Co | 58,789 | 516 | Nissan Chemical Corp | 1,600 | 81 | |||||||||
Nissan Motor Co Ltd | 15,000 | 130 | Novozymes A/S | 3,617 | 164 | |||||||||
PACCAR Inc | 965 | 65 | Shin-Etsu Chemical Co Ltd | 200 | 17 | |||||||||
Suzuki Motor Corp | 6,000 | 308 | Showa Denko KK | 7,700 | 288 | |||||||||
Toyota Motor Corp | 8,200 | 496 | Taiyo Nippon Sanso Corp | 1,100 | 16 | |||||||||
$ | 2,182 | Toray Industries Inc | 36,400 | 253 | ||||||||||
Automobile Parts & Equipment - (0.51)% | $ | 3,309 | ||||||||||||
Brembo SpA | 8,239 | 100 | Commercial Services - (0.95)% | |||||||||||
Bridgestone Corp | 1,700 | 67 | Atlantia SpA | 765 | 19 | |||||||||
Denso Corp | 6,000 | 259 | Cintas Corp | 302 | 62 | |||||||||
Koito Manufacturing Co Ltd | 1,900 | 110 | Equifax Inc | 1,871 | 205 | |||||||||
NGK Spark Plug Co Ltd | 6,300 | 134 | FleetCor Technologies Inc | 1,341 | 313 | |||||||||
Nifco Inc/Japan | 800 | 20 | Gartner Inc | 1,318 | 188 | |||||||||
Pirelli & C SpA | 23,553 | 158 | Global Payments Inc | 3,037 | 396 | |||||||||
Sumitomo Electric Industries Ltd | 2,800 | 39 | IHS Markit Ltd | 6,114 | 325 | |||||||||
Toyota Industries Corp | 5,000 | 258 | ISS A/S | 1,595 | 50 | |||||||||
Yokohama Rubber Co Ltd/The | 10,100 | 207 | Park24 Co Ltd | 2,800 | 67 | |||||||||
$ | 1,352 | Recruit Holdings Co Ltd | 400 | 11 | ||||||||||
Banks - (0.57)% | Rollins Inc | 5,077 | 201 | |||||||||||
Banco BPM SpA | 77,769 | 188 | Total System Services Inc | 2,830 | 267 | |||||||||
Bank of Kyoto Ltd/The | 3,100 | 139 | United Rentals Inc | 1,264 | 170 | |||||||||
Chiba Bank Ltd/The | 7,300 | 44 | Verisk Analytics Inc | 2,244 | 284 | |||||||||
Fukuoka Financial Group Inc | 1,900 | 41 | $ | 2,558 | ||||||||||
Intesa Sanpaolo SpA | 158,170 | 390 | Computers - (0.22)% | |||||||||||
Japan Post Bank Co Ltd | 4,300 | 48 | Fortinet Inc | 1,900 | 165 | |||||||||
Morgan Stanley | 947 | 40 | TDK Corp | 5,200 | 408 | |||||||||
Regions Financial Corp | 10,069 | 165 | Western Digital Corp | 684 | 34 | |||||||||
Seven Bank Ltd | 23,900 | 70 | $ | 607 | ||||||||||
Shizuoka Bank Ltd/The | 3,700 | 29 | Consumer Products - (0.26)% | |||||||||||
Suruga Bank Ltd | 17,700 | 85 | Clorox Co/The | 639 | 101 | |||||||||
Unione di Banche Italiane SpA | 96,843 | 288 | Kimberly-Clark Corp | 5,189 | 606 | |||||||||
$ | 1,527 | $ | 707 | |||||||||||
Beverages - (0.49)% | Cosmetics & Personal Care - (0.42)% | |||||||||||||
Asahi Group Holdings Ltd | 300 | 13 | Coty Inc | 14,305 | 157 | |||||||||
Brown-Forman Corp - B Shares | 7,451 | 369 | Estee Lauder Cos Inc/The | 5,195 | 815 | |||||||||
Coca-Cola Bottlers Japan Holdings Inc | 1,700 | 44 | Kao Corp | 1,700 | 129 | |||||||||
Davide Campari-Milano SpA | 11,910 | 114 | Pigeon Corp | 700 | 29 | |||||||||
Ito En Ltd | 300 | 14 | Shiseido Co Ltd | 200 | 13 | |||||||||
Molson Coors Brewing Co | 3,092 | 191 | $ | 1,143 | ||||||||||
Monster Beverage Corp | 7,807 | 498 | Distribution & Wholesale - (0.18)% | |||||||||||
Suntory Beverage & Food Ltd | 1,700 | 75 | Copart Inc | 3,837 | 225 | |||||||||
$ | 1,318 | Fastenal Co | 4,452 | 280 | ||||||||||
Biotechnology - (1.42)% | $ | 505 | ||||||||||||
Alexion Pharmaceuticals Inc | 2,118 | 287 | Diversified Financial Services - (0.41)% | |||||||||||
Amgen Inc | 677 | 129 | Acom Co Ltd | 35,700 | 123 | |||||||||
Genmab A/S | 3,540 | 611 | AEON Financial Service Co Ltd | 7,400 | 146 | |||||||||
Illumina Inc | 2,172 | 679 | Cboe Global Markets Inc | 1,731 | 166 | |||||||||
Incyte Corp | 4,384 | 378 | CME Group Inc | 2,860 | 520 | |||||||||
Regeneron Pharmaceuticals Inc | 1,762 | 759 | Nomura Holdings Inc | 35,100 | 137 |
See accompanying notes.
162
Schedule of Investments | |||||||||||||
Multi-Manager Equity Long/Short Fund | |||||||||||||
February 28, 2019 (unaudited) | |||||||||||||
Short Sales Outstanding | |||||||||||||
COMMON STOCKS (continued) | Shares | Value (000’s) | COMMON STOCKS (continued) | Shares | Value (000’s) | ||||||||
Diversified Financial Services (continued) | Hand & Machine Tools - (0.08)% | ||||||||||||
Orient Corp | 24,300 | $ | 27 | Disco Corp | 700 | $ | 97 | ||||||
$ | 1,119 | Makita Corp | 2,900 | 103 | |||||||||
Electric - (1.41)% | $ | 200 | |||||||||||
Alliant Energy Corp | 4,041 | 185 | Healthcare - Products - (2.79)% | ||||||||||
Ameren Corp | 1,238 | 88 | ABIOMED Inc | 814 | 272 | ||||||||
American Electric Power Co Inc | 6,997 | 568 | Align Technology Inc | 1,527 | 395 | ||||||||
CenterPoint Energy Inc | 2,059 | 62 | Asahi Intecc Co Ltd | 5,700 | 274 | ||||||||
Chugoku Electric Power Co Inc/The | 17,100 | 222 | Baxter International Inc | 5,446 | 407 | ||||||||
CMS Energy Corp | 4,104 | 223 | Becton Dickinson and Co | 2,290 | 570 | ||||||||
Consolidated Edison Inc | 4,823 | 398 | Boston Scientific Corp | 21,461 | 861 | ||||||||
Entergy Corp | 3,200 | 299 | DENTSPLY SIRONA Inc | 3,289 | 137 | ||||||||
Hokuriku Electric Power Co | 27,000 | 230 | Edwards Lifesciences Corp | 3,971 | 672 | ||||||||
Kyushu Electric Power Co Inc | 11,700 | 139 | Hologic Inc | 5,269 | 248 | ||||||||
PPL Corp | 10,170 | 327 | IDEXX Laboratories Inc | 1,753 | 370 | ||||||||
Public Service Enterprise Group Inc | 3,655 | 215 | Intuitive Surgical Inc | 1,498 | 820 | ||||||||
Sempra Energy | 437 | 53 | ResMed Inc | 2,112 | 216 | ||||||||
Southern Co/The | 860 | 43 | Stryker Corp | 2,871 | 541 | ||||||||
WEC Energy Group Inc | 4,515 | 344 | TeleflexInc | 679 | 197 | ||||||||
Xcel Energy Inc | 7,248 | 398 | Terumo Corp | 9,200 | 565 | ||||||||
$ | 3,794 | ThermoFisher ScientificInc | 1,105 | 287 | |||||||||
Electrical Components & Equipment - (0.12)% | Varian Medical Systems Inc | 1,414 | 190 | ||||||||||
Casio Computer Co Ltd | 9,900 | 135 | William Demant Holding A/S | 515 | 15 | ||||||||
Prysmian SpA | 8,962 | 183 | Zimmer Biomet Holdings Inc | 3,815 | 474 | ||||||||
$ | 318 | $ | 7,511 | ||||||||||
Electronics - (1.02)% | Healthcare - Services - (0.66)% | ||||||||||||
Agilent Technologies Inc | 5,622 | 447 | Anthem Inc | 1,686 | 507 | ||||||||
Hirose Electric Co Ltd | 1,000 | 103 | Centene Corp | 1,264 | 77 | ||||||||
Hoya Corp | 2,900 | 177 | DaVita Inc | 2,362 | 134 | ||||||||
Mettler-Toledo International Inc | 483 | 329 | IQVIA Holdings Inc | 4,041 | 566 | ||||||||
Murata Manufacturing Co Ltd | 3,600 | 562 | PeptiDream Inc | 6,000 | 285 | ||||||||
Nidec Corp | 4,700 | 570 | Universal Health Services Inc | 1,434 | 199 | ||||||||
NOK Corp | 1,500 | 24 | $ | 1,768 | |||||||||
Omron Corp | 700 | 30 | Holding Companies - Diversified - 0.00% | ||||||||||
PerkinElmer Inc | 1,708 | 161 | Keppel Corp Ltd | 2,700 | 12 | ||||||||
Venture Corp Ltd | 3,600 | 47 | Home Builders - (0.14)% | ||||||||||
Waters Corp | 1,151 | 279 | DR Horton Inc | 5,835 | 227 | ||||||||
$ | 2,729 | PulteGroup Inc | 4,375 | 118 | |||||||||
Energy - Alternate Sources - (0.06)% | Sekisui House Ltd | 2,900 | 44 | ||||||||||
Vestas Wind Systems A/S | 2,059 | 172 | $ | 389 | |||||||||
Engineering & Construction - (0.20)% | Home Furnishings - (0.01)% | ||||||||||||
Jacobs Engineering Group Inc | 2,020 | 149 | Sharp Corp/Japan | 3,400 | 40 | ||||||||
Japan Airport Terminal Co Ltd | 4,800 | 191 | Insurance - (0.87)% | ||||||||||
JGC Corp | 12,700 | 185 | Arthur J Gallagher & Co | 2,643 | 212 | ||||||||
SATS Ltd | 3,300 | 13 | Brighthouse Financial Inc | 709 | 27 | ||||||||
$ | 538 | Chubb Ltd | 1,698 | 227 | |||||||||
Entertainment - (0.05)% | Cincinnati Financial Corp | 2,339 | 203 | ||||||||||
Oriental Land Co Ltd/Japan | 900 | 99 | Everest Re Group Ltd | 631 | 143 | ||||||||
Toho Co Ltd/Tokyo | 500 | 18 | MetLife Inc | 14,581 | 659 | ||||||||
$ | 117 | Sony Financial Holdings Inc | 12,600 | 239 | |||||||||
Food - (0.79)% | T&D Holdings Inc | 8,200 | 99 | ||||||||||
Aeon Co Ltd | 12,700 | 268 | Tokio Marine Holdings Inc | 1,700 | 83 | ||||||||
Calbee Inc | 9,300 | 258 | Tryg A/S | 1,137 | 31 | ||||||||
Chr Hansen Holding A/S | 2,961 | 301 | Willis Towers Watson PLC | 2,434 | 419 | ||||||||
Conagra Brands Inc | 7,277 | 170 | $ | 2,342 | |||||||||
JM Smucker Co/The | 790 | 84 | Internet - (0.71)% | ||||||||||
Kellogg Co | 1,255 | 71 | CyberAgent Inc | 2,500 | 78 | ||||||||
Kikkoman Corp | 5,600 | 279 | Expedia Group Inc | 2,922 | 360 | ||||||||
Lamb Weston Holdings Inc | 1,576 | 109 | Kakaku.com Inc | 5,500 | 106 | ||||||||
Mondelez International Inc | 11,552 | 545 | LINE Corp | 1,700 | 62 | ||||||||
Nissin Foods Holdings Co Ltd | 200 | 14 | M3 Inc | 25,300 | 419 | ||||||||
Wilmar International Ltd | 12,000 | 28 | MonotaRO Co Ltd | 4,500 | 107 | ||||||||
Yamazaki Baking Co Ltd | 600 | 10 | NetflixInc | 246 | 88 | ||||||||
$ | 2,137 | Symantec Corp | 11,474 | 258 | |||||||||
Gas - (0.12)% | Trend Micro Inc/Japan | 300 | 15 | ||||||||||
Atmos Energy Corp | 1,592 | 157 | TripAdvisor Inc | 2,782 | 148 | ||||||||
NiSource Inc | 6,429 | 173 | Twitter Inc | 8,047 | 248 | ||||||||
$ | 330 | Yahoo Japan Corp | 10,900 | 29 | |||||||||
$ | 1,918 |
See accompanying notes.
163
Schedule of Investments | |||||||||||||
Multi-Manager Equity Long/Short Fund | |||||||||||||
February 28, 2019 (unaudited) | |||||||||||||
Short Sales Outstanding | |||||||||||||
COMMON STOCKS (continued) | Shares | Value (000’s) | COMMON STOCKS (continued) | Shares | Value (000’s) | ||||||||
Iron & Steel - (0.03)% | Packaging & Containers - (0.05)% | ||||||||||||
Hitachi Metals Ltd | 8,200 | $ | 84 | Westrock Co | 3,673 | $ | 137 | ||||||
Leisure Products & Services - (0.50)% | Pharmaceuticals - (1.08)% | ||||||||||||
Harley-Davidson Inc | 2,304 | 86 | Allergan PLC | 6,000 | 826 | ||||||||
Royal Caribbean Cruises Ltd | 3,972 | 471 | Chugai Pharmaceutical Co Ltd | 4,300 | 293 | ||||||||
Shimano Inc | 3,300 | 502 | Daiichi Sankyo Co Ltd | 8,300 | 311 | ||||||||
Yamaha Corp | 4,300 | 212 | Kyowa Hakko Kirin Co Ltd | 2,700 | 52 | ||||||||
Yamaha Motor Co Ltd | 4,200 | 86 | McKesson Corp | 2,723 | 346 | ||||||||
$ | 1,357 | Otsuka Holdings Co Ltd | 5,500 | 230 | |||||||||
Lodging - (0.45)% | Perrigo Co PLC | 2,588 | 126 | ||||||||||
City Developments Ltd | 3,700 | 24 | Santen Pharmaceutical Co Ltd | 1,300 | 20 | ||||||||
Hilton Worldwide Holdings Inc | 418 | 35 | Sosei Group Corp | 1,200 | 13 | ||||||||
Marriott International Inc/MD | 4,855 | 608 | Zoetis Inc | 6,880 | 648 | ||||||||
MGM Resorts International | 10,803 | 289 | $ | 2,865 | |||||||||
Wynn Resorts Ltd | 1,965 | 249 | Pipelines - (0.36)% | ||||||||||
$ | 1,205 | ONEOK Inc | 7,181 | 461 | |||||||||
Machinery - Construction & Mining - (0.03)% | Williams Cos Inc/The | 18,768 | 501 | ||||||||||
Komatsu Ltd | 3,500 | 86 | $ | 962 | |||||||||
Machinery - Diversified - (1.29)% | Real Estate - (0.01)% | ||||||||||||
Daifuku Co Ltd | 11,300 | 557 | CapitaLand Ltd | 5,600 | 14 | ||||||||
Deere & Co | 733 | 120 | REITs - (2.07)% | ||||||||||
FANUC Corp | 1,400 | 232 | American Tower Corp | 6,608 | 1,164 | ||||||||
Keyence Corp | 1,400 | 819 | Boston Properties Inc | 594 | 79 | ||||||||
Kubota Corp | 3,900 | 53 | Crown Castle International Corp | 7,841 | 931 | ||||||||
Nabtesco Corp | 4,000 | 106 | Digital Realty Trust Inc | 2,955 | 334 | ||||||||
Rockwell Automation Inc | 1,735 | 310 | Equinix Inc | 1,507 | 638 | ||||||||
Roper Technologies Inc | 1,331 | 431 | Essex Property Trust Inc | 1,021 | 286 | ||||||||
SMC Corp/Japan | 400 | 140 | Extra Space Storage Inc | 1,346 | 129 | ||||||||
Xylem Inc/NY | 886 | 67 | Federal Realty Investment Trust | 806 | 108 | ||||||||
Yaskawa Electric Corp | 22,200 | 634 | HCP Inc | 606 | 19 | ||||||||
$ | 3,469 | Host Hotels & Resorts Inc | 874 | 17 | |||||||||
Media - (0.86)% | Iron Mountain Inc | 5,401 | 191 | ||||||||||
CBS Corp | 5,820 | 292 | Kimco Realty Corp | 8,121 | 143 | ||||||||
Charter Communications Inc | 2,692 | 929 | Macerich Co/The | 2,422 | 106 | ||||||||
Comcast Corp - Class A | 28,063 | 1,085 | Mid-America Apartment Communities Inc | 381 | 39 | ||||||||
Singapore Press Holdings Ltd | 9,500 | 17 | Public Storage | 1,365 | 289 | ||||||||
$ | 2,323 | Regency Centers Corp | 2,600 | 170 | |||||||||
Metal Fabrication & Hardware - (0.31)% | SBA Communications Corp | 2,226 | 402 | ||||||||||
MISUMI Group Inc | 10,800 | 263 | SL Green Realty Corp | 469 | 43 | ||||||||
Tenaris SA | 42,076 | 560 | Vornado Realty Trust | 2,711 | 182 | ||||||||
$ | 823 | Weyerhaeuser Co | 10,598 | 264 | |||||||||
Mining - (0.26)% | $ | 5,534 | |||||||||||
Freeport-McMoRan Inc | 20,753 | 268 | Retail - (2.56)% | ||||||||||
Mitsubishi Materials Corp | 1,400 | 38 | CarMax Inc | 2,664 | 165 | ||||||||
Newmont Mining Corp | 8,274 | 282 | Chipotle Mexican Grill Inc | 534 | 324 | ||||||||
Sumitomo Metal Mining Co Ltd | 4,500 | 132 | Cosmos Pharmaceutical Corp | 200 | 37 | ||||||||
$ | 720 | Darden Restaurants Inc | 1,921 | 215 | |||||||||
Miscellaneous Manufacturers - (0.39)% | Dollar Tree Inc | 3,919 | 378 | ||||||||||
General Electric Co | 79,360 | 825 | FamilyMart UNY Holdings Co Ltd | 20,000 | 572 | ||||||||
Parker-Hannifin Corp | 1,286 | 227 | Fast Retailing Co Ltd | 2,900 | 1,364 | ||||||||
$ | 1,052 | Foot Locker Inc | 1,759 | 105 | |||||||||
Office & Business Equipment - (0.29)% | Gap Inc/The | 5,925 | 151 | ||||||||||
Canon Inc | 7,100 | 204 | Isetan Mitsukoshi Holdings Ltd | 20,900 | 208 | ||||||||
Konica Minolta Inc | 2,300 | 22 | J Front Retailing Co Ltd | 3,100 | 34 | ||||||||
Ricoh Co Ltd | 52,500 | 534 | L Brands Inc | 1,968 | 51 | ||||||||
$ | 760 | Lawson Inc | 800 | 48 | |||||||||
Oil & Gas - (1.21)% | Lowe's Cos Inc | 6,715 | 706 | ||||||||||
Anadarko Petroleum Corp | 7,210 | 314 | Marui Group Co Ltd | 23,400 | 412 | ||||||||
Cabot Oil & Gas Corp | 7,809 | 192 | Nitori Holdings Co Ltd | 1,300 | 162 | ||||||||
Cimarex Energy Co | 1,918 | 138 | Pan Pacific International Holdings Corp | 6,200 | 371 | ||||||||
Concho Resources Inc | 3,105 | 342 | Ross Stores Inc | 3,917 | 371 | ||||||||
Diamondback Energy Inc | 2,348 | 242 | Tiffany & Co | 1,768 | 168 | ||||||||
EOG Resources Inc | 8,993 | 845 | Tsuruha Holdings Inc | 200 | 18 | ||||||||
Helmerich & Payne Inc | 2,204 | 119 | Ulta Beauty Inc | 241 | 75 | ||||||||
Marathon Petroleum Corp | 9,779 | 606 | USS Co Ltd | 700 | 13 | ||||||||
Noble Energy Inc | 8,623 | 191 | Walmart Inc | 9,206 | 911 | ||||||||
Pioneer Natural Resources Co | 2,049 | 289 | Welcia Holdings Co Ltd | 1,100 | 39 | ||||||||
$ | 3,278 | $ | 6,898 | ||||||||||
Oil & Gas Services - (0.05)% | |||||||||||||
TechnipFMC PLC | 6,418 | 143 |
See accompanying notes.
164
Schedule of Investments Multi-Manager Equity Long/Short Fund February 28, 2019 (unaudited)
Short Sales Outstanding | |||||||||||||
COMMON STOCKS (continued) | Shares | Value (000’s) | INVESTMENT COMPANIES - (5.89)% | Shares | Value (000's) | ||||||||
Semiconductors - (1.77)% | Exchange-Traded Funds - (5.89)% | ||||||||||||
Advanced Micro Devices Inc | 20,065 | $ | 472 | Consumer Discretionary Select Sector SPDR | 11,294 | $ | 1,245 | ||||||
Advantest Corp | 800 | 19 | Fund | ||||||||||
Analog Devices Inc | 5,433 | 581 | Industrial Select Sector SPDR Fund | 17,297 | 1,321 | ||||||||
Broadcom Inc | 2,329 | 641 | iShares Russell 1000 ETF | 16,325 | 2,534 | ||||||||
Hamamatsu Photonics KK | 2,000 | 71 | iShares U.S. Real Estate ETF | 5,791 | 487 | ||||||||
IPG Photonics Corp | 779 | 121 | SPDR S&P 500 ETF Trust | 16,037 | 4,469 | ||||||||
Maxim Integrated Products Inc | 4,093 | 223 | SPDR S&P Regional Banking ETF | 10,005 | 566 | ||||||||
NVIDIA Corp | 8,902 | 1,373 | Technology Select Sector SPDR Fund | 74,219 | 5,259 | ||||||||
QUALCOMM Inc | 18,015 | 962 | $ 15,881 | ||||||||||
STMicroelectronics NV | 7,151 | 117 | TOTAL INVESTMENT COMPANIES (proceeds $15,260) | $ 15,881 | |||||||||
Tokyo Electron Ltd | 1,200 | 164 | TOTAL SHORT SALES (proceeds $107,069) | $ 112,574 | |||||||||
$ | 4,744 | ||||||||||||
Software - (2.53)% | |||||||||||||
Adobe Inc | 1,771 | 465 | |||||||||||
Akamai Technologies Inc | 2,482 | 173 | |||||||||||
ANSYS Inc | 1,565 | 277 | |||||||||||
Autodesk Inc | 3,344 | 545 | |||||||||||
Broadridge Financial Solutions Inc | 1,665 | 169 | |||||||||||
Cadence Design Systems Inc | 3,012 | 172 | |||||||||||
Cerner Corp | 6,793 | 380 | |||||||||||
Citrix Systems Inc | 1,881 | 198 | |||||||||||
DeNA Co Ltd | 1,000 | 15 | |||||||||||
Fidelity National Information Services Inc | 821 | 89 | |||||||||||
Fiserv Inc | 6,220 | 527 | |||||||||||
Intuit Inc | 4,025 | 995 | |||||||||||
Konami Holdings Corp | 400 | 17 | |||||||||||
MSCI Inc | 1,131 | 209 | |||||||||||
Nexon Co Ltd | 7,100 | 113 | |||||||||||
Oracle Corp | 16,152 | 842 | |||||||||||
Paychex Inc | 3,631 | 280 | |||||||||||
Red Hat Inc | 3,276 | 598 | |||||||||||
salesforce.com Inc | 2,355 | 385 | |||||||||||
Synopsys Inc | 2,315 | 235 | |||||||||||
Take-Two Interactive Software Inc | 2,106 | 184 | |||||||||||
$ | 6,868 | ||||||||||||
Telecommunications - (0.04)% | |||||||||||||
Singapore Telecommunications Ltd | 44,200 | 98 | |||||||||||
Textiles - (0.05)% | |||||||||||||
Mohawk Industries Inc | 1,061 | 144 | |||||||||||
Toys, Games & Hobbies - (0.30)% | |||||||||||||
Nintendo Co Ltd | 2,900 | 795 | |||||||||||
Transportation - (1.69)% | |||||||||||||
AP Moller - Maersk A/S - B | 428 | 576 | |||||||||||
Dfds A/S | 392 | 18 | |||||||||||
FedEx Corp | 2,187 | 396 | |||||||||||
JB Hunt Transport Services Inc | 1,935 | 208 | |||||||||||
Kansas City Southern | 1,927 | 209 | |||||||||||
Keihan Holdings Co Ltd | 3,800 | 157 | |||||||||||
Keikyu Corp | 12,000 | 199 | |||||||||||
Keio Corp | 5,800 | 341 | |||||||||||
Keisei Electric Railway Co Ltd | 1,000 | 34 | |||||||||||
Kintetsu Group Holdings Co Ltd | 6,300 | 285 | |||||||||||
Mitsubishi Logistics Corp | 3,100 | 78 | |||||||||||
Nagoya Railroad Co Ltd | 6,300 | 174 | |||||||||||
Nankai Electric Railway Co Ltd | 3,000 | 81 | |||||||||||
Nippon Yusen KK | 3,600 | 57 | |||||||||||
Odakyu Electric Railway Co Ltd | 13,400 | 313 | |||||||||||
Seibu Holdings Inc | 10,100 | 180 | |||||||||||
Tobu Railway Co Ltd | 700 | 20 | |||||||||||
United Parcel Service Inc | 7,557 | 833 | |||||||||||
Yamato Holdings Co Ltd | 13,300 | 347 | |||||||||||
$ | 4,506 | ||||||||||||
Water - (0.01)% | |||||||||||||
American Water Works Co Inc | 352 | 36 | |||||||||||
TOTAL COMMON STOCKS (proceeds $91,809) | $ 96,693 |
See accompanying notes.
165
Schedule of Investments | |||||||||||
Opportunistic Municipal Fund | |||||||||||
February 28, 2019 (unaudited) | |||||||||||
INVESTMENT COMPANIES - 0.10% | Shares Held Value (000's) | Principal | |||||||||
Exchange-Traded Funds - 0.10% | MUNICIPAL BONDS (continued) | Amount (000’s) Value (000’s) | |||||||||
SPDR Nuveen S&P High Yield Municipal Bond | 1,040 | $ | 59 | Illinois (continued) | |||||||
ETF | City of Chicago IL | ||||||||||
VanEck Vectors High-Yield Municipal Index ETF | 500 | 31 | 5.50%, 01/01/2042 | $ | 300 | $ | 316 | ||||
VanEck Vectors Short High-Yield Municipal | 1,000 | 24 | 6.00%, 01/01/2038 | 1,900 | 2,134 | ||||||
Index ETF | 7.46%, 02/15/2026 | 1,807 | 1,319 | ||||||||
$ | 114 | City of Chicago IL Wastewater Transmission | |||||||||
TOTAL INVESTMENT COMPANIES | $ | 114 | Revenue | ||||||||
Principal | 5.00%, 01/01/2031 | 760 | 841 | ||||||||
MUNICIPAL BONDS - 103.56% | Amount (000's) Value (000's) | 5.00%, 01/01/2039 | 1,200 | 1,292 | |||||||
Alabama - 1.55% | Illinois Finance Authority | ||||||||||
Lower Alabama Gas District/The | 4.38%, 12/01/2042 | 300 | 281 | ||||||||
5.00%, 09/01/2034 | $ | 1,500 | $ | 1,736 | Illinois State Toll Highway Authority | ||||||
Arizona - 4.58% | 5.00%, 01/01/2040(d) | 5,000 | 5,538 | ||||||||
Navajo Nation | Metropolitan Pier & Exposition Authority | ||||||||||
5.50%, 12/01/2030(a) | 2,500 | 2,761 | 5.00%, 06/15/2057 | 500 | 521 | ||||||
Salt Verde Financial Corp | Metropolitan Pier & Exposition Authority (credit | ||||||||||
5.00%, 12/01/2032 | 2,000 | 2,370 | support from NATL) | ||||||||
$ | 5,131 | 5.50%, 06/15/2029(b) | 1,000 | 1,139 | |||||||
California - 4.56% | State of Illinois | ||||||||||
AbagFinance Authority for Nonprofit Corps | 5.00%, 10/01/2033 | 1,000 | 1,054 | ||||||||
5.00%, 08/01/2043 | 500 | 546 | 5.50%, 07/01/2027 | 1,150 | 1,232 | ||||||
California Statewide Communities Development | $ | 16,677 | |||||||||
Authority | Indiana - 1.45% | ||||||||||
5.25%, 12/01/2048(a) | 1,000 | 1,079 | Indiana Finance Authority | ||||||||
California Statewide Communities Development | 1.71%, 12/01/2039(c) | 300 | 300 | ||||||||
Authority (credit support from GNMA COLL) | 1.72%, 11/01/2037(c) | 1,000 | 1,000 | ||||||||
4.90%, 07/20/2039(b) | 500 | 513 | Town of Shoals IN | ||||||||
California Statewide Financing Authority | 7.25%, 11/01/2043 | 300 | 329 | ||||||||
6.00%, 05/01/2043 | 1,000 | 1,005 | $ | 1,629 | |||||||
La Verne Public Financing Authority | Louisiana - 1.83% | ||||||||||
7.25%, 09/01/2026 | 545 | 546 | Louisiana Local Government Environmental | ||||||||
Oakland Unified School District/Alameda County | Facilities & Community Development Authority | ||||||||||
5.00%, 08/01/2035 | 1,225 | 1,420 | 5.50%, 11/01/2039(a) | 1,000 | 1,018 | ||||||
$ | 5,109 | 5.65%, 11/01/2037(a) | 1,000 | 1,031 | |||||||
Colorado - 4.11% | Louisiana Public Facilities Authority | ||||||||||
Centerra Metropolitan District No 1 | 0.00%, 07/01/2039(e) | 278 | — | ||||||||
5.00%, 12/01/2037(a) | 1,000 | 1,014 | $ | 2,049 | |||||||
Eagle County Airport Terminal Corp | Maine - 0.96% | ||||||||||
5.00%, 05/01/2037 | 1,000 | 1,094 | Finance Authority of Maine | ||||||||
Prairie Farm Metropolitan District | 5.25%, 01/01/2025(a) | 1,000 | 1,077 | ||||||||
5.25%, 12/01/2048 | 1,000 | 987 | Maryland - 0.93% | ||||||||
Velocity Metropolitan District No 3 | City of Westminster MD | ||||||||||
5.50%, 12/01/2048 | 1,500 | 1,512 | 6.25%, 07/01/2044 | 600 | 638 | ||||||
$ | 4,607 | Maryland Economic Development Corp | |||||||||
Connecticut - 3.98% | 5.38%, 06/01/2025 | 390 | 408 | ||||||||
Connecticut State Health & Educational Facilities | $ | 1,046 | |||||||||
Authority | Michigan - 0.99% | ||||||||||
1.54%, 07/01/2036(c) | 2,000 | 2,000 | Michigan Finance Authority | ||||||||
Mohegan Tribal Finance Authority | 5.00%, 07/01/2035 | 1,000 | 1,107 | ||||||||
7.00%, 02/01/2045(a) | 2,400 | 2,462 | Missouri - 3.25% | ||||||||
$ | 4,462 | City of St Louis MO Airport Revenue (credit | |||||||||
Florida - 3.76% | support from NATL) | ||||||||||
Greater Orlando Aviation Authority | 5.50%, 07/01/2028(b) | 400 | 503 | ||||||||
5.00%, 10/01/2047(d) | 2,999 | 3,312 | Health & Educational Facilities Authority of the | ||||||||
Northern Palm Beach County Improvement | State of Missouri | ||||||||||
District | 5.00%, 02/01/2042 | 1,000 | 1,061 | ||||||||
5.00%, 08/01/2046 | 500 | 512 | Kansas City Industrial Development Authority | ||||||||
Orange County Housing Finance Authority | 5.00%, 04/01/2046(a) | 1,100 | 1,076 | ||||||||
7.00%, 10/01/2025 | 395 | 396 | Maryland Heights Industrial Development | ||||||||
$ | 4,220 | Authority | |||||||||
Georgia - 1.74% | 5.25%, 03/15/2046(a) | 1,000 | 1,005 | ||||||||
Atlanta Development Authority | $ | 3,645 | |||||||||
7.00%, 01/01/2040 | 2,000 | 1,948 | Montana - 1.29% | ||||||||
Illinois - 14.87% | City of Kalispell MT | ||||||||||
Chicago O'Hare International Airport | 5.25%, 05/15/2037 | 1,400 | 1,445 | ||||||||
4.00%, 01/01/2044 | 1,000 | 1,010 | Nevada - 2.25% | ||||||||
Las Vegas Convention & Visitors Authority | |||||||||||
5.00%, 07/01/2043(d) | 1,394 | 1,569 |
See accompanying notes.
166
Schedule of Investments Opportunistic Municipal Fund February 28, 2019 (unaudited)
Principal | Principal | ||||||||||
MUNICIPAL BONDS (continued) | Amount (000’s) Value (000’s) | MUNICIPAL BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||
Nevada (continued) | Oregon (continued) | ||||||||||
State of Nevada Department of Business & | Warm Springs Reservation Confederated Tribe | ||||||||||
Industry | 6.38%, 11/01/2033 | $ | 500 | $ | 510 | ||||||
5.13%, 12/15/2037(a) | $ | 1,000 | $ | 959 | $ | 1,496 | |||||
$ | 2,528 | Pennsylvania - 5.31% | |||||||||
New Jersey - 9.14% | Blythe Township Solid Waste Authority | ||||||||||
Casino Reinvestment Development Authority | 7.75%, 12/01/2037 | 1,000 | 1,063 | ||||||||
5.25%, 11/01/2039 | 250 | 266 | Commonwealth Financing Authority | ||||||||
Essex County Improvement Authority | 5.00%, 06/01/2028 | 1,000 | 1,187 | ||||||||
5.25%, 07/01/2045(a) | 1,300 | 1,305 | 5.00%, 06/01/2035 | 1,000 | 1,128 | ||||||
New Jersey Economic Development Authority | Lancaster County Hospital Authority/PA | ||||||||||
5.00%, 07/15/2028 | 500 | 557 | 5.00%, 07/01/2045 | 1,000 | 1,040 | ||||||
5.00%, 06/15/2047 | 500 | 523 | Pennsylvania Economic Development Financing | ||||||||
5.00%, 10/01/2047 | 1,000 | 1,055 | Authority | ||||||||
5.63%, 11/15/2030 | 1,500 | 1,693 | 5.50%, 11/01/2044 | 1,000 | 1,038 | ||||||
5.75%, 09/15/2027 | 500 | 550 | 6.00%, 06/01/2031 | 500 | 500 | ||||||
New Jersey Economic Development | $ | 5,956 | |||||||||
Authority (credit support from ST APPROP) | Puerto Rico - 0.85% | ||||||||||
5.25%, 06/15/2040(b) | 1,000 | 1,062 | Puerto Rico Sales Tax Financing Corp Sales Tax | ||||||||
New Jersey Transportation Trust Fund Authority | Revenue | ||||||||||
5.25%, 06/15/2032 | 2,000 | 2,171 | 5.00%, 07/01/2058 | 1,000 | 948 | ||||||
South Jersey Port Corp | South Carolina - 0.47% | ||||||||||
5.00%, 01/01/2048 | 1,000 | 1,064 | South Carolina Jobs-Economic Development | ||||||||
$ | 10,246 | Authority | |||||||||
New York - 6.47% | 5.25%, 11/15/2047 | 500 | 525 | ||||||||
Brooklyn Arena Local Development Corp | South Dakota - 0.45% | ||||||||||
6.25%, 07/15/2040 | 480 | 499 | Oglala Sioux Tribe | ||||||||
Glen Cove Local Economic Assistance Corp | 5.75%, 10/01/2025(a) | 500 | 501 | ||||||||
5.00%, 01/01/2056 | 1,000 | 1,023 | Tennessee - 3.21% | ||||||||
New York City Water & Sewer System | Chattanooga Health Educational & Housing | ||||||||||
1.73%, 06/15/2050(c) | 500 | 500 | Facility Board | ||||||||
New York Counties Tobacco Trust VI | 5.00%, 10/01/2028 | 1,050 | 1,179 | ||||||||
5.00%, 06/01/2041 | 400 | 422 | 5.00%, 10/01/2035 | 500 | 537 | ||||||
New York State Thruway Authority | Metropolitan Government Nashville & Davidson | ||||||||||
5.25%, 01/01/2056 | 1,000 | 1,115 | County Health & Educational Facilities Board | ||||||||
New York Transportation Development Corp | 5.00%, 07/01/2040 | 1,000 | 1,097 | ||||||||
5.00%, 08/01/2021 | 1,500 | 1,583 | Nashville Metropolitan Development & Housing | ||||||||
5.00%, 01/01/2034 | 1,000 | 1,129 | Agency | ||||||||
Niagara Area Development Corp | 5.13%, 06/01/2036(a) | 750 | 789 | ||||||||
4.75%, 11/01/2042(a) | 1,000 | 989 | $ | 3,602 | |||||||
$ | 7,260 | ||||||||||
North Carolina - 0.92% | Texas - 5.90% | ||||||||||
Arlington Higher Education Finance Corp | |||||||||||
North Carolina Medical Care Commission | 5.00%, 12/01/2046 | 1,100 | 1,164 | ||||||||
5.25%, 10/01/2035 | 1,000 | 1,034 | Harris County Cultural Education Facilities | ||||||||
Ohio - 6.37% | Finance Corp | ||||||||||
Buckeye Tobacco Settlement Financing Authority | 6.00%, 10/01/2043 | 1,075 | 1,175 | ||||||||
6.00%, 06/01/2042 | 2,500 | 2,407 | North Texas Tollway Authority | ||||||||
Buckeye Tobacco Settlement Financing | 5.00%, 01/01/2045 | 615 | 679 | ||||||||
Authority (credit support from BUCKEYE OHIO | 5.00%, 01/01/2048 | 500 | 552 | ||||||||
TOB SETTLEMENT) | Port Beaumont Navigation District | ||||||||||
5.75%, 06/01/2034(b) | 1,860 | 1,734 | 7.25%, 02/01/2036(a),(c) | 1,000 | 1,031 | ||||||
Cleveland-Cuyahoga County Port Authority | Tarrant County Cultural Education Facilities | ||||||||||
5.50%, 12/01/2043 | 1,000 | 1,105 | Finance Corp | ||||||||
Ohio Air Quality Development Authority | 6.00%, 11/15/2027 | 1,000 | 1,098 | ||||||||
3.75%, 12/01/2023 | 1,000 | 870 | Texas Private Activity Bond Surface | ||||||||
4.50%, 01/15/2048(a) | 1,000 | 1,025 | Transportation Corp | ||||||||
$ | 7,141 | 6.88%, 12/31/2039 | 550 | 571 | |||||||
Oklahoma - 2.23% | 7.00%, 12/31/2038 | 300 | 347 | ||||||||
Oklahoma Development Finance Authority | $ | 6,617 | |||||||||
5.25%, 08/15/2043 | 1,000 | 1,097 | Utah - 1.22% | ||||||||
Tulsa Airports Improvement Trust | Utah Infrastructure Agency | ||||||||||
5.00%, 06/01/2035(c) | 300 | 325 | 5.25%, 10/15/2033 | 1,250 | 1,365 | ||||||
Tulsa County Industrial Authority | Vermont - 1.16% | ||||||||||
5.25%, 11/15/2045 | 1,000 | 1,078 | Vermont Economic Development Authority | ||||||||
$ | 2,500 | 4.62%, 04/01/2036(a),(c) | 1,300 | 1,304 | |||||||
Oregon - 1.33% | Virginia - 0.95% | ||||||||||
Oregon State Business Development Commission | County of Botetourt VA | ||||||||||
6.50%, 04/01/2031(a) | 1,000 | 986 | 6.00%, 07/01/2044 | 1,000 | 1,068 |
See accompanying notes.
