UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-07572 |
Principal Funds, Inc. |
(Exact name of registrant as specified in charter)
801 Grand Avenue, Des Moines, IA 50309 |
(Address of principal executive offices) (Zip code)
Principal Global Investors, LLC, 801 Grand Avenue, Des Moines, IA 50309 |
(Name and address of agent for service)
Registrant’s telephone number, including area code: | 515-248-0156 |
Date of fiscal year end: | August 31, 2020 |
Date of reporting period: | August 31, 2020 |
ITEM 1 – REPORT TO STOCKHOLDERS
Principal
Funds
Institutional,
J,
&
R
Share
Classes
Annual
Report
August
31,
2020
Beginning
on
January
1,
2021,
as
permitted
by
regulations
adopted
by
the
Securities
and
Exchange
Commission,
paper
copies
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.
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and
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If
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elected
electronic
delivery,
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eDelivery
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Table
of
Contents
Not
FDIC
or
NCUA
insured
May
lose
value
•
Not
a
deposit
•
No
bank
or
credit
union
guarantee
Not
insured
by
any
Federal
government
agency
Economic
&
Financial
Market
Review
1
Important
Fund
Information
2
Blue
Chip
Fund
(unaudited)
3
Bond
Market
Index
Fund
(unaudited)
4
Diversified
Real
Asset
Fund
(unaudited)
5
Edge
MidCap
Fund
(unaudited)
6
Global
Multi-Strategy
Fund
(unaudited)
7
International
Equity
Index
Fund
(unaudited)
8
International
Small
Company
Fund
(unaudited)
9
Opportunistic
Municipal
Fund
(unaudited)
10
Origin
Emerging
Markets
Fund
(unaudited)
11
Small-MidCap
Dividend
Income
Fund
(unaudited)
12
Small-MidCap
Growth
Fund
(unaudited)
13
Spectrum
Preferred
and
Capital
Securities
Income
Fund
(unaudited)
14
Financial
Statements
16
Notes
to
Financial
Statements
45
Schedules
of
Investments
74
Financial
Highlights
(includes
performance
information)
210
Report
of
Independent
Registered
Public
Accounting
Firm
226
Shareholder
Expense
Example
228
Supplemental
Information
230
1
Economic
&
Financial
Market
Review
The
August
drop
in
new
COVID-19
cases
in
the
United
States
allowed
the
recovery
to
broaden.
The
rise
in
new
cases
in
Europe
and
a
second
wave
in
Japan
is
dampening
their
nascent
rebounds.
China’s
upturn
marches
on.
It
was
a
risk-on
month
for
financial
markets,
but
long-term
yields
edged
higher,
handing
losses
to
holders
of
safe-haven
government
bonds.
Stock
markets
may
have
more
upside
as
economic
activity
resumes
and
people
get
back
to
work.
Long-term
equity
returns
will
likely
be
limited
given
current
valuations.
In
the
U.S.,
housing
activity
is
booming.
Sales
of
existing
and
new
homes
are
soaring,
with
the
latter
the
best
since
late
2006.
Business
orders
for
durable
goods
jumped
11.2%
in
July,
far
above
expectations—this
after
a
7.7%
surge
in
June.
Orders
and
shipments
for
non-defense
capital
goods
ex
aircraft,
a
measure
of
business’
capital
spending,
are
both
essentially
flat
with
July
last
year.
Retail
sales
are
back
to
new
highs.
July
household
income
and
spending
kept
rising.
Steel
production
is
up
for
the
11th
straight
week
(but
still
well
below
last
year).
Absent
another
outbreak
of
COVID-19
activity,
the
U.S.
economic
revival
should
stay
on
track.
Despite
a
series
of
setbacks,
a
mild
recovery
from
the
economic
lockdowns
in
Japan
is
underway.
Support
for
the
ruling
party
was
strong
and
an
election
doesn’t
have
to
be
held
until
October
2021,
so
policy
will
likely
not
change
much
after
Prime
Minister
Shinzo
Abe’s
resignation.
With
the
second
wave
of
infections
diminishing,
we
expect
Japan’s
revival
to
gradually
strengthen.
We
expect
the
moderate
Eurozone
rebound
to
persist.
China
was
the
first
to
succumb
to
recession
and
is
leading
the
way
out.
*Commentary
taken
from
September
2020
Economic
Insights
by
Robert
F.
Baur,
Ph.D.,
executive
director,
chief
global
economist.
All
data
from
Bloomberg,
unless
otherwise
stated.
2
Important
Fund
Information
The
following
information
applies
to
all
funds
shown
in
the
annual
report:
Securities
described
in
the
fund
commentary
may
no
longer
be
held
in
the
fund
Investment
results
shown
represent
historical
performance
and
do
not
guarantee
future
results.
Your
investment’s
returns
and
principal
values
will
fluctuate
with
changes
in
interest
rates
and
other
market
conditions
so
the
value,
when
redeemed,
may
be
worth
more
or
less
than
original
costs.
Current
performance
may
be
lower
or
higher
than
the
performance
shown.
For
more
information,
including
the
most
recent
month-end
performance,
visit
principalfunds.com,
call
your
financial
professional,
or
call
800-222-5852.
A
sales
charge
may
apply
as
follows:
Class
J
shares:
contingent
deferred
sales
charge
of
1%
on
redemptions
made
during
the
first
18
months.
Institutional
and
Class
R
shares
do
not
have
a
sales
charge.
See
the
prospectus
for
details.
Performance
listed
with
sales
charge
reflects
the
maximum
sales
charge
*
Performance
assumes
reinvestment
of
all
dividends
and
capital
gains.
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
oldest
share
class,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
Performance
does
not
reflect
the
impact
of
federal,
state,
or
municipal
taxes.
If
it
did,
performance
would
be
lower.
**
Performance
shown
for
the
benchmark
assumes
reinvestment
of
all
dividends
and
distributions.
Indices
are
unmanaged,
and
individuals
cannot
invest
directly
in
an
index.
3
Blue
Chip
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Blue
Chip
Fund seeks
long-term
growth
of
capital.
The
Fund
normally
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
equity
securities
of
companies
with
large
market
capitalizations
at
the
time
of
purchase
that,
in
the
Fund's
investment
advisor's
opinion,
display
characteristics
of
a
"blue
chip"
company.
The
advisor
tends
to
focus
on
securities
of
companies
that
show
potential
for
growth
of
capital
as
well
as
an
expectation
for
above
average
earnings.
The
Fund
invests
in
securities
of
foreign
companies.
Amazon,
an
e-commerce
and
cloud
computing
company
started
by
Jeff
Bezos
in
1994,
contributed
this
year
as
many
people
are
limiting
how
often
they
leave
the
house,
and
Amazon
has
been
the
go-to
option
for
online
shopping
amid
the
COVID-19
crisis.
PayPal,
which
started
as
a
payment
service
for
merchants
on
eBay.com
and
since
grown
to
become
the
leading
platform
in
digital
and
mobile
payments,
contributed.
Microsoft,
whose
CEO
Satya
Nadella
has
positioned
Microsoft
for
the
future,
with
key
investments
in
its
fast-growing
commercial
cloud
business
and
the
transition
of
its
Office
suite
to
a
subscription
service
delivered
over
the
internet,
contributed.
Adobe,
the
market
leader
in
software
for
creative
professionals
worldwide,
was
a
contributor.
Alphabet,
whose
core
Google
business
has significant
advantages
and
will
continue
to
benefit
as
advertising
budgets
move
from
traditional
media
to
where
people
increasingly
spend
their
time,
contributed.
Restaurant
Brands
International,
a
holding
company
with
an
owner-operator
culture
that
manages
Burger
King,
Tim
Hortons,
and
Popeye's,
detracted.
Automatic
Data
Processing,
the
leading
provider
of
human
capital
management
solutions
that
helps
businesses
manage
payrolls,
taxes,
benefits,
and
other
aspects
of
human
resources,
detracted.
YUM!
Brands,
the
second-largest
global
quick-service
restaurant
company,
consisting
of
four
primary
brands:
Taco
Bell,
KFC,
Pizza
Hut,
and
the
newly
acquired
Habit
Burger,
detracted
as
it
has
been
impacted
alongside
the
rest
of
the
restaurant
industry
during
the
COVID-19
crisis.
Markel,
a
specialty
insurance
underwriter,
focusing
on
non-standard
and
hard
to
place
risks
with
disciplined
underwriting
that
has
resulted
in attractive
returns
on
capital
compared
to
competitors,
detracted.
Berkshire
Hathaway,
a
diversified
company
that
has
been
built
over
decades
by
owner-operators
Warren
Buffett
and
Charlie
Munger,
detracted.
Value
of
a
$10,000
Investment*
June
14,
2012
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Extended
Performance
Inception
Date
Class
J
Shares
Excluding
Sales
Charge
38.58%
21.18%
19.11%
9/11/17
6/14/12
Including
Sales
Charge
37.58%
21.18%
19.11%
Institutional
Shares
38.88%
21.53%
19.49%
6/14/12
–
R-3
Shares
38.20%
20.90%
18.84%
3/29/16
6/14/12
R-4
Shares
38.45%
21.13%
19.07%
3/29/16
6/14/12
R-5
Shares
38.66%
21.28%
19.21%
3/29/16
6/14/12
R-6
Shares
39.01%
21.57%
19.48%
1/3/17
6/14/12
*Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
4
Bond
Market
Index
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Bond
Market
Index
Fund seeks
to
provide
current
income.
Under
normal
circumstances,
the
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
investments
designed
to
track
the
Bloomberg
Barclays
U.S.
Aggregate
Bond
Index
(the
"index")
at
the
time
of
purchase.
The
index
is
composed
of
investment
grade,
fixed
rate
debt
issues
with
maturities
of
one
year
or
more,
including
government
securities,
corporate
securities,
and
asset-backed
and
mortgage-backed
securities
(securitized
products).
Security
specific
impacts
within
investment-grade
corporate
bonds
contributed.
Slightly
higher
allocation
compared
to
index
weight
to
mortgage-backed
securities
contributed.
Lower
allocation
compared
to
index
weight
to
commercial
mortgage-backed
securities
contributed.
Slightly
higher
allocation
compared
to
index
weight
to
U.S.
Treasury
securities
detracted.
Security
specific
impacts
within
government
related
credit
detracted.
Slightly
lower
allocation
compared
to
index
weight
to
investment-grade
corporate
bonds
detracted.
Value
of
a
$10,000
Investment*
August
31,
2010
-
August
31,
2020
1-Year
5-Year
10-Year
Inception
Date
Class
J
Shares
Excluding
Sales
Charge
5.75%
3.54%
2.79%
3/16/10
Including
Sales
Charge
4.75%
3.54%
2.79%
Institutional
Shares
6.29%
4.04%
3.44%
12/30/09
R-1
Shares
5.27%
3.13%
2.42%
12/30/09
R-2
Shares
5.46%
3.27%
2.56%
12/30/09
R-3
Shares
5.66%
3.47%
2.75%
12/30/09
R-4
Shares
5.84%
3.70%
2.97%
12/30/09
R-5
Shares
6.01%
3.78%
3.07%
12/30/09
5
Diversified
Real
Asset
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Sub-Advisors:
BlackRock
Financial
Management,
Inc.;
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited;
Credit
Suisse
Asset
Management,
LLC;
Delaware
Investments
Fund
Advisers;
Mellon
Investments
Corporation;
Pictet
Asset
Management
SA;
Principal
Real
Estate
Investors,
LLC;
Symphony
Asset
Management
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Diversified
Real
Asset
Fund
seeks
a
long-term
total
return
in
excess
of
inflation.
Under
normal
circumstances,
the
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
investments
related
to
real
assets
and
real
asset
companies. The
Fund seeks
to
achieve
its
investment
objective
by
allocating
its
assets
among
general
investment
categories
related
to
real
assets
and
real
asset
companies
(which
include
tangible
assets
and
investments
that
are
expected
to
perform
well
in
periods
of
rising
or
high
inflation).
Manager
performance
and
style
selection
within
infrastructure
contributed
as
both
infrastructure
managers
(RARE
and
Macquarie)
outperformed
their
individual
benchmarks.
Both
managers
had strong
security
selection
vs
their
respective
benchmarks
and
RARE’s
utility
focus
led
them
to
outperform
broader
global
infrastructure
and
have
a
strong
style
selection
contribution.
The
standalone
allocation
to
water
contributed
to
positive
style
selection
as
the
global
water
industry
significantly
outperformed
broader
infrastructure
stocks.
Style
selection
and
manager
performance
contributed
within
natural
resources.
The
standalone
allocation
to
timber
contributed
to
positive
style
selection
as
the
global
timber
industry
outperformed
broader
natural
resource
stocks.
Manager
performance
was
positive
for
Mellon,
which
had
good
stock
selection
across
energy,
agriculture,
and
metals
&
mining.
Pictet
also
outperformed
their
benchmark,
primarily
through
good
stock
selection
in
paper,
wood
products,
and
timberland.
Manager
performance
and
positive
asset
allocation
effect
within
commodities;
the
underweight
allocation
to
commodities
contributed,
as
did
Credit
Suisse’s
outperformance
vs.
their
benchmark.
Style
selection
effect
and
manager
performance
within
real
return;
the
allocation
to
floating
rate,
and
to
a
lesser
extent
to
commercial
mortgage-backed
securities,
both
underperformed
Treasury
Inflation
Protected
Securities;
additionally,
within
the
floating
rate
notes
sleeve,
Symphony
underperformed
their
benchmark.
Asset
allocation
effect
within
infrastructure
and
natural
resources;
the
portfolio’s
overweight
position
in
infrastructure
and
the
timing
of
the
portfolio’s
underweight
position
in
natural
resources
detracted
from
relative
performance.
Value
of
a
$10,000
Investment*
August
31,
2010
-
August
31,
2020
1-Year
5-Year
10-Year
Inception
Date
Extended
Performance
Inception
Date
Institutional
Shares
1.36%
2.13%
3.31%
3/16/10
–
R-3
Shares
0.78%
1.61%
2.77%
3/29/16
3/16/10
R-4
Shares
0.95%
1.81%
2.97%
3/29/16
3/16/10
R-5
Shares
1.01%
1.94%
3.10%
3/29/16
3/16/10
R-6
Shares
1.32%
2.18%
3.32%
12/31/14
3/16/10
*
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
6
Edge
MidCap
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Edge
MidCap
Fund
seeks
long-term
growth
of
capital.
Under
normal
circumstances,
the
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
equity
securities
of
companies
with
medium
market
capitalizations
at
the
time
of
purchase. The
Fund invests
in
real
estate
investment
trust
securities.
The
Fund
invests
in
equity
securities
with
value
and/or
growth
characteristics
and
constructs
an
investment
portfolio
that
has
a
"blend"
of
equity
securities
with
these
characteristics.
YETI
Holdings,
Inc.
outperformed
as
investors
became
more
enthused
that
outdoor
activities
would
benefit
as
people
shifted
travel
habits
in
light
of
COVID-19.
Varian
Medical
Systems,
Inc.
contributed
as
it
was
announced
that
Siemens
Healthineers
would
acquire
Varian.
Teradyne,
Inc.
boosted
results
as
the
company
beat
expectations
and
raised
guidance
due
to
stronger-than-expected
results
in
semiconductor
testing
as
5G
infrastructure,
networking,
and
memory
test
spending
grew.
Washington
Federal,
Inc.
detracted
from
relative
performance
due
to
concerns
about
net
interest
margins
compressing
and
their
ability
to
grow
their
commercial
loan
portfolio.
Fidelity
National
Financial,
Inc.
-
FNF
Group,
a
title
insurance
company,
has
seen
strong
refinance
strength
within
residential,
but
shares
have
trailed
the
broader
markets
as
investors
have
reacted
negatively
to
the
acquisition
announcement
of
FGL
Holdings.
Universal
Health
Services,
Inc.
Class
B
underperformed
after
first
quarter
results
came
in
at
the
low
end
of
estimates
and
investors
worried
about
the
impact
of
COVID-19
on
elective
surgeries
which
are
more
profitable
for
the
company.
Value
of
a
$10,000
Investment*
September
28,
2015
-
August
31,
2020
1-Year
Since
Inception
Inception
Date
Extended
Performance
Inception
Date
Institutional
Shares
6.97%
11.98%
9/28/15
–
R-6
Shares
7.11%
12.18%
1/3/17
9/28/15
*
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
7
Global
Multi-Strategy
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Sub-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.;
Sound
Point
Capital
Management,
LP;
Wellington
Management
Company
LLP;
York
Registered
Holdings,
L.P.
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Global
Multi-Strategy
Fund seeks
to
achieve
long-term
capital
appreciation
with
an
emphasis
on
positive
total
returns
and
managing
volatility.
The
Fund
invests
in
a
broad
range
of
instruments
including,
but
not
limited
to,
equities,
bonds,
currencies,
commodities,
convertible
securities,
and
bank
loans.
Under
normal
market
conditions, the
Fund invests
in
securities
of
issuers
located
throughout
the
world,
including
the
U.S.,
invests
at
least
30%
of
its
net
assets
in
foreign
and
emerging
market
securities,
and
holds
investments
tied
economically
to
at
least
twenty
countries.
Six
of
the
nine
sleeves
in
the
GMS
portfolio
were
positive.
The
equity
long/short
sleeve
sub-advised
by
LA
Capital
was
the
top
contributor
with
gains
driven
by
an
overweight
to
companies
with
strong
management
success
and
earnings
quality
and
an
underweight
to
companies
with
high
pension
risk.
The
event-driven
sleeve
sub-advised
by
York
gained
as
positions
in
Asian
special
situation
equities
contributed
to
performance.
The
emerging
markets
credit
sleeve
sub-advised
by
Finisterre
contributed
with
gains
driven
by
positions
in
Sri
Lankan
sovereign
credit,
U.S.
rates,
and
Indonesian
local
rates. The
equity
long/short
sleeve
sub-advised
by
Wellington
was
also
a
strong
contributor
with
positive
results
driven
by
the
U.S.
all-cap,
U.S.
small-cap
and
Europe
total
return
strategies.
The
equity
long/short
sleeve
sub-advised
by
Gotham
contributed
with
gains
driven
by
long
positions
in
the
information
technology
sector.
The
credit
sleeve
sub-advised
by
Loomis
Sayles
profited
from
exposures
to
investment-grade
and
high
yield
corporate
bonds.
Securitized
assets
were
the
primary
detractors
for
the
period.
The
market
neutral
sleeve
sub-advised
by
KLS
was
the
top
detractor
with
losses
coming
from
positions
in
commercial
mortgage-backed
securities,
GSE
credit,
and
Intelsat.
The
macro
sleeve
sub-advised
by
Graham
also
detracted
as
long
exposure
equities
in
Europe
and
Asia
and
various
currency
positions
weighed
on
performance.
The
credit
sleeve
sub-advised
by
Sound
Point
detracted
as
core
positions
in
Southcross
Energy
and
Ecobat
weighed
on
performance.
In
addition,
a
bank
loan
position
in
Valtris
Specialty
Chemical
detracted.
Value
of
a
$10,000
Investment*
October
24,
2011
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Extended
Performance
Inception
Date
Institutional
Shares
3.44%
2.75%
3.21%
10/24/11
–
R-6
Shares
3.44%
2.77%
3.21%
6/12/17
10/24/11
*
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
8
International
Equity
Index
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
International
Equity
Index
Fund seeks
long-term
growth
of
capital.
The
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
securities
that
compose
the
MSCI
EAFE
NTR
Index
at
the
time
of
purchase.
The
index
is
a
market-weighted
equity
index
designed
to
measure
the
equity
performance
of
developed
markets,
excluding
the
United
States
and
Canada.
The
advisor
employs
a
passive
investment
approach
designed
to
attempt
to
track
the
performance
of
the
index.
Eight
of
the
eleven
economic
sectors
in
the
index
posted
positive
returns
as
information
technology
and
health
care
posted
the
best
returns
for
the
year.
Fortescue
Metals
Group,
M3,
and
Adyen
contributed.
The
energy
and
real
estate
sectors
were
the
weakest
performers.
Wirecard,
Rolls-Royce
Holdings,
and
Royal
Dutch
Shell
detracted.
Value
of
a
$10,000
Investment*
August
31,
2010
-
August
31,
2020
1-Year
5-Year
10-Year
Inception
Date
Extended
Performance
Inception
Date
Institutional
Shares
5.77%
4.48%
5.55%
12/30/09
–
R-1
Shares
4.86%
3.57%
4.63%
12/30/09
–
R-2
Shares
5.02%
3.72%
4.77%
12/30/09
–
R-3
Shares
5.11%
3.89%
4.95%
12/30/09
–
R-4
Shares
5.34%
4.09%
5.16%
12/30/09
–
R-5
Shares
5.45%
4.22%
5.29%
12/30/09
–
R-6
Shares
5.66%
4.46%
5.51%
1/3/17
12/30/09
*Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
9
International
Small
Company
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
International
Small
Company
Fund seeks
long-term
growth
of
capital.
Under
normal
circumstances,
the
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
equity
securities
of
companies
with
small
market
capitalizations
at
the
time
of
purchase. The
Fund invests
primarily
in
foreign
equity
securities.
The
Fund
typically
invests
in
foreign
securities
of
more
than
10
countries
but
has
no
limitation
on
the
percentage
of
assets
that
is
invested
in
each
country
or
denominated
in
any
currency.
Allocation
to
the
United
Kingdom
contributed.
In
the
U.K.,
stock
selection
amongst
British
real
estate
and
consumer
durables
contributed
to
relative
performance.
Overall,
the
consumer
discretionary,
information
technology,
and
consumer
staples
sectors
were
notable
contributors
to
relative
performance.
Stars
Group,
ASM
International,
COSMOS
Pharmaceutical,
Saracen
Mineral,
and
GVC
Holdings
were
the
biggest
individual
contributors
to
performance.
Underperformance
was
highly
concentrated
within
continental
Europe
over
the
past
year.
Stock
selection
amongst
Swedish
industrials
and
health
care
companies
detracted
from
relative
performance
the
most
while
an
absence
of
exposure
from
Swiss
pharmaceuticals
and
biotech
companies
also
detracted
from
performance
as
the
race
for
a
COVID-19
vaccine
has
driven
positive
absolute
performance
in
those
types
of
companies.
Industrials,
health
care,
and
utilities
sectors
were
the
most
notable
detractors.
Stock
selection
in
the
industrials
sector
significantly
detracted
from
relative
performance.
Capital
goods
and
transportation
companies
significantly
underperformed
given
their
particularly
high
sensitivity
to
economic
activity
and
our
holdings’
higher
exposure
to
the
aircraft
and
travel
end
markets,
which
were
most
impacted
from
the
COVID-19
pandemic
by
related
economic
lockdown
measures.
Enerplus,
AerCap,
Cineworld,
William
Hill,
and
Air
Canada
were
the
biggest
individual
detractors
from
relative
performance.
Value
of
a
$10,000
Investment*
June
11,
2014
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Extended
Performance
Inception
Date
Institutional
Shares
4.49%
5.84%
4.04%
12/31/14
6/11/14
R-6
Shares
4.67%
5.85%
4.02%
1/3/17
6/11/14
*
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Class
A
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
10
Opportunistic
Municipal
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Opportunistic
Municipal
Fund seeks
to
provide
a
high
level
of
income
that
is
exempt
from
federal
income
tax
while
protecting
investors'
capital.
The
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
municipal
obligations
(securities
issued
by
or
on
behalf
of
state
or
local
governments
and
other
public
authorities). The
Fund invests
in
other
debt
obligations,
including
(but
not
limited
to)
taxable
municipal
obligations,
U.S.
Treasury
securities,
obligations
of
the
U.S.
government,
its
agencies
and
instrumentalities
("Agency
Securities")
and
exchange-traded
funds
(ETFs)
to
gain
exposure
to
the
municipal
market.
Allocation
to
Nustar
Logistics,
Texas
State
Municipal
Gas
Acquisition
&
Supply,
and
Delta
Air
Lines
–
LaGuardia
Airport
Terminals
contributed.
Allocation
to
Metropolitan
Washington
Airport
Authority,
New
York
State
Environmental
Facilities
Solid
Waste
Disposal,
and
Buckeye
Ohio
Tobacco
Settlement
Finance
Authority
detracted.
Value
of
a
$10,000
Investment*
June
14,
2012
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Extended
Performance
Inception
Date
Institutional
Shares
0.99%
5.47%
5.24%
3/10/15
6/14/12
*
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Class
A
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
11
Origin
Emerging
Markets
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Sub-Advisor:
Origin
Asset
Management
LLP
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Origin
Emerging
Markets
Fund
seeks
long-term
growth
of
capital.
Under
normal
circumstances,
the
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
equity
securities
of
emerging
market
companies
at
the
time
of
purchase.
The
advisor
considers
a
security
to
be
tied
economically
to
an
emerging
market
country
(an
"emerging
market
security")
if
the
issuer
of
the
security
has
its
principal
place
of
business
or
principal
office
in
an
emerging
market
country,
has
its
principal
securities
trading
market
in
an
emerging
market
country,
or
derives
a
majority
of
its
revenue
from
emerging
market
countries.
The
underweight
allocation
to
financials
was
the
leading
contributor
to
outperformance,
with
Indian
Financials
the
leading
holdings
in
terms
of
positive
effect.
Stock
selection
in
the
communication
services
sector
provided
the
second
biggest
beneficial
effect
on
relative
performance.
At
a
country
level,
Taiwan
was
the
outright
leader
in
terms
of
additive
performance,
but
the
overweight
China
was
also
beneficial.
Some
sectors
detracted
from
the
positive
result.
The
main
drag
at
sector
level
proved
to
be
health
care.
Stock
selection
within
Industrials
was
also
marginally
detracting.
At
a
geographic
level,
Korea
proved
the
most
significant
detractor
from
overall
performance.
Value
of
a
$10,000
Investment*
January
23,
2015
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Institutional
Shares
18.21%
8.97%
4.71%
1/23/15
R-6
Shares
18.30%
9.01%
4.74%
1/23/15
12
Small-MidCap
Dividend
Income
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Small-MidCap
Dividend
Income
Fund seeks
to
provide
current
income
and
long-term
growth
of
income
and
capital.
The
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
dividend-paying
equity
securities
of
companies
with
small
to
medium
market
capitalizations
at
the
time
of
purchase. The
Fund's investments
include
the
securities
of
foreign
issuers
and
real
estate
investment
trusts.
MKS
Instruments,
Inc.
outperformed
due
to
improving
sentiment
for
semiconductor
capital
equipment
stocks,
which
had
been
very
negative
the
prior
year.
Acushnet
Holdings
Corp.
reported
solid
results
due
to
strength
in
its
Titleist
Clubs
and
higher
volumes
in
irons,
hybrids,
and
putters.
The
company
also
expanded
margins
and
announced
a
mid-tier
golf
ball
product
in
2020.
CyrusOne,
Inc.
outperformed
as
management
raised
guidance
during
the
period,
raised
the
dividend,
and
affirmed
that
it
would
not
need
to
raise
capital
to
fund
its
European
expansion.
Additionally,
rumors
of
private
equity
interest
in
the
company impacted
the
stock.
EPR
Properties
underperformed
as
the
entertainment
real
estate
investment
trust
(REIT)
suffered
from
concerns
about
the
financial
health
of
its
largest
tenants
in
light
of
stay-at-home
mandates
across
the
nation.
NFI
Group
Inc.
detracted
as
concerns
developed
that
new
competition
in
the
growing
electric
bus
market
might
pressure
margins.
These
concerns
were
then
followed
by
apprehension
about
the
impact
that
COVID-19
would
have
on
bus
ridership,
likely
leading
municipalities
to
cut
back
on
spending
at
a
time
when
municipal
budgets
are
shrinking.
PacWest
Bancorp
detracted
due
to
concerns
about
net
interest
margins
compressing
due
to
its
commercial
loan
portfolio,
which
is
levered
to
short
term
rates,
and
the
level
of
provisions
that
may
be
needed
in
a
sharp
economic
slowdown.
Value
of
a
$10,000
Investment*
June
6,
2011
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Extended
Performance
Inception
Date
Institutional
Shares
-12.36%
5.26%
7.53%
6/6/11
–
R-6
Shares
-12.24%
5.32%
7.52%
1/3/17
6/6/11
*
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
13
Small-MidCap
Growth
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Sub-Advisor:
Columbus
Circle
Investors
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Small-MidCap
Growth
Fund
seeks
long-term
growth
of
capital.
Under
normal
circumstances,
the
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
equity
securities
of
companies
with
small
to
medium
market
capitalizations
at
the
time
of
purchase.
For
this
Fund,
companies
with
small
to
medium
market
capitalizations
are
those
with
market
capitalizations
within
the
range
of
companies
in
the
Russell
2500
Growth
Index.
Dexcom,
a
medical
device
manufacturer
focused
on
diabetes
management,
contributed
due
to
robust
demand
of
its
market-leading
continuous
glucose
monitoring
systems.
An
out-of-index
allocation
to
Chewy,
an
online
retailer
of
pet
products
and
supplies,
contributed
as
pet
industry
sales
continue
to
migrate
online.
RingCentral,
a
provider
of
cloud-based
business
communications
software,
contributed
as
the
company
continued
to
benefit
from
increased
secular
adoption
of
its
solutions
and
its
partnership
with
Avaya.
SunPower
Corporation,
a
leading
developer
of
solar
products
and
services
detracted
due
to
project
execution
challenges
that
impacted
profitability,
raising
doubts
about
the
achievability
of
the
company’s
long-term
margin
targets.
Exact
Sciences,
a
provider
of
cancer
screening
and
diagnostics
testing,
detracted
due
to
slower-than-expected
momentum
in
its
flagship
Cologuard
colorectal
cancer
screening
product,
as
well
as
competitive
concerns
regarding
the
company’s
position
in
liquid
biopsy.
Seattle
Genetics,
a
biotechnology
company
that
develops
therapies
targeting
cancer
that
was
not
owned
for
a
large
portion
of
the
year
in
the
portfolio,
but
is
in
the
index,
detracted
as
shares
rose
on
favorable
drug
trials,
approvals,
and
launches
of
key
drugs
targeting
breast
cancer
and
bladder
cancer.
Value
of
a
$10,000
Investment*
June
12,
2019
-
August
31,
2020
1-Year
Since
Inception
Inception
Date
Institutional
Shares
39.77%
34.40%
6/12/19
14
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Sub-Advisor:
Spectrum
Asset
Management,
Inc.
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Spectrum
Preferred
and
Capital
Securities
Income
Fund seeks
to
provide
current
income.
The
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowing
for
investment
purposes,
in
preferred
securities
and
capital
securities
at
the
time
of
purchase.
Preferred
securities
typically
include
preferred
stock
and
various
types
of
junior
subordinated
debt
and
trust
preferred
securities.
It
concentrates
its
investments
(invests
more
than
25%
of
its
net
assets)
in
securities
in
one
or
more
industries
(i.e.,
banking,
insurance
and
commercial
finance)
within
the
financial
services
sector.
AT1
Coco’s
were
the
best
performing
asset
class
this
period
as
investors
sought
the
additional
yield
pickup
this
asset
offers
relative
to
other
Preferred
securities.
European
Central
Bank
actions
to
ease
capital
rules
and
positive
comments
on
AT1
coupons
also
were
supportive.
This
was
a
strong
period
of
performance
for
assets
with
duration
as
rates
trended
lower
significantly
and
we
got
extraordinary
fiscal
and
monetary
support.
The
Insurance
hybrids,
given
their
longer
duration,
performed
strongly.
Legacy
Tier1
bonds
in
the
portfolio
performed
strongly
due
to
a
combination
of
decreasing
rates
and
increasing
liability
management
activity
as
we
approach
the
point
at
which
these
bonds
will
lose
all
Tier1
credit.
The
$1000
par
Preferreds
in
the
portfolio
lagged
relative
to
Jr.
subordinated
debt
given
supply
and
non-call/extension
on
a
number
of
bonds
as
a
result
of
the
low
rate
environment.
The
Insurance
hybrid
floaters
detracted
from
performance
given
falling
LIBOR
rates.
Outflows
that
hit
the
portfolio
in
March
of
2020
necessitated
selling
which
affected
performance
given
the
strong
rebound
that
we
have
had
since
then
due
to
fiscal
and
monetary
support.
Value
of
a
$10,000
Investment*
August
31,
2010
-
August
31,
2020
1-Year
5-Year
10-Year
Inception
Date
Extended
Performance
Inception
Date
Class
J
Shares
Excluding
Sales
Charge
4.67%
5.37%
6.38%
12/29/03
–
Including
Sales
Charge
3.67%
5.37%
6.38%
Institutional
Shares
4.96%
5.66%
6.78%
5/1/02
–
R-1
Shares
4.24%
4.83%
5.92%
11/1/04
–
R-2
Shares
4.24%
4.95%
6.06%
6/1/04
–
R-3
Shares
4.49%
5.15%
6.24%
6/1/04
–
R-4
Shares
4.71%
5.36%
6.44%
6/1/04
–
R-5
Shares
4.82%
5.48%
6.58%
6/1/04
–
R-6
Shares
5.17%
5.70%
6.75%
1/3/17
5/1/02
*
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
16
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Blue
Chip
Fund
Bond
Market
Index
Fund
Diversified
Real
Asset
Fund
(a)
Investment
in
securities--at
cost
..........................................................
$
4,853,455
$
2,207,789
$
3,051,154
Investment
in
affiliated
Funds--at
cost
...................................................
$
11,250
$
170,674
$
69,408
Assets
Investment
in
securities--at
value
..........................................................
$
7,824,838
$
2,378,268
(b)
$
3,096,518
(b)
Investment
in
affiliated
Funds--at
value
....................................................
11,250
170,674
69,408
Cash
.........................................................................................
–
2
15,979
Deposits
with
counterparty
..................................................................
–
–
8,997
Receivables:
Dividends
and
interest
.................................................................
3,016
11,392
8,348
Expense
reimbursement
from
Manager
...............................................
345
31
200
Expense
reimbursement
from
Distributor
.............................................
4
1
–
Foreign
currency
contracts
...........................................................
–
–
492
Fund
shares
sold
.......................................................................
20,007
555
4,631
Investment
securities
sold
.............................................................
47,085
28,226
17,363
OTC
swap
agreements--at
value
(premiums
paid
$
0
,
$
0
and
$
0
)
.....................
–
–
2,930
Unrealized
gain
on
unfunded
loan
commitments
.....................................
–
–
1,707
Variation
margin
on
futures
...........................................................
–
–
6,972
Variation
margin
on
swaps
............................................................
–
–
264
Total
Assets
7,906,545
2,589,149
3,233,809
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
3,740
290
2,185
Accrued
administrative
service
fees
........................................................
1
3
–
Accrued
distribution
fees
....................................................................
405
12
18
Accrued
service
fees
........................................................................
5
10
–
Accrued
transfer
agent
fees
.................................................................
505
24
461
Accrued
chief
compliance
officer
fees
......................................................
1
–
–
Accrued
directors'
expenses
.................................................................
31
7
9
Accrued
professional
fees
...................................................................
27
33
120
Accrued
other
expenses
.....................................................................
243
58
138
Cash
overdraft
...............................................................................
–
–
1,467
Deposits
from
counterparty
.................................................................
–
–
170
Payables:
Foreign
currency
contracts
............................................................
–
–
590
Fund
shares
redeemed
.................................................................
5,758
8,124
2,592
Investment
securities
purchased
......................................................
58,275
194,978
30,785
Options
and
swaptions
contracts
written
(premiums
received
$
0
,
$
0
and
$
3,716
)
...
–
–
3,609
OTC
swap
agreements--at
value
(premiums
received
$
0
,
$
0
and
$
0
)
................
–
–
49
Unrealized
loss
on
unfunded
loan
commitments
......................................
–
–
21
Variation
margin
on
futures
...........................................................
–
–
1,964
Variation
margin
on
swaps
............................................................
–
–
323
Collateral
obligation
on
securities
loaned,
at
value
.........................................
–
4,668
11,380
Total
Liabilities
68,991
208,207
55,881
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
7,837,554
$
2,380,942
$
3,177,928
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
4,679,566
$
2,171,047
$
3,406,786
Total
distributable
earnings
(accumulated
loss)
.............................................
3,157,988
209,895
(
228,858
)
Total
Net
Assets
$
7,837,554
$
2,380,942
$
3,177,928
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
17
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Blue
Chip
Fund
Bond
Market
Index
Fund
Diversified
Real
Asset
Fund
(a)
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
1,300,000
710,000
1,875,000
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
646,386
N/A
$
43,485
Shares
Issued
and
Outstanding
........................................................
19,097
3,906
Net
Asset
Value
per
share
.............................................................
$
33
.85
(c)
$
11
.13
(c)
Maximum
Offering
Price
.............................................................
$
35
.82
$
11
.56
Class
C
:
Net
Assets
..........................................................................
$
322,210
N/A
$
11,010
Shares
Issued
and
Outstanding
........................................................
10,065
1,010
Net
Asset
Value
per
share
.............................................................
$
32
.01
(c)
$
10
.90
(c)
Class
J
:
Net
Assets
..........................................................................
$
153,325
$
44,200
N/A
Shares
Issued
and
Outstanding
........................................................
4,471
3,748
Net
Asset
Value
per
share
.............................................................
$
34
.29
(c)
$
11
.79
(c)
Institutional
:
Net
Assets
.....................................................................
$
2,638,389
$
2,290,008
$
1,960,593
Shares
Issued
and
Outstanding
........................................................
76,551
190,349
176,073
Net
Asset
Value
per
share
.............................................................
$
34
.47
$
12
.03
$
11
.14
R-1
:
Net
Assets
..............................................................................
N/A
$
1,412
N/A
Shares
Issued
and
Outstanding
........................................................
119
Net
Asset
Value
per
share
.............................................................
$
11
.82
R-2
:
Net
Assets
..............................................................................
N/A
$
7,324
N/A
Shares
Issued
and
Outstanding
........................................................
622
Net
Asset
Value
per
share
.............................................................
$
11
.78
R-3
:
Net
Assets
..............................................................................
$
8,764
$
13,196
$
138
Shares
Issued
and
Outstanding
........................................................
259
1,121
13
Net
Asset
Value
per
share
.............................................................
$
33
.85
$
11
.78
$
11
.07
R-4
:
Net
Assets
..............................................................................
$
5,230
$
6,523
$
12
Shares
Issued
and
Outstanding
........................................................
153
549
1
Net
Asset
Value
per
share
.............................................................
$
34
.08
$
11
.88
$
11
.11
R-5
:
Net
Assets
..............................................................................
$
12,060
$
18,279
$
32
Shares
Issued
and
Outstanding
........................................................
352
1,542
3
Net
Asset
Value
per
share
.............................................................
$
34
.29
$
11
.85
$
11
.10
R-6
:
Net
Assets
..............................................................................
$
4,051,190
N/A
$
1,162,658
Shares
Issued
and
Outstanding
........................................................
117,302
104,397
Net
Asset
Value
per
share
.............................................................
$
34
.54
$
11
.14
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
(b)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
(c)
Redemption
price
per
share
is
equal
to
net
asset
value
per
share
less
any
applicable
contingent
deferred
sales
charge.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
18
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Edge
MidCap
Fund
Global
Multi-Strategy
Fund
(a)
International
Equity
Index
Fund
Investment
in
securities--at
cost
..........................................................
$
728,825
$
1,075,403
$
998,034
Investment
in
affiliated
Funds--at
cost
...................................................
$
26,003
$
89,036
$
10,634
Repurchase
agreements--at
cost
..........................................................
$
–
$
277,661
$
–
Foreign
currency--at
cost
..................................................................
$
44
$
3,380
$
205
Assets
Investment
in
securities--at
value
..........................................................
$
826,801
$
1,120,784
$
1,090,232
(b)
Investment
in
affiliated
Funds--at
value
....................................................
26,003
89,036
10,634
Repurchase
agreements--at
value
...........................................................
–
277,661
–
Foreign
currency--at
value
..................................................................
45
3,413
203
Cash
.........................................................................................
–
119
–
Deposits
with
counterparty
..................................................................
–
139,476
229
Receivables:
Dividends
and
interest
.................................................................
1,173
5,986
6,062
Expense
reimbursement
from
Manager
...............................................
44
84
2
Foreign
currency
contracts
...........................................................
–
7,340
–
Fund
shares
sold
.......................................................................
207
500
100
Investment
securities
sold
.............................................................
–
36,766
6,021
OTC
swap
agreements--at
value
(premiums
paid
$
0
,
$
1,263
and
$
0
)
................
–
4,309
–
Variation
margin
on
futures
...........................................................
–
957
–
Variation
margin
on
swaps
............................................................
–
294
–
Total
Assets
854,273
1,686,725
1,113,483
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
482
1,079
230
Accrued
administrative
service
fees
........................................................
–
–
2
Accrued
distribution
fees
....................................................................
3
20
4
Accrued
service
fees
........................................................................
–
–
9
Accrued
transfer
agent
fees
.................................................................
21
76
5
Accrued
directors'
expenses
.................................................................
5
3
5
Accrued
professional
fees
...................................................................
22
168
53
Accrued
other
expenses
.....................................................................
11
146
159
Deposits
from
counterparty
.................................................................
–
220
–
Payables:
Dividends
and
interest
on
securities
sold
short
.......................................
–
553
–
Foreign
currency
contracts
............................................................
–
8,494
–
Fund
shares
redeemed
.................................................................
222
649
1,912
Investment
securities
purchased
......................................................
547
29,128
4,652
Options
and
swaptions
contracts
written
(premiums
received
$
0
,
$
665
and
$
0
)
.....
–
596
–
Reverse
repurchase
agreements
.......................................................
–
412,677
–
Short
sales
(proceeds
received
$
0
,
$
412,070
and
$
0
)
.................................
–
427,175
–
OTC
swap
agreements--at
value
(premiums
received
$
0
,
$
48
and
$
0
)
...............
–
3,258
–
Unrealized
loss
on
unfunded
loan
commitments
......................................
–
5
–
Variation
margin
on
futures
...........................................................
–
934
19
Variation
margin
on
swaps
............................................................
–
121
–
Collateral
obligation
on
securities
loaned,
at
value
.........................................
–
–
8,560
Total
Liabilities
1,313
885,302
15,610
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
852,960
$
801,423
$
1,097,873
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
710,746
$
810,590
$
1,006,074
Total
distributable
earnings
(accumulated
loss)
.............................................
142,214
(
9,167
)
91,799
Total
Net
Assets
$
852,960
$
801,423
$
1,097,873
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
19
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Edge
MidCap
Fund
Global
Multi-Strategy
Fund
(a)
International
Equity
Index
Fund
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
300,000
1,750,000
650,000
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
12,547
$
27,072
N/A
Shares
Issued
and
Outstanding
........................................................
850
2,472
Net
Asset
Value
per
share
.............................................................
$
14
.76
(c)
$
10
.95
(c)
Maximum
Offering
Price
.............................................................
$
15
.62
$
11
.38
Class
C
:
Net
Assets
..........................................................................
N/A
$
16,605
N/A
Shares
Issued
and
Outstanding
........................................................
1,576
Net
Asset
Value
per
share
.............................................................
$
10
.54
(c)
Institutional
:
Net
Assets
.....................................................................
$
82,198
$
591,298
$
35,803
Shares
Issued
and
Outstanding
........................................................
5,543
53,167
3,559
Net
Asset
Value
per
share
.............................................................
$
14
.83
$
11
.12
$
10
.06
R-1
:
Net
Assets
..............................................................................
N/A
N/A
$
491
Shares
Issued
and
Outstanding
........................................................
51
Net
Asset
Value
per
share
.............................................................
$
9
.73
R-2
:
Net
Assets
..............................................................................
N/A
N/A
$
548
Shares
Issued
and
Outstanding
........................................................
55
Net
Asset
Value
per
share
.............................................................
$
10
.05
R-3
:
Net
Assets
..............................................................................
N/A
N/A
$
15,706
Shares
Issued
and
Outstanding
........................................................
1,594
Net
Asset
Value
per
share
.............................................................
$
9
.85
R-4
:
Net
Assets
..............................................................................
N/A
N/A
$
9,023
Shares
Issued
and
Outstanding
........................................................
905
Net
Asset
Value
per
share
.............................................................
$
9
.97
R-5
:
Net
Assets
..............................................................................
N/A
N/A
$
16,208
Shares
Issued
and
Outstanding
........................................................
1,621
Net
Asset
Value
per
share
.............................................................
$
10
.00
R-6
:
Net
Assets
..............................................................................
$
758,215
$
166,448
$
1,020,094
Shares
Issued
and
Outstanding
........................................................
50,952
14,973
101,378
Net
Asset
Value
per
share
.............................................................
$
14
.88
$
11
.12
$
10
.06
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
(b)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
(c)
Redemption
price
per
share
is
equal
to
net
asset
value
per
share
less
any
applicable
contingent
deferred
sales
charge.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
20
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Origin
Emerging
Markets
Fund
Investment
in
securities--at
cost
..........................................................
$
923,837
$
133,709
$
1,531,854
Investment
in
affiliated
Funds--at
cost
...................................................
$
34,884
$
–
$
77,485
Foreign
currency--at
cost
..................................................................
$
–
$
–
$
17,462
Assets
Investment
in
securities--at
value
..........................................................
$
1,029,843
(a)
$
137,868
$
1,783,854
(a)
Investment
in
affiliated
Funds--at
value
....................................................
34,884
–
77,485
Foreign
currency--at
value
..................................................................
–
–
17,452
Cash
.........................................................................................
–
316
15
Receivables:
Dividends
and
interest
.................................................................
3,578
1,684
2,270
Expense
reimbursement
from
Manager
...............................................
2
11
3
Fund
shares
sold
.......................................................................
249
365
76
Investment
securities
sold
.............................................................
4,741
–
26,877
Total
Assets
1,073,297
140,244
1,908,032
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
848
57
1,589
Accrued
distribution
fees
....................................................................
1
11
1
Accrued
transfer
agent
fees
.................................................................
10
27
5
Accrued
directors'
expenses
.................................................................
4
3
8
Accrued
professional
fees
...................................................................
41
37
33
Accrued
other
expenses
.....................................................................
79
6
111
Cash
overdraft
...............................................................................
1,471
–
–
Payables:
Deferred
foreign
tax
...................................................................
–
–
1,603
Dividends
payable
.....................................................................
–
364
–
Expense
reimbursement
to
Manager
..................................................
10
–
–
Fund
shares
redeemed
.................................................................
1,105
164
1,150
Interest
expense
and
fees
payable
.....................................................
–
22
–
Investment
securities
purchased
......................................................
1,525
606
40,769
Collateral
obligation
on
securities
loaned,
at
value
.........................................
23,940
–
4,893
Floating
rate
notes
issued
...................................................................
–
6,023
–
Total
Liabilities
29,034
7,320
50,162
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
1,044,263
$
132,924
$
1,857,870
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
995,929
$
130,668
$
1,661,785
Total
distributable
earnings
(accumulated
loss)
.............................................
48,334
2,256
196,085
Total
Net
Assets
$
1,044,263
$
132,924
$
1,857,870
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
400,000
300,000
550,000
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
4,784
$
50,459
$
4,003
Shares
Issued
and
Outstanding
........................................................
452
4,603
324
Net
Asset
Value
per
share
.............................................................
$
10
.58
(b)
$
10
.96
(b)
$
12
.36
(b)
Maximum
Offering
Price
.............................................................
$
11
.20
$
11
.39
$
13
.08
Institutional
:
Net
Assets
.....................................................................
$
72,515
$
82,465
$
26,478
Shares
Issued
and
Outstanding
........................................................
6,819
7,518
2,176
Net
Asset
Value
per
share
.............................................................
$
10
.63
$
10
.97
$
12
.17
R-6
:
Net
Assets
..............................................................................
$
966,964
N/A
$
1,827,389
Shares
Issued
and
Outstanding
........................................................