167
Schedule of Investments | ||||||
Opportunistic Municipal Fund | ||||||
February 28, 2019 (unaudited) | ||||||
Principal | ||||||
MUNICIPAL BONDS (continued) | Amount (000’s) | Value (000’s) | ||||
Washington - 1.47% | ||||||
Port of Seattle Industrial Development Corp | ||||||
5.00%, 04/01/2030 | $ | 500 | $ | 537 | ||
Washington Economic Development Finance | ||||||
Authority | ||||||
7.50%, 01/01/2032(a) | 1,000 | 1,112 | ||||
$ | 1,649 | |||||
Wisconsin - 4.01% | ||||||
Public Finance Authority | ||||||
4.00%, 08/01/2035 | 500 | 484 | ||||
5.00%, 12/01/2025 | 1,200 | 1,341 | ||||
5.25%, 04/01/2030 | 600 | 631 | ||||
Wisconsin Health & Educational Facilities | ||||||
Authority | ||||||
5.50%, 07/01/2023 | 100 | 99 | ||||
6.00%, 07/01/2028 | 170 | 168 | ||||
6.50%, 07/01/2033 | 300 | 292 | ||||
7.00%, 07/01/2043 | 500 | 488 | ||||
7.50%, 07/01/2053 | 1,000 | 992 | ||||
$ | 4,495 | |||||
TOTAL MUNICIPAL BONDS | $ | 116,123 | ||||
Total Investments | $ | 116,237 | ||||
Liability for Floating Rate Notes Issued in Conjunction with | ||||||
Securities Held - (4.84)% | ||||||
Notes with an interest rate of 1.82% - 1.94% at | $ | (5,428 | ) $ | (5,428 | ) | |
February 28, 2019 and contractual maturity of | ||||||
collateral from 2024-2026.(f) | ||||||
Total Net Investments | $ | 110,809 | ||||
Other Assets and Liabilities - 1.18% | 1,328 | |||||
TOTAL NET ASSETS - 100.00% | $ | 112,137 | ||||
(a) | Security exempt from registration under Rule 144A of the Securities Act of | |||||
1933. These securities may be resold in transactions exempt from registration, | ||||||
normally to qualified institutional buyers. At the end of the period, the value of | ||||||
these securities totaled $22,524 or 20.09% of net assets. | ||||||
(b) | Credit support indicates investments that benefit from credit enhancement or | |||||
liquidity support provided by a third party bank, institution, or government | ||||||
agency. | ||||||
(c) | Certain variable rate securities are not based on a published reference rate | |||||
and spread but are determined by the issuer or agent and are based on current | ||||||
market conditions. These securities do not indicate a reference rate and | ||||||
spread in their description. Rate shown is the rate in effect as of period end. | ||||||
(d) | Security or portion of underlying security related to Inverse Floaters | |||||
entered into by the Fund. See Notes to Financial Statements for additional | ||||||
information. | ||||||
(e) | Non-income producing security | |||||
(f) | Floating rate securities. The interest rate(s) shown reflect the rates in effect at | |||||
February 28, 2019. | ||||||
Portfolio Summary (unaudited) | ||||||
Sector | Percent | |||||
Revenue Bonds | 86.47 | % | ||||
General Obligation Unlimited | 5.49 | % | ||||
Insured | 4.43 | % | ||||
General Obligation Limited | 2.23 | % | ||||
Tax Allocation | 1.60 | % | ||||
Prerefunded | 1.25 | % | ||||
Certificate Participation | 1.18 | % | ||||
Special Assessment | 0.46 | % | ||||
Special Tax | 0.45 | % | ||||
Investment Companies | 0.10 | % | ||||
Liability For Floating Rate Notes Issued | (4.84 | )% | ||||
Other Assets and Liabilities | 1.18 | % | ||||
TOTAL NET ASSETS | 100.00 | % |
See accompanying notes.
168
Schedule of Investments | |||||||||||
Origin Emerging Markets Fund | |||||||||||
February 28, 2019 (unaudited) | |||||||||||
COMMON STOCKS - 96.84% | Shares Held Value (000's) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Apparel - 1.05% | Forest Products & Paper - 1.59% | ||||||||||
Shenzhou International Group Holdings Ltd | 463,000 | $ | 5,787 | Mondi PLC | 297,254 | $ | 6,805 | ||||
Automobile Manufacturers - 1.91% | Suzano Papel e Celulose SA | 150,522 | 1,923 | ||||||||
Geely Automobile Holdings Ltd | 3,645,500 | 6,847 | $ | 8,728 | |||||||
Sinotruk Hong Kong Ltd | 2,013,000 | 3,663 | Gas - 4.43% | ||||||||
$ | 10,510 | China Resources Gas Group Ltd | 2,917,800 | 12,678 | |||||||
Automobile Parts & Equipment - 0.54% | ENN Energy Holdings Ltd | 1,132,800 | 11,690 | ||||||||
Weichai Power Co Ltd | 2,144,500 | 2,986 | $ | 24,368 | |||||||
Banks - 10.65% | Holding Companies - Diversified - 0.68% | ||||||||||
Bank of Communications Co Ltd | 4,708,000 | 3,953 | Tekfen Holding AS | 758,000 | 3,740 | ||||||
China Construction Bank Corp | 10,401,328 | 9,260 | Insurance - 5.77% | ||||||||
China Merchants Bank Co Ltd | 3,277,600 | 15,041 | China Life Insurance Co Ltd/Taiwan | 3,162,700 | 2,949 | ||||||
Industrial & Commercial Bank of China Ltd | 12,119,400 | 9,347 | China Taiping Insurance Holdings Co Ltd | 1,236,000 | 3,827 | ||||||
Kiatnakin Bank PCL | 1,294,600 | 2,896 | Ping An Insurance Group Co of China Ltd | 1,781,200 | 18,830 | ||||||
OTP Bank Nyrt | 85,800 | 3,629 | Porto Seguro SA | 224,700 | 3,353 | ||||||
Sberbank of Russia PJSC ADR | 866,700 | 11,050 | Sul America SA | 340,000 | 2,775 | ||||||
Thanachart Capital PCL | 1,890,200 | 3,343 | $ | 31,734 | |||||||
$ | 58,519 | Internet - 8.16% | |||||||||
Building Materials - 4.79% | Alibaba Group Holding Ltd ADR(a) | 73,900 | 13,526 | ||||||||
Anhui Conch Cement Co Ltd | 2,341,900 | 13,387 | Autohome Inc ADR(a) | 48,400 | 4,552 | ||||||
China National Building Material Co Ltd | 2,712,300 | 2,163 | Baidu Inc ADR(a) | 42,700 | 6,941 | ||||||
China Resources Cement Holdings Ltd | 7,338,800 | 7,829 | Tencent Holdings Ltd | 462,605 | 19,810 | ||||||
Taiwan Cement Corp | 2,385,600 | 2,958 | $ | 44,829 | |||||||
$ | 26,337 | Iron & Steel - 4.09% | |||||||||
Chemicals - 3.79% | Kumba Iron Ore Ltd | 145,300 | 3,842 | ||||||||
Indorama Ventures PCL | 6,039,100 | 9,866 | Severstal PJSC | 152,400 | 2,354 | ||||||
Petronas Chemicals Group Bhd | 1,487,200 | 3,371 | Vale SA | 1,300,800 | 16,294 | ||||||
PTT Global Chemical PCL | 3,315,800 | 7,573 | $ | 22,490 | |||||||
$ | 20,810 | Mining - 1.26% | |||||||||
Coal - 2.75% | MMC Norilsk Nickel PJSC ADR | 322,000 | 6,945 | ||||||||
Bukit Asam Tbk PT | 9,295,000 | 2,631 | Oil & Gas - 10.04% | ||||||||
China Shenhua Energy Co Ltd | 3,748,900 | 9,238 | CNOOC Ltd | 7,984,800 | 13,868 | ||||||
Exxaro Resources Ltd | 298,400 | 3,213 | Ecopetrol SA | 1,986,000 | 2,011 | ||||||
$ | 15,082 | LUKOIL PJSC ADR | 119,300 | 9,920 | |||||||
Commercial Services - 2.87% | Novatek PJSC | 49,400 | 8,559 | ||||||||
China Conch Venture Holdings Ltd | 1,027,500 | 3,431 | PTT PCL | 7,337,900 | 11,264 | ||||||
Estacio Participacoes SA | 692,800 | 5,104 | SK Innovation Co Ltd | 32,166 | 5,367 | ||||||
Localiza Rent a Car SA | 790,830 | 7,226 | Tatneft PJSC ADR | 59,700 | 4,212 | ||||||
$ | 15,761 | $ | 55,201 | ||||||||
Computers - 5.14% | Pharmaceuticals - 1.93% | ||||||||||
Infosys Ltd ADR | 1,650,300 | 17,691 | Sino Biopharmaceutical Ltd | 6,293,600 | 5,462 | ||||||
Lenovo Group Ltd | 7,114,000 | 6,404 | TCI Co Ltd | 340,000 | 5,157 | ||||||
WNS Holdings Ltd ADR(a) | 79,000 | 4,171 | $ | 10,619 | |||||||
$ | 28,266 | Real Estate - 0.94% | |||||||||
Distribution & Wholesale - 0.49% | China Vanke Co Ltd | 1,365,000 | 5,177 | ||||||||
LG Corp | 40,100 | 2,673 | Retail - 1.60% | ||||||||
Diversified Financial Services - 5.85% | ANTA Sports Products Ltd | 1,498,000 | 8,782 | ||||||||
B3 SA - Brasil Bolsa Balcao | 642,000 | 5,634 | Semiconductors - 9.21% | ||||||||
Chailease Holding Co Ltd | 1,613,940 | 6,340 | Novatek Microelectronics Corp | 569,700 | 3,135 | ||||||
CTBC Financial Holding Co Ltd | 3,554,000 | 2,402 | Realtek Semiconductor Corp | 637,800 | 3,660 | ||||||
E.Sun Financial Holding Co Ltd | 4,001,800 | 2,868 | Samsung Electronics Co Ltd | 21,477 | 21,409 | ||||||
Hana Financial Group Inc | 79,600 | 2,748 | Taiwan Semiconductor Manufacturing Co Ltd | 573,717 | 22,404 | ||||||
KB Financial Group Inc | 110,500 | 4,355 | ADR | ||||||||
KIWOOM Securities Co Ltd | 33,976 | 2,442 | $ | 50,608 | |||||||
Shinhan Financial Group Co Ltd | 60,600 | 2,357 | Software - 1.15% | ||||||||
Taishin Financial Holding Co Ltd | 6,576,822 | 2,977 | Momo Inc ADR(a) | 190,800 | 6,329 | ||||||
$ | 32,123 | Telecommunications - 2.66% | |||||||||
Electronics - 2.44% | China Mobile Ltd | 1,142,000 | 12,062 | ||||||||
Micro-Star International Co Ltd | 2,374,800 | 6,286 | Megacable Holdings SAB de CV | 554,000 | 2,534 | ||||||
Radiant Opto-Electronics Corp | 964,000 | 2,869 | $ | 14,596 | |||||||
Zhen Ding Technology Holding Ltd | 1,483,000 | 4,262 | TOTAL COMMON STOCKS | $ | 532,242 | ||||||
$ | 13,417 | ||||||||||
Engineering & Construction - 0.49% | |||||||||||
Grupo Aeroportuario del Centro Norte SAB de | 470,900 | 2,683 | |||||||||
CV | |||||||||||
Food - 0.57% | |||||||||||
Dino Polska SA(a),(b) | 111,000 | 3,142 |
See accompanying notes.
169
Schedule of Investments Origin Emerging Markets Fund February 28, 2019 (unaudited)
INVESTMENT COMPANIES - 3.11% | Shares Held Value (000's) | Portfolio Summary (unaudited) | ||||||||||||
Money Market Funds - 3.11% | Country | Percent | ||||||||||||
Principal Government Money Market Fund | 17,090,552 | $ | 17,090 | China | 36.55 | % | ||||||||
2.33%(c),(d) | Taiwan, Province Of China | 12.43 | % | |||||||||||
TOTAL INVESTMENT COMPANIES | $ | 17,090 | Russian Federation | 7.83 | % | |||||||||
Total Investments | $ | 549,332 | Brazil | 7.70 | % | |||||||||
Other Assets and Liabilities - 0.05% | 293 | Hong Kong | 7.61 | % | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 549,625 | Korea, Republic Of | 7.53 | % | |||||||||
Thailand | 6.37 | % | ||||||||||||
India | 3.98 | % | ||||||||||||
(a) | Non-income producing security | United States | 3.11 | % | ||||||||||
(b) | Security exempt from registration under Rule 144A of the Securities Act of | South Africa | 1.29 | % | ||||||||||
1933. These securities may be resold in transactions exempt from registration, | United Kingdom | 1.24 | % | |||||||||||
normally to qualified institutional buyers. At the end of the period, the value of | Mexico | 0.95 | % | |||||||||||
these securities totaled $3,142 or 0.57% of net assets. | Turkey | 0.68 | % | |||||||||||
(c) | Affiliated Security. Security is either an affiliate (and registered under the | Hungary | 0.66 | % | ||||||||||
Investment Company Act of 1940) or an affiliate as defined by the Investment | Malaysia | 0.61 | % | |||||||||||
Company Act of 1940 (controls 5.0% or more of the outstanding voting | Poland | 0.57 | % | |||||||||||
shares of the security). Please see affiliated sub-schedule for transactional | Indonesia | 0.48 | % | |||||||||||
information. | Colombia | 0.36 | % | |||||||||||
(d) | Current yield shown is as of period end. | Other Assets and Liabilities | 0.05 | % | ||||||||||
TOTAL NET ASSETS | 100.00 | % | ||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | ||||||||||
Value | Cost | Proceeds | Value | |||||||||||
Principal Government Money Market Fund 2.33% | $ | 17,494 $ | 149,894 | $ | 150,298 | $ | 17,090 | |||||||
$ | 17,494 $ | 149,894 | $ | 150,298 | $ | 17,090 | ||||||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | ||||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | |||||||||||
Principal Government Money Market Fund 2.33% | $ | 142 | $ | — $ | — $ | — | ||||||||
$ | 142 | $ | — $ | — $ | — | |||||||||
Amounts in thousands |
See accompanying notes.
170
Schedule of Investments | ||||||||||||||||||||||||
Preferred Securities Fund | ||||||||||||||||||||||||
February 28, 2019 (unaudited) | ||||||||||||||||||||||||
INVESTMENT COMPANIES - 3.80% | Shares Held Value (000's) | PREFERRED STOCKS (continued) | Shares Held Value (000’s) | |||||||||||||||||||||
Money Market Funds - 3.80% | Electric (continued) | |||||||||||||||||||||||
Principal Government Money Market Fund | 196,706,046 | $ | 196,706 | Duke Energy Corp | 5.13%, 01/15/2073 | 360,235 | $ | 8,779 | ||||||||||||||||
2.33%(a),(b) | Entergy Arkansas LLC | 4.90%, 12/01/2052 | 241,096 | 5,960 | ||||||||||||||||||||
TOTAL INVESTMENT COMPANIES | $ | 196,706 | Entergy Louisiana LLC | 4.70%, 06/01/2063 | 165,100 | 4,007 | ||||||||||||||||||
CONVERTIBLE PREFERRED STOCKS | Entergy Louisiana LLC | 4.88%, 09/01/2066 | 25,000 | 622 | ||||||||||||||||||||
- 0.67% | Shares Held Value (000's) | Entergy Louisiana LLC | 5.25%, 07/01/2052 | 230,991 | 6,001 | |||||||||||||||||||
Banks - 0.67% | Entergy New Orleans LLC | 5.00%, 12/01/2052 | 3,299 | 81 | ||||||||||||||||||||
Wells Fargo & Co | 7.50%(c) | 27,052 | $ | 34,708 | Entergy New Orleans LLC | 5.50%, 04/01/2066 | 46,851 | 1,258 | ||||||||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | $ | 34,708 | Entergy Texas Inc | 5.63%, 06/01/2064 | 15,618 | 410 | ||||||||||||||||||
PREFERRED STOCKS - 20.87% | Shares Held Value (000's) | Georgia Power Co | 5.00%, 10/01/2077 | 275,000 | 6,897 | |||||||||||||||||||
Banks - 5.69% | Integrys Holding Inc 6.00%, 08/01/2073 | 57,600 | 1,449 | |||||||||||||||||||||
AgriBank FCB 6.88%, 01/01/2024(c) | 61,700 | 6,386 | 3 Month USD LIBOR + 3.22% | |||||||||||||||||||||
3 Month USD LIBOR + 4.23% | Interstate Power & Light Co | 5.10%, 04/04/2019 | 501,100 | 12,783 | ||||||||||||||||||||
Bank of New York Mellon Corp/The 5.20%, | 136,336 | 3,374 | (c) | |||||||||||||||||||||
06/20/2019(c) | NextEra Energy Capital Holdings Inc 5.00%, | 491,093 | 11,320 | |||||||||||||||||||||
BB&T Corp 5.63%, 06/01/2021(c) | 141,800 | 3,616 | 01/15/2073 | |||||||||||||||||||||
Citigroup Inc 6.88%, 11/15/2023(c) | 493,542 | 13,355 | NextEra Energy Capital Holdings Inc 5.13%, | 662,215 | 15,628 | |||||||||||||||||||
3 Month USD LIBOR + 4.13% | 11/15/2072 | |||||||||||||||||||||||
Citizens Financial Group Inc 6.35%, 04/06/2024 | 500 | 13 | SCE Trust VI 5.00%, 06/26/2022(c) | 83,868 | 1,761 | |||||||||||||||||||
(c) | Southern Co/The | 5.25%, 10/01/2076 | 111,000 | 2,760 | ||||||||||||||||||||
3 Month USD LIBOR + 3.64% | Southern Co/The | 5.25%, 12/01/2077 | 555,000 | 13,697 | ||||||||||||||||||||
Cullen/Frost Bankers Inc 5.38%, 06/15/2019(c) | 241,889 | 6,340 | $ | 152,661 | ||||||||||||||||||||
Goldman Sachs Group Inc/The 5.50%, | 774,944 | 19,691 | Food - 0.47% | |||||||||||||||||||||
05/10/2023(c) | Dairy Farmers of America Inc 7.88%, | 12,000 | 1,191 | |||||||||||||||||||||
3 Month USD LIBOR + 3.64% | 04/04/2019(c),(d) | |||||||||||||||||||||||
HSBC Holdings PLC 6.20%, 04/04/2019(c) | 1,975 | 51 | Dairy Farmers of America Inc 7.88%, | 232,500 | 23,075 | |||||||||||||||||||
Huntington Bancshares Inc/OH 5.88%, | 325,787 | 8,666 | 12/01/2025(c),(d) | |||||||||||||||||||||
10/15/2021(c) | $ | 24,266 | ||||||||||||||||||||||
Huntington Bancshares Inc/OH 6.25%, | 1,050,000 | 26,891 | Hand & Machine Tools - 0.55% | |||||||||||||||||||||
04/15/2021(c) | Stanley Black & Decker Inc | 5.75%, 07/25/2052 | 1,131,298 | 28,362 | ||||||||||||||||||||
ING Groep NV | 6.13%, 04/15/2019(c) | 17,631 | 452 | Insurance - 2.71% | ||||||||||||||||||||
ING Groep NV | 6.38%, 06/15/2019(c) | 703,652 | 18,042 | Allstate Corp/The | 5.10%, 01/15/2053 | 540,300 | 13,632 | |||||||||||||||||
KeyCorp 6.13%, 12/15/2026(c) | 778,000 | 20,656 | 3 Month USD LIBOR + 3.17% | |||||||||||||||||||||
3 Month USD LIBOR + 3.89% | Allstate Corp/The | 6.25%, 10/15/2019(c) | 181,500 | 4,774 | ||||||||||||||||||||
M&T Bank Corp | 6.38%, 04/04/2019(c) | 17,852 | 17,919 | Allstate Corp/The | 6.63%, 04/15/2019(c) | 380,000 | 9,610 | |||||||||||||||||
M&T Bank Corp | 6.38%, 04/04/2019(c) | 11,360 | 11,403 | American Financial Group Inc/OH 6.25%, | 250,786 | 6,480 | ||||||||||||||||||
Morgan Stanley | 5.85%, 04/15/2027(c) | 341,505 | 8,643 | 09/30/2054 | ||||||||||||||||||||
3 Month USD LIBOR + 3.49% | Arch Capital Group Ltd | 5.25%, 09/29/2021(c) | 283,500 | 6,461 | ||||||||||||||||||||
Morgan Stanley | 7.13%, 10/15/2023(c) | 126,282 | 3,541 | Arch Capital Group Ltd | 5.45%, 08/17/2022(c) | 54,104 | 1,253 | |||||||||||||||||
3 Month USD LIBOR + 4.32% | Axis Capital Holdings Ltd | 5.50%, 11/07/2021(c) | 10,287 | 244 | ||||||||||||||||||||
PNC Financial Services Group Inc/The 6.13%, | 1,726,752 | 45,759 | Axis Capital Holdings Ltd | 5.50%, 04/04/2019(c) | 154,159 | 3,615 | ||||||||||||||||||
05/01/2022(c) | Hartford Financial Services Group Inc/The | 1,044,739 | 29,514 | |||||||||||||||||||||
3 Month USD LIBOR + 4.07% | 7.88%, 04/15/2042 | |||||||||||||||||||||||
State Street Corp | 5.25%, 04/04/2019(c) | 1,421,238 | 35,346 | 3 Month USD LIBOR + 5.60% | ||||||||||||||||||||
State Street Corp | 5.90%, 03/15/2024(c) | 241,300 | 6,274 | Prudential PLC 6.75%, 04/04/2019(c) | 26,161 | 707 | ||||||||||||||||||
3 Month USD LIBOR + 3.11% | Reinsurance Group of America Inc 6.20%, | 577,300 | 15,258 | |||||||||||||||||||||
State Street Corp | 6.00%, 12/15/2019(c) | 349,700 | 9,040 | 09/15/2042 | ||||||||||||||||||||
US Bancorp 6.50%, 01/15/2022(c) | 197,845 | 5,411 | 3 Month USD LIBOR + 4.37% | |||||||||||||||||||||
3 Month USD LIBOR + 4.47% | RenaissanceRe Holdings Ltd | 5.38%, 04/04/2019 | 550,975 | 12,700 | ||||||||||||||||||||
Valley National Bancorp 6.25%, 06/30/2025(c) | 174,760 | 4,692 | (c) | |||||||||||||||||||||
3 Month USD LIBOR + 3.85% | RenaissanceRe Holdings Ltd | 6.08%, 04/04/2019 | 168,347 | 4,350 | ||||||||||||||||||||
Webster Financial Corp 5.25%, 12/15/2022(c) | 194,856 | 4,577 | (c) | |||||||||||||||||||||
Wells Fargo & Co | 5.63%, 06/15/2022(c) | 195,171 | 4,881 | WR Berkley Corp | 5.63%, 04/30/2053 | 1,174,728 | 30,132 | |||||||||||||||||
Wells Fargo & Co | 5.85%, 09/15/2023(c) | 125,027 | 3,184 | WR Berkley Corp | 5.70%, 03/30/2058 | 3,100 | 77 | |||||||||||||||||
3 Month USD LIBOR + 3.09% | WR Berkley Corp | 5.75%, 06/01/2056 | 65,882 | 1,642 | ||||||||||||||||||||
Wells Fargo & Co | 6.63%, 03/15/2024(c) | 236,676 | 6,509 | $ | 140,449 | |||||||||||||||||||
3 Month USD LIBOR + 3.69% | REITs - 3.35% | |||||||||||||||||||||||
$ | 294,712 | Boston Properties Inc 5.25%, 04/04/2019(c) | 7,284 | 181 | ||||||||||||||||||||
Diversified Financial Services - 0.28% | Digital Realty Trust Inc | 5.88%, 04/04/2019(c) | 97,818 | 2,559 | ||||||||||||||||||||
Capital One Financial Corp 6.00%, 04/04/2019 | 427,562 | 10,847 | Digital Realty Trust Inc | 6.35%, 08/24/2020(c) | 205,498 | 5,341 | ||||||||||||||||||
(c) | Digital Realty Trust Inc | 7.38%, 04/01/2019(c) | 226,111 | 5,743 | ||||||||||||||||||||
Charles Schwab Corp/The 6.00%, 12/01/2020(c) | 143,663 | 3,799 | Federal Realty Investment Trust 5.00%, | 49,250 | 1,138 | |||||||||||||||||||
$ | 14,646 | 09/29/2022(c) | ||||||||||||||||||||||
Electric - 2.95% | Kimco Realty Corp | 5.25%, 12/20/2022(c) | 397,387 | 8,953 | ||||||||||||||||||||
Alabama Power Co 5.00%, 10/01/2022(c) | 572,000 | 14,220 | Kimco Realty Corp | 5.50%, 04/04/2019(c) | 591,922 | 14,277 | ||||||||||||||||||
CMS Energy Corp | 5.88%, 03/01/2079 | 248,000 | 6,250 | Kimco Realty Corp | 5.63%, 04/04/2019(c) | 7,000 | 173 | |||||||||||||||||
Dominion Energy Inc 5.25%, 07/30/2076 | 898,171 | 22,409 | Kimco Realty Corp | 6.00%, 04/04/2019(c) | 273,690 | 6,924 | ||||||||||||||||||
DTE Energy Co | 5.25%, 12/01/2062 | 312,400 | 7,976 | National Retail Properties Inc | 5.20%, 10/11/2021 | 121,500 | 2,758 | |||||||||||||||||
DTE Energy Co | 5.25%, 12/01/2077 | 320,602 | 8,057 | (c) | ||||||||||||||||||||
DTE Energy Co | 5.38%, 06/01/2076 | 13,111 | 336 |
See accompanying notes.
171
Schedule of Investments Preferred Securities Fund February 28, 2019 (unaudited)
PREFERRED STOCKS (continued) | Shares Held Value (000’s) | Principal | ||||||||||||||||
REITs (continued) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||||||||||
National Retail Properties Inc 5.70%, | 2,000 | $ | 49 | Banks (continued) | ||||||||||||||
04/04/2019 | (c) | Bank of America Corp | ||||||||||||||||
Prologis Inc 8.54%, 11/13/2026(c) | 167,700 | 11,403 | 6.25%, 12/31/2049(c),(g) | $ | 1,799 | $ | 1,903 | |||||||||||
PS Business Parks Inc | 5.20%, 12/07/2022(c) | 3,332 | 76 | 3 Month USD LIBOR + 3.71% | ||||||||||||||
PS Business Parks Inc | 5.25%, 09/21/2022(c) | 57,755 | 1,383 | 6.30%, 12/31/2049(c),(g) | 44,030 | 47,949 | ||||||||||||
PS Business Parks Inc | 5.70%, 04/04/2019(c) | 377,419 | 9,707 | 3 Month USD LIBOR + 4.55% | ||||||||||||||
PS Business Parks Inc | 5.75%, 04/04/2019(c) | 534,494 | 13,282 | 6.50%, 12/31/2049(c),(g) | 71,285 | 77,344 | ||||||||||||
Public Storage | 0.00%, 03/11/2024(c),(e),(f),(h) | 250,000 | 6,250 | 3 Month USD LIBOR + 4.17% | ||||||||||||||
Public Storage | 4.90%, 10/14/2021(c) | 16,000 | 368 | 8.05%, 06/15/2027 | 6,312 | 7,706 | ||||||||||||
Public Storage | 4.95%, 07/20/2021(c) | 4,000 | 94 | Bank of New York Mellon Corp/The | ||||||||||||||
Public Storage | 5.05%, 08/09/2022(c) | 184,903 | 4,475 | 4.62%, 12/31/2049(c),(g) | 33,927 | 32,061 | ||||||||||||
Public Storage | 5.15%, 06/02/2022(c) | 2,000 | 48 | 3 Month USD LIBOR + 3.13% | ||||||||||||||
Public Storage | 5.20%, 04/04/2019(c) | 70,407 | 1,697 | 4.95%, 12/31/2049(c),(g) | 75,800 | 76,848 | ||||||||||||
Public Storage | 5.88%, 12/02/2019(c) | 237,401 | 6,111 | 3 Month USD LIBOR + 3.42% | ||||||||||||||
Public Storage | 6.00%, 06/04/2019(c) | 575,214 | 14,743 | Barclays Bank PLC | ||||||||||||||
Public Storage | 6.38%, 03/28/2019(c) | 130,861 | 3,315 | 7.63%, 11/21/2022 | 8,000 | 8,630 | ||||||||||||
Senior Housing Properties Trust 5.63%, | 112,466 | 2,554 | Barclays PLC | |||||||||||||||
08/01/2042 | 6.63%, 12/31/2049(c),(g) | 14,178 | 14,125 | |||||||||||||||
Senior Housing Properties Trust 6.25%, | 149,900 | 3,909 | USD Swap Semi-Annual 5 Year + 5.02% | |||||||||||||||
02/01/2046 | 7.75%, 12/31/2049(c),(g) | 25,200 | 25,137 | |||||||||||||||
SITE Centers Corp | 6.25%, 04/04/2019(c) | 18,610 | 470 | USD Swap Semi-Annual 5 Year + 4.84% | ||||||||||||||
SITE Centers Corp | 6.38%, 06/05/2022(c) | 449,845 | 11,125 | 7.88%, 12/31/2049(c),(g) | 9,000 | 9,439 | ||||||||||||
Vornado Realty Trust | 5.25%, 12/13/2022(c) | 390,261 | 8,816 | USD Swap Semi-Annual 5 Year + 6.77% | ||||||||||||||
Vornado Realty Trust | 5.40%, 04/04/2019(c) | 192,362 | 4,632 | BNP Paribas SA | ||||||||||||||
Vornado Realty Trust | 5.70%, 04/04/2019(c) | 827,575 | 20,689 | 7.00%, 12/31/2049(c),(d),(g) | 2,500 | 2,500 | ||||||||||||
$ | 173,243 | USD Swap Semi-Annual 5 Year + 3.98% | ||||||||||||||||
Savings & Loans - 0.07% | 7.19%, 06/29/2049(c),(g) | 13,400 | 14,288 | |||||||||||||||
People's United Financial Inc | 5.63%, 12/15/2026 | 94,067 | 2,212 | 3 Month USD LIBOR + 1.29% | ||||||||||||||
(c) | 7.20%, 06/29/2049(c),(d),(g) | 30,600 | 32,627 | |||||||||||||||
3 Month USD LIBOR + 4.02% | 3 Month USD LIBOR + 1.29% | |||||||||||||||||
Sterling Bancorp/DE 6.50%, 10/15/2022(c) | 48,922 | 1,355 | 7.37%, 12/31/2049(c),(d),(g) | 100 | 105 | |||||||||||||
$ | 3,567 | USD Swap Semi-Annual 5 Year + 5.15% | ||||||||||||||||
Sovereign - 1.25% | 7.37%, 12/31/2049(c),(g) | 8,000 | 8,430 | |||||||||||||||
CoBank ACB | 6.13%, 07/01/2019(c) | 8,000 | 806 | USD Swap Semi-Annual 5 Year + 5.15% | ||||||||||||||
CoBank ACB | 6.20%, 01/01/2025(c) | 65,000 | 6,721 | 7.63%, 12/31/2049(c),(d),(g) | 26,600 | 28,030 | ||||||||||||
3 Month USD LIBOR + 3.74% | USD Swap Semi-Annual 5 Year + 6.31% | |||||||||||||||||
CoBank ACB | 6.25%, 10/01/2022(c) | 296,500 | 30,540 | 7.63%, 12/31/2049(c),(g) | 20,000 | 21,075 | ||||||||||||
3 Month USD LIBOR + 4.56% | USD Swap Semi-Annual 5 Year + 6.31% | |||||||||||||||||
Farm Credit Bank of Texas 6.75%, 09/15/2023 | 258,000 | 26,445 | Citigroup Capital III | |||||||||||||||
(c),(d) | 7.63%, 12/01/2036 | 2,700 | 3,362 | |||||||||||||||
3 Month USD LIBOR + 4.01% | Citigroup Inc | |||||||||||||||||
$ | 64,512 | 5.95%, 12/29/2049(c),(g) | 24,100 | 24,583 | ||||||||||||||
Telecommunications - 3.55% | 3 Month USD LIBOR + 4.07% | |||||||||||||||||
Centaur Funding Corp | 0.00%, 04/21/2020(d),(e) | 26,500 | 24,512 | 5.95%, 12/31/2049(c),(g) | 9,000 | 9,112 | ||||||||||||
Centaur Funding Corp | 9.08%, 04/21/2020(a),(d) | 96,166 | 100,494 | 3 Month USD LIBOR + 4.10% | ||||||||||||||
Telephone & Data Systems Inc | 6.63%, | 196,764 | 5,031 | 5.95%, 12/31/2049(c),(g) | 12,457 | 12,550 | ||||||||||||
03/31/2045 | 3 Month USD LIBOR + 3.91% | |||||||||||||||||
Telephone & Data Systems Inc | 7.00%, | 1,165,099 | 30,339 | 6.13%, 12/31/2049(c),(g) | 47,300 | 48,187 | ||||||||||||
03/15/2060 | 3 Month USD LIBOR + 4.48% | |||||||||||||||||
United States Cellular Corp 6.95%, 05/15/2060 | 72,489 | 1,822 | 6.25%, 12/31/2049(c),(g) | 86,582 | 91,012 | |||||||||||||
Verizon Communications Inc | 5.90%, 02/15/2054 | 862,537 | 21,667 | 3 Month USD LIBOR + 4.52% | ||||||||||||||
$ | 183,865 | Citizens Financial Group Inc | ||||||||||||||||
TOTAL PREFERRED STOCKS | $ | 1,080,283 | 5.50%, 12/31/2049(c),(g) | 7,500 | 7,597 | |||||||||||||
Principal | 3 Month USD LIBOR + 3.96% | |||||||||||||||||
BONDS - 75.40% | Amount (000's) Value (000's) | 6.38%, 12/31/2049(c),(g) | 1,400 | 1,388 | ||||||||||||||
3 Month USD LIBOR + 3.16% | ||||||||||||||||||
Automobile Manufacturers - 0.22% | Corestates Capital III | |||||||||||||||||
General Motors Financial Co Inc | 3.25%, 02/15/2027(d) | 6,721 | 6,217 | |||||||||||||||
5.75%, 12/31/2049(c),(g) | $ | 12,700 | $ | 11,123 | 3 Month USD LIBOR + 0.57% | |||||||||||||
3 Month USD LIBOR + 3.60% | Credit Agricole SA | |||||||||||||||||
Banks - 41.58% | 7.88%, 12/31/2049(c),(d),(g) | 8,000 | 8,584 | |||||||||||||||
Australia & New Zealand Banking Group Ltd/ | USD Swap Semi-Annual 5 Year + 4.90% | |||||||||||||||||
United Kingdom | 8.38%, 12/31/2049(c),(d),(g) | 3,000 | 3,075 | |||||||||||||||
6.75%, 12/31/2049(c),(d),(g) | 5,000 | 5,252 | 3 Month USD LIBOR + 6.98% | |||||||||||||||
USD Swap Rate NY 5 Year + 5.17% | Credit Suisse AG | |||||||||||||||||
6.75%, 12/31/2049(c),(g) | 2,700 | 2,836 | 6.50%, 08/08/2023(d) | 29,754 | 31,792 | |||||||||||||
USD Swap Rate NY 5 Year + 5.17% | 6.50%, 08/08/2023 | 6,000 | 6,411 |
See accompanying notes.
172
Schedule of Investments Preferred Securities Fund February 28, 2019 (unaudited)
Principal | Principal | ||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||
Banks (continued) | Banks (continued) | ||||||||||
Credit Suisse Group AG | Lloyds Banking Group PLC | ||||||||||
6.25%, 12/31/2049(c),(d),(g) | $ | 9,100 | $ | 9,118 | 6.41%, 01/29/2049(c),(d),(g) | $ | 32,174 | $ | 32,094 | ||
USD Swap Semi-Annual 5 Year + 3.46% | 3 Month USD LIBOR + 1.50% | ||||||||||
6.25%, 12/31/2049(c),(g) | 1,475 | 1,478 | 6.66%, 01/29/2049(c),(d),(g) | 61,185 | 62,103 | ||||||
USD Swap Semi-Annual 5 Year + 3.46% | 3 Month USD LIBOR + 1.27% | ||||||||||
7.50%, 12/31/2049(c),(g) | 3,000 | 3,208 | 7.50%, 12/31/2049(c),(g) | 47,496 | 48,968 | ||||||
USD Swap Semi-Annual 5 Year + 4.60% | USD Swap Semi-Annual 5 Year + 4.76% | ||||||||||
7.50%, 12/31/2049(c),(d),(g) | 72,040 | 77,045 | M&T Bank Corp | ||||||||
USD Swap Semi-Annual 5 Year + 4.60% | 5.12%, 12/31/2049(c),(g) | 12,500 | 12,391 | ||||||||
Danske Bank A/S | 3 Month USD LIBOR + 3.52% | ||||||||||
6.13%, 12/31/2049(c),(g) | 2,500 | 2,297 | 6.45%, 12/31/2049(c),(g) | 6,615 | 7,045 | ||||||
USD Swap Semi-Annual 7 Year + 3.90% | 3 Month USD LIBOR + 3.61% | ||||||||||
Dresdner Funding Trust I | Morgan Stanley | ||||||||||
8.15%, 06/30/2031(d) | 2,000 | 2,483 | 5.55%, 12/31/2049(c),(g) | 8,500 | 8,532 | ||||||
8.15%, 06/30/2031 | 5,682 | 7,056 | 3 Month USD LIBOR + 3.81% | ||||||||
Fifth Third Bancorp | Nordea Bank Abp | ||||||||||
5.10%, 12/31/2049(c),(g) | 1,403 | 1,340 | 6.13%, 12/31/2049(c),(d),(g) | 42,131 | 41,130 | ||||||
3 Month USD LIBOR + 3.03% | USD Swap Semi-Annual 5 Year + 3.39% | ||||||||||
First Maryland Capital I | 6.13%, 12/31/2049(c),(g) | 1,800 | 1,757 | ||||||||
3.79%, 01/15/2027 | 2,000 | 1,845 | USD Swap Semi-Annual 5 Year + 3.39% | ||||||||
3 Month USD LIBOR + 1.00% | Northern Trust Corp | ||||||||||
First Union Capital II | 4.60%, 12/31/2049(c),(g) | 4,400 | 4,246 | ||||||||
7.95%, 11/15/2029 | 3,700 | 4,687 | 3 Month USD LIBOR + 3.20% | ||||||||
Goldman Sachs Group Inc/The | NTC Capital I | ||||||||||
5.38%, 12/31/2049(c),(g) | 3,800 | 3,828 | 3.31%, 01/15/2027 | 1,500 | 1,380 | ||||||
3 Month USD LIBOR + 3.92% | 3 Month USD LIBOR + 0.52% | ||||||||||
5.70%, 12/31/2049(c),(g) | 39,795 | 39,795 | NTC Capital II | ||||||||
3 Month USD LIBOR + 3.88% | 3.38%, 04/15/2027 | 1,500 | 1,380 | ||||||||
HSBC Capital Funding Dollar 1 LP | 3 Month USD LIBOR + 0.59% | ||||||||||
10.18%, 12/29/2049(c),(g) | 15,200 | 22,287 | PNC Financial Services Group Inc/The | ||||||||
3 Month USD LIBOR + 4.98% | 6.75%, 07/29/2049(c),(g) | 37,635 | 40,159 | ||||||||
10.18%, 12/29/2049(c),(d),(g) | 44,542 | 65,310 | 3 Month USD LIBOR + 3.68% | ||||||||
3 Month USD LIBOR + 4.98% | RBS Capital Trust II | ||||||||||
HSBC Holdings PLC | 6.43%, 12/29/2049(c),(g) | 2,750 | 3,365 | ||||||||
6.00%, 12/31/2049(c),(g) | 20,100 | 19,572 | 3 Month USD LIBOR + 1.94% | ||||||||
USD Swap Rate NY 5 Year + 3.75% | Royal Bank of Scotland Group PLC | ||||||||||
6.50%, 12/31/2049(c),(g) | 25,600 | 25,200 | 5.12%, 03/29/2049(c) | 1,900 | 1,767 | ||||||
USD Swap Rate NY 5 Year + 3.61% | 3 Month USD LIBOR + 2.32% | ||||||||||
6.87%, 12/31/2049(c),(g) | 42,000 | 43,627 | 7.50%, 12/31/2049(c),(g) | 46,281 | 47,369 | ||||||
USD Swap Rate NY 5 Year + 5.51% | USD Swap Semi-Annual 5 Year + 5.80% | ||||||||||
Huntington Bancshares Inc/OH | 7.65%, 08/29/2049(c),(g) | 28,946 | 36,182 | ||||||||
5.70%, 12/31/2049(c),(g) | 1,100 | 1,059 | 3 Month USD LIBOR + 2.50% | ||||||||
3 Month USD LIBOR + 2.88% | 8.00%, 12/31/2049(c),(g) | 6,825 | 7,252 | ||||||||
ING Groep NV | USD Swap Semi-Annual 5 Year + 5.72% | ||||||||||
6.50%, 12/31/2049(c),(g) | 35,300 | 35,176 | 8.62%, 12/29/2049(c),(g) | 8,000 | 8,578 | ||||||
USD Swap Semi-Annual 5 Year + 4.45% | USD Swap Semi-Annual 5 Year + 7.60% | ||||||||||
JPMorgan Chase & Co | Skandinaviska Enskilda Banken AB | ||||||||||
5.30%, 12/31/2049(c),(g) | 12,000 | 12,217 | 5.63%, 12/31/2049(c),(g) | 5,000 | 4,869 | ||||||
3 Month USD LIBOR + 3.80% | USD Swap Semi-Annual 5 Year + 3.49% | ||||||||||
6.10%, 12/31/2049(c),(g) | 10,750 | 11,167 | 5.75%, 12/31/2049(c),(g) | 8,100 | 8,044 | ||||||
3 Month USD LIBOR + 3.33% | USD Swap Semi-Annual 5 Year + 3.85% | ||||||||||
6.13%, 12/31/2049(c),(g) | 7,706 | 8,014 | Societe Generale SA | ||||||||
3 Month USD LIBOR + 3.33% | 6.75%, 12/31/2049(c),(g) | 8,300 | 7,522 | ||||||||
6.22%, 04/29/2049(c) | 35,500 | 35,669 | USD Swap Semi-Annual 5 Year + 3.93% | ||||||||
3 Month USD LIBOR + 3.47% | 6.75%, 12/31/2049(c),(d),(g) | 6,150 | 5,573 | ||||||||
6.75%, 12/31/2049(c),(g) | 136,607 | 150,190 | USD Swap Semi-Annual 5 Year + 3.93% | ||||||||
3 Month USD LIBOR + 3.78% | 7.38%, 12/31/2049(c),(d),(g) | 3,900 | 3,871 | ||||||||
KeyCorp | USD Swap Semi-Annual 5 Year + 4.30% | ||||||||||
5.00%, 12/31/2049(c),(g) | 20,101 | 19,297 | 7.38%, 12/31/2049(c),(d),(g) | 13,100 | 13,559 | ||||||
3 Month USD LIBOR + 3.61% | USD Swap Semi-Annual 5 Year + 6.24% | ||||||||||
KeyCorp Capital III | 7.88%, 12/31/2049(c),(g) | 14,000 | 14,490 | ||||||||
7.75%, 07/15/2029 | 3,500 | 4,364 | USD Swap Semi-Annual 5 Year + 4.98% | ||||||||
Lloyds Bank PLC | 7.88%, 12/31/2049(c),(d),(g) | 500 | 517 | ||||||||
12.00%, 12/29/2049(c),(g) | 35,889 | 43,411 | USD Swap Semi-Annual 5 Year + 4.98% | ||||||||
3 Month USD LIBOR + 11.76% | 8.00%, 12/31/2049(c),(d),(g) | 16,800 | 17,724 | ||||||||
12.00%, 12/29/2049(c),(d),(g) | 29,550 | 35,743 | USD Swap Rate NY 5 Year + 5.87% | ||||||||
3 Month USD LIBOR + 11.76% |
See accompanying notes.
173
Schedule of Investments Preferred Securities Fund February 28, 2019 (unaudited)
Principal | Principal | ||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||
Banks (continued) | Electric - 2.90% | ||||||||||
Standard Chartered PLC | Emera Inc | ||||||||||
7.01%, 07/29/2049(c),(d),(g) | $ | 41,500 | $ | 44,353 | 6.75%, 06/15/2076(g) | $ | 50,095 | $ | 51,848 | ||
3 Month USD LIBOR + 1.46% | 3 Month USD LIBOR + 5.44% | ||||||||||
7.01%, 07/29/2049(c),(g) | 25,600 | 27,360 | Enel SpA | ||||||||
3 Month USD LIBOR + 1.46% | 8.75%, 09/24/2073(d),(g) | 43,300 | 46,981 | ||||||||
7.50%, 12/31/2049(c),(d),(g) | 17,700 | 18,497 | USD Swap Semi-Annual 5 Year + 5.88% | ||||||||
USD Swap Semi-Annual 5 Year + 6.30% | NextEra Energy Capital Holdings Inc | ||||||||||
7.50%, 12/31/2049(c),(g) | 5,700 | 5,957 | 4.80%, 12/01/2077(g) | 3,100 | 2,713 | ||||||
USD Swap Semi-Annual 5 Year + 6.30% | 3 Month USD LIBOR + 2.41% | ||||||||||
7.75%, 12/31/2049(c),(d),(g) | 11,000 | 11,523 | 4.86%, 10/01/2066 | 23,474 | 20,305 | ||||||
USD Swap Semi-Annual 5 Year + 5.72% | 3 Month USD LIBOR + 2.07% | ||||||||||
State Street Corp | 4.91%, 06/15/2067 | 8,920 | 7,760 | ||||||||
5.25%, 12/31/2049(c),(g) | 4,000 | 4,050 | 3 Month USD LIBOR + 2.13% | ||||||||
3 Month USD LIBOR + 3.60% | PPL Capital Funding Inc | ||||||||||
SunTrust Banks Inc | 5.47%, 03/30/2067 | 15,375 | 13,991 | ||||||||
5.63%, 12/31/2049(c),(g) | 4,400 | 4,461 | 3 Month USD LIBOR + 2.67% | ||||||||
3 Month USD LIBOR + 3.86% | Southern Co/The | ||||||||||
SunTrust Capital I | 5.50%, 03/15/2057(g) | 6,500 | 6,537 | ||||||||
3.35%, 05/15/2027 | 10,900 | 10,137 | 3 Month USD LIBOR + 3.63% | ||||||||
3 Month USD LIBOR + 0.67% | $ | 150,135 | |||||||||
Svenska Handelsbanken AB | Food - 0.16% | ||||||||||
5.25%, 12/31/2049(c),(g) | 29,400 | 29,143 | Dairy Farmers of America Inc | ||||||||
USD Swap Semi-Annual 5 Year + 3.34% | 7.13%, 12/31/2049(c),(d) | 8,700 | 8,145 | ||||||||
Swedbank AB | Gas - 0.33% | ||||||||||
6.00%, 12/31/2049(c),(g) | 5,200 | 5,077 | NiSource Inc | ||||||||
USD Swap Semi-Annual 5 Year + 4.11% | 5.65%, 12/31/2049(c),(d),(g) | 17,900 | 17,273 | ||||||||
UBS Group Funding Switzerland AG | US Treasury Yield Curve Rate T Note | ||||||||||
6.87%, 12/31/2049(c),(g) | 12,078 | 12,425 | Constant Maturity 5 Year + 2.84% | ||||||||
USD Swap Rate NY 5 Year + 5.50% | Insurance - 24.01% | ||||||||||
6.88%, 12/31/2049(c),(g) | 11,933 | 11,993 | ACE Capital Trust II | ||||||||
USD Swap Semi-Annual 5 Year + 4.59% | 9.70%, 04/01/2030 | 14,970 | 20,209 | ||||||||
7.00%, 12/31/2049(c),(g) | 20,700 | 21,968 | AIG Life Holdings Inc | ||||||||
USD Swap Semi-Annual 5 Year + 4.87% | 8.50%, 07/01/2030 | 31,200 | 38,064 | ||||||||
7.00%, 12/31/2049(c),(d),(g) | 13,000 | 13,091 | Allstate Corp/The | ||||||||
USD Swap Semi-Annual 5 Year + 4.34% | 5.75%, 08/15/2053(g) | 2,654 | 2,681 | ||||||||
7.13%, 12/31/2049(c),(g) | 1,757 | 1,783 | 3 Month USD LIBOR + 2.94% | ||||||||
USD Swap Semi-Annual 5 Year + 5.46% | 6.50%, 05/15/2067(g) | 11,905 | 12,738 | ||||||||
UniCredit SpA | 3 Month USD LIBOR + 2.12% | ||||||||||
8.00%, 12/31/2049(c),(g) | 12,700 | 11,811 | American International Group Inc | ||||||||
USD Swap Semi-Annual 5 Year + 5.18% | 5.75%, 04/01/2048(g) | 41,000 | 38,027 | ||||||||
US Bancorp | 3 Month USD LIBOR + 2.87% | ||||||||||
5.12%, 12/31/2049(c),(g) | 21,400 | 21,694 | 8.18%, 05/15/2068(g) | 22,300 | 25,868 | ||||||
3 Month USD LIBOR + 3.49% | 3 Month USD LIBOR + 4.20% | ||||||||||
USB Realty Corp | Aon Corp | ||||||||||
3.93%, 12/29/2049(c),(d) | 1,500 | 1,305 | 8.21%, 01/01/2027 | 4,750 | 5,557 | ||||||
3 Month USD LIBOR + 1.15% | Aquarius & Investments Plc for Swiss | ||||||||||
Wells Fargo & Co | Reinsurance Co Ltd | ||||||||||
5.87%, 12/31/2049(c),(g) | 50,300 | 53,192 | 6.37%, 09/01/2024(g) | 11,800 | 11,932 | ||||||
3 Month USD LIBOR + 3.99% | USD Swap Semi-Annual 5 Year + 5.21% | ||||||||||
6.56%, 12/31/2049(c) | 43,100 | 43,423 | Argentum Netherlands BV for Swiss Re Ltd | ||||||||
3 Month USD LIBOR + 3.77% | 5.63%, 08/15/2052(g) | 36,200 | 36,572 | ||||||||
$ | 2,151,748 | 3 Month USD LIBOR + 3.78% | |||||||||
Diversified Financial Services - 2.07% | 5.75%, 08/15/2050(g) | 19,400 | 19,982 | ||||||||
Capital One Financial Corp | 3 Month USD LIBOR + 3.59% | ||||||||||
5.55%, 12/31/2049(c),(g) | 20,430 | 20,815 | Argentum Netherlands BV for Zurich Insurance | ||||||||
3 Month USD LIBOR + 3.80% | Co Ltd | ||||||||||
Charles Schwab Corp/The | 5.12%, 06/01/2048(g) | 6,290 | 6,268 | ||||||||
7.00%, 02/28/2049(c),(g) | 28,358 | 30,237 | US Treasury Yield Curve Rate T Note | ||||||||
3 Month USD LIBOR + 4.82% | Constant Maturity 5 Year + 3.27% | ||||||||||
Depository Trust & Clearing Corp/The | AXA SA | ||||||||||
4.88%, 12/31/2049(c),(d),(g) | 35,350 | 35,261 | 6.38%, 12/29/2049(c),(d),(g) | 27,793 | 29,634 | ||||||
3 Month USD LIBOR + 3.17% | 3 Month USD LIBOR + 2.26% | ||||||||||
National Rural Utilities Cooperative Finance Corp | 8.60%, 12/15/2030 | 8,565 | 11,175 | ||||||||
5.25%, 04/20/2046(g) | 21,300 | 20,928 | Catlin Insurance Co Ltd | ||||||||
3 Month USD LIBOR + 3.63% | 5.74%, 07/29/2049(c),(d) | 46,336 | 44,598 | ||||||||
$ | 107,241 | 3 Month USD LIBOR + 2.98% |
See accompanying notes.
174
Schedule of Investments Preferred Securities Fund February 28, 2019 (unaudited)
Principal | Principal | ||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||
Insurance (continued) | Insurance (continued) | ||||||||||
Cloverie PLC for Swiss Re Corporate Solutions | Prudential Financial Inc | ||||||||||
Ltd | 5.63%, 06/15/2043(g) | $ | 65,265 | $ | 67,712 | ||||||
4.50%, 09/11/2044(g) | $ | 20,000 | $ | 19,540 | 3 Month USD LIBOR + 3.92% | ||||||
USD Swap Semi-Annual 10 Year + 2.91% | 5.88%, 09/15/2042(g) | 20,401 | 21,528 | ||||||||
Cloverie PLC for Zurich Insurance Co Ltd | 3 Month USD LIBOR + 4.18% | ||||||||||
5.63%, 06/24/2046(g) | 5,000 | 5,263 | Prudential PLC | ||||||||
3 Month USD LIBOR + 4.92% | 6.50%, 10/20/2048(g) | 9,700 | 10,226 | ||||||||
Dai-ichi Life Insurance Co Ltd/The | US Treasury Yield Curve Rate T Note | ||||||||||
7.25%, 12/29/2049(c),(d),(g) | 13,250 | 14,211 | Constant Maturity 5 Year + 4.41% | ||||||||
3 Month USD LIBOR + 4.56% | Reinsurance Group of America Inc | ||||||||||
Everest Reinsurance Holdings Inc | 5.45%, 12/15/2065 | 25,323 | 22,158 | ||||||||
5.07%, 05/01/2067 | 27,820 | 24,203 | 3 Month USD LIBOR + 2.67% | ||||||||
3 Month USD LIBOR + 2.39% | Sompo Japan Nipponkoa Insurance Inc | ||||||||||
Great-West Life & Annuity Insurance Capital LP | 5.33%, 03/28/2073(d),(g) | 60,300 | 62,109 | ||||||||
6.63%, 11/15/2034(d) | 7,000 | 7,686 | 3 Month USD LIBOR + 4.27% | ||||||||
Hartford Financial Services Group Inc/The | Sumitomo Life Insurance Co | ||||||||||
4.81%, 02/12/2067(d) | 15,885 | 13,602 | 6.50%, 09/20/2073(d),(g) | 15,500 | 16,771 | ||||||
3 Month USD LIBOR + 2.13% | 3 Month USD LIBOR + 4.44% | ||||||||||
Legal & General Group PLC | Voya Financial Inc | ||||||||||
5.25%, 03/21/2047(g) | 45,554 | 43,591 | 5.65%, 05/15/2053(g) | 45,326 | 44,841 | ||||||
USD Swap Semi-Annual 5 Year + 3.69% | 3 Month USD LIBOR + 3.58% | ||||||||||
Liberty Mutual Group Inc | 6.13%, 12/31/2049(c),(g) | 9,250 | 9,343 | ||||||||
5.69%, 03/07/2067(d) | 13,738 | 13,051 | US Treasury Yield Curve Rate T Note | ||||||||
3 Month USD LIBOR + 2.91% | Constant Maturity 5 Year + 3.36% | ||||||||||
7.80%, 03/07/2087(d) | 76,240 | 86,914 | XLIT Ltd | ||||||||
3 Month USD LIBOR + 3.58% | 5.24%, 12/31/2049(c) | 14,350 | 13,489 | ||||||||
Liberty Mutual Insurance Co | 3 Month USD LIBOR + 2.46% | ||||||||||
7.70%, 10/15/2097(d) | 20,025 | 25,715 | $ | 1,242,594 | |||||||
Lincoln National Corp | Mining - 0.53% | ||||||||||
4.80%, 04/20/2067 | 60,769 | 49,223 | BHP Billiton Finance USA Ltd | ||||||||
3 Month USD LIBOR + 2.04% | 6.75%, 10/19/2075(d),(g) | 25,042 | 27,470 | ||||||||
5.04%, 05/17/2066 | 14,209 | 12,220 | USD Swap Semi-Annual 5 Year + 5.09% | ||||||||
3 Month USD LIBOR + 2.36% | Pipelines - 1.60% | ||||||||||
Meiji Yasuda Life Insurance Co | Enbridge Inc | ||||||||||
5.10%, 04/26/2048(d),(g) | 13,800 | 14,076 | 6.25%, 03/01/2078(g) | 13,298 | 13,080 | ||||||
USD Swap Rate NY 5 Year + 3.15% | 3 Month USD LIBOR + 3.64% | ||||||||||
5.20%, 10/20/2045(d),(g) | 14,545 | 14,909 | Enterprise Products Operating LLC | ||||||||
USD Swap Semi-Annual 5 Year + 4.23% | 5.25%, 08/16/2077(g) | 40,800 | 37,413 | ||||||||
MetLife Capital Trust IV | 3 Month USD LIBOR + 3.03% | ||||||||||
7.88%, 12/15/2067(d) | 24,540 | 29,868 | 5.38%, 02/15/2078(g) | 5,000 | 4,377 | ||||||
MetLife Inc | 3 Month USD LIBOR + 2.57% | ||||||||||
5.25%, 12/31/2049(c),(g) | 1,000 | 1,007 | TransCanada PipeLines Ltd | ||||||||
3 Month USD LIBOR + 3.58% | 4.89%, 05/15/2067 | 8,461 | 7,213 | ||||||||
6.40%, 12/15/2066 | 10,770 | 11,416 | 3 Month USD LIBOR + 2.21% | ||||||||
3 Month USD LIBOR + 2.21% | Transcanada Trust | ||||||||||
9.25%, 04/08/2068(d) | 49,075 | 65,024 | 5.63%, 05/20/2075(g) | 3,800 | 3,667 | ||||||
3 Month USD LIBOR + 5.54% | 3 Month USD LIBOR + 3.53% | ||||||||||
10.75%, 08/01/2069 | 50,223 | 74,832 | 5.87%, 08/15/2076(g) | 17,300 | 17,214 | ||||||
Mitsui Sumitomo Insurance Co Ltd | 3 Month USD LIBOR + 4.64% | ||||||||||
0.00%, 12/31/2049(c),(d),(e),(f),(g) | 6,800 | 6,827 | $ | 82,964 | |||||||
USD Swap Semi-Annual 5 Year + 3.26% | Sovereign - 0.39% | ||||||||||
7.00%, 03/15/2072(d),(g) | 10,700 | 11,481 | CoBank ACB | ||||||||
3 Month USD LIBOR + 5.90% | 6.25%, 12/31/2049(c),(g) | 16,400 | 16,974 | ||||||||
MMI Capital Trust I | 3 Month USD LIBOR + 4.66% | ||||||||||
7.63%, 12/15/2027 | 1,073 | 1,291 | Farm Credit Bank of Texas | ||||||||
Nationwide Financial Services Inc | 6.20%, 12/31/2049(c),(d),(g) | 3,000 | 2,940 | ||||||||
6.75%, 05/15/2087 | 79,015 | 80,595 | 3 Month USD LIBOR + 3.22% | ||||||||
Nippon Life Insurance Co | $ | 19,914 | |||||||||
4.70%, 01/20/2046(d),(g) | 5,000 | 5,013 | |||||||||
USD Swap Rate NY 5 Year + 3.75% | Telecommunications - 0.86% | ||||||||||
5.10%, 10/16/2044(d),(g) | 27,300 | 27,983 | Koninklijke KPN NV | ||||||||
USD Swap Rate NY 5 Year + 3.65% | 7.00%, 03/28/2073(d),(g) | 13,126 | 13,585 | ||||||||
Progressive Corp/The | USD Swap Semi-Annual 10 Year + 5.33% | ||||||||||
5.38%, 12/31/2049(c),(g) | 6,750 | 6,699 | 7.00%, 03/28/2073(g) | 8,000 | 8,280 | ||||||
3 Month USD LIBOR + 2.54% | USD Swap Semi-Annual 10 Year + 5.33% | ||||||||||
Provident Financing Trust I | Vodafone Group PLC | ||||||||||
7.41%, 03/15/2038 | 4,685 | 4,872 | 6.25%, 10/03/2078(g) | 23,600 | 22,712 | ||||||
USD Swap Semi-Annual 5 Year + 3.05% | |||||||||||
$ | 44,577 |
See accompanying notes.
175
Schedule of Investments Preferred Securities Fund February 28, 2019 (unaudited)
Principal | (f) | Security purchased on a when-issued basis. | |||||||||||||||||||||||
BONDS (continued) | Amount (000’s) | Value (000’s) | (g) | Rate shown is as of period end. The rate may be a variable or floating rate or | |||||||||||||||||||||
Transportation - 0.75% | a fixed rate which may convert to a variable or floating rate in the future. | ||||||||||||||||||||||||
BNSF Funding Trust I | (h) | Fair value of these investments is determined in good faith by the Manager | |||||||||||||||||||||||
6.61%, 12/15/2055(g) | $ | 35,709 | $ | 38,566 | under procedures established and periodically reviewed by the Board of | ||||||||||||||||||||
3 Month USD LIBOR + 2.35% | Directors. Certain inputs used in the valuation may be unobservable; however, | ||||||||||||||||||||||||
TOTAL BONDS | $ | 3,901,750 | each security is evaluated individually for purposes of ASC 820 which results | ||||||||||||||||||||||
TOTAL PURCHASED OPTIONS - 0.07% | $ | 3,719 | in not all securities being identified as Level 3 of the fair value hierarchy. At | ||||||||||||||||||||||
Total Investments | $ | 5,217,166 | the end of the period, the fair value of these securities totaled $6,250 or 0.12% | ||||||||||||||||||||||
Other Assets and Liabilities - (0.81)% | (42,099 | ) | of net assets. | ||||||||||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 5,175,067 | |||||||||||||||||||||||
Portfolio Summary (unaudited) | |||||||||||||||||||||||||
(a) | Affiliated Security. Security is either an affiliate (and registered under the | Sector | Percent | ||||||||||||||||||||||
Investment Company Act of 1940) or an affiliate as defined by the Investment | Financial | 80.43 | % | ||||||||||||||||||||||
Company Act of 1940 (controls 5.0% or more of the outstanding voting | Utilities | 6.18 | % | ||||||||||||||||||||||
shares of the security). Please see affiliated sub-schedule for transactional | Communications | 4.41 | % | ||||||||||||||||||||||
information. | Investment Companies | 3.80 | % | ||||||||||||||||||||||
(b) | Current yield shown is as of period end. | Government | 1.64 | % | |||||||||||||||||||||
(c) | Perpetual security. Perpetual securities pay an indefinite stream of interest, | Energy | 1.60 | % | |||||||||||||||||||||
but they may be called by the issuer at an earlier date. Date shown, if any, | Industrial | 1.30 | % | ||||||||||||||||||||||
reflects the next call date or final legal maturity date. Rate shown is as of | Consumer, Non-cyclical | 0.63 | % | ||||||||||||||||||||||
period end. | Basic Materials | 0.53 | % | ||||||||||||||||||||||
(d) | Security exempt from registration under Rule 144A of the Securities Act of | Consumer, Cyclical | 0.22 | % | |||||||||||||||||||||
1933. These securities may be resold in transactions exempt from registration, | Purchased Options | 0.07 | % | ||||||||||||||||||||||
normally to qualified institutional buyers. At the end of the period, the value of | Other Assets and Liabilities | (0.81 | )% | ||||||||||||||||||||||
these securities totaled $1,390,065 or 26.86% of net assets. | TOTAL NET ASSETS | 100.00 | % | ||||||||||||||||||||||
(e) | Non-income producing security | ||||||||||||||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | |||||||||||||||||||||
Value | Cost | Proceeds | Value | ||||||||||||||||||||||
Centaur Funding Corp 9.08%, 04/21/2020 | $ | 111,136 | $ | — $ | 4,769 | $ | 100,494 | ||||||||||||||||||
Principal Government Money Market Fund 2.33% | 471 | 589,510 | 393,275 | 196,706 | |||||||||||||||||||||
$ | 111,607 | $ | 589,510 | $ | 398,044 | $ | 297,200 | ||||||||||||||||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | |||||||||||||||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | ||||||||||||||||||||||
Centaur Funding Corp 9.08%, 04/21/2020 | $ | 2,285 | $ | 191$ | — $ | (6,064 | ) | ||||||||||||||||||
Principal Government Money Market Fund 2.33% | 579 | — | — | — | |||||||||||||||||||||
$ | 2,864 | $ | 191$ | — $ | (6,064 | ) | |||||||||||||||||||
Amounts in thousands | |||||||||||||||||||||||||
Options | |||||||||||||||||||||||||
Upfront | Unrealized | ||||||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | |||||||||||||||||||||||
Purchased Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | |||||||||||||||||
Call - US Long Bond Future; June | N/A | 304 | $ | 304 | $ | 145.00 | 03/04/2019 | $ | 15 | $ | — $ | (15 | ) | ||||||||||||
2019 | |||||||||||||||||||||||||
Call - US Long Bond Future; June | N/A | 2,000 | $ | 2,000 | $ | 148.00 | 03/25/2019 | 596 | 156 | (440 | ) | ||||||||||||||
2019 | |||||||||||||||||||||||||
Call - US Long Bond Future; June | N/A | 1,696 | $ | 1,696 | $ | 146.00 | 03/04/2019 | 826 | — | (826 | ) | ||||||||||||||
2019 | |||||||||||||||||||||||||
Put - US Long Bond Future; June | N/A | 2,000 | $ | 2,000 | $ | 146.00 | 03/04/2019 | 1,326 | 3,063 | 1,737 | |||||||||||||||
2019 | |||||||||||||||||||||||||
Put - US Long Bond Future; June | N/A | 2,000 | $ | 2,000 | $ | 142.50 | 03/25/2019 | 568 | 500 | (68 | ) | ||||||||||||||
2019 | |||||||||||||||||||||||||
Total | $ | 3,331 | $ | 3,719 | $ | 388 | |||||||||||||||||||
Upfront | Unrealized | ||||||||||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | |||||||||||||||||||||||
Written Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | |||||||||||||||||
Call - US Long Bond Future; June | N/A | 2,000 | $ | 2,000 | $ | 146.00 | 03/25/2019 | $ | (1,834 | )$ | (656 | )$ | 1,178 | ||||||||||||
2019 | |||||||||||||||||||||||||
Call - US Long Bond Future; June | N/A | 2,000 | $ | 2,000 | $ | 148.00 | 03/04/2019 | (57 | ) | — | 57 | ||||||||||||||
2019 | |||||||||||||||||||||||||
Put - US Long Bond Future; June | N/A | 1,500 | $ | 1,500 | $ | 144.00 | 03/04/2019 | (74 | ) | (117 | ) | (43 | ) | ||||||||||||
2019 |
See accompanying notes.
176
Schedule of Investments | |||||||||||||||||
Preferred Securities Fund | |||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||
Options (continued) | |||||||||||||||||
Upfront | Unrealized | ||||||||||||||||
Contracts/ | Payments/ | Appreciation/ | |||||||||||||||
Written Options Outstanding | Counterparty | Shares | Notional Amount | Exercise Price | Expiration Date | (Premiums) | Fair Value | (Depreciation) | |||||||||
Put - US Long Bond Future; June | N/A | 2,000 $ | 2,000 | $ | 144.50 | 03/25/2019 | $ | (1,870 | )$ | (1,750 | )$ | 120 | |||||
2019 | |||||||||||||||||
Total | $ | (3,835 | )$ | (2,523 | )$ | 1,312 | |||||||||||
Amounts in thousands except contracts/shares. | |||||||||||||||||
Futures Contracts | |||||||||||||||||
Description and Expiration Date | Type | Contracts | Notional Amount | Value and Unrealized Appreciation/(Depreciation) | |||||||||||||
US Long Bond; June 2019 | Long | 500 | $ | 72,234 | $ | (114 | ) | ||||||||||
Total | $ | (114 | ) | ||||||||||||||
Amounts in thousands except contracts. |
See accompanying notes.
177
Schedule of Investments Real Estate Debt Income Fund February 28, 2019 (unaudited)
INVESTMENT COMPANIES - 4.47% | Shares Held Value (000's) | Principal | ||||||||||
Money Market Funds - 4.47% | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||||
Principal Government Money Market Fund | 5,834,648 | $ | 5,835 | Commercial Mortgage Backed Securities (continued) | ||||||||
2.33%(a),(b) | DBJPM 16-C3 Mortgage Trust | |||||||||||
TOTAL INVESTMENT COMPANIES | $ | 5,835 | 1.50%, 09/10/2049(c),(d) | $ | 17,167 | $ | 1,506 | |||||
Principal | Freddie Mac Multifamily Structured Pass | |||||||||||
BONDS - 97.10% | Amount (000's) Value (000's) | Through Certificates | ||||||||||
Commercial Mortgage Backed Securities - 97.10% | 0.95%, 08/25/2023(c),(d) | 70,924 | 2,432 | |||||||||
Banc of America Commercial Mortgage Trust | 1.09%, 01/25/2021(c),(d) | 18,857 | 336 | |||||||||
2008-1 | GS Mortgage Securities Trust 2010-C1 | |||||||||||
6.79%, 02/10/2051(c) | $ | 86 | $ | 86 | 1.35%, 08/10/2043(c),(d),(e) | 23,814 | 352 | |||||
Banc of America Commercial Mortgage Trust | GS Mortgage Securities Trust 2011-GC3 | |||||||||||
2016-UBS10 | 0.66%, 03/10/2044(c),(d),(e) | 21,758 | 255 | |||||||||
1.98%, 07/15/2049(c),(d) | 26,420 | 2,372 | GS Mortgage Securities Trust 2013-GCJ14 | |||||||||
Banc of America Commercial Mortgage Trust | 4.75%, 08/10/2046(c),(e) | 4,750 | 4,577 | |||||||||
2017-BNK3 | GS Mortgage Securities Trust 2014-GC22 | |||||||||||
1.13%, 02/15/2050(c),(d) | 24,193 | 1,597 | 0.99%, 06/12/2047(c),(d) | 17,511 | 642 | |||||||
BANK 2017-BNK4 | 4.69%, 06/10/2047(c) | 3,225 | 3,280 | |||||||||
3.36%, 05/15/2050(e) | 2,500 | 2,098 | GS Mortgage Securities Trust 2015-GC34 | |||||||||
BANK 2017-BNK5 | 4.47%, 10/10/2048(c) | 2,000 | 2,051 | |||||||||
3.08%, 06/15/2060(c),(e) | 3,000 | 2,471 | GS Mortgage Securities Trust 2016-GS2 | |||||||||
BANK 2019-BNK16 | 3.76%, 05/10/2049(c) | 2,500 | 2,501 | |||||||||
4.79%, 02/15/2052 | 2,000 | 2,036 | JP Morgan Chase Commercial Mortgage | |||||||||
BBCMS Mortgage Trust 2018-C2 | Securities Trust 2010-C1 | |||||||||||
4.75%, 12/15/2051(c) | 5,000 | 5,302 | 5.95%, 06/15/2043(e) | 1,500 | 1,518 | |||||||
BENCHMARK 2018-B1 Mortgage Trust | JP Morgan Chase Commercial Mortgage | |||||||||||
2.75%, 01/15/2051(e) | 1,000 | 793 | Securities Trust 2011-C5 | |||||||||
BENCHMARK 2018-B2 Mortgage Trust | 5.37%, 08/15/2046(c),(e) | 1,200 | 1,243 | |||||||||
0.43%, 02/15/2051(c),(d) | 46,821 | 1,308 | JP Morgan Chase Commercial Mortgage | |||||||||
1.50%, 02/15/2051(c),(d),(e) | 5,181 | 558 | Securities Trust 2016-JP3 | |||||||||
BENCHMARK 2018-B3 Mortgage Trust | 1.44%, 08/15/2049(c),(d) | 17,660 | 1,442 | |||||||||
1.50%, 04/10/2051(c),(d),(e) | 3,680 | 399 | JPMBB Commercial Mortgage Securities Trust | |||||||||
3.06%, 04/10/2051(e) | 2,000 | 1,702 | 2013-C15 | |||||||||
BENCHMARK 2018-B4 | 5.20%, 11/15/2045(c),(e) | 2,500 | 2,493 | |||||||||
4.12%, 07/15/2051 | 2,500 | 2,611 | JPMBB Commercial Mortgage Securities Trust | |||||||||
CFCRE Commercial Mortgage Trust 2011-C2 | 2014-C19 | |||||||||||
1.20%, 12/15/2047(c),(d),(e) | 7,301 | 154 | 4.66%, 04/15/2047(c) | 2,500 | 2,553 | |||||||
CGMS Commercial Mortgage Trust 2017-B1 | JPMBB Commercial Mortgage Securities Trust | |||||||||||
0.85%, 08/15/2050(c),(d) | 23,984 | 1,291 | 2014-C21 | |||||||||
Citigroup Commercial Mortgage Trust | 1.02%, 08/15/2047(c),(d) | 24,136 | 1,044 | |||||||||
2013-GC15 | JPMBB Commercial Mortgage Securities Trust | |||||||||||
5.22%, 09/10/2046(c),(e) | 2,010 | 2,008 | 2014-C24 | |||||||||
Citigroup Commercial Mortgage Trust 2016-C1 | 3.89%, 11/15/2047(c),(e) | 1,000 | 879 | |||||||||
1.91%, 05/10/2049(c),(d) | 28,105 | 2,962 | JPMCC Commercial Mortgage Securities Trust | |||||||||
3.51%, 05/10/2049 | 2,500 | 2,472 | 2017-JP6 | |||||||||
Citigroup Commercial Mortgage Trust 2017-C4 | 4.60%, 07/15/2050(c),(e) | 4,000 | 3,927 | |||||||||
4.10%, 10/12/2050(c) | 3,000 | 3,027 | JPMCC Commercial Mortgage Securities Trust | |||||||||
COMM 2013-CCRE11 Mortgage Trust | 2019-COR4 | |||||||||||
0.94%, 08/10/2050(c),(d) | 22,977 | 852 | 1.12%, 03/10/2052(c),(d) | 22,940 | 2,001 | |||||||
COMM 2013-CCRE6 Mortgage Trust | LB Commercial Mortgage Trust 2007-C3 | |||||||||||
1.06%, 03/10/2046(c),(d) | 9,775 | 297 | 6.09%, 07/15/2044(c) | 331 | 335 | |||||||
COMM 2014-CCRE17 Mortgage Trust | Morgan Stanley Bank of America Merrill Lynch | |||||||||||
4.80%, 05/10/2047(c),(e) | 1,600 | 1,535 | Trust 2013-C9 | |||||||||
COMM 2014-UBS3 Mortgage Trust | 3.71%, 05/15/2046(c) | 1,670 | 1,672 | |||||||||
4.78%, 06/10/2047(c) | 1,000 | 1,004 | 4.13%, 05/15/2046(c),(e) | 4,000 | 3,786 | |||||||
COMM 2014-UBS5 Mortgage Trust | Morgan Stanley Bank of America Merrill Lynch | |||||||||||
3.50%, 09/10/2047(e) | 1,000 | 837 | Trust 2014-C14 | |||||||||
COMM 2015-LC19 Mortgage Trust | 1.02%, 02/15/2047(c),(d) | 16,377 | 588 | |||||||||
2.87%, 02/10/2048(e) | 1,000 | 874 | Morgan Stanley Bank of America Merrill Lynch | |||||||||
COMM 2015-LC23 Mortgage Trust | Trust 2014-C15 | |||||||||||
3.65%, 10/10/2048(c),(e) | 2,000 | 1,861 | 0.98%, 04/15/2047(c),(d) | 48,693 | 1,955 | |||||||
4.65%, 10/10/2048(c) | 1,000 | 1,011 | 4.91%, 04/15/2047(c) | 1,000 | 1,035 | |||||||
COMM 2018-COR3 Mortgage Trust | Morgan Stanley Bank of America Merrill Lynch | |||||||||||
4.23%, 05/10/2051 | 2,500 | 2,615 | Trust 2015-C20 | |||||||||
4.56%, 05/10/2051(c) | 3,115 | 3,136 | 4.16%, 02/15/2048 | 1,000 | 1,012 | |||||||
Credit Suisse Commercial Mortgage Trust Series | Morgan Stanley Bank of America Merrill Lynch | |||||||||||
2007-C1 | Trust 2015-C25 | |||||||||||
5.42%, 02/15/2040 | 15 | 15 | 1.12%, 10/15/2048(c),(d) | 29,303 | 1,583 | |||||||
CSAIL 2017-CX10 Commercial Mortgage Trust | Morgan Stanley Bank of America Merrill Lynch | |||||||||||
0.73%, 11/15/2050(c),(d) | 17,625 | 856 | Trust 2017-C33 | |||||||||
1.44%, 05/15/2050(c),(d) | 23,863 | 1,806 |
See accompanying notes.