90,404
149,984
Net
Asset
Value
per
share
.............................................................
$
10
.70
$
12
.18
(a)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
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.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
22
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Small-MidCap
Dividend
Income
Fund
Small-MidCap
Growth
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Investment
in
securities--at
cost
..........................................................
$
1,514,462
$
5,715
$
6,841,517
Investment
in
affiliated
Funds--at
cost
...................................................
$
15,508
$
47
$
245,017
Assets
Investment
in
securities--at
value
..........................................................
$
1,574,561
$
7,664
(a)
$
7,260,963
(a)
Investment
in
affiliated
Funds--at
value
....................................................
15,508
47
245,019
Cash
.........................................................................................
–
–
282
Deposits
with
counterparty
..................................................................
–
–
2,837
Receivables:
Dividends
and
interest
.................................................................
3,268
2
94,314
Expense
reimbursement
from
Manager
...............................................
5
–
–
Expense
reimbursement
from
Distributor
.............................................
–
–
1
Fund
shares
sold
.......................................................................
2,553
–
25,051
Investment
securities
sold
.............................................................
–
143
21,601
Variation
margin
on
futures
...........................................................
–
–
50
Total
Assets
1,595,895
7,856
7,650,118
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
1,055
4
4,251
Accrued
distribution
fees
....................................................................
85
–
496
Accrued
service
fees
........................................................................
–
–
2
Accrued
transfer
agent
fees
.................................................................
315
–
928
Accrued
chief
compliance
officer
fees
......................................................
–
–
1
Accrued
directors'
expenses
.................................................................
5
2
24
Accrued
professional
fees
...................................................................
28
21
44
Accrued
other
expenses
.....................................................................
57
2
257
Payables:
Expense
reimbursement
to
Manager
..................................................
–
3
–
Fund
shares
redeemed
.................................................................
2,068
–
6,137
Investment
securities
purchased
......................................................
–
115
95,236
Options
and
swaptions
contracts
written
(premiums
received
$
0
,
$
0
and
$
928
)
.....
–
–
250
Variation
margin
on
futures
...........................................................
–
–
442
Collateral
obligation
on
securities
loaned,
at
value
.........................................
–
83
16,720
Total
Liabilities
3,613
230
124,788
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
1,592,282
$
7,626
$
7,525,330
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
1,794,474
$
5,450
$
7,194,795
Total
distributable
earnings
(accumulated
loss)
.............................................
(
202,192
)
2,176
330,535
Total
Net
Assets
$
1,592,282
$
7,626
$
7,525,330
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
23
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Small-MidCap
Dividend
Income
Fund
Small-MidCap
Growth
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
1,700,000
100,000
2,500,000
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
103,382
N/A
$
844,525
Shares
Issued
and
Outstanding
........................................................
8,683
81,842
Net
Asset
Value
per
share
.............................................................
$
11
.91
(b)
$
10
.32
(b)
Maximum
Offering
Price
.............................................................
$
12
.60
$
10
.72
Class
C
:
Net
Assets
..........................................................................
$
71,660
N/A
$
365,817
Shares
Issued
and
Outstanding
........................................................
6,083
35,480
Net
Asset
Value
per
share
.............................................................
$
11
.78
(b)
$
10
.31
(b)
Class
J
:
Net
Assets
..........................................................................
N/A
N/A
$
42,554
Shares
Issued
and
Outstanding
........................................................
4,250
Net
Asset
Value
per
share
.............................................................
$
10
.01
(b)
Institutional
:
Net
Assets
.....................................................................
$
1,408,105
$
7,626
$
4,746,270
Shares
Issued
and
Outstanding
........................................................
117,605
532
463,515
Net
Asset
Value
per
share
.............................................................
$
11
.97
$
14
.33
$
10
.24
R-1
:
Net
Assets
..............................................................................
N/A
N/A
$
613
Shares
Issued
and
Outstanding
........................................................
60
Net
Asset
Value
per
share
.............................................................
$
10
.19
R-2
:
Net
Assets
..............................................................................
N/A
N/A
$
1,565
Shares
Issued
and
Outstanding
........................................................
155
Net
Asset
Value
per
share
.............................................................
$
10
.11
R-3
:
Net
Assets
..............................................................................
N/A
N/A
$
1,328
Shares
Issued
and
Outstanding
........................................................
131
Net
Asset
Value
per
share
.............................................................
$
10
.16
R-4
:
Net
Assets
..............................................................................
N/A
N/A
$
1,031
Shares
Issued
and
Outstanding
........................................................
102
Net
Asset
Value
per
share
.............................................................
$
10
.14
R-5
:
Net
Assets
..............................................................................
N/A
N/A
$
3,526
Shares
Issued
and
Outstanding
........................................................
346
Net
Asset
Value
per
share
.............................................................
$
10
.19
R-6
:
Net
Assets
..............................................................................
$
9,135
N/A
$
1,518,101
Shares
Issued
and
Outstanding
........................................................
759
148,315
Net
Asset
Value
per
share
.............................................................
$
12
.03
$
10
.24
(a)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
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.
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
24
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Bond
Market
Index
Fund
Diversified
Real
Asset
Fund
(a)
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
116
$
937
$
1,133
Dividends
.........................................................................................
38,040
719
58,909
Withholding
tax
..................................................................................
(
727
)
–
(
4,107
)
Interest
............................................................................................
–
56,288
43,516
Securities
lending
-
net
...........................................................................
86
32
175
Total
Income
37,515
57,976
99,626
Expenses:
Management
and
investment
advisory
fees
......................................................
33,554
3,401
28,838
Distribution
f
ees
-
Class
A
.......................................................................
1,066
N/A
120
Distribution
f
ees
-
Class
C
.......................................................................
2,140
N/A
134
Distribution
f
ees
-
Class
J
........................................................................
152
54
N/A
Distribution
f
ees
-
R-1
...........................................................................
N/A
3
N/A
Distribution
f
ees
-
R-2
...........................................................................
N/A
15
N/A
Distribution
f
ees
-
R-3
...........................................................................
17
31
–
Distribution
f
ees
-
R-4
...........................................................................
4
6
–
Administrative
service
fees
-
R-1
................................................................
N/A
3
N/A
Administrative
service
fees
-
R-2
................................................................
N/A
10
N/A
Administrative
service
fees
-
R-3
................................................................
5
8
–
Administrative
service
fees
-
R-4
................................................................
1
2
–
Administrative
service
fees
-
R-5
................................................................
1
2
–
Registration
fees
-
Class
A
.......................................................................
84
N/A
17
Registration
fees
-
Class
C
.......................................................................
37
N/A
16
Registration
fees
-
Class
J
........................................................................
24
18
N/A
Registration
fees
-
Institutional
..................................................................
280
43
41
Registration
fees
-
R-6
...........................................................................
38
N/A
23
Service
fees
-
R-1
................................................................................
N/A
2
N/A
Service
fees
-
R-2
................................................................................
N/A
12
N/A
Service
fees
-
R-3
................................................................................
16
31
1
Service
fees
-
R-4
................................................................................
11
15
–
Service
fees
-
R-5
................................................................................
21
45
–
Shareholder
reports
-
Class
A
....................................................................
43
N/A
15
Shareholder
reports
-
Class
C
....................................................................
19
N/A
5
Shareholder
reports
-
Class
J
.....................................................................
54
41
N/A
Shareholder
reports
-
Institutional
...............................................................
97
3
141
Shareholder
reports
-
R-6
........................................................................
29
N/A
123
Transfer agent
fees
-
Class
A
.....................................................................
422
N/A
78
Transfer agent
fees
-
Class
C
.....................................................................
186
N/A
32
Transfer agent
fees
-
Class
J
.....................................................................
72
55
N/A
Transfer agent
fees
-
Institutional
................................................................
1,267
66
2,072
Chief
compliance
officer
expenses
...............................................................
5
3
4
Custodian
fees
....................................................................................
6
45
270
Directors'
expenses
...............................................................................
116
48
79
Professional fees
.................................................................................
35
42
180
Other
expenses
...................................................................................
61
19
49
Total
Gross
Expenses
39,863
4,023
32,238
Less: Reimbursement
from
Manager
............................................................
3,492
247
1,337
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
–
N/A
34
Less:
Reimbursement
from
Manager
-
Class
C
..................................................
–
N/A
30
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
30
–
994
Less:
Reimbursement
from
Manager
-
R-6
......................................................
–
N/A
91
Less:
Reimbursement
from
Distributor
-
Class
J
................................................
30
11
N/A
Total
Net
Expenses
36,311
3,765
29,752
Net
Investment
Income
(Loss)
1,204
54,211
69,874
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
25
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Bond
Market
Index
Fund
Diversified
Real
Asset
Fund
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions
and
swap
agreements
Net
realized
gain
(loss)
from:
Investment
transactions
..........................................................................
316,866
28,601
(
86,662
)
Foreign
currency
contracts
.......................................................................
–
–
(
2,406
)
Foreign
currency
transactions
....................................................................
–
–
(
1,471
)
Futures
contracts
.................................................................................
–
–
(
10,917
)
Options
and
swaptions
...........................................................................
–
–
2,266
Swap
agreements
.................................................................................
–
–
(
18,841
)
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
.......................................................................................
1,825,862
66,873
30,629
Foreign
currency
contracts
.......................................................................
–
–
200
Futures
contracts
.................................................................................
–
–
12,427
Options
and
swaptions
...........................................................................
–
–
1,673
Swap
agreements
.................................................................................
–
–
6,244
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
–
–
231
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions
and
swap
agreements
2,142,728
95,474
(
66,627
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
2,143,932
$
149,685
$
3,247
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
26
See
accompanying
notes.
Amounts
in
thousands
Edge
MidCap
Fund
Global
Multi-Strategy
Fund
(a)
International
Equity
Index
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
156
$
1,047
$
39
Dividends
.........................................................................................
10,452
11,315
29,732
Withholding
tax
..................................................................................
(
17
)
(
418
)
(
2,502
)
Interest
............................................................................................
4
36,362
2
Securities
lending
-
net
...........................................................................
366
–
159
Total
Income
10,961
48,306
27,430
Expenses:
Management
and
investment
advisory
fees
......................................................
5,017
14,279
2,710
Distribution
f
ees
-
Class
A
.......................................................................
24
79
N/A
Distribution
f
ees
-
Class
C
.......................................................................
N/A
219
N/A
Distribution
f
ees
-
R-1
...........................................................................
N/A
N/A
2
Distribution
f
ees
-
R-2
...........................................................................
N/A
N/A
2
Distribution
f
ees
-
R-3
...........................................................................
N/A
N/A
40
Distribution
f
ees
-
R-4
...........................................................................
N/A
N/A
8
Administrative
service
fees
-
R-1
................................................................
N/A
N/A
1
Administrative
service
fees
-
R-2
................................................................
N/A
N/A
1
Administrative
service
fees
-
R-3
................................................................
N/A
N/A
11
Administrative
service
fees
-
R-4
................................................................
N/A
N/A
3
Administrative
service
fees
-
R-5
................................................................
N/A
N/A
2
Registration
fees
-
Class
A
.......................................................................
17
19
N/A
Registration
fees
-
Class
C
.......................................................................
N/A
17
N/A
Registration
fees
-
Institutional
..................................................................
27
72
16
Registration
fees
-
R-6
...........................................................................
18
18
25
Service
fees
-
R-1
................................................................................
N/A
N/A
1
Service
fees
-
R-2
................................................................................
N/A
N/A
1
Service
fees
-
R-3
................................................................................
N/A
N/A
40
Service
fees
-
R-4
................................................................................
N/A
N/A
21
Service
fees
-
R-5
................................................................................
N/A
N/A
43
Shareholder
reports
-
Class
A
....................................................................
2
7
N/A
Shareholder
reports
-
Class
C
....................................................................
N/A
4
N/A
Shareholder
reports
-
Institutional
...............................................................
3
149
5
Shareholder
reports
-
R-6
........................................................................
2
–
1
Transfer agent
fees
-
Class
A
.....................................................................
27
44
N/A
Transfer agent
fees
-
Class
C
.....................................................................
N/A
35
N/A
Transfer agent
fees
-
Institutional
................................................................
60
475
33
Chief
compliance
officer
expenses
...............................................................
1
1
1
Custodian
fees
....................................................................................
2
357
210
Directors'
expenses
...............................................................................
17
24
25
Dividends
and
interest
on
securities
sold
short
..................................................
–
7,302
–
Index
license
fees
................................................................................
–
–
335
Professional fees
.................................................................................
24
243
91
Short
sale
fees
....................................................................................
–
1,597
–
Other
expenses
...................................................................................
7
135
14
Reverse
repurchase
agreement
interest
expense
.................................................
–
5,198
–
Total
Gross
Expenses
5,248
30,274
3,642
Less: Reimbursement
from
Manager
............................................................
473
359
–
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
28
–
N/A
Less:
Reimbursement
from
Manager
-
Class
C
..................................................
N/A
29
N/A
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
29
665
56
Less:
Reimbursement
from
Manager
-
R-6
......................................................
–
131
247
Total
Net
Expenses
4,718
29,090
3,339
Net
Investment
Income
(Loss)
6,243
19,216
24,091
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
27
See
accompanying
notes.
Amounts
in
thousands
Edge
MidCap
Fund
Global
Multi-Strategy
Fund
(a)
International
Equity
Index
Fund
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
..........................................................................
46,450
(
7,466
)
9,387
Foreign
currency
contracts
.......................................................................
–
1,190
–
Foreign
currency
transactions
....................................................................
5
(
1,024
)
(
167
)
Futures
contracts
.................................................................................
–
(
2,636
)
167
Options
and
swaptions
...........................................................................
–
1,420
–
Short
sales
........................................................................................
–
(
14,737
)
–
Swap
agreements
.................................................................................
–
1,872
–
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
.......................................................................................
6,586
48,799
36,737
Foreign
currency
contracts
.......................................................................
–
(
6,292
)
–
Futures
contracts
.................................................................................
–
(
8,377
)
247
Options
and
swaptions
...........................................................................
–
875
–
Short
sales
........................................................................................
–
(
14,366
)
–
Swap
agreements
.................................................................................
–
630
–
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
1
(
328
)
339
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions,
short
sales
and
swap
agreements
53,042
(
440
)
46,710
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
59,285
$
18,776
$
70,801
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
28
See
accompanying
notes.
Amounts
in
thousands
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Origin
Emerging
Markets
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
129
$
–
$
213
Dividends
.........................................................................................
19,488
17
36,434
Withholding
tax
..................................................................................
(1,906)
–
(3,738)
Interest
............................................................................................
1
5,789
1
Securities
lending
-
net
...........................................................................
330
–
15
Total
Income
18,042
5,806
32,925
Expenses:
Management
and
investment
advisory
fees
......................................................
9,399
681
14,183
Distribution
fees
-
Class
A
.......................................................................
11
130
7
Registration
fees
-
Class
A
.......................................................................
17
19
17
Registration
fees
-
Institutional
..................................................................
18
22
23
Registration
fees
-
R-6
...........................................................................
19
N/A
31
Shareholder
reports
-
Class
A
....................................................................
3
2
2
Shareholder
reports
-
Institutional
...............................................................
3
2
1
Shareholder
reports
-
R-6
........................................................................
1
N/A
1
Transfer agent
fees
-
Class
A
.....................................................................
21
46
17
Transfer agent
fees
-
Institutional
................................................................
36
79
14
Chief
compliance
officer
expenses
...............................................................
1
–
1
Custodian
fees
....................................................................................
250
2
337
Directors'
expenses
...............................................................................
21
6
27
Interest
expense
and
fees
.........................................................................
–
94
–
Professional fees
.................................................................................
56
44
53
Other
expenses
...................................................................................
13
3
40
Total
Gross
Expenses
9,869
1,130
14,754
Less: Reimbursement
from
Manager
............................................................
–
82
569
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
29
10
28
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
1
36
16
Less:
Reimbursement
from
Manager
-
R-6
......................................................
1
N/A
–
Total
Net
Expenses
9,838
1,002
14,141
Net
Investment
Income
(Loss)
8,204
4,804
18,784
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments
and
foreign
currencies
Net
realized
gain
(loss)
from:
Investment
transactions
..........................................................................
(27,983)
(1,272)
41,800
Foreign
currency
transactions
....................................................................
(116)
–
(1,455)
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
(net
of
foreign
taxes
of
$0,
$0
and
$1,603
,
respectively)
...........................
66,246
(3,908)
183,264
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
113
–
(85)
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments
and
foreign
currencies
38,260
(5,180)
223,524
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
46,464
$
(376)
$
242,308
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
30
See
accompanying
notes.
Amounts
in
thousands
Small-MidCap
Dividend
Income
Fund
Small-MidCap
Growth
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
............................................................
$
279
$
1
$
1,670
Dividends
from
affiliated
securities
.........................................................
–
–
5,344
Dividends
....................................................................................
45,122
12
52,570
Withholding
tax
.............................................................................
(
704
)
–
–
Interest
.......................................................................................
1
–
270,889
Securities
lending
-
net
......................................................................
91
–
553
Total
Income
44,789
13
331,026
Expenses:
Management
and
investment
advisory
fees
.................................................
14,816
38
44,021
Distribution
f
ees
-
Class
A
..................................................................
319
N/A
1,943
Distribution
f
ees
-
Class
C
..................................................................
987
N/A
4,359
Distribution
f
ees
-
Class
J
...................................................................
N/A
N/A
67
Distribution
f
ees
-
R-1
......................................................................
N/A
N/A
2
Distribution
f
ees
-
R-2
......................................................................
N/A
N/A
5
Distribution
f
ees
-
R-3
......................................................................
N/A
N/A
5
Distribution
f
ees
-
R-4
......................................................................
N/A
N/A
1
Administrative
service
fees
-
R-1
...........................................................
N/A
N/A
2
Administrative
service
fees
-
R-2
...........................................................
N/A
N/A
3
Administrative
service
fees
-
R-3
...........................................................
N/A
N/A
2
Registration
fees
-
Class
A
..................................................................
24
N/A
61
Registration
fees
-
Class
C
..................................................................
18
N/A
27
Registration
fees
-
Class
J
...................................................................
N/A
N/A
21
Registration
fees
-
Institutional
.............................................................
38
22
279
Registration
fees
-
R-6
......................................................................
19
N/A
22
Service
fees
-
R-1
...........................................................................
N/A
N/A
1
Service
fees
-
R-2
...........................................................................
N/A
N/A
4
Service
fees
-
R-3
...........................................................................
N/A
N/A
5
Service
fees
-
R-4
...........................................................................
N/A
N/A
3
Service
fees
-
R-5
...........................................................................
N/A
N/A
8
Shareholder
reports
-
Class
A
...............................................................
14
N/A
45
Shareholder
reports
-
Class
C
...............................................................
11
N/A
23
Shareholder
reports
-
Class
J
................................................................
N/A
N/A
37
Shareholder
reports
-
Institutional
..........................................................
155
3
204
Shareholder
reports
-
R-6
...................................................................
–
N/A
10
Transfer agent
fees
-
Class
A
................................................................
160
N/A
647
Transfer agent
fees
-
Class
C
................................................................
122
N/A
402
Transfer agent
fees
-
Class
J
................................................................
N/A
N/A
54
Transfer agent
fees
-
Institutional
...........................................................
2,016
–
3,831
Chief
compliance
officer
expenses
..........................................................
2
–
6
Custodian
fees
...............................................................................
13
3
49
Directors'
expenses
..........................................................................
43
2
138
Professional fees
............................................................................
28
22
55
Other
expenses
..............................................................................
19
1
129
Total
Gross
Expenses
18,804
91
56,471
Less:
Reimbursement
from
Manager
-
Class
A
.............................................
71
N/A
–
Less:
Reimbursement
from
Manager
-
Class
C
.............................................
54
N/A
–
Less:
Reimbursement
from
Manager
-
Institutional
........................................
836
46
–
Less:
Reimbursement
from
Manager
-
R-6
.................................................
18
N/A
–
Less:
Reimbursement
from
Distributor
-
Class
J
...........................................
N/A
N/A
13
Total
Net
Expenses
17,825
45
56,458
Net
Investment
Income
(Loss)
26,964
(
32
)
274,568
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
31
See
accompanying
notes.
Amounts
in
thousands
Small-MidCap
Dividend
Income
Fund
Small-MidCap
Growth
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures
and
options
and
swaptions
Net
realized
gain
(loss)
from:
Investment
transactions
.....................................................................
(
234,399
)
353
(
69,814
)
Investment
transactions
in
affiliated
securities
..............................................
–
–
(
19,445
)
Foreign
currency
transactions
...............................................................
(
55
)
–
–
Futures
contracts
............................................................................
–
–
(
812
)
Options
and
swaptions
......................................................................
–
–
31,206
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
..................................................................................
(
65,840
)
1,724
103,582
Investment
in
affiliated
securities
...........................................................
–
–
15,724
Futures
contracts
............................................................................
–
–
(
159
)
Options
and
swaptions
......................................................................
–
–
493
Translation
of
assets
and
liabilities
in
foreign
currencies
...................................
2
–
–
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures
and
options
and
swaptions
(
300,292
)
2,077
60,775
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
(
273,328
)
$
2,045
$
335,343
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
32
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
1,204
$
8,402
Net
realized
gain
(loss)
on
investments
.............................................................................................
316,866
185,238
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
1,825,862
289,451
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
2,143,932
483,091
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
218,915
)
(
218,921
)
Total
Dividends
and
Distributions
(
218,915
)
(
218,921
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
1,577,913
854,548
Total
Increase
(Decrease)
in
Net
Assets
3,502,930
1,118,718
Net
Assets
Beginning
of
period
.................................................................................................................
4,334,624
3,215,906
End
of
period
.......................................................................................................................
$
7,837,554
$
4,334,624
Class
A
Class
C
Class
J
Institutional
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.......................................
$
330,206
$
123,814
$
80,027
$
1,979,502
$
3,089
$
1,473
$
6,893
$
765,698
Reinvested
..................................
15,360
8,054
3,750
42,915
259
187
298
144,416
Redeemed
...................................
(
153,829
)
(
40,458
)
(
45,104
)
(
755,174
)
(
2,485
)
(
1,782
)
(
4,409
)
(
924,787
)
Net
Increase
(Decrease)
.........................
$
191,737
$
91,410
$
38,673
$
1,267,243
$
863
$
(
122
)
$
2,782
$
(
14,673
)
Shares:
Sold
.......................................
12,395
4,890
2,934
74,141
115
57
254
27,502
Reinvested
..................................
601
332
145
1,644
10
7
12
5,521
Redeemed
...................................
(
5,751
)
(
1,583
)
(
1,704
)
(
27,142
)
(
97
)
(
66
)
(
161
)
(
32,947
)
Net
Increase
(Decrease)
.........................
7,245
3,639
1,375
48,643
28
(
2
)
105
76
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................
$
157,102
$
74,792
$
28,869
$
618,371
$
1,190
$
3,111
$
4,724
$
429,587
Reinvested
..................................
12,122
7,033
4,005
13,102
439
98
387
181,564
Redeemed
...................................
(
51,856
)
(
25,956
)
(
16,953
)
(
140,947
)
(
4,369
)
(
611
)
(
4,419
)
(
436,837
)
Net
Increase
(Decrease)
.........................
$
117,368
$
55,869
$
15,921
$
490,526
$
(
2,740
)
$
2,598
$
692
$
174,314
Shares:
Sold
.......................................
6,769
3,351
1,215
26,194
51
124
194
17,439
Reinvested
..................................
613
371
201
653
22
5
19
9,042
Redeemed
...................................
(
2,240
)
(
1,177
)
(
714
)
(
6,029
)
(
184
)
(
27
)
(
180
)
(
18,419
)
Net
Increase
(Decrease)
.........................
5,142
2,545
702
20,818
(
111
)
102
33
8,062
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
..................................
$
(
15,698
)
$
(
8,184
)
$
(
3,753
)
$
(
44,715
)
$
(
259
)
$
(
187
)
$
(
298
)
$
(
145,821
)
Total
Dividends
and
Distributions
$
(
15,698
)
$
(
8,184
)
$
(
3,753
)
$
(
44,715
)
$
(
259
)
$
(
187
)
$
(
298
)
$
(
145,821
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
..................................
$
(
12,167
)
$
(
7,048
)
$
(
4,005
)
$
(
13,213
)
$
(
439
)
$
(
98
)
$
(
387
)
$
(
181,564
)
Total
Dividends
and
Distributions
$
(
12,167
)
$
(
7,048
)
$
(
4,005
)
$
(
13,213
)
$
(
439
)
$
(
98
)
$
(
387
)
$
(
181,564
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
33
See
accompanying
notes.
Amounts
in
thousands
Bond
Market
Index
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
54,211
$
50,014
Net
realized
gain
(loss)
on
investments
.............................................................................................
28,601
4,838
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
66,873
138,034
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
149,685
192,886
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
58,976
)
(
42,522
)
Total
Dividends
and
Distributions
(
58,976
)
(
42,522
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
166,948
391,965
Total
Increase
(Decrease)
in
Net
Assets
257,657
542,329
Net
Assets
Beginning
of
period
.................................................................................................................
2,123,285
1,580,956
End
of
period
.......................................................................................................................
$
2,380,942
$
2,123,285
Class
J
Institutional
R-1
R-2
R-3
R-4
R-5
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
................................................
$
30,747
$
811,248
$
899
$
5,634
$
8,353
$
4,688
$
11,807
Reinvested
...........................................
554
57,723
10
67
178
101
343
Redeemed
............................................
(
17,645
)
(
722,611
)
(
696
)
(
2,117
)
(
7,211
)
(
4,014
)
(
11,110
)
Net
Increase
(Decrease)
..................................
$
13,656
$
146,360
$
213
$
3,584
$
1,320
$
775
$
1,040
Shares:
Sold
................................................
2,679
69,730
77
489
731
406
1,020
Reinvested
...........................................
50
5,126
1
6
16
9
31
Redeemed
............................................
(
1,536
)
(
61,846
)
(
62
)
(
185
)
(
625
)
(
351
)
(
958
)
Net
Increase
(Decrease)
..................................
1,193
13,010
16
310
122
64
93
Year
Ended
August
31,
2019
Dollars:
Sold
................................................
$
6,090
$
816,609
$
263
$
2,147
$
5,769
$
3,387
$
5,313
Reinvested
...........................................
555
40,300
19
51
238
969
390
Redeemed
............................................
(
6,999
)
(
418,890
)
(
599
)
(
1,043
)
(
9,379
)
(
44,082
)
(
9,143
)
Net
Increase
(Decrease)
..................................
$
(
354
)
$
438,019
$
(
317
)
$
1,155
$
(
3,372
)
$
(
39,726
)
$
(
3,440
)
Shares:
Sold
................................................
568
75,608
24
201
545
317
493
Reinvested
...........................................
53
3,802
2
5
23
93
37
Redeemed
............................................
(
656
)
(
38,301
)
(
55
)
(
97
)
(
887
)
(
4,115
)
(
844
)
Net
Increase
(Decrease)
..................................
(
35
)
41,109
(
29
)
109
(
319
)
(
3,705
)
(
314
)
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
554
)
$
(
57,723
)
$
(
10
)
$
(
67
)
$
(
178
)
$
(
101
)
$
(
343
)
Total
Dividends
and
Distributions
$
(
554
)
$
(
57,723
)
$
(
10
)
$
(
67
)
$
(
178
)
$
(
101
)
$
(
343
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
555
)
$
(
40,300
)
$
(
19
)
$
(
51
)
$
(
238
)
$
(
969
)
$
(
390
)
Total
Dividends
and
Distributions
$
(
555
)
$
(
40,300
)
$
(
19
)
$
(
51
)
$
(
238
)
$
(
969
)
$
(
390
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
34
See
accompanying
notes.
Amounts
in
thousands
Diversified
Real
Asset
Fund
(a)
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
69,874
$
109,172
Net
realized
gain
(loss)
on
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
and
swap
agreements
...............
(
118,031
)
(
101,079
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
,
swap
agreements
and
translation
of
assets
&
liabilities
in
foreign
currencies
......................................................
51,404
(
44,411
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
3,247
(
36,318
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
96,919
)
(
126,294
)
Total
Dividends
and
Distributions
(
96,919
)
(
126,294
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
518,671
)
(
219,389
)
Total
Increase
(Decrease)
in
Net
Assets
(
612,343
)
(
382,001
)
Net
Assets
Beginning
of
period
.................................................................................................................
3,790,271
4,172,272
End
of
period
.......................................................................................................................
$
3,177,928
$
3,790,271
Class
A
Class
C
Institutional
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
................................................
$
9,246
$
478
$
581,088
$
37
$
–
$
25
$
293,360
Reinvested
...........................................
940
143
59,146
3
–
2
34,843
Redeemed
............................................
(
20,412
)
(
5,378
)
(
995,309
)
(
11
)
–
(
66
)
(
476,806
)
Net
Increase
(Decrease)
..................................
$
(
10,226
)
$
(
4,757
)
$
(
355,075
)
$
29
$
–
$
(
39
)
$
(
148,603
)
Shares:
Sold
................................................
856
44
52,290
4
–
2
26,766
Reinvested
...........................................
81
12
5,077
–
–
–
2,991
Redeemed
............................................
(
1,918
)
(
504
)
(
93,511
)
(
1
)
–
(
6
)
(
43,586
)
Net
Increase
(Decrease)
..................................
(
981
)
(
448
)
(
36,144
)
3
–
(
4
)
(
13,829
)
Year
Ended
August
31,
2019
Dollars:
Sold
................................................
$
23,589
$
1,617
$
889,501
$
33
$
1
$
73
$
178,573
Reinvested
...........................................
2,486
359
74,020
3
–
3
46,729
Redeemed
............................................
(
74,540
)
(
8,139
)
(
995,483
)
–
(
4
)
(
12
)
(
358,198
)
Net
Increase
(Decrease)
..................................
$
(
48,465
)
$
(
6,163
)
$
(
31,962
)
$
36
$
(
3
)
$
64
$
(
132,896
)
Shares:
Sold
................................................
2,109
150
79,524
3
–
7
15,969
Reinvested
...........................................
241
35
7,172
–
–
–
4,528
Redeemed
............................................
(
6,622
)
(
745
)
(
89,030
)
–
–
(
1
)
(
32,081
)
Net
Increase
(Decrease)
..................................
(
4,272
)
(
560
)
(
2,334
)
3
–
6
(
11,584
)
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
961
)
$
(
162
)
$
(
60,790
)
$
(
3
)
$
–
$
(
2
)
$
(
35,001
)
Total
Dividends
and
Distributions
$
(
961
)
$
(
162
)
$
(
60,790
)
$
(
3
)
$
–
$
(
2
)
$
(
35,001
)
Year
Ended
August
31,
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
)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
35
See
accompanying
notes.
Amounts
in
thousands
Edge
MidCap
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
6,243
$
5,775
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
46,455
23,950
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
6,587
(
13,123
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
59,285
16,602
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
29,654
)
(
35,525
)
Total
Dividends
and
Distributions
(
29,654
)
(
35,525
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
129,393
40,409
Total
Increase
(Decrease)
in
Net
Assets
159,024
21,486
Net
Assets
Beginning
of
period
.................................................................................................................
693,936
672,450
End
of
period
.......................................................................................................................
$
852,960
$
693,936
Class
A
Institutional
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.......................................................................................
$
9,975
$
66,971
$
133,178
Reinvested
..................................................................................
364
1,564
27,287
Redeemed
...................................................................................
(
3,584
)
(
29,934
)
(
76,428
)
Net
Increase
(Decrease)
.........................................................................
$
6,755
$
38,601
$
84,037
Shares:
Sold
.......................................................................................
699
5,413
9,273
Reinvested
..................................................................................
24
101
1,759
Redeemed
...................................................................................
(
261
)
(
2,354
)
(
5,303
)
Net
Increase
(Decrease)
.........................................................................
462
3,160
5,729
Year
Ended
August
31,
2019
(a)
Dollars:
Sold
.......................................................................................
$
5,716
$
28,623
$
59,856
Reinvested
..................................................................................
–
838
34,677
Redeemed
...................................................................................
(
231
)
(
9,696
)
(
79,374
)
Net
Increase
(Decrease)
.........................................................................
$
5,485
$
19,765
$
15,159
Shares:
Sold
.......................................................................................
404
2,041
4,222
Reinvested
..................................................................................
–
70
2,882
Redeemed
...................................................................................
(
16
)
(
693
)
(
5,670
)
Net
Increase
(Decrease)
.........................................................................
388
1,418
1,434
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
364
)
$
(
1,569
)
$
(
27,721
)
Total
Dividends
and
Distributions
$
(
364
)
$
(
1,569
)
$
(
27,721
)
Year
Ended
August
31,
2019
(a)
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
–
$
(
848
)
$
(
34,677
)
Total
Dividends
and
Distributions
$
–
$
(
848
)
$
(
34,677
)
(a)
Period
from
December
31,
2018,
date
operations
commenced,
through
August
31,
2019
for
Class
A
shares.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
36
See
accompanying
notes.
Amounts
in
thousands
Global
Multi-Strategy
Fund
(a)
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
19,216
$
43,879
Net
realized
gain
(loss)
on
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
,
short
sales
and
swap
agreements
...
(
21,381
)
18,329
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
.........................................
20,941
(
35,874
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
18,776
26,334
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
–
(
133,695
)
From
tax
return
of
capital
...........................................................................................................
–
(
6,481
)
Total
Dividends
and
Distributions
–
(
140,176
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
556,309
)
(
1,182,738
)
Total
Increase
(Decrease)
in
Net
Assets
(
537,533
)
(
1,296,580
)
Net
Assets
Beginning
of
period
.................................................................................................................
1,338,956
2,635,536
End
of
period
.......................................................................................................................
$
801,423
$
1,338,956
Class
A
Class
C
Institutional
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.............................................................................
$
6,523
$
828
$
341,435
$
32,821
Redeemed
.........................................................................
(
21,346
)
(
11,049
)
(
218,027
)
(
687,494
)
Net
Increase
(Decrease)
...............................................................
$
(
14,823
)
$
(
10,221
)
$
123,408
$
(
654,673
)
Shares:
Sold
.............................................................................
615
81
31,837
3,070
Redeemed
.........................................................................
(
2,005
)
(
1,084
)
(
20,773
)
(
64,199
)
Net
Increase
(Decrease)
...............................................................
(
1,390
)
(
1,003
)
11,064
(
61,129
)
Year
Ended
August
31,
2019
Dollars:
Sold
.............................................................................
$
7,989
$
1,840
$
218,661
$
144,584
Reinvested
........................................................................
2,674
1,564
30,856
76,963
Redeemed
.........................................................................
(
30,774
)
(
16,484
)
(
514,828
)
(
1,105,783
)
Net
Increase
(Decrease)
...............................................................
$
(
20,111
)
$
(
13,080
)
$
(
265,311
)
$
(
884,236
)
Shares:
Sold
.............................................................................
765
184
20,784
13,702
Reinvested
........................................................................
263
159
3,002
7,494
Redeemed
.........................................................................
(
2,925
)
(
1,611
)
(
48,573
)
(
103,991
)
Net
Increase
(Decrease)
...............................................................
(
1,897
)
(
1,268
)
(
24,787
)
(
82,795
)
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
–
$
–
$
–
$
–
Total
Dividends
and
Distributions
$
–
$
–
$
–
$
–
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
2,794
)
$
(
1,679
)
$
(
35,416
)
$
(
93,806
)
From
tax
return
of
capital
..............................................................
(
150
)
(
104
)
(
1,732
)
(
4,495
)
Total
Dividends
and
Distributions
$
(
2,944
)
$
(
1,783
)
$
(
37,148
)
$
(
98,301
)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
37
See
accompanying
notes.
Amounts
in
thousands
International
Equity
Index
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
24,091
$
32,208
Net
realized
gain
(loss)
on
investments
,
foreign
currencies
and
futures
............................................................
9,387
(
1,543
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
,
futures
and
translation
of
assets
&
liabilities
in
foreign
currencies
......................................................................................................................
37,323
(
65,838
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
70,801
(
35,173
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
38,129
)
(
37,266
)
Total
Dividends
and
Distributions
(
38,129
)
(
37,266
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
30,816
)
75,452
Total
Increase
(Decrease)
in
Net
Assets
1,856
3,013
Net
Assets
Beginning
of
period
.................................................................................................................
1,096,017
1,093,004
End
of
period
.......................................................................................................................
$
1,097,873
$
1,096,017
Institutional
R-1
R-2
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
................................................
$
18,406
$
70
$
205
$
4,152
$
4,754
$
4,511
$
174,561
Reinvested
...........................................
1,572
12
13
491
260
578
35,203
Redeemed
............................................
(
35,453
)
(
197
)
(
437
)
(
5,721
)
(
3,694
)
(
6,174
)
(
223,928
)
Net
Increase
(Decrease)
..................................
$
(
15,475
)
$
(
115
)
$
(
219
)
$
(
1,078
)
$
1,320
$
(
1,085
)
$
(
14,164
)
Shares:
Sold
................................................
1,913
8
21
431
485
480
19,102
Reinvested
...........................................
148
1
1
47
24
55
3,315
Redeemed
............................................
(
3,609
)
(
20
)
(
43
)
(
595
)
(
370
)
(
647
)
(
23,078
)
Net
Increase
(Decrease)
..................................
(
1,548
)
(
11
)
(
21
)
(
117
)
139
(
112
)
(
661
)
Year
Ended
August
31,
2019
Dollars:
Sold
................................................
$
27,736
$
101
$
329
$
6,153
$
1,967
$
4,931
$
195,315
Reinvested
...........................................
1,582
17
20
459
332
494
34,362
Redeemed
............................................
(
22,466
)
(
209
)
(
455
)
(
6,746
)
(
5,955
)
(
6,011
)
(
156,504
)
Net
Increase
(Decrease)
..................................
$
6,852
$
(
91
)
$
(
106
)
$
(
134
)
$
(
3,656
)
$
(
586
)
$
73,173
Shares:
Sold
................................................
2,889
11
34
630
203
515
19,707
Reinvested
...........................................
176
2
2
52
37
56
3,829
Redeemed
............................................
(
2,315
)
(
22
)
(
46
)
(
691
)
(
617
)
(
598
)
(
15,851
)
Net
Increase
(Decrease)
..................................
750
(
9
)
(
10
)
(
9
)
(
377
)
(
27
)
7,685
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
1,572
)
$
(
12
)
$
(
13
)
$
(
491
)
$
(
260
)
$
(
578
)
$
(
35,203
)
Total
Dividends
and
Distributions
$
(
1,572
)
$
(
12
)
$
(
13
)
$
(
491
)
$
(
260
)
$
(
578
)
$
(
35,203
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
1,582
)
$
(
17
)
$
(
20
)
$
(
459
)
$
(
332
)
$
(
494
)
$
(
34,362
)
Total
Dividends
and
Distributions
$
(
1,582
)
$
(
17
)
$
(
20
)
$
(
459
)
$
(
332
)
$
(
494
)
$
(
34,362
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
38
See
accompanying
notes.
Amounts
in
thousands
International
Small
Company
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
8,204
$
11,883
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
(
28,099
)
(
12,951
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
66,359
(
71,249
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
46,464
(
72,317
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
27,587
)
(
68,970
)
Total
Dividends
and
Distributions
(
27,587
)
(
68,970
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
129,849
36,815
Total
Increase
(Decrease)
in
Net
Assets
148,726
(
104,472
)
Net
Assets
Beginning
of
period
.................................................................................................................
895,537
1,000,009
End
of
period
.......................................................................................................................
$
1,044,263
$
895,537
Class
A
Institutional
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.......................................................................................
$
1,253
$
53,224
$
200,386
Reinvested
..................................................................................
119
1,106
26,362
Redeemed
...................................................................................
(
1,499
)
(
22,071
)
(
129,031
)
Net
Increase
(Decrease)
.........................................................................
$
(
127
)
$
32,259
$
97,717
Shares:
Sold
.......................................................................................
137
5,628
18,791
Reinvested
..................................................................................
10
97
2,306
Redeemed
...................................................................................
(
150
)
(
2,238
)
(
12,064
)
Net
Increase
(Decrease)
.........................................................................
(
3
)
3,487
9,033
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................................................................
$
1,204
$
29,069
$
119,409
Reinvested
..................................................................................
345
1,694
66,930
Redeemed
...................................................................................
(
1,244
)
(
11,622
)
(
168,970
)
Net
Increase
(Decrease)
.........................................................................
$
305
$
19,141
$
17,369
Shares:
Sold
.......................................................................................
114
2,786
11,482
Reinvested
..................................................................................
38
183
7,182
Redeemed
...................................................................................
(
120
)
(
1,110
)
(
15,927
)
Net
Increase
(Decrease)
.........................................................................
32
1,859
2,737
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
119
)
$
(
1,106
)
$
(
26,362
)
Total
Dividends
and
Distributions
$
(
119
)
$
(
1,106
)
$
(
26,362
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
346
)
$
(
1,694
)
$
(
66,930
)
Total
Dividends
and
Distributions
$
(
346
)
$
(
1,694
)
$
(
66,930
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
39
See
accompanying
notes.
Amounts
in
thousands
Opportunistic
Municipal
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
4,804
$
4,766
Net
realized
gain
(loss)
on
investments
.............................................................................................
(
1,272
)
988
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
(
3,908
)
6,188
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
376
)
11,942
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
4,773
)
(
4,560
)
Total
Dividends
and
Distributions
(
4,773
)
(
4,560
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
2,185
19,255
Total
Increase
(Decrease)
in
Net
Assets
(
2,964
)
26,637
Net
Assets
Beginning
of
period
.................................................................................................................
135,888
109,251
End
of
period
.......................................................................................................................
$
132,924
$
135,888
Class
A
Class
C
Institutional
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.......................................................................................
$
18,916
N/A
$
26,901
Reinvested
..................................................................................
1,699
N/A
3,025
Redeemed
...................................................................................
(
21,795
)
N/A
(
26,561
)
Net
Increase
(Decrease)
.........................................................................
$
(
1,180
)
N/A
$
3,365
Shares:
Sold
.......................................................................................
1,732
N/A
2,476
Reinvested
..................................................................................
156
N/A
278
Redeemed
...................................................................................
(
2,060
)
N/A
(
2,528
)
Net
Increase
(Decrease)
.........................................................................
(
172
)
N/A
226
Year
Ended
August
31,
2019
(a)
Dollars:
Sold
.......................................................................................
$
24,545
$
883
$
37,477
Reinvested
..................................................................................
1,776
75
2,655
Redeemed
...................................................................................
(
22,216
)
(
8,001
)
(
17,939
)
Net
Increase
(Decrease)
.........................................................................
$
4,105
$
(
7,043
)
$
22,193
Shares:
Sold
.......................................................................................
2,304
85
3,501
Reinvested
..................................................................................
165
7
247
Redeemed
...................................................................................
(
2,096
)
(
764
)
(
1,686
)
Net
Increase
(Decrease)
.........................................................................
373
(
672
)
2,062
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
1,736
)
N/A
$
(
3,037
)
Total
Dividends
and
Distributions
$
(
1,736
)
N/A
$
(
3,037
)
Year
Ended
August
31,
2019
(a)
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
1,815
)
$
(
86
)
$
(
2,659
)
Total
Dividends
and
Distributions
$
(
1,815
)
$
(
86
)
$
(
2,659
)
(a)
Class
C
shares
discontinued
operations
and
converted
to
Class
A
shares
on
January
11,
2019.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
40
See
accompanying
notes.
Amounts
in
thousands
Origin
Emerging
Markets
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
18,784
$
16,401
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
40,345
(
10,377
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
183,179
(
29,387
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
242,308
(
23,363
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
21,257
)
(
8,633
)
Total
Dividends
and
Distributions
(
21,257
)
(
8,633
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
540,595
488,958
Total
Increase
(Decrease)
in
Net
Assets
761,646
456,962
Net
Assets
Beginning
of
period
.................................................................................................................
1,096,224
639,262
End
of
period
.......................................................................................................................
$
1,857,870
$
1,096,224
Class
A
Institutional
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.......................................................................................
$
5,736
$
14,587
$
661,748
Reinvested
..................................................................................
34
268
20,953
Redeemed
...................................................................................
(
4,644
)
(
3,310
)
(
154,777
)
Net
Increase
(Decrease)
.........................................................................
$
1,126
$
11,545
$
527,924
Shares:
Sold
.......................................................................................
523
1,335
58,724
Reinvested
..................................................................................
3
23
1,813
Redeemed
...................................................................................
(
433
)
(
301
)
(
13,852
)
Net
Increase
(Decrease)
.........................................................................
93
1,057
46,685
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................................................................
$
2,340
$
3,112
$
633,844
Reinvested
..................................................................................
23
163
8,447
Redeemed
...................................................................................
(
3,889
)
(
2,846
)
(
152,236
)
Net
Increase
(Decrease)
.........................................................................
$
(
1,526
)
$
429
$
490,055
Shares:
Sold
.......................................................................................
218
302
61,048
Reinvested
..................................................................................
2
18
913
Redeemed
...................................................................................
(
378
)
(
279
)
(
14,468
)
Net
Increase
(Decrease)
.........................................................................
(
158
)
41
47,493
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
35
)
$
(
269
)
$
(
20,953
)
Total
Dividends
and
Distributions
$
(
35
)
$
(
269
)
$
(
20,953
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
23
)
$
(
163
)
$
(
8,447
)
Total
Dividends
and
Distributions
$
(
23
)
$
(
163
)
$
(
8,447
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
41
See
accompanying
notes.
Amounts
in
thousands
Small-MidCap
Dividend
Income
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
26,964
$
49,488
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
(
234,454
)
28,853
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
(
65,838
)
(
315,957
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
273,328
)
(
237,616
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
54,509
)
(
339,924
)
Total
Dividends
and
Distributions
(
54,509
)
(
339,924
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
246,413
)
(
102,705
)
Total
Increase
(Decrease)
in
Net
Assets
(
574,250
)
(
680,245
)
Net
Assets
Beginning
of
period
.................................................................................................................
2,166,532
2,846,777
End
of
period
.......................................................................................................................
$
1,592,282
$
2,166,532
Class
A
Class
C
Institutional
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.............................................................................
$
24,533
$
5,431
$
408,894
$
4,595
Reinvested
........................................................................
3,179
1,809
46,420
243
Redeemed
.........................................................................
(
49,634
)
(
36,833
)
(
651,935
)
(
3,115
)
Net
Increase
(Decrease)
...............................................................
$
(
21,922
)
$
(
29,593
)
$
(
196,621
)
$
1,723
Shares:
Sold
.............................................................................
1,879
414
32,943
364
Reinvested
........................................................................
236
131
3,472
18
Redeemed
.........................................................................
(
3,991
)
(
3,012
)
(
53,606
)
(
232
)
Net
Increase
(Decrease)
...............................................................
(
1,876
)
(
2,467
)
(
17,191
)
150
Year
Ended
August
31,
2019
Dollars:
Sold
.............................................................................
$
24,473
$
4,750
$
537,749
$
3,442
Reinvested
........................................................................
23,194
18,221
278,193
1,262
Redeemed
.........................................................................
(
72,982
)
(
40,777
)
(
878,313
)
(
1,917
)
Net
Increase
(Decrease)
...............................................................
$
(
25,315
)
$
(
17,806
)
$
(
62,371
)
$
2,787
Shares:
Sold
.............................................................................
1,718
342
37,161
216
Reinvested
........................................................................
1,793
1,433
21,335
97
Redeemed
.........................................................................
(
4,985
)
(
2,893
)
(
60,592
)
(
134
)
Net
Increase
(Decrease)
...............................................................