178
Schedule of Investments Real Estate Debt Income Fund February 28, 2019 (unaudited)
Principal | (a) | Affiliated Security. Security is either an affiliate (and registered under the | ||||||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | Investment Company Act of 1940) or an affiliate as defined by the Investment | ||||||||||||||
Commercial Mortgage Backed Securities (continued) | Company Act of 1940 (controls 5.0% or more of the outstanding voting | |||||||||||||||
Morgan Stanley Capital I 2017-HR2 | shares of the security). Please see affiliated sub-schedule for transactional | |||||||||||||||
2.73%, 12/15/2050 | $ | 1,900 | $ | 1,553 | information. | |||||||||||
Morgan Stanley Capital I Trust 2016-UB11 | (b) | Current yield shown is as of period end. | ||||||||||||||
3.50%, 08/15/2049(c),(e) | 2,554 | 2,236 | (c) | Certain variable rate securities are not based on a published reference rate | ||||||||||||
Morgan Stanley Capital I Trust 2016-UBS9 | and spread but are determined by the issuer or agent and are based on current | |||||||||||||||
4.70%, 03/15/2049(c) | 500 | 508 | market conditions. These securities do not indicate a reference rate and | |||||||||||||
SG Commercial Mortgage Securities Trust | spread in their description. Rate shown is the rate in effect as of period end. | |||||||||||||||
2016-C5 | (d) | Security is an Interest Only Strip. | ||||||||||||||
2.00%, 10/10/2048(c),(d) | 13,652 | 1,354 | (e) | Security exempt from registration under Rule 144A of the Securities Act of | ||||||||||||
UBS-Barclays Commercial Mortgage Trust | 1933. These securities may be resold in transactions exempt from registration, | |||||||||||||||
2012-C3 | normally to qualified institutional buyers. At the end of the period, the value of | |||||||||||||||
5.03%, 08/10/2049(c),(e) | 1,162 | 1,193 | these securities totaled $42,072 or 32.24% of net assets. | |||||||||||||
UBS-Barclays Commercial Mortgage Trust | (f) | Security purchased on a when-issued basis. | ||||||||||||||
2012-C4 | ||||||||||||||||
1.64%, 12/10/2045(c),(d),(e) | 8,256 | 391 | Portfolio Summary (unaudited) | |||||||||||||
Wells Fargo Commercial Mortgage Trust | Sector | Percent | ||||||||||||||
2015-C29 | Mortgage Securities | 97.10 | % | |||||||||||||
0.69%, 06/15/2048(c),(d) | 59,287 | 1,963 | Investment Companies | 4.47 | % | |||||||||||
Wells Fargo Commercial Mortgage Trust | Other Assets and Liabilities | (1.57 | )% | |||||||||||||
2015-LC22 | TOTAL NET ASSETS | 100.00 | % | |||||||||||||
0.86%, 09/15/2058(c),(d) | 21,087 | 904 | ||||||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||||||
2015-NXS1 | ||||||||||||||||
4.10%, 05/15/2048(c) | 3,180 | 2,980 | ||||||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||||||
2015-NXS3 | ||||||||||||||||
4.64%, 09/15/2057(c) | 3,000 | 2,985 | ||||||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||||||
2016-C34 | ||||||||||||||||
2.15%, 06/15/2049(c),(d) | 7,779 | 796 | ||||||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||||||
2016-NXS5 | ||||||||||||||||
4.84%, 01/15/2059(c) | 1,750 | 1,844 | ||||||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||||||
2018-C47 | ||||||||||||||||
4.94%, 09/15/2061(c) | 752 | 766 | ||||||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||||||
2019-C49 | ||||||||||||||||
1.46%, 03/15/2052(c),(d),(f) | 31,000 | 3,009 | ||||||||||||||
WFRBS Commercial Mortgage Trust 2013-C11 | ||||||||||||||||
1.21%, 03/15/2045(c),(d),(e) | 19,823 | 766 | ||||||||||||||
WFRBS Commercial Mortgage Trust 2013-C12 | ||||||||||||||||
1.27%, 03/15/2048(c),(d),(e) | 30,514 | 1,245 | ||||||||||||||
WFRBS Commercial Mortgage Trust 2013-C17 | ||||||||||||||||
1.12%, 12/15/2046(c),(d) | 30,428 | 1,344 | ||||||||||||||
WFRBS Commercial Mortgage Trust 2014-C20 | ||||||||||||||||
3.99%, 05/15/2047(e) | 2,500 | 1,921 | ||||||||||||||
$ | 126,702 | |||||||||||||||
TOTAL BONDS | $ | 126,702 | ||||||||||||||
Total Investments | $ | 132,537 | ||||||||||||||
Other Assets and Liabilities - (1.57)% | (2,043 | ) | ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 130,494 | ||||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | ||||||||||||
Value | Cost | Proceeds | Value | |||||||||||||
Principal Government Money Market Fund 2.33% | $ | 4,395 | $ | 88,815 | $ | 87,375 | $ | 5,835 | ||||||||
$ | 4,395 | $ | 88,815 | $ | 87,375 | $ | 5,835 | |||||||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | ||||||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | |||||||||||||
Principal Government Money Market Fund 2.33% | $ | 57 | $ | — $ | — $ | — | ||||||||||
$ | 57 | $ | — $ | — $ | — | |||||||||||
Amounts in thousands |
See accompanying notes.
179
Schedule of Investments
Small-MidCap Dividend Income Fund
February 28, 2019 (unaudited)
COMMON STOCKS - 98.69% | Shares Held Value (000's) | COMMON STOCKS (continued) | Shares Held Value (000’s) | ||||||||
Aerospace & Defense - 1.38% | Insurance - 6.24% | ||||||||||
MSA Safety Inc | 308,041 | $ | 31,848 | Assured Guaranty Ltd | 1,059,665 | $ | 44,252 | ||||
Airlines - 2.56% | Beazley PLC | 2,745,753 | 19,925 | ||||||||
Alaska Air Group Inc | 568,531 | 35,078 | Fidelity National Financial Inc | 1,059,688 | 37,184 | ||||||
Hawaiian Holdings Inc | 809,802 | 24,092 | James River Group Holdings Ltd | 1,044,535 | 42,920 | ||||||
$ | 59,170 | $ | 144,281 | ||||||||
Automobile Manufacturers - 2.24% | Investment Companies - 0.61% | ||||||||||
NFI Group Inc | 1,968,272 | 51,706 | Oaktree Capital Group LLC | 330,913 | 14,021 | ||||||
Automobile Parts & Equipment - 4.09% | Leisure Products & Services - 1.66% | ||||||||||
Autoliv Inc | 639,942 | 52,354 | Acushnet Holdings Corp | 1,536,724 | 38,280 | ||||||
Linamar Corp | 1,069,678 | 42,065 | Machinery - Diversified - 2.69% | ||||||||
$ | 94,419 | Albany International Corp | 202,088 | 15,672 | |||||||
Banks - 12.79% | IDEX Corp | 81,763 | 11,782 | ||||||||
Bank OZK | 1,843,176 | 60,456 | Nordson Corp | 255,977 | 34,751 | ||||||
BOK Financial Corp | 266,645 | 24,115 | $ | 62,205 | |||||||
Cathay General Bancorp | 360,959 | 14,020 | Media - 0.54% | ||||||||
Cullen/Frost Bankers Inc | 357,520 | 37,068 | Entercom Communications Corp | 2,030,591 | 12,508 | ||||||
East West Bancorp Inc | 785,815 | 42,913 | Miscellaneous Manufacturers - 1.56% | ||||||||
Hope Bancorp Inc | 1,631,466 | 23,787 | Crane Co | 322,860 | 27,304 | ||||||
PacWest Bancorp | 1,618,476 | 66,390 | Donaldson Co Inc | 168,104 | 8,673 | ||||||
Washington Trust Bancorp Inc | 509,673 | 26,707 | $ | 35,977 | |||||||
$ | 295,456 | Oil & Gas - 2.73% | |||||||||
Chemicals - 4.28% | Delek US Holdings Inc | 502,316 | 17,772 | ||||||||
Albemarle Corp | 295,643 | 26,989 | Vermilion Energy Inc | 1,768,176 | 45,227 | ||||||
HB Fuller Co | 455,040 | 22,970 | $ | 62,999 | |||||||
Huntsman Corp | 1,212,553 | 30,059 | Packaging & Containers - 1.17% | ||||||||
RPM International Inc | 328,105 | 18,988 | Packaging Corp of America | 281,766 | 26,934 | ||||||
$ | 99,006 | Pipelines - 3.72% | |||||||||
Computers - 1.60% | EnLink Midstream LLC | 3,385,990 | 37,754 | ||||||||
Leidos Holdings Inc | 574,186 | 37,087 | Phillips 66 Partners LP | 279,330 | 13,704 | ||||||
Consumer Products - 1.50% | Targa Resources Corp | 856,598 | 34,469 | ||||||||
Avery Dennison Corp | 321,173 | 34,700 | $ | 85,927 | |||||||
Distribution & Wholesale - 1.37% | Real Estate - 1.50% | ||||||||||
KAR Auction Services Inc | 671,416 | 31,657 | Newmark Group Inc | 3,754,093 | 34,763 | ||||||
Diversified Financial Services - 2.10% | REITs - 12.10% | ||||||||||
BGC Partners Inc | 7,926,381 | 48,589 | Agree Realty Corp | 282,622 | 18,577 | ||||||
Electric - 6.35% | CyrusOne Inc | 1,197,488 | 59,683 | ||||||||
ALLETE Inc | 405,798 | 32,890 | EastGroup Properties Inc | 126,542 | 13,370 | ||||||
Alliant Energy Corp | 942,723 | 43,243 | EPR Properties | 646,608 | 47,513 | ||||||
Evergy Inc | 673,060 | 37,631 | Four Corners Property Trust Inc | 496,979 | 13,612 | ||||||
Fortis Inc/Canada | 409,252 | 14,753 | Medical Properties Trust Inc | 2,289,223 | 41,733 | ||||||
PNM Resources Inc | 227,539 | 9,939 | National Health Investors Inc | 251,704 | 19,640 | ||||||
Portland General Electric Co | 164,778 | 8,262 | National Retail Properties Inc | 399,202 | 20,798 | ||||||
$ | 146,718 | Omega Healthcare Investors Inc | 743,394 | 26,688 | |||||||
Electrical Components & Equipment - 3.25% | Tanger Factory Outlet Centers Inc | 832,137 | 17,966 | ||||||||
Energizer Holdings Inc | 163,423 | 7,498 | $ | 279,580 | |||||||
Hubbell Inc | 127,378 | 15,037 | Semiconductors - 4.49% | ||||||||
Littelfuse Inc | 272,089 | 52,537 | Kulicke & Soffa Industries Inc | 1,712,074 | 39,926 | ||||||
$ | 75,072 | MKS Instruments Inc | 771,334 | 63,920 | |||||||
Electronics - 0.53% | $ | 103,846 | |||||||||
Garmin Ltd | 145,706 | 12,235 | Software - 1.25% | ||||||||
Food - 3.52% | Broadridge Financial Solutions Inc | 71,123 | 7,201 | ||||||||
B&G Foods Inc | 2,372,691 | 58,416 | j2 Global Inc | 255,397 | 21,712 | ||||||
Ingredion Inc | 248,741 | 22,996 | $ | 28,913 | |||||||
$ | 81,412 | Supranational Bank - 1.19% | |||||||||
Hand & Machine Tools - 2.07% | Banco Latinoamericano de Comercio Exterior SA | 1,313,425 | 27,477 | ||||||||
Lincoln Electric Holdings Inc | 207,644 | 17,945 | Telecommunications - 0.83% | ||||||||
Snap-on Inc | 186,731 | 29,877 | Consolidated Communications Holdings Inc | 1,932,035 | 19,185 | ||||||
$ | 47,822 | Toys, Games & Hobbies - 1.44% | |||||||||
Healthcare - Products - 4.07% | Hasbro Inc | 392,664 | 33,337 | ||||||||
CONMED Corp | 124,002 | 9,536 | TOTAL COMMON STOCKS | $ | 2,280,588 | ||||||
STERIS PLC | 417,592 | 50,512 | |||||||||
TeleflexInc | 117,687 | 34,110 | |||||||||
$ | 94,158 | ||||||||||
Home Builders - 1.27% | |||||||||||
LCI Industries | 359,592 | 29,300 |
See accompanying notes.
180
Schedule of Investments Small-MidCap Dividend Income Fund February 28, 2019 (unaudited)
INVESTMENT COMPANIES - 1.36% | Shares Held Value (000's) | Portfolio Summary (unaudited) | |||||||||||||
Money Market Funds - 1.36% | Sector | Percent | |||||||||||||
Principal Government Money Market Fund | 31,496,798 | $ | 31,497 | Financial | 35.34 | % | |||||||||
2.33%(a),(b) | Consumer, Cyclical | 14.63 | % | ||||||||||||
TOTAL INVESTMENT COMPANIES | $ | 31,497 | Industrial | 12.65 | % | ||||||||||
Total Investments | $ | 2,312,085 | Consumer, Non-cyclical | 9.09 | % | ||||||||||
Other Assets and Liabilities - (0.05)% | (1,187 | ) | Technology | 7.34 | % | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 2,310,898 | Energy | 6.45 | % | ||||||||||
Utilities | 6.35 | % | |||||||||||||
Basic Materials | 4.28 | % | |||||||||||||
(a) | Affiliated Security. Security is either an affiliate (and registered under the | Communications | 1.37 | % | |||||||||||
Investment Company Act of 1940) or an affiliate as defined by the Investment | Investment Companies | 1.36 | % | ||||||||||||
Company Act of 1940 (controls 5.0% or more of the outstanding voting | Government | 1.19 | % | ||||||||||||
shares of the security). Please see affiliated sub-schedule for transactional | Other Assets and Liabilities | (0.05 | )% | ||||||||||||
information. | TOTAL NET ASSETS | 100.00 | % | ||||||||||||
(b) | Current yield shown is as of period end. | ||||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | |||||||||||
Value | Cost | Proceeds | Value | ||||||||||||
Principal Government Money Market Fund 2.33% | $ | 37,731 | $ | 199,372 | $ | 205,606 | $ | 31,497 | |||||||
$ | 37,731 | $ | 199,372 | $ | 205,606 | $ | 31,497 | ||||||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | |||||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | ||||||||||||
Principal Government Money Market Fund 2.33% | $ | 246 | $ | — $ | — $ | — | |||||||||
$ | 246 | $ | — $ | — $ | — | ||||||||||
Amounts in thousands |
See accompanying notes.
181
Glossary to the Schedule of Investments
February 28, 2019(unaudited)
Currency Abbreviations | |
ARS | Argentine Peso |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Chinese Renminbi |
CNY | Chinese Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound Sterling |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli New Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | Turkish Lira |
TWD | New Taiwan Dollar |
USD/$ | United States Dollar |
ZAR | South African Rand |
See accompanying notes.
182
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Financial Highlights
Principal Funds, Inc.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended August 31 (except as noted):
Net Realized | |||||||||||||||||||||||
Net Asset Value, | Net Investment | and Unrealized | Total From | Dividends from | Distributions | Total | |||||||||||||||||
Beginning of | Income (Loss) | Gain (Loss) on | Investment | Net Investment | from Realized | Dividends and | Net Asset Value, | ||||||||||||||||
Period | (a) | Investments | Operations | Income | Gains | Distributions | End of Period | ||||||||||||||||
BLUE CHIP FUND | |||||||||||||||||||||||
Class A shares | |||||||||||||||||||||||
2019 | (c) | $24.49 | ($0.04 | ) | ($0.37 | ) | ($0.41 | ) | $– | ($1.59 | ) | ($1.59 | ) | $ | 22.49 | ||||||||
2018 | 19.91 | (0.07 | ) | 5.24 | 5.17 | – | (0.59 | ) | (0.59 | ) | 24.49 | ||||||||||||
2017 | 16.85 | 0.07 | 3.08 | 3.15 | – | (0.09 | ) | (0.09 | ) | 19.91 | |||||||||||||
2016 | 15.52 | (0.04 | ) | 1.69 | 1.65 | (0.01 | ) | (0.31 | ) | (0.32 | ) | 16.85 | |||||||||||
2015 | 15.07 | (0.01 | ) | 0.86 | 0.85 | (0.02 | ) | (0.38 | ) | (0.40 | ) | 15.52 | |||||||||||
2014 | (g) | 12.93 | 0.03 | 2.14 | 2.17 | (0.03 | ) | – | (0.03 | ) | 15.07 | ||||||||||||
Class C shares | |||||||||||||||||||||||
2019 | (c) | 23.62 | (0.12 | ) | (0.37 | ) | (0.49 | ) | – | (1.59 | ) | (1.59 | ) | 21.54 | |||||||||
2018 | 19.37 | (0.23 | ) | 5.07 | 4.84 | – | (0.59 | ) | (0.59 | ) | 23.62 | ||||||||||||
2017 | 16.52 | (0.07 | ) | 3.01 | 2.94 | – | (0.09 | ) | (0.09 | ) | 19.37 | ||||||||||||
2016 | 15.33 | (0.16 | ) | 1.66 | 1.50 | – | (0.31 | ) | (0.31 | ) | 16.52 | ||||||||||||
2015 | 14.97 | (0.12 | ) | 0.86 | 0.74 | – | (0.38 | ) | (0.38 | ) | 15.33 | ||||||||||||
2014 | (g) | 12.93 | (0.07 | ) | 2.13 | 2.06 | (0.02 | ) | – | (0.02 | ) | 14.97 | |||||||||||
DIVERSIFIED REAL ASSET FUND | |||||||||||||||||||||||
Class A shares | |||||||||||||||||||||||
2019 | (c) | 11.70 | 0.09 | (0.38 | ) | (0.29 | ) | (0.31 | ) | – | (0.31 | ) | 11.10 | ||||||||||
2018 | 11.53 | 0.24 | 0.15 | 0.39 | (0.22 | ) | – | (0.22 | ) | 11.70 | |||||||||||||
2017 | 11.07 | 0.17 | 0.55 | 0.72 | (0.26 | ) | – | (0.26 | ) | 11.53 | |||||||||||||
2016 | 11.22 | 0.17 | (0.27 | ) | (0.10 | ) | (0.05 | ) | – | (0.05 | ) | 11.07 | |||||||||||
2015 | 13.18 | 0.13 | (1.88 | ) | (1.75 | ) | (0.08 | ) | (0.13 | ) | (0.21 | ) | 11.22 | ||||||||||
2014 | 11.72 | 0.16 | 1.45 | 1.61 | (0.04 | ) | (0.11 | ) | (0.15 | ) | 13.18 | ||||||||||||
Class C shares | |||||||||||||||||||||||
2019 | (c) | 11.45 | 0.04 | (0.36 | ) | (0.32 | ) | (0.22 | ) | – | (0.22 | ) | 10.91 | ||||||||||
2018 | 11.29 | 0.14 | 0.15 | 0.29 | (0.13 | ) | – | (0.13 | ) | 11.45 | |||||||||||||
2017 | 10.80 | 0.10 | 0.53 | 0.63 | (0.14 | ) | – | (0.14 | ) | 11.29 | |||||||||||||
2016 | 10.98 | 0.09 | (0.27 | ) | (0.18 | ) | – | – | – | 10.80 | |||||||||||||
2015 | 12.91 | 0.04 | (1.84 | ) | (1.80 | ) | – | (0.13 | ) | (0.13 | ) | 10.98 | |||||||||||
2014 | 11.55 | 0.07 | 1.42 | 1.49 | (0.02 | ) | (0.11 | ) | (0.13 | ) | 12.91 |
See accompanying notes.
184
Financial Highlights (Continued) | ||||||||||||||||||
Principal Funds, Inc. | ||||||||||||||||||
(unaudited) | ||||||||||||||||||
Ratio of Net Investment | ||||||||||||||||||
Net Assets, End of Period (in | Ratio of Expenses to | Ratio of Gross Expenses to | Income to Average Net | |||||||||||||||
Total Return(b) | thousands) | Average Net Assets | Average Net Assets | Assets | Portfolio Turnover Rate | |||||||||||||
(0.79 | )%(d) | $ | 217,178 | 0.99 | %(e) | 1.06%(e),(f) | (0.33 | )%(e) | 21.0 | %(e) | ||||||||
26.45 | 164,310 | 1.09 | 1.09 | (f) | (0.30 | ) | 34.0 | |||||||||||
18.81 | 71,738 | 1.15 | 1.15 | (f) | 0.41 | 27.1 | ||||||||||||
10.77 | 36,575 | 1.28 | 1.28 | (f) | (0.26 | ) | 36.4 | |||||||||||
5.78 | 20,629 | 1.35 | 1.39 | (f) | (0.04 | ) | 26.2 | |||||||||||
16.83 | (d) | 8,637 | 1.35 | (e) | 1.95 | (e),(f) | 0.25 | (e) | 34.4 | (e) | ||||||||
(1.17 | ) (d) | 113,549 | 1.74 | (e) | 1.80 | (e),(f) | (1.09 | ) (e) | 21.0 | (e) | ||||||||
25.47 | 91,660 | 1.84 | 1.84 | (f) | (1.05 | ) | 34.0 | |||||||||||
17.91 | 40,344 | 1.94 | 1.94 | (f) | (0.41 | ) | 27.1 | |||||||||||
9.93 | 21,705 | 2.08 | 2.08 | (f) | (1.06 | ) | 36.4 | |||||||||||
5.04 | 11,985 | 2.10 | 2.33 | (f) | (0.77 | ) | 26.2 | |||||||||||
15.99 | (d) | 3,321 | 2.10 | (e) | 4.22 | (e),(f) | (0.51 | ) (e) | 34.4 | (e) | ||||||||
(2.26 | ) (d) | 90,458 | 1.22 | (e) | 1.29 | (e),(f) | 1.66 | (e) | 63.0 | (e) | ||||||||
3.36 | 107,180 | 1.22 | 1.29 | (f) | 2.05 | 84.1 | ||||||||||||
6.63 | 118,212 | 1.25 | 1.53 | (f) | 1.58 | 65.1 | ||||||||||||
(0.85 | ) | 210,864 | 1.25 | 1.28 | (f) | 1.59 | 77.6 | |||||||||||
(13.33 | ) | 109,677 | 1.25 | 1.25 | (f) | 1.06 | 66.4 | |||||||||||
13.91 | 127,019 | 1.25 | 1.27 | (f) | 1.31 | 67.3 | ||||||||||||
(2.66 | ) (d) | 19,136 | 1.97 | (e) | 2.14 | (e),(f) | 0.83 | (e) | 63.0 | (e) | ||||||||
2.61 | 23,105 | 1.97 | 2.12 | (f) | 1.24 | 84.1 | ||||||||||||
5.83 | (h) | 24,940 | 2.00 | 2.10 | (f) | 0.88 | 65.1 | |||||||||||
(1.55 | ) (h) | 31,350 | 2.00 | 2.12 | (f) | 0.86 | 77.6 | |||||||||||
(13.98 | ) | 45,514 | 2.00 | 2.04 | (f) | 0.30 | 66.4 | |||||||||||
13.07 | 55,741 | 2.00 | 2.04 | (f) | 0.57 | 67.3 |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated without the front-end sales charge or contingent deferred sales charge, if applicable. |
(c) | Six months ended February 28, 2019. |
(d) | Total return amounts have not been annualized. |
(e) | Computed on an annualized basis. |
(f) | Excludes expense reimbursement from Manager. |
(g) | Period from September 30, 2013, date shares first offered, throughAugust 31, 2014. |
(h) | Total return is calculated using the traded net asset value which may differ from the reported net asset value. The traded net asset value is the net asset value which a shareholder would have paid or received from a subscription or redemption. |
See accompanying notes.
185
Financial Highlights
Principal Funds, Inc.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended August 31 (except as noted):
Net Realized | |||||||||||||||||||||||
Net Asset Value, | Net Investment | and Unrealized | Total From | Dividends from | Distributions | Total | |||||||||||||||||
Beginning of | Income (Loss) | Gain (Loss) on | Investment | Net Investment | from Realized | Dividends and | Net Asset Value, | ||||||||||||||||
Period | (a) | Investments | Operations | Income | Gains | Distributions | End of Period | ||||||||||||||||
EDGE MIDCAP FUND | |||||||||||||||||||||||
Class A shares | |||||||||||||||||||||||
2019 | (c) | $11.98 | $0.04 | $1.66 | $1.70 | $– | $– | $– | $ | 13.68 | |||||||||||||
GLOBAL MULTI-STRATEGY FUND | |||||||||||||||||||||||
Class A shares | |||||||||||||||||||||||
2019 | (g) | 11.09 | 0.09 | (0.25 | ) | (0.16 | ) | (0.11 | ) | (0.50 | ) | (0.61 | ) | 10.32 | |||||||||
2018 | 11.28 | 0.11 | (0.01 | ) | 0.10 | (0.05 | ) | (0.24 | ) | (0.29 | ) | 11.09 | |||||||||||
2017 | 10.77 | 0.08 | 0.43 | 0.51 | – | – | – | 11.28 | |||||||||||||||
2016 | 10.91 | 0.01 | 0.14 | 0.15 | (0.06 | ) | (0.23 | ) | (0.29 | ) | 10.77 | ||||||||||||
2015 | 11.04 | (0.06 | ) | 0.16 | 0.10 | (0.06 | ) | (0.17 | ) | (0.23 | ) | 10.91 | |||||||||||
2014 | 10.47 | (0.04 | ) | 0.70 | 0.66 | (0.01 | ) | (0.08 | ) | (0.09 | ) | 11.04 | |||||||||||
Class C shares | |||||||||||||||||||||||
2019 | (g) | 10.75 | 0.05 | (0.24 | ) | (0.19 | ) | (0.03 | ) | (0.50 | ) | (0.53 | ) | 10.03 | |||||||||
2018 | 10.97 | 0.03 | (0.01 | ) | 0.02 | – | (0.24 | ) | (0.24 | ) | 10.75 | ||||||||||||
2017 | 10.56 | (0.01 | ) | 0.42 | 0.41 | – | – | – | 10.97 | ||||||||||||||
2016 | 10.73 | (0.07 | ) | 0.13 | 0.06 | – | (0.23 | ) | (0.23 | ) | 10.56 | ||||||||||||
2015 | 10.90 | (0.15 | ) | 0.15 | – | – | (0.17 | ) | (0.17 | ) | 10.73 | ||||||||||||
2014 | 10.40 | (0.12 | ) | 0.70 | 0.58 | – | (0.08 | ) | (0.08 | ) | 10.90 |
See accompanying notes.
186
Financial Highlights (Continued) | ||||||||||||||||||
Principal Funds, Inc. | ||||||||||||||||||
(unaudited) | ||||||||||||||||||
Ratio of Expenses to | ||||||||||||||||||
Average Net Assets | ||||||||||||||||||
(Excluding Dividends and | ||||||||||||||||||
Interest Expense on Short | ||||||||||||||||||
Sales, Short Sale Fees | Ratio of Gross | Ratio of Net | ||||||||||||||||
Net Assets, End of Period (in | Ratio of Expenses to | and Reverse Repurchase | Expenses to Average | Investment Income to | Portfolio Turnover | |||||||||||||
Total Return(b) | thousands) | Average Net Assets | Agreement Expense) | Net Assets | Average Net Assets | Rate | ||||||||||||
14.19 | %(d) | $ | 797 | 1.20 | %(e) | N/A | 33.43%(e),(f) | 2.0 | %%(e) | 15.1 | %(e) | |||||||
(1.25 | ) (d) | 43,809 | 2.57 | (e),(i) | 2.00% (e),(h),(i) | 2.61 | (e),(f) | 1.72 | (e) | 354.8 | (e) | |||||||
0.90 | 63,860 | 2.48 | 1.95 | (h) | 2.52 | (f) | 1.02 | 378.0 | ||||||||||
4.74 | 112,799 | 2.50 | 1.92 | (h) | 2.52 | (f) | 0.72 | 317.6 | ||||||||||
1.41 | 145,370 | 2.41 | 1.94 | (h) | 2.41 | (f) | 0.11 | 233.9 | ||||||||||
0.93 | 183,527 | 2.39 | 1.95 | (h) | 2.39 | (f) | (0.55 | ) | 142.5 | |||||||||
6.37 | 93,900 | 2.54 | 2.00 | (h) | 2.57 | (f) | (0.36 | ) | 166.4 | |||||||||
(1.64 | ) (d) | 31,644 | 3.33 | (e),(i) | 2.76 | (e),(h),(i) | 3.38 | (e),(f) | 0.98 | (e) | 354.8 | (e) | ||||||
0.16 | 41,343 | 3.26 | 2.73 | (h) | 3.30 | (f) | 0.24 | 378.0 | ||||||||||
3.88 | 48,130 | 3.31 | 2.73 | (h) | 3.33 | (f) | (0.08 | ) | 317.6 | |||||||||
0.61 | 56,557 | 3.22 | 2.75 | (h) | 3.24 | (f) | (0.68 | ) | 233.9 | |||||||||
0.05 | 60,317 | 3.19 | 2.75 | (h) | 3.21 | (f) | (1.37 | ) | 142.5 | |||||||||
5.64 | 42,783 | 3.29 | 2.75 | (h) | 3.38 | (f) | (1.11 | ) | 166.4 |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated without the front-end sales charge or contingent deferred sales charge, if applicable. |
(c) | Period from December 31, 2018, date shares first offered, through February 28, 2019. |
(d) | Total return amounts have not been annualized. |
(e) | Computed on an annualized basis. |
(f) | Excludes expense reimbursement from Manager. |
(g) | Six months ended February 28, 2019. |
(h) | Excludes dividends and interest expense on short sales,short sale fees and reverse repurchase agreement expense. See "Operating Policies" in notes to financialstatements. |
(i) | Includes 0.01% of expenses associated with Fund investments. The expense is not subject to the Manager’s contractual expense limit. |
See accompanying notes.
187
Financial Highlights
Principal Funds, Inc.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended August 31 (except as noted):
Net Realized | ||||||||||||||||||||||||||||||
Net Asset Value, | Net Investment | and Unrealized | Total From | Dividends from | Distributions | Total | ||||||||||||||||||||||||
Beginning of | Income (Loss) | Gain (Loss) on | Investment | Net Investment | from Realized | Dividends and | Net Asset Value, | |||||||||||||||||||||||
Period | (a) | Investments | Operations | Income | Gains | Distributions | End of Period | |||||||||||||||||||||||
GLOBAL OPPORTUNITIES FUND | ||||||||||||||||||||||||||||||
Class A shares | ||||||||||||||||||||||||||||||
2019 | (c) | $ | 12.92 | $ | 0.01 | ($1.23 | ) | ($1.22 | ) | ($2.71 | ) | ($5.35 | ) | ($8.06 | ) | $ | 3.64 | |||||||||||||
2018 | 13.01 | 0.09 | 1.06 | 1.15 | (0.31 | ) | (0.93 | ) | (1.24 | ) | 12.92 | |||||||||||||||||||
2017 | 11.45 | 0.10 | 1.58 | 1.68 | (0.12 | ) | – | (0.12 | ) | 13.01 | ||||||||||||||||||||
2016 | 11.36 | 0.10 | 0.18 | 0.28 | (0.09 | ) | (0.10 | ) | (0.19 | ) | 11.45 | |||||||||||||||||||
2015 | 13.20 | 0.10 | (0.67 | ) | (0.57 | ) | (0.06 | ) | (1.21 | ) | (1.27 | ) | 11.36 | |||||||||||||||||
2014 | (g) | 11.45 | 0.07 | 1.74 | 1.81 | (0.06 | ) | – | (0.06 | ) | 13.20 | |||||||||||||||||||
INTERNATIONAL SMALL COMPANY FUND | ||||||||||||||||||||||||||||||
Class A shares | ||||||||||||||||||||||||||||||
2019 | (c) | 12.29 | (0.01 | ) | (1.18 | ) | (1.19 | ) | (0.09 | ) | (0.73 | ) | (0.82 | ) | 10.28 | |||||||||||||||
2018 | 12.09 | 0.08 | 0.68 | 0.76 | (0.19 | ) | (0.37 | ) | (0.56 | ) | 12.29 | |||||||||||||||||||
2017 | 9.80 | 0.06 | 2.24 | 2.30 | (0.01 | ) | – | (0.01 | ) | 12.09 | ||||||||||||||||||||
2016 | 9.59 | 0.06 | 0.27 | 0.33 | (0.12 | ) | – | (0.12 | ) | 9.80 | ||||||||||||||||||||
2015 | 9.86 | 0.06 | (0.28 | ) | (0.22 | ) | (0.05 | ) | – | (0.05 | ) | 9.59 | ||||||||||||||||||
2014 | (h) | 10.00 | (0.01 | ) | (0.13 | ) | (0.14 | ) | – | – | – | 9.86 |
See accompanying notes.
188
Financial Highlights (Continued) | |||||||||||||
Principal Funds, Inc. | |||||||||||||
(unaudited) | |||||||||||||
Ratio of Net Investment | |||||||||||||
Net Assets, End of | Ratio of Expenses to | Average Ratio of Gross Expenses to Average | Income to Average Net | ||||||||||
Total Return(b) | Period (in thousands) | Net Assets | Net Assets | Assets | Portfolio Turnover Rate | ||||||||
(2.32 | )%(d) | $ | 6,959 | 1.50 | %(e) | 2.39%(e),(f) | 0.33 | %(e) | 42.5 | %(e) | |||
9.19 | 5,098 | 1.50 | 1.92 | (f) | 0.73 | 93.2 | |||||||
14.86 | 4,555 | 1.50 | 1.98 | (f) | 0.84 | 117.1 | |||||||
2.50 | 4,940 | 1.50 | 1.92 | (f) | 0.90 | 145.3 | |||||||
(4.36 | ) | 4,054 | 1.50 | 2.16 | (f) | 0.82 | 138.7 | ||||||
15.86 | (d) | 2,540 | 1.50 | (e) | 3.95 (e) | ,(f) | 0.61 | (e) | 128.4 | (e) | |||
(8.85 | ) (d) | 4,596 | 1.60 | (e) | 2.21 (e) | ,(f) | (0.10 | ) (e) | 44.4 | (e) | |||
6.26 | 5,204 | 1.60 | 2.21 | (f) | 0.61 | 45.9 | |||||||
23.48 | 2,699 | 1.60 | 2.92 | (f) | 0.54 | 58.8 | |||||||
3.47 | 2,026 | 1.60 | 2.48 | (f) | 0.61 | 49.9 | |||||||
(2.23 | ) | 5,469 | 1.60 | 2.70 | (f) | 0.63 | 62.8 | ||||||
(1.40 | ) (d) | 4,054 | 1.60 | (e) | 6.49 (e) | ,(f) | (0.25 | ) (e) | 49.2 | (e) |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated without the front-end sales charge or contingent deferred sales charge, if applicable. |
(c) | Six months ended February 28, 2019. |
(d) | Total return amounts have not been annualized. |
(e) | Computed on an annualized basis. |
(f) | Excludes expense reimbursement from Manager. |
(g) | Period from September 30, 2013, date shares first offered, throughAugust 31, 2014. |
(h) | Period from June 11, 2014, date shares first offered, throughAugust 31, 2014. |
See accompanying notes.