(
1,474
)
(
1,118
)
(
2,096
)
179
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
3,378
)
$
(
1,955
)
$
(
48,933
)
$
(
243
)
Total
Dividends
and
Distributions
$
(
3,378
)
$
(
1,955
)
$
(
48,933
)
$
(
243
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
24,423
)
$
(
19,618
)
$
(
294,621
)
$
(
1,262
)
Total
Dividends
and
Distributions
$
(
24,423
)
$
(
19,618
)
$
(
294,621
)
$
(
1,262
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
42
See
accompanying
notes.
Amounts
in
thousands
Small-MidCap
Growth
Fund
Year
Ended
August
31,
2020
Period Ended
August
31,
2019
(a)
Operations
Net
investment
income
(loss)
.......................................................................................................
$
(
32
)
$
(
5
)
Net
realized
gain
(loss)
on
investments
.............................................................................................
353
(
89
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
1,724
225
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
2,045
131
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
–
–
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
450
5,000
Total
Increase
(Decrease)
in
Net
Assets
2,495
5,131
Net
Assets
Beginning
of
period
.................................................................................................................
5,131
–
End
of
period
.......................................................................................................................
$
7,626
$
5,131
Institutional
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
...........................................................................................................
$
450
Net
Increase
(Decrease)
.............................................................................................
$
450
Shares:
Sold
...........................................................................................................
32
Net
Increase
(Decrease)
.............................................................................................
32
Period Ended
August
31,
2019
(a)
Dollars:
Sold
...........................................................................................................
$
5,000
Net
Increase
(Decrease)
.............................................................................................
$
5,000
Shares:
Sold
...........................................................................................................
500
Net
Increase
(Decrease)
.............................................................................................
500
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...............................................................
$
–
Total
Dividends
and
Distributions
$
–
Period Ended
August
31,
2019
(a)
From
net
investment
income
and
net
realized
gain
on
investments
...............................................................
$
–
Total
Dividends
and
Distributions
$
–
(a)
Period
from
June
12,
2019,
date
operations
commenced,
through
August
31,
2019.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
43
See
accompanying
notes.
Amounts
in
thousands
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
274,568
$
271,781
Net
realized
gain
(loss)
on
investments,
futures
and
options
and
swaptions
.......................................................
(58,865)
6,927
Net
change
in
unrealized
appreciation/depreciation
of
investments,
futures
and
options
and
swaptions
..........................
119,640
119,944
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
335,343
398,652
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(294,361)
(280,911)
From
tax
return
of
capital
...........................................................................................................
(404)
–
Total
Dividends
and
Distributions
(294,765)
(280,911)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
1,725,510
(16,517)
Total
Increase
(Decrease)
in
Net
Assets
1,766,088
101,224
Net
Assets
Beginning
of
period
.................................................................................................................
5,759,242
5,658,018
End
of
period
.......................................................................................................................
$
7,525,330
$
5,759,242
Class
A
Class
C
Class
J
Institutional
R-1
R-2
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
...................
$
347,464
$
66,453
$
8,581
$
2,770,700
$
300
$
603
$
426
$
166
$
1,576
$
759,895
Reinvested
..............
29,399
12,743
1,992
145,879
21
40
82
47
154
27,727
Redeemed
...............
(268,600)
(180,666)
(13,241)
(1,796,262)
(742)
(558)
(1,203)
(574)
(1,350)
(185,542)
Net
Increase
(Decrease)
.....
$
108,263
$
(101,470)
$
(2,668)
$
1,120,317
$
(421)
$
85
$
(695)
$
(361)
$
380
$
602,080
Shares:
Sold
...................
34,368
6,543
864
280,348
29
60
42
17
158
75,629
Reinvested
..............
2,905
1,260
203
14,521
2
4
8
5
16
2,761
Redeemed
...............
(26,508)
(17,952)
(1,378)
(182,431)
(72)
(59)
(126)
(58)
(142)
(19,155)
Net
Increase
(Decrease)
.....
10,765
(10,149)
(311)
112,438
(41)
5
(76)
(36)
32
59,235
Year
Ended
August
31,
2019
Dollars:
Sold
...................
$
312,376
$
54,286
$
5,965
$
1,551,771
$
146
$
227
$
1,045
$
1,005
$
1,250
$
220,416
Reinvested
..............
28,123
19,068
2,182
128,732
46
46
119
64
138
28,982
Redeemed
...............
(278,909)
(245,106)
(8,847)
(1,470,234)
(177)
(577)
(1,440)
(982)
(1,254)
(364,978)
Net
Increase
(Decrease)
.....
$
61,590
$
(171,752)
$
(700)
$
210,269
$
15
$
(304)
$
(276)
$
87
$
134
$
(115,580)
Shares:
Sold
...................
31,239
5,467
610
157,894
15
23
107
103
125
22,518
Reinvested
..............
2,839
1,935
227
13,084
5
5
12
6
14
2,952
Redeemed
...............
(28,125)
(24,628)
(919)
(150,781)
(18)
(59)
(146)
(101)
(129)
(37,539)
Net
Increase
(Decrease)
.....
5,953
(17,226)
(82)
20,197
2
(31)
(27)
8
10
(12,069)
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
$
(34,841)
$
(15,830)
$
(2,015)
$
(191,108)
$
(21)
$
(69)
$
(82)
$
(47)
$
(154)
$
(50,194)
From
tax
return
of
capital
....
(47)
(20)
(3)
(265)
–
–
–
–
–
(69)
Total
Dividends
and
Distributions
$
(34,888)
$
(15,850)
$
(2,018)
$
(191,373)
$
(21)
$
(69)
$
(82)
$
(47)
$
(154)
$
(50,263)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
$
(32,317)
$
(23,836)
$
(2,215)
$
(171,598)
$
(46)
$
(77)
$
(119)
$
(64)
$
(139)
$
(50,500)
Total
Dividends
and
Distributions
$
(32,317)
$
(23,836)
$
(2,215)
$
(171,598)
$
(46)
$
(77)
$
(119)
$
(64)
$
(139)
$
(50,500)
Statement
of
Cash
Flows
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
44
See
accompanying
notes.
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Amounts
in
thousands
Global
Multi-
Strategy
Fund
(a)
Cash
Flows
from
Operating
Activities:
Net increase
in
net
assets
from
operations
..............................................................................
$
18,776
Adjustments
to
reconcile
net
increase
in
net
assets
from
operations
to
net
cash
provided
by
operating
activities:
Purchase
of
investment
securities
...............................................................................
(5,528,897)
Proceeds
from
sale
of
investment
securities
........................................................................
6,322,364
Net
sales
or
(purchases)
of
short
term
securities
.....................................................................
209,717
Proceeds
from
(
p
ayments
on)
p
urchased
o
ptions,
net
..................................................................
1,489
Proceeds
from
(
p
ayments
on)
short
sales
transactions,
net
..............................................................
(265,130)
Net
accretion
of
bond
discounts
and
amortization
of
premiums
..........................................................
663
Proceeds
from
(payments
on)
OTC
swaps,
net
......................................................................
5,146
Proceeds
from
(
p
ayments
on)
option
and
swaption
contracts
written
,
net
....................................................
(1,462)
Change
in
unrealized
ap
preciation
on
investments
....................................................................
(48,799)
Change
in
unrealized
ap
preciation
on
OTC
swaps
....................................................................
(630)
Change
in
unrealized
depreciation
on
options
and
swaptions
............................................................
(875)
Change
in
unrealized
appreciation
on
shorts
........................................................................
14,366
Net
realized
gain
(loss)
from
investments
..........................................................................
7,466
Net
realized
gain
(loss)
from
OTC
swaps
..........................................................................
(1,872)
Net
realized
gain
(loss)
from
options
and
swaptions
..................................................................
(1,420)
Net
realized
gain
(loss)
from
shorts
..............................................................................
14,737
(Increase)
decrease in
dividends
and
interest
receivable
...............................................................
6,312
(Increase)
decrease in
fund
shares
sold
...........................................................................
93
(Increase)
decrease in
deposits
with
counterparty
....................................................................
83,513
(Increase)
decrease in
investment
securities
sold
....................................................................
235,699
(Increase)
decrease in
variation
margin
on
futures,
net
................................................................
70
(Increase)
decrease in
variation
margin
on
swaps,
net
.................................................................
(271)
Increase
(decrease)
in
accrued
fees,
expenses,
and
expense
reimbursement
from
Manager
.......................................
(930)
Increase
(decrease)
in
dividends
and
interest
on
securities
sold
short
......................................................
(1,793)
Increase
(decrease)
in
fund
shares
redeemed
........................................................................
(2,261)
Increase
(decrease)
in
deposits
from
counterparty
....................................................................
(988)
Increase (decrease)
in
investment
securities
purchased
................................................................
(281,275)
Increase (decrease)
in
foreign
currency
contracts,
net
.................................................................
6,292
Increase (decrease)
in
unrealized
loss
on
unfunded
loan
commitments
.....................................................
(1)
Net
cash
provided
by
operating
activities
790,099
Cash
Flows
from
Financing
Activities:
Net
payments
from
reverse
repurchase
agreements
...................................................................
(241,421)
Proceeds
from
shares
sold
.....................................................................................
381,607
Payment
on
shares
redeemed
...................................................................................
(937,916)
Net
cash
used
in
financing
activities
(797,730)
Net
increase
(decrease) in
cash
and
foreign
currency
..................................................................
(7,631)
Cash
and
Foreign
Currency:
Beginning
of
period
.........................................................................................
$
11,163
End
of
period
..............................................................................................
$
3,532
Supplemental
disclosure
of
cash
flow
information:
Reverse
repurchase
agreement
interest
paid
........................................................................
$
5,198
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
45
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,
Bond
Market
Index
Fund,
Diversified
Real
Asset
Fund,
Edge
MidCap
Fund,
Global
Multi-Strategy
Fund,
International
Equity
Index
Fund,
International
Small
Company
Fund,
Opportunistic
Municipal
Fund,
Origin
Emerging
Markets
Fund,
Small-MidCap
Dividend
Income
Fund,
Small-
MidCap
Growth
Fund,
and
Spectrum
Preferred
and
Capital
Securities
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
J,
Institutional,
R-1,
R-2,
R-3,
R-4,
R-5,
and
R-6
classes
of
shares.
Certain
detailed
financial
information
for
Class
A
and
Class
C
shares
is
provided
separately.
Each
of
the
Funds
is
an
investment
company
and
applies
specialized
accounting
and
reporting
under
Accounting
Standards
Codification
(“ASC”)
Topic
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
December
31,
2018,
the
initial
purchase
of
$10,000
of
Class
A
shares
of
Edge
MidCap
Fund
was
made
by
Principal
Global
Investors,
LLC
(the
“Manager”).
Effective
January
11,
2019,
Class
C
shares
discontinued
and
converted
into
Class
A
shares
for
Opportunistic
Municipal
Fund.
Effective
June
12,
2019,
the
initial
purchase
of
$5,000,000
of
Institutional
shares
of
Small-MidCap
Growth
Fund
was
made
by
Principal
Financial
Services,
Inc.
Effective
July
1,
2019,
Preferred
Securities
Fund
changed
its
name
to
Spectrum
Preferred
and
Capital
Securities
Income
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.
generally
accepted
accounting
principles
(“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
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
Funds:
Security
Valuation.
The
Funds
may
invest
in
other
series
of the
Fund
and
other
publicly
traded
investment
funds.
The
shares
of
the
other
series
of
Principal
Funds,
Inc.
are
referred
to
as
the
“Affiliated
Underlying
Funds”
and
collectively,
with
other
publicly
traded
investment
funds,
are
referred
to
as
the
“Underlying
Funds”.
Investments
in
the
Underlying
Funds
are
valued
at
the
respective
fund's
closing
net
asset
value
per
share
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
prior
to
the
calculation
of
the
Funds’
net
asset
values
are
reflected
in
the
Funds’
net
asset
values
and
these
securities
are
valued
at
fair
value.
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
in
American
depository
receipts
(“ADRs”),
futures
contracts,
industry
indices,
general
indices,
and
foreign
currencies.
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
46
To
the
extent
the
Funds
invest
in
foreign
securities
listed
on
foreign
exchanges
which
trade
on
days
on
which
the
Funds
do
not
determine
net
asset
values,
for
example,
weekends
and
other
customary
national
U.S.
holidays,
the
Funds’
net
asset
values
could
be
significantly
affected
on
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
Fund
to
value
such
securities
at
prices
at
which
it
is
expected
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
expense
amounts
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
in
the
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
August
31,
2020:
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
used
in
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.
Callable
debt
securities
purchased
at
a
premium
are
amortized
to
the
earliest
call
date
and
to
the
callable
amount,
if
other
than
par.
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.
Diversified
Real
Asset
Fund
Euro
7
.4%
Global
Multi-Strategy
Fund
Euro
5
.3%
International
Equity
Index
Fund
Euro
32
.0%
Japanese
Yen
24
.6
British
Pound
Sterling
13
.4
Swiss
Franc
10
.1
Australian
Dollar
6
.7
International
Small
Company
Fund
Japanese
Yen
24
.2%
Euro
23
.7
British
Pound
Sterling
15
.6
Canadian
Dollar
9
.9
Australian
Dollar
5
.8
Origin
Emerging
Markets
Fund
Hong
Kong
Dollar
24
.7%
New
Taiwan
Dollar
13
.8
Indian
Rupee
6
.2
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
47
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
each
class.
Expenses
specifically
attributable
to
a
particular
class
are
charged
directly
to
such
class
and
are
included
separately
in
the
statements
of
operations.
In
addition
to
the
expenses
the
Funds
bear
directly,
each
of
the
Funds
may
indirectly
bear
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.
Dividends
and
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
for
amortization
of
premiums
and
discounts,
net
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
preferred
securities,
swap
agreements,
short
sales,
partnership
investments,
Real
Estate
Investment
Trusts
(“REITs”),
utilization
of
earnings
and
profits
distributed
to
shareholders
on
redemption
of
shares,
and
limitations
imposed
by
Sections
381-384
of
the
Internal
Revenue
Code.
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
tax
purposes,
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
investment
income
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
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
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
current
year.
During
the year
ended
August
31,
2020,
the
Funds
did
not
record
any
such
tax
benefit
or
expense
in
the
accompanying
financial
statements.
The
statute
of
limitations
remains
open
for
the
last
three
years,
once
a
return
is
filed.
No
examinations
are
in
progress
at
this
time.
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.
In
consideration
of
recent
decisions
rendered
by
European
courts,
certain
of
the
Funds
have
filed
additional
tax
reclaims
for
taxes
withheld
in
prior
years.
Due
to
the
uncertainty
and
timing
of
these
reclaims,
a
corresponding
receivable
will
only
be
recorded
when
both
the
amount
is
known
and
there
are
no
significant
uncertainties
regarding
collectability.
Gains
realized
upon
the
disposition
of
certain
foreign
securities
held
by
certain
Funds
may
be
subject
to
capital
gains
tax,
payable
prior
to
the
repatriation
of
sale
proceeds.
The
tax
is
computed
on
certain
net
realized
gains
and,
if
any,
is
shown
on
the
statement
of
operations.
Realized
losses
in
excess
of
gains
may
be
carried
forward
to
offset
future
gains.
In
addition,
the
Funds
accrue
an
estimated
deferred
tax
liability
for
future
gains
on
certain
foreign
securities.
Any
accrued
tax
liability
is
shown
on
the
statement
of
assets
and
liabilities.
At
August
31,
2020,
Origin
Emerging
Markets
Fund
had
a
deferred
tax
liability
of
$1,603,000
relating
to
foreign
securities.
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
respective
Cayman
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
applicable
to
regulated
investment
companies.
Diversified
Real
Asset
Fund’s
investment
portfolio
has
been
consolidated
and
includes
the
portfolio
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
48
holdings
of
Diversified
Real
Asset
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
financial
statements
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
August
31,
2020,
the
net
assets
of
the
Cayman
Subsidiaries
were
as
follows
(amounts
in
thousands):
Recent
Accounting
Pronouncements.
In
March
2020,
the
Financial
Accounting
Standards
Board
("FASB") issued
Accounting
Standards
Update
("ASU")
No.
2020-04
Reference
Rate
Reform
(Topic
848);
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting,
which
provides
optional
guidance
for
a
limited
period
of
time
to
ease
the
potential
burden
in
accounting
for
(or
recognizing
the
effects
of)
reference
rate
reform.
The
guidance
is
applicable
to
contracts
referencing
London
Interbank
Offered
Rate
(“LIBOR”)
or
another
reference
rate
that
is
expected
to
be
discontinued
due
to
reference
rate
reform.
The
ASU
is
effective
as
of
March
12,
2020
and
generally
can
be
applied
through
December
31,
2022.
Management
is
evaluating
the
underlying
securities
referencing
LIBOR
or
another
reference
rate
that
is
expected
to
be
discontinued
as
a
reference
rate
over
the
period
of
time
the
ASU
is
effective.
In
August
2018,
the
FASB
issued
ASU
No.
2018-13,
Fair
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
August
31,
2020,
the
Funds
have
adopted
the
ASU.
In
March
2017,
the
FASB
issued
ASU
No.
2017-08
Premium
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
have
adopted
the
new
amendment
as
of
September
1,
2019.
The
adoption
of
the
ASU
resulted
in
a
cumulative
effective
adjustment
to
components
within
total
distributable
earnings
(accumulated
loss)
on
the
statements
of
assets
and
liabilities
as
of
the
beginning
of
the
fiscal
year.
This
cumulative
effective
adjustment
did
not
have
a
material
impact
on
the
financial
statements
and
did
not
impact
net
assets
of
the
Funds.
3.
Operating
Policies
Borrowings.
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
Funds
and
other
registered
investment
companies
managed
by
the
Manager
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
Federal
Funds
Rate
or
(ii)
the
LIBOR
rate
plus
1.00%).
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.
There
were
no
outstanding
loans
or
borrowings
on
the
Facility
as
of
August
31,
2020
.
During
the year
ended
August
31,
2020,
Funds
lending
to
the
Facility
were
as
follows
(amounts
in
thousands):
Net
Assets
Percent
of
Consolidated
Fund’s
Net
Assets
DRA
Cayman
Corporation
$308,469
9.71%
GMS
Cayman
Corporation
6,191
0.77
Average
Daily
Amount
Loaned
Weighted
Average
Annual
Interest
Rate
Blue
Chip
Fund
$
9
0.88
%
Bond
Market
Index
Fund
262
1.81
Diversified
Real
Asset
Fund
191
2.14
Edge
MidCap
Fund
182
2.08
Global
Multi-Strategy
Fund
205
1.55
International
Equity
Index
Fund
11
2.19
International
Small
Company
Fund
80
2.42
Origin
Emerging
Markets
Fund
73
1.30
Small-MidCap
Dividend
Income
Fund
80
1.70
Spectrum
Preferred
and
Capital
Securities
Income
Fund
783
2.13
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
49
During
the year
ended
August
31,
2020,
Funds
borrowing
from
the
Facility
were
as
follows
(amounts
in
thousands):
In
addition,
the
Funds,
with
the
exception
of
Diversified
Real
Asset
Fund,
participate
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
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
.20%
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
statements
of
operations.
There
were
no
outstanding
borrowings
against
the
line
of
credit
as
of
August
31,
2020.
During
the
year
ended
August
31,
2020
,
Funds
borrowing
against
the
line
of
credit
were
as
follows
(amounts
in
thousands):
Commodity
Linked
Notes.
Diversified
Real
Asset
Fund
invests
in
structured
notes
whose
market
values
are
primarily
derived
from
changes
in
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
entail
a
greater
degree
of
market
risk
than
other
types
of
debt
securities.
Structured
notes
may
also
be
more
volatile,
less
liquid,
and
more
difficult
to
accurately
price
than
less
complex
securities
or
more
traditional
debt
securities.
Fluctuations
in
the
fair
value
of
the
structured
notes
are
recorded
as
unrealized
gains
and
losses
in
the
accompanying
financial
statements.
Interest
income
is
accrued
daily.
These
notes
are
subject
to
prepayment,
credit,
and
interest
rate
risks.
At
maturity,
or
when
a
note
is
sold,
the
fund
records
a
realized
gain
or
loss.
Contingent
Convertible
Securities.
Contingent
convertible securities
(“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
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
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
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
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.
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,
as
stated
in
the
counterparties'
master
netting
agreements
("Master
Netting
Agreements"),
such
counterparty
Average
Daily
Outstanding
Balance
Weighted
Average
Annual
Interest
Rate
Blue
Chip
Fund
$
1,321
1.46
%
Diversified
Real
Asset
Fund
566
2.13
International
Equity
Index
Fund
397
1.08
International
Small
Company
Fund
48
0.86
Opportunistic
Municipal
Fund
47
1.73
Origin
Emerging
Markets
Fund
8
0.65
Small-MidCap
Dividend
Income
Fund
7
1.00
Spectrum
Preferred
and
Capital
Securities
Income
Fund
5,204
1.25
Average
Daily
Outstanding
Balance
Weighted
Average
Annual
Interest
Rate
Global
Multi-Strategy
Fund
$
60
3.02
%
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
50
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
governed
under
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
and
Global
Multi-Strategy
Fund
have
financial
instruments
that
are
subject
to
Master
Netting
Agreements
or
similar
agreements.
As
of
August
31,
2020,
financial
assets
and
liabilities
subject
to
Master
Netting
Agreements
or
similar
agreements
were
as
follows
(amounts
in
thousands):
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Diversified
Real
Asset
Fund
ANZ
Stockbroking
Foreign
Currency
Contracts
$
3
$
(83)
$
(80)
$
3
$
(83)
$
(80)
$
—
$
(80)
Bank
of
America
NA
Foreign
Currency
Contracts
333
(23)
310
Total
Return
Swaps
**
992
—
992
$
1,325
$
(23)
$
1,302
$
—
$
1,302
Barclays
Bank
PLC
Purchased
Capped
Options
206
—
206
Purchased
Interest
Rate
Swaptions
1,786
—
1,786
Written
Capped
Options
—
(118)
(118)
Written
Interest
Rate
Swaptions
—
(2,004)
(2,004)
$
1,992
$
(2,122)
$
(130)
$
—
$
(130)
BNP
Paribas
Foreign
Currency
Contracts
22
(79)
(57)
$
22
$
(79)
$
(57)
$
—
$
(57)
Citigroup
Inc
Foreign
Currency
Contracts
10
(99)
(89)
Purchased
Options
27
—
27
$
37
$
(99)
$
(62)
$
—
$
(62)
Deutsche
Bank
AG
Purchased
Interest
Rate
Swaptions
287
—
287
Written
Interest
Rate
Swaptions
—
(723)
(723)
$
287
$
(723)
$
(436)
$
—
$
(436)
Goldman
Sachs
&
Co
Foreign
Currency
Contracts
2
—
2
$
2
$
—
$
2
$
—
$
2
HSBC
Securities
Inc
Foreign
Currency
Contracts
—
(6)
(6)
$
—
$
(6)
$
(6)
$
—
$
(6)
JPMorgan
Chase
Foreign
Currency
Contracts
15
(19)
(4)
Purchased
Interest
Rate
Swaptions
280
—
280
Written
Interest
Rate
Swaptions
—
(132)
(132)
$
295
$
(151)
$
144
$
(140)
^
$
4
M3
Capital
Partners
Total
Return
Swaps
**
1,492
(49)
1,443
$
1,492
$
(49)
$
1,443
$
—
$
1,443
Morgan
Stanley
&
Co
Foreign
Currency
Contracts
10
—
10
Purchased
Interest
Rate
Swaptions
142
—
142
Written
Interest
Rate
Swaptions
—
(516)
(516)
$
152
$
(516)
$
(364)
$
—
$
(364)
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
51
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Diversified
Real
Asset
Fund
(continued)
Royal
Bank
of
Scotland
Foreign
Currency
Contracts
$
—
$
(4)
$
(4)
$
—
$
(4)
$
(4)
$
—
$
(4)
Societe
Generale
Total
Return
Swaps
**
446
—
446
$
446
$
—
$
446
$
—
$
446
Standard
Chartered
Bank,
Hong
Kong
Foreign
Currency
Contracts
—
(202)
(202)
$
—
$
(202)
$
(202)
$
—
$
(202)
UBS
AG
Foreign
Currency
Contracts
15
(14)
1
$
15
$
(14)
$
1
$
—
$
1
Westpac
Banking
Corporation
Foreign
Currency
Contracts
82
(61)
21
$
82
$
(61)
$
21
$
—
$
21
Total
OTC
$
6,150
$
(4,132)
$
2,018
$
(140)
$
1,878
Global
Multi-Strategy
Fund
Bank
of
America
NA
Credit
Default
Swaps
11
—
11
Foreign
Currency
Contracts
6,276
(
5,417
)
859
Purchased
Interest
Rate
Swaptions
128
—
128
Purchased
Options
2
—
2
Total
Return
Swaps
7
(
2
)
5
Written
Interest
Rate
Swaptions
—
(17)
(17)
$
6,424
$
(
5,436
)
$
988
$
—
$
988
Bank
of
New
York
Mellon
Credit
Default
Swaps
78
—
78
Foreign
Currency
Contracts
57
3
(1,514)
(94
1
)
$
65
1
$
(1,514)
$
(86
3
)
$
—
$
(86
3
)
Barclays
Bank
PLC
Credit
Default
Swaps
295
—
295
Foreign
Currency
Contracts
77
(
18
)
59
Interest
Rate
Swaps
—
(164)
(164)
$
372
$
(
182
)
$
190
$
—
$
190
BMO
Capital
Markets
Foreign
Currency
Contracts
—
(40)
(40)
$
—
$
(40)
$
(40)
$
—
$
(40)
BNP
Paribas
Foreign
Currency
Contracts
—
(222)
(222)
Purchased
Options
5
—
5
Written
Options
—
(17)
(17)
$
5
$
(239)
$
(234)
$
—
$
(234)
Citigroup
Inc
Credit
Default
Swaps
74
—
74
Foreign
Currency
Contracts
1
—
1
Written
Options
—
(18)
(18)
$
75
$
(18)
$
57
$
—
$
57
Deutsche
Bank
AG
Foreign
Currency
Contracts
—
(11)
(11)
Purchased
Options
124
—
124
Written
Options
—
(5)
(5)
$
124
$
(16)
$
108
$
—
$
108
Goldman
Sachs
&
Co
Credit
Default
Swaps
117
—
117
Equity
Basket
Swaps
—
(955)
(955)
Purchased
Options
189
—
189
Total
Return
Swaps
—
(13)
(13)
Written
Options
—
(6
5
)
(6
5
)
$
30
6
$
(1,03
3
)
$
(727)
$
727
^^
$
—
HSBC
Securities
Inc
Foreign
Currency
Contracts
75
(11
5
)
(
40
)
Total
Return
Swaps
82
—
8
2
$
157
$
(1
15
)
$
4
2
$
—
$
4
2
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
52
*
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
to
the
fund
as
collateral
in
a
segregated
account
which
is
not
included
in
the
assets
of
the
fund.
^^
The
fund
has
pledged
cash
to
the
counterparty
as
collateral
which
may
be
in
excess
of
the
amount
owed
to
the
counterparty
.
Financial
Instrument:
Repurchase
Agreements
and
Reverse
Repurchase
Agreements
Global
Multi-Strategy
Fund
*
The
fund
has
pledged
cash
and
securities
to
the
counterparty
as
collateral
which
may
be
in
excess
of
the
amount
owed
to
the
counterparty.
Cross
Trades.
The
Funds
may
engage
in
cross
trades.
A
cross
trade
is
a
purchase
or
sale
transaction
between
affiliated
portfolios
executed
directly
or
through
an
intermediary.
Mutual
funds
and
other
managed
portfolios
may
be
considered
affiliated
if
they
have
a
common
investment
advisor,
so
a
fund
may
be
considered
affiliated
with
any
portfolio
for
which
the
fund's
sub-advisor
acts
as
an
investment
advisor.
Such
transactions
are
permissible
provided
that
the
conditions
of
Rule
17a-7
under
the
Investment
Company
Act
of
1940
are
satisfied.
For
the
year ended
August
31,
2020,
none
of
the
Funds
had
material
cross
trades.
Deposits
with
Counterparty.
Cash
pledged
as
collateral
is
reflected
as
an
asset
on
the
statements
of
assets
and
liabilities
as
deposits
with
counterparty.
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
margin
as
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
over-the-counter
("OTC")
derivatives.
Master
Securities
Forward
Transaction
Agreements
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Global
Multi-Strategy
Fund
(continued)
JPMorgan
Chase
Credit
Default
Swaps
$
101
$
—
$
101
Equity
Basket
Swaps
886
(35
6
)
5
30
Foreign
Currency
Contracts
22
7
(89
5
)
(66
8
)
Interest
Rate
Swaps
—
(252)
(252)
Purchased
Options
30
—
30
Written
Options
—
(22)
(22)
$
1,24
4
$
(1,525)
$
(2
81
)
$
2
81
^^
$
—
Merrill
Lynch
Credit
Default
Swaps
9
—
9
Foreign
Currency
Contracts
—
(21)
(21)
$
9
$
(21)
$
(1
2
)
$
—
$
(12)
Morgan
Stanley
&
Co
Credit
Default
Swaps
—
(97)
(97)
Equity
Basket
Swaps
1,98
5
(1,17
3
)
812
Foreign
Currency
Contracts
1
8
(105)
(8
7
)
Interest
Rate
Swaps
43
—
43
Purchased
Options
1
6
—
1
6
$
2,06
2
$
(1,37
5
)
$
68
7
$
—
$
68
7
Standard
Chartered
Bank,
Hong
Kong
Purchased
Options
30
—
30
Foreign
Currency
Contracts
—
(43)
(43)
Written
Options
—
(5)
(5)
$
30
$
(
48
)
$
(18)
$
—
$
(18)
State
Street
Financial
Global
Markets
Foreign
Currency
Contracts
5
8
(58)
—
$
5
8
$
(58)
$
—
$
—
$
—
Toronto
Dominion
Bank
Foreign
Currency
Contracts
35
(35)
—
$
35
$
(35)
$
—
$
—
$
—
UBS
AG
Equity
Basket
Swaps
621
(24
6
)
375
$
621
$
(24
6
)
$
375
$
—
$
375
Total
OTC
$
12,173
$
(
11,901
)
$
272
$
1,280
Counterparty
Repurchase
Agreement
Proceeds
to
be
Received
Payable
for
Reverse
Repurchase
Agreements
Net
Receivable/(Payable)
Collateral
(Received)/Pledged
Net
Exposure
Merrill
Lynch
$
277,661
$
(412,677)
$
(135,016)
$
135,016*
$
—
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
53
("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.
As
of
August
31,
2020,
deposits
with
counterparty
were
as
follows
(amounts
in
thousands):
Deposits
from
Counterparty.
Cash
received
from
a
counterparty
as
collateral
is
reflected
as
a
liability
on
the
statements
of
assets
and
liabilities
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
August
31,
2020,
deposits
from
counterparty
were
as
follows
(amounts
in
thousands):
Floating
Rate
Notes
Issued
in
Conjunction
with
Securities
Held.
Opportunistic
Municipal
Fund
has
entered
into
transactions
in
which
the
fund
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.
The
fund
enters
into
shortfall
and
forbearance
agreements
with
the
trusts,
which
commit
the
fund
to
pay
the
trusts,
in
certain
circumstances,
the
difference
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
statement
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
year
end,
the
“floating
rate
notes
issued”
payable
is
categorized
as
Level
2
within
the
disclosure
hierarchy.
The
balance
of
the
"floating
rate
notes
issued"
as
of August
31,
2020 was
$6,023,000.
The
average
outstanding
balance
for
the
liability
during
the
year
ended August
31,
2020
was
$5,420,000
at
a weighted
average
annual
interest
rate
of
1.73%.
The
notes
issued
by
the
trusts
have
interest
rates
that
reset
weekly,
and
the
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
value
of
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
fair
value
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,
but
it
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
or
other
respective
currency.
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,
change
in
the
value
of
equities,
interest
rates
and
foreign
currencies.
Initial
margin
deposits
are
made
by
cash
deposits
or
segregation
of
specific
securities
as
may
be
required
by
the
exchange
on
which
the
transaction
was
conducted.
Pursuant
to
the
contracts,
typically
a
fund
agrees
to
receive
from
or
pay
to
the
broker
an
amount
of
cash
equal
to
the
daily
fluctuation
in
the
value
of
the
contract.
Such
receipts
or
Repurchase
Agreements
FCM
(Futures
and
Cleared
Swaps)
ISDA
(OTC
Derivatives)
Shorts
Total
Deposits
with
Counterparty
Diversified
Real
Asset
Fund
$
—
$
3,917
$
5,080
$
—
$
8,997
Global
Multi-Strategy
Fund
1,921
16,406
25,014
96,135
139,476
International
Equity
Index
Fund
—
229
—
—
229
Spectrum
Preferred
and
Capital
Securities
Income
Fund
—
2,837
—
—
2,837
ISDA
(OTC
Derivatives)
Diversified
Real
Asset
Fund
$
170
Global
Multi-Strategy
Fund
220
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
54
payments
are
known
as
“variation
margin”
and
are
recorded
by
the
fund
as
a
variation
margin
receivable
or
payable
on
financial
derivative
instruments.
For
those
contracts
where
daily
variation
margin
payments
are
not
received
from
or
paid
to
the
broker,
the
cumulative
unrealized
gains
or
losses
are
included
in
variation
margin
receivable
or
payable
on
financial
derivative
instruments.
Futures
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
liabilities
arising
out
of
the
performance
of
their
duties.
In
addition,
in
the
normal
course
of
business,
the
Fund
may
enter
into
a
variety
of
contracts
that
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.
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
on
the
statements
of
operations,
even
though
the
Funds
would
not
receive
the
principal
until
maturity.
Options
Contracts.
During
the
year, Diversified
Real
Asset
Fund,
Global
Multi-Strategy
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
wrote
call
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
recorded
as
a
liability
and
subsequently
marked
to
market
to
reflect
the
current
value
of
the
option
written.
These
liabilities
are
reflected
as
options
contracts
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
premium
which
is
included
on
the
fund’s
statements
of
assets
and
liabilities
as
an
investment
and
subsequently
marked
to
market
to
reflect
the
current
value
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 year
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
rebate
a
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
Fund's
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
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
55
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
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
these
securities
may
involve
time-consuming
negotiations
and
expense,
and
prompt
sale
at
an
acceptable
price
may
be
difficult.
Reverse
Repurchase
Agreements.
Global
Multi-Strategy
Fund
has
entered
into
reverse
repurchase
agreements.
Under
a
reverse
repurchase
agreement,
a
fund
sells
securities
and
agrees
to
repurchase
them
at
a
specified
date
and
price.
Reverse
repurchase
agreements
are
considered
to
be
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
the
carrying
value,
including
accrued
interest,
approximates
fair
value
for
financial
statement
purposes.
The
average
amount
of
borrowings
outstanding
during
the
year
ended
August
31,
2020
was
$443,198,000
at
a
weighted
average
interest
rate
of
1.173%.
The
following
table
shows
a
breakdown
of
the
obligations
owed
by
fund,
security
type
sold
and
remaining
maturity
for
the
reverse
repurchase
agreements.
Securities
Lending.
To
earn
additional
income,
certain
of
the
Funds
may
lend
portfolio
securities
to
approved
brokerage
firms.
The
Funds
receive
collateral,
in
the
form
of
cash,
against
the
loaned
securities.
During
the
period
of
the
loan,
the
borrower
must
maintain
collateral
in
an
amount
not
less
than
102%
of
the
market
value
of
the
domestic
and
foreign
fixed
income
loaned
securities
and
105%
of
the
market
value
of
the
foreign
equity
loaned
securities.
The
market
value
of
the
loaned
securities
is
determined
at
the
close
of
business
of
the
Funds
and
any
additional
required
collateral
is
delivered
to
the
Funds
on
the
next
business
day.
The
cash
collateral
received
is
usually
invested
in
a
SEC-
registered
money
market
mutual
fund
and
the
Funds
could
realize
a
loss
on
such
investments.
Further,
the
Funds
could
experience
a
delay
in
recovering
its
securities
and
possible
loss
of
income
or
value
if
the
borrower
fails
to
return
them.
Security
lending
income,
net
of
related
fees,
is
shown
on
the
statements
of
operations.
As
of
August
31,
2020
,
the
Funds
had
securities
on
loan
as
follows
(amounts
in
thousands):
Fund
Security
Type
Remaining
Contractual
Tenor
Payable
for
Reverse
Repurchase
Agreement
Global
Multi-Strategy
Fund
Corporate
Bonds
Overnight
and
Continuous
$
3,157
U.S.
Treasury
and
Agency
Securities
Overnight
and
Continuous
408,095
Corporate
Bonds
Greater
than
90
Days
1,425
Gross
amount
of
recognized
liabilities
for
reverse
repurchase
agreements
$
412,677
Market
Value
Collateral
Value
Bond
Market
Index
Fund
$
4,540
$
4,668
Diversified
Real
Asset
Fund
10,443
11,380
International
Equity
Index
Fund
7,747
8,560
International
Small
Company
Fund
21,956
23,940
Origin
Emerging
Markets
Fund
4,431
4,893
Small-MidCap
Growth
Fund
81
83
Spectrum
Preferred
and
Capital
Securities
Income
Fund
15,591
16,720
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
56
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
claim
on
the
assets
and/or
stock
of
the
Borrower
that
is
senior
to
that
held
by
subordinated
debtholders
and
stockholders
of
the
Borrower.
Senior
floating
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
they
are
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
base
lending
rates
are
generally
the
prime
rate
offered
by
a
designated
U.S.
bank
or
the
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
shown
in
the
schedules
of
investments.
In
connection
with
the
senior
floating
rate
interests,
the
Funds
may
also
enter
into
unfunded
loan
commitments
(“commitments”).
All
or
a
portion
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
loss
is
shown
as
a
separate
line
item
called
unrealized
gain
or
loss
on
commitments
on
the
statements
of
assets
and
liabilities
and
included
in
the
net
change
in
unrealized
appreciation/(depreciation)
of
investments
on
the
statements
of
operations,
as
applicable.
As
of
year
end,
the
commitments
are
categorized
as
Level
2
within
the
disclosure
hierarchy.
As
of
August
31,
2020,
the
commitments
were
as
follows
(amounts
in
thousands):
Short
Sales.
Bond
Market
Index
Fund
and
Global
Multi-Strategy
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
dealer
which
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
as
a
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
of
the
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
and
Global
Multi-Strategy
Fund
invested
in
swap
agreements
during
the
period.
Swap
agreements
are
negotiated
agreements
between
a
fund
and
a
counterparty
to
exchange
a
series
of
cash
flows
at
specified
intervals
based
upon,
or
calculated
by
reference
to,
changes
in
specified
prices
or
rates
for
a
specified
amount
of
an
underlying
asset.
A
fund
may
enter
into
credit
default,
currency,
interest
rate,
or
total
return
swap
agreements
to
manage
its
exposure
to
credit,
currency,
interest
rate,
or
market
risk.
In
connection
with
these
agreements,
securities
may
be
identified
as
collateral
in
accordance
with
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.
Centrally
cleared
swaps
are
valued
using
the
last
traded
price
from
the
preliminary
trading
exchange.
OTC
swaps
are
modeled
taking
into
account
the
counterparties’
creditworthiness
and
using
a
series
of
techniques,
including
simulation
models.
Changes
in
value
are
recorded
as
unrealized
gain
or
loss
which
is
included
as
a
component
of
total
distributable
earnings
(accumulated
loss)
on
the
statements
of
Unfunded
Loan
Commitment
Unrealized
Gain/(Loss)
Diversified
Real
Asset
Fund
Global
Multi-Strategy
Fund
$
19,181
663
$
1,686
(5)
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
57
assets
and
liabilities.
Equity
basket
swaps
are
valued
using
the
closing
price
of
each
of
the
underlying
securities
multiplied
by
the
holdings
of
each
equity
security.
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
and
represent
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
rate
fluctuation,
that
the
counterparty
to
the
agreements
may
default
on
its
obligation
to
perform
or
disagree
as
to
the
meaning
of
contractual
terms
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
of
such
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
financial
statements
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
of
an
issuer
upon
the
occurrence
of
a
credit
event.
The
“seller”
of
the
protection
receives
periodic
payments
and
agrees
to
assume
the
credit
risk
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
comprising
the
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
to
receive
a
specified
return
in
the
event
of
a
write-down,
principal
shortfall,
interest
shortfall
or
default
of
all
or
part
of
the
referenced
entities
comprising
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.
Credit
indices
are
traded
using
credit
default
swaps
with
standardized
terms
including
a
fixed
spread
and
standard
maturity
dates.
An
index
credit
default
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
in
exchange
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
other
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
58
obligations
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
of
default
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
August
31,
2020
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
to
receive
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
reference
rate.
Certain
collateral
amounts
relate
to
exchange
cleared
swaps
which
are
not
subject
to
master
netting
agreements
with
counterparties.
To
Be
Announced
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
purchased
on
a
TBA
or
when-issued
basis
are
not
settled
until
they
are
delivered
to
the
Funds,
normally
15
to
30
days
later.
These
transactions
are
subject
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
portfolio
securities
result
in
gains
and
could
increase
transaction
costs.
In
addition,
when
a
fund
of
funds
reallocates
or
redeems
significant
assets
away
from
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
Contracts
Funds,
Inc.,
and each
of
the
Affiliated
Underlying
Funds.
The
Manager is
committed
to
minimizing
the
potential
impact
of
underlying
fund
risk
on
Affiliated
Underlying
Funds
to
the
extent
consistent
with
pursuing
the
investment
objectives
of
the
fund
of
funds
which
it
manages.
Each
may
face
conflicts
of
interest
in
fulfilling
its
responsibilities
to
all
such
funds.
Shareholder
reports
for
the
Affiliated
Underlying
Funds
can
be
found
at
www.principalfunds.com.
As
of
August
31,
2020,
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:
Fund
Total
Percentage
of
Outstanding
Shares
Owned
Blue
Chip
Fund
32.44%
Bond
Market
Index
Fund
87.99
Diversified
Real
Asset
Fund
12.35
Edge
MidCap
Fund
85.03
International
Equity
Index
Fund
54.94
International
Small
Company
Fund
86.74
Origin
Emerging
Markets
Fund
49.79
Spectrum
Preferred
and
Capital
Securities
Income
Fund
9.81
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
59
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
as
treasury
bills,
notes
and
bonds,
and
securities
guaranteed
by
the
Government
National
Mortgage
Association
(“GNMA”)
are
supported
by
the
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
Mortgage
Association
(“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
the FNMA
and
the
Federal
Home
Loan
Mortgage
Corporation
(“FHLMC”).
The
FNMA
is
a
government
sponsored
corporation,
the
common
stock
of
which
is
owned
entirely
by
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
backed
by
the
full
faith
and
credit
of
the
U.S.
Government.
The
FHLMC
issues
participation
certificates,
which
are
pass-through
securities,
each
representing
an
undivided
interest
in
a
pool
of
residential
mortgages.
The
FHLMC
guarantees
the
timely
payment
of
interest
and
ultimate
collection
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
August
31,
2020
Liability
Derivatives
August
31,
2020
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
loss)
$
18,906
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
2,056
*
Foreign
exchange
contracts
Receivables
$
519
Payables
$
590
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
10,149
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
10,038
*
Total
$
29,574
$
12,684
Global
Multi-Strategy
Fund
Commodity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
355
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
911
*
Credit
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
1,698
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
97
Equity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
5,681
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
7,160
*
Foreign
exchange
contracts
Receivables
$
7,888
*
Payables
$
8,730
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
4,212
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
8,305
*
Total
$
19,834
$
25,203
International
Equity
Index
Fund
Equity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
161
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
—
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
383
Payables,
Total
distributable
earnings
(accumulated
loss)
$
409
*
*
Includes
cumulative
unrealized
appreciation/depreciation
of
exchange
traded
swaps
and
futures
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.
Derivatives
not
accounted
for
as
hedging
instruments
Location
of
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Realized
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Change
in
Unrealized
Appreciation/
(Depreciation)
of
Derivatives
Recognized
in
Statement
of
Operations
Diversified
Real
Asset
Fund
Commodity
contracts
Net
realized
gain
(loss)
from
Futures
contracts
and
Swap
agreements/Net
change
in
unrealized
appreciation/(depreciation)
of
Futures
contracts
and
Swap
agreements
$
(25,271)
$
12,434
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
60
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
futures
contracts
are
used
to
obtain
interest
rate
exposure
in
order
to
manage
duration
of
Diversified
Real
Asset
Fund
and
Global
Multi-Strategy
Fund.
The
Spectrum
Preferred
and
Capital
Securities
Income
Fund
uses
long
and
short
U.S.
Treasury
futures
and
options
on
those
listed
U.S.
Treasury
future
contracts
to
mitigate
interest
rate
volatility
and
for
income
generation.
The
notional
values
of
the
futures
contracts
will
vary
in
accordance
with
changing
duration
of
these
funds.
Derivatives
not
accounted
for
as
hedging
instruments
Location
of
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Realized
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Change
in
Unrealized
Appreciation/
(Depreciation)
of
Derivatives
Recognized
in
Statement
of
Operations
Foreign
exchange
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Foreign
currency
contracts,
and
Options
and
swaptions/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Foreign
currency
contracts,
and
Options
and
swaptions.
$
(1,955)
$
281
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
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
$
(3,811)
$
6,450
Total
$
(31,037)
$
19,165
Global
Multi-Strategy
Fund
Commodity
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
and
Swap
agreements/Net
change
in
unrealized
appreciation/
(depreciation)
of
Investments
and
Futures
contracts
$
2,017
$
(2,981)
Credit
contracts
Net
realized
gain
(loss)
from
Swap
agreements/
Net
change
in
unrealized
appreciation/
(depreciation)
of
Swap
agreements
$
(375)
$
361
Equity
contracts
Net
realized
gain
(loss)
from
Investment
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
$
(4,618)
$
(6,031)
Foreign
exchange
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Foreign
currency
contracts,
Future
contracts,
and
Options
and
swaptions/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Foreign
currency
contracts,
Futures
contracts,
and
Options
and
swaptions.
$
946
$
(6,119)
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
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
$
(27)
$
1,040
Total
$
(2,057)
$
(13,730)
International
Equity
Index
Fund
Equity
contracts
Net
realized
gain
(loss)
from
Futures
contracts/
Net
change
in
unrealized
appreciation/
(depreciation)
of
Futures
contracts
$
167
$
247
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
and
Options
and
swaptions/Net
change
in
unrealized
appreciation/
(depreciation)
of
Investments,
Futures
contracts,
and
Options
and
swaptions
$
(5,420)
$
(153)
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
61
The
following
table
includes
a
summary
of
the
average
quarterly
outstanding
notional
by
derivative
instrument
type
for
the
year
ended
August
31,
2020
(amounts
in
thousands):
Contract
Type
Derivative
Type
Average
Notional
Diversified
Real
Asset
Fund
Commodity
Contracts
Futures
-
Long
$316,497
Futures
-
Short
212,614
Total
Return
Swaps
-
Receive
Positive
Return
209,919
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
-
Contracts
to
Accept
275,514
Foreign
Currency
Contracts
-
Contracts
to
Deliver
309,103
Purchased
Options
10,295
Written
Options
5,865
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps
-
Pay
Floating
Rate
269,293
Exchange
Cleared
Interest
Rate
Swaps
-
Receive
Floating
Rate
337,280
Futures
-
Long
131,345
Futures
-
Short
80,583
Purchased
Capped
Options
45,236
Purchased
Interest
Rate
Swaptions
128,801
Purchased
Options
751
Written
Capped
Options
47,154
Written
Interest
Rate
Swaptions
579,163
Written
Options
405
Global
Multi-Strategy
Fund
Commodity
Contracts
Futures
-
Long
22,520
Futures
-
Short
26,301
Purchased
Options
3
Credit
Contracts
Credit
Default
Swaps
–
Buy
Protection
11,565
Credit
Default
Swaps
–
Sell
Protection
5,459
Exchange
Cleared
Credit
Default
Swaps
–
Buy
Protection
10,854
Exchange
Cleared
Credit
Default
Swaps
–
Sell
Protection
8,461
Equity
Contracts
Futures
-
Long
44,126
Futures
-
Short
57,899
Purchased
Options
43
Total
Return
Equity
Basket
Swaps
69,742
Total
Return
Swaps
-
Pay
Positive
Return
218
Written
Options
33
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
-
Contracts
to
Accept
302,040
Foreign
Currency
Contracts
-
Contracts
to
Deliver
392,614
Futures
-
Long
1,244
Futures
-
Short
2,611
Purchased
Options
74,676
Written
Options
29,273
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps
-
Pay
Floating
Rate
61,235,530
Exchange
Cleared
Interest
Rate
Swaps
-
Receive
Floating
Rate
15,795,799
Futures
-
Long
415,761
Futures
-
Short
252,523
Interest
Rate
Swaps
-
Pay
Floating
Rate
12,088
Interest
Rate
Swaps
-
Receive
Floating
Rate
25,416
Purchased
Interest
Rate
Swaptions
85,404
Purchased
Options
3,147
Total
Return
Swaps
-
Pay
Positive
Return
5,287
Total
Return
Swaps
-
Receive
Positive
Return
5,950
Written
Interest
Rate
Swaptions
25,908
Written
Options
2,963
International
Equity
Index
Fund
Equity
Contracts
Futures
-
Long
3,202
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
Rate
Contracts
Futures
-
Long
53,513
Futures
-
Short
59,852
Purchased
Options
783
Written
Options
1,000
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
62
4.
Fair
Valuation
Fair
value
is
defined
as
the
price
that
the
Funds
would
receive
upon
selling
a
security
or
transferring
a
liability in
a
timely
transaction
to
an
independent
buyer
in
the
principal
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
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.
Investments
which
are
generally
included
in
this
category
include 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,
OTC
derivatives,
senior
floating
rate
interests,
municipal
bonds,
reverse
repurchase
agreements,
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
floating
rate
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
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
Funds'
own
assumptions
are
set
to
reflect
those
that
market
participants
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
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
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
be
affected
by
significant
changes
in
the
economic
conditions,
changes
in
government
policies,
and
other
factors
(e.g.,
natural
disasters,
pandemics,
accidents,
conflicts,
etc.).
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
instruments.
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
63
The
following
is
a
summary
of
the
inputs
used
as
of August
31,
2020
in
valuing
the
Funds'
securities
carried
at
fair
value
(amounts
in
thousands):
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Blue
Chip
Fund
Common
Stocks*
$
7,824,838
$
—
$
—
$
7,824,838
Investment
Companies
11,250
—
—
11,250
Total
investments
in
securities
$
7,836,088
$
—
$
—
$
7,836,088
Bond
Market
Index
Fund
Bonds*
—
829,170
—
829,170
Investment
Companies
180,088
—
—
180,088
Municipal
Bonds*
—
15,892
—
15,892
U.S.
Government
&
Government
Agency
Obligations*
—
1,523,792
—
1,523,792
Total
investments
in
securities
$
180,088
$
2,368,854
$
—
$
2,548,942
Diversified
Real
Asset
Fund
Bonds*
—
415,289
—
415,289
Commodity
Indexed
Structured
Notes*
—
21,607
—
21,607
Common
Stocks
Basic
Materials
169,980
135,459
—
305,439
Communications
3,343
1,205
—
4,548
Consumer,
Cyclical
8,191
8,162
33
16,386
Consumer,
Non-cyclical
47,927
48,918
42
96,887
Energy
207,039
64,550
—
271,589
Financial
223,092
126,182
—
349,274
Industrial
77,628
92,079
—
169,707
Technology
621
—
—
621
Utilities
181,989
202,723
—
384,712
Investment
Companies
76,204
—
—
76,204
Preferred
Stocks
Industrial
111
131
—
242
Utilities
5,880
—
—
5,880
Senior
Floating
Rate
Interests*
—
479,702
—
479,702
U.S.
Government
&
Government
Agency
Obligations*
—
565,054
—
565,054
Purchased
Options
57
27
—
84
Purchased
Interest
Rate
Swaptions
—
2,495
—
2,495
Purchased
Capped
Options
—
206
—
206
Total
investments
in
securities
$
1,002,062
$
2,163,789
$
75
$
3,165,926
Assets
Commodity
Contracts
Futures**
15,976
—
—
15,976
Total
Return
Swaps
—
2,930
—
2,930
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
492
—
49
2
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
7,309
—
7,309
Futures**
82
—
—
82
Liabilities
Commodity
Contracts
Futures**
(2,007
)
—
—
(2,007
)
Total
Return
Swaps
—
(49)
—
(49)
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
(5
9
0
)
—
(5
9
0
)
Interest
Rate
Contracts
Capped
Options
—
(118)
—
(118)
Exchange
Cleared
Interest
Rate
Swaps**
—
(6,263)
—
(6,263)
Futures**
(166)
—
—
(166)
Interest
Rate
Swaptions
—
(3,375)
—
(3,375)
Written
Options
(116)
—
—
(116)
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
64
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Edge
MidCap
Fund
Common
Stocks
Basic
Materials
$
22,756
$
—
$
—
$
22,756
Communications
18,596
15,780
—
34,376
Consumer,
Cyclical
81,056
—
—
81,056
Consumer,
Non-cyclical
148,738
—
—
148,738
Energy
19,371
—
—
19,371
Financial
149,812
—
—
149,812
Industrial
183,067
—
—
183,067
Technology
137,345
—
—
137,345
Utilities
50,280
—
—
50,280
Investment
Companies
26,003
—
—
26,003
Total
investments
in
securities
$
837,024
$
15,780
$
—
$
852,804
Global
Multi-Strategy
Fund
Bonds*
—
308,849
1,381
310,230
Common
Stocks
Basic
Materials
10,353
8,056
—
18,409
Communications
29,142
7,566
—
36,708
Consumer,
Cyclical
35,503
10,688
38
46,229
Consumer,
Non-cyclical
59,946
13,568
—
73,514
Diversified
196
—
—
196
Energy
7,933
689
39
8,661
Financial
32,634
9,
268
424
42,3
26
Industrial
35,181
13,647
—
48,828
Technology
44,058
5,732
337
50,127
Utilities
5,174
4,499
—
9,673
Convertible
Bonds*
—
3,059
—
3,059
Convertible
Preferred
Stocks
Communications
—
—
137
137
Consumer,
Cyclical
—
—
86
86
Consumer,
Non-cyclical
658
—
—
658
Energy
22
—
—
22
Financial
657
—
—
657
Utilities
73
—
—
73
Investment
Companies
98,143
—
—
98,143
Preferred
Stocks
Basic
Materials
—
118
—
118
Communications
—
—
3
3
Consumer,
Cyclical
—
179
—
179
Energy
—
—
2,606
2,606
Financial
—
—
367
367
Technology
—
—
129
129
Repurchase
Agreements*
—
277,661
—
277,66
1
Senior
Floating
Rate
Interests*
—
6
,
301
590
6
,
891
U.S.
Government
&
Government
Agency
Obligations*
—
450,200
—
450,200
Purchased
Options
1,067
396
—
1,463
Purchased
Interest
Rate
Swaptions
—
128
—
128
Total
investments
in
securities
$
360,740
$
1,12
0
,
604
$
6
,
137
$
1,487,
481
Short
Sales
Bonds
—
(5,883)
—
(5,883)
Common
Stocks
Basic
Materials
(3,584)
(3,764)
—
(7,348)
Communications
(8,056)
(2,234)
—
(10,290)
Consumer,
Cyclical
(14,345)
(5,324)
—
(19,669)
Consumer,
Non-cyclical
(17,070)
(4,677)
—
(21,747)
Diversified
—
(80)
—
(80)
Energy
(6,887)
(837)
—
(7,724)
Financial
(14,162)
(4,802)
—
(18,964)
Industrial
(13,582)
(7,591)
—
(21,173)
Technology
(13,093)
(2,439)
—
(15,532)
Utilities
(7,596)
(1,392)
—
(8,988)
Preferred
Stocks
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
65
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Global
Multi-Strategy
Fund
Consumer,
Non-cyclical
$
—
$
(228)
$
—
$
(228)
Industrial
—
(96)
—
(96)
U.S.
Government
&
Government
Agency
Obligations
—
(289,453)
—
(289,453)
Total
Short
Sales
$
(98,375)
$
(328,800)
$
—
$
(427,175)
Reverse
Repurchase
Agreements
—
(412,677
)
—
(412,67
7
)
Assets
Credit
Contracts
Credit
Default
Swaps
—
685
—
685
Exchange
Cleared
Credit
Default
Swaps**
—
1,013
—
1,013
Commodity
Contracts
Futures**
324
—
—
324
Total
Return
Swaps
—
—
—
—
Equity
Contracts
Futures**
1,264
—
—
1,264
Total
Return
Equity
Basket
Swaps
—
3,492
—
3,492
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
7
,
44
4
—
7
,
44
4
Futures**
48
—
—
48
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
3,664
—
3,664
Futures**
177
—
—
177
Interest
Rate
Swaps
—
43
—
43
Total
Return
Swaps
—
89
—
8
9
Liabilities
Credit
Contracts
Credit
Default
Swaps
—
(97)
—
(97)
Commodity
Contracts
Futures**
(911
)
—
—
(911
)
Equity
Contracts
Futures**
(3,999)
—
—
(3,999)
Written
Options
(418)
—
—
(418)
Total
Return
Equity
Basket
Swaps
—
(2,7
3
0
)
—
(2,7
3
0
)
Total
Return
Swaps
—
(13)
—
(13)
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
(
8
,
598
)
—
(
8
,
598
)
Written
Options
—
(132)
—
(132)
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
(7,424)
—
(7,424)
Futures**
(417)
—
—
(417)
Interest
Rate
Swaps
—
(416)
—
(416)
Interest
Rate
Swaptions
—
(17)
—
(17)
Total
Return
Swaps
—
(
2
)
—
(
2
)
Written
Options
(29)
—
—
(29)
International
Equity
Index
Fund
Common
Stocks
Basic
Materials
—
72,523
—
72,523
Communications
1,168
66,243
—
67,411
Consumer,
Cyclical
322
135,477
—
135,799
Consumer,
Non-cyclical
2,227
301,602
—
303,829
Diversified
—
2,404
—
2,404
Energy
—
37,094
—
37,094
Financial
295
205,949
—
206,244
Industrial
—
145,881
—
145,881
Technology
1,440
58,703
—
60,143
Utilities
—
42,591
—
42,591
Investment
Companies
20,771
—
—
20,771
Preferred
Stocks
Basic
Materials
—
253
—
253
Consumer,
Cyclical
—
3,360
—
3,360
Consumer,
Non-cyclical
—
1,401
—
1,401
Industrial
—
1,162
—
1,162
Total
investments
in
securities
$
26,223
$
1,074,643
$
—
$
1,100,866
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
66
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
International
Equity
Index
Fund
Assets
Equity
Contracts
Futures**
$
161
$
—
$
—
$
161
International
Small
Company
Fund
Common
Stocks
Basic
Materials
28,621
58,071
—
86,692
Communications
—
54,30
2
—
54,30
2
Consumer,
Cyclical
5,269
149,719
—
154,988
Consumer,
Non-cyclical
13,055
146,182
—
159,237
Energy
11,105
22,617
—
33,722
Financial
12,282
208,080
—
220,362
Industrial
13,942
175,787
—
189,729
Technology
18,401
81,145
—
99,546
Utilities
13,679
17,586
—
31,265
Investment
Companies
34,884
—
—
34,884
Total
investments
in
securities
$
151,238
$
913,489
$
—
$
1,064,727
Opportunistic
Municipal
Fund
Investment
Companies
49
—
—
49
Municipal
Bonds*
—
137,819
—
137,819
Total
investments
in
securities
$
49
$
137,819
$
—
$
137,868
Origin
Emerging
Markets
Fund
Common
Stocks
Basic
Materials
13,620
53,512
—
67,132
Communications
183,053
208,745
—
391,798
Consumer,
Cyclical
11,680
71,662
—
83,342
Consumer,
Non-cyclical
43,318
125,980
—
169,298
Energy
—
48,778
—
48,778
Financial
48,308
211,170
—
259,478
Industrial
—
273,145
—
273,145
Technology
178,729
234,173
—
412,902
Utilities
—
45,091
—
45,091
Investment
Companies
82,378
—
—
82,378
Preferred
Stocks
27,997
—
—
27,997
Total
investments
in
securities
$
589,083
$
1,272,256
$
—
$
1,861,339
Small-MidCap
Dividend
Income
Fund
Common
Stocks*
1,574,561
—
—
1,574,561
Investment
Companies
15,508
—
—
15,508
Total
investments
in
securities
$
1,590,069
$
—
$
—
$
1,590,069
Small-MidCap
Growth
Fund
Common
Stocks*
7,581
—
—
7,581
Investment
Companies
130
—
—
130
Total
investments
in
securities
$
7,711
$
—
$
—
$
7,711
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Bonds*
—
6,052,583
—
6,052,58
3
Convertible
Preferred
Stocks
Financial
91,167
—
—
91,167
Industrial
—
24,890
—
24,890
Investment
Companies
296,207
—
—
296,207
Preferred
Stocks
Communications
104,426
—
—
104,426
Consumer,
Non-cyclical
—
22,833
—
22,833
Energy
50
—
—
50
Financial
490,421
6,509
—
496,930
Government
7,664
59,780
—
67,444
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
67
*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.
During
the
period,
there
were
no
significant
purchases,
sales,
or
transfers
into
or
out
of
Level
3.
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
of
the Funds'
average
daily
net
assets.
A
portion
of
the
management
fee
is
paid
by
the
Manager
to
the
sub-advisor
of
each
of
the
Funds,
some
of
which
are
affiliates
of
the
Manager.
The
annual
rates
used
in
this
calculation
for
each
of
the
Funds
are
as
follows:
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 pay
Principal
Shareholder
Services,
Inc.
(the
“Transfer
Agent”)
(wholly
owned
by
the
Manager)
for
transfer
agent
services.
Class
J
shares
pay
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
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Utilities
$
177,300
$
2,190
$
—
$
179,490
U.S.
Government
&
Government
Agency
Obligations*
—
169,579
—
169,579
Purchased
Options
383
—
—
383
Total
investments
in
securities
$
1,167,618
$
6,338,364
$
—
$
7,505,982
Liabilities
Interest
Rate
Contracts
Futures**
(159)
—
—
(159)
Written
Options
(250)
—
—
(250)
Net
Assets
of
Fund
First
$500
million
Next
$500
million
Next
$500
million
Over
$1.5
billion
Edge
MidCap
Fund
(Effective
December
31,
2019)
.70%
.68%
.66%
.65%
Edge
MidCap
Fund
(Prior
to
December
31,
2019)
.75
.73
.71
.70
International
Small
Company
Fund
1.05
1.03
1.01
1.00
Opportunistic
Municipal
Fund
.50
.48
.46
.45
Origin
Emerging
Markets
Fund
(Effective
December
31,
2019)
1.05
1.03
1.01
1.00
Origin
Emerging
Markets
Fund
(Prior
to
December
31,
2019)
1.20
1.18
1.16
1.15
Small-MidCap
Growth
Fund
.70
.68
.66
.65
Net
Assets
of
Fund
First
$500
million
Next
$500
million
Next
$500
million
Next
$500
million
Next
$1
billion
Over
$3
billion
Blue
Chip
Fund
(Effective
December
31,
2019)
.65%
.63%
.61%
.60%
.59%
.58%
Blue
Chip
Fu
nd
(
Prior
to
December
31,
2019
)
.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
Small-MidCap
Dividend
Income
Fund
(Effective
December
31,
2019)
.79
.77
.75
.74
.73
.72
Small-MidCap
Dividend
Income
Fund
(Prior
to
December
31,
2019)
.80
.78
.76
.75
.74
.73
Spectrum
Preferred
and
Capital
Securities
Income
Fund
.75
.73
.71
.70
.69
.68
All
Net
Assets
Bond
Market
Index
Fund
.14%
International
Equity
Index
Fund
.25
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
68
assets
attributable
to
each
class
of
shares
on
an
annualized
basis
during
the
reporting
period.
The
expenses
borne
by
the
Manager
are
subject
to
reimbursement
by
the
Funds
through
the
fiscal
year
end,
provided
no
reimbursement
will
be
made
if
it
would
result
in
the
Funds
exceeding
the
total
operating
expense
limits.
Any
amounts
outstanding
at
the
end
of
the
year
are
shown
as
an
expense
reimbursement
from
Manager or
expense
reimbursement
to
Manager
on
the
statements
of
assets
and
liabilities.
The
operating
expense
limits are
as
follows:
#
Prior
to
December
31,
2019,
the
contractual
limit
was
1.13%,
1.88%,
and
.86%
for
Class
A,
Class
C,
and
Institutional,
respectively.
^
Prior
to
April
1,
2020,
the
contractual
limit
was
1.22%,
1.97%,
and
.85%
for
Class
A,
Class
C,
and
Institutional,
respectively.
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,
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,
2019
through
August
31,
2020
Class
A
Class
C
Institutional
Expiration
Blue
Chip
Fund
N/A
N/A
.66%
December
30,
2020
Bond
Market
Index
Fund
N/A
N/A
.16
December
30,
2020
Diversified
Real
Asset
Fund
1.20%^
1.95%^
.83^
December
30,
2021
Edge
MidCap
Fund
1.10
N/A
.77
December
30,
2020
Global
Multi-Strategy
Fund
N/A
2.75
1.63
December
30,
2020
International
Equity
Index
Fund
N/A
N/A
.31
December
30,
2020
International
Small
Company
Fund
1.60
N/A
1.20
December
30,
2020
Opportunistic
Municipal
Fund
.84
N/A
.56
December
30,
2020
Origin
Emerging
Markets
Fund
1.60
N/A
1.20
December
30,
2020
Small-MidCap
Dividend
Income
Fund
1.12#
1.87#
.85#
December
30,
2020
Small-MidCap
Growth
Fund
N/A
N/A
.83
December
30,
2020
Spectrum
Preferred
and
Capital
Securities
Income
Fund
N/A
N/A
.81
December
30,
2020
Period
from
September
1,
2019
through
August
31,
2020
Class
J
R-1
R-2
R-3
R-4
R-5
Expiration
Bond
Market
Index
Fund
.71%
1.04%
.91%
.73%
.54%
.42%
December
30,
2020
Period
from
September
1,
2019
through
August
31,
2020
R-6
Expiration
Blue
Chip
Fund
.01%
December
30,
2020
Diversified
Real
Asset
Fund
.02
December
30,
2020
Edge
MidCap
Fund
.02
December
30,
2020
Global
Multi-Strategy
Fund
.02
December
30,
2020
International
Equity
Index
Fund
.04
December
30,
2020
International
Small
Company
Fund
.04
December
30,
2020
Origin
Emerging
Markets
Fund
.04
December
30,
2020
Small-MidCap
Dividend
Income
Fund
.02
December
30,
2020
Spectrum
Preferred
and
Capital
Securities
Income
Fund
.02
December
30,
2020
5.
Management
Agreement
and
Transactions
with
Affiliates
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
69
In
addition,
the
Manager
has
contractually
agreed
to
limit
certain
of
the
Funds'
management
and
investment
advisory
fees.
The
expense
limit
will
reduce
the
Funds'
management
and
investment
advisory
fees.
The
limits
are
expressed
as
a
percentage
of
average
daily
net
assets on
an
annualized
basis
during
the
reporting
period.
The
limits
are
as
follows:
Amounts
owed
to
the
Funds
under
the
terms
of
the
expense
limitation
agreements
are
reflected
in
the
statements
of
assets
and
liabilities
as
expense
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
Funds
Distributor,
Inc.
(“the
Distributor”)
(an
affiliate
of
the
Manager),
the
principal
distributor
of
the
Funds.
A
portion
of
the
distribution
fees
may
be
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
as
expense
reimbursement
from
Distributor
and
are
settled
monthly.
Chief
Compliance
Officer
Expenses.
The
Funds
pay
certain
expenses
associated
with
the
Chief
Compliance
Officer
(“CCO”).
This
expense
is
allocated
among
the
registered
investment
companies
managed
by
the
Manager
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
Class
J
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
shares
based
on
declining
rates
which
begin
at
3.75%
for
Diversified
Real
Asset
Fund,
Global
Multi-Strategy
Fund,
Opportunistic
Municipal
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund,
and
5.50%
for
Blue
Chip
Fund,
Edge
MidCap
Fund,
International
Small
Company
Fund,
Origin
Emerging
Markets
Fund,
and
Small-MidCap
Dividend
Income
Fund.
The
aggregate
amounts
of
these
charges
retained
by
the
Distributor
for
the
year
ended
August
31,
2020,
were
as
follows
(amounts
in
thousands):
Class
C
shares
automatically
convert
into
Class
A
shares,
based
on
relative
net
asset
value
(without
a
sales
charge),
10
years
after
purchase.
Period
from
September
1,
2019
through
August
31,
2020
Expiration
Blue
Chip
Fund
.050%#
December
30,
2020
Bond
Market
Index
Fund
.015^
December
30,
2020
Diversified
Real
Asset
Fund
.050*
December
30,
2021
Edge
MidCap
Fund
.050#
December
30,
2020
Global
Multi-Strategy
Fund
.040
December
30,
2020
Opportunistic
Municipal
Fund
.060
December
30,
2020
Origin
Emerging
Markets
Fund
.150
December
30,
2019
^
Prior
to
December
31,
2019,
there
was
no
contractual
limit.
#
Prior
to
December
31,
2019,
the
contractual
limit
was
.10%.
*
Prior
to
April
1,
2020,
the
contractual
limit
was
.03
%
Class
A
Class
C
Class
J
Blue
Chip
Fund
$
940
$
41
$
9
Bond
Market
Index
Fund
N/A
N/A
1
Diversified
Real
Asset
Fund
6
1
N/A
Edge
MidCap
Fund
35
N/A
N/A
Global
Multi-Strategy
Fund
2
—
N/A
International
Small
Company
Fund
5
N/A
N/A
Opportunistic
Municipal
Fund
13
N/A
N/A
Origin
Emerging
Markets
Fund
6
N/A
N/A
Small-MidCap
Dividend
Income
Fund
43
3
N/A
Spectrum
Preferred
and
Capital
Securities
Income
Fund
244
39
1
5.
Management
Agreement
and
Transactions
with
Affiliates
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
70
Affiliated
Ownership.
At
August
31,
2020,
Principal
Life
Insurance
Company
(an
affiliate
of
the
Manager),
the
Manager,
the
Distributor,
Principal
Securities,
Inc.
(an
affiliate
of
the
Manager),
collective
investment
trusts
sponsored
by
Principal
Global
Investors
Trust
Company
(an
affiliate
of
the
Manager),
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):
Affiliated
Brokerage
Commissions.
With
respect
to
Spectrum
Preferred
and
Capital
Securities
Income
Fund,
$156,000
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
year
ended
August
31,
2020
.
6.
Investment
Transactions
For
the year ended
August
31,
2020,
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):
For
the year
ended
August
31,
2020,
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):
Blue
Chip
Fund
had
in-kind
redemptions
during
the
year
ended
August
31,
2020.
The
in-kind
redemptions
resulted
in
distributions
of
securities
with
a
value
of
$161,339,000
and
realized
gains
of
$81,315,000.
The
realized
gain
is
included
in
net
realized
gain
(loss)
from
investment
transactions
on
the
statement
of
operations.
Institutional
R-4
R-5
R-6
Blue
Chip
Fund
517
–
–
32,086
Bond
Market
Index
Fund
7,583
–
–
N/A
Diversified
Real
Asset
Fund
100
1
1
15,420
Edge
MidCap
Fund
92
N/A
N/A
—
Global
Multi-Strategy
Fund
46
N/A
N/A
1,278
International
Equity
Index
Fund
–
–
–
40,310
International
Small
Company
Fund
175
N/A
N/A
596
Opportunistic
Municipal
Fund
70
N/A
N/A
N/A
Origin
Emerging
Markets
Fund
58
N/A
N/A
74,072
Small-MidCap
Dividend
Income
Fund
74
N/A
N/A
505
Small-MidCap
Growth
Fund
527
N/A
N/A
N/A
Spectrum
Preferred
and
Capital
Securities
Income
Fund
–
–
–
4,701
Purchases
Sales
Covers
on
Securities
Sold
Short
Securities
Sold
Short
Blue
Chip
Fund
$
3,014,704
$
1,649,276
$
—
$
—
Bond
Market
Index
Fund
1,307,608
1,128,006
—
—
Diversified
Real
Asset
Fund
2,224,849
2,538,095
—
—
Edge
MidCap
Fund
292,649
192,317
—
—
Global
Multi-Strategy
Fund
1,780,628
2,293,758
733,323
603,525
International
Equity
Index
Fund
333,424
372,697
—
—
International
Small
Company
Fund
512,479
393,716
—
—
Opportunistic
Municipal
Fund
107,487
104,190
—
—
Origin
Emerging
Markets
Fund
1,431,038
933,180
—
—
Small-MidCap
Dividend
Income
Fund
547,066
794,246
—
—
Small-MidCap
Growth
Fund
7,716
7,314
—
—
Spectrum
Preferred
and
Capital
Securities
Income
Fund
2,516,648
1,053,945
—
—
Purchases
Sales
Covers
on
Securities
Sold
Short
Securities
Sold
Short
Bond
Market
Index
Fund
$
1,123,891
$
1,118,770
$
—
$
—
Diversified
Real
Asset
Fund
636,649
631,592
—
—
Global
Multi-Strategy
Fund
3,725,583
4,004,606
2,518,875
2,383,672
Spectrum
Preferred
and
Capital
Securities
Income
Fund
223,431
53,809
—
—
5.
Management
Agreement
and
Transactions
with
Affiliates
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
71
7.
Federal
Tax
Information
Distributions
to
Shareholders.
The
federal
income
tax
character
of
distributions
paid
for
the years
ended August
31,
2020 and
August
31,
2019 were
as
follows
(amounts
in
thousands):
^
The
Funds
designate
these
distributions
as
exempt
interest
per
Internal
Revenue
Code
(“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
paid
deduction.
For
U.S.
federal
income
tax
purposes,
short-term
capital
gain
distributions
are
considered
ordinary
income
distributions.
Distributable
Earnings.
As
of August
31,
2020,
the
components
of
total
distributable
earnings
(accumulated
loss)
on
a
federal
tax
basis
were
as
follows
(amounts
in
thousands):
*Represents
book-to-tax
accounting
differences
related
to
straddle
loss
deferrals,
constructive
sale
gain
recognition,
defaulted
securities,
inverse
floating
rate
securities,
contingent
convertible
bonds,
foreign
capital
gain
taxes,
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.
As
of
August
31,
2020,
the
Funds
had
approximate
net
capital
loss
carryforwards
as
follows
(amounts
in
thousands):
Ordinary
Income
Tax-Exempt
Income
^
Long-Term
Capital
Gain*
Return
of
Capital
2020
2019
2020
2019
2020
2019
2020
2019
Blue
Chip
Fund
$
35,653
$
344
$
—
$
—
$
183,262
$
218,577
$
—
$
—
Bond
Market
Index
Fund
58,976
42,522
—
—
—
—
—
—
Diversified
Real
Asset
Fund
96,919
126,294
—
—
—
—
—
—
Edge
MidCap
Fund
7,567
9,632
—
—
22,087
25,893
—
—
Global
Multi-Strategy
Fund
—
94,178
—
—
—
39,517
—
6,481
International
Equity
Index
Fund
34,826
28,659
—
—
3,303
8,607
—
—
International
Small
Company
Fund
27,587
24,796
—
—
—
44,174
—
—
Opportunistic
Municipal
Fund
7
4
4,766
4,556
—
—
—
—
Origin
Emerging
Markets
Fund
21,257
8,633
—
—
—
—
—
—
Small-MidCap
Dividend
Income
Fund
39,231
72,210
—
—
15,278
267,714
—
—
Spectrum
Preferred
and
Capital
Securities
Income
Fund
294,361
280,911
—
—
—
—
404
—
Undistributed
Ordinary
Income
Undistributed
Tax-Exempt
Income
Undistributed
Long-Term
Capital
Gains
Accumulated
Losses
Net
Unrealized
Appreciation
(Depreciation)
Other
Temporary
Differences
*
Total
Accumulated
Earnings
(Deficit)
Blue
Chip
Fund
$
16,859
$
—
$
180,691
$
—
$
2,960,438
$
—
$
3,157,988
Bond
Market
Index
Fund
41,959
—
—
—
167,936
—
209,895
Diversified
Real
Asset
Fund
3,859
—
—
(211,409
)
(20,486
)
(822
)
(228,858
)
Edge
MidCap
Fund
10,154
—
34,843
—
97,217
—
142,214
Global
Multi-Strategy
Fund
9,764
—
—
(18,879
)
5,104
(5,156
)
(9,167
)
International
Equity
Index
Fund
15,743
—
—
—
76,056
—
91,799
International
Small
Company
Fund
3,190
—
—
(48,656
)
93,800
—
48,334
Opportunistic
Municipal
Fund
—
124
—
(2,121
)
4,329
(76
)
2,256
Origin
Emerging
Markets
Fund
12,750
—
—
(63,076
)
246,455
(44
)
196,085
Small-MidCap
Dividend
Income
Fund
2,786
—
—
(257,934
)
52,956
—
(202,192
)
Small-MidCap
Growth
Fund
158
—
78
—
1,940
—
2,176
Spectrum
Preferred
and
Capital
Securities
Income
Fund
—
—
—
(79,870
)
353,523
56,882
330,535
Short-Term
Long-Term
Total
Diversified
Real
Asset
Fund
$
173,672
$
37,737
$
211,409
Global
Multi-Strategy
Fund
—
18,879
18,879
International
Small
Company
Fund
38,774
9,882
48,656
Opportunistic
Municipal
Fund
1,812
309
2,121
Origin
Emerging
Markets
Fund
63,076
—
63,076
Spectrum
Preferred
and
Capital
Securities
Income
Fund
9,542
70,328
79,870
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
72
All
of
these
capital
losses
were
generated
in
taxable
years
beginning
after
the
enactment
date
of
the
Regulated
Investment
Company
Modernization
Act
of
2010
on
December
22,
2010,
and
will
be
carried
forward
with
no
expiration
and
with
the
character
of
the
loss
retained.
For
the
year
ended
August
31,
2020,
the
Funds
utilized
capital
loss
carryforwards
as
follows
(amounts
in
thousands):
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
taxable
year
subsequent
to
October
31
and
December
31,
respectively. As
of
August
31,
2020,
the
Funds
had
late-year
capital
and
ordinary
losses
as
follows
(amounts
in
thousands).
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.
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
Funds’
distributions
may
be
shown
in
the
accompanying
statements
of
changes
in
net
assets
as
from
net
investment
income
and net
realized
gain
on
investments
or
from
tax
return
of
capital
depending
on
the
type
of
book
and
tax
differences
that
exist.
For
the
year
ended August
31,
2020,
the
Funds
recorded
reclassifications
as
follows
(amounts
in
thousands):
Federal
Income
Tax
Basis.
As
of August
31,
2020,
the
net
federal
income
tax
unrealized
appreciation
(depreciation)
and
federal
tax
cost
of
investments
held
by
the
Funds
were
as
follows
(amounts
in
thousands):
Utilized
Bond
Market
Index
Fund
$
17,498
Origin
Emerging
Markets
Fund
44,424
Small-MidCap
Growth
Fund
86
Post
October
Capital
Loss
Small-MidCap
Dividend
Income
Fund
$
257,934
Total
Distributable
Earnings
(Accumulated
Loss)
Capital
Shares
and
Additional
Paid-in-Capital
Blue
Chip
Fund
$
(32,705
)
$
32,705
Bond
Market
Index
Fund
(828
)
828
Diversified
Real
Asset
Fund
19,989
(19,989
)
Edge
MidCap
Fund
(3,194
)
3,194
Global
Multi-Strategy
Fund
(1,580
)
1,580
International
Equity
Index
Fund
(2,515
)
2,515
Small-MidCap
Dividend
Income
Fund
(12,395
)
12,395
Spectrum
Preferred
and
Capital
Securities
Income
Fund
404
(404
)
Unrealized
Appreciation
Unrealized
(Depreciation)
Net
Unrealized
Appreciation/
(Depreciation)
Cost
for
Federal
Income
Tax
Purposes
Blue
Chip
Fund
$
2,993,477
$
(33,039)
$
2,960,438
$
4,875,650
Bond
Market
Index
Fund
172,605
(4,669)
167,936
2,381,006
Diversified
Real
Asset
Fund
260,658
(332,488)
(71,830)
3,263,308
Edge
MidCap
Fund
164,618
(67,402)
97,216
755,588
Global
Multi-Strategy
Fund
110,847
(104,298)
6,549
1,048,799
International
Equity
Index
Fund
261,014
(185,238)
75,776
1,025,251
International
Small
Company
Fund
160,022
(66,317)
93,705
971,022
Opportunistic
Municipal
Fund
*
6,648
(2,332)
4,316
127,51
6
Origin
Emerging
Markets
Fund
315,578
(69,035)
246,543
1,614,796
Small-MidCap
Dividend
Income
Fund
253,480
(200,524)
52,956
1,537,113
Small-MidCap
Growth
Fund
2,005
(65)
1,940
5,771
Spectrum
Preferred
and
Capital
Securities
Income
Fund
414,923
(61,400)
353,523
7,152,050
*
The
Fund
holds
floating
rate
securities
which
are
accounted
for
differently
for
U.S.
GAAP
vs.
federal
income
tax
purposes.
This
may
cause
a
difference
in
cost
basis
and
fair
market
value
of
investments
for
tax
and
U.S.
GAAP
purposes.
7.
Federal
Tax
Information
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
73
8.
Other
Matters
As
of
the
date
these
financial
statements
were
available
to
be
issued,
the
outbreak
of
the
novel
coronavirus
(“COVID-19”)
in
many
countries
continues
to
adversely
impact
global
commercial
activity
and
has
contributed
to
significant
volatility
in
financial
markets.
The
global
impact
of
the
outbreak
has
been
rapidly
evolving
and
many
countries
have
reacted
by
instituting
quarantines
and
restriction
on
travel.
Such
measures,
as
well
as
the
general
uncertainty
surrounding
the
dangers
and
impact
of
COVID-19,
are
creating
significant
disruption
in
supply
chains
and
economic
activity.
As
COVID-19
continues
to
spread,
the
potential
impacts,
including
a
global,
regional
or
other
economic
recession,
are
increasingly
difficult
to
assess.
These
events,
or
fear
of
such
an
event,
present
material
uncertainty
and
risk
with
respect
to
the
Funds'
performance
and
financial
results.
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.
On
September
15,
2020,
the
Fund’s
Board
of
Directors
approved
the
conversion
of
Class
R-2
shares
into
Class
R-3
shares.
Following
the
close
of
business
on
March
1,
2021,
Class
R-2
shares
will
automatically
convert
into
Class
R-3
shares
of
the
same
fund
on
the
basis
of
the
share
classes’
relative
net
asset
values
on
such
date
without
the
imposition
of
a
sales
charge
or
any
other
charge.
The
Fund
expects
these
share
class
conversions
will
not
constitute
taxable
sales
or
exchanges
to
shareholders.
There
were
no
other
items
requiring
adjustment
of
the
financial
statements
or
additional
disclosure.
Schedule
of
Investments
Blue
Chip
Fund
August
31,
2020
See
accompanying
notes.
74
INVESTMENT
COMPANIES
-
0.14%
Shares
Held
Value
(000's)
Money
Market
Funds
-
0.14%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c)
11,249,970
$
11,250
TOTAL
INVESTMENT
COMPANIES
$
11,250
COMMON
STOCKS
-
99.84%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
4.39%
TransDigm
Group
Inc
689,078
$
344,311
Biotechnology
-
0.82%
Illumina
Inc
(b)
179,952
64,282
Chemicals
-
2.78%
Ecolab
Inc
118,325
23,319
Linde
PLC
657,614
164,233
Sherwin-Williams
Co/The
45,067
30,242
$
217,794
Commercial
Services
-
8.85%
CoStar
Group
Inc
(b)
95,679
81,193
Moody's
Corp
309,806
91,281
PayPal
Holdings
Inc
(b)
1,964,626
401,059
S&P
Global
Inc
326,825
119,755
$
693,288
Diversified
Financial
Services
-
11.02%
Charles
Schwab
Corp/The
2,663,373
94,630
Credit
Acceptance
Corp
(b)
93,970
36,348
Mastercard
Inc
1,070,280
383,363
Visa
Inc
1,648,379
349,440
$
863,781
Electronics
-
1.32%
Roper
Technologies
Inc
241,377
103,114
Healthcare
-
Products
-
3.01%
Danaher
Corp
856,045
176,748
IDEXX
Laboratories
Inc
(b)
151,601
59,285
$
236,033
Insurance
-
5.84%
Aon
PLC
416,836
83,363
Berkshire
Hathaway
Inc
-
Class
B
(b)
1,173,578
255,887
Markel
Corp
(b)
52,749
57,329
Progressive
Corp/The
640,876
60,909
$
457,488
Internet
-
22.45%
Alphabet
Inc
-
A
Shares
(b)
49,989
81,458
Alphabet
Inc
-
C
Shares
(b)
309,860
506,367
Amazon.com
Inc
(b)
228,086
787,116
Facebook
Inc
(b)
994,628
291,625
Netflix
Inc
(b)
175,640
93,012
$
1,759,578
Lodging
-
1.70%
Hilton
Worldwide
Holdings
Inc
1,472,119
133,021
Media
-
3.99%
Charter
Communications
Inc
(b)
508,349
312,945
Private
Equity
-
5.18%
Brookfield
Asset
Management
Inc
10,895,560
367,616
KKR
&
Co
Inc
1,064,829
38,142
$
405,758
REITs
-
3.57%
American
Tower
Corp
1,121,921
279,527
Retail
-
3.78%
CarMax
Inc
(b)
592,015
63,304
Costco
Wholesale
Corp
175,718
61,090
O'Reilly
Automotive
Inc
(b)
111,568
51,950
Starbucks
Corp
1,424,496
120,327
$
296,671
Semiconductors
-
1.70%
NVIDIA
Corp
249,065
133,245
Software
-
19.44%
Adobe
Inc
(b)
735,993
377,852
Autodesk
Inc
(b)
440,749
108,292
Intuit
Inc
1,027,167
354,773
Microsoft
Corp
1,646,420
371,317
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
(continued)
salesforce.com
Inc
(b)
1,143,473
$
311,768
$
1,524,002
TOTAL
COMMON
STOCKS
$
7,824,838
Total
Investments
$
7,836,088
Other
Assets
and
Liabilities
- 0.02%
1,466
TOTAL
NET
ASSETS
-
100.00%
$
7,837,554
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
Portfolio
Summary (unaudited)
Sector
Percent
Communications
26.44%
Financial
25.61%
Technology
21.14%
Consumer,
Non-cyclical
12.68%
Industrial
5.71%
Consumer,
Cyclical
5.48%
Basic
Materials
2.78%
Money
Market
Funds
0.14%
Other
Assets
and
Liabilities
0.02%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Blue
Chip
Fund
August
31,
2020
See
accompanying
notes.