189
Financial Highlights | |||||||||||||||||||||||||||
Principal Funds, Inc. | |||||||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||||
Selected data for a share of Capital Stock outstanding throughout each year ended August 31 (except as noted): | |||||||||||||||||||||||||||
Net Realized | |||||||||||||||||||||||||||
Net Asset Value, | Net Investment | and Unrealized | Total From | Dividends from | Distributions | Total | |||||||||||||||||||||
Beginning of | Income (Loss) | Gain (Loss) on | Investment | Net Investment | from Realized | Dividends and | Net Asset Value, | ||||||||||||||||||||
Period | (a) | Investments | Operations | Income | Gains | Distributions | End of Period | ||||||||||||||||||||
MULTI-MANAGER EQUITY LONG/SHORT FUND | |||||||||||||||||||||||||||
Class A shares | |||||||||||||||||||||||||||
2019 | (c) | $ | 10.69 | $– | ($0.41 | ) | ($0.41 | ) | $– | ($1.12 | ) | ($1.12 | ) | $ | 9.16 | ||||||||||||
2018 | 10.57 | (0.05 | ) | 0.69 | 0.64 | (0.06 | ) | (0.46 | ) | (0.52 | ) | 10.69 | |||||||||||||||
2017 | 9.97 | (0.10 | ) | 0.78 | 0.68 | (0.05 | ) | (0.03 | ) | (0.08 | ) | 10.57 | |||||||||||||||
2016 | (h) | 10.00 | (0.05 | ) | 0.02 | (0.03 | ) | – | – | – | 9.97 | ||||||||||||||||
OPPORTUNISTIC MUNICIPAL FUND | |||||||||||||||||||||||||||
Class A shares | |||||||||||||||||||||||||||
2019 | (c) | 10.60 | 0.22 | (0.05 | ) | 0.17 | (0.20 | ) | – | (0.20 | ) | 10.57 | |||||||||||||||
2018 | 10.65 | 0.42 | (0.07 | ) | 0.35 | (0.40 | ) | – | (0.40 | ) | 10.60 | ||||||||||||||||
2017 | 11.03 | 0.40 | (0.40 | ) | – | (0.38 | ) | – | (0.38 | ) | 10.65 | ||||||||||||||||
2016 | 10.20 | 0.38 | 0.82 | 1.20 | (0.37 | ) | – | (0.37 | ) | 11.03 | |||||||||||||||||
2015 | 10.09 | 0.42 | 0.10 | 0.52 | (0.41 | ) | – | (0.41 | ) | 10.20 | |||||||||||||||||
2014 | 9.12 | 0.44 | 0.96 | 1.40 | (0.43 | ) | – | (0.43 | ) | 10.09 |
See accompanying notes.
190
Financial Highlights (Continued) | |||||||||||||||||
Principal Funds, Inc. | |||||||||||||||||
(unaudited) | |||||||||||||||||
Ratio of Expenses to | |||||||||||||||||
Average Net Assets | Ratio of Expenses to | Ratio of Net | |||||||||||||||
Net Assets, End | (Excluding Dividends and | Average Net Assets | Ratio of Gross | Investment Income | |||||||||||||
of Period (in | Ratio of Expenses to | Interest Expense on Short | (Excluding Interest | Expenses to Average | to Average Net | Portfolio Turnover | |||||||||||
Total Return(b) | thousands) | Average Net Assets | Sales and Short Sale Fees) | Expense and Fees) | Net Assets | Assets | Rate | ||||||||||
(3.19 | )%(d) | 2.45 | %(e) | 2.02%(e),(f) | N/A | 8.17%(e),(g) | (0.10 | )%(e) | 308.3 | %(e) | |||||||
6.04 | 468 | 2.74 | 2.02 | (f) | N/A | 9.81 | (g) | (0.46 | ) | 267.7 | |||||||
6.80 | 113 | 2.84 | 2.02 | (f) | N/A | 30.68 | (g) | (0.96 | ) | 301.2 | |||||||
(0.30 | ) (d) | 55 | 2.80 | (e) | 2.02 | (e),(f) | N/A | 219.49 (e) | ,(g) | (1.24 | ) (e) | 412.4 | (e) | ||||
1.67 | (d) | 48,434 | 1.02 | (e) | N/A | 0.88% (e),(i) | 1.07 (e) | ,(g) | 4.17 | (e) | 70.2 | (e) | |||||
3.37 | 46,667 | 1.00 | N/A | 0.90 | (i) | 1.02 | (g) | 3.94 | 76.0 | ||||||||
0.13 | 40,758 | 0.95 | N/A | 0.89 | (i) | 0.95 | (g) | 3.83 | 67.9 | ||||||||
11.94 | 49,208 | 0.95 | N/A | 0.90 | (i) | 0.97 | (g) | 3.52 | 53.5 | ||||||||
5.17 | 22,568 | 0.96 | N/A | 0.90 | (i) | 1.10 | (g) | 4.06 | 54.9 | ||||||||
15.71 | 16,305 | 1.01 | N/A | 0.90 | (i) | 1.21 | (g) | 4.57 | 78.4 |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated without the front-end sales charge or contingent deferred sales charge, if applicable. |
(c) | Six months ended February 28, 2019. |
(d) | Total return amounts have not been annualized. |
(e) | Computed on an annualized basis. |
(f) | Excludes dividends and interest expense on short sales and short sale fees. See "Operating Policies" in notes to financial statements. |
(g) | Excludes expense reimbursement from Manager. |
(h) | Period from March 31, 2016, date shares first offered, throughAugust 31, 2016. |
(i) | Excludes interest expense and fees paid through inverse floater agreements. See "Operating Policies" in notes to financial statements. |
See accompanying notes.
191
Financial Highlights
Principal Funds, Inc.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended August 31 (except as noted):
Net Realized | |||||||||||||||||||||||
Net Asset Value, | Net Investment | and Unrealized | Total From | Dividends from | Distributions | Total | |||||||||||||||||
Beginning of | Income (Loss) | Gain (Loss) on | Investment | Net Investment | from Realized | Dividends and | Net Asset Value, | ||||||||||||||||
Period | (a) | Investments | Operations | Income | Gains | Distributions | End of Period | ||||||||||||||||
ORIGIN EMERGING MARKETS FUND | |||||||||||||||||||||||
Class A shares | |||||||||||||||||||||||
2019 | (c) | $11.28 | ($0.01 | ) | ($0.64 | ) | ($0.65 | ) | ($0.08 | ) | $– | ($0.08 | ) | $ | 10.55 | ||||||||
2018 | 11.74 | 0.12 | (0.52 | ) | (0.40 | ) | (0.06 | ) | – | (0.06 | ) | 11.28 | |||||||||||
2017 | 9.07 | 0.18 | 2.52 | 2.70 | (0.03 | ) | – | (0.03 | ) | 11.74 | |||||||||||||
2016 | 8.55 | 0.04 | 0.56 | 0.60 | (0.08 | ) | – | (0.08 | ) | 9.07 | |||||||||||||
2015 | (g) | 10.00 | (0.03 | ) | (1.42 | ) | (1.45 | ) | – | – | – | 8.55 | |||||||||||
PREFERRED SECURITIES FUND | |||||||||||||||||||||||
Class A shares | |||||||||||||||||||||||
2019 | (c) | 10.06 | 0.24 | (0.15 | ) | 0.09 | (0.27 | ) | – | (0.27 | ) | 9.88 | |||||||||||
2018 | 10.53 | 0.50 | (0.46 | ) | 0.04 | (0.49 | ) | (0.02 | ) | (0.51 | ) | 10.06 | |||||||||||
2017 | 10.36 | 0.49 | 0.24 | 0.73 | (0.47 | ) | (0.09 | ) | (0.56 | ) | 10.53 | ||||||||||||
2016 | 10.24 | 0.49 | 0.19 | 0.68 | (0.47 | ) | (0.09 | ) | (0.56 | ) | 10.36 | ||||||||||||
2015 | 10.56 | 0.50 | (0.13 | ) | 0.37 | (0.51 | ) | (0.18 | ) | (0.69 | ) | 10.24 | |||||||||||
2014 | 10.17 | 0.53 | 0.66 | 1.19 | (0.53 | ) | (0.27 | ) | (0.80 | ) | 10.56 | ||||||||||||
Class C shares | |||||||||||||||||||||||
2019 | (c) | 10.05 | 0.21 | (0.15 | ) | 0.06 | (0.24 | ) | – | (0.24 | ) | 9.87 | |||||||||||
2018 | 10.52 | 0.42 | (0.46 | ) | (0.04 | ) | (0.41 | ) | (0.02 | ) | (0.43 | ) | 10.05 | ||||||||||
2017 | 10.35 | 0.42 | 0.23 | 0.65 | (0.39 | ) | (0.09 | ) | (0.48 | ) | 10.52 | ||||||||||||
2016 | 10.23 | 0.42 | 0.19 | 0.61 | (0.40 | ) | (0.09 | ) | (0.49 | ) | 10.35 | ||||||||||||
2015 | 10.55 | 0.42 | (0.13 | ) | 0.29 | (0.43 | ) | (0.18 | ) | (0.61 | ) | 10.23 | |||||||||||
2014 | 10.16 | 0.45 | 0.66 | 1.11 | (0.45 | ) | (0.27 | ) | (0.72 | ) | 10.55 |
See accompanying notes.
192
Financial Highlights (Continued) | ||||||||||||||||||
Principal Funds, Inc. | ||||||||||||||||||
(unaudited) | ||||||||||||||||||
Ratio of Net Investment | ||||||||||||||||||
Net Assets, End of Period (in | Ratio of Expenses to | Ratio of Gross Expenses to | Income to Average Net | |||||||||||||||
Total Return(b) | thousands) | Average Net Assets | Average Net Assets | Assets | Portfolio Turnover Rate | |||||||||||||
(5.65 | )%(d) | $ | 2,370 | 1.71 | %(e) | 2.54%(e),(f) | (0.21 | )%(e) | 51.0 | %(e) | ||||||||
(3.49 | ) | 4,384 | 1.75 | 2.28 | (f) | 0.97 | 52.3 | |||||||||||
29.91 | 3,003 | 1.75 | 5.66 | (f) | 1.83 | 66.3 | ||||||||||||
7.03 | 401 | 1.75 | �� | 9.54 | (f) | 0.47 | 69.0 | |||||||||||
(14.50) (d),(h) | 210 | 1.75 | (e) | 8.96 | (e),(f) | (0.50 | ) (e) | 86.6 | (e) | |||||||||
1.01 | (d) | 614,919 | 1.07 | (e) | – | 5.03 | (e) | 13.6 | (e) | |||||||||
0.32 | 655,225 | 1.06 | – | 4.83 | 12.3 | |||||||||||||
7.31 | 732,471 | 1.06 | – | 4.81 | 16.1 | |||||||||||||
6.89 | 883,381 | 1.07 | – | 4.83 | 13.9 | |||||||||||||
3.67 | 712,591 | 1.07 | – | 4.79 | 16.9 | |||||||||||||
12.35 | 846,597 | 1.05 | – | 5.18 | 20.1 | |||||||||||||
0.63 | (d) | 540,191 | 1.81 | (e) | – | 4.29 | (e) | 13.6 | (e) | |||||||||
(0.44 | ) | 631,599 | 1.81 | – | 4.08 | 12.3 | ||||||||||||
6.53 | 751,561 | 1.81 | – | 4.07 | 16.1 | |||||||||||||
6.11 | 859,055 | 1.81 | – | 4.09 | 13.9 | |||||||||||||
2.90 | 772,501 | 1.82 | – | 4.05 | 16.9 | |||||||||||||
11.52 | 806,937 | 1.81 | – | 4.43 | 20.1 |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated without the front-end sales charge or contingent deferred sales charge, if applicable. |
(c) | Six months ended February 28, 2019. |
(d) | Total return amounts have not been annualized. |
(e) | Computed on an annualized basis. |
(f) | Excludes expense reimbursement from Manager. |
(g) | Period from January 23, 2015, date shares first offered, throughAugust 31, 2015. |
(h) | During 2015, the Class experienced a significant withdrawal of monies by an affiliate.As the remaining shareholders held relatively small positions, the totalreturn amounts expressed herein are greater than those that would have been experienced without the withdrawal. |
See accompanying notes.
193
Financial Highlights
Principal Funds, Inc.
(unaudited)
Selected data for a share of Capital Stock outstanding throughout each year ended August 31 (except as noted):
Net Realized | |||||||||||||||||||||||
Net Asset Value, | Net Investment | and Unrealized | Total From | Dividends from | Distributions | Total | |||||||||||||||||
Beginning of | Income (Loss) | Gain (Loss) on | Investment | Net Investment | from Realized | Dividends and | Net Asset Value, | ||||||||||||||||
Period | (a) | Investments | Operations | Income | Gains | Distributions | End of Period | ||||||||||||||||
REAL ESTATE DEBT INCOME FUND | |||||||||||||||||||||||
Class A shares | |||||||||||||||||||||||
2019 | (c) | $9.54 | $0.17 | $0.08 | $0.25 | ($0.18 | ) | $– | ($0.18 | ) | $ | 9.61 | |||||||||||
2018 | 9.85 | 0.30 | (0.30 | ) | – | (0.31 | ) | – | (0.31 | ) | 9.54 | ||||||||||||
2017 | 9.97 | 0.31 | (0.14 | ) | 0.17 | (0.29 | ) | – | (0.29 | ) | 9.85 | ||||||||||||
2016 | 9.75 | 0.33 | 0.17 | 0.50 | (0.28 | ) | – | (0.28 | ) | 9.97 | |||||||||||||
2015 | (h) | 10.00 | 0.22 | (0.26 | ) | (0.04 | ) | (0.21 | ) | – | (0.21 | ) | 9.75 | ||||||||||
SMALL-MIDCAP DIVIDEND INCOME FUND | |||||||||||||||||||||||
Class A shares | |||||||||||||||||||||||
2019 | (c) | 17.84 | 0.10 | (1.66 | ) | (1.56 | ) | (0.23 | ) | (1.89 | ) | (2.12 | ) | 14.16 | |||||||||
2018 | 16.57 | 0.34 | 1.92 | 2.26 | (0.21 | ) | (0.78 | ) | (0.99 | ) | 17.84 | ||||||||||||
2017 | 14.95 | 0.35 | 1.60 | 1.95 | (0.33 | ) | – | (0.33 | ) | 16.57 | |||||||||||||
2016 | 12.73 | 0.34 | 2.44 | 2.78 | (0.30 | ) | (0.26 | ) | (0.56 | ) | 14.95 | ||||||||||||
2015 | 14.34 | 0.37 | (1.39 | ) | (1.02 | ) | (0.28 | ) | (0.31 | ) | (0.59 | ) | 12.73 | ||||||||||
2014 | 12.25 | 0.37 | 2.24 | 2.61 | (0.26 | ) | (0.26 | ) | (0.52 | ) | 14.34 | ||||||||||||
Class C shares | |||||||||||||||||||||||
2019 | (c) | 17.68 | 0.05 | (1.66 | ) | (1.61 | ) | (0.16 | ) | (1.89 | ) | (2.05 | ) | 14.02 | |||||||||
2018 | 16.43 | 0.21 | 1.90 | 2.11 | (0.08 | ) | (0.78 | ) | (0.86 | ) | 17.68 | ||||||||||||
2017 | 14.84 | 0.23 | 1.60 | 1.83 | (0.24 | ) | – | (0.24 | ) | 16.43 | |||||||||||||
2016 | 12.65 | 0.24 | 2.41 | 2.65 | (0.20 | ) | (0.26 | ) | (0.46 | ) | 14.84 | ||||||||||||
2015 | 14.26 | 0.26 | (1.37 | ) | (1.11 | ) | (0.19 | ) | (0.31 | ) | (0.50 | ) | 12.65 | ||||||||||
2014 | 12.21 | 0.25 | 2.24 | 2.49 | (0.18 | ) | (0.26 | ) | (0.44 | ) | 14.26 |
See accompanying notes.
194
Financial Highlights (Continued) | ||||||||||||||||||
Principal Funds, Inc. | ||||||||||||||||||
(unaudited) | ||||||||||||||||||
Ratio of Net Investment | ||||||||||||||||||
Net Assets, End of Period (in | Ratio of Expenses to | Ratio of Gross Expenses to | Income to Average Net | |||||||||||||||
Total Return(b) | thousands) | Average Net Assets | Average Net Assets | Assets | Portfolio Turnover Rate | |||||||||||||
2.68 | %(d) | $ | 2,168 | 1.00 | %(e) | 2.52%(e),(f) | 3.61 | %(e) | 37.7 | %(e) | ||||||||
0.01 | 1,200 | 1.00 | 3.09 | (f) | 3.17 | 27.7 | ||||||||||||
1.75 | 1,149 | 1.00 | 4.07 | (f) | 3.22 | 13.1 | ||||||||||||
5.27 | (g) | 831 | 1.00 | 1.04 | (f) | 3.48 | 20.1 | |||||||||||
(0.39) (d) | 22,075 | 1.00 | (e) | 1.14 | (e),(f) | 3.29 | (e) | 42.2 | (e) | |||||||||
(7.34) (d) | 162,729 | 1.13 | (e) | 1.18 | (e),(f) | 1.37 | (e) | 21.4 | (e) | |||||||||
13.93 | 214,620 | 1.13 | 1.15 | (f) | 1.98 | 31.5 | ||||||||||||
13.17 | 232,872 | 1.17 | – | 2.15 | 25.5 | |||||||||||||
22.61 | 207,431 | 1.17 | – | 2.56 | 25.8 | |||||||||||||
(7.28 | ) | 167,966 | 1.18 | 1.18 | (f) | 2.69 | 29.3 | |||||||||||
21.70 | 175,636 | 1.20 | 1.20 | (f) | 2.70 | 18.2 | ||||||||||||
(7.68) (d) | 135,041 | 1.88 | (e) | 1.92 | (e),(f) | 0.62 | (e) | 21.4 | (e) | |||||||||
13.08 | 170,893 | 1.88 | 1.90 | (f) | 1.23 | 31.5 | ||||||||||||
12.37 | 178,599 | 1.92 | 1.92 | (f) | 1.41 | 25.5 | ||||||||||||
21.57 | 165,335 | 1.94 | 1.94 | (f) | 1.79 | 25.8 | ||||||||||||
(7.95 | ) | 133,541 | 1.97 | 1.97 | (f) | 1.90 | 29.3 | |||||||||||
20.71 | 100,066 | 2.01 | 2.01 | (f) | 1.86 | 18.2 |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated without the front-end sales charge or contingent deferred sales charge, if applicable. |
(c) | Six months ended February 28, 2019. |
(d) | Total return amounts have not been annualized. |
(e) | Computed on an annualized basis. |
(f) | Excludes expense reimbursement from Manager. |
(g) | During 2016, the Class experienced a significant withdrawal of monies by an affiliate.As the remaining shareholders held relatively small positions, the totalreturn amounts expressed herein are greater than those that would have been experienced without the withdrawal. |
(h) | Period from December 31, 2014, date shares first offered, throughAugust 31, 2015. |
See accompanying notes.
195
Shareholder Expense Example
Principal Funds, Inc.
February 28, 2019 (unaudited)
As a shareholder of Principal Funds, Inc., you incur two types of costs: (1) transaction costs, including sales charges on purchase payments and contingent deferred sales charges; and (2) ongoing costs, including management fees; distribution fees; and other fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Principal Funds, Inc. and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2018 to February 28, 2019), unless otherwise noted.
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the informationin this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply 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 in thefirst section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during thisperiod. Class A and Class C shares may be purchased through retirement plans. Such plans my impose fees in addition to those charged by the fund. These fees are not included in the table below. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second section of the table below 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% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in Principal Funds, Inc. and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, suchas sales charges on purchase payments, contingent deferred sales charges, redemption fees or exchange fees. Therefore, the second section of 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 transaction costs were included, your costs would have been higher.
Actual | Hypothetical | ||||||||||||||||
Expenses Paid | Expenses Paid | ||||||||||||||||
During Period | During Period | ||||||||||||||||
Beginning | September | Ending | September | ||||||||||||||
Account | Ending Account | 1, 2018 to | Account Value | 1, 2018 to | Annualized | ||||||||||||
Value September | ValueFebruary 28, | February 28, | Beginning | February 28, | February 28, | Expense | |||||||||||
1, 2018 | 2019 | 2019 | (a) | Account | 2019 | 2019 | (a) | Ratio | |||||||||
Blue Chip Fund | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 992.07 | $ | 4.89 | $ | 1,000.00 | $ | 1,019.89 | $ | 4.96 | 0.99 | % | |||
Class C | 1,000.00 | 988.29 | 8.58 | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||
Diversified Real Asset Fund | |||||||||||||||||
Class A | 1,000.00 | 977.43 | 5.98 | 1,000.00 | 1,018.74 | 6.11 | 1.22 | ||||||||||
Class C | 1,000.00 | 973.38 | 9.64 | 1,000.00 | 1,015.03 | 9.84 | 1.97 | ||||||||||
EDGE MidCap Fund | |||||||||||||||||
Class A | 1,000.00 | 1,141.90 | 2.08 | (b) | 1,000.00 | 1,018.84 | 6.01 | 1.20 | |||||||||
Global Multi-Strategy Fund | |||||||||||||||||
Class A | 1,000.00 | 987.53 | 12.66 | 1,000.00 | 1,012.05 | 12.82 | 2.57 | ||||||||||
Class C | 1,000.00 | 983.56 | 16.38 | 1,000.00 | 1,008.28 | 16.58 | 3.33 | ||||||||||
Global Multi-Strategy Fund (Excluding Dividends and Interest Expense on Shorts) | |||||||||||||||||
Class A | 1,000.00 | 987.50 | 9.86 | 1,000.00 | 1,014.75 | 10.04 | 2.00 | ||||||||||
Class C | 1,000.00 | 983.60 | 13.57 | 1,000.00 | 1,010.94 | 13.86 | 2.76 | ||||||||||
Global Opportunities Fund | |||||||||||||||||
Class A | 1,000.00 | 976.79 | 7.35 | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||
International Small Company | |||||||||||||||||
Fund | |||||||||||||||||
Class A | 1,000.00 | 911.46 | 7.58 | 1,000.00 | 1,016.86 | 8.00 | 1.60 | ||||||||||
Multi-Manager Equity Long/ | |||||||||||||||||
Short Fund | |||||||||||||||||
Class A | 1,000.00 | 968.05 | 11.96 | 1,000.00 | 1,012.65 | 12.23 | 2.45 |
196
Shareholder Expense Example | |||||||||||||||||
Principal Funds, Inc. | |||||||||||||||||
February 28, 2019 (unaudited) | |||||||||||||||||
Actual | Hypothetical | ||||||||||||||||
Expenses Paid | Expenses Paid | ||||||||||||||||
During Period | During Period | ||||||||||||||||
Beginning | September | Ending | September | ||||||||||||||
Account | Ending Account | 1, 2018 to | Account Value | 1, 2018 to | Annualized | ||||||||||||
Value September | ValueFebruary 28, | February 28, | Beginning | February 28, | February 28, | Expense | |||||||||||
1, 2018 | 2019 | 2019 | (a) | Account | 2019 | 2019 | (a) | Ratio | |||||||||
Multi-Manager Equity Long/Short Fund (Excluding Dividend and Interest Expense on Short | |||||||||||||||||
Sales and Short Sale Fees) | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 968.10 | $ | 9.86 | $ | 1,000.00 | $ | 1,014.65 | $ | 10.14 | 2.02 | % | |||
Opportunistic Municipal Fund | |||||||||||||||||
Class A | 1,000.00 | 1,016.69 | 5.30 | 1,000.00 | 1,019.54 | 5.31 | 1.06 | ||||||||||
Opportunistic Municipal Fund (Excluding Interest Expense Fees) | |||||||||||||||||
Class A | 1,000.00 | 1,016.70 | 4.40 | 1,000.00 | 1,020.38 | 4.42 | 0.88 | ||||||||||
Origin Emerging Markets Fund | |||||||||||||||||
Class A | 1,000.00 | 943.47 | 8.24 | 1,000.00 | 1,016.31 | 8.55 | 1.71 | ||||||||||
Preferred Securities Fund | |||||||||||||||||
Class A | 1,000.00 | 1,010.08 | 5.33 | 1,000.00 | 1,019.49 | 5.36 | 1.07 | ||||||||||
Class C | 1,000.00 | 1,006.35 | 9.00 | 1,000.00 | 1,015.82 | 9.05 | 1.81 | ||||||||||
Real Estate Debt Income Fund | |||||||||||||||||
Class A | 1,000.00 | 1,026.76 | 5.03 | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||
Small-MidCap Dividend Income | |||||||||||||||||
Fund | |||||||||||||||||
Class A | 1,000.00 | 926.56 | 5.40 | 1,000.00 | 1,019.19 | 5.66 | 1.13 | ||||||||||
Class C | 1,000.00 | 923.22 | 8.96 | 1,000.00 | 1,015.47 | 9.39 | 1.88 |
(a) | Expenses are equal to a fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
(b) | Expenses are equal to a fund's annualized expense ratio multiplied by the average account value over the period (December 31, 2018, to February 28, 2019), multiplied by58/365 (to reflect the period since inception). |
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Principal Funds, Inc.
(unaudited)
Notification of Source of Distributions
Pursuant to Rule 19a-1 of the Investment Company Act of 1940
As noted in the table provided below, certain of the Principal Funds made distributions for the months of December 2018, February 2019, and March 2019 for which a portion is estimated to be in excess of the fund’s current and accumulated net income. As of these month ends, the estimated sources of these distributions were as follows:
December 2018 | |||||||||
Fund | Net Income | Realized Gain | Capital Sources | ||||||
Blue Chip Fund | 0.00 | % | 100.00 | % | 0.00 | % | |||
Diversified Real Asset Fund | 82.07 | 0.00 | 17.93 | ||||||
Global Opportunities Fund | 93.81 | 6.19 | 0.00 | ||||||
International Small Company Fund | 4.58 | 0.00 | 95.42 | ||||||
Multi-Manager Equity Long/Short Fund | 0.00 | 0.00 | 100.00 | ||||||
February 2019 | |||||||||
Fund | Net Income | Realized Gain | Capital Sources | ||||||
Real Estate Debt Income Fund | 98.44 | % | 0.00 | % | 1.56 | % | |||
March 2019 | |||||||||
Fund | Net Income | Realized Gain | Capital Sources | ||||||
Real Estate Debt Income Fund | 99.50 | % | 0.00 | % | 0.50 | % |
The ultimate composition of these distributions may vary from the estimates provided above due to a variety of factors including future income and expenses, and realized gains and losses from the purchase and sale of securities.
Please note that this information is being provided to satisfy certain notice requirements under the Investment Company Act of 1940. Taxreporting information for shareholders of the funds will not be available until the end of the funds’ fiscal year.
As a result, shareholders should not use the information provided in this notice for tax reporting purposes.
Notices are posted monthly on our website atprincipalfunds.com/sources-of-distribution. You may also request a copy of such notices, free of charge, by telephoning 800-222-5852.
This material is not authorized for distribution unless preceded or accompanied by a current prospectus that includes more informationregarding the risk factors, expenses, policies, and objectives of the investment. Contact your financial professional or call800-222-5852to obtain another copy of the prospectus. Read the prospectus carefully before investing.
A mutual fund's share price and investment return will vary with market conditions, and the principal value of an investment when you sell your shares may be more or less than the original cost.
Principal Funds are distributed by Principal Funds Distributor, Inc.
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FUND DIRECTORS AND OFFICERS
Under Maryland law, a Board of Directors oversees the Fund. The Directors have financial or other relevant experience and meet severaltimes during the year to review contracts, Fund activities and the quality of services provided to the Fund. Each director also has the same position with Principal Variable Contracts Funds, Inc. and Principal Exchange-Traded Funds which are also sponsored by Principal LifeInsurance Company. Each director holds office for an indefinite term or until reaching age 72. Directors considered to be “interested persons” as defined in the Investment CompanyAct of 1940, as shown below are considered to be interested because of an affiliation with the Managerand Principal Life Insurance Company.
The following directors are considered not to be “interested persons” as defined in the 1940 Act
Other | ||||
Name, | Number of Portfolios | Directorships | ||
Position Held with the Fund, | Principal Occupation(s) | in Fund Complex | Held by Director | |
Year of Birth | During past 5 years | Overseen by Director | During Past 5 Years | |
Elizabeth Ballantine | Principal, EBA Associates | 131 | Durango Herald, Inc; | |
Director since 2004 | McClatchy Newspapers, Inc. | |||
Member, Nominating and Governance | ||||
Committee | ||||
1948 | ||||
Leroy T. Barnes, Jr. | Retired. | 131 | McClatchy Newspapers, | |
Director since 2012 | Inc.; Herbalife Ltd.; Frontier | |||
Member, Audit Committee | Communications, Inc. | |||
1951 | ||||
Craig Damos | President, The Damos Company | 131 | Hardin Construction | |
Director since 2008 | ||||
Member, Audit Committee Member, | ||||
15(c) Committee | ||||
1954 | ||||
Mark A. Grimmett | Formerly, Executive Vice President and CFO, Merle | 131 | None | |
Director since 2004 | Norman Cosmetics, Inc. | |||
Member, Nominating and Governance | ||||
Committee | ||||
Member, 15(c) Committee | ||||
Member, Executive Committee | ||||
1960 | ||||
Fritz S. Hirsch | Formerly, CEO, MAM USA | 131 | Focus Products Group; MAM | |
Director since 2005 | USA | |||
Member, Operations Committee | ||||
Member, 15(c) Committee | ||||
1951 | ||||
Tao Huang | Retired. | 131 | Armstrong World Industries, | |
Director since March 2012 | Inc. | |||
Member, Operations Committee | ||||
Member, 15(c) Committee | ||||
1962 | ||||
Karen (“Karrie”) McMillan | Managing Director, Patomak Global Partners, LLC. | 131 | None | |
Director since 2014 | Formerly, General Counsel, Investment Company | |||
Member, Operations Committee | Institute | |||
1961 | ||||
Elizabeth A. Nickels | Formerly, Executive Director, Herman Miller | 131 | Charlotte Russe; Follet | |
Director since 2015 | Foundation; Formerly President, Herman Miller | Corporation; PetSmart; | ||
Member, Audit Committee | Healthcare | SpartanNash; Spectrum | ||
1962 | Health Systems | |||
Mary M. (“Meg”) VanDeWeghe | CEO and President, Forte Consulting, Inc. | 131 | Brown Advisory; B/E | |
Director since 2018 | Aerospace; WP Carey; Nalco | |||
Member, Operations Committee | (and its successor Ecolab) | |||
1959 |
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The following directors are considered to be “interested persons” as defined in the 1940 Act, because of an affiliation with the Manager and Principal Life.
Other | |||
Name, | Number of Portfolios | Directorships | |
Position Held with the Fund, | Principal Occupation(s) | in Fund Complex | Held by Director |
Year of Birth | During past 5 years | Overseen by Director | During Past 5 Years |
Michael J. Beer | Chief Executive Officer, Principal Funds | 131 | None |
Director since 2012 | Distributor, Inc. (“PFD”) since 2015 Executive | ||
President, Chief Executive Officer | Director – Funds, Principal Global | ||
Member, Executive Committee | Investors, LLC (“PGI”) since 2017 Director, PGI | ||
1961 | since 2017 | ||
Director, PFD since 2015 | |||
Vice President/Mutual Funds and Broker | |||
Dealer, Principal Life Insurance Company | |||
(“PLIC”) (2001-2014) | |||
Vice President/Chief Operating Officer, | |||
Principal Funds, PLIC (2014-2015) | |||
Executive Director, Principal Funds & | |||
Trust, PLIC since 2015 | |||
Director, Principal Management | |||
Corporation, (“PMC”) (2006-2015) President & | |||
Chief Executive Officer, | |||
PMC (2015-2017) | |||
Executive Vice President/Chief Operating | |||
Officer, PMC (2008-2015) | |||
Chair, PMC (2015-2017) | |||
Director, Principal Securities, Inc. (“PSI”) (2005- | |||
2015) | |||
President, PSI (2005-2015) | |||
Director, Principal Shareholder | |||
Services (“PSS”) (2007-2015) | |||
Chairman, PSS since 2015 | |||
President, PSS (2007-2015) | |||
Executive Vice President, PSS since 2015 | |||
Patrick Halter | Director, Morley Capital Management, Inc. | 131 | None |
Director since 2017 | (“Morley”) since 2017 | ||
Member, Executive Committee | Chair, Post Advisory Group, LLC (“Post”) since | ||
1959 | 2017 | ||
Chief Operating Officer, PGI since 2017 Director, | |||
PGI since 2003 | |||
Chair, PREI since 2004 | |||
Chief Executive Officer, PREI since 2005 Chair, | |||
Spectrum since 2017 |
Correspondence intended for each Director who is other than an Interested Director may be sent to 655 9th Street, Des Moines, IA 50392.
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The following table presents officers of the Funds.
Name, | ||
Position Held with the Fund, | Principal Occupation(s) | |
Address, and Year of Birth | During past 5 years | |
Randy L. Bergstrom | Counsel, PGI | |
Assistant Tax Counsel | Counsel, PLIC | |
Des Moines, IA 50392 | ||
1955 | ||
Jennifer A. Block | Vice President and Counsel (2017-2018) | |
Deputy Chief Compliance Officer | Assistant Counsel (2010-2017) | |
Des Moines, IA 50392 | Assistant Secretary (2015-2018) | |
1973 | Counsel, PGI (2017-2018) | |
Counsel, PFD (2009-2013) | ||
Counsel, PLIC (2009-2018) | ||
Counsel, PMC (2009-2013, 2014-2017) | ||
Counsel, PSI (2009-2013) | ||
Counsel, PSS (2009-2013) | ||
Tracy Bollin | Managing Director, PGI since 2016 | |
Chief Financial Officer | Chief Operating Officer, PMC (2015-2017) | |
Des Moines, IA 50392 | Chief Financial Officer, PFA (2010-2015) | |
1970 | Senior Vice President, PFD since 2015 | |
Chief Financial Officer, PFD (2010-2016) | ||
Senior Vice President, PMC (2015–2017) | ||
Chief Financial Officer, PMC (2010-2015) | ||
Director, PMC (2014–2017) | ||
Chief Financial Officer, PSI (2010-2015) | ||
Director, PSS since 2014 | ||
President, PSS since 2015 | ||
Chief Financial Officer, PSS (2010-2015) | ||
Gina L. Graham | Vice President/Treasurer, PFA since 2016 | |
Treasurer | Vice President/Treasurer, Morely since 2016 | |
Des Moines, IA 50392 | Vice President/Treasurer, PFD since 2016 | |
1965 | Vice President/Treasurer, PGI since 2016 | |
Vice President/Treasurer, PLIC since 2016 | ||
Vice President/Treasurer, PMC (2016-2017) | ||
Vice President/Treasurer, Principal Real Estate | ||
Investors, LLC since 2016 | ||
Vice President/Treasurer, PSI since 2016 | ||
Vice President/Treasurer, PSS since 2016 | ||
Laura B. Latham | Counsel, PGI since 2018 | |
Assistant Counsel and Assistant Secretary | Prior thereto, Attorney in Private Practice | |
Des Moines, IA 50392 | ||
1986 | ||
Diane K. Nelson | Chief Compliance Officer/AML Officer, PSS since | |
AML Officer | 2015 | |
Des Moines, IA 50392 | Compliance Advisor, PMC (2013-2015) | |
1965 | ||
Sara L. Reece | Director - Accounting, PLIC since 2015 | |
Vice President and Controller | Assistant Financial Controller, PLIC prior to 2015 | |
Des Moines, IA 50392 | ||
1975 | ||
Teri R. Root | Interim Chief Compliance Officer (2018) | |
Chief Compliance Officer | Deputy Chief Compliance Officer (2015-2018) | |
Des Moines, IA 50392 | Deputy Chief Compliance Officer, PGI since 2017 | |
1979 | Vice President and Chief Compliance Officer, PMC | |
(2015–2017 | ) | |
Compliance Officer, PMC (2010-2013) | ||
Vice President, PSS since 2015 | ||
Britney L. Schnathorst | Counsel, PLIC since 2013 | |
Assistant Counsel and Assistant | Prior thereto, Attorney in Private Practice | |
Secretary | ||
Des Moines, IA 50392 | ||
1981 |
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Name, | |
Position Held with the Fund, | Principal Occupation(s) |
Address, and Year of Birth | During past 5 years |
Adam U. Shaikh | Assistant General Counsel, PGI since 2018 |
Assistant Counsel | Counsel, PGI (2017-2018) |
Des Moines, IA 50392 | Counsel, PFD (2006-2013) |
1972 | Counsel, PLIC |
Counsel, PMC (2007-2013, 2014-2017) | |
Counsel, PSI (2007-2013) | |
Dan Westholm | Assistant Vice President/Treasurer, PGI since 2017 |
Assistant Treasurer | Assistant Vice President/Treasury, PFA since 2013 |
Des Moines, IA 50392 | Director – Treasury, PFA (2011-2013) |
1966 | Assistant Vice President/Treasury, PFD since 2013 |
Director – Treasury, PFD (2011-2013) | |
Assistant Vice President/Treasury, PLIC since 2014 | |
Director – Treasury, PLIC (2007-2014) | |
Director – Treasury, PMC (2003-2013) | |
Assistant Vice President/Treasury, PMC (2013- | |
2017) | |
Assistant Vice President/Treasury, PSI since 2013 | |
Director – Treasury, PSI (2011-2013) | |
Assistant Vice President/Treasury, PSS since 2013 | |
Director – Treasury, PSS (2007-2013) | |
Beth Wilson | Director and Secretary – Funds, PLIC |
Vice President and Secretary | Vice President, PMC (2007-2013) |
Des Moines, IA 50392 | |
1956 | |
Clint Woods | Of Counsel (2017-2018) |
Counsel, Vice President, and | Vice President (2016-2017) |
Assistant Secretary | Counsel (2015-2017) |
Des Moines, IA 50392 | Vice President, PLIC since 2015 |
1961 | Associate General Counsel, Governance Officer, and |
Assistant Corporate Secretary, PLIC since 2013 | |
Jared Yepsen | Counsel, PGI since 2017 |
Assistant Tax Counsel | Counsel, PLIC since 2015 |
Des Moines, IA 50392 | Senior Attorney, Transamerica Life Insurance |
1981 | Company (TLIC) |
(2013-2015) | |
Attorney, TLIC (2010-2013) |
The 15(c) Committee’s primary purpose is to assist the Board in performing the annual review of the Fund’s advisory and sub-advisory agreements pursuant to Section 15(c) of the 1940 Act. The Committee responsibilities include requesting and reviewing materials.