75
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
14,510
$
1,266,195
$
1,269,455
$
11,250
$
14,510
$
1,266,195
$
1,269,455
$
11,250
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
116
$
—
$
—
$
—
$
116
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
76
INVESTMENT
COMPANIES
-
7.56%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.20%
iShares
iBoxx
$
Investment
Grade
Corporate
Bond
ETF
35,000
$
4,746
Money
Market
Funds
-
7.36%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.05%
(a),(b)
4,668,265
4,668
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
170,673,726
170,674
$
175,342
TOTAL
INVESTMENT
COMPANIES
$
180,088
BONDS
-
34.83%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.04%
Interpublic
Group
of
Cos
Inc/The
4.20%,
04/15/2024
$
50
$
56
Omnicom
Group
Inc
2.45%,
04/30/2030
155
160
Omnicom
Group
Inc
/
Omnicom
Capital
Inc
3.60%,
04/15/2026
500
563
3.63%,
05/01/2022
75
79
WPP
Finance
2010
3.75%,
09/19/2024
75
82
$
940
Aerospace
&
Defense
-
0.56%
Boeing
Co/The
2.70%,
02/01/2027
110
107
2.80%,
03/01/2024
200
204
2.95%,
02/01/2030
140
137
3.25%,
02/01/2035
335
315
3.50%,
03/01/2039
200
181
3.75%,
02/01/2050
310
279
3.95%,
08/01/2059
375
347
4.51%,
05/01/2023
630
665
4.88%,
05/01/2025
630
685
5.04%,
05/01/2027
315
347
5.15%,
05/01/2030
315
353
5.71%,
05/01/2040
315
366
5.81%,
05/01/2050
155
186
5.88%,
02/15/2040
100
114
General
Dynamics
Corp
3.25%,
04/01/2025
80
89
3.50%,
05/15/2025
235
264
3.50%,
04/01/2027
755
865
4.25%,
04/01/2040
155
196
L3Harris
Technologies
Inc
2.90%,
12/15/2029
360
398
3.83%,
04/27/2025
270
303
Lockheed
Martin
Corp
1.85%,
06/15/2030
105
109
3.35%,
09/15/2021
278
287
3.55%,
01/15/2026
265
303
4.07%,
12/15/2042
105
133
4.09%,
09/15/2052
162
210
4.50%,
05/15/2036
215
278
4.70%,
05/15/2046
75
103
Northrop
Grumman
Corp
2.55%,
10/15/2022
740
774
3.20%,
02/01/2027
130
147
3.25%,
01/15/2028
755
855
5.05%,
11/15/2040
500
662
Raytheon
Technologies
Corp
2.25%,
07/01/2030
155
164
3.20%,
03/15/2024
(e)
75
81
3.75%,
11/01/2046
500
577
4.05%,
05/04/2047
300
363
4.13%,
11/16/2028
270
322
4.50%,
06/01/2042
410
521
4.63%,
11/16/2048
400
527
4.70%,
12/15/2041
(e)
350
441
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Aerospace
&
Defense
(continued)
Raytheon
Technologies
Corp
(continued)
6.13%,
07/15/2038
$
46
$
67
$
13,325
Agriculture
-
0.34%
Altria
Group
Inc
2.35%,
05/06/2025
65
69
3.40%,
05/06/2030
125
138
3.80%,
02/14/2024
500
549
4.00%,
01/31/2024
500
553
4.25%,
08/09/2042
460
488
4.80%,
02/14/2029
300
359
5.38%,
01/31/2044
25
31
6.20%,
02/14/2059
250
342
Archer-Daniels-Midland
Co
4.02%,
04/16/2043
350
439
BAT
Capital
Corp
2.76%,
08/15/2022
535
556
2.79%,
09/06/2024
210
224
3.46%,
09/06/2029
210
228
3.56%,
08/15/2027
500
548
4.54%,
08/15/2047
300
326
Philip
Morris
International
Inc
2.38%,
08/17/2022
90
93
2.75%,
02/25/2026
500
550
2.90%,
11/15/2021
400
412
3.25%,
11/10/2024
445
493
3.38%,
08/11/2025
350
391
4.13%,
03/04/2043
300
355
Reynolds
American
Inc
4.45%,
06/12/2025
220
251
5.70%,
08/15/2035
50
62
5.85%,
08/15/2045
50
62
6.15%,
09/15/2043
500
629
$
8,148
Airlines
-
0.04%
American
Airlines
2014-1
Class
A
Pass
Through
Trust
3.70%,
04/01/2028
14
12
American
Airlines
2019-1
Class
AA
Pass
Through
Trust
3.15%,
08/15/2033
135
127
Delta
Air
Lines
2020-1
Class
AA
Pass
Through
Trust
2.00%,
06/10/2028
310
302
Southwest
Airlines
Co
3.00%,
11/15/2026
350
353
5.25%,
05/04/2025
130
142
United
Airlines
2019-2
Class
AA
Pass
Through
Trust
2.70%,
11/01/2033
70
64
$
1,000
Apparel
-
0.05%
NIKE
Inc
2.40%,
03/27/2025
155
167
2.75%,
03/27/2027
155
172
3.25%,
03/27/2040
155
175
3.88%,
11/01/2045
500
608
$
1,122
Automobile
Asset
Backed
Securities
-
0.09%
Americredit
Automobile
Receivables
Trust
2018-1
3.07%,
12/19/2022
467
471
Nissan
Auto
Receivables
2017-B
Owner
Trust
1.75%,
10/15/2021
80
80
World
Omni
Automobile
Lease
Securitization
Trust
2019-A
2.94%,
05/16/2022
1,500
1,528
$
2,079
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
77
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Automobile
Manufacturers
-
0.41%
American
Honda
Finance
Corp
1.20%,
07/08/2025
$
160
$
162
1.70%,
09/09/2021
500
507
1.95%,
05/20/2022
150
154
1.95%,
05/10/2023
155
161
2.05%,
01/10/2023
425
441
2.15%,
09/10/2024
345
364
Cummins
Inc
4.88%,
10/01/2043
25
34
General
Motors
Co
4.88%,
10/02/2023
80
87
5.00%,
04/01/2035
325
353
5.15%,
04/01/2038
160
170
5.20%,
04/01/2045
425
460
5.40%,
04/01/2048
375
412
6.25%,
10/02/2043
75
88
General
Motors
Financial
Co
Inc
1.70%,
08/18/2023
320
322
3.45%,
01/14/2022
1,000
1,026
3.45%,
04/10/2022
50
52
3.55%,
07/08/2022
935
972
4.00%,
10/06/2026
75
81
4.20%,
11/06/2021
250
259
4.35%,
01/17/2027
525
569
PACCAR
Financial
Corp
0.35%,
08/11/2023
160
160
Toyota
Motor
Corp
3.67%,
07/20/2028
500
591
Toyota
Motor
Credit
Corp
0.50%,
08/14/2023
160
160
1.15%,
05/26/2022
155
157
1.15%,
08/13/2027
160
160
1.35%,
08/25/2023
805
826
1.80%,
10/07/2021
150
152
1.80%,
02/13/2025
155
162
2.00%,
10/07/2024
145
153
3.30%,
01/12/2022
500
520
$
9,715
Automobile
Parts
&
Equipment
-
0.01%
BorgWarner
Inc
4.38%,
03/15/2045
300
328
Banks
-
6.20%
Australia
&
New
Zealand
Banking
Group
Ltd/
New
York
NY
2.05%,
11/21/2022
250
259
2.63%,
05/19/2022
550
572
Banco
Santander
SA
2.75%,
05/28/2025
200
213
3.49%,
05/28/2030
200
219
4.25%,
04/11/2027
650
735
Bank
of
America
Corp
1.32%,
06/19/2026
(f)
310
314
United
States
Secured
Overnight
Financing
Rate
+
1.15%
1.90%,
07/23/2031
(f)
250
251
United
States
Secured
Overnight
Financing
Rate
+
1.53%
2.02%,
02/13/2026
(f)
365
380
3
Month
USD
LIBOR
+
0.64%
2.46%,
10/22/2025
(f)
300
318
3
Month
USD
LIBOR
+
0.87%
2.50%,
10/21/2022
75
77
2.50%,
02/13/2031
(f)
315
332
3
Month
USD
LIBOR
+
0.99%
2.59%,
04/29/2031
(f)
250
266
United
States
Secured
Overnight
Financing
Rate
+
2.15%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Bank
of
America
Corp
(continued)
2.68%,
06/19/2041
(f)
$
765
$
781
United
States
Secured
Overnight
Financing
Rate
+
1.93%
2.82%,
07/21/2023
(f)
75
78
3
Month
USD
LIBOR
+
0.93%
2.88%,
04/24/2023
(f)
110
114
3
Month
USD
LIBOR
+
1.02%
3.00%,
12/20/2023
(f)
2,551
2,688
3
Month
USD
LIBOR
+
0.79%
3.19%,
07/23/2030
(f)
285
317
3
Month
USD
LIBOR
+
1.18%
3.25%,
10/21/2027
350
390
3.30%,
01/11/2023
1,175
1,254
3.42%,
12/20/2028
(f)
639
715
3
Month
USD
LIBOR
+
1.04%
3.46%,
03/15/2025
(f)
500
547
3
Month
USD
LIBOR
+
0.97%
3.50%,
04/19/2026
335
380
3.86%,
07/23/2024
(f)
200
218
3
Month
USD
LIBOR
+
0.94%
3.95%,
01/23/2049
(f)
110
135
3
Month
USD
LIBOR
+
1.19%
3.97%,
03/05/2029
(f)
75
86
3
Month
USD
LIBOR
+
1.07%
3.97%,
02/07/2030
(f)
1,000
1,168
3
Month
USD
LIBOR
+
1.21%
4.00%,
04/01/2024
400
447
4.00%,
01/22/2025
90
101
4.10%,
07/24/2023
75
83
4.24%,
04/24/2038
(f)
835
1,019
3
Month
USD
LIBOR
+
1.81%
4.25%,
10/22/2026
800
927
4.27%,
07/23/2029
(f)
640
757
3
Month
USD
LIBOR
+
1.31%
4.33%,
03/15/2050
(f)
255
330
3
Month
USD
LIBOR
+
1.52%
5.00%,
01/21/2044
75
104
5.70%,
01/24/2022
75
80
5.88%,
02/07/2042
60
90
6.11%,
01/29/2037
500
716
Bank
of
Montreal
1.85%,
05/01/2025
160
168
2.55%,
11/06/2022
75
78
2.90%,
03/26/2022
500
520
3.30%,
02/05/2024
750
819
Bank
of
New
York
Mellon
Corp/The
1.60%,
04/24/2025
725
756
1.85%,
01/27/2023
790
817
1.95%,
08/23/2022
740
765
Bank
of
Nova
Scotia/The
1.30%,
06/11/2025
155
159
2.00%,
11/15/2022
150
155
2.70%,
03/07/2022
145
151
2.70%,
08/03/2026
145
160
3.40%,
02/11/2024
750
820
4.50%,
12/16/2025
60
70
Barclays
Bank
PLC
1.70%,
05/12/2022
1,000
1,018
Barclays
PLC
2.65%,
06/24/2031
(f)
310
315
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1
Year
+
1.90%
2.85%,
05/07/2026
(f)
200
211
3
Month
USD
LIBOR
+
2.45%
3.68%,
01/10/2023
200
207
3.93%,
05/07/2025
(f)
915
995
3
Month
USD
LIBOR
+
1.61%
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
78
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Barclays
PLC
(continued)
4.38%,
01/12/2026
$
380
$
432
4.97%,
05/16/2029
(f)
200
238
3
Month
USD
LIBOR
+
1.90%
BPCE
SA
4.00%,
04/15/2024
750
833
Canadian
Imperial
Bank
of
Commerce
0.95%,
06/23/2023
470
476
2.61%,
07/22/2023
(f)
220
229
3
Month
USD
LIBOR
+
0.79%
Citibank
NA
3.65%,
01/23/2024
750
826
Citigroup
Inc
1.68%,
05/15/2024
(f)
155
159
United
States
Secured
Overnight
Financing
Rate
+
1.67%
2.31%,
11/04/2022
(f)
225
229
United
States
Secured
Overnight
Financing
Rate
+
0.87%
2.57%,
06/03/2031
(f)
310
328
United
States
Secured
Overnight
Financing
Rate
+
2.11%
2.67%,
01/29/2031
(f)
310
330
United
States
Secured
Overnight
Financing
Rate
+
1.15%
2.75%,
04/25/2022
425
440
2.90%,
12/08/2021
385
397
2.98%,
11/05/2030
(f)
150
163
United
States
Secured
Overnight
Financing
Rate
+
1.42%
3.30%,
04/27/2025
435
483
3.40%,
05/01/2026
1,110
1,245
3.52%,
10/27/2028
(f)
125
140
3
Month
USD
LIBOR
+
1.15%
3.67%,
07/24/2028
(f)
875
989
3
Month
USD
LIBOR
+
1.39%
3.70%,
01/12/2026
110
125
3.88%,
01/24/2039
(f)
220
262
3
Month
USD
LIBOR
+
1.17%
4.13%,
07/25/2028
110
126
4.30%,
11/20/2026
75
86
4.45%,
09/29/2027
75
87
4.60%,
03/09/2026
1,075
1,250
4.65%,
07/30/2045
115
149
4.65%,
07/23/2048
235
316
4.75%,
05/18/2046
395
506
5.50%,
09/13/2025
845
1,007
6.68%,
09/13/2043
360
563
8.13%,
07/15/2039
474
836
Cooperatieve
Rabobank
UA
3.88%,
02/08/2022
535
562
5.25%,
05/24/2041
185
274
5.25%,
08/04/2045
550
773
Cooperatieve
Rabobank
UA/NY
2.75%,
01/10/2022
500
517
Credit
Suisse
AG/New
York
NY
3.00%,
10/29/2021
325
335
3.63%,
09/09/2024
500
558
Credit
Suisse
Group
Funding
Guernsey
Ltd
3.75%,
03/26/2025
1,250
1,385
3.80%,
09/15/2022
705
750
3.80%,
06/09/2023
750
810
Deutsche
Bank
AG/New
York
NY
3.95%,
02/27/2023
100
106
4.10%,
01/13/2026
750
799
4.25%,
10/14/2021
400
414
Development
Bank
of
Japan
Inc
2.00%,
10/19/2021
350
356
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Discover
Bank
2.70%,
02/06/2030
$
250
$
261
Fifth
Third
Bancorp
2.38%,
01/28/2025
600
637
4.30%,
01/16/2024
50
55
Fifth
Third
Bank
NA
1.80%,
01/30/2023
250
258
Goldman
Sachs
Group
Inc/The
3.00%,
04/26/2022
990
1,006
3.27%,
09/29/2025
(f)
75
82
3
Month
USD
LIBOR
+
1.20%
3.63%,
01/22/2023
335
360
3.69%,
06/05/2028
(f)
500
567
3
Month
USD
LIBOR
+
1.51%
3.75%,
02/25/2026
75
85
3.81%,
04/23/2029
(f)
75
86
3
Month
USD
LIBOR
+
1.16%
3.85%,
01/26/2027
110
125
4.22%,
05/01/2029
(f)
505
594
3
Month
USD
LIBOR
+
1.30%
4.25%,
10/21/2025
575
655
4.41%,
04/23/2039
(f)
175
216
3
Month
USD
LIBOR
+
1.43%
4.75%,
10/21/2045
150
200
5.15%,
05/22/2045
375
499
5.95%,
01/15/2027
700
867
6.13%,
02/15/2033
850
1,204
6.25%,
02/01/2041
220
333
6.75%,
10/01/2037
210
306
HSBC
Holdings
PLC
1.65%,
04/18/2026
(f)
240
242
United
States
Secured
Overnight
Financing
Rate
+
1.54%
2.10%,
06/04/2026
(f)
310
318
United
States
Secured
Overnight
Financing
Rate
+
1.93%
2.36%,
08/18/2031
(f)
200
203
United
States
Secured
Overnight
Financing
Rate
+
1.95%
2.63%,
11/07/2025
(f)
725
760
3
Month
USD
LIBOR
+
1.14%
2.85%,
06/04/2031
(f)
200
210
United
States
Secured
Overnight
Financing
Rate
+
2.39%
3.26%,
03/13/2023
(f)
500
520
3
Month
USD
LIBOR
+
1.06%
3.90%,
05/25/2026
500
565
3.97%,
05/22/2030
(f)
300
340
3
Month
USD
LIBOR
+
1.61%
4.25%,
08/18/2025
750
832
4.58%,
06/19/2029
(f)
240
280
3
Month
USD
LIBOR
+
1.53%
4.95%,
03/31/2030
200
246
6.10%,
01/14/2042
600
884
6.50%,
05/02/2036
700
966
6.50%,
09/15/2037
100
140
6.80%,
06/01/2038
500
720
HSBC
USA
Inc
3.50%,
06/23/2024
500
550
Huntington
Bancshares
Inc/OH
2.55%,
02/04/2030
430
451
Huntington
National
Bank/The
1.80%,
02/03/2023
325
335
Industrial
&
Commercial
Bank
of
China
Ltd/New
York
NY
2.45%,
10/20/2021
350
355
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
79
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
ING
Groep
NV
3.15%,
03/29/2022
$
400
$
416
3.55%,
04/09/2024
300
329
4.55%,
10/02/2028
300
366
JPMorgan
Chase
&
Co
1.51%,
06/01/2024
(f)
220
225
United
States
Secured
Overnight
Financing
Rate
+
1.46%
2.00%,
03/13/2026
(f)
155
162
United
States
Secured
Overnight
Financing
Rate
+
1.59%
2.08%,
04/22/2026
(f)
145
152
United
States
Secured
Overnight
Financing
Rate
+
1.85%
2.18%,
06/01/2028
(f)
220
230
United
States
Secured
Overnight
Financing
Rate
+
1.89%
2.30%,
10/15/2025
(f)
320
338
United
States
Secured
Overnight
Financing
Rate
+
1.16%
2.52%,
04/22/2031
(f)
235
252
United
States
Secured
Overnight
Financing
Rate
+
2.04%
2.74%,
10/15/2030
(f)
625
678
United
States
Secured
Overnight
Financing
Rate
+
1.51%
2.78%,
04/25/2023
(f)
250
259
3
Month
USD
LIBOR
+
0.94%
2.96%,
05/13/2031
(f)
95
102
United
States
Secured
Overnight
Financing
Rate
+
2.52%
3.11%,
04/22/2041
(f)
235
258
United
States
Secured
Overnight
Financing
Rate
+
2.46%
3.11%,
04/22/2051
(f)
235
256
United
States
Secured
Overnight
Financing
Rate
+
2.44%
3.20%,
01/25/2023
2,667
2,843
3.21%,
04/01/2023
(f)
500
521
3
Month
USD
LIBOR
+
0.70%
3.51%,
01/23/2029
(f)
200
226
3
Month
USD
LIBOR
+
0.95%
3.54%,
05/01/2028
(f)
500
565
3
Month
USD
LIBOR
+
1.38%
3.56%,
04/23/2024
(f)
75
81
3
Month
USD
LIBOR
+
0.73%
3.63%,
12/01/2027
500
563
3.80%,
07/23/2024
(f)
180
196
3
Month
USD
LIBOR
+
0.89%
3.88%,
02/01/2024
85
94
3.88%,
09/10/2024
75
84
3.88%,
07/24/2038
(f)
750
902
3
Month
USD
LIBOR
+
1.36%
3.90%,
07/15/2025
460
523
3.90%,
01/23/2049
(f)
830
1,018
3
Month
USD
LIBOR
+
1.22%
4.01%,
04/23/2029
(f)
350
408
3
Month
USD
LIBOR
+
1.12%
4.03%,
07/24/2048
(f)
600
744
3
Month
USD
LIBOR
+
1.46%
4.20%,
07/23/2029
(f)
230
272
3
Month
USD
LIBOR
+
1.26%
4.50%,
01/24/2022
100
106
5.60%,
07/15/2041
370
550
8.00%,
04/29/2027
1,000
1,384
KeyBank
NA/Cleveland
OH
1.25%,
03/10/2023
250
255
3.30%,
06/01/2025
500
561
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
KeyCorp
2.25%,
04/06/2027
$
110
$
116
2.55%,
10/01/2029
270
288
Korea
Development
Bank/The
1.75%,
02/18/2025
500
519
2.75%,
03/19/2023
500
527
Kreditanstalt
fuer
Wiederaufbau
0.00%,
04/18/2036
(d)
260
212
0.38%,
07/18/2025
315
315
2.00%,
05/02/2025
(g)
280
301
2.13%,
06/15/2022
2,500
2,586
2.13%,
01/17/2023
1,500
1,567
2.38%,
12/29/2022
440
462
2.50%,
02/15/2022
500
517
2.50%,
11/20/2024
500
546
2.88%,
04/03/2028
385
450
3.13%,
12/15/2021
750
778
Landwirtschaftliche
Rentenbank
0.88%,
09/03/2030
(h)
305
304
2.38%,
06/10/2025
750
819
2.50%,
11/15/2027
500
564
Lloyds
Banking
Group
PLC
3.00%,
01/11/2022
800
828
3.90%,
03/12/2024
735
808
4.55%,
08/16/2028
400
479
4.58%,
12/10/2025
575
647
4.65%,
03/24/2026
475
539
Mitsubishi
UFJ
Financial
Group
Inc
1.41%,
07/17/2025
200
204
2.05%,
07/17/2030
750
763
2.19%,
02/25/2025
200
210
2.56%,
02/25/2030
200
213
2.62%,
07/18/2022
400
416
2.76%,
09/13/2026
500
545
2.80%,
07/18/2024
200
214
3.20%,
07/18/2029
200
222
3.75%,
07/18/2039
200
234
3.76%,
07/26/2023
1,000
1,090
Mizuho
Financial
Group
Inc
1.24%,
07/10/2024
(f)
200
202
3
Month
USD
LIBOR
+
0.99%
2.20%,
07/10/2031
(f)
200
204
3
Month
USD
LIBOR
+
1.51%
2.23%,
05/25/2026
(f)
200
209
3
Month
USD
LIBOR
+
0.83%
2.27%,
09/13/2021
300
306
2.72%,
07/16/2023
(f)
200
207
3
Month
USD
LIBOR
+
0.84%
2.84%,
07/16/2025
(f)
200
214
3
Month
USD
LIBOR
+
0.98%
3.15%,
07/16/2030
(f)
800
880
3
Month
USD
LIBOR
+
1.13%
Morgan
Stanley
2.19%,
04/28/2026
(f)
480
506
United
States
Secured
Overnight
Financing
Rate
+
1.99%
2.63%,
11/17/2021
750
770
2.70%,
01/22/2031
(f)
360
388
United
States
Secured
Overnight
Financing
Rate
+
1.14%
2.72%,
07/22/2025
(f)
255
273
United
States
Secured
Overnight
Financing
Rate
+
1.15%
2.75%,
05/19/2022
360
374
3.13%,
01/23/2023
220
233
3.13%,
07/27/2026
670
747
3.59%,
07/22/2028
(f)
90
102
3
Month
USD
LIBOR
+
1.34%
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
80
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Morgan
Stanley
(continued)
3.63%,
01/20/2027
$
95
$
109
3.70%,
10/23/2024
775
865
3.75%,
02/25/2023
150
162
3.77%,
01/24/2029
(f)
430
494
3
Month
USD
LIBOR
+
1.14%
3.88%,
04/29/2024
75
83
3.95%,
04/23/2027
60
68
4.00%,
07/23/2025
25
29
4.30%,
01/27/2045
320
417
4.35%,
09/08/2026
500
583
4.88%,
11/01/2022
650
708
5.00%,
11/24/2025
75
88
6.38%,
07/24/2042
315
499
MUFG
Union
Bank
NA
3.15%,
04/01/2022
500
521
National
Australia
Bank
Ltd/New
York
1.88%,
12/13/2022
250
259
2.50%,
05/22/2022
650
675
Natwest
Group
PLC
3.50%,
05/15/2023
(f)
400
417
3
Month
USD
LIBOR
+
1.48%
4.27%,
03/22/2025
(f)
795
874
3
Month
USD
LIBOR
+
1.76%
5.08%,
01/27/2030
(f)
400
488
3
Month
USD
LIBOR
+
1.91%
6.00%,
12/19/2023
475
536
6.13%,
12/15/2022
200
220
Northern
Trust
Corp
1.95%,
05/01/2030
185
193
Oesterreichische
Kontrollbank
AG
2.38%,
10/01/2021
750
767
PNC
Bank
NA
1.74%,
02/24/2023
(f)
250
255
3
Month
USD
LIBOR
+
0.00%
2.70%,
11/01/2022
575
602
4.05%,
07/26/2028
400
473
PNC
Financial
Services
Group
Inc/The
2.20%,
11/01/2024
120
128
2.55%,
01/22/2030
160
174
2.60%,
07/23/2026
110
121
3.30%,
03/08/2022
750
782
3.45%,
04/23/2029
335
389
Royal
Bank
of
Canada
1.95%,
01/17/2023
265
275
2.25%,
11/01/2024
300
320
2.55%,
07/16/2024
145
156
4.65%,
01/27/2026
575
681
Santander
Holdings
USA
Inc
3.40%,
01/18/2023
75
79
3.70%,
03/28/2022
75
78
Santander
UK
Group
Holdings
PLC
1.53%,
08/21/2026
(f)
200
200
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1
Year
+
1.25%
3.57%,
01/10/2023
500
518
Santander
UK
PLC
2.10%,
01/13/2023
470
487
State
Street
Corp
2.35%,
11/01/2025
(f)
110
117
United
States
Secured
Overnight
Financing
Rate
+
0.94%
2.40%,
01/24/2030
160
174
2.65%,
05/19/2026
500
553
3.10%,
05/15/2023
50
53
3.30%,
12/16/2024
75
84
3.55%,
08/18/2025
275
314
3.70%,
11/20/2023
75
83
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Sumitomo
Mitsui
Financial
Group
Inc
1.47%,
07/08/2025
$
200
$
204
2.13%,
07/08/2030
200
205
2.35%,
01/15/2025
200
212
2.44%,
10/19/2021
700
716
2.70%,
07/16/2024
800
858
2.75%,
01/15/2030
200
216
2.78%,
07/12/2022
390
407
2.85%,
01/11/2022
1,090
1,125
3.01%,
10/19/2026
75
83
3.04%,
07/16/2029
200
219
3.36%,
07/12/2027
335
374
3.45%,
01/11/2027
165
185
Svenska
Handelsbanken
AB
1.88%,
09/07/2021
1,000
1,016
Toronto-Dominion
Bank/The
0.75%,
06/12/2023
125
126
1.15%,
06/12/2025
125
128
1.90%,
12/01/2022
600
621
3.50%,
07/19/2023
500
546
3.62%,
09/15/2031
(f)
455
518
USD
Swap
Semi-Annual
5
Year
+
2.21%
Truist
Bank
1.25%,
03/09/2023
250
255
1.50%,
03/10/2025
250
259
2.15%,
12/06/2024
350
372
2.80%,
05/17/2022
335
348
3.80%,
10/30/2026
500
583
Truist
Financial
Corp
1.13%,
08/03/2027
860
858
1.20%,
08/05/2025
(g)
60
61
1.95%,
06/05/2030
60
62
2.50%,
08/01/2024
340
363
4.00%,
05/01/2025
75
86
US
Bancorp
1.38%,
07/22/2030
110
109
2.40%,
07/30/2024
190
203
3.00%,
03/15/2022
50
52
3.00%,
07/30/2029
975
1,080
3.15%,
04/27/2027
560
634
US
Bank
NA/Cincinnati
OH
1.95%,
01/09/2023
910
942
2.05%,
01/21/2025
300
318
Wells
Fargo
&
Co
1.65%,
06/02/2024
(f)
220
225
United
States
Secured
Overnight
Financing
Rate
+
1.60%
2.16%,
02/11/2026
(f)
885
923
3
Month
USD
LIBOR
+
0.75%
2.19%,
04/30/2026
(f)
485
507
United
States
Secured
Overnight
Financing
Rate
+
2.00%
2.39%,
06/02/2028
(f)
220
230
United
States
Secured
Overnight
Financing
Rate
+
2.10%
2.41%,
10/30/2025
(f)
1,300
1,370
3
Month
USD
LIBOR
+
0.83%
2.57%,
02/11/2031
(f)
885
934
3
Month
USD
LIBOR
+
1.00%
3.00%,
04/22/2026
490
537
3.00%,
10/23/2026
590
650
3.07%,
04/30/2041
(f)
485
514
United
States
Secured
Overnight
Financing
Rate
+
2.53%
3.45%,
02/13/2023
535
569
3.55%,
09/29/2025
75
84
3.58%,
05/22/2028
(f)
375
421
3
Month
USD
LIBOR
+
1.31%
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
81
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Wells
Fargo
&
Co
(continued)
4.10%,
06/03/2026
$
535
$
605
4.15%,
01/24/2029
370
437
4.40%,
06/14/2046
350
419
4.48%,
04/04/2031
(f)
230
280
3
Month
USD
LIBOR
+
3.77%
4.65%,
11/04/2044
430
524
4.75%,
12/07/2046
250
317
4.90%,
11/17/2045
75
95
5.01%,
04/04/2051
(f)
310
423
3
Month
USD
LIBOR
+
4.24%
5.38%,
02/07/2035
325
442
5.38%,
11/02/2043
185
248
Wells
Fargo
Bank
NA
3.55%,
08/14/2023
400
435
Westpac
Banking
Corp
2.00%,
01/13/2023
155
161
2.35%,
02/19/2025
150
161
2.65%,
01/16/2030
(g)
155
172
2.70%,
08/19/2026
500
554
2.85%,
05/13/2026
535
594
2.89%,
02/04/2030
(f)
155
160
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
1.35%
4.11%,
07/24/2034
(f)
145
164
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.00%
4.42%,
07/24/2039
275
340
$
147,654
Beverages
-
0.82%
Anheuser-Busch
Cos
LLC
/
Anheuser-Busch
InBev
Worldwide
Inc
3.65%,
02/01/2026
1,295
1,466
4.70%,
02/01/2036
1,975
2,372
4.90%,
02/01/2046
875
1,081
Anheuser-Busch
InBev
Finance
Inc
4.63%,
02/01/2044
75
89
Anheuser-Busch
InBev
Worldwide
Inc
3.50%,
06/01/2030
130
149
3.75%,
07/15/2042
750
802
4.00%,
04/13/2028
500
580
4.35%,
06/01/2040
130
151
4.38%,
04/15/2038
475
548
4.50%,
06/01/2050
130
157
4.60%,
04/15/2048
35
42
4.75%,
01/23/2029
470
573
4.75%,
04/15/2058
75
93
4.95%,
01/15/2042
25
30
5.45%,
01/23/2039
200
255
5.80%,
01/23/2059
210
300
8.20%,
01/15/2039
60
97
Coca-Cola
Co/The
1.45%,
06/01/2027
140
145
1.65%,
06/01/2030
140
145
1.75%,
09/06/2024
140
147
2.13%,
09/06/2029
180
193
2.50%,
06/01/2040
140
145
2.60%,
06/01/2050
140
142
2.90%,
05/25/2027
500
563
2.95%,
03/25/2025
310
342
3.38%,
03/25/2027
155
179
Constellation
Brands
Inc
3.15%,
08/01/2029
90
98
3.20%,
02/15/2023
1,130
1,199
4.10%,
02/15/2048
300
346
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Beverages
(continued)
Diageo
Capital
PLC
2.13%,
10/24/2024
$
200
$
212
2.13%,
04/29/2032
200
208
2.38%,
10/24/2029
200
214
Diageo
Investment
Corp
2.88%,
05/11/2022
780
813
Fomento
Economico
Mexicano
SAB
de
CV
3.50%,
01/16/2050
160
172
Keurig
Dr
Pepper
Inc
3.13%,
12/15/2023
500
538
4.06%,
05/25/2023
360
393
4.42%,
05/25/2025
75
87
4.99%,
05/25/2038
250
328
Molson
Coors
Beverage
Co
3.00%,
07/15/2026
105
112
4.20%,
07/15/2046
250
260
PepsiCo
Inc
0.75%,
05/01/2023
95
96
1.63%,
05/01/2030
95
98
2.38%,
10/06/2026
590
645
2.63%,
07/29/2029
145
161
2.75%,
03/05/2022
355
368
2.75%,
03/01/2023
75
80
2.85%,
02/24/2026
90
100
2.88%,
10/15/2049
145
155
3.00%,
10/15/2027
610
691
3.38%,
07/29/2049
645
743
3.60%,
08/13/2042
400
492
$
19,395
Biotechnology
-
0.35%
Amgen
Inc
1.90%,
02/21/2025
155
163
2.20%,
02/21/2027
395
419
2.25%,
08/19/2023
60
63
2.45%,
02/21/2030
155
166
2.65%,
05/11/2022
50
52
2.77%,
09/01/2053
(e)
885
872
3.15%,
02/21/2040
155
165
3.38%,
02/21/2050
155
169
3.88%,
11/15/2021
414
428
4.66%,
06/15/2051
390
516
5.15%,
11/15/2041
113
152
Baxalta
Inc
5.25%,
06/23/2045
250
347
Biogen
Inc
2.25%,
05/01/2030
370
380
4.05%,
09/15/2025
160
185
5.20%,
09/15/2045
30
41
Gilead
Sciences
Inc
1.95%,
03/01/2022
300
307
2.95%,
03/01/2027
240
269
3.50%,
02/01/2025
75
84
3.65%,
03/01/2026
75
86
3.70%,
04/01/2024
1,175
1,299
4.15%,
03/01/2047
25
32
4.60%,
09/01/2035
590
785
4.75%,
03/01/2046
425
569
Regeneron
Pharmaceuticals
Inc
1.75%,
09/15/2030
160
157
Royalty
Pharma
PLC
0.75%,
09/02/2023
(e),(h)
155
155
1.75%,
09/02/2027
(e),(h)
155
155
2.20%,
09/02/2030
(e),(h)
155
154
3.30%,
09/02/2040
(e),(h)
155
152
$
8,322
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
82
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Building
Materials
-
0.10%
Carrier
Global
Corp
1.92%,
02/15/2023
(e)
$
155
$
160
2.24%,
02/15/2025
(e)
155
162
2.49%,
02/15/2027
(e)
155
163
2.72%,
02/15/2030
(e)
310
325
3.38%,
04/05/2040
(e)
155
161
3.58%,
04/05/2050
(e)
155
164
Johnson
Controls
International
plc
5.13%,
09/14/2045
47
62
Martin
Marietta
Materials
Inc
2.50%,
03/15/2030
155
162
Masco
Corp
4.45%,
04/01/2025
300
346
Owens
Corning
4.30%,
07/15/2047
300
322
Vulcan
Materials
Co
3.50%,
06/01/2030
295
334
$
2,361
Chemicals
-
0.40%
Air
Products
and
Chemicals
Inc
1.85%,
05/15/2027
80
84
2.80%,
05/15/2050
455
484
Dow
Chemical
Co/The
2.10%,
11/15/2030
160
158
3.50%,
10/01/2024
250
274
3.60%,
11/15/2050
160
163
4.38%,
11/15/2042
610
688
9.40%,
05/15/2039
380
647
DuPont
de
Nemours
Inc
4.21%,
11/15/2023
400
442
4.49%,
11/15/2025
250
291
4.73%,
11/15/2028
500
607
5.32%,
11/15/2038
145
187
5.42%,
11/15/2048
185
253
Eastman
Chemical
Co
4.65%,
10/15/2044
75
89
Ecolab
Inc
1.30%,
01/30/2031
150
147
2.13%,
08/15/2050
150
138
4.80%,
03/24/2030
155
197
5.50%,
12/08/2041
200
289
LYB
International
Finance
BV
4.88%,
03/15/2044
420
502
LYB
International
Finance
II
BV
3.50%,
03/02/2027
300
333
LYB
International
Finance
III
LLC
4.20%,
10/15/2049
160
178
Mosaic
Co/The
4.25%,
11/15/2023
300
326
5.63%,
11/15/2043
25
29
Nutrien
Ltd
1.90%,
05/13/2023
95
98
3.00%,
04/01/2025
150
163
3.63%,
03/15/2024
550
600
5.25%,
01/15/2045
300
377
Praxair
Inc
1.10%,
08/10/2030
160
157
2.20%,
08/15/2022
350
361
Sherwin-Williams
Co/The
2.30%,
05/15/2030
155
161
2.95%,
08/15/2029
300
330
3.30%,
05/15/2050
155
166
3.80%,
08/15/2049
125
144
Westlake
Chemical
Corp
5.00%,
08/15/2046
350
401
$
9,464
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
-
1.66%
BANK
2018-BNK13
4.22%,
08/15/2061
(i)
$
1,250
$
1,484
CFCRE
Commercial
Mortgage
Trust
2017-C8
3.57%,
06/15/2050
1,000
1,108
Citigroup
Commercial
Mortgage
Trust
2013-GC15
4.37%,
09/10/2046
(i)
500
546
Citigroup
Commercial
Mortgage
Trust
2015-GC33
3.52%,
09/10/2058
1,000
1,081
COMM
2012-CCRE2
Mortgage
Trust
3.79%,
08/15/2045
200
207
COMM
2012-CCRE4
Mortgage
Trust
3.25%,
10/15/2045
500
501
COMM
2014-CCRE15
Mortgage
Trust
4.07%,
02/10/2047
(i)
500
548
COMM
2014-CCRE20
Mortgage
Trust
3.59%,
11/10/2047
302
329
COMM
2014-LC15
Mortgage
Trust
4.20%,
04/10/2047
350
380
COMM
2014-UBS3
Mortgage
Trust
3.82%,
06/10/2047
550
598
COMM
2015-DC1
Mortgage
Trust
3.08%,
02/10/2048
500
530
COMM
2015-LC19
Mortgage
Trust
3.18%,
02/10/2048
500
541
COMM
2015-PC1
Mortgage
Trust
3.90%,
07/10/2050
885
983
COMM
2016-CR28
Mortgage
Trust
3.76%,
02/10/2049
2,000
2,248
Fannie
Mae-Aces
2.30%,
09/25/2022
(i)
287
294
2.48%,
04/25/2022
228
232
2.51%,
11/25/2022
(i)
777
799
2.71%,
04/25/2023
(i)
63
65
2.92%,
04/25/2025
(i)
800
864
2.94%,
01/25/2026
(i)
1,601
1,760
3.08%,
12/25/2027
(i)
1,000
1,127
3.22%,
08/25/2024
(i)
839
901
3.48%,
07/25/2028
(i)
1,000
1,146
3.75%,
11/25/2028
(i)
250
295
Freddie
Mac
Multifamily
Structured
Pass
Through
Certificates
2.87%,
12/25/2021
315
321
3.02%,
02/25/2023
40
42
3.06%,
07/25/2023
(i)
150
160
3.17%,
10/25/2024
1,000
1,099
3.21%,
03/25/2025
1,248
1,384
3.24%,
04/25/2027
250
286
3.30%,
04/25/2023
(i)
500
534
3.41%,
12/25/2026
2,000
2,301
3.92%,
09/25/2028
(i)
1,000
1,212
GS
Mortgage
Securities
Trust
2011-GC5
3.71%,
08/10/2044
375
378
GS
Mortgage
Securities
Trust
2013-GCJ14
4.24%,
08/10/2046
50
54
GS
Mortgage
Securities
Trust
2015-GC28
3.40%,
02/10/2048
600
653
GS
Mortgage
Securities
Trust
2016-GS2
3.05%,
05/10/2049
1,000
1,078
JPMBB
Commercial
Mortgage
Securities
Trust
2013-C14
4.41%,
08/15/2046
(i)
500
537
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C18
4.08%,
02/15/2047
50
55
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
83
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C19
3.67%,
04/15/2047
$
500
$
506
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C11
4.30%,
08/15/2046
(i)
1,130
1,213
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C12
4.26%,
10/15/2046
(i)
500
539
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2014-C15
4.05%,
04/15/2047
580
632
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C20
3.25%,
02/15/2048
500
540
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C21
3.15%,
03/15/2048
520
543
Morgan
Stanley
Capital
I
Trust
2017-H1
3.26%,
06/15/2050
2,000
2,208
SG
Commercial
Mortgage
Securities
Trust
2016-C5
3.06%,
10/10/2048
950
1,018
UBS
Commercial
Mortgage
Trust
2012-C1
3.40%,
05/10/2045
64
66
UBS
Commercial
Mortgage
Trust
2018-C12
4.30%,
08/15/2051
2,000
2,375
UBS-Barclays
Commercial
Mortgage
Trust
2012-C3
3.09%,
08/10/2049
49
51
UBS-Barclays
Commercial
Mortgage
Trust
2012-C4
2.85%,
12/10/2045
100
104
WFRBS
Commercial
Mortgage
Trust
2012-C7
2.30%,
06/15/2045
26
26
WFRBS
Commercial
Mortgage
Trust
2013-C14
3.34%,
06/15/2046
500
527
WFRBS
Commercial
Mortgage
Trust
2014-C20
4.00%,
05/15/2047
500
539
$
39,548
Commercial
Services
-
0.24%
California
Institute
of
Technology
4.32%,
08/01/2045
50
65
4.70%,
11/01/2111
250
360
Global
Payments
Inc
2.65%,
02/15/2025
140
150
3.20%,
08/15/2029
140
154
4.15%,
08/15/2049
70
83
4.80%,
04/01/2026
560
660
IHS
Markit
Ltd
3.63%,
05/01/2024
223
241
Massachusetts
Institute
of
Technology
3.89%,
07/01/2116
375
471
3.96%,
07/01/2038
185
232
4.68%,
07/01/2114
100
150
Moody's
Corp
2.55%,
08/18/2060
160
150
4.50%,
09/01/2022
500
536
5.25%,
07/15/2044
90
124
PayPal
Holdings
Inc
1.35%,
06/01/2023
155
159
1.65%,
06/01/2025
155
161
2.20%,
09/26/2022
145
150
2.30%,
06/01/2030
155
165
2.40%,
10/01/2024
145
155
2.85%,
10/01/2029
145
161
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Services
(continued)
S&P
Global
Inc
1.25%,
08/15/2030
$
160
$
158
2.50%,
12/01/2029
55
60
3.25%,
12/01/2049
55
64
4.00%,
06/15/2025
350
400
University
of
Southern
California
2.81%,
10/01/2050
675
724
5.25%,
10/01/2111
20
32
$
5,765
Computers
-
0.78%
Apple
Inc
0.55%,
08/20/2025
210
211
0.75%,
05/11/2023
930
942
1.13%,
05/11/2025
550
564
1.25%,
08/20/2030
210
211
1.65%,
05/11/2030
155
161
2.20%,
09/11/2029
180
194
2.40%,
01/13/2023
75
79
2.40%,
05/03/2023
75
79
2.40%,
08/20/2050
210
209
2.45%,
08/04/2026
750
821
2.50%,
02/09/2022
105
108
2.55%,
08/20/2060
105
104
2.65%,
05/11/2050
155
160
2.90%,
09/12/2027
1,160
1,305
2.95%,
09/11/2049
140
151
3.00%,
11/13/2027
300
340
3.20%,
05/11/2027
110
125
3.25%,
02/23/2026
825
933
3.35%,
02/09/2027
390
447
3.45%,
02/09/2045
375
439
3.75%,
09/12/2047
275
333
3.75%,
11/13/2047
195
237
3.85%,
05/04/2043
550
678
4.38%,
05/13/2045
80
106
4.65%,
02/23/2046
170
234
Dell
International
LLC
/
EMC
Corp
4.00%,
07/15/2024
(e)
300
324
5.30%,
10/01/2029
(e)
300
343
5.45%,
06/15/2023
(e)
105
116
6.02%,
06/15/2026
(e)
300
354
8.10%,
07/15/2036
(e)
370
492
8.35%,
07/15/2046
(e)
245
331
DXC
Technology
Co
4.75%,
04/15/2027
100
111
Hewlett
Packard
Enterprise
Co
1.45%,
04/01/2024
455
460
2.25%,
04/01/2023
140
145
4.45%,
10/02/2023
160
176
4.90%,
10/15/2025
200
231
6.20%,
10/15/2035
75
94
6.35%,
10/15/2045
255
329
HP
Inc
2.20%,
06/17/2025
140
147
3.00%,
06/17/2027
140
152
6.00%,
09/15/2041
355
436
International
Business
Machines
Corp
2.50%,
01/27/2022
500
516
2.85%,
05/13/2022
500
521
3.00%,
05/15/2024
580
631
3.30%,
05/15/2026
500
568
3.45%,
02/19/2026
800
910
3.50%,
05/15/2029
500
580
4.00%,
06/20/2042
400
481
4.15%,
05/15/2039
195
240
4.25%,
05/15/2049
290
368
4.70%,
02/19/2046
145
194
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
84
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Computers
(continued)
NetApp
Inc
2.38%,
06/22/2027
$
155
$
162
$
18,583
Consumer
Products
-
0.05%
Church
&
Dwight
Co
Inc
3.95%,
08/01/2047
200
238
Clorox
Co/The
1.80%,
05/15/2030
155
159
3.80%,
11/15/2021
30
31
Kimberly-Clark
Corp
2.40%,
03/01/2022
30
31
2.75%,
02/15/2026
600
662
2.88%,
02/07/2050
155
169
$
1,290
Cosmetics
&
Personal
Care
-
0.11%
Estee
Lauder
Cos
Inc/The
2.00%,
12/01/2024
235
249
2.38%,
12/01/2029
235
252
Procter
&
Gamble
Co/The
2.45%,
11/03/2026
75
83
2.80%,
03/25/2027
755
846
3.55%,
03/25/2040
155
190
Unilever
Capital
Corp
2.13%,
09/06/2029
800
853
2.60%,
05/05/2024
200
215
$
2,688
Credit
Card
Asset
Backed
Securities
-
0.22%
BA
Credit
Card
Trust
2.70%,
07/17/2023
1,675
1,694
Capital
One
Multi-Asset
Execution
Trust
2.84%,
12/15/2024
1,000
1,037
Citibank
Credit
Card
Issuance
Trust
2.88%,
01/23/2023
605
611
Discover
Card
Execution
Note
Trust
2.39%,
07/15/2024
1,150
1,183
Synchrony
Credit
Card
Master
Note
Trust
2.21%,
05/15/2024
250
253
2.97%,
03/15/2024
445
451
$
5,229
Distribution
&
Wholesale
-
0.01%
WW
Grainger
Inc
4.60%,
06/15/2045
200
259
Diversified
Financial
Services
-
0.93%
AerCap
Ireland
Capital
DAC
/
AerCap
Global
Aviation
Trust
2.88%,
08/14/2024
1,610
1,547
3.95%,
02/01/2022
200
203
Air
Lease
Corp
2.25%,
01/15/2023
195
196
2.30%,
02/01/2025
585
574
3.25%,
10/01/2029
385
374
Ally
Financial
Inc
8.00%,
11/01/2031
520
707
American
Express
Co
2.50%,
08/01/2022
1,075
1,116
2.50%,
07/30/2024
220
235
2.65%,
12/02/2022
75
79
2.75%,
05/20/2022
300
311
4.05%,
12/03/2042
600
759
American
Express
Credit
Corp
2.70%,
03/03/2022
75
78
Ameriprise
Financial
Inc
4.00%,
10/15/2023
775
860
BlackRock
Inc
2.40%,
04/30/2030
325
355
3.38%,
06/01/2022
30
32
Brookfield
Finance
Inc
4.85%,
03/29/2029
500
597
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Diversified
Financial
Services
(continued)
Brookfield
Finance
LLC
3.45%,
04/15/2050
$
155
$
154
Capital
One
Financial
Corp
3.20%,
02/05/2025
60
65
3.30%,
10/30/2024
75
82
3.50%,
06/15/2023
40
43
4.25%,
04/30/2025
1,250
1,428
Charles
Schwab
Corp/The
3.00%,
03/10/2025
300
330
CME
Group
Inc
3.00%,
09/15/2022
50
53
3.00%,
03/15/2025
575
630
Discover
Financial
Services
4.10%,
02/09/2027
75
84
GE
Capital
International
Funding
Co
Unlimited
Co
3.37%,
11/15/2025
1,075
1,141
4.42%,
11/15/2035
1,175
1,214
Intercontinental
Exchange
Inc
0.70%,
06/15/2023
160
161
1.85%,
09/15/2032
120
122
2.10%,
06/15/2030
155
161
2.65%,
09/15/2040
160
163
3.00%,
09/15/2060
160
166
3.75%,
12/01/2025
75
85
4.00%,
10/15/2023
475
524
4.25%,
09/21/2048
105
131
Jefferies
Group
LLC
/
Jefferies
Group
Capital
Finance
Inc
4.15%,
01/23/2030
490
553
Lazard
Group
LLC
4.50%,
09/19/2028
300
347
Legg
Mason
Inc
4.75%,
03/15/2026
500
595
5.63%,
01/15/2044
25
34
Mastercard
Inc
2.00%,
03/03/2025
270
288
2.95%,
11/21/2026
300
339
3.35%,
03/26/2030
75
88
3.38%,
04/01/2024
150
166
3.85%,
03/26/2050
405
510
Nomura
Holdings
Inc
1.85%,
07/16/2025
315
322
2.68%,
07/16/2030
315
328
Private
Export
Funding
Corp
2.80%,
05/15/2022
500
521
Synchrony
Financial
4.25%,
08/15/2024
290
311
4.50%,
07/23/2025
575
626
Visa
Inc
1.10%,
02/15/2031
160
156
1.90%,
04/15/2027
80
85
2.00%,
08/15/2050
160
150
2.05%,
04/15/2030
155
165
2.70%,
04/15/2040
155
167
2.75%,
09/15/2027
95
106
2.80%,
12/14/2022
75
79
3.15%,
12/14/2025
470
528
3.65%,
09/15/2047
500
617
4.15%,
12/14/2035
305
397
$
22,238
Electric
-
2.18%
AEP
Texas
Inc
2.10%,
07/01/2030
160
164
3.45%,
01/15/2050
50
55
3.95%,
06/01/2028
400
465
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
85
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
Alabama
Power
Co
1.45%,
09/15/2030
$
155
$
155
4.30%,
07/15/2048
440
569
Ameren
Illinois
Co
2.70%,
09/01/2022
530
551
3.25%,
03/15/2050
75
86
American
Electric
Power
Co
Inc
2.30%,
03/01/2030
155
159
Arizona
Public
Service
Co
4.35%,
11/15/2045
400
507
Baltimore
Gas
and
Electric
Co
3.20%,
09/15/2049
315
343
Berkshire
Hathaway
Energy
Co
3.75%,
11/15/2023
750
823
3.80%,
07/15/2048
125
149
6.13%,
04/01/2036
450
649
CenterPoint
Energy
Houston
Electric
LLC
4.25%,
02/01/2049
300
389
CenterPoint
Energy
Inc
2.50%,
09/01/2024
60
64
2.95%,
03/01/2030
100
110
3.70%,
09/01/2049
60
68
Commonwealth
Edison
Co
3.00%,
03/01/2050
155
167
4.70%,
01/15/2044
150
200
Connecticut
Light
and
Power
Co/The
3.20%,
03/15/2027
140
157
Consolidated
Edison
Co
of
New
York
Inc
3.70%,
11/15/2059
80
92
3.88%,
06/15/2047
300
347
4.30%,
12/01/2056
445
551
6.75%,
04/01/2038
530
817
Consumers
Energy
Co
2.50%,
05/01/2060
155
151
3.10%,
08/15/2050
205
226
Dominion
Energy
Inc
3.38%,
04/01/2030
155
176
4.05%,
09/15/2042
500
592
Dominion
Energy
South
Carolina
Inc
5.45%,
02/01/2041
540
752
DTE
Electric
Co
2.25%,
03/01/2030
155
166
2.63%,
03/01/2031
155
172
3.70%,
03/15/2045
200
238
3.95%,
03/01/2049
300
378
DTE
Energy
Co
1.05%,
06/01/2025
80
81
2.25%,
11/01/2022
145
150
Duke
Energy
Carolinas
LLC
2.45%,
08/15/2029
175
191
3.20%,
08/15/2049
200
226
4.00%,
09/30/2042
280
345
5.30%,
02/15/2040
250
354
6.00%,
12/01/2028
500
659
Duke
Energy
Corp
2.65%,
09/01/2026
90
98
3.15%,
08/15/2027
90
100
Duke
Energy
Florida
LLC
1.75%,
06/15/2030
155
159
2.50%,
12/01/2029
125
137
3.20%,
01/15/2027
500
565
3.40%,
10/01/2046
200
226
Duke
Energy
Indiana
LLC
2.75%,
04/01/2050
155
161
Duke
Energy
Ohio
Inc
2.13%,
06/01/2030
155
164
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
Duke
Energy
Progress
LLC
2.50%,
08/15/2050
$
160
$
159
3.60%,
09/15/2047
610
719
4.38%,
03/30/2044
400
508
Emera
US
Finance
LP
3.55%,
06/15/2026
300
336
4.75%,
06/15/2046
75
93
Entergy
Corp
0.90%,
09/15/2025
75
75
Entergy
Louisiana
LLC
3.12%,
09/01/2027
300
334
3.25%,
04/01/2028
500
562
Entergy
Texas
Inc
4.00%,
03/30/2029
300
352
Evergy
Inc
2.45%,
09/15/2024
140
149
Evergy
Metro
Inc
2.25%,
06/01/2030
155
165
4.13%,
04/01/2049
400
504
Eversource
Energy
0.80%,
08/15/2025
160
160
1.65%,
08/15/2030
160
160
Exelon
Corp
3.40%,
04/15/2026
1,840
2,077
3.50%,
06/01/2022
90
94
4.95%,
06/15/2035
320
391
Exelon
Generation
Co
LLC
4.25%,
06/15/2022
500
530
FirstEnergy
Corp
3.90%,
07/15/2027
735
807
4.85%,
07/15/2047
475
580
7.38%,
11/15/2031
60
85
Florida
Power
&
Light
Co
2.75%,
06/01/2023
500
526
3.15%,
10/01/2049
180
205
3.70%,
12/01/2047
70
87
4.05%,
10/01/2044
145
183
5.65%,
02/01/2037
250
361
Fortis
Inc/Canada
3.06%,
10/04/2026
310
339
Georgia
Power
Co
2.20%,
09/15/2024
140
148
3.25%,
03/30/2027
750
826