The Audit Committee’s primary purpose is to assist the Board in fulfilling certain of its responsibilities. The Audit Committee serves as an independent and objective party to monitor the Fund Complex’s accounting policies, financial reporting and internal control system, aswell as the work of the independent registered public accountants. The Audit Committee assists Board oversight of 1) the integrity of theFund Complex’s financial statements; 2) the Fund Complex’s compliance with certain legal and regulatory requirements; 3) the independent registered public accountants’qualifications and independence; and 4) the performance of the Fund Complex’s independent registered publicaccountants. The Audit Committee also provides an open avenue of communication among the independent registered public accountants, the Manager’s internal auditors, Fund Complex management, and the Board.
The Executive Committee’s primary purpose is to exercise certain powers of the Board when the Board is not in session. When the Board is not in session, the Committee may exercise all powers of the Board in the management of the business of the Fund Complex except the power to 1) authorize dividends or distributions on stock; 2) issue stock, except as permitted by law; 3) recommend to the stockholders any action which requires stockholder approval; 4) amend the bylaws; or 5) approve any merger or share exchange which does not require stockholder approval.
The Nominating and Governance Committee’s primary purpose is to oversee the structure and efficiency of the Board and the committeesestablished by the Board. The Committee responsibilities include evaluating Board membership and functions, committee membership and functions, insurance coverage, and legal matters. The nominating functions of the Committee include selecting and nominating all candidateswho are not “interested persons” of the Fund Complex for election to the Board. Generally, the Committee requests director nomineesuggestions from the committee members and management. In addition, the Committee will consider Director candidates recommended by shareholders of the Fund Complex. Recommendations should be submitted in writing to Principal Funds, Inc. at 711 High Street, Des Moines, IA 50392. When evaluating a person as a potential nominee to serve as an Independent Director, the Committee will generally
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consider, among other factors: age; education; relevant business experience; geographical factors; whether the person is “independent” and otherwise qualified under applicable laws and regulations to serve as a director; and whether the person is willing to serve, and willing andable to commit the time necessary for attendance at meetings and the performance of the duties of an independent director. The Committeealso meets personally with the nominees and conducts a reference check. The final decision is based on a combination of factors, including the strengths and the experience an individual may bring to the Board. The Committee believes the Board generally benefits from diversityof background, experience and views among its members, and considers these factors in evaluating the composition of the Board. The Boarddoes not use regularly the services of any professional search firms to identify or evaluate or assist in identifying or evaluating potentialcandidates or nominees.
The Operations Committee’s primary purpose is to oversee the provision of administrative and distribution services to the Funds Complex, communications with the Fund Complex’s shareholders, and review and oversight of the Fund Complex’s operations.
Additional information about the Fund is available in the Prospectus dated December 31, 2018, and the Statement of Additional Information dated December 31, 2018. These documents may be obtained free of charge by writing Principal Funds, Inc., P.O. Box 8024, Boston, MA 02266-8024 or telephoning 1-800-222-5852. The prospectus may be viewed at www.PrincipalFunds.com/prospectuses.
PROXY VOTING POLICIES
A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities and the results of the proxy votes for the most recent twelve months ended June 30 may be obtained free of charge by telephoning 1-800-222-5852, or on the SEC website at www.sec.gov.
SCHEDULES OF INVESTMENTS
The Fund files complete schedules of investments with the Securities and Exchange Commission as of November 30 and May 31 of eachyear on Form N-Q. The Fund’s Form N-Q can be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. or on the Commission’s website at www.sec.gov. Information on the operation of the Public Reference Room may be obtained by calling the Commission at 1-202-551-8090.
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BOARD CONSIDERATION OF INVESTMENTADVISORY CONTRACTS
During the period covered by this report, the Board of Directors of Principal Funds, Inc. (“PFI”) approved (1) the annual review and renewalof the Management Agreement and various subadvisory agreements for all Funds; and (2) an amended subadvisory agreement with PrincipalReal Estate Investors, LLC related to the addition of a new investment sleeve and a change to an existing fee schedule for the DiversifiedReal Asset Fund.
Annual Review and Renewal of Management Agreement and Subadvisory Agreements
At its September 12, 2018 meeting, the Board performed its annual review and renewal process relating to the Management Agreement andthe Subadvisory Agreements of seventeen series of PFI having a fiscal year end of 8/31 (each series is referred to as a “Fund”).
Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”) requires the Board, including a majority of the Directors who have no direct or indirect interest in the investment advisory agreements and who are not “interested persons” of PFI, as defined in the 1940 Act (the “Board”), to annually review and consider the continuation of: (1) the Management Agreement between the Principal Global Investors, LLC (the ”Manager”) and PFI, on behalf of the Funds (2) the Subadvisory Agreements between the Manager and each of AQR CapitalManagement, LLC /CNH Partners, LLC; BlackRock Financial Management, Inc. and BlackRock International Limited; BNP Paribas Asset Management USA, Inc.; Credit Suisse Asset Management, LLC; Delaware Investments Fund Advisors; Finisterre Capital LLP; GothamAsset Management, LLC; Graham Capital Management, L.P.; KLS Diversified Asset Management LP; Loomis, Sayles & Company, L.P.;Los Angeles Capital Management and Equity Research, Inc.; Mellon Investments Corporation; Origin Asset Management LLP; Pictet Asset Management SA; Principal Real Estate Investors, LLC; RARE Infrastructure (North America) Pty Limited; Sirios Capital Management, L.P.; Sound Point Capital Management, LP; Spectrum Asset Management, Inc.; Symphony Asset Management LLC; Three Bridges Capital, LP; Tortoise Capital Advisors, L.L.C.; Wellington Management Company LLP; and York Registered Holdings, L.P. The ManagementAgreement and the Subadvisory Agreements are collectively referred to as the “Advisory Agreements.”
The Board considered the factors and reached the conclusions described below relating to the continuation of the Advisory Agreements. In evaluating the Advisory Agreements, the Board reviewed a broad range of information requested for this purpose, including, among otherinformation, information regarding performance, advisory fees, total expenses, profitability from the Advisory Agreements to the Managerand information about economies of scale. The Board reviewed the materials provided and concluded that it was provided all information reasonably necessary to evaluate the Advisory Agreements.
Management Agreement
With respect to the Management Agreement for each Fund, the Board considered, among other factors, that the Manager, along with PrincipalManagement Corporation (“PMC”), the previous investment adviser to the Funds that merged with and into the Manager on May 1, 2017, and its affiliates have demonstrated a long-term commitment to support the Funds, including undertakings to cap Fund expenses and/or waive fees for certain Funds. In addition, the Board considered the following factors, and made certain findings and conclusions with respectthereto, for each of the Funds. The Board concluded that a relationship with a capable and conscientious adviser is in the best interests of each Fund.
Nature, Extent and Quality of Services
The Board considered the nature, quality and extent of the services provided under the Management Agreement, including accounting and administrative services, as applicable. The Board considered the experience and skills of senior management leading Fund operations, the experience and skills of the personnel performing the functions under the Management Agreement and the resources made available to such personnel, the ability of the Manager to attract and retain high-quality personnel and the organizational depth and stability of the Manager. The Board concluded that appropriate resources were provided under the Management Agreement. The Board also considered that, during the periods reviewed, the Manager had delegated day-to-day portfolio management responsibility for certain Funds to the Subadvisors. The
Board noted that the Manager’s process for the selection of subadvisors emphasizes the selection of Principal-affiliated subadvisors that are determined to be qualified under the Manager’s due diligence process, but that the Manager will select an unaffiliated subadvisor to manageall or a portion of a Fund’s investment portfolio when deemed necessary or appropriate based upon a consideration of the Fund’s investmentmandate and available expertise and resources within the Principal organization. With respect to Funds with unaffiliated Subadvisors, the Board considered the due diligence process developed by the Manager for purposes of selecting a qualified unaffiliated subadvisor for a Fund.
The Board considered the Manager’s due diligence process for monitoring and replacing Subadvisors and for monitoring the investment performance of the Manager. The Board also considered the compliance program established by the Manager for the Funds and the level of compliance attained by the Funds. The Board noted that they had previously reviewed the annual best execution and soft dollar reports andinformation regarding the research payment accounts for applicable Funds and included those findings in their consideration of the renewalof the Advisory Agreements. Based upon all relevant factors, the Board concluded that the nature, quality and extent of the services provided by the Manager to the Funds under the Management Agreement were satisfactory.
Investment Performance
The Board reviewed each Fund’s investment performance over longer-term periods, reviewing both the investment return during the three-year period ended March 31, 2018 and the blended investment return (50%/50%) of the three- and five-year periods ended March 31, 2018,and compared those returns to various agreed-upon performance measures, including peer-group data based upon a broad-based, industry
204
category determined by Morningstar, with certain exceptions. For the Diversified Real Asst Fund, a custom peer group recommended by theManager and reviewed by the 15(c) Committee was used.
For Funds or Subadvisors that did not have a three-year or five-year performance history, the Board reviewed performance for a one-yearor three-year period ended March 31, 2018, respectively, if available. The Board also compared each Fund’s investment performance overthe one-, three- and five-year periods ended March 31, 2018, as available, to one or more relevant benchmark indices. The Board noted thatcertain Funds had commenced operations recently and, accordingly, no or limited performance information was considered. The Board also considered whether investment results were consistent with a Fund’s investment objective(s) and policies. For most Funds, the Board concluded that the Fund’s investment returns met acceptable levels of investment performance. There were certain Funds, and certain Subadvisors for multi-manager Funds, that had not attained during the relevant period(s) a level of investment performance considered satisfactory by the Board. For such Funds, the Board also considered other factors, such as the longer-term performance of each such Fund or Subadvisor, remedial efforts being taken to improve performance and/or the Manager’s explanation for the performance of such Fund or Subadvisor. The Board considered the Manager’s due diligence process for evaluating the performance of all Funds and all Subadvisors, for which they received regular reporting, and concluded that the Manager has in place an effective due diligence process to monitor investment performance, to encourage remedial action and to make changes in the Subadvisors at the appropriate time, if necessary.
Investment Management Fees
The Board considered each Fund’s management fee. For each Fund, other than the PFI Capital Securities Fund, which does not pay management fees, the Board received certain information from Broadridge. For Funds the Board received information comparing each Fund’s (1) contractual management fee at current asset levels and at theoretical asset levels, (2) actual management fee (after any fee waivers)at average fiscal-year asset levels, (3) actual non-management fees at average fiscal-year asset levels, and (4) actual total expense ratio (including, as applicable, acquired fund fees and expenses and after any expense caps or fee waivers) at average fiscal-year asset levels forClass A shares for PFI Funds, in each case as available, to investment advisory fees and expense ratios of funds in a peer group selected byBroadridge (except for the PFI Diversified Real Asset Fund, which uses a custom peer group recommended by the Manager and reviewed by the 15(c) Committee) (“Expense Group”), and, if available, a broad-based, industry category defined by Broadridge (“Expense Universe”).
For PFI Funds that did not offer Class A shares or if Class A shares represented less than 5% of the PFI Fund’s total assets, the information provided was based upon Class I shares (or, in the case of the PFI SystematEx Large Value Fund, Class R-6 shares).
In evaluating the management fees, the Board considered a variety of factors, including the amount of the fees, breakpoints, comparison to fees of peer group funds and other funds and non-fund accounts managed by the Manager, subadvisory fees paid, services provided,investment performance, total net expense ratios, profitability, the existence and sharing of economies of scale and expense caps and feewaivers. The Board considered that certain PFI Funds with similar investment strategies and policies have different management fees and noted the reasons cited by the Manager for the differing fees. In reviewing the fees of other accounts managed by the Manager, the Board considered information provided by the Manager regarding differences between the services provided to the Funds and the services provided to such other accounts. For most Funds, actual management fees were within the third quartile or better when compared to their Expense Group. For some Funds, although actual management fees were higher than the third quartile, total net expense ratios were within the thirdquartile or better. Discussion is set forth below regarding specific factors relevant to the Board’s review of certain other Funds.
The list of agreed upon expense caps and fee waivers also reflects new or revised fee waivers for the Opportunistic Municipal Fund, theOrigin Emerging Markets Fund and the Real Estate Debt Income Fund, to be effective from December 31, 2018 through December 30, 2020; and for the Blue Chip Fund, to be effective from November 1, 2018 through December 30, 2020.
Considering all factors they deemed relevant, the Board concluded that the management fee payable by each Fund was reasonable in light of the nature, quality and extent of the services provided by the Manager and other relevant factors.
Profitability
The Board reviewed detailed information regarding revenues PMC, the previous investment adviser to the Funds, and its affiliate PGI receivedunder the Management Agreements and the estimated direct and indirect costs incurred in providing to each Fund the services described in the applicable Management Agreements for the year ended December 31, 2017. The Board also considered the returns on revenue generatedin connection with the payment of subadvisory fees to affiliated Subadvisors (Columbus Circle Investors, Finisterre Capital LLP, OriginAsset Management LLP, Post Advisory Group, LLC, Principal Real Estate Investors LLC and Spectrum Asset Management, Inc.) and theaggregated return on revenue to PMC and its affiliates for the year ended December 31, 2017. The Board concluded that the management fee for each Fund was reasonable, taking into account the profitability information presented by the Manager.
Economies of Scale
The Board considered whether there are economies of scale with respect to the management of each Fund and whether the Funds benefitfrom any such economies of scale. The Board considered the Manager’s biennial breakpoint study that was received by the Board in March2018 and the Manager’s representation that Funds are initially priced as though the Fund had reached scale, reflecting a sharing of economiesof scale. The Board then reviewed the levels at which breakpoints occur, the incremental declines in management fees at each breakpoint and the amount of fee reductions that had been provided to shareholders as a result of these breakpoints. The Board considered whether the
205
effective management fee rate for each Fund under the applicable Management Agreement is reasonable in relation to the asset size of suchFund. The Board also noted management’s explanation of efficiencies in the Manager’s cost structure. The Board concluded that the fee schedule for each Fund reflects an appropriate level of sharing of any economies of scale.
The Board noted that the Capital Securities Fund does not pay management fees, although shareholders pay a separately managed account-level fee that covers, among other things, the expenses of the Fund’s Subadvisor.
The Board also noted that the management fees for the Bond Market Index Fund and the International Equity Index Fund do not include breakpoints, but each such Fund has a relatively low basis point fee (25 basis points or less) on all Fund assets. Considering all relevant factors, including the level of the fee, the Board determined that no breakpoints were necessary at this time.
Subadvisory Fees, Economies of Scale and Profitability
For each Fund, the Board considered the subadvisory fees, noting that the Manager compensates each Subadvisor from its own management fee, so that shareholders pay only the management fee.
For each Fund, other than the Capital Securities Fund whose Subadvisor does not receive a subadvisory fee, the Board received certain information from Broadridge comparing each such Fund’s subadvisory fee at current asset levels and at theoretical asset levels to subadvisory fees of subadvised funds in the Expense Group and, if available, the Expense Universe. With regard to Origin Emerging Markets Fund, the Board accepted management’s proposal to amend the Subadvisory Agreement to reduce the subadvisory fee schedule for Origin Asset Management, LLP and, for each such Fund, the Board considered both the reduced subadvisory fee schedule and the pro forma ranking of the reduced subadvisory fee in concluding that the Subadvisory Agreement, as amended, should be renewed.
The Board considered whether there are economies of scale with respect to the subadvisory services provided to each subadvised Fund and,if so, whether the subadvisory fees reflect such economies of scale through breakpoints in fees or whether the subadvisory fee schedule is otherwise appropriate at current asset levels. In addition, in evaluating the subadvisory fees and the factor of profitability, with respect to unaffiliated Subadvisors, the Board considered that the subadvisory fee rate was negotiated at arm’s length between the Manager and the Subadviser. The Board considered the profitability of the affiliated Subadvisors in conjunction with their review of the profitability of theManager. On the basis of the information provided, the Board concluded that the subadvisory fees were reasonable.
Other Benefits to the Manager and Subadvisors
The Board also considered the character and amount of other incidental benefits received by each Subadvisor when evaluating the subadvisoryfees. The Board considered as a part of this analysis each Subadvisor’s soft dollar practices and brokerage practices. The Board concluded that, on the basis of the information provided, the subadvisory fees were reasonable.
Overall Conclusions
Based upon all of the information it considered and the conclusions it reached, the Board determined unanimously that the terms of each Advisory Agreement continue to be fair and reasonable and that the continuation of each Advisory Agreement, with the actions proposed by the Manager, is in the best interests of each Fund.
Principal Real Estate Investors, LLC Subadvisory Agreement
On December 11, 2018, the Board considered for the Diversified Real Asset Fund (the “Fund”) the approval of a sub-advisory agreement (the “Subadvisory Agreement”) between the Manager and Principal Real Estate Investors, LLC (the “Subadvisor”) with respect to a newcommercial mortgage-backed security single asset, single borrower investment sleeve of the Fund.
The Board concluded that it was in the best interests of the Fund to approve the Subadvisory Agreement. In reaching this conclusion, no single factor was determinative in the Board’s analysis, but rather the Board considered a variety of factors. The Board considered variousfactors, including the following, and made certain findings and conclusions with regard thereto, in approving the Subadvisory Agreement.
Nature, Quality and Extent of Services
The Board considered the nature, quality and extent of the services expected to be provided under the Subadvisory Agreement. The Boardconsidered the reputation, qualifications and background of the Subadvisor, the investment approach of the Subadvisor, the experience andskills of the Subadvisor’s investment personnel who would be responsible for the day-to-day management of the Fund and the resources made available to such personnel. The Board noted that the Subadvisor currently provides subadvisory services for other PFI funds, and that the Board had reviewed and had approved for renewal those subadvisory agreements at its September 2018 Board meeting. In addition, the Board considered the Manager’s program for recommending, monitoring and replacing subadvisors, that such program emphasizesthe selection of Principal-affiliated subadvisors that are determined to be qualified under its due diligence process and that the Managerrecommended the Subadvisor based upon that program.
206
Investment Performance
As the commercial mortgage-backed security single asset, single borrower investment sleeve is a new investment sleeve for the Fund, the Board did not review performance of the sleeve because no track record was available. However, the Board took note that the Subadvisor has managed real estate security strategies for other series of PFI, the performance of which is reviewed by the Board.
Fees, Economies of Scale and Profitability
The Board considered the proposed subadvisory fee, noting that the Manager compensates subadvisors from its own management fee so that shareholders pay only the management fee. The Board considered whether there are economies of scale with respect to the subadvisory services to be provided to the Fund under the Subadvisory Agreement. The Board concluded that, although the proposed subadvisory fee schedule does not include breakpoints, the subadvisory fee schedule is appropriate at currently anticipated asset levels. The Board consideredthe Subadvisor’s representation that it does not have any advisory clients with a lower fee for the specific mandate that it will manage for theFund and the Manager’s statement that it found the proposed subadvisory fee schedule to be competitive. The Board also considered that the Subadvisor’s appointment is contingent upon the Fund’s shareholders approving the Subadvisory Agreement, which will involve the costs of holding a shareholder meeting. On the basis of the information provided, the Board concluded that the proposed subadvisory fee was reasonable.
Other Benefits
The Board also considered the character and amount of other fall-out benefits to be received by the Subadvisor. The Board noted that theSubadvisor does not intend to use soft dollars in this investment sleeve. The Board concluded that, on the basis of the information provided, the proposed subadvisory fee was reasonable.
Overall Conclusions
Based upon all of the information considered and the conclusions reached, the Board determined that the terms of the Subadvisory Agreement are fair and reasonable and that approval of the Subadvisory Agreement is in the best interests of the Fund.
Principal Real Estate Investors, LLC Amended and Restated Subadvisory Agreement
On December 11, 2018, the Board considered for Diversified Real Asset Fund (the “Fund”) the approval of an amended fee schedule under the subadvisory agreement (the “Subadvisory Agreement”) between Principal Global Investors, LLC (the “Manager”) and Principal Real Estate Investors, LLC (the “Subadvisor”) with respect to the global real estate investment sleeve of the Fund, which would result in areduction of the subadvisory fee rate at all asset levels.
The Board reviewed materials received from the Manager regarding the proposed change in the subadvisory fee schedule. The Board considered the Manager’s representation that the change in the subadvisory fee schedule would not reduce the nature, quality, quantity or extent of the services provided by the Subadvisor to the Fund and that the Subadvisor’s obligations under the Subadvisory Agreement would remain the same in all material respects. The Board also considered that the Manager was not proposing any material changes to the terms of the Subadvisory Agreement other than to the fee schedule.
The Board considered that they had last approved the Subadvisory Agreement for the Fund during the annual contract renewal process that concluded at the Board of Directors’ September 2018 meeting. They noted that during the annual contract renewal process, they had considered the nature, quality and extent of the services provided by the Subadvisor under the Subadvisory Agreement and had concluded, based upon the information provided, that the terms of the Subadvisory Agreement were reasonable and that approval of the Subadvisory Agreement was in the best interests of the Fund.
Based upon all of the information considered, the Board concluded that it was in the best interests of the Fund to approve the amended Subadvisory Agreement at this time and, accordingly, recommended to the Board of Directors the approval of the amended Subadvisory Agreement.
207
Principal Funds Distributor, Inc.
711 High Street
Des Moines, IA 50392-6370
Do not use this address for business correspondence
principalfunds.com
Investing involves risk, including possible loss of principal.
This shareholder report is published as general information for the shareholders of Principal Funds. This material is not authorized for distribution unless preceded or accompanied by a current prospectus or a summary prospectus that includes more information regarding the risk factors, expenses, policies, and objectives of the funds. Investors should read the prospectus or summary prospectus carefully before investing. To obtain a prospectus or summary prospectus, please contactyour financial professional or call 800-222-5852.
Principal Funds are distributed by Principal Funds Distributor, Inc.
(c) 2019 Principal Financial Services, Inc. | FV674-09 | 02/2019 | 729338-022021
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, papercopies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the report from the Fund or your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, 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 such reports electronically, you will not be affected by this change and you do not need to take any action. If you have not previously elected electronic delivery, you may elect to receive reports and other communications from the Fund electronically by visiting our website at www.principalfunds.com/edelivery for instructions on enrolling in eDelivery or calling 800-222-5852. If you own these shares through a financial intermediary, you may contact your financial intermediary.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your reports, you can inform the Fund by calling 800-222-5852. If you own these shares through a financial intermediary, you may contact your financial intermediary or follow instructions included with this disclosure to elect to continue to receive paper copies of reports. Your election to receive reports in paper will apply to all funds with the Fund complex or to the shares you own through your financial intermediary.
Rev. 01/2019
EE11865PFI
EE11865PFI | 01/2017
Table of Contents | |
Financial Statements | 1 |
Notes to Financial Statements | 4 |
Schedules of Investments | 10 |
Financial Highlights (includes performance information) | 16 |
Shareholder Expense Example | 18 |
Supplemental Information | 19 |
Not FDIC or NCUA insured
May lose value • Not a deposit • No bank or credit union guarantee Not insured by any Federal government agency
Statement of Assets and Liabilities | |||||
Principal Funds, Inc. | |||||
February 28, 2019 (unaudited) | |||||
Amounts in thousands, except per share amounts | Capital Securities Fund | ||||
Investment in securities--at cost | $ | 546,843 | |||
Investment in affiliated Funds--at cost | $ | 9,686 | |||
Assets | |||||
Investment in securities--at value | $ | 528,171 | |||
Investment in affiliated Funds--at value | 9,686 | ||||
Receivables: | |||||
Dividends and interest | 8,702 | ||||
Expense reimbursement from Manager | 24 | ||||
Fund shares sold | 1,926 | ||||
Total Assets | 548,509 | ||||
Liabilities | |||||
Accrued transfer agent fees | 19 | ||||
Accrued professional fees | 21 | ||||
Accrued other expenses | 24 | ||||
Deposits from counterparty | – | ||||
Payables: | |||||
Fund shares redeemed | 880 | ||||
Total Liabilities | 944 | ||||
Net Assets Applicable to Outstanding Shares | $ | 547,565 | |||
Net Assets Consist of: | |||||
Capital shares and additional paid-in-capital | $ | 564,868 | |||
Total distributable earnings (accumulated loss) | (17,303 | ) | |||
Total Net Assets | $ | 547,565 | |||
Capital Stock (par value: $.01 per share): | |||||
Shares authorized | 500,000 | ||||
Net Asset Value Per Share: | |||||
Class S: Net Assets | $ | 547,565 | |||
Shares Issued and Outstanding | 56,291 | ||||
Net Asset Value per share | $ | 9.73 |
See accompanying notes.
1
Statement of Operations | |||
Principal Funds, Inc. | |||
Six Months Ended February 28, 2019 (unaudited) | |||
Capital Securities | |||
Amounts in thousands | Fund | ||
Net Investment Income (Loss) | |||
Income: | |||
Dividends from affiliated Funds | $ | 83 | |
Dividends | 821 | ||
Interest | 14,873 | ||
Total Income | 15,777 | ||
Expenses: | |||
Registration fees - Class S | 17 | ||
Shareholder reports - Class S | 3 | ||
Transfer agent fees - Class S | 85 | ||
Custodian fees | 4 | ||
Directors' expenses | 5 | ||
Professional fees | 17 | ||
Other expenses | 7 | ||
Total Gross Expenses | 138 | ||
Less: Reimbursement from Manager - Class S | 138 | ||
Total Net Expenses | – | ||
Net Investment Income (Loss) | 15,777 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||
Net realized gain (loss) from: | |||
Investment transactions | (1,618 | ) | |
Net change in unrealized appreciation/depreciation of: | |||
Investments | (9,231 | ) | |
Net Realized and Unrealized Gain (Loss) on Investments | (10,849 | ) | |
Net Increase (Decrease) in Net Assets Resulting from Operations$ | 4,928 |
See accompanying notes.
2
Statement of Changes in Net Assets | |||||||
Principal Funds, Inc. | |||||||
(unaudited) | |||||||
Amounts in thousands | Capital Securities Fund | ||||||
Period Ended | Year Ended | ||||||
February 28, 2019 | August 31, 2018 | ||||||
Operations | |||||||
Net investment income (loss) | $ | 15,777 | $ | 28,369 | |||
Net realized gain (loss) on investments . | (1,618 | ) | 470 | ||||
Net change in unrealized appreciation/depreciation of investments | (9,231 | ) | (24,943 | ) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,928 | 3,896 | |||||
Dividends and Distributions to Shareholders | |||||||
From net investment income and net realized gain on investments | (16,751 | ) | (26,567 | ) | |||
Total Dividends and Distributions | (16,751 | ) | (26,567 | ) | |||
Capital Share Transactions | |||||||
Net increase (decrease) in capital share transactions | 14,942 | 110,028 | |||||
Total Increase (Decrease) in Net Assets | 3,119 | 87,357 | |||||
Net Assets(a) | |||||||
Beginning of period | 544,446 | 457,089 | |||||
End of period . | $ | 547,565 | $ | 544,446 | |||
Class S | |||||||
Capital Share Transactions: | |||||||
Period Ended February 28, 2019 | |||||||
Dollars: | |||||||
Sold | $ | 107,539 | |||||
Reinvested | 10,967 | ||||||
Redeemed | (103,564 | ) | |||||
Net Increase (Decrease) | $ | 14,942 | |||||
Shares: | |||||||
Sold | 11,170 | ||||||
Reinvested | 1,142 | ||||||
Redeemed | (10,761 | ) | |||||
Net Increase (Decrease) | 1,551 | ||||||
Year Ended August 31, 2018 | |||||||
Dollars: | |||||||
Sold | $ | 243,335 | |||||
Reinvested | 18,902 | ||||||
Redeemed | (152,209 | ) | |||||
Net Increase (Decrease) | $ | 110,028 | |||||
Shares: | |||||||
Sold | 23,866 | ||||||
Reinvested | 1,858 | ||||||
Redeemed | (14,914 | ) | |||||
Net Increase (Decrease) | 10,810 | ||||||
Distributions: | |||||||
Year Ended February 28, 2019 | |||||||
From net investment income and net realized gain on investments | $ | (16,751 | ) | ||||
Total Dividends and Distributions | $ | (16,751 | ) | ||||
Year Ended August 31, 2018 | |||||||
From net investment income | $ | (26,567 | ) | ||||
From net realized gain on investments | – | ||||||
Total Dividends and Distributions | $ | (26,567 | ) |
(a) | As of August 31, 2018, undistributed (overdistributed) net investment income (loss) totaled $4,619. |
See accompanying notes.
3
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
1. Organization
Principal Funds, Inc. (the "Fund") is registered under the Investment Company Act of 1940, as amended, as an open-end managementinvestment company and operates as a series fund in the mutual fund industry. The financial statements for Capital Securities Fund (the“fund”) are presented herein.
The fund is an investment company and applies specialized accounting and reporting under Accounting Standards Codification Topic 946,Financial Services - Investment Companies. The fund has not provided financial support, and is not contractually required to provide financial support to any investee.
2. Significant Accounting Policies
ThepreparationoffinancialstatementsinconformitywithU.S.generallyacceptedaccountingprinciples(“U.S.GAAP”)requiresmanagementto make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilitiesat the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation.The fund may invest in the Institutional shares of Principal Government Money Market Fund (“Underlying Fund”), another series the Fund. Investments in the Underlying Fund are valued at the closing net asset value per share of the Underlying Fund on the day of valuation.
The fund values securities for which market quotations are readily available at fair value, which is determined using the last reportedsale price. If no sales are reported, as is regularly the case for some securities traded over-the-counter, securities are valued using thelast reported bid price or an evaluated bid price provided by a pricing service. Pricing services use modeling techniques that incorporate security characteristics such as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, other yield and risk factors, and other market conditions to determine an evaluated bid price or, in the case of certain credit default swaps, a mean price provided by a pricing service. When reliable market quotations are not considered to be readily available, which may be the case, for example, with respect to restricted securities, certain debt securities, preferred stocks, and foreign securities, the investments arevalued at their fair value as determined in good faith by Principal Global Investors, LLC (the “Manager”) under procedures established andperiodically reviewed by the Fund’s Board of Directors.
Income and Investment Transactions.The fund records investment transactions on a trade date basis. The identified cost basis has beenused in determining the net realized gain or loss from investment transactions and unrealized appreciation or depreciation of investments. The fund records dividend income on the ex-dividend date. Interest income is recognized on an accrual basis. Discounts and premiums on securities are accreted/amortized, respectively, on the level yield method over the expected lives of the respective securities.
Expenses.Expenses directly attributed to the fund are charged to the fund. Other Fund expenses not directly attributed to a particular fund are apportioned among the registered investment companies managed by the Manager.
In addition to the expenses that the fund bears directly, the fund may indirectly bear a pro rata share of the fees and expenses of the Underlying
Fund in which it invests. Expenses included in the statement of operations reflect the expenses of the fund and do not include any expenses associated with the Underlying Fund.
Distributions to Shareholders.Dividends and distributions to shareholders of the fund are recorded on the ex-dividend date. Dividends anddistributions to shareholders from net investment income and net realized gain from investments are determined in accordance with federal tax regulations, which may differ from U.S. GAAP. These differences are primarily due to differing treatments for losses deferred due to wash sales and certain preferred securities, and utilization of earnings and profits distributed to shareholders on redemption of shares. Permanent book and tax basis differences are reclassified within the capital accounts based on federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed current and accumulated earnings and profits for federal income taxpurposes, they are reported as return of capital distributions.
Federal Income Taxes.No provision for federal income taxes is considered necessary because the fund intends to qualify as a “regulatedinvestment company” under the Internal Revenue Code and intends to distribute each year substantially all of its net investment income and realized capital gains to shareholders.
Management evaluates tax positions taken or expected to be taken in the course of preparing the fund’s tax returns to determine whether it is “more likely than not” that each tax position would be sustained upon examination by a taxing authority based on the technical merits of
4
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
2. Significant Accounting Policies (continued)the position. Tax positions not deemed to meet the more likely than not threshold would be recorded as a tax benefit or expense in the currentyear. During the period ended February 28, 2019, the fund did not record any such tax benefit or expense in the accompanying financial statements. The statute of limitations remains open for the fiscal years 2015 – 2017.
Foreign Taxes.The fund is subject to foreign income taxes imposed by certain countries in which it invests. Foreign income taxes are accrued by the fund as a reduction of income. This amount is shown as withholding tax on the statement of operations.
Recent Accounting Pronouncements.Effective August 17, 2018, the U.S. Securities and Exchange Commission (“SEC”) approved a finalrule,Disclosure Update and Simplification. The SEC adopted amendments to certain disclosures that have become redundant or supersededin light of other SEC disclosure requirements, U.S. GAAP or changes in the information environment. As of February 28, 2019, the Funds have adopted the new amendments.
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2018-13Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement, which amends and eliminates certain disclosure requirements for fair value as part of its framework project. The ASU is effective for annual and interim periods beginning after December 15, 2019. The early adoption of the removal or modification of disclosures and delay of adoption of the additional disclosures is permitted. As of February 28, 2019, the Funds have adopted the removal and modification of disclosures.
In March 2017, the Financial Accounting Standards Board issued ASU No. 2017-08Premium Amortization on Purchased Callable Debt Securities, which amends the accounting standards to shorten the amortization period of certain purchased callable debt securities to the earliest call date. The ASU is effective for annual and interim periods beginning after December 15, 2018. The Funds will adopt the newamendments for periods beginning after December 15, 2018.
3. Operating Policies
Borrowings.Pursuant to an exemptive order issued by the SEC, the fund and other registered investment companies managed by theManager may participate in an interfund lending facility (“Facility”). The Facility allows the funds to borrow money from or loan money to the other participants. Loans under the Facility are made to handle unusual and/or unanticipated short-term cash requirements. Interest paid and received on borrowings is the average of the current repurchase agreement rate and the bank loan rate (the higher of (i) the FederalFunds Rate or (ii) the One Month London Interbank Offered Rate (“LIBOR”) rate plus 1.00%). During the period ended February 28, 2019,there were no loans to the Facility. The interest income received is included in interest income on the statement of operations. The interest expense associated with this borrowing is included in other expenses on the statement of operations. There were no outstanding borrowingsas of February 28, 2019.
During the period ended February 28, 2019, the fund’s borrowing from the Facility was as follows (amounts in thousands):
Average Daily | Weighted Average | ||||
Outstanding Balance | Annual Interest Rate | ||||
Capital Securities Fund | $ | 300 | 2.91 | % |
In addition, the fund participates with other registered investment companies managed by the Manager in an unsecured joint line of credit with a bank, which allows the participants to borrow up to $100 million, collectively. Borrowings are made solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to each participant, based on its borrowings, at a rate equal tothe higher of the Federal Funds Rate or the One Month LIBOR rate plus 1.00%. Additionally, a commitment fee is charged at an annual rateof 0.15% on the amount of the line of credit which is allocated to each participating fund based on average net assets. The interest expense associated with these borrowings is included in other expenses on the statement of operations.
During the period ended February 28, 2019, the fund’s borrowing against the line of credit was as follows (amounts in thousands):
Average Daily | Weighted Average | ||||
Borrowing Balance | Annual Interest Rate | ||||
Capital Securities Fund | $ | 21 | 3.45 | % |
Contingent Convertible Securities.The fund invests in contingent convertible securities (“CoCos”). CoCos are hybrid debt securities thatmay convert into equity or have their principal written down upon the occurrence of certain “triggers.” Although a contingent convertible security’s equity conversion and principal write-down features are tailored to the particular issuing banking institution and its regulatory requirements, triggers are generally linked to regulatory capital thresholds or regulatory actions calling into question such institution’s
5
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
3. Operating Policies (continued)continued viability as a going-concern. CoCos may have no stated maturity and fully discretionary coupons, which means coupon payments can be canceled at the issuing banking institution’s discretion or at the request of the relevant regulatory authority without causing a default.
To provide the appropriate regulatory capital treatment, CoCos are usually issued in the form of subordinated debt instruments that rankjunior to the claims of holders of more senior obligations in the event of the issuer’s liquidation. If CoCos are converted into equity securities due to a trigger event, holders will be further subordinated. The future value of CoCos is unpredictable and is influenced by many factors including, without limitation: the creditworthiness of the issuer and/or fluctuations in such issuer’s applicable capital ratios; supply and demand for CoCos; general market conditions and available liquidity; and economic, financial and political events that affect the issuer, its particular market or the financial markets in general. Due to these features, CoCos may have substantially greater risk than other securities in times of financial stress. Because of the uncertainty regarding whether a conversion event will occur, it may be difficult to predict when, if at all, a contingent convertible security will be converted to equity, and a fund may suffer losses as a result. If the trigger level is breached, the issuer’s decision to write down, write off or convert a contingent convertible security may result in the fund's complete loss on an investment in CoCos with no chance of recovery even if the issuer remains in existence.
Indemnification.Under the Fund’s by-laws, present and past officers, directors and employees are indemnified against certain liabilitiesarising out of the performance of their duties. In addition, in the normal course of business, the Fund may enter into a variety of contractsthat may contain representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund.
4. Fair Valuation
Fair value is defined as the price that the fund would receive upon selling a security in a timely transaction to an independent buyer in theprincipal or most advantageous market of the security at the measurement date. In determining fair value, the fund may use one or moreof the following approaches: market, income and/or cost. A hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available.
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the fund. Unobservable inputs are inputs that reflect the fund’s own estimates about the estimates market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 – Quoted prices are available in active markets for identical securities as of the reporting date. The type of securities included in
Level 1 includes listed equities and listed derivatives.
Level 2 – Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). Investments which are generally included in this category include corporate bonds, senior floating rate interests, and municipalbonds.
Level 3 – Significant unobservable inputs (including the fund’s assumptions in determining the fair value of investments). Investments which are generally included in this category include certain corporate bonds and certain mortgage backed securities.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the market place, and other characteristics particular to thetransaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determinationof fair value requires more judgment. Accordingly, the degree of judgment exercised by the fund in determining fair value is greatest forinstruments categorized in Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosurepurposes, the level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Fair value is a market based measure considered from the perspective of a market participant who holds the asset rather than an entity specific measure. Therefore, even when market assumptions are not readily available, the fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The fund uses prices and inputs that are current as of the measurement date, when available.
6
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
4. Fair Valuation (continued)
Investments which are included in the Level 3 category may be valued using indicative quoted prices from brokers and dealers participating in the market for these investments. These investments are classified as Level 3 investments due to the lack of market transparency and market corroboration to support these quoted prices. Valuation models may be used as the pricing source for other investments classified as Level 3. Valuation models rely on one or more significant unobservable inputs such as prepayment rates, probability of default, or loss severity in the event of default. Significant increases in any of those inputs in isolation would result in a significantly lower fair valuemeasurement. Benchmark pricing procedures set the base price of a security based on current market data. The base price may be a broker-dealer quote, transaction price, or internal value based on relevant market data.
The fair values of these securities are dependent on economic, political, and other considerations. The values of such securities maybe affected by significant changes in the economic conditions, changes in government policies, and other factors (e.g., natural disasters, accidents, conflicts, etc.).
Fair value of these investments is determined in good faith by the Manager under procedures established and periodically reviewed by the Fund’s Board of Directors. The Manager has established a valuation committee (“Valuation Committee”) of senior officers and employees, with the responsibility of overseeing the pricing and valuation of all securities, including securities where market quotations are not readilyavailable. The Valuation Committee meets at least monthly and reports directly to the Board of Directors. A pricing group (the “PricingGroup”) who reports to the Valuation Committee relies on the established pricing policies to determine fair valuation. Included in the pricing policies is an overview of the approved valuation approaches established for each asset class. The Pricing Group will consider all appropriate information available when determining fair valuation.
The Pricing Group relies on externally provided valuation inputs to determine the value of Level 3 securities. Security values are updatedas new information becomes available. Valuation data and changes in valuation amounts are reviewed on a daily basis based on specifiedcriteria for the security, asset class, and other factors. In addition, valuation data is periodically compared to actual transactions executed bythe fund (i.e., purchases/sales) and differences between transaction prices and prior period valuation data are investigated based on specifiedtolerances.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in thoseinstruments.
The following is a summary of the inputs used as of February 28, 2019 in valuing the fund’s securities carried at value (amounts shown inthousands):
Level 2 - Other | |||||||||
Level 1 - Quoted | Significant Observable | Level 3 - Significant | |||||||
Fund | Prices | Inputs | Unobservable Inputs | Totals (Level 1,2,3) | |||||
Capital Securities Fund | |||||||||
Bonds* | $ | — | $ | 498,807 | $ | — | $ | 498,807 | |
Investment Companies | 9,686 | — | — | 9,686 | |||||
Preferred Stocks | |||||||||
Communications | — | 7,659 | — | 7,659 | |||||
Energy | 4,264 | — | — | 4,264 | |||||
Financial | 9,527 | 2,023 | — | 11,550 | |||||
Government | — | 5,891 | — | 5,891 | |||||
Total investments in securities $ | 23,477 | $ | 514,380 | $ | — | $ | 537,857 | ||
*For additional detail regarding sector classifications, please see the Schedule of Investments | |||||||||
5. Management Agreement and Transactions with Affiliates |
The Manager has contractually agreed to limit the expenses (excluding interest expense, expenses related to fund investments, acquired fundfees and expenses, and other extraordinary expenses) for the fund. The reductions and reimbursements are in amounts that maintain total operating expenses at 0.00%. The limit is expressed as a percentage of average daily net assets on an annualized basis during the reportingperiod. It is expected that the expense limit will continue permanently. There is no management fee charged by the fund.
The fund is an integral part of “wrap-fee” programs, including those sponsored by registered investment advisors and broker-dealers unaffiliated with the fund. Participants in these programs pay a “wrap” fee to the wrap-fee program’s sponsor.
7
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
5. Management Agreement and Transactions with Affiliates (continued)
Amounts owed to the fund under the terms of the expense limitation agreements are reflected in the statement of assets and liabilities as anexpense reimbursement from Manager and are settled periodically.
Chief Compliance Officer Expense.The fund pays certain expenses associated with the Chief Compliance Officer (“CCO”). This expense is allocated based on the relative net assets of each fund and is shown on the statement of operations.
6. Investment Transactions
For the period ended February 28, 2019, the cost of investment securities purchased and proceeds from investment securities sold (notincluding short-term investments and U.S. government securities) by the fund was as follows (amounts in thousands):
Purchases | Sales | ||||
Capital Securities Fund | $ | 57,676 | $ | 44,522 | |
7. Federal Tax Information |
Distributions to Shareholders.The federal income tax character of distributions paid for the periods ended February 28, 2019 and August
31, 2018 were as follows (amounts in thousands):
Ordinary Income | ||||
2019 | 2018 | |||
Capital Securities Fund | $ | 16,751 | $ | 26,567 |
For U.S. federal income tax purposes, short-term capital gain distributions are considered ordinary income distributions
Distributable Earnings.As of August 31, 2018, the components of distributable earnings/(deficit) on a federal tax basis were as follows
(amounts in thousands):
Total | ||||||||
Undistributed | Net Unrealized | Other | Accumulated | |||||
Ordinary | Accumulated | Appreciation | Temporary | Earnings | ||||
Income | Losses | (Depreciation) | Differences* | (Deficit) | ||||
Capital Securities Fund | $ | 303 | $(657) | $(9,697) | $ | 4,571 | $(5,480) |
*Represents book-to-tax accounting differences related to contingent convertible bonds and perpetual bonds.
Capital Loss Carryforwards.For federal income tax purposes, capital loss carryforwards are losses that can be used to offset future capital gains of the fund. At August 31, 2018, the fund had approximate net capital loss carryforwards as follows (amounts in thousands):
Short-Term | Long-Term | Total | |||||
Capital Securities Fund | $ | 142 | $ | 515 | $ | 657 |
Capital losses will be carried forward with no expiration and with the character of the loss retained. For the year ended August 31, 2018 the fund had utilized capital loss carryforwards of $530,000.
Reclassification of Capital Accounts.The fund may record reclassifications in its capital accounts. These reclassifications have no impact on the total net assets of the fund. The reclassifications are a result of permanent differences between U.S. GAAP and tax accounting. Adjustments are made to reflect the impact these items have on current and future distributions to shareholders. Therefore, the source of the fund’s distributions may be shown in the accompanying Statement of Changes in NetAssets as from net investment income, from net realizedgains on investments or from capital depending on the type of book and tax differences that exist. For the year ended August 31, 2018 thefund recorded reclassifications as follows (amounts in thousands):
Accumulated | |||||
Undistributed Net | Accumulated Net Realized | ||||
Investment Income | Gain on Investments | Paid in Capital | |||
Capital Securities Fund | $(942) | $ | 60 | $882 |
8
Notes to Financial Statements
Principal Funds, Inc.
February 28, 2019 (unaudited)
7. Federal Tax Information (continued)
Federal Income Tax Basis.At February 28, 2019, the net federal income tax unrealized appreciation (depreciation) and federal tax cost ofinvestments held by the Funds were as follows (amounts in thousands):
Cost for Federal | |||||||||||
Unrealized | Unrealized | Net Unrealized | Income Tax | ||||||||
Appreciation | (Depreciation) | Appreciation/(Depreciation) | Purposes | ||||||||
Capital Securities Fund | $ | 5,144 | $ | (24,071 | ) | $ | (18,927 | ) | $ | 556,784 | |
8. Subsequent Events |
Management has evaluated events and transactions that have occurred through the date the financial statements were issued that would merit recognition or disclosure in the financial statements. There were no items requiring adjustment of the financial statements or additionaldisclosure.
9
Schedule of Investments | |||||||||||||
Capital Securities Fund | |||||||||||||
February 28, 2019 (unaudited) | |||||||||||||
INVESTMENT COMPANIES - 1.77% | Shares Held Value (000's) | Principal | |||||||||||
Money Market Funds - 1.77% | BONDS (continued) | Amount (000’s) Value (000’s) | |||||||||||
Principal Government Money Market Fund | 9,686,247 | $ | 9,686 | Banks (continued) | |||||||||
2.33%(a),(b) | BNP Paribas SA | ||||||||||||
TOTAL INVESTMENT COMPANIES | $ | 9,686 | 7.20%, 06/29/2049(c),(d),(e) | $ | 3,300 | $ | 3,519 | ||||||
PREFERRED STOCKS - 5.36% | Shares Held Value (000's) | 3 Month USD LIBOR + 1.29% | |||||||||||
Banks - 1.89% | 7.63%, 12/31/2049(c),(d),(e) | 1,000 | 1,054 | ||||||||||
Fifth Third Bancorp 6.63%, 12/31/2023(c) | 98,638 | $ | 2,816 | USD Swap Semi-Annual 5 Year + 6.31% | |||||||||
3 Month USD LIBOR + 3.71% | 7.63%, 12/31/2049(c),(e) | 1,900 | 2,002 | ||||||||||
First Republic Bank/CA 5.13%, 06/30/2022(c) | 45,549 | 1,083 | USD Swap Semi-Annual 5 Year + 6.31% | ||||||||||
Huntington Bancshares Inc/OH 6.25%, | 74,644 | 1,912 | BPCE SA | ||||||||||
04/15/2021 | (c) | 12.50%, 08/29/2049(c),(e) | 4,177 | 4,382 | |||||||||
KeyCorp 6.13%, 12/15/2026(c) | 33,943 | 901 | 3 Month USD LIBOR + 12.98% | ||||||||||
3 Month USD LIBOR + 3.89% | Citigroup Inc | ||||||||||||
M&T Bank Corp 6.38%, 04/04/2019(c) | 2,016 | 2,023 | 5.95%, 12/31/2049(c),(e) | 1,000 | 1,012 | ||||||||
Valley National Bancorp 6.25%, 06/30/2025(c) | 33,583 | 902 | 3 Month USD LIBOR + 4.10% | ||||||||||
3 Month USD LIBOR + 3.85% | 6.13%, 12/31/2049(c),(e) | 6,000 | 6,112 | ||||||||||
Webster Financial Corp 5.25%, 12/15/2022(c) | 30,000 | 705 | 3 Month USD LIBOR + 4.48% | ||||||||||
$ | 10,342 | 6.25%, 12/31/2049(c),(e) | 1,500 | 1,577 | |||||||||
Pipelines - 0.78% | 3 Month USD LIBOR + 4.52% | ||||||||||||
Enbridge Inc | 6.38%, 04/15/2078 | 165,000 | 4,264 | Citizens Financial Group Inc | |||||||||
3 Month USD LIBOR + 3.59% | 5.50%, 12/31/2049(c),(e) | 5,490 | 5,561 | ||||||||||
REITs - 0.22% | 3 Month USD LIBOR + 3.96% | ||||||||||||
Kimco Realty Corp 5.25%, 12/20/2022(c) | 42,300 | 953 | 6.00%, 12/31/2049(c),(e) | 1,750 | 1,676 | ||||||||
Vornado Realty Trust 5.70%, 04/04/2019(c) | 10,200 | 255 | 3 Month USD LIBOR + 3.00% | ||||||||||
$ | 1,208 | 6.38%, 12/31/2049(c),(e) | 3,500 | 3,469 | |||||||||
3 Month USD LIBOR + 3.16% | |||||||||||||
Sovereign - 1.07% | Commerzbank AG | ||||||||||||
CoBank ACB | 6.13%, 07/01/2019(c) | 6,000 | 605 | 8.13%, 09/19/2023(d) | 500 | 553 | |||||||
CoBank ACB | 6.20%, 01/01/2025(c) | 10,000 | 1,034 | Cooperatieve Rabobank UA | |||||||||
3 Month USD LIBOR + 3.74% | 4.38%, 08/04/2025 | 2,000 | 2,032 | ||||||||||
CoBank ACB | 6.25%, 10/01/2022(c) | 38,800 | 3,996 | 11.00%, 12/31/2049(c),(e) | 1,100 | 1,125 | |||||||
3 Month USD LIBOR + 4.56% | 3 Month USD LIBOR + 10.87% | ||||||||||||
Farm Credit Bank of Texas 6.75%, 09/15/2023 | 2,500 | 256 | 11.00%, 12/29/2049(c),(d),(e) | 6,400 | 6,544 | ||||||||
(c),(d) | |||||||||||||
3 Month USD LIBOR + 10.87% | |||||||||||||
3 Month USD LIBOR + 4.01% | Corestates Capital III | ||||||||||||
$ | 5,891 | 3.25%, 02/15/2027(d) | 15,571 | 14,403 | |||||||||
Telecommunications - 1.40% | 3 Month USD LIBOR + 0.57% | ||||||||||||
Centaur Funding Corp 9.08%, 04/21/2020(d) | 7,329 | 7,659 | Credit Agricole SA | ||||||||||
TOTAL PREFERRED STOCKS | $ | 29,364 | 8.13%, 12/31/2049(c),(d),(e) | 2,232 | 2,489 | ||||||||
Principal | USD Swap Semi-Annual 5 Year + 6.19% | ||||||||||||
BONDS - 91.10% | Amount (000's) Value (000's) | 8.38%, 12/31/2049(c),(d),(e) | 1,250 | 1,281 | |||||||||
Automobile Manufacturers - 1.01% | 3 Month USD LIBOR + 6.98% | ||||||||||||
General Motors Financial Co Inc | Credit Suisse AG | ||||||||||||
5.75%, 12/31/2049(c),(e) | $ | 6,300 | $ | 5,517 | 6.50%, 08/08/2023 | 600 | 641 | ||||||
3 Month USD LIBOR + 3.60% | Credit Suisse Group AG | ||||||||||||
Banks - 46.27% | 6.25%, 12/31/2049(c),(d),(e) | 6,090 | 6,102 | ||||||||||
Australia & New Zealand Banking Group Ltd/ | USD Swap Semi-Annual 5 Year + 3.46% | ||||||||||||
United Kingdom | 7.50%, 12/31/2049(c),(d),(e) | 6,250 | 6,684 | ||||||||||
6.75%, 12/31/2049(c),(d),(e) | 1,900 | 1,996 | USD Swap Semi-Annual 5 Year + 4.60% | ||||||||||
USD Swap Rate NY 5 Year + 5.17% | Danske Bank A/S | ||||||||||||
Bank of America Corp | 6.13%, 12/31/2049(c),(e) | 6,600 | 6,064 | ||||||||||
6.30%, 12/31/2049(c),(e) | 2,000 | 2,178 | USD Swap Semi-Annual 7 Year + 3.90% | ||||||||||
3 Month USD LIBOR + 4.55% | Dresdner Funding Trust I | ||||||||||||
Bank of New York Mellon Corp/The | 8.15%, 06/30/2031(d) | 400 | 497 | ||||||||||
4.62%, 12/31/2049(c),(e) | 14,000 | 13,230 | 8.15%, 06/30/2031 | 1,600 | 1,987 | ||||||||
3 Month USD LIBOR + 3.13% | HSBC Capital Funding Dollar 1 LP | ||||||||||||
4.95%, 12/31/2049(c),(e) | 8,100 | 8,212 | 10.18%, 12/29/2049(c),(e) | 4,400 | 6,452 | ||||||||
3 Month USD LIBOR + 3.42% | 3 Month USD LIBOR + 4.98% | ||||||||||||
Barclays Bank PLC | 10.18%, 12/29/2049(c),(d),(e) | 1,700 | 2,493 | ||||||||||
6.28%, 12/29/2049(c),(e) | 5,450 | 5,423 | 3 Month USD LIBOR + 4.98% | ||||||||||
3 Month USD LIBOR + 1.55% | HSBC Holdings PLC | ||||||||||||
10.18%, 06/12/2021 | 900 | 1,016 | 6.00%, 12/31/2049(c),(e) | 3,400 | 3,311 | ||||||||
10.18%, 06/12/2021(d) | 3,000 | 3,386 | USD Swap Rate NY 5 Year + 3.75% | ||||||||||
Barclays PLC | 6.50%, 12/31/2049(c),(e) | 500 | 492 | ||||||||||
6.63%, 12/31/2049(c),(e) | 636 | 634 | USD Swap Rate NY 5 Year + 3.61% | ||||||||||
USD Swap Semi-Annual 5 Year + 5.02% | 6.87%, 12/31/2049(c),(e) | 6,900 | 7,167 | ||||||||||
USD Swap Rate NY 5 Year + 5.51% | |||||||||||||
Huntington Bancshares Inc/OH | |||||||||||||
5.70%, 12/31/2049(c),(e) | 4,000 | 3,850 | |||||||||||
3 Month USD LIBOR + 2.88% |
See accompanying notes.
10
Schedule of Investments | |||||||||||
Capital Securities Fund | |||||||||||
February 28, 2019 (unaudited) | |||||||||||
Principal | Principal | ||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||
Banks (continued) | Banks (continued) | ||||||||||
ING Groep NV | Societe Generale SA (continued) | ||||||||||
6.50%, 12/31/2049(c),(e) | $ | 500 | $ | 498 | 8.00%, 12/31/2049(c),(d),(e) | $ | 600 | $ | 633 | ||
USD Swap Semi-Annual 5 Year + 4.45% | USD Swap Rate NY 5 Year + 5.87% | ||||||||||
JPMorgan Chase & Co | Standard Chartered PLC | ||||||||||
5.30%, 12/31/2049(c),(e) | 5,000 | 5,090 | 6.50%, 12/31/2049(c),(e) | 1,500 | 1,509 | ||||||
3 Month USD LIBOR + 3.80% | USD Swap Semi-Annual 5 Year + 4.89% | ||||||||||
6.75%, 12/31/2049(c),(e) | 2,000 | 2,199 | 7.01%, 07/29/2049(c),(d),(e) | 7,800 | 8,336 | ||||||
3 Month USD LIBOR + 3.78% | 3 Month USD LIBOR + 1.46% | ||||||||||
KeyCorp | 7.50%, 12/31/2049(c),(d),(e) | 1,300 | 1,358 | ||||||||
5.00%, 12/31/2049(c),(e) | 4,000 | 3,840 | USD Swap Semi-Annual 5 Year + 6.30% | ||||||||
3 Month USD LIBOR + 3.61% | 7.75%, 12/31/2049(c),(d),(e) | 1,000 | 1,048 | ||||||||
KeyCorp Capital I | USD Swap Semi-Annual 5 Year + 5.72% | ||||||||||
3.54%, 07/01/2028 | 2,000 | 1,810 | SunTrust Capital I | ||||||||
3 Month USD LIBOR + 0.74% | 3.35%, 05/15/2027 | 4,500 | 4,185 | ||||||||
KeyCorp Capital III | 3 Month USD LIBOR + 0.67% | ||||||||||
7.75%, 07/15/2029 | 1,500 | 1,870 | SunTrust Capital III | ||||||||
Lloyds Bank PLC | 3.44%, 03/15/2028 | 1,400 | 1,308 | ||||||||
12.00%, 12/29/2049(c),(e) | 5,500 | 6,653 | 3 Month USD LIBOR + 0.65% | ||||||||
3 Month USD LIBOR + 11.76% | SwedbankAB | ||||||||||
12.00%, 12/29/2049(c),(d),(e) | 3,100 | 3,750 | 6.00%, 12/31/2049(c),(e) | 4,400 | 4,296 | ||||||
3 Month USD LIBOR + 11.76% | USD Swap Semi-Annual 5 Year + 4.11% | ||||||||||
Lloyds Banking Group PLC | UBS Group Funding Switzerland AG | ||||||||||
6.41%, 01/29/2049(c),(d),(e) | 1,700 | 1,696 | 6.88%, 12/31/2049(c),(e) | 9,200 | 9,246 | ||||||
3 Month USD LIBOR + 1.50% | USD Swap Semi-Annual 5 Year + 4.59% | ||||||||||
7.50%, 12/31/2049(c),(e) | 4,300 | 4,433 | 7.00%, 12/31/2049(c),(d),(e) | 1,400 | 1,410 | ||||||
USD Swap Semi-Annual 5 Year + 4.76% | USD Swap Semi-Annual 5 Year + 4.34% | ||||||||||
7.50%, 12/31/2049(c),(e) | 4,800 | 4,908 | US Bancorp | ||||||||
USD Swap Semi-Annual 5 Year + 4.50% | 5.12%, 12/31/2049(c),(e) | 2,000 | 2,028 | ||||||||
M&T Bank Corp | 3 Month USD LIBOR + 3.49% | ||||||||||
5.12%, 12/31/2049(c),(e) | 4,000 | 3,965 | $ | 253,338 | |||||||
3 Month USD LIBOR + 3.52% | Diversified Financial Services- 3.28% | ||||||||||
6.45%, 12/31/2049(c),(e) | 1,300 | 1,384 | Capital One Financial Corp | ||||||||
3 Month USD LIBOR + 3.61% | 5.55%, 12/31/2049(c),(e) | 4,000 | 4,075 | ||||||||
Nordea Bank Abp | 3 Month USD LIBOR + 3.80% | ||||||||||
6.13%, 12/31/2049(c),(d),(e) | 4,300 | 4,198 | Charles Schwab Corp/The | ||||||||
USD Swap Semi-Annual 5 Year + 3.39% | 7.00%, 02/28/2049(c),(e) | 5,813 | 6,198 | ||||||||
Northern Trust Corp | 3 Month USD LIBOR + 4.82% | ||||||||||
4.60%, 12/31/2049(c),(e) | 9,015 | 8,699 | Depository Trust & Clearing Corp/The | ||||||||
3 Month USD LIBOR + 3.20% | 4.88%, 12/31/2049(c),(d),(e) | 7,000 | 6,983 | ||||||||
NTC Capital I | 3 Month USD LIBOR + 3.17% | ||||||||||
3.31%, 01/15/2027 | 1,250 | 1,150 | National Rural Utilities Cooperative Finance Corp | ||||||||
3 Month USD LIBOR + 0.52% | 5.25%, 04/20/2046(e) | 700 | 688 | ||||||||
NTC Capital II | 3 Month USD LIBOR + 3.63% | ||||||||||
3.38%, 04/15/2027 | 1,200 | 1,104 | $ | 17,944 | |||||||
3 Month USD LIBOR + 0.59% | Electric - 2.99% | ||||||||||
PNC Capital Trust C | Dominion Energy Inc | ||||||||||
3.31%, 06/01/2028 | 3,000 | 2,786 | 5.75%, 10/01/2054(e) | 6,775 | 6,777 | ||||||
3 Month USD LIBOR + 0.57% | 3 Month USD LIBOR + 3.06% | ||||||||||
RBS Capital Trust II | Emera Inc | ||||||||||
6.43%, 12/29/2049(c),(e) | 600 | 734 | 6.75%, 06/15/2076(e) | 4,800 | 4,968 | ||||||
3 Month USD LIBOR + 1.94% | 3 Month USD LIBOR + 5.44% | ||||||||||
Royal Bank of Scotland Group PLC | NextEra Energy Capital Holdings Inc | ||||||||||
5.12%, 03/29/2049(c) | 1,000 | 930 | 4.80%, 12/01/2077(e) | 250 | 219 | ||||||
3 Month USD LIBOR + 2.32% | 3 Month USD LIBOR + 2.41% | ||||||||||
7.50%, 12/31/2049(c),(e) | 4,896 | 5,011 | 4.86%, 10/01/2066 | 4,500 | 3,892 | ||||||
USD Swap Semi-Annual 5 Year + 5.80% | 3 Month USD LIBOR + 2.07% | ||||||||||
7.65%, 08/29/2049(c),(e) | 1,800 | 2,250 | 4.91%, 06/15/2067 | 580 | 504 | ||||||
3 Month USD LIBOR + 2.50% | 3 Month USD LIBOR + 2.13% | ||||||||||
8.00%, 12/31/2049(c),(e) | 1,000 | 1,062 | $ | 16,360 | |||||||
USD Swap Semi-Annual 5 Year + 5.72% | Gas - 1.62% | ||||||||||
Skandinaviska Enskilda Banken AB | NiSource Inc | ||||||||||
5.63%, 12/31/2049(c),(e) | 200 | 195 | 5.65%, 12/31/2049(c),(d),(e) | 9,195 | 8,873 | ||||||
USD Swap Semi-Annual 5 Year + 3.49% | US Treasury Yield Curve Rate T Note | ||||||||||
Societe Generale SA | Constant Maturity 5 Year + 2.84% | ||||||||||
7.38%, 12/31/2049(c),(d),(e) | 2,000 | 1,985 | |||||||||
USD Swap Semi-Annual 5 Year + 4.30% | Insurance - 30.88% | ||||||||||
7.38%, 12/31/2049(c),(d),(e) | 5,000 | 5,175 | ACE Capital Trust II | ||||||||
USD Swap Semi-Annual 5 Year + 6.24% | 9.70%, 04/01/2030 | 2,570 | 3,469 |
See accompanying notes.
11
Schedule of Investments | |||||||||||
Capital Securities Fund | |||||||||||
February 28, 2019 (unaudited) | |||||||||||
Principal | Principal | ||||||||||
BONDS (continued) | Amount (000’s) Value (000’s) | BONDS (continued) | Amount (000’s) Value (000’s) | ||||||||
Insurance (continued) | Insurance (continued) | ||||||||||
Aegon NV | MetLife Inc (continued) | ||||||||||
2.82%, 07/29/2049(c) | $ | 1,550 | $ | 1,108 | 10.75%, 08/01/2069 | $ | 4,300 | $ | 6,407 | ||
USD Swap Rate NY 10 Year + 0.10% | Mitsui Sumitomo Insurance Co Ltd | ||||||||||
AG Insurance SA | 7.00%, 03/15/2072(d),(e) | 3,600 | 3,863 | ||||||||
6.75%, 03/29/2049(c),(e) | 3,200 | 3,204 | 3 Month USD LIBOR + 5.90% | ||||||||
USD Swap Semi-Annual 6 Year + 5.43% | 7.00%, 03/15/2072(e) | 2,500 | 2,683 | ||||||||
Allstate Corp/The | 3 Month USD LIBOR + 5.90% | ||||||||||
5.75%, 08/15/2053(e) | 9,900 | 9,999 | Nationwide Financial ServicesInc | ||||||||
3 Month USD LIBOR + 2.94% | 6.75%, 05/15/2087 | 500 | 510 | ||||||||
American International Group Inc | Nippon Life Insurance Co | ||||||||||
5.75%, 04/01/2048(e) | 13,077 | 12,129 | 5.00%, 10/18/2042(d),(e) | 1,525 | 1,561 | ||||||
3 Month USD LIBOR + 2.87% | 3 Month USD LIBOR + 4.24% | ||||||||||
8.18%, 05/15/2068(e) | 6,700 | 7,772 | 5.10%, 10/16/2044(e) | 785 | 805 | ||||||
3 Month USD LIBOR + 4.20% | USD Swap Rate NY 5 Year + 3.65% | ||||||||||
Aon Corp | Progressive Corp/The | ||||||||||
8.21%, 01/01/2027 | 1,000 | 1,170 | 5.38%, 12/31/2049(c),(e) | 11,200 | 11,116 | ||||||
Argentum Netherlands BV for Zurich Insurance | 3 Month USD LIBOR + 2.54% | ||||||||||
Co Ltd | Prudential Financial Inc | ||||||||||
5.12%, 06/01/2048(e) | 2,000 | 1,993 | 5.63%, 06/15/2043(e) | 2,800 | 2,905 | ||||||
US Treasury Yield Curve Rate T Note | 3 Month USD LIBOR + 3.92% | ||||||||||
Constant Maturity 5 Year + 3.27% | 5.88%, 09/15/2042(e) | 11,000 | 11,608 | ||||||||
AXA SA | 3 Month USD LIBOR + 4.18% | ||||||||||
6.38%, 12/29/2049(c),(d),(e) | 2,800 | 2,985 | Reinsurance Group of America Inc | ||||||||
3 Month USD LIBOR + 2.26% | 5.45%, 12/15/2065 | 2,000 | 1,750 | ||||||||
8.60%, 12/15/2030 | 2,400 | 3,131 | 3 Month USD LIBOR + 2.67% | ||||||||
Catlin Insurance Co Ltd | Sumitomo Life Insurance Co | ||||||||||
5.74%, 07/29/2049(c),(d) | 6,900 | 6,641 | 6.50%, 09/20/2073(d),(e) | 3,000 | 3,246 | ||||||
3 Month USD LIBOR + 2.98% | 3 Month USD LIBOR + 4.44% | ||||||||||
CloveriePLC for Zurich Insurance Co Ltd | Voya Financial Inc | ||||||||||
5.63%, 06/24/2046(e) | 12,100 | 12,736 | 5.65%, 05/15/2053(e) | 4,100 | 4,056 | ||||||
3 Month USD LIBOR + 4.92% | 3 Month USD LIBOR + 3.58% | ||||||||||
Everest Reinsurance Holdings Inc | 6.13%, 12/31/2049(c),(e) | 1,000 | 1,010 | ||||||||
5.07%, 05/01/2067 | 1,600 | 1,392 | US Treasury Yield Curve Rate T Note | ||||||||
3 Month USD LIBOR + 2.39% | Constant Maturity 5 Year + 3.36% | ||||||||||
Great-West Life & Annuity Insurance Capital LP | XLIT Ltd | ||||||||||
6.63%, 11/15/2034(d) | 1,200 | 1,318 | 5.24%, 12/31/2049(c) | 1,400 | 1,316 | ||||||
Hartford Financial Services Group Inc/The | 3 Month USD LIBOR + 2.46% | ||||||||||
4.81%, 02/12/2067(d) | 3,900 | 3,339 | $ | 169,096 | |||||||
3 Month USD LIBOR + 2.13% | Pipelines - 3.51% | ||||||||||
Legal & General Group PLC | Enbridge Inc | ||||||||||
5.25%, 03/21/2047(e) | 11,000 | 10,526 | 6.25%, 03/01/2078(e) | 5,000 | 4,918 | ||||||
USD Swap Semi-Annual 5 Year + 3.69% | 3 Month USD LIBOR + 3.64% | ||||||||||
Liberty Mutual Group Inc | Enterprise Products Operating LLC | ||||||||||
5.69%, 03/07/2067(d) | 2,300 | 2,185 | 5.25%, 08/16/2077(e) | 12,000 | 11,004 | ||||||
3 Month USD LIBOR + 2.91% | 3 Month USD LIBOR + 3.03% | ||||||||||
7.80%, 03/07/2087(d) | 6,100 | 6,954 | TransCanada PipeLines Ltd | ||||||||
3 Month USD LIBOR + 3.58% | 4.89%, 05/15/2067 | 200 | 171 | ||||||||
Liberty Mutual Insurance Co | 3 Month USD LIBOR + 2.21% | ||||||||||
7.70%, 10/15/2097(d) | 1,100 | 1,413 | Transcanada Trust | ||||||||
Lincoln National Corp | 5.63%, 05/20/2075(e) | 1,600 | 1,544 | ||||||||
4.80%, 04/20/2067 | 4,200 | 3,402 | 3 Month USD LIBOR + 3.53% | ||||||||
3 Month USD LIBOR + 2.04% | 5.87%, 08/15/2076(e) | 1,600 | 1,592 | ||||||||
5.04%, 05/17/2066 | 6,300 | 5,418 | 3 Month USD LIBOR + 4.64% | ||||||||
3 Month USD LIBOR + 2.36% | $ | 19,229 | |||||||||
Meiji Yasuda Life Insurance Co | Sovereign - 0.37% | ||||||||||
5.10%, 04/26/2048(d),(e) | 1,300 | 1,326 | CoBank ACB | ||||||||
USD Swap Rate NY 5 Year + 3.15% | 6.25%, 12/31/2049(c),(e) | 1,000 | 1,035 | ||||||||
5.20%, 10/20/2045(d),(e) | 1,000 | 1,025 | 3 Month USD LIBOR + 4.66% | ||||||||
USD Swap Semi-Annual 5 Year + 4.23% | Farm Credit Bank of Texas | ||||||||||
MetLife Capital Trust IV | 6.20%, 12/31/2049(c),(d),(e) | 1,000 | 980 | ||||||||
7.88%, 12/15/2067(d) | 1,800 | 2,191 | 3 Month USD LIBOR + 3.22% | ||||||||
MetLife Inc | $ | 2,015 | |||||||||
5.25%, 12/31/2049(c),(e) | 3,500 | 3,524 | Telecommunications - 0.19% | ||||||||
3 Month USD LIBOR + 3.58% | Koninklijke KPN NV | ||||||||||
6.40%, 12/15/2066 | 700 | 742 | 7.00%, 03/28/2073(e) | 1,000 | 1,035 | ||||||
3 Month USD LIBOR + 2.21% | USD Swap Semi-Annual 10 Year + 5.33% | ||||||||||
9.25%, 04/08/2068(d) | 3,900 | 5,168 | |||||||||
3 Month USD LIBOR + 5.54% |
See accompanying notes.
12
Schedule of Investments Capital Securities Fund February 28, 2019 (unaudited)
Principal | (d) | Security exempt from registration under Rule 144A of the Securities Act of | ||||||||||||||
BONDS (continued) | Amount (000’s) | Value (000’s) | 1933. These securities may be resold in transactions exempt from registration, | |||||||||||||
Transportation - 0.98% | normally to qualified institutional buyers. At the end of the period, the value of | |||||||||||||||
BNSF Funding Trust I | these securities totaled $148,556 or 27.13% of net assets. | |||||||||||||||
6.61%, 12/15/2055(e) | $ | 5,000 | $ | 5,400 | (e) | Rate shown is as of period end. The rate may be a variable or floating rate or | ||||||||||
3 Month USD LIBOR + 2.35% | a fixed rate which may convert to a variable or floating rate in the future. | |||||||||||||||
TOTAL BONDS | $ | 498,807 | ||||||||||||||
Total Investments | $ | 537,857 | Portfolio Summary (unaudited) | |||||||||||||
Other Assets and Liabilities - 1.77% | 9,708 | Sector | Percent | |||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 547,565 | Financial | 82.54 | % | |||||||||||
Utilities | 4.61 | % | ||||||||||||||
(a) | Affiliated Security. Security is either an affiliate (and registered under the | Energy | 4.29 | % | ||||||||||||
Investment Company Act of 1940) or an affiliate as defined by the Investment | Investment Companies | 1.77 | % | |||||||||||||
Company Act of 1940 (controls 5.0% or more of the outstanding voting | Communications | 1.59 | % | |||||||||||||
shares of the security). Please see affiliated sub-schedule for transactional | Government | 1.44 | % | |||||||||||||
information. | Consumer, Cyclical | 1.01 | % | |||||||||||||
(b) | Current yield shown is as of period end. | Industrial | 0.98 | % | ||||||||||||
(c) | Perpetual security. Perpetual securities pay an indefinite stream of interest, | Other Assets and Liabilities | 1.77 | % | ||||||||||||
but they may be called by the issuer at an earlier date. Date shown, if any, | TOTAL NET ASSETS | 100.00 | % | |||||||||||||
reflects the next call date or final legal maturity date. Rate shown is as of | ||||||||||||||||
period end. | ||||||||||||||||
Affiliated Securities | August 31, 2018 | Purchases | Sales | February 28, 2019 | ||||||||||||
Value | Cost | Proceeds | Value | |||||||||||||
Principal Government Money Market Fund 2.33% | $ | 10,077 | $ | 77,437 | $ | 77,828 | $ | 9,686 | ||||||||
$ | 10,077 | $ | 77,437 | $ | 77,828 | $ | 9,686 | |||||||||
Realized Gain/Loss | Realized Gain from | Change in Unrealized | ||||||||||||||
Income | on Investments | Capital Gain Distributions | Gain/Loss | |||||||||||||
Principal Government Money Market Fund 2.33% | $ | 83 | $ | — $ | — $ | — | ||||||||||
$ | 83 | $ | — $ | — $ | — | |||||||||||
Amounts in thousands |
See accompanying notes.
13
Glossary to the Schedule of Investments
February 28, 2019(unaudited)
Currency Abbreviations | |
USD/$ | United States Dollar |
See accompanying notes.