Hydro-Quebec
8.05%,
07/07/2024
530
675
Interstate
Power
and
Light
Co
2.30%,
06/01/2030
40
42
Kentucky
Utilities
Co
3.30%,
06/01/2050
155
171
MidAmerican
Energy
Co
3.15%,
04/15/2050
145
163
3.65%,
04/15/2029
300
358
Mississippi
Power
Co
4.25%,
03/15/2042
30
36
National
Rural
Utilities
Cooperative
Finance
Corp
2.40%,
03/15/2030
(g)
430
470
2.85%,
01/27/2025
100
109
3.05%,
02/15/2022
530
547
Nevada
Power
Co
2.40%,
05/01/2030
445
479
NextEra
Energy
Capital
Holdings
Inc
2.25%,
06/01/2030
250
262
2.40%,
09/01/2021
765
781
2.75%,
11/01/2029
105
115
3.55%,
05/01/2027
475
545
5.65%,
05/01/2079
(f)
350
401
3
Month
USD
LIBOR
+
3.16%
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
86
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
Northern
States
Power
Co/MN
2.60%,
06/01/2051
$
155
$
158
2.90%,
03/01/2050
70
75
5.35%,
11/01/2039
30
44
NSTAR
Electric
Co
2.38%,
10/15/2022
500
518
3.20%,
05/15/2027
300
338
Oncor
Electric
Delivery
Co
LLC
3.10%,
09/15/2049
195
215
5.25%,
09/30/2040
530
742
Pacific
Gas
and
Electric
Co
2.10%,
08/01/2027
1,155
1,121
2.50%,
02/01/2031
310
298
3.30%,
08/01/2040
155
145
3.50%,
08/01/2050
1,155
1,076
PacifiCorp
6.00%,
01/15/2039
500
737
PECO
Energy
Co
2.38%,
09/15/2022
330
342
2.80%,
06/15/2050
110
116
3.70%,
09/15/2047
297
359
4.15%,
10/01/2044
400
504
Potomac
Electric
Power
Co
3.60%,
03/15/2024
30
33
PPL
Capital
Funding
Inc
3.50%,
12/01/2022
700
741
PPL
Electric
Utilities
Corp
3.00%,
10/01/2049
70
75
3.95%,
06/01/2047
300
370
Progress
Energy
Inc
3.15%,
04/01/2022
40
41
PSEG
Power
LLC
8.63%,
04/15/2031
300
443
Public
Service
Co
of
Colorado
2.70%,
01/15/2051
95
98
3.70%,
06/15/2028
200
234
3.80%,
06/15/2047
400
492
Public
Service
Electric
and
Gas
Co
2.05%,
08/01/2050
160
147
2.45%,
01/15/2030
155
169
3.15%,
01/01/2050
155
177
3.25%,
09/01/2023
200
216
3.65%,
09/01/2028
200
235
Public
Service
Enterprise
Group
Inc
0.80%,
08/15/2025
320
320
Puget
Energy
Inc
6.00%,
09/01/2021
500
526
Puget
Sound
Energy
Inc
3.25%,
09/15/2049
350
393
San
Diego
Gas
&
Electric
Co
3.32%,
04/15/2050
155
173
4.50%,
08/15/2040
350
438
Sempra
Energy
4.00%,
02/01/2048
70
82
6.00%,
10/15/2039
394
555
Southern
California
Edison
Co
2.25%,
06/01/2030
155
157
2.85%,
08/01/2029
100
106
3.65%,
02/01/2050
310
329
4.00%,
04/01/2047
70
77
4.65%,
10/01/2043
415
483
5.50%,
03/15/2040
350
446
5.95%,
02/01/2038
30
39
Southern
Co/The
2.95%,
07/01/2023
105
112
4.40%,
07/01/2046
400
481
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
Southern
Power
Co
2.50%,
12/15/2021
$
300
$
308
4.95%,
12/15/2046
300
345
Southwestern
Electric
Power
Co
3.85%,
02/01/2048
300
338
4.10%,
09/15/2028
500
584
6.20%,
03/15/2040
390
538
Southwestern
Public
Service
Co
4.50%,
08/15/2041
300
381
Tampa
Electric
Co
4.45%,
06/15/2049
300
392
Tucson
Electric
Power
Co
1.50%,
08/01/2030
105
104
Union
Electric
Co
3.65%,
04/15/2045
500
588
Virginia
Electric
and
Power
Co
3.15%,
01/15/2026
775
864
3.30%,
12/01/2049
(g)
560
655
WEC
Energy
Group
Inc
3.55%,
06/15/2025
70
79
Wisconsin
Electric
Power
Co
2.05%,
12/15/2024
500
530
Xcel
Energy
Inc
2.60%,
12/01/2029
140
151
4.00%,
06/15/2028
300
353
$
51,959
Electronics
-
0.12%
Agilent
Technologies
Inc
2.10%,
06/04/2030
155
159
Arrow
Electronics
Inc
4.50%,
03/01/2023
30
32
Fortive
Corp
3.15%,
06/15/2026
300
332
Honeywell
International
Inc
1.35%,
06/01/2025
80
82
1.95%,
06/01/2030
315
332
2.15%,
08/08/2022
70
72
2.30%,
08/15/2024
595
636
2.70%,
08/15/2029
70
79
2.80%,
06/01/2050
155
168
Roper
Technologies
Inc
1.00%,
09/15/2025
(h)
75
76
1.40%,
09/15/2027
(h)
160
162
2.35%,
09/15/2024
90
95
2.95%,
09/15/2029
600
659
Tyco
Electronics
Group
SA
7.13%,
10/01/2037
37
55
$
2,939
Environmental
Control
-
0.11%
Republic
Services
Inc
2.30%,
03/01/2030
85
90
2.50%,
08/15/2024
515
550
2.90%,
07/01/2026
535
593
Waste
Management
Inc
3.50%,
05/15/2024
1,000
1,095
4.15%,
07/15/2049
155
195
$
2,523
Finance
-
Mortgage
Loan/Banker
-
1.00%
Fannie
Mae
0.50%,
06/17/2025
1,060
1,063
0.88%,
08/05/2030
480
472
1.38%,
09/06/2022
300
307
2.00%,
01/05/2022
500
513
2.13%,
04/24/2026
2,000
2,185
2.25%,
04/12/2022
500
517
2.50%,
02/05/2024
500
539
2.63%,
01/11/2022
500
517
2.63%,
09/06/2024
1,550
1,695
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
87
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Finance
-
Mortgage
Loan/Banker
(continued)
Fannie
Mae
(continued)
5.63%,
07/15/2037
$
65
$
103
6.63%,
11/15/2030
500
769
7.13%,
01/15/2030
250
386
7.25%,
05/15/2030
249
392
Federal
Home
Loan
Banks
1.88%,
11/29/2021
1,250
1,277
2.50%,
02/13/2024
2,400
2,586
3.00%,
10/12/2021
1,500
1,548
3.25%,
11/16/2028
1,600
1,910
5.50%,
07/15/2036
530
828
Freddie
Mac
0.25%,
06/26/2023
2,615
2,615
0.25%,
08/24/2023
310
310
2.38%,
01/13/2022
1,250
1,288
2.75%,
06/19/2023
1,000
1,070
6.25%,
07/15/2032
500
782
6.75%,
03/15/2031
43
67
$
23,739
Food
-
0.38%
Campbell
Soup
Co
3.95%,
03/15/2025
565
637
4.15%,
03/15/2028
185
216
Conagra
Brands
Inc
4.30%,
05/01/2024
500
560
4.85%,
11/01/2028
140
171
5.30%,
11/01/2038
85
110
5.40%,
11/01/2048
85
117
General
Mills
Inc
3.15%,
12/15/2021
30
31
3.70%,
10/17/2023
475
520
4.00%,
04/17/2025
75
85
4.20%,
04/17/2028
450
534
Hershey
Co/The
1.70%,
06/01/2030
155
160
2.65%,
06/01/2050
185
192
J
M
Smucker
Co/The
3.00%,
03/15/2022
300
311
4.25%,
03/15/2035
300
360
Kellogg
Co
2.10%,
06/01/2030
155
159
2.65%,
12/01/2023
384
408
Koninklijke
Ahold
Delhaize
NV
5.70%,
10/01/2040
9
13
Kroger
Co/The
2.95%,
11/01/2021
500
514
3.95%,
01/15/2050
420
490
4.45%,
02/01/2047
25
31
5.15%,
08/01/2043
300
389
5.40%,
07/15/2040
30
39
Mondelez
International
Inc
0.63%,
07/01/2022
160
161
2.13%,
04/13/2023
230
239
2.75%,
04/13/2030
185
203
Sysco
Corp
2.40%,
02/15/2030
285
284
3.30%,
07/15/2026
500
543
4.85%,
10/01/2045
250
278
Tyson
Foods
Inc
3.55%,
06/02/2027
75
85
4.35%,
03/01/2029
675
815
4.88%,
08/15/2034
350
459
$
9,114
Forest
Products
&
Paper
-
0.10%
Fibria
Overseas
Finance
Ltd
5.50%,
01/17/2027
300
334
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Forest
Products
&
Paper
(continued)
Georgia-Pacific
LLC
7.75%,
11/15/2029
$
20
$
30
8.00%,
01/15/2024
400
499
International
Paper
Co
3.65%,
06/15/2024
250
276
4.40%,
08/15/2047
350
423
7.30%,
11/15/2039
326
475
Suzano
Austria
GmbH
5.00%,
01/15/2030
350
373
$
2,410
Gas
-
0.13%
Atmos
Energy
Corp
3.38%,
09/15/2049
145
166
4.13%,
10/15/2044
250
311
Dominion
Energy
Gas
Holdings
LLC
2.50%,
11/15/2024
150
161
4.60%,
12/15/2044
200
250
NiSource
Inc
0.95%,
08/15/2025
320
321
3.60%,
05/01/2030
160
185
4.38%,
05/15/2047
630
786
Southern
California
Gas
Co
2.55%,
02/01/2030
155
169
Southern
Co
Gas
Capital
Corp
1.75%,
01/15/2031
160
159
Washington
Gas
Light
Co
3.80%,
09/15/2046
500
554
$
3,062
Hand
&
Machine
Tools
-
0.04%
Snap-on
Inc
3.25%,
03/01/2027
500
554
Stanley
Black
&
Decker
Inc
2.30%,
03/15/2030
155
164
3.40%,
12/01/2021
250
258
$
976
Healthcare
-
Products
-
0.34%
Abbott
Laboratories
1.15%,
01/30/2028
250
253
1.40%,
06/30/2030
330
335
2.95%,
03/15/2025
300
329
4.75%,
04/15/2043
300
415
4.90%,
11/30/2046
400
574
Baxter
International
Inc
2.60%,
08/15/2026
400
439
Boston
Scientific
Corp
1.90%,
06/01/2025
155
162
2.65%,
06/01/2030
755
805
Danaher
Corp
4.38%,
09/15/2045
300
390
DH
Europe
Finance
II
Sarl
2.05%,
11/15/2022
150
155
2.60%,
11/15/2029
150
163
3.25%,
11/15/2039
150
169
Koninklijke
Philips
NV
5.00%,
03/15/2042
30
39
Medtronic
Inc
3.50%,
03/15/2025
394
444
4.38%,
03/15/2035
222
293
4.63%,
03/15/2045
86
119
Stryker
Corp
3.38%,
11/01/2025
75
84
3.50%,
03/15/2026
575
652
4.38%,
05/15/2044
25
31
Thermo
Fisher
Scientific
Inc
2.60%,
10/01/2029
145
157
2.95%,
09/19/2026
300
336
4.13%,
03/25/2025
155
178
4.15%,
02/01/2024
600
665
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
88
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Products
(continued)
Zimmer
Biomet
Holdings
Inc
3.15%,
04/01/2022
$
275
$
285
3.55%,
04/01/2025
575
639
$
8,111
Healthcare
-
Services
-
0.66%
Advocate
Health
&
Hospitals
Corp
3.83%,
08/15/2028
300
349
Aetna
Inc
2.75%,
11/15/2022
250
261
2.80%,
06/15/2023
50
53
3.88%,
08/15/2047
60
70
6.63%,
06/15/2036
253
365
6.75%,
12/15/2037
205
296
AHS
Hospital
Corp
5.02%,
07/01/2045
400
551
Anthem
Inc
2.88%,
09/15/2029
220
240
3.13%,
05/15/2050
75
79
3.50%,
08/15/2024
450
496
3.65%,
12/01/2027
360
413
4.10%,
03/01/2028
255
299
4.38%,
12/01/2047
300
378
4.65%,
01/15/2043
30
38
4.65%,
08/15/2044
500
638
Baylor
Scott
&
White
Holdings
4.19%,
11/15/2045
125
156
Duke
University
Health
System
Inc
3.92%,
06/01/2047
300
385
HCA
Inc
4.75%,
05/01/2023
500
550
5.25%,
06/15/2026
970
1,145
Humana
Inc
3.13%,
08/15/2029
70
77
4.50%,
04/01/2025
155
179
4.63%,
12/01/2042
500
636
Kaiser
Foundation
Hospitals
3.27%,
11/01/2049
225
252
Laboratory
Corp
of
America
Holdings
2.30%,
12/01/2024
300
319
2.95%,
12/01/2029
300
328
4.70%,
02/01/2045
250
320
Memorial
Sloan-Kettering
Cancer
Center
4.13%,
07/01/2052
150
200
4.20%,
07/01/2055
250
341
Northwell
Healthcare
Inc
3.98%,
11/01/2046
500
560
Partners
Healthcare
System
Inc
3.19%,
07/01/2049
310
335
Providence
St
Joseph
Health
Obligated
Group
3.74%,
10/01/2047
250
289
Quest
Diagnostics
Inc
2.95%,
06/30/2030
155
169
Trinity
Health
Corp
4.13%,
12/01/2045
250
297
UnitedHealth
Group
Inc
1.25%,
01/15/2026
155
159
2.00%,
05/15/2030
155
163
2.38%,
08/15/2024
250
268
2.75%,
05/15/2040
155
164
2.88%,
03/15/2023
250
266
2.88%,
08/15/2029
150
168
2.90%,
05/15/2050
155
165
3.10%,
03/15/2026
250
281
3.50%,
08/15/2039
375
436
3.70%,
08/15/2049
300
364
3.75%,
07/15/2025
440
504
4.25%,
06/15/2048
110
142
4.45%,
12/15/2048
95
127
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Services
(continued)
UnitedHealth
Group
Inc
(continued)
4.75%,
07/15/2045
$
500
$
682
6.50%,
06/15/2037
500
773
$
15,726
Home
Furnishings
-
0.01%
Leggett
&
Platt
Inc
4.40%,
03/15/2029
250
275
Insurance
-
0.83%
Aflac
Inc
3.63%,
11/15/2024
300
339
Alleghany
Corp
4.90%,
09/15/2044
325
406
Allstate
Corp/The
3.28%,
12/15/2026
335
387
5.35%,
06/01/2033
350
483
American
International
Group
Inc
3.75%,
07/10/2025
75
84
3.90%,
04/01/2026
500
572
4.20%,
04/01/2028
485
566
4.25%,
03/15/2029
300
352
4.38%,
01/15/2055
300
352
4.50%,
07/16/2044
75
88
4.88%,
06/01/2022
955
1,028
5.75%,
04/01/2048
(f)
400
441
3
Month
USD
LIBOR
+
2.87%
Aon
Corp
2.20%,
11/15/2022
60
62
2.80%,
05/15/2030
155
168
Aon
PLC
3.50%,
06/14/2024
250
275
4.75%,
05/15/2045
270
356
Athene
Holding
Ltd
4.13%,
01/12/2028
575
629
AXA
SA
8.60%,
12/15/2030
30
45
Berkshire
Hathaway
Finance
Corp
1.85%,
03/12/2030
80
83
4.20%,
08/15/2048
180
232
5.75%,
01/15/2040
25
38
Berkshire
Hathaway
Inc
2.75%,
03/15/2023
60
63
3.13%,
03/15/2026
275
308
4.50%,
02/11/2043
350
475
Brown
&
Brown
Inc
4.50%,
03/15/2029
300
334
Chubb
Corp/The
6.50%,
05/15/2038
326
509
Chubb
INA
Holdings
Inc
2.70%,
03/13/2023
300
316
CNA
Financial
Corp
2.05%,
08/15/2030
160
160
Equitable
Holdings
Inc
4.35%,
04/20/2028
140
160
5.00%,
04/20/2048
90
107
First
American
Financial
Corp
4.60%,
11/15/2024
300
323
Hartford
Financial
Services
Group
Inc/The
3.60%,
08/19/2049
340
382
Lincoln
National
Corp
3.40%,
01/15/2031
450
502
Manulife
Financial
Corp
4.15%,
03/04/2026
300
355
Marsh
&
McLennan
Cos
Inc
4.38%,
03/15/2029
1,275
1,553
4.90%,
03/15/2049
110
155
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
89
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
MetLife
Inc
3.60%,
11/13/2025
$
400
$
456
4.05%,
03/01/2045
450
550
4.13%,
08/13/2042
250
309
4.60%,
05/13/2046
195
257
4.88%,
11/13/2043
50
68
6.40%,
12/15/2066
430
542
3
Month
USD
LIBOR
+
2.21%
Progressive
Corp/The
3.20%,
03/26/2030
155
179
4.20%,
03/15/2048
400
529
4.35%,
04/25/2044
30
39
Prudential
Financial
Inc
2.10%,
03/10/2030
(g)
155
164
3.70%,
10/01/2050
(f)
160
165
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.04%
3.70%,
03/13/2051
185
209
3.91%,
12/07/2047
570
648
4.35%,
02/25/2050
565
687
5.20%,
03/15/2044
(f)
400
424
3
Month
USD
LIBOR
+
3.04%
5.70%,
12/14/2036
280
400
Reinsurance
Group
of
America
Inc
4.70%,
09/15/2023
30
33
Travelers
Cos
Inc/The
4.00%,
05/30/2047
560
699
Voya
Financial
Inc
3.65%,
06/15/2026
335
379
Willis
North
America
Inc
2.95%,
09/15/2029
50
54
3.88%,
09/15/2049
140
162
$
19,641
Internet
-
0.39%
Alibaba
Group
Holding
Ltd
3.40%,
12/06/2027
260
295
3.60%,
11/28/2024
1,325
1,465
4.40%,
12/06/2057
240
329
Alphabet
Inc
0.80%,
08/15/2027
320
320
1.10%,
08/15/2030
160
160
1.90%,
08/15/2040
160
156
2.05%,
08/15/2050
510
486
2.25%,
08/15/2060
160
153
Amazon.com
Inc
1.20%,
06/03/2027
285
291
1.50%,
06/03/2030
285
291
2.50%,
11/29/2022
75
78
2.50%,
06/03/2050
285
289
2.80%,
08/22/2024
75
82
3.15%,
08/22/2027
485
555
3.80%,
12/05/2024
75
85
3.88%,
08/22/2037
1,005
1,257
4.05%,
08/22/2047
500
650
4.25%,
08/22/2057
75
102
4.80%,
12/05/2034
350
484
Baidu
Inc
3.08%,
04/07/2025
200
214
4.13%,
06/30/2025
650
724
eBay
Inc
1.90%,
03/11/2025
155
163
2.60%,
07/15/2022
450
465
3.45%,
08/01/2024
60
66
4.00%,
07/15/2042
20
22
$
9,182
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Iron
&
Steel
-
0.07%
Nucor
Corp
2.00%,
06/01/2025
$
155
$
163
4.00%,
08/01/2023
250
272
Steel
Dynamics
Inc
2.40%,
06/15/2025
40
42
2.80%,
12/15/2024
75
79
Vale
Overseas
Ltd
6.25%,
08/10/2026
200
238
6.88%,
11/10/2039
550
742
$
1,536
Leisure
Products
&
Services
-
0.01%
Harley-Davidson
Inc
3.50%,
07/28/2025
300
322
Lodging
-
0.07%
Las
Vegas
Sands
Corp
3.20%,
08/08/2024
140
142
3.50%,
08/18/2026
70
71
3.90%,
08/08/2029
140
141
Sands
China
Ltd
5.13%,
08/08/2025
1,185
1,312
$
1,666
Machinery
-
Construction
&
Mining
-
0.11%
Caterpillar
Financial
Services
Corp
0.65%,
07/07/2023
160
161
1.90%,
09/06/2022
360
371
1.93%,
10/01/2021
500
509
1.95%,
11/18/2022
580
600
Caterpillar
Inc
2.60%,
04/09/2030
160
176
3.25%,
09/19/2049
145
163
3.40%,
05/15/2024
500
549
3.80%,
08/15/2042
50
62
$
2,591
Machinery
-
Diversified
-
0.18%
Deere
&
Co
2.88%,
09/07/2049
140
152
3.10%,
04/15/2030
155
177
3.90%,
06/09/2042
500
640
Dover
Corp
5.38%,
03/01/2041
30
39
John
Deere
Capital
Corp
0.70%,
07/05/2023
155
156
1.20%,
04/06/2023
115
118
1.95%,
06/13/2022
865
891
2.05%,
01/09/2025
(g)
155
164
2.80%,
03/06/2023
500
531
2.80%,
07/18/2029
255
286
3.35%,
06/12/2024
300
332
Otis
Worldwide
Corp
2.06%,
04/05/2025
(e)
155
164
2.57%,
02/15/2030
(e)
155
166
3.36%,
02/15/2050
(e)
155
170
Westinghouse
Air
Brake
Technologies
Corp
4.95%,
09/15/2028
300
345
$
4,331
Media
-
1.08%
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
2.80%,
04/01/2031
110
116
3.70%,
04/01/2051
110
110
4.46%,
07/23/2022
1,075
1,146
4.80%,
03/01/2050
260
297
4.91%,
07/23/2025
70
81
5.38%,
04/01/2038
50
61
5.38%,
05/01/2047
575
688
5.75%,
04/01/2048
280
351
6.38%,
10/23/2035
805
1,115
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
90
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
(continued)
Comcast
Cable
Communications
Holdings
Inc
9.46%,
11/15/2022
$
20
$
24
Comcast
Corp
1.50%,
02/15/2031
160
159
2.35%,
01/15/2027
155
167
2.45%,
08/15/2052
160
153
2.65%,
02/01/2030
115
126
2.65%,
08/15/2062
160
155
2.75%,
03/01/2023
50
53
2.85%,
01/15/2023
25
27
3.10%,
04/01/2025
155
172
3.13%,
07/15/2022
610
641
3.15%,
03/01/2026
75
84
3.15%,
02/15/2028
365
414
3.25%,
11/01/2039
230
255
3.38%,
02/15/2025
635
708
3.38%,
08/15/2025
300
336
3.45%,
02/01/2050
470
530
3.55%,
05/01/2028
225
261
3.75%,
04/01/2040
455
539
3.90%,
03/01/2038
290
347
3.97%,
11/01/2047
105
126
4.00%,
03/01/2048
200
242
4.00%,
11/01/2049
205
249
4.05%,
11/01/2052
90
110
4.15%,
10/15/2028
545
661
4.50%,
01/15/2043
25
32
4.60%,
08/15/2045
270
350
4.65%,
07/15/2042
75
97
4.70%,
10/15/2048
570
767
5.65%,
06/15/2035
500
713
6.40%,
03/01/2040
500
768
6.45%,
03/15/2037
620
935
Discovery
Communications
LLC
2.95%,
03/20/2023
40
42
3.63%,
05/15/2030
60
66
3.95%,
06/15/2025
350
395
3.95%,
03/20/2028
500
566
5.00%,
09/20/2037
30
35
5.20%,
09/20/2047
385
462
6.35%,
06/01/2040
40
54
Fox
Corp
3.05%,
04/07/2025
40
44
4.03%,
01/25/2024
300
331
4.71%,
01/25/2029
435
523
5.48%,
01/25/2039
110
146
5.58%,
01/25/2049
140
192
Grupo
Televisa
SAB
5.00%,
05/13/2045
300
339
NBCUniversal
Media
LLC
2.88%,
01/15/2023
10
11
Thomson
Reuters
Corp
3.35%,
05/15/2026
400
445
5.85%,
04/15/2040
30
40
Time
Warner
Cable
LLC
4.00%,
09/01/2021
55
56
4.50%,
09/15/2042
665
745
5.88%,
11/15/2040
400
509
6.55%,
05/01/2037
50
67
7.30%,
07/01/2038
60
86
Time
Warner
Entertainment
Co
LP
8.38%,
07/15/2033
20
31
TWDC
Enterprises
18
Corp
7.00%,
03/01/2032
30
45
ViacomCBS
Inc
4.20%,
06/01/2029
300
345
4.20%,
05/19/2032
505
575
4.38%,
03/15/2043
400
426
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
(continued)
ViacomCBS
Inc
(continued)
4.85%,
07/01/2042
$
300
$
336
7.88%,
07/30/2030
30
43
Walt
Disney
Co/The
1.75%,
01/13/2026
440
459
2.00%,
09/01/2029
250
260
2.20%,
01/13/2028
155
164
2.65%,
01/13/2031
300
325
2.75%,
09/01/2049
285
281
3.35%,
03/24/2025
380
423
3.38%,
11/15/2026
170
193
3.50%,
05/13/2040
155
174
3.60%,
01/13/2051
155
177
3.70%,
03/23/2027
380
440
4.63%,
03/23/2040
760
966
4.75%,
11/15/2046
390
500
6.40%,
12/15/2035
179
270
$
25,753
Metal
Fabrication
&
Hardware
-
0.01%
Precision
Castparts
Corp
3.25%,
06/15/2025
75
84
3.90%,
01/15/2043
193
223
$
307
Mining
-
0.16%
Barrick
North
America
Finance
LLC
5.75%,
05/01/2043
280
409
BHP
Billiton
Finance
USA
Ltd
4.13%,
02/24/2042
170
215
5.00%,
09/30/2043
525
746
Newmont
Corp
2.25%,
10/01/2030
410
428
3.70%,
03/15/2023
66
70
6.25%,
10/01/2039
100
147
Rio
Tinto
Alcan
Inc
5.75%,
06/01/2035
400
577
6.13%,
12/15/2033
30
44
Rio
Tinto
Finance
USA
Ltd
3.75%,
06/15/2025
75
85
Southern
Copper
Corp
3.88%,
04/23/2025
500
551
5.88%,
04/23/2045
350
486
Teck
Resources
Ltd
3.90%,
07/15/2030
(e)
115
118
$
3,876
Miscellaneous
Manufacturers
-
0.32%
3M
Co
1.75%,
02/14/2023
585
604
2.00%,
02/14/2025
340
360
2.38%,
08/26/2029
990
1,069
3.25%,
08/26/2049
100
114
Eaton
Corp
2.75%,
11/02/2022
520
546
4.15%,
11/02/2042
95
119
General
Electric
Co
3.10%,
01/09/2023
75
79
3.15%,
09/07/2022
500
525
3.45%,
05/01/2027
80
85
3.63%,
05/01/2030
140
144
4.13%,
10/09/2042
3
3
4.25%,
05/01/2040
80
81
4.35%,
05/01/2050
225
228
5.88%,
01/14/2038
420
485
6.15%,
08/07/2037
435
516
6.75%,
03/15/2032
310
388
Illinois
Tool
Works
Inc
2.65%,
11/15/2026
90
100
3.50%,
03/01/2024
540
593
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
91
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Miscellaneous
Manufacturers
(continued)
Parker-Hannifin
Corp
3.30%,
11/21/2024
$
300
$
330
3.50%,
09/15/2022
30
32
4.10%,
03/01/2047
335
406
Textron
Inc
4.00%,
03/15/2026
500
551
Trane
Technologies
Luxembourg
Finance
SA
3.50%,
03/21/2026
250
281
$
7,639
Oil
&
Gas
-
1.42%
BP
Capital
Markets
America
Inc
1.75%,
08/10/2030
205
204
2.77%,
11/10/2050
365
345
2.94%,
04/06/2023
130
138
3.00%,
02/24/2050
155
153
3.12%,
05/04/2026
110
122
3.19%,
04/06/2025
215
237
3.25%,
05/06/2022
640
672
3.54%,
04/06/2027
215
242
3.59%,
04/14/2027
200
225
3.79%,
02/06/2024
435
478
BP
Capital
Markets
PLC
2.50%,
11/06/2022
75
78
3.28%,
09/19/2027
115
128
3.51%,
03/17/2025
75
84
3.72%,
11/28/2028
380
438
Canadian
Natural
Resources
Ltd
3.80%,
04/15/2024
470
507
6.25%,
03/15/2038
400
502
Chevron
Corp
1.14%,
05/11/2023
535
546
1.55%,
05/11/2025
535
557
2.00%,
05/11/2027
155
164
2.24%,
05/11/2030
155
166
2.98%,
05/11/2040
40
43
3.08%,
05/11/2050
155
168
3.33%,
11/17/2025
165
187
Chevron
USA
Inc
0.43%,
08/11/2023
240
240
0.69%,
08/12/2025
320
321
1.02%,
08/12/2027
160
160
2.34%,
08/12/2050
160
153
CNOOC
Finance
2013
Ltd
2.88%,
09/30/2029
200
215
CNOOC
Finance
2014
ULC
4.25%,
04/30/2024
500
554
CNOOC
Petroleum
North
America
ULC
6.40%,
05/15/2037
730
1,066
7.50%,
07/30/2039
39
65
Concho
Resources
Inc
4.88%,
10/01/2047
175
203
ConocoPhillips
6.50%,
02/01/2039
490
742
ConocoPhillips
Co
4.95%,
03/15/2026
500
603
6.95%,
04/15/2029
400
559
Devon
Energy
Corp
5.00%,
06/15/2045
75
75
5.60%,
07/15/2041
570
603
Diamondback
Energy
Inc
2.88%,
12/01/2024
150
155
3.25%,
12/01/2026
150
154
Ecopetrol
SA
5.88%,
09/18/2023
390
433
5.88%,
05/28/2045
550
624
EOG
Resources
Inc
2.63%,
03/15/2023
480
505
4.15%,
01/15/2026
500
579
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Oil
&
Gas
(continued)
Equinor
ASA
1.75%,
01/22/2026
$
155
$
162
2.88%,
04/06/2025
155
170
3.00%,
04/06/2027
155
172
3.15%,
01/23/2022
1,800
1,870
3.25%,
11/18/2049
390
420
3.63%,
04/06/2040
155
179
Exxon
Mobil
Corp
1.57%,
04/15/2023
235
242
1.90%,
08/16/2022
400
413
2.02%,
08/16/2024
200
212
2.28%,
08/16/2026
400
435
2.61%,
10/15/2030
665
723
2.99%,
03/19/2025
315
347
3.00%,
08/16/2039
150
161
3.10%,
08/16/2049
450
472
3.45%,
04/15/2051
505
566
4.23%,
03/19/2040
315
390
Hess
Corp
4.30%,
04/01/2027
300
320
7.13%,
03/15/2033
21
27
7.30%,
08/15/2031
349
430
HollyFrontier
Corp
5.88%,
04/01/2026
500
550
Husky
Energy
Inc
4.00%,
04/15/2024
500
528
Marathon
Oil
Corp
2.80%,
11/01/2022
75
77
3.85%,
06/01/2025
500
519
4.40%,
07/15/2027
300
308
Marathon
Petroleum
Corp
3.63%,
09/15/2024
145
156
5.00%,
09/15/2054
200
223
Newfield
Exploration
Co
5.63%,
07/01/2024
300
305
Noble
Energy
Inc
3.25%,
10/15/2029
290
323
4.20%,
10/15/2049
570
694
Phillips
66
2.15%,
12/15/2030
110
108
3.85%,
04/09/2025
95
106
4.30%,
04/01/2022
75
79
4.88%,
11/15/2044
400
487
5.88%,
05/01/2042
30
41
Pioneer
Natural
Resources
Co
1.90%,
08/15/2030
160
156
Shell
International
Finance
BV
2.00%,
11/07/2024
150
159
2.38%,
04/06/2025
105
113
2.38%,
11/07/2029
150
160
2.75%,
04/06/2030
105
116
2.88%,
05/10/2026
155
173
3.13%,
11/07/2049
150
158
3.25%,
05/11/2025
355
397
3.25%,
04/06/2050
105
113
3.50%,
11/13/2023
235
257
3.88%,
11/13/2028
235
277
4.13%,
05/11/2035
335
414
4.38%,
05/11/2045
575
715
6.38%,
12/15/2038
410
614
Suncor
Energy
Inc
2.80%,
05/15/2023
155
163
4.00%,
11/15/2047
450
488
6.80%,
05/15/2038
364
496
6.85%,
06/01/2039
73
99
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
92
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Oil
&
Gas
(continued)
Total
Capital
International
SA
2.83%,
01/10/2030
$
130
$
145
2.99%,
06/29/2041
115
120
3.13%,
05/29/2050
155
163
3.39%,
06/29/2060
115
126
3.46%,
02/19/2029
500
577
3.46%,
07/12/2049
75
84
Valero
Energy
Corp
4.00%,
04/01/2029
585
659
6.63%,
06/15/2037
60
81
7.50%,
04/15/2032
60
86
$
33,717
Oil
&
Gas
Services
-
0.10%
Baker
Hughes
a
GE
Co
LLC
/
Baker
Hughes
Co-
Obligor
Inc
2.77%,
12/15/2022
75
79
3.14%,
11/07/2029
150
161
3.34%,
12/15/2027
135
147
Halliburton
Co
3.25%,
11/15/2021
530
543
3.80%,
11/15/2025
14
15
4.85%,
11/15/2035
400
446
5.00%,
11/15/2045
230
253
7.45%,
09/15/2039
26
35
National
Oilwell
Varco
Inc
3.60%,
12/01/2029
150
148
3.95%,
12/01/2042
400
359
Schlumberger
Investment
SA
2.65%,
06/26/2030
160
164
3.65%,
12/01/2023
75
81
$
2,431
Packaging
&
Containers
-
0.05%
Packaging
Corp
of
America
3.00%,
12/15/2029
300
329
4.05%,
12/15/2049
150
180
WRKCo
Inc
3.00%,
06/15/2033
80
87
4.90%,
03/15/2029
400
493
$
1,089
Pharmaceuticals
-
1.93%
AbbVie
Inc
2.15%,
11/19/2021
(e)
300
306
2.30%,
11/21/2022
(e)
300
312
2.60%,
11/21/2024
(e)
445
476
2.85%,
05/14/2023
40
42
2.90%,
11/06/2022
550
578
2.95%,
11/21/2026
(e)
300
330
3.20%,
05/14/2026
390
434
3.20%,
11/21/2029
(e)
745
825
3.60%,
05/14/2025
170
190
3.80%,
03/15/2025
(e)
395
442
3.85%,
06/15/2024
(e)
90
99
4.05%,
11/21/2039
(e)
375
439
4.25%,
11/14/2028
140
167
4.25%,
11/21/2049
(e)
595
718
4.30%,
05/14/2036
280
334
4.40%,
11/06/2042
25
30
4.45%,
05/14/2046
270
327
4.50%,
05/14/2035
245
303
4.55%,
03/15/2035
(e)
170
213
4.70%,
05/14/2045
320
400
4.75%,
03/15/2045
(e)
300
371
4.85%,
06/15/2044
(e)
30
38
4.88%,
11/14/2048
170
220
AmerisourceBergen
Corp
3.40%,
05/15/2024
30
33
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
(continued)
AstraZeneca
PLC
0.70%,
04/08/2026
$
120
$
119
1.38%,
08/06/2030
160
157
2.13%,
08/06/2050
80
75
2.38%,
06/12/2022
830
859
3.38%,
11/16/2025
180
203
4.00%,
01/17/2029
400
477
4.00%,
09/18/2042
300
371
4.38%,
08/17/2048
60
81
6.45%,
09/15/2037
30
46
Becton
Dickinson
and
Co
2.82%,
05/20/2030
155
168
3.73%,
12/15/2024
731
812
4.67%,
06/06/2047
155
196
4.69%,
12/15/2044
59
75
Bristol-Myers
Squibb
Co
2.90%,
07/26/2024
520
567
3.25%,
02/20/2023
85
91
3.25%,
08/01/2042
515
603
3.40%,
07/26/2029
455
532
3.45%,
11/15/2027
90
104
3.88%,
08/15/2025
790
909
3.90%,
02/20/2028
130
152
4.13%,
06/15/2039
195
250
4.25%,
10/26/2049
360
479
4.35%,
11/15/2047
210
280
4.55%,
02/20/2048
220
304
5.00%,
08/15/2045
305
435
Cardinal
Health
Inc
3.41%,
06/15/2027
400
448
4.60%,
03/15/2043
430
478
Cigna
Corp
2.40%,
03/15/2030
155
163
3.20%,
03/15/2040
155
165
3.40%,
09/17/2021
100
103
3.75%,
07/15/2023
403
439
3.88%,
10/15/2047
185
211
4.13%,
11/15/2025
170
197
4.38%,
10/15/2028
300
359
4.80%,
08/15/2038
170
215
4.80%,
07/15/2046
500
648
4.90%,
12/15/2048
645
864
CVS
Health
Corp
1.30%,
08/21/2027
160
159
1.75%,
08/21/2030
160
158
2.63%,
08/15/2024
140
150
2.70%,
08/21/2040
160
156
2.75%,
12/01/2022
750
785
2.88%,
06/01/2026
1,560
1,699
3.00%,
08/15/2026
105
115
3.25%,
08/15/2029
140
155
3.50%,
07/20/2022
860
906
3.70%,
03/09/2023
229
247
3.88%,
07/20/2025
60
68
4.10%,
03/25/2025
19
22
4.30%,
03/25/2028
1,150
1,354
5.05%,
03/25/2048
770
1,004
5.13%,
07/20/2045
430
557
Eli
Lilly
and
Co
2.25%,
05/15/2050
740
708
2.50%,
09/15/2060
155
148
GlaxoSmithKline
Capital
Inc
3.38%,
05/15/2023
190
205
3.63%,
05/15/2025
85
97
3.88%,
05/15/2028
165
196
6.38%,
05/15/2038
430
669
GlaxoSmithKline
Capital
PLC
2.88%,
06/01/2022
500
521
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
93
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
(continued)
Johnson
&
Johnson
0.55%,
09/01/2025
$
115
$
115
0.95%,
09/01/2027
115
116
1.30%,
09/01/2030
230
233
2.10%,
09/01/2040
115
115
2.25%,
09/01/2050
115
113
2.45%,
03/01/2026
225
247
2.45%,
09/01/2060
115
113
2.90%,
01/15/2028
110
125
2.95%,
03/03/2027
110
123
3.40%,
01/15/2038
500
593
3.50%,
01/15/2048
140
171
3.55%,
03/01/2036
750
901
3.70%,
03/01/2046
90
112
5.95%,
08/15/2037
75
116
McKesson
Corp
4.88%,
03/15/2044
80
99
Mead
Johnson
Nutrition
Co
4.60%,
06/01/2044
30
40
Merck
&
Co
Inc
0.75%,
02/24/2026
80
81
1.45%,
06/24/2030
210
213
2.35%,
02/10/2022
50
52
2.35%,
06/24/2040
135
138
2.80%,
05/18/2023
75
80
3.70%,
02/10/2045
875
1,062
3.90%,
03/07/2039
385
481
4.00%,
03/07/2049
170
219
Mylan
NV
3.95%,
06/15/2026
530
600
5.25%,
06/15/2046
305
383
Novartis
Capital
Corp
2.00%,
02/14/2027
310
330
2.20%,
08/14/2030
155
166
2.75%,
08/14/2050
155
165
3.00%,
11/20/2025
125
139
4.40%,
05/06/2044
530
707
Pfizer
Inc
0.80%,
05/28/2025
100
101
1.70%,
05/28/2030
100
103
2.55%,
05/28/2040
100
105
2.63%,
04/01/2030
155
173
2.70%,
05/28/2050
100
104
2.95%,
03/15/2024
300
326
3.00%,
12/15/2026
500
570
3.40%,
05/15/2024
100
110
3.45%,
03/15/2029
170
199
4.00%,
12/15/2036
45
55
4.00%,
03/15/2049
195
248
4.13%,
12/15/2046
575
739
4.20%,
09/15/2048
80
105
4.30%,
06/15/2043
225
291
4.40%,
05/15/2044
75
100
7.20%,
03/15/2039
60
101
Shire
Acquisitions
Investments
Ireland
DAC
3.20%,
09/23/2026
300
336
Takeda
Pharmaceutical
Co
Ltd
2.05%,
03/31/2030
645
655
3.18%,
07/09/2050
645
661
Upjohn
Inc
1.13%,
06/22/2022
(e)
80
81
2.30%,
06/22/2027
(e)
115
120
2.70%,
06/22/2030
(e)
155
161
3.85%,
06/22/2040
(e)
115
125
4.00%,
06/22/2050
(e)
155
169
Wyeth
LLC
5.95%,
04/01/2037
60
89
6.50%,
02/01/2034
525
822
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
(continued)
Zoetis
Inc
2.00%,
05/15/2030
$
85
$
88
3.00%,
05/15/2050
40
43
3.25%,
02/01/2023
540
572
$
45,841
Pipelines
-
0.97%
Boardwalk
Pipelines
LP
3.38%,
02/01/2023
30
31
Cheniere
Corpus
Christi
Holdings
LLC
3.70%,
11/15/2029
(e)
300
317
Enbridge
Energy
Partners
LP
7.38%,
10/15/2045
70
106
7.50%,
04/15/2038
350
492
Enbridge
Inc
2.50%,
01/15/2025
150
158
3.13%,
11/15/2029
150
162
4.25%,
12/01/2026
75
87
Energy
Transfer
Operating
LP
2.90%,
05/15/2025
310
319
3.75%,
05/15/2030
155
154
4.05%,
03/15/2025
300
321
4.20%,
04/15/2027
300
314
4.90%,
03/15/2035
500
497
5.30%,
04/15/2047
410
399
6.25%,
04/15/2049
155
163
6.50%,
02/01/2042
425
458
Energy
Transfer
Partners
LP
/
Regency
Energy
Finance
Corp
5.00%,
10/01/2022
350
370
Enterprise
Products
Operating
LLC
2.80%,
01/31/2030
365
390
3.70%,
02/15/2026
400
453
3.70%,
01/31/2051
650
662
4.15%,
10/16/2028
500
588
4.25%,
02/15/2048
250
272
4.45%,
02/15/2043
350
385
4.85%,
08/15/2042
400
465
6.88%,
03/01/2033
39
52
Kinder
Morgan
Energy
Partners
LP
3.50%,
09/01/2023
390
419
3.95%,
09/01/2022
600
635
4.70%,
11/01/2042
20
22
6.38%,
03/01/2041
480
604
6.95%,
01/15/2038
383
509
Kinder
Morgan
Inc
2.00%,
02/15/2031
130
127
3.15%,
01/15/2023
1,100
1,156
3.25%,
08/01/2050
130
122
5.05%,
02/15/2046
300
355
Magellan
Midstream
Partners
LP
3.95%,
03/01/2050
550
580
MPLX
LP
1.75%,
03/01/2026
160
160
4.13%,
03/01/2027
140
155
4.25%,
12/01/2027
300
335
4.50%,
04/15/2038
200
212
4.88%,
12/01/2024
500
564
4.90%,
04/15/2058
165
175
5.20%,
12/01/2047
300
333
5.50%,
02/15/2049
130
154
ONEOK
Inc
2.20%,
09/15/2025
155
154
2.75%,
09/01/2024
375
386
3.40%,
09/01/2029
350
345
4.45%,
09/01/2049
500
452
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
94
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pipelines
(continued)
Plains
All
American
Pipeline
LP
/
PAA
Finance
Corp
3.55%,
12/15/2029
$
470
$
468
4.50%,
12/15/2026
500
544
4.70%,
06/15/2044
30
28
6.65%,
01/15/2037
500
566
Sabine
Pass
Liquefaction
LLC
4.20%,
03/15/2028
75
82
5.00%,
03/15/2027
375
427
5.63%,
03/01/2025
75
87
5.88%,
06/30/2026
665
800
Spectra
Energy
Partners
LP
4.75%,
03/15/2024
105
118
5.95%,
09/25/2043
400
519
Sunoco
Logistics
Partners
Operations
LP
5.40%,
10/01/2047
400
397
TransCanada
PipeLines
Ltd
4.25%,
05/15/2028
300
350
4.88%,
05/15/2048
190
245
7.25%,
08/15/2038
525
777
Williams
Cos
Inc/The
3.60%,
03/15/2022
500
519
3.75%,
06/15/2027
45
50
3.90%,
01/15/2025
500
551
4.00%,
09/15/2025
50
56
5.10%,
09/15/2045
740
865
6.30%,
04/15/2040
30
38
$
23,056
Private
Equity
-
0.01%
Brookfield
Asset
Management
Inc
4.00%,
01/15/2025
300
331
Regional
Authority
-
0.35%
Province
of
Alberta
Canada
1.00%,
05/20/2025
310
315
3.30%,
03/15/2028
700
815
Province
of
British
Columbia
Canada
2.00%,
10/23/2022
500
518
2.65%,
09/22/2021
400
410
6.50%,
01/15/2026
45
58
Province
of
Manitoba
Canada
2.60%,
04/16/2024
1,000
1,076
3.05%,
05/14/2024
30
33
Province
of
Ontario
Canada
1.75%,
01/24/2023
315
325
2.00%,
10/02/2029
700
756
2.50%,
09/10/2021
500
511
3.20%,
05/16/2024
865
951
3.40%,
10/17/2023
210
229
Province
of
Quebec
Canada
0.60%,
07/23/2025
935
937
1.35%,
05/28/2030
315
325
1.50%,
02/11/2025
440
459
2.88%,
10/16/2024
500
548
7.50%,
09/15/2029
36
55
$
8,321
REITs
-
0.83%
Alexandria
Real
Estate
Equities
Inc
1.88%,
02/01/2033
240
239
2.75%,
12/15/2029
70
76
3.38%,
08/15/2031
420
478
4.00%,
02/01/2050
70
86
4.90%,
12/15/2030
80
102
American
Campus
Communities
Operating
Partnership
LP
2.85%,
02/01/2030
160
160
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
REITs
(continued)
American
Tower
Corp
1.30%,
09/15/2025
$
80
$
81
2.90%,
01/15/2030
155
169
3.38%,
10/15/2026
670
753
3.50%,
01/31/2023
75
80
3.70%,
10/15/2049
145
164
4.70%,
03/15/2022
50
53
AvalonBay
Communities
Inc
2.30%,
03/01/2030
155
164
4.15%,
07/01/2047
300
381
Boston
Properties
LP
2.75%,
10/01/2026
350
378
2.90%,
03/15/2030
485
513
3.65%,
02/01/2026
375
419
Brixmor
Operating
Partnership
LP
3.65%,
06/15/2024
400
421
Crown
Castle
International
Corp
1.35%,
07/15/2025
115
117
3.10%,
11/15/2029
125
137
3.20%,
09/01/2024
75
81
3.25%,
01/15/2051
115
119
3.30%,
07/01/2030
155
173
3.70%,
06/15/2026
510
577
4.00%,
11/15/2049
95
111
5.25%,
01/15/2023
500
554
CubeSmart
LP
4.38%,
12/15/2023
30
33
Duke
Realty
LP
1.75%,
07/01/2030
155
155
2.88%,
11/15/2029
75
82
Equinix
Inc
1.25%,
07/15/2025
155
157
1.80%,
07/15/2027
155
157
2.63%,
11/18/2024
150
161
3.20%,
11/18/2029
130
143
5.38%,
05/15/2027
175
191
ERP
Operating
LP
2.50%,
02/15/2030
305
328
Essex
Portfolio
LP
3.00%,
01/15/2030
140
152
4.00%,
03/01/2029
300
350
Federal
Realty
Investment
Trust
4.50%,
12/01/2044
300
347
GLP
Capital
LP
/
GLP
Financing
II
Inc
4.00%,
01/15/2030
140
145
5.25%,
06/01/2025
400
433
Healthpeak
Properties
Inc
3.00%,
01/15/2030
240
261
3.88%,
08/15/2024
200
223
4.20%,
03/01/2024
200
221
4.25%,
11/15/2023
4
4
Kilroy
Realty
LP
2.50%,
11/15/2032
160
157
Kimco
Realty
Corp
2.70%,
03/01/2024
300
312
2.70%,
10/01/2030
160
163
3.70%,
10/01/2049
30
30
Mid-America
Apartments
LP
1.70%,
02/15/2031
120
118
3.60%,
06/01/2027
500
562
National
Retail
Properties
Inc
3.60%,
12/15/2026
300
325
4.80%,
10/15/2048
200
231
Office
Properties
Income
Trust
4.00%,
07/15/2022
300
301
Omega
Healthcare
Investors
Inc
4.75%,
01/15/2028
400
432
4.95%,
04/01/2024
30
32
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
95
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
REITs
(continued)
Prologis
LP
1.25%,
10/15/2030
$
160
$
157
2.13%,
04/15/2027
240
257
2.25%,
04/15/2030
260
277
3.00%,
04/15/2050
180
196
Realty
Income
Corp
3.25%,
10/15/2022
500
526
3.25%,
01/15/2031
160
178
4.13%,
10/15/2026
20
23
Simon
Property
Group
LP
2.00%,
09/13/2024
150
155
2.45%,
09/13/2029
275
274
2.75%,
02/01/2023
250
260
3.25%,
09/13/2049
340
323
3.50%,
09/01/2025
160
176
4.75%,
03/15/2042
164
193
UDR
Inc
3.20%,
01/15/2030
145
161
4.00%,
10/01/2025
200
225
Ventas
Realty
LP
3.00%,
01/15/2030
260
263
3.75%,
05/01/2024
500
536
4.88%,
04/15/2049
300
331
5.70%,
09/30/2043
225
266
VEREIT
Operating
Partnership
LP
3.10%,
12/15/2029
365
367
Welltower
Inc
3.63%,
03/15/2024
120
130
4.00%,
06/01/2025
75
85
4.13%,
03/15/2029
300
337
4.25%,
04/15/2028
400
453
Weyerhaeuser
Co
7.38%,
03/15/2032
530
770
$
19,711
Retail
-
0.86%
AutoZone
Inc
1.65%,
01/15/2031
160
158
3.13%,
04/21/2026
500
551
3.75%,
06/01/2027
300
343
Costco
Wholesale
Corp
1.38%,
06/20/2027
155
158
1.60%,
04/20/2030
155
158
1.75%,
04/20/2032
155
160
2.30%,
05/18/2022
200
207
3.00%,
05/18/2027
300
338
Dollar
Tree
Inc
4.20%,
05/15/2028
130
153
Home
Depot
Inc/The
2.70%,
04/01/2023
50
53
2.95%,
06/15/2029
560
631
3.13%,
12/15/2049
235
259
3.75%,
02/15/2024
500
553
3.90%,
06/15/2047
800
977
4.25%,
04/01/2046
670
859
5.88%,
12/16/2036
330
494
Kohl's
Corp
4.25%,
07/17/2025
300
296
Lowe's
Cos
Inc
2.50%,
04/15/2026
90
98
3.10%,
05/03/2027
160
179
3.38%,
09/15/2025
50
56
3.65%,
04/05/2029
135
156
3.70%,
04/15/2046
20
23
4.00%,
04/15/2025
155
177
4.05%,
05/03/2047
650
777
4.38%,
09/15/2045
500
608
4.55%,
04/05/2049
135
174
5.00%,
04/15/2040
155
205
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Retail
(continued)
McDonald's
Corp
1.45%,
09/01/2025
$
155
$
160
2.13%,
03/01/2030
155
161
2.63%,
09/01/2029
140
152
3.25%,
06/10/2024
175
192
3.50%,
07/01/2027
310
354
3.63%,
09/01/2049
720
813
3.70%,
01/30/2026
150
172
3.70%,
02/15/2042
300
335
4.88%,
12/09/2045
340
443
Nordstrom
Inc
5.00%,
01/15/2044
300
211
O'Reilly
Automotive
Inc
3.55%,
03/15/2026
500
570
Starbucks
Corp
1.30%,
05/07/2022
185
188
2.00%,
03/12/2027
755
792
3.55%,
08/15/2029
305
351
4.45%,
08/15/2049
500
607
Target
Corp
2.35%,
02/15/2030
620
674
3.63%,
04/15/2046
300
371
3.90%,
11/15/2047
310
404
Walgreens
Boots
Alliance
Inc
4.80%,
11/18/2044
630
694
Walmart
Inc
2.35%,
12/15/2022
220
230
2.95%,
09/24/2049
2,050
2,278
3.05%,
07/08/2026
600
677
3.25%,
07/08/2029
155
181
3.70%,
06/26/2028
255
302
3.95%,
06/28/2038
195
244
5.25%,
09/01/2035
40
58
5.63%,
04/01/2040
40
59
5.63%,
04/15/2041
60
91
$
20,565
Semiconductors
-
0.59%
Applied
Materials
Inc
1.75%,
06/01/2030
155
161
4.35%,
04/01/2047
45
61
5.85%,
06/15/2041
500
770
Broadcom
Corp
/
Broadcom
Cayman
Finance
Ltd
3.88%,
01/15/2027
650
721
Broadcom
Inc
2.25%,
11/15/2023
395
411
3.15%,
11/15/2025
590
639
3.63%,
10/15/2024
415
455
4.15%,
11/15/2030
590
665
4.30%,
11/15/2032
395
455
4.75%,
04/15/2029
355
417
Intel
Corp
2.45%,
11/15/2029
300
326
2.60%,
05/19/2026
775
852
2.88%,
05/11/2024
105
114
3.15%,
05/11/2027
150
169
3.25%,
11/15/2049
305
341
3.30%,
10/01/2021
550
568
3.40%,
03/25/2025
155
174
3.73%,
12/08/2047
105
125
3.75%,
03/25/2027
155
181
4.60%,
03/25/2040
155
206
4.90%,
07/29/2045
600
824
KLA
Corp
4.10%,
03/15/2029
300
361
Lam
Research
Corp
1.90%,
06/15/2030
155
161
2.88%,
06/15/2050
235
248
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
96
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Semiconductors
(continued)
Micron
Technology
Inc
4.19%,
02/15/2027
$
405
$
464
4.64%,
02/06/2024
300
334
4.66%,
02/15/2030
405
472
NVIDIA
Corp
2.20%,
09/16/2021
300
305
3.20%,
09/16/2026
500
566
NXP
BV
/
NXP
Funding
LLC
/
NXP
USA
Inc
3.15%,
05/01/2027
(e)
80
87
QUALCOMM
Inc
1.30%,
05/20/2028
(e)
327
328
1.65%,
05/20/2032
(e)
243
242
3.25%,
05/20/2027
420
475
4.65%,
05/20/2035
195
262
4.80%,
05/20/2045
110
150
Texas
Instruments
Inc
1.38%,
03/12/2025
155
161
1.75%,
05/04/2030
50
52
2.25%,
05/01/2023
400
419
4.15%,
05/15/2048
165
217
$
13,939
Software
-
0.68%
Activision
Blizzard
Inc
1.35%,
09/15/2030
80
78
2.50%,
09/15/2050
160
150
Adobe
Inc
1.90%,
02/01/2025
310
328
2.30%,
02/01/2030
155
167
Fiserv
Inc
3.50%,
10/01/2022
30
32
3.50%,
07/01/2029
300
341
3.85%,
06/01/2025
2,205
2,502
Intuit
Inc
1.35%,
07/15/2027
160
164
Microsoft
Corp
2.53%,
06/01/2050
311
327
2.68%,
06/01/2060
149
157
3.30%,
02/06/2027
140
160
3.45%,
08/08/2036
640
771
3.50%,
02/12/2035
700
864
3.70%,
08/08/2046
1,475
1,848
3.95%,
08/08/2056
141
187
4.10%,
02/06/2037
176
227
4.20%,
11/03/2035
360
475
Oracle
Corp
1.90%,
09/15/2021
80
81
2.40%,
09/15/2023
75
79
2.50%,
10/15/2022
75
78
2.50%,
04/01/2025
155
167
2.63%,
02/15/2023
370
389
2.65%,
07/15/2026
930
1,020
2.80%,
04/01/2027
155
171
2.95%,
11/15/2024
85
93
2.95%,
05/15/2025
105
115
2.95%,
04/01/2030
155
173
3.25%,
11/15/2027
375
424
3.40%,
07/08/2024
550
605
3.60%,
04/01/2040
155
175
3.60%,
04/01/2050
555
617
3.80%,
11/15/2037
485
562
3.85%,
07/15/2036
900
1,061
3.90%,
05/15/2035
130
157
4.00%,
11/15/2047
75
89
4.30%,
07/08/2034
75
94
4.38%,
05/15/2055
150
189
4.50%,
07/08/2044
50
62
5.38%,
07/15/2040
550
756
6.13%,
07/08/2039
60
88
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
(continued)
ServiceNow
Inc
1.40%,
09/01/2030
$
160
$
158
$
16,181
Sovereign
-
1.71%
Canada
Government
International
Bond
1.63%,
01/22/2025
360
380
2.63%,
01/25/2022
500
517
Chile
Government
International
Bond
2.45%,
01/31/2031
935
987
2.55%,
01/27/2032
200
212
3.86%,
06/21/2047
250
308
Colombia
Government
International
Bond
2.63%,
03/15/2023
500
513
3.00%,
01/30/2030
315
324
3.13%,
04/15/2031
315
327
5.00%,
06/15/2045
750
898
5.20%,
05/15/2049
400
495
5.63%,
02/26/2044
500
636
7.38%,
09/18/2037
220
315
10.38%,
01/28/2033
100
157
Export
Development
Canada
1.38%,
02/24/2023
250
257
2.00%,
05/17/2022
1,000
1,030
2.63%,
02/21/2024
300
324
Export-Import
Bank
of
Korea
1.88%,
10/21/2021
350
355
3.25%,
11/10/2025
1,000
1,118
5.00%,
04/11/2022
500
535
Hungary
Government
International
Bond
5.38%,
03/25/2024
650
747
Indonesia
Government
International
Bond
2.85%,
02/14/2030
250
264
3.70%,
10/30/2049
200
217
4.20%,
10/15/2050
800
944
4.75%,
02/11/2029
300
359
Israel
Government
AID
Bond
5.50%,
09/18/2023
65
75
5.50%,
04/26/2024
65
77
5.50%,
09/18/2033
110
164
Israel
Government
International
Bond
3.88%,
07/03/2050
500
596
4.00%,
06/30/2022
850
902
Japan
Bank
for
International
Cooperation
0.63%,
05/22/2023
200
201
1.63%,
10/17/2022
200
205
1.75%,
01/23/2023
1,000
1,032
1.88%,
07/21/2026
664
709
2.13%,
02/10/2025
1,300
1,388
2.38%,
04/20/2026
500
546
3.00%,
05/29/2024
300
328
Korea
International
Bond
2.75%,
01/19/2027
250
275
3.88%,
09/20/2048
500
685
Mexico
Government
International
Bond
3.25%,
04/16/2030
400
415
3.63%,
03/15/2022
270
283
3.75%,
01/11/2028
225
243
3.90%,
04/27/2025
600
660
4.50%,
04/22/2029
500
564
4.50%,
01/31/2050
400
438
4.60%,
01/23/2046
500
554
4.60%,
02/10/2048
300
330
4.75%,
03/08/2044
610
684
5.75%,
10/12/2110
500
608
6.05%,
01/11/2040
500
644
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
97
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Panama
Government
International
Bond
3.16%,
01/23/2030
$
200
$
218
3.75%,
03/16/2025
950
1,045
4.50%,
05/15/2047
500
644
4.50%,
04/16/2050
200
258
Peruvian
Government
International
Bond
5.63%,
11/18/2050
400
662
8.75%,
11/21/2033
350
596
Philippine
Government
International
Bond
3.00%,
02/01/2028
300
327
3.70%,
03/01/2041
900
1,038
7.75%,
01/14/2031
740
1,125
10.63%,
03/16/2025
600
853
Republic
of
Italy
Government
International
Bond
2.38%,
10/17/2024
200
207
2.88%,
10/17/2029
200
205
5.38%,
06/15/2033
850
1,067
6.88%,
09/27/2023
350
408
Republic
of
Poland
Government
International
Bond
5.00%,
03/23/2022
500
536
State
of
Israel
2.50%,
01/15/2030
400
431
3.38%,
01/15/2050
400
441
Svensk
Exportkredit
AB
0.50%,
08/26/2025
320
320
2.88%,
03/14/2023
1,200
1,276
Tennessee
Valley
Authority
3.50%,
12/15/2042
100
127
4.25%,
09/15/2065
150
225
4.63%,
09/15/2060
300
467
5.25%,
09/15/2039
250
383
5.38%,
04/01/2056
61
105
5.88%,
04/01/2036
525
820
6.75%,
11/01/2025
57
75
Ukraine
Government
AID
Bonds
1.47%,
09/29/2021
250
253
Uruguay
Government
International
Bond
4.13%,
11/20/2045
386
468
4.38%,
10/27/2027
360
419
5.10%,
06/18/2050
200
276
7.63%,
03/21/2036
400
631
$
40,731
Supranational
Bank
-
1.56%
African
Development
Bank
2.38%,
09/23/2021
(g)
515
527
3.00%,
09/20/2023
600
650
Asian
Development
Bank
0.25%,
07/14/2023
315
315
0.38%,
09/03/2025
(h)
310
309
1.75%,
09/13/2022
750
773
1.75%,
09/19/2029
(g)
750
809
2.13%,
11/24/2021
(g)
800
819
2.13%,
03/19/2025
300
323
2.38%,
08/10/2027
500
557
2.63%,
01/30/2024
1,000
1,079
2.75%,
03/17/2023
670
713
2.75%,
01/19/2028
(g)
130
149
5.82%,
06/16/2028
39
53
Corp
Andina
de
Fomento
3.25%,
02/11/2022
1,000
1,030
4.38%,
06/15/2022
559
592
Council
Of
Europe
Development
Bank
1.38%,
02/27/2025
310
323
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Supranational
Bank
(continued)
European
Bank
for
Reconstruction
&
Development
0.25%,
07/10/2023
$
315
$
315
1.63%,
09/27/2024
350
368
1.88%,
02/23/2022
500
512
European
Investment
Bank
1.63%,
03/14/2025
715
755
1.88%,
02/10/2025
250
267
2.25%,
03/15/2022
500
516
2.25%,
06/24/2024
2,440
2,622
2.38%,
05/24/2027
650
727
2.50%,
03/15/2023
440
465
2.63%,
05/20/2022
1,000
1,041
2.88%,
12/15/2021
600
621
4.88%,
02/15/2036
500
751
FMS
Wertmanagement
2.00%,
08/01/2022
800
827
2.75%,
01/30/2024
1,310
1,421
Inter-American
Development
Bank
0.25%,
11/15/2023
(h)
310
310
1.75%,
03/14/2025
580
615
2.13%,
01/18/2022
500
513
2.13%,
01/15/2025
500
537
2.38%,
07/07/2027
1,250
1,393
2.50%,
01/18/2023
1,830
1,928
3.13%,
09/18/2028
300
356
4.38%,
01/24/2044
50
77
International
Bank
for
Reconstruction
&
Development
0.75%,
08/26/2030
310
307
1.38%,
09/20/2021
320
324
1.63%,
01/15/2025
470
495
1.75%,
10/23/2029
720
778
1.88%,
10/07/2022
4,125
4,268
2.50%,
03/19/2024
1,000
1,076
2.50%,
07/29/2025
270
298
3.00%,
09/27/2023
300
325
7.63%,
01/19/2023
933
1,095
International
Finance
Corp
0.38%,
07/16/2025
315
315
2.13%,
04/07/2026
1,000
1,092
Nordic
Investment
Bank
1.38%,
10/17/2022
(g)
800
820
$
37,151
Telecommunications
-
1.39%
America
Movil
SAB
de
CV
3.63%,
04/22/2029
735
837
6.13%,
03/30/2040
450
653
AT&T
Inc
1.65%,
02/01/2028
200
203
2.25%,
02/01/2032
145
147
2.30%,
06/01/2027
470
499
2.75%,
06/01/2031
315
335
2.95%,
07/15/2026
580
638
3.00%,
06/30/2022
90
94
3.10%,
02/01/2043
145
145
3.30%,
02/01/2052
290
287
3.50%,
06/01/2041
315
333
3.50%,
02/01/2061
290
288
3.65%,
06/01/2051
155
163
4.10%,
02/15/2028
575
672
4.13%,
02/17/2026
350
405
4.30%,
02/15/2030
337
403
4.35%,
03/01/2029
500
595
4.35%,
06/15/2045
725
831
4.50%,
05/15/2035
1,100
1,318
4.50%,
03/09/2048
735
866
4.55%,
03/09/2049
500
590
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
98
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
AT&T
Inc
(continued)
4.75%,
05/15/2046
$
90
$
108
4.85%,
03/01/2039
900
1,092
4.85%,
07/15/2045
500
597
5.15%,
11/15/2046
405
509
5.25%,
03/01/2037
75
95
5.35%,
09/01/2040
54
70
5.55%,
08/15/2041
75
97
6.38%,
03/01/2041
75
106
British
Telecommunications
PLC
9.62%,
12/15/2030
600
978
Cisco
Systems
Inc
1.85%,
09/20/2021
750
762
2.50%,
09/20/2026
315
348
2.95%,
02/28/2026
300
339
5.50%,
01/15/2040
60
88
Deutsche
Telekom
International
Finance
BV
8.75%,
06/15/2030
765
1,205
Juniper
Networks
Inc
4.35%,
06/15/2025
200
225
Orange
SA
4.13%,
09/14/2021
30
31
5.38%,
01/13/2042
30
43
9.00%,
03/01/2031
500
820
Rogers
Communications
Inc
3.70%,
11/15/2049
190
217
5.00%,
03/15/2044
200
262
7.50%,
08/15/2038
250
389
Telefonica
Emisiones
SA
5.21%,
03/08/2047
500
606
7.05%,
06/20/2036
530
771
Telefonica
Europe
BV
8.25%,
09/15/2030
350
533
T-Mobile
USA
Inc
1.50%,
02/15/2026
(e)
310
314
2.05%,
02/15/2028
(e)
310
318
2.55%,
02/15/2031
(e)
310
324
3.50%,
04/15/2025
(e)
155
171
3.75%,
04/15/2027
(e)
315
356
3.88%,
04/15/2030
(e)
315
361
4.38%,
04/15/2040
(e)
155
185
4.50%,
04/15/2050
(e)
315
384
Verizon
Communications
Inc
2.63%,
08/15/2026
500
551
2.95%,
03/15/2022
358
372
3.50%,
11/01/2024
1,000
1,113
3.85%,
11/01/2042
90
108
3.88%,
02/08/2029
880
1,042
4.33%,
09/21/2028
60
73
4.40%,
11/01/2034
580
723
4.52%,
09/15/2048
631
830
4.67%,
03/15/2055
568
781
4.81%,
03/15/2039
75
99
4.86%,
08/21/2046
500
675
5.15%,
09/15/2023
1,000
1,138
5.25%,
03/16/2037
75
102
Vodafone
Group
PLC
3.75%,
01/16/2024
75
82
4.13%,
05/30/2025
75
86
4.25%,
09/17/2050
250
292
4.38%,
05/30/2028
375
449
5.00%,
05/30/2038
80
101
5.25%,
05/30/2048
815
1,069
6.15%,
02/27/2037
240
338
$
33,030
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Transportation
-
0.63%
Burlington
Northern
Santa
Fe
LLC
3.55%,
02/15/2050
$
155
$
185
3.65%,
09/01/2025
500
569
4.15%,
04/01/2045
200
253
4.40%,
03/15/2042
30
38
4.55%,
09/01/2044
400
530
4.90%,
04/01/2044
445
615
5.40%,
06/01/2041
400
566
Canadian
National
Railway
Co
2.45%,
05/01/2050
465
467
Canadian
Pacific
Railway
Co
6.13%,
09/15/2115
75
115
CSX
Corp
2.40%,
02/15/2030
60
63
2.60%,
11/01/2026
350
382
3.35%,
09/15/2049
60
68
3.40%,
08/01/2024
600
665
3.80%,
03/01/2028
75
87
4.30%,
03/01/2048
200
254
4.75%,
05/30/2042
720
932
FedEx
Corp
3.10%,
08/05/2029
750
832
3.88%,
08/01/2042
30
32
4.00%,
01/15/2024
250
277
4.55%,
04/01/2046
500
595
Norfolk
Southern
Corp
2.55%,
11/01/2029
150
164
3.00%,
04/01/2022
500
517
3.25%,
12/01/2021
40
41
3.94%,
11/01/2047
192
230
4.15%,
02/28/2048
500
625
4.84%,
10/01/2041
30
39
Ryder
System
Inc
2.50%,
09/01/2024
65
69
2.90%,
12/01/2026
150
161
Union
Pacific
Corp
2.15%,
02/05/2027
775
827
3.55%,
08/15/2039
435
513
3.80%,
10/01/2051
365
441
3.84%,
03/20/2060
220
257
3.95%,
09/10/2028
140
167
4.10%,
09/15/2067
560
676
4.16%,
07/15/2022
575
611
4.30%,
03/01/2049
90
116
United
Parcel
Service
Inc
2.20%,
09/01/2024
300
318
2.50%,
09/01/2029
125
137
3.40%,
09/01/2049
180
207
3.63%,
10/01/2042
500
580
3.90%,
04/01/2025
155
177
4.88%,
11/15/2040
30
40
5.20%,
04/01/2040
345
478
$
14,916
Water
-
0.04%
American
Water
Capital
Corp
3.75%,
09/01/2047
140
167
4.15%,
06/01/2049
670
842
6.59%,
10/15/2037
13
20
$
1,029
TOTAL
BONDS
$
829,170
MUNICIPAL
BONDS
-
0.67%
Principal
Amount
(000's)
Value
(000's)
California
-
0.21%
Bay
Area
Toll
Authority
6.26%,
04/01/2049
$
175
$
318
6.91%,
10/01/2050
250
457
California
State
University
2.98%,
11/01/2051
155
163
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
99
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
California
(continued)
East
Bay
Municipal
Utility
District
Water
System
Revenue
5.87%,
06/01/2040
$
20
$
31
Los
Angeles
Department
of
Water
&
Power
Power
System
Revenue
6.57%,
07/01/2045
250
436
Los
Angeles
Unified
School
District/CA
5.76%,
07/01/2029
900
1,153
Regents
of
the
University
of
California
Medical
Center
Pooled
Revenue
6.55%,
05/15/2048
20
32
State
of
California
3.50%,
04/01/2028
115
134
7.30%,
10/01/2039
300
498
7.70%,
11/01/2030
500
506
University
of
California
3.06%,
07/01/2025
400
444
5.77%,
05/15/2043
530
781
$
4,953
Colorado
-
0.02%
Regional
Transportation
District
Sales
Tax
Revenue
5.84%,
11/01/2050
250
417
Connecticut
-
0.03%
State
of
Connecticut
5.85%,
03/15/2032
530
734
Georgia
-
0.02%
Municipal
Electric
Authority
of
Georgia
6.64%,
04/01/2057
335
494
Illinois
-
0.07%
Chicago
Transit
Authority
6.20%,
12/01/2040
30
41
6.90%,
12/01/2040
300
429
State
of
Illinois
4.95%,
06/01/2023
60
62
5.10%,
06/01/2033
1,000
1,024
$
1,556
New
Jersey
-
0.07%
New
Jersey
Economic
Development
Authority
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
0.00%,
02/15/2023
(d),(j)
50
49
New
Jersey
Economic
Development
Authority
(credit
support
from
National
Public
Finance
Guarantee
Corp
)
7.43%,
02/15/2029
(j)
450
563
New
Jersey
Transportation
Trust
Fund
Authority
6.56%,
12/15/2040
146
189
New
Jersey
Turnpike
Authority
7.41%,
01/01/2040
500
866
$
1,667
New
York
-
0.14%
City
of
New
York
NY
6.27%,
12/01/2037
500
757
New
York
City
Water
&
Sewer
System
5.72%,
06/15/2042
280
451
5.95%,
06/15/2042
250
402
New
York
State
Urban
Development
Corp
5.77%,
03/15/2039
465
589
Port
Authority
of
New
York
&
New
Jersey
4.46%,
10/01/2062
500
653
5.65%,
11/01/2040
400
571
$
3,423
Ohio
-
0.04%
American
Municipal
Power
Inc
7.83%,
02/15/2041
300
500
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Ohio
(continued)
Ohio
State
University/The
3.80%,
12/01/2046
$
350
$
443
4.91%,
06/01/2040
50
71
$
1,014
Texas
-
0.06%
City
of
Houston
TX
6.29%,
03/01/2032
450
582
Dallas
Area
Rapid
Transit
5.02%,
12/01/2048
30
43
State
of
Texas
4.68%,
04/01/2040
160
220
5.52%,
04/01/2039
300
453
$
1,298
Wisconsin
-
0.01%
State
of
Wisconsin
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
5.70%,
05/01/2026
(j)
285
336
TOTAL
MUNICIPAL
BONDS
$
15,892
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
64.00%
Principal
Amount
(000's)
Value
(000's)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
-
3.42%
2.00%,
09/01/2031
$
138
$
145
2.00%,
12/01/2031
180
188
2.50%,
08/01/2028
134
141
2.50%,
09/01/2029
305
320
2.50%,
12/01/2029
393
413
2.50%,
01/01/2030
407
428
2.50%,
09/01/2030
959
1,008
2.50%,
01/01/2031
204
215
2.50%,
01/01/2031
361
380
2.50%,
02/01/2031
363
381
2.50%,
04/01/2031
117
123
2.50%,
12/01/2031
571
600
2.50%,
01/01/2032
603
634
2.50%,
03/01/2032
181
190
2.50%,
11/01/2032
229
241
2.50%,
03/01/2033
212
223
2.50%,
04/01/2033
199
209
2.50%,
05/01/2033
484
508
2.50%,
06/01/2033
337
354
2.50%,
11/01/2036
123
130
3.00%,
11/01/2028
265
281
3.00%,
04/01/2029
244
257
3.00%,
09/01/2029
225
237
3.00%,
10/01/2029
334
351
3.00%,
11/01/2029
147
155
3.00%,
01/01/2030
131
138
3.00%,
04/01/2030
87
92
3.00%,
11/01/2030
126
134
3.00%,
01/01/2031
423
444
3.00%,
03/01/2031
86
91
3.00%,
04/01/2031
345
363
3.00%,
05/01/2032
374
398
3.00%,
12/01/2032
177
186
3.00%,
02/01/2033
134
140
3.00%,
03/01/2033
208
222
3.00%,
04/01/2033
52
56
3.00%,
07/01/2033
264
277
3.00%,
09/01/2033
106
111
3.00%,
10/01/2033
150
157
3.00%,
09/01/2034
238
254
3.00%,
10/01/2034
171
182
3.00%,
12/01/2034
53
56
3.00%,
04/01/2035
141
149
3.00%,
06/01/2035
201
213
3.00%,
04/01/2036
98
104
3.00%,
04/01/2036
133
141
3.00%,
09/01/2036
88
94
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
100
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
(continued)
3.00%,
09/01/2036
$
176
$
187
3.00%,
11/01/2036
60
63
3.00%,
02/01/2037
176
186
3.00%,
04/01/2038
156
165
3.00%,
09/01/2042
1,255
1,343
3.00%,
10/01/2042
317
340
3.00%,
11/01/2042
541
580
3.00%,
01/01/2043
93
100
3.00%,
02/01/2043
509
546
3.00%,
04/01/2043
847
908
3.00%,
07/01/2043
110
118
3.00%,
08/01/2043
850
911
3.00%,
08/01/2043
682
731
3.00%,
09/01/2043
146
156
3.00%,
10/01/2043
114
122
3.00%,
12/01/2044
361
384
3.00%,
01/01/2045
100
106
3.00%,
03/01/2045
216
229
3.00%,
04/01/2045
669
710
3.00%,
06/01/2045
429
454
3.00%,
08/01/2045
716
760
3.00%,
12/01/2045
824
874
3.00%,
01/01/2046
81
86
3.00%,
03/01/2046
487
515
3.00%,
04/01/2046
209
221
3.00%,
04/01/2046
882
933
3.00%,
06/01/2046
733
776
3.00%,
06/01/2046
345
365
3.00%,
07/01/2046
322
341
3.00%,
09/01/2046
755
799
3.00%,
10/01/2046
190
202
3.00%,
10/01/2046
79
84
3.00%,
11/01/2046
717
758
3.00%,
11/01/2046
297
314
3.00%,
11/01/2046
380
402
3.00%,
11/01/2046
849
899
3.00%,
12/01/2046
860
911
3.00%,
12/01/2046
811
857
3.00%,
01/01/2047
461
487
3.00%,
02/01/2047
330
348
3.00%,
03/01/2047
259
274
3.00%,
04/01/2047
737
780
3.00%,
09/01/2047
277
292
3.00%,
10/01/2047
400
422
3.00%,
01/01/2048
389
410
3.50%,
12/01/2031
237
253
3.50%,
09/01/2033
199
210
3.50%,
05/01/2034
243
263
3.50%,
05/01/2034
83
90
3.50%,
11/01/2034
98
106
3.50%,
01/01/2035
205
221
3.50%,
06/01/2035
175
189
3.50%,
03/01/2037
360
383
3.50%,
04/01/2037
88
93
3.50%,
06/01/2037
175
186
3.50%,
06/01/2042
151
163
3.50%,
06/01/2042
571
619
3.50%,
06/01/2042
698
756
3.50%,
07/01/2042
1,526
1,652
3.50%,
10/01/2042
805
874
3.50%,
08/01/2043
293
317
3.50%,
01/01/2044
347
373
3.50%,
01/01/2045
455
488
3.50%,
02/01/2045
135
145
3.50%,
03/01/2045
328
351
3.50%,
03/01/2045
634
677
3.50%,
06/01/2045
348
371
3.50%,
07/01/2045
335
355
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
(continued)
3.50%,
08/01/2045
$
219
$
233
3.50%,
09/01/2045
312
333
3.50%,
09/01/2045
430
459
3.50%,
10/01/2045
40
43
3.50%,
12/01/2045
846
903
3.50%,
01/01/2046
751
805
3.50%,
03/01/2046
511
548
3.50%,
03/01/2046
1,610
1,717
3.50%,
04/01/2046
826
885
3.50%,
05/01/2046
569
607
3.50%,
05/01/2046
503
540
3.50%,
06/01/2046
452
482
3.50%,
08/01/2046
246
263
3.50%,
09/01/2046
468
496
3.50%,
04/01/2047
509
539
3.50%,
11/01/2047
965
1,019
3.50%,
11/01/2047
680
720
3.50%,
12/01/2047
478
507
3.50%,
12/01/2047
947
1,002
3.50%,
12/01/2047
845
895
3.50%,
03/01/2048
802
849
3.50%,
08/01/2048
456
481
4.00%,
12/01/2024
96
102
4.00%,
12/01/2030
22
23
4.00%,
11/01/2033
152
165
4.00%,
07/01/2034
105
114
4.00%,
04/01/2038
241
260
4.00%,
12/01/2040
210
231
4.00%,
02/01/2044
186
206
4.00%,
04/01/2044
249
272
4.00%,
05/01/2044
106
116
4.00%,
06/01/2044
177
193
4.00%,
07/01/2044
304
331
4.00%,
09/01/2044
109
118
4.00%,
11/01/2044
362
398
4.00%,
12/01/2044
1,269
1,378
4.00%,
01/01/2045
324
354
4.00%,
04/01/2045
47
51
4.00%,
05/01/2045
175
190
4.00%,
07/01/2045
246
266
4.00%,
08/01/2045
453
492
4.00%,
09/01/2045
1,167
1,264
4.00%,
10/01/2045
627
678
4.00%,
10/01/2045
63
68
4.00%,
11/01/2045
74
81
4.00%,
12/01/2045
88
96
4.00%,
02/01/2046
128
139
4.00%,
05/01/2046
212
231
4.00%,
03/01/2047
320
344
4.00%,
10/01/2047
613
656
4.00%,
12/01/2047
776
831
4.00%,
07/01/2048
525
559
4.00%,
11/01/2048
251
268
4.50%,
10/01/2030
94
104
4.50%,
05/01/2031
11
12
4.50%,
10/01/2039
243
268
4.50%,
02/01/2041
179
198
4.50%,
03/01/2041
281
314
4.50%,
09/01/2043
117
131
4.50%,
11/01/2043
265
296
4.50%,
12/01/2043
177
197
4.50%,
03/01/2044
379
423
4.50%,
04/01/2044
168
186
4.50%,
09/01/2044
262
291
4.50%,
10/01/2044
108
118
4.50%,
02/01/2047
80
87
4.50%,
03/01/2047
146
159
4.50%,
07/01/2047
119
129
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
101
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
(continued)
4.50%,
11/01/2047
$
31
$
33
4.50%,
05/01/2048
280
303
4.50%,
07/01/2048
135
146
4.50%,
05/01/2049
6,149
6,641
5.00%,
11/01/2035
74
85
5.00%,
12/01/2036
216
249
5.00%,
08/01/2039
103
119
5.00%,
11/01/2039
312
359
5.00%,
03/01/2041
93
107
5.00%,
12/01/2041
116
130
5.00%,
02/01/2042
463
532
5.00%,
04/01/2044
114
130
5.00%,
02/01/2048
151
166
5.00%,
06/01/2048
151
166
5.00%,
07/01/2048
81
89
5.50%,
06/01/2034
101
116
5.50%,
07/01/2038
89
101
5.50%,
07/01/2038
114
133
5.50%,
12/01/2038
214
247
5.50%,
10/01/2039
338
390
5.50%,
06/01/2041
129
149
6.00%,
04/01/2023
1
—
6.00%,
04/01/2038
350
410
6.00%,
11/01/2038
113
130
$
81,343
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
16.59%
2.00%,
09/01/2029
313
326
2.00%,
05/01/2030
140
146
2.00%,
12/01/2031
242
253
2.00%,
02/01/2032
144
150
2.00%,
09/01/2035
(k)
4,500
4,682
2.00%,
09/01/2050
(k)
3,000
3,094
2.50%,
01/01/2028
126
132
2.50%,
07/01/2028
118
124
2.50%,
07/01/2028
326
342
2.50%,
11/01/2028
397
417
2.50%,
09/01/2029
250
262
2.50%,
02/01/2030
99
104
2.50%,
03/01/2030
301
317
2.50%,
05/01/2030
300
315
2.50%,
07/01/2030
131
137
2.50%,
08/01/2030
340
357
2.50%,
08/01/2030
376
395
2.50%,
12/01/2030
391
411
2.50%,
03/01/2031
350
368
2.50%,
03/01/2031
78
82
2.50%,
03/01/2031
455
478
2.50%,
05/01/2031
164
172
2.50%,
07/01/2031
404
424
2.50%,
11/01/2031
2,048
2,153
2.50%,
11/01/2031
581
610
2.50%,
12/01/2031
118
124
2.50%,
01/01/2032
302
318
2.50%,
01/01/2032
172
180
2.50%,
02/01/2032
161
170
2.50%,
03/01/2032
188
198
2.50%,
09/01/2032
159
167
2.50%,
12/01/2032
366
385
2.50%,
01/01/2033
497
522
2.50%,
04/01/2033
1,462
1,535
2.50%,
07/01/2033
16
17
2.50%,
10/01/2034
2,395
2,514
2.50%,
02/01/2035
2,148
2,254
2.50%,
09/01/2035
(k)
3,500
3,672
2.50%,
10/01/2036
60
64
2.50%,
10/01/2036
168
177
2.50%,
12/01/2036
160
168
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
2.50%,
07/01/2040
$
3,180
$
3,348
2.50%,
01/01/2043
138
147
2.50%,
05/01/2043
164
175
2.50%,
10/01/2043
129
138
2.50%,
08/01/2046
120
127
2.50%,
12/01/2046
163
175
2.50%,
12/01/2046
181
194
2.50%,
09/01/2050
(k)
43,000
45,254
3.00%,
04/01/2027
102
107
3.00%,
01/01/2029
89
95
3.00%,
02/01/2029
77
81
3.00%,
12/01/2029
180
189
3.00%,
12/01/2029
88
93
3.00%,
01/01/2030
402
423
3.00%,
01/01/2030
474
498
3.00%,
01/01/2030
85
89
3.00%,
06/01/2030
301
317
3.00%,
07/01/2030
526
552
3.00%,
09/01/2030
101
106
3.00%,
10/01/2030
445
468
3.00%,
11/01/2030
440
462
3.00%,
12/01/2030
86
91
3.00%,
12/01/2030
423
446
3.00%,
02/01/2031
320
337
3.00%,
03/01/2031
251
264
3.00%,
04/01/2031
101
106
3.00%,
09/01/2031
466
490
3.00%,
12/01/2031
204
215
3.00%,
08/01/2032
418
439
3.00%,
09/01/2032
116
122
3.00%,
01/01/2033
49
52
3.00%,
04/01/2033
49
52
3.00%,
07/01/2033
170
179
3.00%,
02/01/2034
116
122
3.00%,
08/01/2034
518
553
3.00%,
09/01/2034
322
343
3.00%,
11/01/2034
254
269
3.00%,
12/01/2034
2,781
2,919
3.00%,
12/01/2034
117
124
3.00%,
02/01/2035
109
116
3.00%,
02/01/2035
175
185
3.00%,
05/01/2035
554
584
3.00%,
06/01/2035
319
338
3.00%,
09/01/2035
(k)
7,900
8,293
3.00%,
11/01/2035
134
142
3.00%,
02/01/2036
137
145
3.00%,
07/01/2036
226
239
3.00%,
12/01/2036
242
256
3.00%,
12/01/2036
166
176
3.00%,
12/01/2036
282
299
3.00%,
02/01/2037
266
282
3.00%,
11/01/2039
1,604
1,692
3.00%,
06/01/2040
2,940
3,100
3.00%,
04/01/2042
137
147
3.00%,
11/01/2042
527
565
3.00%,
12/01/2042
1,387
1,494
3.00%,
04/01/2043
567
612
3.00%,
04/01/2043
542
581
3.00%,
04/01/2043
15
16
3.00%,
04/01/2043
145
155
3.00%,
04/01/2043
303
325
3.00%,
05/01/2043
251
269
3.00%,
05/01/2043
426
455
3.00%,
05/01/2043
560
604
3.00%,
05/01/2043
133
142
3.00%,
05/01/2043
1,019
1,093
3.00%,
06/01/2043
441
472
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
102
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
3.00%,
06/01/2043
$
612
$
655
3.00%,
06/01/2043
159
170
3.00%,
07/01/2043
559
599
3.00%,
07/01/2043
807
868
3.00%,
07/01/2043
135
146
3.00%,
07/01/2043
677
726
3.00%,
08/01/2043
93
99
3.00%,
08/01/2043
741
794
3.00%,
10/01/2043
648
694
3.00%,
10/01/2043
359
385
3.00%,
11/01/2043
164
175
3.00%,
01/01/2045
307
326
3.00%,
01/01/2045
869
932
3.00%,
01/01/2045
162
173
3.00%,
08/01/2045
200
212
3.00%,
12/01/2045
284
301
3.00%,
12/01/2045
338
358
3.00%,
01/01/2046
489
518
3.00%,
03/01/2046
193
204
3.00%,
04/01/2046
107
114
3.00%,
04/01/2046
577
610
3.00%,
04/01/2046
1,158
1,224
3.00%,
05/01/2046
471
498
3.00%,
05/01/2046
207
219
3.00%,
05/01/2046
186
197
3.00%,
08/01/2046
184
195
3.00%,
10/01/2046
847
897
3.00%,
11/01/2046
384
407
3.00%,
11/01/2046
1,081
1,144
3.00%,
11/01/2046
454
479
3.00%,
11/01/2046
781
826
3.00%,
11/01/2046
559
592
3.00%,
11/01/2046
772
820
3.00%,
12/01/2046
337
356
3.00%,
12/01/2046
764
808
3.00%,
12/01/2046
817
865
3.00%,
01/01/2047
857
907
3.00%,
02/01/2047
331
350
3.00%,
03/01/2047
263
278
3.00%,
07/01/2047
1,007
1,065
3.00%,
09/01/2048
345
364
3.00%,
09/01/2049
2,701
2,849
3.00%,
10/01/2049
1,610
1,702
3.00%,
10/01/2049
3,687
3,890
3.00%,
10/01/2049
2,722
2,871
3.00%,
10/01/2049
3,493
3,686
3.00%,
10/01/2049
3,359
3,551
3.00%,
11/01/2049
8,971
9,461
3.00%,
11/01/2049
2,916
3,106
3.00%,
11/01/2049
1,728
1,825
3.00%,
11/01/2049
2,648
2,792
3.00%,
03/01/2050
6,233
6,587
3.00%,
09/01/2050
(k)
28,440
29,980
3.50%,
12/01/2025
83
88
3.50%,
01/01/2026
270
285
3.50%,
10/01/2026
238
252
3.50%,
12/01/2026
156
165
3.50%,
06/01/2027
144
152
3.50%,
03/01/2029
124
132
3.50%,
09/01/2029
155
164
3.50%,
10/01/2029
236
249
3.50%,
11/01/2030
104
111
3.50%,
04/01/2032
23
25
3.50%,
07/01/2032
19
20
3.50%,
09/01/2032
21
23
3.50%,
12/01/2032
2,875
3,091
3.50%,
10/01/2033
254
269
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
3.50%,
10/01/2033
$
256
$
271
3.50%,
10/01/2033
12
13
3.50%,
05/01/2034
66
72
3.50%,
06/01/2034
47
51
3.50%,
07/01/2034
297
321
3.50%,
09/01/2034
229
243
3.50%,
10/01/2034
72
76
3.50%,
09/01/2035
(k)
1,000
1,057
3.50%,
12/01/2035
396
427
3.50%,
02/01/2036
84
91
3.50%,
07/01/2036
126
135
3.50%,
08/01/2036
136
144
3.50%,
02/01/2037
69
73
3.50%,
05/01/2037
108
114
3.50%,
06/01/2038
192
202
3.50%,
07/01/2038
175
184
3.50%,
03/01/2041
35
38
3.50%,
02/01/2042
348
377
3.50%,
03/01/2042
83
90
3.50%,
05/01/2042
511
553
3.50%,
06/01/2042
470
510
3.50%,
07/01/2042
85
92
3.50%,
10/01/2042
681
738
3.50%,
04/01/2043
622
673
3.50%,
05/01/2043
400
434
3.50%,
05/01/2043
616
668
3.50%,
06/01/2043
118
128
3.50%,
08/01/2043
471
511
3.50%,
09/01/2043
1,307
1,417
3.50%,
11/01/2043
172
184
3.50%,
01/01/2044
155
167
3.50%,
01/01/2044
1,396
1,541
3.50%,
07/01/2044
710
770
3.50%,
10/01/2044
277
296
3.50%,
11/01/2044
306
327
3.50%,
12/01/2044
382
407
3.50%,
12/01/2044
412
440
3.50%,
01/01/2045
459
490
3.50%,
02/01/2045
473
504
3.50%,
02/01/2045
302
323
3.50%,
04/01/2045
270
288
3.50%,
04/01/2045
423
460
3.50%,
07/01/2045
502
535
3.50%,
08/01/2045
262
280
3.50%,
08/01/2045
302
322
3.50%,
09/01/2045
244
260
3.50%,
10/01/2045
241
259
3.50%,
10/01/2045
154
165
3.50%,
11/01/2045
368
392
3.50%,
11/01/2045
375
400
3.50%,
11/01/2045
208
223
3.50%,
12/01/2045
490
524
3.50%,
12/01/2045
517
551
3.50%,
12/01/2045
455
485
3.50%,
12/01/2045
426
454
3.50%,
12/01/2045
29
31
3.50%,
12/01/2045
164
175
3.50%,
12/01/2045
218
232
3.50%,
01/01/2046
101
108
3.50%,
01/01/2046
510
544
3.50%,
01/01/2046
520
555
3.50%,
01/01/2046
511
544
3.50%,
02/01/2046
177
188
3.50%,
03/01/2046
607
647
3.50%,
03/01/2046
137
146
3.50%,
03/01/2046
460
491
3.50%,
04/01/2046
586
624
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
103
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
3.50%,
04/01/2046
$
94
$
101
3.50%,
05/01/2046
216
229
3.50%,
05/01/2046
103
109
3.50%,
06/01/2046
126
135
3.50%,
07/01/2046
530
566
3.50%,
09/01/2046
357
381
3.50%,
12/01/2046
406
433
3.50%,
02/01/2047
720
764
3.50%,
03/01/2047
337
358
3.50%,
06/01/2047
653
691
3.50%,
10/01/2047
738
778
3.50%,
10/01/2047
796
841
3.50%,
11/01/2047
908
962
3.50%,
12/01/2047
818
864
3.50%,
01/01/2048
1,049
1,108
3.50%,
02/01/2048
844
892
3.50%,
02/01/2048
353
374
3.50%,
03/01/2048
84
89
3.50%,
04/01/2048
628
665
3.50%,
10/01/2048
26
27
3.50%,
04/01/2049
677
717
3.50%,
06/01/2049
3,022
3,190
3.50%,
06/01/2049
671
710
3.50%,
06/01/2049
1,026
1,084
3.50%,
07/01/2049
2,022
2,138
3.50%,
07/01/2049
3,058
3,233
3.50%,
07/01/2049
4,026
4,242
3.50%,
07/01/2049
2,802
2,959
3.50%,
08/01/2049
1,937
2,042
3.50%,
09/01/2049
3,682
3,880
3.50%,
09/01/2049
1,923
2,045
3.50%,
09/01/2049
2,719
2,866
3.50%,
10/01/2049
2,493
2,628
3.50%,
11/01/2049
5,433
5,776
3.50%,
09/01/2050
(k)
14,250
15,032
4.00%,
12/01/2024
159
168
4.00%,
04/01/2029
8
9
4.00%,
12/01/2030
11
12
4.00%,
03/01/2031
587
624
4.00%,
03/01/2031
92
98
4.00%,
11/01/2031
15
16
4.00%,
11/01/2033
63
67
4.00%,
11/01/2033
260
281
4.00%,
10/01/2034
162
175
4.00%,
02/01/2036
228
246
4.00%,
01/01/2037
78
85
4.00%,
10/01/2037
129
139
4.00%,
03/01/2038
57
61
4.00%,
07/01/2038
246
264
4.00%,
12/01/2038
161
173
4.00%,
01/01/2039
220
235
4.00%,
09/01/2040
90
99
4.00%,
01/01/2041
94
104
4.00%,
02/01/2041
34
38
4.00%,
12/01/2041
157
173
4.00%,
06/01/2042
134
148
4.00%,
06/01/2042
244
269
4.00%,
07/01/2042
749
828
4.00%,
12/01/2042
278
306
4.00%,
06/01/2043
348
384
4.00%,
09/01/2043
415
456
4.00%,
11/01/2043
452
499
4.00%,
11/01/2043
362
397
4.00%,
05/01/2044
106
116
4.00%,
08/01/2044
127
138
4.00%,
08/01/2044
94
102
4.00%,
08/01/2044
305
331
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
4.00%,
09/01/2044
$
139
$
151
4.00%,
09/01/2044
140
152
4.00%,
10/01/2044
83
90
4.00%,
11/01/2044
73
79
4.00%,
11/01/2044
96
104
4.00%,
11/01/2044
157
170
4.00%,
11/01/2044
73
79
4.00%,
12/01/2044
223
244
4.00%,
12/01/2044
170
184
4.00%,
01/01/2045
345
375
4.00%,
01/01/2045
129
141
4.00%,
02/01/2045
300
326
4.00%,
02/01/2045
119
129
4.00%,
03/01/2045
87
94
4.00%,
04/01/2045
304
328
4.00%,
08/01/2045
128
138
4.00%,
09/01/2045
399
432
4.00%,
09/01/2045
109
119
4.00%,
11/01/2045
512
558
4.00%,
12/01/2045
96
104
4.00%,
12/01/2045
176
190
4.00%,
02/01/2046
330
356
4.00%,
03/01/2046
659
712
4.00%,
04/01/2046
307
331
4.00%,
07/01/2046
126
135
4.00%,
03/01/2047
439
471
4.00%,
06/01/2047
181
193
4.00%,
08/01/2047
333
356
4.00%,
10/01/2047
336
359
4.00%,
11/01/2047
1,308
1,403
4.00%,
01/01/2048
970
1,039
4.00%,
01/01/2048
1,062
1,138
4.00%,
03/01/2048
7,645
8,213
4.00%,
05/01/2048
268
293
4.00%,
05/01/2048
1,954
2,097
4.00%,
06/01/2048
631
673
4.00%,
06/01/2048
765
817
4.00%,
07/01/2048
239
254
4.00%,
07/01/2048
443
473
4.00%,
08/01/2048
488
519
4.00%,
09/01/2048
617
657
4.00%,
09/01/2048
583
620
4.00%,
09/01/2048
485
517
4.00%,
10/01/2048
259
283
4.00%,
01/01/2049
3,697
3,968
4.00%,
01/01/2049
6,058
6,523
4.00%,
03/01/2049
1,044
1,113
4.00%,
03/01/2049
508
545
4.00%,
04/01/2049
669
713
4.00%,
04/01/2049
617
658
4.00%,
04/01/2049
299
318
4.00%,
07/01/2049
2,390
2,548
4.00%,
08/01/2049
3,615
3,850
4.00%,
10/01/2049
4,681
5,063
4.00%,
10/01/2049
3,379
3,614
4.00%,
11/01/2049
2,664
2,845
4.00%,
04/01/2050
3,815
4,156
4.50%,
08/01/2023
73
79
4.50%,
06/01/2029
19
21
4.50%,
07/01/2029
4
5
4.50%,
08/01/2030
11
12
4.50%,
01/01/2034
31
34
4.50%,
04/01/2039
123
137
4.50%,
09/01/2040
246
275
4.50%,
05/01/2041
296
331
4.50%,
08/01/2041
263
294
4.50%,
09/01/2041
382
427
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
104
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
4.50%,
09/01/2043
$
200
$
221
4.50%,
11/01/2043
152
170
4.50%,
11/01/2043
237
265
4.50%,
01/01/2044
223
245
4.50%,
02/01/2044
80
89
4.50%,
03/01/2044
193
212
4.50%,
04/01/2044
319
357
4.50%,
04/01/2044
174
194
4.50%,
05/01/2044
64
71
4.50%,
05/01/2044
246
274
4.50%,
05/01/2044
253
281
4.50%,
08/01/2044
70
76
4.50%,
08/01/2044
259
286
4.50%,
10/01/2044
173
192
4.50%,
04/01/2045
85
92
4.50%,
04/01/2046
81
89
4.50%,
05/01/2046
167
184
4.50%,
01/01/2047
115
125
4.50%,
01/01/2047
361
393
4.50%,
03/01/2048
404
437
4.50%,
10/01/2048
1,526
1,647
4.50%,
04/01/2049
804
868
4.50%,
05/01/2049
4,238
4,589
4.50%,
07/01/2049
1,277
1,379
4.50%,
07/01/2049
1,272
1,375
4.50%,
09/01/2049
2,603
2,811
5.00%,
12/01/2025
26
29
5.00%,
01/01/2039
521
597
5.00%,
07/01/2039
212
243
5.00%,
02/01/2041
106
122
5.00%,
02/01/2041
172
198
5.00%,
04/01/2041
376
433
5.00%,
05/01/2042
208
239
5.00%,
07/01/2042
95
109
5.00%,
03/01/2044
82
91
5.00%,
05/01/2044
132
147
5.00%,
02/01/2045
179
206
5.00%,
06/01/2045
505
581
5.00%,
05/01/2048
251
276
5.00%,
06/01/2048
146
161
5.00%,
08/01/2048
109
120
5.00%,
09/01/2048
86
94
5.00%,
05/01/2049
167
183
5.00%,
06/01/2049
1,448
1,585
5.00%,
07/01/2049
278
308
5.00%,
08/01/2049
1,569
1,743
5.50%,
12/01/2027
41
45
5.50%,
03/01/2038
111
129
5.50%,
05/01/2038
128
148
5.50%,
06/01/2038
173
201
5.50%,
09/01/2038
275
323
5.50%,
11/01/2038
135
154
5.50%,
04/01/2039
141
163
5.50%,
04/01/2040
180
208
6.00%,
04/01/2026
22
25
6.00%,
10/01/2036
116
134
$
395,057
Government
National
Mortgage
Association
(GNMA)
-
7.16%
2.50%,
06/20/2027
122
128
2.50%,
12/20/2030
116
121
2.50%,
03/20/2031
188
197
2.50%,
07/20/2043
145
154
2.50%,
12/20/2046
456
483
2.50%,
01/20/2047
152
161
2.50%,
09/01/2050
13,000
13,698
3.00%,
02/15/2027
73
77
3.00%,
08/20/2029
87
91
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Government
National
Mortgage
Association
(GNMA)
(continued)
3.00%,
09/20/2029
$
102
$
107
3.00%,
07/20/2030
80
84
3.00%,
01/20/2031
87
91
3.00%,
07/20/2032
116
122
3.00%,
09/20/2042
80
85
3.00%,
11/20/2042
593
630
3.00%,
12/20/2042
441
470
3.00%,
01/20/2043
431
458
3.00%,
03/20/2043
94
101
3.00%,
03/20/2043
551
586
3.00%,
03/20/2043
497
532
3.00%,
04/20/2043
689
730
3.00%,
06/20/2043
615
654
3.00%,
08/20/2043
669
711
3.00%,
05/20/2044
246
261
3.00%,
12/15/2044
60
63
3.00%,
12/20/2044
737
781
3.00%,
01/15/2045
92
96
3.00%,
01/15/2045
90
95
3.00%,
02/20/2045
76
81
3.00%,
05/20/2045
500
530
3.00%,
06/20/2045
204
216
3.00%,
07/20/2045
1,442
1,529
3.00%,
08/20/2045
663
703
3.00%,
09/20/2045
285
301
3.00%,
10/20/2045
611
646
3.00%,
12/20/2045
336
355
3.00%,
01/20/2046
154
163
3.00%,
03/20/2046
642
680
3.00%,
04/20/2046
1,466
1,552
3.00%,
05/20/2046
1,059
1,119
3.00%,
06/20/2046
1,035
1,093
3.00%,
07/20/2046
2,351
2,490
3.00%,
08/20/2046
974
1,032
3.00%,
09/20/2046
733
776
3.00%,
10/20/2046
547
578
3.00%,
11/20/2046
1,063
1,124
3.00%,
11/20/2046
783
837
3.00%,
12/15/2046
154
161
3.00%,
12/20/2046
919
972
3.00%,
01/20/2047
711
752
3.00%,
09/20/2047
200
211
3.00%,
11/20/2047
755
797
3.00%,
02/20/2048
645
680
3.00%,
09/01/2050
32,700
34,432
3.50%,
05/20/2042
166
180
3.50%,
06/20/2042
168
182
3.50%,
07/20/2042
662
718
3.50%,
09/20/2042
503
545
3.50%,
10/20/2042
365
395
3.50%,
11/20/2042
316
343
3.50%,
12/20/2042
323
350
3.50%,
01/20/2043
527
571
3.50%,
02/20/2043
832
909
3.50%,
03/20/2043
570
618
3.50%,
04/15/2043
321
341
3.50%,
04/20/2043
388
421
3.50%,
05/20/2043
250
271
3.50%,
07/20/2043
328
355
3.50%,
08/20/2043
831
898
3.50%,
09/20/2043
587
635
3.50%,
10/20/2043
277
299
3.50%,
09/20/2044
260
278
3.50%,
10/20/2044
301
323
3.50%,
11/20/2044
295
315
3.50%,
12/20/2044
304
325
3.50%,
01/20/2045
298
318
3.50%,
02/20/2045
404
431
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
105
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Government
National
Mortgage
Association
(GNMA)
(continued)
3.50%,
03/15/2045
$
112
$
119
3.50%,
03/20/2045
514
548
3.50%,
04/15/2045
54
57
3.50%,
04/20/2045
411
438
3.50%,
04/20/2045
316
337
3.50%,
05/20/2045
520
555
3.50%,
06/20/2045
78
84
3.50%,
07/20/2045
439
469
3.50%,
08/20/2045
470
501
3.50%,
09/20/2045
456
488
3.50%,
10/20/2045
415
444
3.50%,
11/20/2045
723
771
3.50%,
12/20/2045
525
560
3.50%,
01/20/2046
1,115
1,190
3.50%,
02/20/2046
446
479
3.50%,
03/20/2046
9,392
10,025
3.50%,
04/20/2046
519
555
3.50%,
05/20/2046
576
615
3.50%,
06/20/2046
1,118
1,202
3.50%,
07/20/2046
567
605
3.50%,
08/15/2046
142
150
3.50%,
08/20/2046
2,057
2,200
3.50%,
09/15/2046
96
101
3.50%,
09/20/2046
576
616
3.50%,
10/20/2046
581
621
3.50%,
11/20/2046
521
553
3.50%,
12/20/2046
445
473
3.50%,
02/20/2047
491
523
3.50%,
03/20/2047
1,076
1,147
3.50%,
04/20/2047
2,406
2,565
3.50%,
05/20/2047
503
533
3.50%,
06/20/2047
680
721
3.50%,
07/20/2047
1,700
1,805
3.50%,
08/20/2047
2,004
2,137
3.50%,
09/20/2047
618
660
3.50%,
10/20/2047
811
865
3.50%,
11/20/2047
1,554
1,657
3.50%,
12/20/2047
882
939
3.50%,
01/15/2048
102
107
3.50%,
01/20/2048
983
1,045
3.50%,
04/20/2048
685
727
3.50%,
08/20/2048
600
635
3.50%,
09/15/2048
96
109
4.00%,
11/20/2043
505
554
4.00%,
02/20/2044
205
225
4.00%,
05/15/2044
130
140
4.00%,
05/20/2044
117
128
4.00%,
07/20/2044
34
37
4.00%,
08/20/2044
255
278
4.00%,
09/20/2044
227
248
4.00%,
10/20/2044
838
915
4.00%,
11/15/2044
80
86
4.00%,
11/20/2044
166
182
4.00%,
12/20/2044
300
327
4.00%,
01/20/2045
127
139
4.00%,
03/20/2045
188
205
4.00%,
08/20/2045
264
287
4.00%,
09/15/2045
75
80
4.00%,
09/20/2045
313
340
4.00%,
10/20/2045
385
419
4.00%,
11/20/2045
528
573
4.00%,
12/15/2045
113
122
4.00%,
01/20/2046
619
670
4.00%,
02/20/2046
96
104
4.00%,
04/20/2046
372
403
4.00%,
10/20/2046
106
114
4.00%,
11/20/2046
494
534
4.00%,
01/20/2047
31
33
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Government
National
Mortgage
Association
(GNMA)
(continued)
4.00%,
02/20/2047
$
527
$
568
4.00%,
03/20/2047
376
405
4.00%,
05/20/2047
128
139
4.00%,
07/20/2047
2,638
2,849
4.00%,
09/20/2047
4,646
4,999
4.00%,
11/20/2047
856
920
4.00%,
12/20/2047
824
886
4.00%,
01/20/2048
555
596
4.00%,
02/20/2048
4,816
5,213
4.00%,
07/20/2048
714
764
4.50%,
03/15/2039
166
184
4.50%,
03/15/2040
229
253
4.50%,
07/15/2040
236
262
4.50%,
02/20/2041
36
40
4.50%,
03/20/2041
28
31
4.50%,
10/20/2043
136
152
4.50%,
11/20/2043
198
221
4.50%,
01/20/2044
247
275
4.50%,
02/20/2044
185
206
4.50%,
05/20/2044
464
516
4.50%,
07/20/2044
123
137
4.50%,
01/20/2045
95
106
4.50%,
04/20/2045
149
166
4.50%,
05/15/2045
148
164
4.50%,
05/20/2045
107
119
4.50%,
09/15/2045
71
77
4.50%,
02/20/2046
182
202
4.50%,
03/20/2046
96
107
4.50%,
04/20/2046
112
124
4.50%,
08/15/2046
91
101
4.50%,
12/20/2046
315
350
4.50%,
03/15/2047
191
211
4.50%,
06/20/2047
262
285
4.50%,
10/15/2047
166
182
4.50%,
02/20/2048
3,282
3,563
4.50%,
03/20/2048
141
153
4.50%,
05/20/2048
1,532
1,661
4.50%,
06/20/2048
444
480
4.50%,
07/20/2048
405
440
4.50%,
08/20/2048
739
798
4.50%,
09/20/2048
546
592
4.50%,
10/20/2048
559
605
4.50%,
11/20/2048
510
550
4.50%,
12/20/2048
440
475
5.00%,
05/15/2033
154
177
5.00%,
07/20/2038
141
160
5.00%,
10/15/2038
207
238
5.00%,
04/20/2039
95
108
5.00%,
10/15/2041
132
147
5.00%,
01/20/2045
163
185
5.00%,
02/20/2046
56
63
5.00%,
12/20/2046
141
160
5.00%,
06/20/2048
2,925
3,180
5.00%,
08/20/2048
77
84
5.00%,
10/20/2048
291
317
5.50%,
03/15/2038
115
127
5.50%,
02/15/2039
64
71
5.50%,
06/15/2040
242
269
5.50%,
07/20/2044
123
142
5.50%,
09/20/2044
165
195
5.50%,
12/20/2048
43
47
$
170,469
U.S.