14
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Financial Highlights | |||||||||||||||||||||||||||
Principal Funds, Inc. | |||||||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||||
Selected data for a share of Capital Stock outstanding throughout each year ended August 31 (except as noted): | |||||||||||||||||||||||||||
Net Asset | Net | Net Realized | Dividends | ||||||||||||||||||||||||
Value, | Investment | and Unrealized | Total From | from Net | Tax Return | Total | Net Asset | ||||||||||||||||||||
Beginning | Income | Gain (Loss) on | Investment | Investment | of Capital | Dividends | Value End | ||||||||||||||||||||
of Period | (Loss)(a) | Investments | Operations | Income | Distribution | and | of Period | ||||||||||||||||||||
CAPITAL SECURITIES FUND | |||||||||||||||||||||||||||
Class S shares | |||||||||||||||||||||||||||
2019 | (b) | $ | 9.95 | $ | 0.29 | ($ | 0.20 | ) | $ | 0.09 | ($0.31 | ) | $– | ($0.31 | ) | $ | 9.73 | ||||||||||
2018 | 10.40 | 0.58 | (0.49 | ) | 0.09 | (0.54 | ) | – | (0.54 | ) | 9.95 | ||||||||||||||||
2017 | 9.98 | 0.57 | 0.36 | 0.93 | (0.51 | ) | – | (0.51 | ) | 10.40 | |||||||||||||||||
2016 | 9.87 | 0.57 | 0.07 | 0.64 | (0.53 | ) | – | (0.53 | ) | 9.98 | |||||||||||||||||
2015 | 10.12 | 0.57 | (0.24 | ) | 0.33 | (0.56 | ) | (0.02 | ) | (0.58 | ) | 9.87 | |||||||||||||||
2014 | (f) | 10.00 | 0.25 | 0.06 | 0.31 | (0.19 | ) | – | (0.19 | ) | 10.12 |
See accompanying notes.
16
Financial Highlights (Continued) | ||||||||||||||
Principal Funds, Inc. | ||||||||||||||
(unaudited) | ||||||||||||||
Ratio of Expenses to Average Net | Ratio of Net Investment Income to | |||||||||||||
Total Return | Net Assets, End of Period (in thousands) | Assets | Average Net Assets | Portfolio Turnover Rate | ||||||||||
0.97 | %(c) | $ | 547,565 | 0.00% | (d),(e) | 6.03 | %(d) | 17.2 | %(d) | |||||
0.87 | 544,446 | 0.00 | (e) | 5.67 | 9.1 | |||||||||
9.62 | 457,089 | 0.00 | (e) | 5.67 | 8.4 | |||||||||
6.77 | 298,208 | 0.00 | (e) | 5.89 | 8.8 | |||||||||
3.34 | 133,380 | 0.00 | (e) | 5.73 | 10.2 | |||||||||
3.12 | (c) | 67,398 | 0.00 | (d),(e) | 5.38 | (d) | 16.9 | (d) |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Six months ended February 28, 2019. |
(c) | Total return amounts have not been annualized. |
(d) | Computed on an annualized basis. |
(e) | Reflects Manager's contractual expense limit. |
(f) | Period from March 14, 2014, date shares first offered, throughAugust 31, 2014. |
See accompanying notes.
17
Shareholder Expense Example
Principal Funds, Inc.
February 28, 2019 (unaudited)
As a shareholder of Capital Securities Fund, you may incur ongoing costs, including management fees; distribution fees; and other fundexpenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Principal Funds, Inc. and tocompare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2018to February 28, 2019), unless otherwise noted.
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide youraccount value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in thefirst section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Class S class of shares may be purchased through wrap programs. Such plans may impose fees in addition to those charge by the fund. These fees are not included in the table below. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second section of the table below 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% per year before expenses, which is not the fund’s actual return.
The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in Principal Funds, Inc. and other funds. To do so,compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, suchas sales charges on purchase payments, contingent deferred sales charges, redemption fees or exchange fees. Therefore, the second sectionof 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 transaction costs were included, your costs would have been higher.
Expenses Paid | Expenses Paid | |||||||||||||
During Period | During Period | |||||||||||||
Beginning | September | Beginning | September | |||||||||||
Account Value | Ending Account | 1, 2018 to | Account | Ending Account | 1, 2018 to | |||||||||
September 1, | Value February | February 28, | Value September | Value February | February 28, | Annualized | ||||||||
2018 | 28, 2019 | 2019 (a) | 1, 2018 | 28, 2019 | 2019(a) | Expense Ratio | ||||||||
Capital Securities Fund | ||||||||||||||
Class S | $ | 1,000.00 | $ | 1,009.74 | $– | $ | 1,000.00 | $ | 1,024.79 | $– | 0.00 | % |
(a) Expenses are equal to a fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-halfyear period).
18
FUND DIRECTORS AND OFFICERS
Under Maryland law, a Board of Directors oversees the Fund. The Directors have financial or other relevant experience and meet several times during the year to review contracts, Fund activities and the quality of services provided to the Fund. Each director also has the same position with Principal Variable Contracts Funds, Inc. and Principal Exchange-Traded Funds which are also sponsored by Principal Life Insurance Company. Each director holds office for an indefinite term or until reaching age 72. Directors considered to be “interested persons” as defined in the Investment CompanyAct of 1940, as shown below are considered to be interested because of an affiliation with the Managerand Principal Life Insurance Company.
The following directors are considered not to be “interested persons” as defined in the 1940 Act
Other | ||||
Name, | Number of Portfolios | Directorships | ||
Position Held with the Fund, | Principal Occupation(s) | in Fund Complex | Held by Director | |
Year of Birth | During past 5 years | Overseen by Director | During Past 5 Years | |
Elizabeth Ballantine | Principal, EBA Associates | 131 | Durango Herald, Inc; | |
Director since 2004 | McClatchy Newspapers, Inc. | |||
Member, Nominating and Governance | ||||
Committee | ||||
1948 | ||||
Leroy T. Barnes, Jr. | Retired. | 131 | McClatchy Newspapers, | |
Director since 2012 | Inc.; Herbalife Ltd.; Frontier | |||
Member, Audit Committee | Communications, Inc. | |||
1951 | ||||
Craig Damos | President, The Damos Company | 131 | Hardin Construction | |
Director since 2008 | ||||
Member, Audit Committee Member, | ||||
15(c) Committee | ||||
1954 | ||||
Mark A. Grimmett | Formerly, Executive Vice President and CFO, Merle | 131 | None | |
Director since 2004 | Norman Cosmetics, Inc. | |||
Member, Nominating and Governance | ||||
Committee | ||||
Member, 15(c) Committee | ||||
Member, Executive Committee | ||||
1960 | ||||
Fritz S. Hirsch | Formerly, CEO, MAM USA | 131 | Focus Products Group; MAM | |
Director since 2005 | USA | |||
Member, Operations Committee | ||||
Member, 15(c) Committee | ||||
1951 | ||||
Tao Huang | Retired. | 131 | Armstrong World Industries, | |
Director since March 2012 | Inc. | |||
Member, Operations Committee | ||||
Member, 15(c) Committee | ||||
1962 | ||||
Karen (“Karrie”) McMillan | Managing Director, Patomak Global Partners, LLC. | 131 | None | |
Director since 2014 | Formerly, General Counsel, Investment Company | |||
Member, Operations Committee | Institute | |||
1961 | ||||
Elizabeth A. Nickels | Formerly, Executive Director, Herman Miller | 131 | Charlotte Russe; Follet | |
Director since 2015 | Foundation; Formerly President, Herman Miller | Corporation; PetSmart; | ||
Member, Audit Committee | Healthcare | SpartanNash; Spectrum | ||
1962 | Health Systems | |||
Mary M. (“Meg”) VanDeWeghe | CEO and President, Forte Consulting, Inc. | 131 | Brown Advisory; B/E | |
Director since 2018 | Aerospace; WP Carey; Nalco | |||
Member, Operations Committee | (and its successor Ecolab) | |||
1959 |
19
The following directors are considered to be “interested persons” as defined in the 1940 Act, because of an affiliation with the
Manager and Principal Life.
Other | |||
Name, | Number of Portfolios | Directorships | |
Position Held with the Fund, | Principal Occupation(s) | in Fund Complex | Held by Director |
Year of Birth | During past 5 years | Overseen by Director | During Past 5 Years |
Michael J. Beer | Chief Executive Officer, Principal Funds | 131 | None |
Director since 2012 | Distributor, Inc. (“PFD”) since 2015 Executive | ||
President, Chief Executive Officer | Director – Funds, Principal Global | ||
Member, Executive Committee | Investors, LLC (“PGI”) since 2017 Director, PGI | ||
1961 | since 2017 | ||
Director, PFD since 2015 | |||
Vice President/Mutual Funds and Broker | |||
Dealer, Principal Life Insurance Company | |||
(“PLIC”) (2001-2014) | |||
Vice President/Chief Operating Officer, | |||
Principal Funds, PLIC (2014-2015) | |||
Executive Director, Principal Funds & | |||
Trust, PLIC since 2015 | |||
Director, Principal Management | |||
Corporation, (“PMC”) (2006-2015) President & | |||
Chief Executive Officer, | |||
PMC (2015-2017) | |||
Executive Vice President/Chief Operating | |||
Officer, PMC (2008-2015) | |||
Chair, PMC (2015-2017) | |||
Director, Principal Securities, Inc. (“PSI”) (2005- | |||
2015) | |||
President, PSI (2005-2015) | |||
Director, Principal Shareholder | |||
Services (“PSS”) (2007-2015) | |||
Chairman, PSS since 2015 | |||
President, PSS (2007-2015) | |||
Executive Vice President, PSS since 2015 | |||
Patrick Halter | Director, Morley Capital Management, Inc. | 131 | None |
Director since 2017 | (“Morley”) since 2017 | ||
Member, Executive Committee | Chair, Post Advisory Group, LLC (“Post”) since | ||
1959 | 2017 | ||
Chief Operating Officer, PGI since 2017 Director, | |||
PGI since 2003 | |||
Chair, PREI since 2004 | |||
Chief Executive Officer, PREI since 2005 Chair, | |||
Spectrum since 2017 |
Correspondence intended for each Director who is other than an Interested Director may be sent to 655 9th Street, Des Moines, IA 50392.
20
The following table presents officers of the Funds.
Name, | ||
Position Held with the Fund, | Principal Occupation(s) | |
Address, and Year of Birth | During past 5 years | |
Randy L. Bergstrom | Counsel, PGI | |
Assistant Tax Counsel | Counsel, PLIC | |
Des Moines, IA 50392 | ||
1955 | ||
Jennifer A. Block | Vice President and Counsel (2017-2018) | |
Deputy Chief Compliance Officer | Assistant Counsel (2010-2017) | |
Des Moines, IA 50392 | Assistant Secretary (2015-2018) | |
1973 | Counsel, PGI (2017-2018) | |
Counsel, PFD (2009-2013) | ||
Counsel, PLIC (2009-2018) | ||
Counsel, PMC (2009-2013, 2014-2017) | ||
Counsel, PSI (2009-2013) | ||
Counsel, PSS (2009-2013) | ||
Tracy Bollin | Managing Director, PGI since 2016 | |
Chief Financial Officer | Chief Operating Officer, PMC (2015-2017) | |
Des Moines, IA 50392 | Chief Financial Officer, PFA (2010-2015) | |
1970 | Senior Vice President, PFD since 2015 | |
Chief Financial Officer, PFD (2010-2016) | ||
Senior Vice President, PMC (2015–2017) | ||
Chief Financial Officer, PMC (2010-2015) | ||
Director, PMC (2014–2017) | ||
Chief Financial Officer, PSI (2010-2015) | ||
Director, PSS since 2014 | ||
President, PSS since 2015 | ||
Chief Financial Officer, PSS (2010-2015) | ||
Gina L. Graham | Vice President/Treasurer, PFA since 2016 | |
Treasurer | Vice President/Treasurer, Morely since 2016 | |
Des Moines, IA 50392 | Vice President/Treasurer, PFD since 2016 | |
1965 | Vice President/Treasurer, PGI since 2016 | |
Vice President/Treasurer, PLIC since 2016 | ||
Vice President/Treasurer, PMC (2016-2017) | ||
Vice President/Treasurer, Principal Real Estate | ||
Investors, LLC since 2016 | ||
Vice President/Treasurer, PSI since 2016 | ||
Vice President/Treasurer, PSS since 2016 | ||
Laura B. Latham | Counsel, PGI since 2018 | |
Assistant Counsel and Assistant Secretary | Prior thereto, Attorney in Private Practice | |
Des Moines, IA 50392 | ||
1986 | ||
Diane K. Nelson | Chief Compliance Officer/AML Officer, PSS since | |
AML Officer | 2015 | |
Des Moines, IA 50392 | Compliance Advisor, PMC (2013-2015) | |
1965 | ||
Sara L. Reece | Director - Accounting, PLIC since 2015 | |
Vice President and Controller | Assistant Financial Controller, PLIC prior to 2015 | |
Des Moines, IA 50392 | ||
1975 | ||
Teri R. Root | Interim Chief Compliance Officer (2018) | |
Chief Compliance Officer | Deputy Chief Compliance Officer (2015-2018) | |
Des Moines, IA 50392 | Deputy Chief Compliance Officer, PGI since 2017 | |
1979 | Vice President and Chief Compliance Officer, PMC | |
(2015–2017 | ) | |
Compliance Officer, PMC (2010-2013) | ||
Vice President, PSS since 2015 | ||
Britney L. Schnathorst | Counsel, PLIC since 2013 | |
Assistant Counsel and Assistant | Prior thereto, Attorney in Private Practice | |
Secretary | ||
Des Moines, IA 50392 | ||
1981 |
21
Name, | |
Position Held with the Fund, | Principal Occupation(s) |
Address, and Year of Birth | During past 5 years |
Adam U. Shaikh | Assistant General Counsel, PGI since 2018 |
Assistant Counsel | Counsel, PGI (2017-2018) |
Des Moines, IA 50392 | Counsel, PFD (2006-2013) |
1972 | Counsel, PLIC |
Counsel, PMC (2007-2013, 2014-2017) | |
Counsel, PSI (2007-2013) | |
Dan Westholm | Assistant Vice President/Treasurer, PGI since 2017 |
Assistant Treasurer | Assistant Vice President/Treasury, PFA since 2013 |
Des Moines, IA 50392 | Director – Treasury, PFA (2011-2013) |
1966 | Assistant Vice President/Treasury, PFD since 2013 |
Director – Treasury, PFD (2011-2013) | |
Assistant Vice President/Treasury, PLIC since 2014 | |
Director – Treasury, PLIC (2007-2014) | |
Director – Treasury, PMC (2003-2013) | |
Assistant Vice President/Treasury, PMC (2013- | |
2017) | |
Assistant Vice President/Treasury, PSI since 2013 | |
Director – Treasury, PSI (2011-2013) | |
Assistant Vice President/Treasury, PSS since 2013 | |
Director – Treasury, PSS (2007-2013) | |
Beth Wilson | Director and Secretary – Funds, PLIC |
Vice President and Secretary | Vice President, PMC (2007-2013) |
Des Moines, IA 50392 | |
1956 | |
Clint Woods | Of Counsel (2017-2018) |
Counsel, Vice President, and | Vice President (2016-2017) |
Assistant Secretary | Counsel (2015-2017) |
Des Moines, IA 50392 | Vice President, PLIC since 2015 |
1961 | Associate General Counsel, Governance Officer, and |
Assistant Corporate Secretary, PLIC since 2013 | |
Jared Yepsen | Counsel, PGI since 2017 |
Assistant Tax Counsel | Counsel, PLIC since 2015 |
Des Moines, IA 50392 | Senior Attorney, Transamerica Life Insurance |
1981 | Company (TLIC) |
(2013-2015) | |
Attorney, TLIC (2010-2013) |
The 15(c) Committee’s primary purpose is to assist the Board in performing the annual review of the Fund’s advisory and sub-advisory agreements pursuant to Section 15(c) of the 1940 Act. The Committee responsibilities include requesting and reviewing materials.
The Audit Committee’s primary purpose is to assist the Board in fulfilling certain of its responsibilities. The Audit Committee serves as an independent and objective party to monitor the Fund Complex’s accounting policies, financial reporting and internal control system, as well as the work of the independent registered public accountants. The Audit Committee assists Board oversight of 1) the integrity of the Fund Complex’s financial statements; 2) the Fund Complex’s compliance with certain legal and regulatory requirements; 3) the independent registered public accountants’qualifications and independence; and 4) the performance of the Fund Complex’s independent registered publicaccountants. The Audit Committee also provides an open avenue of communication among the independent registered public accountants,the Manager’s internal auditors, Fund Complex management, and the Board.
The Executive Committee’s primary purpose is to exercise certain powers of the Board when the Board is not in session. When the Board is not in session, the Committee may exercise all powers of the Board in the management of the business of the Fund Complex except the power to 1) authorize dividends or distributions on stock; 2) issue stock, except as permitted by law; 3) recommend to the stockholders any action which requires stockholder approval; 4) amend the bylaws; or 5) approve any merger or share exchange which does not require stockholderapproval.
The Nominating and Governance Committee’s primary purpose is to oversee the structure and efficiency of the Board and the committeesestablished by the Board. The Committee responsibilities include evaluating Board membership and functions, committee membership and functions, insurance coverage, and legal matters. The nominating functions of the Committee include selecting and nominating all candidateswho are not “interested persons” of the Fund Complex for election to the Board. Generally, the Committee requests director nominee suggestions from the committee members and management. In addition, the Committee will consider Director candidates recommended by shareholders of the Fund Complex. Recommendations should be submitted in writing to Principal Funds, Inc. at 711 High Street, Des Moines, IA 50392. When evaluating a person as a potential nominee to serve as an Independent Director, the Committee will generally
22
consider, among other factors: age; education; relevant business experience; geographical factors; whether the person is “independent” and otherwise qualified under applicable laws and regulations to serve as a director; and whether the person is willing to serve, and willing andable to commit the time necessary for attendance at meetings and the performance of the duties of an independent director. The Committeealso meets personally with the nominees and conducts a reference check. The final decision is based on a combination of factors, including the strengths and the experience an individual may bring to the Board. The Committee believes the Board generally benefits from diversity of background, experience and views among its members, and considers these factors in evaluating the composition of the Board. The Board does not use regularly the services of any professional search firms to identify or evaluate or assist in identifying or evaluating potentialcandidates or nominees.
The Operations Committee’s primary purpose is to oversee the provision of administrative and distribution services to the Funds Complex, communications with the Fund Complex’s shareholders, and review and oversight of the Fund Complex’s operations.
Additional information about the Fund is available in the Prospectus dated December 31, 2018, and the Statement of Additional Informationdated December 31, 2018. These documents may be obtained free of charge by writing Principal Funds, Inc., P.O. Box 8024, Boston, MA 02266-8024 or telephoning 1-800-222-5852. The prospectus may be viewed at www.PrincipalFunds.com/prospectuses.
PROXY VOTING POLICIES
A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities and the results of the proxy votes for the most recent twelve months ended June 30 may be obtained free of charge by telephoning 1-800-222-5852, or on the SEC website at www.sec.gov.
SCHEDULES OF INVESTMENTS
The Fund files complete schedules of investments with the Securities and Exchange Commission as of November 30 and May 31 of each year on Form N-Q. The Fund’s Form N-Q can be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. or on the Commission’s website at www.sec.gov. Information on the operation of the Public Reference Room may be obtained by calling the
Commission at 1-202-551-8090.
23
BOARD CONSIDERATION OF INVESTMENT ADVISORY CONTRACTS
During the period covered by this report, the Board of Directors of Principal Funds, Inc. (“PFI”) approved (1) the annual review and renewal of the ManagementAgreement and various subadvisory agreements for all Funds; and (2) an amended subadvisory agreement with Principal Real Estate Investors, LLC related to the addition of a new investment sleeve and a change to an existing fee schedule for the DiversifiedReal Asset Fund.
Annual Review and Renewal of Management Agreement and Subadvisory Agreements
At its September 12, 2018 meeting, the Board performed its annual review and renewal process relating to the Management Agreement and the Subadvisory Agreements of seventeen series of PFI having a fiscal year end of 8/31 (each series is referred to as a “Fund”).
Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”) requires the Board, including a majority of the Directors who have no direct or indirect interest in the investment advisory agreements and who are not “interested persons” of PFI, as defined in the 1940 Act (the “Board”), to annually review and consider the continuation of: (1) the Management Agreement between the Principal Global Investors, LLC (the ”Manager”) and PFI, on behalf of the Funds (2) the Subadvisory Agreements between the Manager and each of AQR Capital Management, LLC /CNH Partners, LLC; BlackRock Financial Management, Inc. and BlackRock International Limited; BNP Paribas Asset Management USA, Inc.; Credit Suisse Asset Management, LLC; Delaware Investments Fund Advisors; Finisterre Capital LLP; Gotham Asset Management, LLC; Graham Capital Management, L.P.; KLS Diversified Asset Management LP; Loomis, Sayles & Company, L.P.; Los Angeles Capital Management and Equity Research, Inc.; Mellon Investments Corporation; Origin Asset Management LLP; Pictet Asset Management SA; Principal Real Estate Investors, LLC; RARE Infrastructure (North America) Pty Limited; Sirios Capital Management, L.P.; Sound Point Capital Management, LP; Spectrum Asset Management, Inc.; Symphony Asset Management LLC; Three Bridges Capital, LP; Tortoise Capital Advisors, L.L.C.; Wellington Management Company LLP; and York Registered Holdings, L.P. The ManagementAgreement and the Subadvisory Agreements are collectively referred to as the “Advisory Agreements.”
The Board considered the factors and reached the conclusions described below relating to the continuation of the Advisory Agreements. In evaluating the Advisory Agreements, the Board reviewed a broad range of information requested for this purpose, including, among other information, information regarding performance, advisory fees, total expenses, profitability from the Advisory Agreements to the Manager and information about economies of scale. The Board reviewed the materials provided and concluded that it was provided all informationreasonably necessary to evaluate the Advisory Agreements.
Management Agreement
With respect to the ManagementAgreement for each Fund, the Board considered, among other factors, that the Manager, along with Principal Management Corporation (“PMC”), the previous investment adviser to the Funds that merged with and into the Manager on May 1, 2017, and its affiliates have demonstrated a long-term commitment to support the Funds, including undertakings to cap Fund expenses and/or waive fees for certain Funds. In addition, the Board considered the following factors, and made certain findings and conclusions with respect thereto, for each of the Funds. The Board concluded that a relationship with a capable and conscientious adviser is in the best interests ofeach Fund.
Nature, Extent and Quality of Services
The Board considered the nature, quality and extent of the services provided under the Management Agreement, including accounting andadministrative services, as applicable. The Board considered the experience and skills of senior management leading Fund operations, the experience and skills of the personnel performing the functions under the Management Agreement and the resources made available to suchpersonnel, the ability of the Manager to attract and retain high-quality personnel and the organizational depth and stability of the Manager. The Board concluded that appropriate resources were provided under the Management Agreement. The Board also considered that, during the periods reviewed, the Manager had delegated day-to-day portfolio management responsibility for certain Funds to the Subadvisors. The Board noted that the Manager’s process for the selection of subadvisors emphasizes the selection of Principal-affiliated subadvisors that are determined to be qualified under the Manager’s due diligence process, but that the Manager will select an unaffiliated subadvisor to manage all or a portion of a Fund’s investment portfolio when deemed necessary or appropriate based upon a consideration of the Fund’s investment mandate and available expertise and resources within the Principal organization. With respect to Funds with unaffiliated Subadvisors, the Board considered the due diligence process developed by the Manager for purposes of selecting a qualified unaffiliated subadvisor for a Fund. The Board considered the Manager’s due diligence process for monitoring and replacing Subadvisors and for monitoring the investmentperformance of the Manager. The Board also considered the compliance program established by the Manager for the Funds and the level ofcompliance attained by the Funds. The Board noted that they had previously reviewed the annual best execution and soft dollar reports and information regarding the research payment accounts for applicable Funds and included those findings in their consideration of the renewal of the Advisory Agreements. Based upon all relevant factors, the Board concluded that the nature, quality and extent of the services provided by the Manager to the Funds under the Management Agreement were satisfactory.
Investment Performance
The Board reviewed each Fund’s investment performance over longer-term periods, reviewing both the investment return during the three-year period ended March 31, 2018 and the blended investment return (50%/50%) of the three- and five-year periods ended March 31, 2018,and compared those returns to various agreed-upon performance measures, including peer-group data based upon a broad-based, industry
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category determined by Morningstar, with certain exceptions. For the Diversified Real Asst Fund, a custom peer group recommended by the Manager and reviewed by the 15(c) Committee was used.
For Funds or Subadvisors that did not have a three-year or five-year performance history, the Board reviewed performance for a one-year or three-year period ended March 31, 2018, respectively, if available. The Board also compared each Fund’s investment performance over the one-, three- and five-year periods ended March 31, 2018, as available, to one or more relevant benchmark indices. The Board noted that certain Funds had commenced operations recently and, accordingly, no or limited performance information was considered. The Board also considered whether investment results were consistent with a Fund’s investment objective(s) and policies. For most Funds, the Board concluded that the Fund’s investment returns met acceptable levels of investment performance. There were certain Funds, and certainSubadvisors for multi-manager Funds, that had not attained during the relevant period(s) a level of investment performance considered satisfactory by the Board. For such Funds, the Board also considered other factors, such as the longer-term performance of each such Fundor Subadvisor, remedial efforts being taken to improve performance and/or the Manager’s explanation for the performance of such Fund or Subadvisor. The Board considered the Manager’s due diligence process for evaluating the performance of all Funds and all Subadvisors, for which they received regular reporting, and concluded that the Manager has in place an effective due diligence process to monitor investmentperformance, to encourage remedial action and to make changes in the Subadvisors at the appropriate time, if necessary.
Investment Management Fees
The Board considered each Fund’s management fee. For each Fund, other than the PFI Capital Securities Fund, which does not paymanagement fees, the Board received certain information from Broadridge. For Funds the Board received information comparing eachFund’s (1) contractual management fee at current asset levels and at theoretical asset levels, (2) actual management fee (after any fee waivers) at average fiscal-year asset levels, (3) actual non-management fees at average fiscal-year asset levels, and (4) actual total expense ratio (including, as applicable, acquired fund fees and expenses and after any expense caps or fee waivers) at average fiscal-year asset levels forClass A shares for PFI Funds, in each case as available, to investment advisory fees and expense ratios of funds in a peer group selected byBroadridge (except for the PFI Diversified Real Asset Fund, which uses a custom peer group recommended by the Manager and reviewed by the 15(c) Committee) (“Expense Group”), and, if available, a broad-based, industry category defined by Broadridge (“Expense Universe”).
For PFI Funds that did not offer Class A shares or if Class A shares represented less than 5% of the PFI Fund’s total assets, the information provided was based upon Class I shares (or, in the case of the PFI SystematEx Large Value Fund, Class R-6 shares).
In evaluating the management fees, the Board considered a variety of factors, including the amount of the fees, breakpoints, comparison to fees of peer group funds and other funds and non-fund accounts managed by the Manager, subadvisory fees paid, services provided,investment performance, total net expense ratios, profitability, the existence and sharing of economies of scale and expense caps and fee waivers. The Board considered that certain PFI Funds with similar investment strategies and policies have different management fees and noted the reasons cited by the Manager for the differing fees. In reviewing the fees of other accounts managed by the Manager, the Board considered information provided by the Manager regarding differences between the services provided to the Funds and the services provided to such other accounts. For most Funds, actual management fees were within the third quartile or better when compared to their Expense Group. For some Funds, although actual management fees were higher than the third quartile, total net expense ratios were within the third quartile or better. Discussion is set forth below regarding specific factors relevant to the Board’s review of certain other Funds.
The list of agreed upon expense caps and fee waivers also reflects new or revised fee waivers for the Opportunistic Municipal Fund, the Origin Emerging Markets Fund and the Real Estate Debt Income Fund, to be effective from December 31, 2018 through December 30, 2020;and for the Blue Chip Fund, to be effective from November 1, 2018 through December 30, 2020.
Considering all factors they deemed relevant, the Board concluded that the management fee payable by each Fund was reasonable in light of the nature, quality and extent of the services provided by the Manager and other relevant factors.
Profitability
The Board reviewed detailed information regarding revenues PMC, the previous investment adviser to the Funds, and its affiliate PGI receivedunder the Management Agreements and the estimated direct and indirect costs incurred in providing to each Fund the services described in the applicable Management Agreements for the year ended December 31, 2017. The Board also considered the returns on revenue generatedin connection with the payment of subadvisory fees to affiliated Subadvisors (Columbus Circle Investors, Finisterre Capital LLP, OriginAsset Management LLP, Post Advisory Group, LLC, Principal Real Estate Investors LLC and Spectrum Asset Management, Inc.) and theaggregated return on revenue to PMC and its affiliates for the year ended December 31, 2017. The Board concluded that the management fee for each Fund was reasonable, taking into account the profitability information presented by the Manager.
Economies of Scale
The Board considered whether there are economies of scale with respect to the management of each Fund and whether the Funds benefit from any such economies of scale. The Board considered the Manager’s biennial breakpoint study that was received by the Board in March 2018 and the Manager’s representation that Funds are initially priced as though the Fund had reached scale, reflecting a sharing of economies of scale. The Board then reviewed the levels at which breakpoints occur, the incremental declines in management fees at each breakpoint and the amount of fee reductions that had been provided to shareholders as a result of these breakpoints. The Board considered whether the
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effective management fee rate for each Fund under the applicable Management Agreement is reasonable in relation to the asset size of suchFund. The Board also noted management’s explanation of efficiencies in the Manager’s cost structure. The Board concluded that the fee schedule for each Fund reflects an appropriate level of sharing of any economies of scale.
The Board noted that the Capital Securities Fund does not pay management fees, although shareholders pay a separately managed account-level fee that covers, among other things, the expenses of the Fund’s Subadvisor.
The Board also noted that the management fees for the Bond Market Index Fund and the International Equity Index Fund do not include breakpoints, but each such Fund has a relatively low basis point fee (25 basis points or less) on all Fund assets. Considering all relevant factors, including the level of the fee, the Board determined that no breakpoints were necessary at this time.
SubadvisoryFees, Economies of Scale and Profitability
For each Fund, the Board considered the subadvisory fees, noting that the Manager compensates each Subadvisor from its own managementfee, so that shareholders pay only the management fee.
For each Fund, other than the Capital Securities Fund whose Subadvisor does not receive a subadvisory fee, the Board received certain information from Broadridge comparing each such Fund’s subadvisory fee at current asset levels and at theoretical asset levels to subadvisoryfees of subadvised funds in the Expense Group and, if available, the Expense Universe. With regard to Origin Emerging Markets Fund,the Board accepted management’s proposal to amend the Subadvisory Agreement to reduce the subadvisory fee schedule for Origin AssetManagement, LLP and, for each such Fund, the Board considered both the reduced subadvisory fee schedule and the pro forma ranking ofthe reduced subadvisory fee in concluding that the Subadvisory Agreement, as amended, should be renewed.
The Board considered whether there are economies of scale with respect to the subadvisory services provided to each subadvised Fund and, if so, whether the subadvisory fees reflect such economies of scale through breakpoints in fees or whether the subadvisory fee schedule is otherwise appropriate at current asset levels. In addition, in evaluating the subadvisory fees and the factor of profitability, with respect to unaffiliated Subadvisors, the Board considered that the subadvisory fee rate was negotiated at arm’s length between the Manager and the Subadviser. The Board considered the profitability of the affiliated Subadvisors in conjunction with their review of the profitability of the Manager. On the basis of the information provided, the Board concluded that the subadvisory fees were reasonable.
Other Benefits to the Manager and Subadvisors
The Board also considered the character and amount of other incidental benefits received by each Subadvisor when evaluating the subadvisory fees. The Board considered as a part of this analysis each Subadvisor’s soft dollar practices and brokerage practices. The Board concluded that, on the basis of the information provided, the subadvisory fees were reasonable.
Overall Conclusions
Based upon all of the information it considered and the conclusions it reached, the Board determined unanimously that the terms of eachAdvisory Agreement continue to be fair and reasonable and that the continuation of each Advisory Agreement, with the actions proposed bythe Manager, is in the best interests of each Fund.
Principal Real Estate Investors, LLC Subadvisory Agreement
On December 11, 2018, the Board considered for the Diversified Real Asset Fund (the “Fund”) the approval of a sub-advisory agreement (the “Subadvisory Agreement”) between the Manager and Principal Real Estate Investors, LLC (the “Subadvisor”) with respect to a new commercial mortgage-backed security single asset, single borrower investment sleeve of the Fund.
The Board concluded that it was in the best interests of the Fund to approve the Subadvisory Agreement. In reaching this conclusion, no single factor was determinative in the Board’s analysis, but rather the Board considered a variety of factors. The Board considered various factors, including the following, and made certain findings and conclusions with regard thereto, in approving the Subadvisory Agreement.
Nature, Quality and Extent of Services
The Board considered the nature, quality and extent of the services expected to be provided under the Subadvisory Agreement. The Board considered the reputation, qualifications and background of the Subadvisor, the investment approach of the Subadvisor, the experience and skills of the Subadvisor’s investment personnel who would be responsible for the day-to-day management of the Fund and the resourcesmade available to such personnel. The Board noted that the Subadvisor currently provides subadvisory services for other PFI funds, andthat the Board had reviewed and had approved for renewal those subadvisory agreements at its September 2018 Board meeting. In addition, the Board considered the Manager’s program for recommending, monitoring and replacing subadvisors, that such program emphasizes the selection of Principal-affiliated subadvisors that are determined to be qualified under its due diligence process and that the Managerrecommended the Subadvisor based upon that program.
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Investment Performance
As the commercial mortgage-backed security single asset, single borrower investment sleeve is a new investment sleeve for the Fund, the Board did not review performance of the sleeve because no track record was available. However, the Board took note that the Subadvisor has managed real estate security strategies for other series of PFI, the performance of which is reviewed by the Board.
Fees, Economies of Scale and Profitability
The Board considered the proposed subadvisory fee, noting that the Manager compensates subadvisors from its own management fee so that shareholders pay only the management fee. The Board considered whether there are economies of scale with respect to the subadvisoryservices to be provided to the Fund under the Subadvisory Agreement. The Board concluded that, although the proposed subadvisory fee schedule does not include breakpoints, the subadvisory fee schedule is appropriate at currently anticipated asset levels. The Board consideredthe Subadvisor’s representation that it does not have any advisory clients with a lower fee for the specific mandate that it will manage for the Fund and the Manager’s statement that it found the proposed subadvisory fee schedule to be competitive. The Board also considered that the Subadvisor’s appointment is contingent upon the Fund’s shareholders approving the Subadvisory Agreement, which will involve the costs of holding a shareholder meeting. On the basis of the information provided, the Board concluded that the proposed subadvisory fee wasreasonable.
Other Benefits
The Board also considered the character and amount of other fall-out benefits to be received by the Subadvisor. The Board noted that theSubadvisor does not intend to use soft dollars in this investment sleeve. The Board concluded that, on the basis of the information provided,the proposed subadvisory fee was reasonable.
Overall Conclusions
Based upon all of the information considered and the conclusions reached, the Board determined that the terms of the Subadvisory Agreement are fair and reasonable and that approval of the Subadvisory Agreement is in the best interests of the Fund.
Principal Real Estate Investors, LLC Amended and Restated Subadvisory Agreement
On December 11, 2018, the Board considered for Diversified Real Asset Fund (the “Fund”) the approval of an amended fee schedule under the subadvisory agreement (the “Subadvisory Agreement”) between Principal Global Investors, LLC (the “Manager”) and Principal Real Estate Investors, LLC (the “Subadvisor”) with respect to the global real estate investment sleeve of the Fund, which would result in areduction of the subadvisory fee rate at all asset levels.
The Board reviewed materials received from the Manager regarding the proposed change in the subadvisory fee schedule. The Board considered the Manager’s representation that the change in the subadvisory fee schedule would not reduce the nature, quality, quantity or extent of the services provided by the Subadvisor to the Fund and that the Subadvisor’s obligations under the Subadvisory Agreement would remain the same in all material respects. The Board also considered that the Manager was not proposing any material changes to the termsof the Subadvisory Agreement other than to the fee schedule.
The Board considered that they had last approved the Subadvisory Agreement for the Fund during the annual contract renewal process that concluded at the Board of Directors’ September 2018 meeting. They noted that during the annual contract renewal process, they had considered the nature, quality and extent of the services provided by the Subadvisor under the Subadvisory Agreement and had concluded, based upon the information provided, that the terms of the Subadvisory Agreement were reasonable and that approval of the Subadvisory Agreement was in the best interests of the Fund.
Based upon all of the information considered, the Board concluded that it was in the best interests of the Fund to approve the amendedSubadvisory Agreement at this time and, accordingly, recommended to the Board of Directors the approval of the amended Subadvisory Agreement.
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(c)2019 Principal Financial Services, Inc. | FV908-04 | 02/2019 | 729290-022021
ITEM 2 – CODE OF ETHICS
Not applicable to semi-annual reports.
ITEM 3 – AUDIT COMMITTEE FINANCIAL EXPERT
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ITEM 4 – PRINCIPAL ACCOUNTANT FEES AND SERVICES
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ITEM 5 – AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6 – SCHEDULE OF INVESTMENTS
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this form.
ITEM 7 – DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 8 – PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9 – PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10 – SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
None
ITEM 11 – CONTROLS AND PROCEDURES
a) The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing).
(b) There have been no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12 – DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 13 – EXHIBITS
(a)(1) Code of Ethics - Not applicable to semi-annual reports.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.CERT.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant)
Principal Funds, Inc.
By /s/ Michael J. Beer
Michael J. Beer, President and CEO
Date 4/11/2019
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /s/ Michael J. Beer
Michael J. Beer, President and CEO
Date 4/11/2019
By /s/ Tracy W. Bollin
Tracy W. Bollin, Chief Financial Officer
Date 4/11/2019
Due to size constraints, this filing is being made in two related submissions. This submission is the second of the two related submissions. The accession number of the previous related submission is as follows: 0000898745-19-000359