Treasury
-
36.83%
0.13%,
05/31/2022
5,725
5,723
0.13%,
07/31/2022
8,135
8,132
0.25%,
06/30/2025
4,070
4,069
0.38%,
04/30/2025
6,635
6,674
0.38%,
07/31/2027
1,200
1,192
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
106
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
0.50%,
05/31/2027
$
555
$
556
0.50%,
06/30/2027
745
747
0.63%,
05/15/2030
5,210
5,181
1.13%,
09/30/2021
3,585
3,622
1.13%,
02/28/2022
18,700
18,972
1.13%,
02/28/2027
10,410
10,870
1.13%,
05/15/2040
3,945
3,887
1.25%,
10/31/2021
5,830
5,902
1.25%,
07/31/2023
7,125
7,352
1.25%,
08/31/2024
7,495
7,806
1.25%,
05/15/2050
3,655
3,472
1.38%,
01/31/2022
4,630
4,710
1.38%,
06/30/2023
2,745
2,840
1.38%,
08/31/2023
10,210
10,584
1.38%,
09/30/2023
3,375
3,502
1.38%,
08/31/2026
5,900
6,247
1.38%,
08/15/2050
2,580
2,532
1.50%,
09/30/2021
1,450
1,471
1.50%,
10/31/2021
3,950
4,012
1.50%,
11/30/2021
6,450
6,558
1.50%,
01/31/2022
3,800
3,872
1.50%,
08/15/2022
2,200
2,258
1.50%,
09/15/2022
5,465
5,617
1.50%,
02/28/2023
2,090
2,161
1.50%,
03/31/2023
3,520
3,643
1.50%,
09/30/2024
525
552
1.50%,
11/30/2024
6,000
6,324
1.50%,
08/15/2026
5,875
6,261
1.50%,
02/15/2030
3,760
4,051
1.63%,
12/31/2021
3,025
3,084
1.63%,
08/15/2022
953
981
1.63%,
08/31/2022
3,500
3,604
1.63%,
11/15/2022
4,915
5,076
1.63%,
04/30/2023
1,875
1,949
1.63%,
05/31/2023
3,000
3,122
1.63%,
10/31/2023
3,270
3,422
1.63%,
02/15/2026
11,523
12,331
1.63%,
05/15/2026
5,851
6,272
1.63%,
09/30/2026
4,225
4,538
1.63%,
11/30/2026
4,745
5,101
1.63%,
08/15/2029
6,575
7,147
1.75%,
11/30/2021
3,600
3,671
1.75%,
02/28/2022
2,815
2,882
1.75%,
03/31/2022
3,070
3,148
1.75%,
04/30/2022
3,325
3,414
1.75%,
05/15/2022
2,620
2,691
1.75%,
05/31/2022
3,370
3,464
1.75%,
06/15/2022
510
525
1.75%,
06/30/2022
2,730
2,810
1.75%,
09/30/2022
12,360
12,776
1.75%,
01/31/2023
2,110
2,192
1.75%,
05/15/2023
4,000
4,173
1.75%,
07/31/2024
11,385
12,071
1.75%,
11/15/2029
3,475
3,821
1.88%,
11/30/2021
4,660
4,760
1.88%,
01/31/2022
1,670
1,711
1.88%,
02/28/2022
3,370
3,457
1.88%,
03/31/2022
3,750
3,852
1.88%,
04/30/2022
1,160
1,193
1.88%,
05/31/2022
1,580
1,628
1.88%,
07/31/2022
2,850
2,944
1.88%,
08/31/2022
2,655
2,747
1.88%,
09/30/2022
3,210
3,326
1.88%,
10/31/2022
3,955
4,104
1.88%,
08/31/2024
2,065
2,202
1.88%,
06/30/2026
2,675
2,908
1.88%,
07/31/2026
3,700
4,026
2.00%,
10/31/2021
4,750
4,852
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
2.00%,
12/31/2021
$
3,000
$
3,074
2.00%,
02/15/2022
4,000
4,107
2.00%,
10/31/2022
6,420
6,678
2.00%,
11/30/2022
3,785
3,943
2.00%,
02/15/2023
4,741
4,956
2.00%,
04/30/2024
1,990
2,121
2.00%,
05/31/2024
4,660
4,974
2.00%,
06/30/2024
1,500
1,603
2.00%,
02/15/2025
8,075
8,706
2.00%,
08/15/2025
4,020
4,362
2.00%,
11/15/2026
2,840
3,117
2.00%,
02/15/2050
6,775
7,670
2.13%,
09/30/2021
4,400
4,493
2.13%,
12/31/2021
2,000
2,052
2.13%,
05/15/2022
1,000
1,034
2.13%,
06/30/2022
2,000
2,072
2.13%,
12/31/2022
4,080
4,268
2.13%,
02/29/2024
5,315
5,675
2.13%,
03/31/2024
4,200
4,491
2.13%,
09/30/2024
7,825
8,433
2.13%,
11/30/2024
5,450
5,888
2.13%,
05/15/2025
6,500
7,068
2.13%,
05/31/2026
3,650
4,017
2.25%,
04/15/2022
3,440
3,557
2.25%,
01/31/2024
4,855
5,198
2.25%,
04/30/2024
3,710
3,989
2.25%,
10/31/2024
8,350
9,055
2.25%,
11/15/2024
10,245
11,117
2.25%,
12/31/2024
4,000
4,348
2.25%,
11/15/2025
7,120
7,838
2.25%,
03/31/2026
4,985
5,512
2.25%,
02/15/2027
5,910
6,596
2.25%,
08/15/2027
6,565
7,363
2.25%,
11/15/2027
2,610
2,935
2.25%,
08/15/2046
3,620
4,266
2.25%,
08/15/2049
6,335
7,538
2.38%,
03/15/2022
3,535
3,656
2.38%,
01/31/2023
2,985
3,146
2.38%,
08/15/2024
8,135
8,830
2.38%,
04/30/2026
2,895
3,224
2.38%,
05/15/2027
6,075
6,847
2.38%,
05/15/2029
8,100
9,312
2.38%,
11/15/2049
2,520
3,079
2.50%,
01/15/2022
3,735
3,855
2.50%,
02/15/2022
3,375
3,490
2.50%,
03/31/2023
2,905
3,082
2.50%,
08/15/2023
5,285
5,650
2.50%,
01/31/2024
3,600
3,885
2.50%,
05/15/2024
3,500
3,799
2.50%,
01/31/2025
2,500
2,749
2.50%,
02/28/2026
2,840
3,177
2.50%,
02/15/2045
3,500
4,297
2.50%,
02/15/2046
815
1,004
2.50%,
05/15/2046
4,080
5,030
2.63%,
12/15/2021
3,185
3,286
2.63%,
02/28/2023
3,030
3,218
2.63%,
06/30/2023
2,000
2,140
2.63%,
12/31/2023
3,435
3,715
2.63%,
12/31/2025
2,160
2,425
2.63%,
01/31/2026
6,790
7,632
2.63%,
02/15/2029
11,500
13,424
2.75%,
09/15/2021
1,310
1,345
2.75%,
04/30/2023
2,875
3,074
2.75%,
05/31/2023
2,900
3,107
2.75%,
07/31/2023
2,818
3,031
2.75%,
08/31/2023
2,875
3,098
2.75%,
11/15/2023
6,380
6,906
2.75%,
02/15/2024
4,600
5,008
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
107
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
2.75%,
02/28/2025
$
3,500
$
3,893
2.75%,
08/31/2025
425
477
2.75%,
02/15/2028
4,790
5,573
2.75%,
08/15/2042
2,209
2,823
2.75%,
11/15/2042
3,230
4,123
2.75%,
08/15/2047
5,100
6,614
2.75%,
11/15/2047
4,620
6,001
2.88%,
10/15/2021
3,590
3,699
2.88%,
09/30/2023
2,935
3,180
2.88%,
10/31/2023
1,725
1,873
2.88%,
11/30/2023
3,445
3,747
2.88%,
04/30/2025
3,325
3,730
2.88%,
05/31/2025
2,000
2,248
2.88%,
07/31/2025
2,000
2,255
2.88%,
11/30/2025
1,470
1,667
2.88%,
05/15/2028
6,645
7,817
2.88%,
08/15/2028
7,155
8,446
2.88%,
05/15/2043
1,305
1,699
2.88%,
08/15/2045
3,000
3,933
2.88%,
11/15/2046
4,855
6,407
2.88%,
05/15/2049
3,435
4,600
3.00%,
09/30/2025
540
614
3.00%,
10/31/2025
3,000
3,416
3.00%,
05/15/2042
1,245
1,651
3.00%,
11/15/2044
3,755
5,005
3.00%,
05/15/2045
825
1,102
3.00%,
11/15/2045
2,620
3,512
3.00%,
02/15/2047
3,135
4,235
3.00%,
05/15/2047
3,235
4,375
3.00%,
02/15/2048
2,325
3,158
3.00%,
08/15/2048
5,075
6,916
3.00%,
02/15/2049
4,180
5,716
3.13%,
11/15/2028
7,025
8,460
3.13%,
11/15/2041
2,600
3,503
3.13%,
02/15/2042
1,140
1,539
3.13%,
02/15/2043
2,680
3,621
3.13%,
08/15/2044
3,605
4,895
3.13%,
05/15/2048
3,250
4,516
3.38%,
05/15/2044
3,845
5,414
3.38%,
11/15/2048
6,375
9,273
3.63%,
08/15/2043
2,840
4,133
3.63%,
02/15/2044
1,245
1,815
3.75%,
08/15/2041
2,660
3,895
3.75%,
11/15/2043
2,960
4,387
3.88%,
08/15/2040
2,230
3,294
4.25%,
05/15/2039
2,135
3,269
4.25%,
11/15/2040
1,038
1,608
4.38%,
02/15/2038
495
761
4.38%,
05/15/2040
389
609
4.38%,
05/15/2041
1,610
2,542
4.50%,
02/15/2036
1,550
2,345
4.50%,
05/15/2038
1,000
1,561
4.50%,
08/15/2039
2,945
4,646
4.63%,
02/15/2040
925
1,487
4.75%,
02/15/2041
2,589
4,262
5.25%,
11/15/2028
409
563
5.25%,
02/15/2029
795
1,103
5.38%,
02/15/2031
2,620
3,866
6.00%,
02/15/2026
2,000
2,614
6.13%,
11/15/2027
1,260
1,767
6.25%,
05/15/2030
2,000
3,057
6.38%,
08/15/2027
1,540
2,165
6.50%,
11/15/2026
1,000
1,376
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
6.63%,
02/15/2027
$
795
$
1,110
$
876,923
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
1,523,792
Total
Investments
$
2,548,942
Other
Assets
and
Liabilities
- (7.06)%
(168,000)
TOTAL
NET
ASSETS
-
100.00%
$
2,380,942
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$4,668
or
0.20%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
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
$14,335
or
0.60%
of
net
assets.
(f)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(g)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(h)
Security
purchased
on
a
when-issued
basis.
(i)
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.
(j)
Credit
support
indicates
investments
that
benefit
from
credit
enhancement
or
liquidity
support
provided
by
a
third
party
bank,
institution,
or
government
agency.
(k)
Security
was
purchased
in
a
"to-be-announced"
("TBA")
transaction. See
Notes
to
Financial
Statements
for
additional
information.
Portfolio
Summary (unaudited)
Sector
Percent
Government
41.45%
Mortgage
Securities
28.83%
Financial
8.80%
Money
Market
Funds
7.36%
Consumer,
Non-cyclical
5.22%
Communications
2.90%
Energy
2.49%
Utilities
2.35%
Industrial
2.23%
Technology
2.05%
Consumer,
Cyclical
1.47%
Basic
Materials
0.73%
Revenue
Bonds
0.37%
Asset
Backed
Securities
0.31%
General
Obligation
Unlimited
0.24%
Investment
Companies
0.20%
Insured
0.03%
General
Obligation
Limited
0.03%
Other
Assets
and
Liabilities
(7.06)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Bond
Market
Index
Fund
August
31,
2020
See
accompanying
notes.
108
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
74,643
$
1,256,873
$
1,160,842
$
170,674
$
74,643
$
1,256,873
$
1,160,842
$
170,674
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
937
$
—
$
—
$
—
$
937
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
109
INVESTMENT
COMPANIES
-
2.40%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.21%
Invesco
S&P
Global
Water
Index
ETF
(a)
26,902
$
1,100
SPDR
S&P
Global
Natural
Resources
ETF
144,450
5,696
$
6,796
Money
Market
Funds
-
2.19%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(b),(c),(d),(e)
69,408,153
69,408
TOTAL
INVESTMENT
COMPANIES
$
76,204
COMMON
STOCKS
-
50.32%
Shares
Held
Value
(000's)
Advertising
-
0.02%
Clear
Channel
Outdoor
Holdings
Inc
(c)
596,711
$
698
Agriculture
-
0.92%
Archer-Daniels-Midland
Co
384,136
17,194
Bunge
Ltd
266,199
12,144
$
29,338
Automobile
Parts
&
Equipment
-
0.03%
Georg
Fischer
AG
1,063
1,058
Biotechnology
-
0.08%
Advanz
Pharma
Corp
Ltd
(c),(f)
15,259
51
Corteva
Inc
88,252
2,520
$
2,571
Building
Materials
-
0.73%
American
Woodmark
Corp
(c)
9,101
796
Builders
FirstSource
Inc
(c)
37,752
1,156
Fortune
Brands
Home
&
Security
Inc
12,216
1,027
Geberit
AG
5,596
3,221
Louisiana-Pacific
Corp
276,983
9,124
Norbord
Inc
182,827
6,252
Pinnacle
Renewable
Energy
Inc
84,404
423
UFP
Industries
Inc
21,982
1,305
$
23,304
Chemicals
-
1.88%
Air
Liquide
SA
48,933
8,114
CF
Industries
Holdings
Inc
254,744
8,312
FMC
Corp
95,986
10,257
ICL
Group
Ltd
696,100
2,586
Ingevity
Corp
(c)
12,731
715
K+S
AG
(a)
379,013
2,643
Lenzing
AG
(c)
2,999
155
Mosaic
Co/The
573,979
10,464
Nutrien
Ltd
70,900
2,626
OCI
NV
(c)
213,292
2,891
Olin
Corp
41,342
465
Sociedad
Quimica
y
Minera
de
Chile
SA
ADR
98,887
3,101
Yara
International
ASA
175,285
7,344
$
59,673
Commercial
Services
-
1.50%
ALEATICA
SAB
de
CV
7,085,204
6,119
Atlantia
SpA
(c)
654,331
10,389
Atlas
Arteria
Ltd
1,603,052
7,691
Cengage
Learning
Holdings
II
Inc
(c)
2,772
10
Sembcorp
Industries
Ltd
217,100
298
Transurban
Group
2,350,164
23,246
$
47,753
Consumer
Products
-
0.13%
Avery
Dennison
Corp
21,780
2,513
Kimberly-Clark
Corp
10,828
1,708
$
4,221
Cosmetics
&
Personal
Care
-
0.10%
Essity
AB
(c)
42,675
1,469
Kao
Corp
5,300
404
Unicharm
Corp
30,600
1,333
$
3,206
Electric
-
8.38%
ACEA
SpA
10,665
219
Algonquin
Power
&
Utilities
Corp
125,000
1,733
American
Electric
Power
Co
Inc
172,599
13,606
AusNet
Services
10,060,489
13,494
Brookfield
Renewable
Corp
268,174
13,655
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Electric
(continued)
China
Longyuan
Power
Group
Corp
Ltd
2,532,000
$
1,596
Clearway
Energy
Inc
-
Class
C
558,425
14,246
CLP
Holdings
Ltd
578,500
5,680
CMS
Energy
Corp
72,560
4,389
Dominion
Energy
Inc
52,182
4,093
DTE
Energy
Co
26,131
3,101
Duke
Energy
Corp
116,109
9,328
Edison
International
136,778
7,178
EDP
-
Energias
de
Portugal
SA
2,374,517
12,071
Emera
Inc
265,411
10,835
Hera
SpA
188,249
719
Hydro
One
Ltd
(g)
215,060
4,452
Iberdrola
SA
693,815
8,754
Infraestructura
Energetica
Nova
SAB
de
CV
1,952,426
5,676
NextEra
Energy
Inc
70,932
19,802
Orsted
A/S
(g)
29,286
4,146
PPL
Corp
107,959
2,983
Public
Service
Enterprise
Group
Inc
144,951
7,572
Red
Electrica
Corp
SA
906,632
17,351
Sempra
Energy
144,982
17,927
Southern
Co/The
209,724
10,944
Spark
Infrastructure
Group
9,356,339
15,363
SSE
PLC
683,913
11,527
Terna
Rete
Elettrica
Nazionale
SpA
2,089,730
15,118
Transmissora
Alianca
de
Energia
Eletrica
SA
1,681,600
8,677
$
266,235
Electronics
-
0.21%
Badger
Meter
Inc
7,540
465
Halma
PLC
97,839
2,901
Itron
Inc
(c)
41,131
2,450
Watts
Water
Technologies
Inc
7,149
685
$
6,501
Energy
-
Alternate
Sources
-
0.98%
First
Solar
Inc
(c)
61,498
4,710
NEL
ASA
(c)
621,007
1,511
NextEra
Energy
Partners
LP
(a)
301,662
18,196
Vestas
Wind
Systems
A/S
43,624
6,596
$
31,013
Engineering
&
Construction
-
2.23%
Aegion
Corp
(c)
7,337
119
Aena
SME
SA
(c),(g)
96,799
14,451
Aeroports
de
Paris
25,233
2,634
Auckland
International
Airport
Ltd
1,715,327
7,634
Enav
SpA
(g)
2,174,295
9,148
Flughafen
Zurich
AG
(c)
52,088
7,849
Fomento
de
Construcciones
y
Contratas
SA
12,112
119
Grupo
Aeroportuario
del
Pacifico
SAB
de
CV
465,600
3,621
Sacyr
SA
624,507
1,420
Sydney
Airport
3,962,335
16,648
Vinci
SA
78,361
7,342
$
70,985
Environmental
Control
-
0.55%
Casella
Waste
Systems
Inc
(c)
129,930
7,295
China
Water
Affairs
Group
Ltd
202,000
166
Clean
Harbors
Inc
(c)
46,652
2,850
Covanta
Holding
Corp
260,588
2,460
Energy
Recovery
Inc
(c)
8,564
73
Evoqua
Water
Technologies
Corp
(c)
18,661
382
Kurita
Water
Industries
Ltd
27,700
867
METAWATER
Co
Ltd
2,800
118
Pentair
PLC
43,523
1,965
Tetra
Tech
Inc
13,020
1,202
$
17,378
Food
-
0.16%
Ingredion
Inc
28,616
2,302
Wilmar
International
Ltd
856,000
2,739
$
5,041
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
110
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Forest
Products
&
Paper
-
1.99%
Acadian
Timber
Corp
115,817
$
1,475
BillerudKorsnas
AB
57,387
967
Canfor
Corp
(c)
315,522
4,115
Clearwater
Paper
Corp
(c)
15,826
533
Domtar
Corp
26,295
750
Empresas
CMPC
SA
471,739
980
Holmen
AB
52,982
1,890
Interfor
Corp
(c)
321,508
4,215
International
Paper
Co
116,064
4,209
Mercer
International
Inc
67,785
568
Mondi
PLC
212,046
4,173
Nine
Dragons
Paper
Holdings
Ltd
3,596,000
3,984
Oji
Holdings
Corp
775,100
3,502
Sappi
Ltd
(c)
301,883
397
Smurfit
Kappa
Group
PLC
124,243
4,399
Stora
Enso
Oyj
424,920
6,266
Sumitomo
Forestry
Co
Ltd
103,800
1,657
Suzano
SA
(c)
232,500
2,143
Svenska
Cellulosa
AB
SCA
(c)
405,949
5,242
UPM-
Kymmene
Oyj
146,052
4,433
West
Fraser
Timber
Co
Ltd
101,574
5,447
Western
Forest
Products
Inc
1,928,967
1,745
$
63,090
Gas
-
1.92%
Atmos
Energy
Corp
30,066
3,001
Enagas
SA
361,352
8,849
Italgas
SpA
1,060,804
6,832
National
Grid
PLC
1,372,138
15,368
NiSource
Inc
191,219
4,237
Snam
SpA
3,580,937
18,339
Southwest
Gas
Holdings
Inc
68,758
4,323
$
60,949
Hand
&
Machine
Tools
-
0.02%
Franklin
Electric
Co
Inc
9,965
592
Healthcare
-
Products
-
0.15%
Danaher
Corp
16,351
3,376
Hengan
International
Group
Co
Ltd
170,095
1,339
$
4,715
Healthcare
-
Services
-
0.00%
Millennium
Health
LLC
(c),(f),(h),(
i
)
20,580
23
Millennium
Health
LLC
(c),(f),(h),(
i
)
19,318
19
$
42
Home
Builders
-
0.24%
DR
Horton
Inc
23,277
1,661
Lennar
Corp
-
A
Shares
20,646
1,545
PulteGroup
Inc
38,051
1,697
Toll
Brothers
Inc
38,925
1,643
TRI
Pointe
Group
Inc
(c)
63,323
1,069
$
7,615
Internet
-
0.00%
Catalina
Marketing
Corp
(c),(h),(
i
)
3,965
—
Iron
&
Steel
-
1.21%
ArcelorMittal
SA
(c)
742,805
9,357
Evraz
PLC
690,130
2,953
Fortescue
Metals
Group
Ltd
261,212
3,339
JFE
Holdings
Inc
327,600
2,478
Nippon
Steel
Corp
261,500
2,574
Novolipetsk
Steel
PJSC
125,397
2,613
Nucor
Corp
57,033
2,593
POSCO
16,491
2,553
Steel
Dynamics
Inc
155,337
4,585
thyssenkrupp
AG
(c)
357,278
2,573
Vale
SA
ADR
246,941
2,716
$
38,334
Lodging
-
0.11%
City
Developments
Ltd
598,300
3,526
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Diversified
-
0.38%
ANDRITZ
AG
40,185
$
1,344
Gorman-Rupp
Co/The
4,535
145
Husqvarna
AB
116,151
1,265
IDEX
Corp
15,716
2,832
Kadant
Inc
6,666
776
Lindsay
Corp
2,805
280
Mueller
Water
Products
Inc
-
Class
A
40,811
441
Organo
Corp
1,600
85
Valmet
Oyj
46,224
1,265
Xylem
Inc
/NY
46,628
3,739
$
12,172
Media
-
0.08%
Cumulus
Media
Inc
(c)
61,334
305
iHeartMedia
Inc
(a),(c)
253,758
2,340
$
2,645
Metal
Fabrication
&
Hardware
-
0.07%
Advanced
Drainage
Systems
Inc
13,431
745
Reliance
Worldwide
Corp
Ltd
204,581
576
Rexnord
Corp
31,578
914
$
2,235
Mining
-
4.54%
Agnico
Eagle
Mines
Ltd
37,800
3,117
Alamos
Gold
Inc
306,125
3,202
Anglo
American
PLC
784,215
19,272
Antofagasta
PLC
222,443
3,189
Barrick
Gold
Corp
555,910
16,468
BHP
Group
Ltd
104,817
2,894
Coeur
Mining
Inc
(c)
363,353
3,074
First
Quantum
Minerals
Ltd
315,307
3,121
Franco-Nevada
Corp
17,200
2,587
Freeport-McMoRan
Inc
1,164,963
18,185
Glencore
PLC
(c)
1,300,451
3,198
Kinross
Gold
Corp
(c)
1,118,623
9,931
Kirkland
Lake
Gold
Ltd
62,800
3,346
Korea
Zinc
Co
Ltd
7,896
2,645
Lundin
Mining
Corp
949,371
5,947
MMC
Norilsk
Nickel
PJSC
ADR
76,929
2,007
Newcrest
Mining
Ltd
118,732
2,796
Newmont
Corp
221,080
14,874
Norsk
Hydro
ASA
(c)
949,166
3,027
Rio
Tinto
Ltd
38,877
2,798
South32
Ltd
1,900,727
2,938
Southern
Copper
Corp
148,724
7,154
Sumitomo
Metal
Mining
Co
Ltd
86,500
2,639
Teck
Resources
Ltd
254,700
2,937
Wheaton
Precious
Metals
Corp
56,100
2,996
$
144,342
Miscellaneous
Manufacturers
-
0.09%
Aalberts
NV
24,910
938
Alfa
Laval
AB
(c)
77,585
1,896
$
2,834
Oil
&
Gas
-
4.55%
BP
PLC
637,223
2,223
Cabot
Oil
&
Gas
Corp
120,212
2,280
Canadian
Natural
Resources
Ltd
132,300
2,609
Chevron
Corp
26,285
2,206
CNOOC
Ltd
2,163,000
2,451
Comstock
Resources
Inc
(c)
388,945
2,240
Concho
Resources
Inc
155,932
8,105
ConocoPhillips
396,533
15,025
Ecopetrol
SA
ADR
231,258
2,634
Empresas
COPEC
SA
151,337
1,110
Eni
SpA
266,569
2,477
EOG
Resources
Inc
47,268
2,143
EQT
Corp
223,724
3,551
Equinor
ASA
966,839
15,645
Exxon
Mobil
Corp
52,999
2,117
Fieldwood
Energy
Inc
(c)
2,556
—
Fieldwood
Energy
LLC
(c),(f),(
i
)
12,648
—
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
111
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Oil
&
Gas
(continued)
Gazprom
PJSC
ADR
433,946
$
2,114
Hess
Corp
182,625
8,408
Imperial
Oil
Ltd
(a)
154,800
2,553
LUKOIL
PJSC
ADR
32,459
2,216
Marathon
Petroleum
Corp
314,336
11,147
Neste
Oyj
59,658
3,194
Novatek
PJSC
16,658
2,487
Occidental
Petroleum
Corp
185,962
2,369
Petroleo
Brasileiro
SA
ADR
315,560
2,578
Petroleo
Brasileiro
SA
ADR
980,430
7,853
Phillips
66
30,798
1,801
Pioneer
Natural
Resources
Co
124,512
12,940
Repsol
SA
258,791
2,044
Rosneft
Oil
Co
PJSC
463,036
2,370
Royal
Dutch
Shell
PLC
-
A
Shares
154,720
2,277
Suncor
Energy
Inc
140,500
2,255
Tatneft
PJSC
ADR
53,529
2,402
TOTAL
SE
64,432
2,556
Transocean
Ltd
(a),(c)
54,446
66
Valero
Energy
Corp
36,169
1,902
Vantage
Drilling
International
(c)
4,456
27
Woodside
Petroleum
Ltd
160,113
2,308
$
144,683
Oil
&
Gas
Services
-
0.19%
Halliburton
Co
204,958
3,316
Schlumberger
NV
130,382
2,479
Select
Energy
Services
Inc
(c)
14,988
71
$
5,866
Packaging
&
Containers
-
0.85%
Amcor
PLC
236,058
2,611
Ball
Corp
79,824
6,415
DS
Smith
PLC
693,901
2,387
Graphic
Packaging
Holding
Co
70,500
986
Greif
Inc
-
Class
A
9,311
343
Klabin
SA
200,400
942
Lee
&
Man
Paper
Manufacturing
Ltd
816,000
488
Packaging
Corp
of
America
39,096
3,958
Sealed
Air
Corp
75,084
2,951
SIG
Combibloc
Group
AG
(c)
40,920
803
Sonoco
Products
Co
19,368
1,027
Westrock
Co
139,708
4,237
$
27,148
Pipelines
-
2.83%
APA
Group
1,113,400
8,542
Cheniere
Energy
Inc
(c)
342,484
17,826
Enbridge
Inc
537,761
17,205
Enterprise
Products
Partners
LP
131,229
2,304
Gibson
Energy
Inc
483,177
8,798
Kinder
Morgan
Inc
416,013
5,749
Magellan
Midstream
Partners
LP
50,652
1,925
Pembina
Pipeline
Corp
65,922
1,633
TC
Energy
Corp
336,088
15,715
Williams
Cos
Inc
/The
497,588
10,330
$
90,027
Real
Estate
-
1.27%
Entra
ASA
(g)
312,089
4,260
Fabege
AB
312,275
3,813
Mitsubishi
Estate
Co
Ltd
469,300
7,344
Mitsui
Fudosan
Co
Ltd
128,470
2,324
New
World
Development
Co
Ltd
984,060
5,103
Sun
Hung
Kai
Properties
Ltd
135,100
1,813
Vonovia
SE
193,413
13,842
Zhongliang
Holdings
Group
Co
Ltd
2,886,100
1,860
$
40,359
REITs
-
9.72%
Alexandria
Real
Estate
Equities
Inc
74,108
12,478
Allied
Properties
Real
Estate
Investment
Trust
100,600
2,838
American
Homes
4
Rent
160,511
4,597
American
Tower
Corp
22,632
5,639
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Americold
Realty
Trust
109,343
$
4,193
Ascendas
Real
Estate
Investment
Trust
1,473,500
3,590
AvalonBay
Communities
Inc
58,966
9,320
Boston
Properties
Inc
16,807
1,460
CatchMark
Timber
Trust
Inc
194,466
1,931
CFE
Capital
S
de
RL
de
CV
5,527,451
6,232
Cousins
Properties
Inc
148,093
4,421
Crown
Castle
International
Corp
45,375
7,407
CubeSmart
99,232
3,138
Daiwa
Office
Investment
Corp
716
4,148
Dexus
708,077
4,604
Equinix
Inc
15,091
11,919
Essential
Properties
Realty
Trust
Inc
241,154
4,092
Essex
Property
Trust
Inc
46,228
10,009
Federal
Realty
Investment
Trust
34,400
2,726
Frasers
Logistics
&
Commercial
Trust
2,689,251
2,644
Gecina
SA
35,413
4,869
Goodman
Group
1,111,492
14,963
Inmobiliaria
Colonial
Socimi
SA
823,442
7,253
InterRent
Real
Estate
Investment
Trust
270,860
2,585
Invitation
Homes
Inc
404,918
11,593
Japan
Retail
Fund
Investment
Corp
1,446
2,176
Kilroy
Realty
Corp
48,191
2,820
Klepierre
SA
77,400
1,274
Link
REIT
980,770
7,802
MCUBS
MidCity
Investment
Corp
4,981
3,850
Minto
Apartment
Real
Estate
Investment
Trust
344,042
4,613
Nippon
Prologis
REIT
Inc
(c)
2,467
8,080
Park
Hotels
&
Resorts
Inc
327,500
3,108
Physicians
Realty
Trust
129,448
2,350
PotlatchDeltic
Corp
127,027
5,848
Prologis
Inc
189,893
19,343
Rayonier
Inc
284,633
8,334
Regency
Centers
Corp
104,952
4,168
Rexford
Industrial
Realty
Inc
272,113
13,056
Segro
PLC
686,071
8,723
STORE
Capital
Corp
454,120
12,279
Summit
Industrial
Income
REIT
316,247
2,878
Sun
Communities
Inc
41,900
6,246
Sunstone
Hotel
Investors
Inc
212,480
1,770
UNITE
Group
PLC/The
337,880
4,354
United
Urban
Investment
Corp
2,813
3,127
VICI
Properties
Inc
162,618
3,633
Vicinity
Centres
810,816
865
Warehouses
De
Pauw
CVA
99,000
3,501
Welltower
Inc
244,912
14,087
Weyerhaeuser
Co
395,290
11,981
$
308,915
Retail
-
0.02%
Gymboree
Corp/The
(c),(h),(
i
)
17,842
9
Gymboree
Holding
Corp
(c),(h),(
i
)
48,577
24
Home
Depot
Inc
/The
2,021
576
$
609
Software
-
0.02%
Avaya
Holdings
Corp
(c)
40,023
621
Storage
&
Warehousing
-
0.11%
Safestore
Holdings
PLC
341,743
3,578
Telecommunications
-
0.04%
Eutelsat
Communications
SA
95,902
961
Windstream
Holding
Stock
(c),(
i
)
243,644
244
$
1,205
Transportation
-
0.21%
American
Commercial
Lines
Inc
(c)
573
22
American
Commercial
Lines
Inc
-
Warrants
(c)
603
22
East
Japan
Railway
Co
74,700
4,863
West
Japan
Railway
Co
31,400
1,651
$
6,558
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
112
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Water
-
1.81%
Aguas
Andinas
SA
24,302,934
$
7,283
American
States
Water
Co
8,788
669
American
Water
Works
Co
Inc
37,855
5,350
Beijing
Enterprises
Water
Group
Ltd
(c)
1,432,000
563
California
Water
Service
Group
11,483
521
Cia
de
Saneamento
Basico
do
Estado
de
Sao
Paulo
ADR
81,494
709
Essential
Utilities
Inc
51,470
2,188
Guangdong
Investment
Ltd
686,000
1,070
Middlesex
Water
Co
4,160
267
Pennon
Group
PLC
100,381
1,341
Severn
Trent
PLC
470,489
14,592
SJW
Group
6,178
386
Suez
SA
101,077
1,746
United
Utilities
Group
PLC
1,627,257
17,880
Veolia
Environnement
SA
116,983
2,822
York
Water
Co/The
3,099
141
$
57,528
TOTAL
COMMON
STOCKS
$
1,599,163
PREFERRED
STOCKS
-
0.19%
Shares
Held
Value
(000's)
Electric
-
0.18%
Cia
de
Transmissao
de
Energia
Eletrica
Paulista
0.15%
1,500,500
$
5,880
Transportation
-
0.01%
American
Commercial
Lines
Inc
Preferred
A
0.00%
(c)
2,133
54
American
Commercial
Lines
Inc
Preferred
A
-
Warrants
0.00%,
04/30/2045
(c)
2,243
57
American
Commercial
Lines
Inc
Preferred
B
0.00%
(c)
2,428
77
American
Commercial
Lines
Inc
Preferred
B
-
Warrants
0.00%,
04/30/2045
(c)
1,706
54
$
242
TOTAL
PREFERRED
STOCKS
$
6,122
BONDS
-
13.07%
Principal
Amount
(000's)
Value
(000's)
Commercial
Mortgage
Backed
Securities
-
4.14%
BBCMS
2018-TALL
Mortgage
Trust
0.88%,
03/15/2037
(g)
$
11,000
$
10,594
1.00
x
1
Month
USD
LIBOR
+
0.72%
BBCMS
2019-BWAY
Mortgage
Trust
1.12%,
11/25/2034
(g)
12,670
12,324
1.00
x
1
Month
USD
LIBOR
+
0.96%
Benchmark
2019-B12
Mortgage
Trust
1.20%,
08/15/2052
(j),(k)
94,735
6,428
2.26%,
08/15/2052
2,515
2,563
Benchmark
2019-B15
Mortgage
Trust
0.95%,
12/15/2072
(j),(k)
16,088
956
2.00%,
12/15/2072
2,888
2,933
BF
2019-NYT
Mortgage
Trust
1.36%,
12/15/2035
(g)
6,950
6,937
1.00
x
1
Month
USD
LIBOR
+
1.20%
BHP
Trust
2019-BXHP
1.14%,
08/15/2036
(g)
8,000
7,660
1.00
x
1
Month
USD
LIBOR
+
0.98%
BX
Commercial
Mortgage
Trust
2018-IND
0.91%,
11/15/2035
(g)
2,841
2,831
1.00
x
1
Month
USD
LIBOR
+
0.75%
BX
Commercial
Mortgage
Trust
2019-XL
1.08%,
10/15/2036
(g)
2,069
2,067
1.00
x
1
Month
USD
LIBOR
+
0.92%
BX
Commercial
Mortgage
Trust
2020-BXLP
0.96%,
12/15/2036
(g)
8,992
8,961
1.00
x
1
Month
USD
LIBOR
+
0.80%
BX
Trust
2018-EXCL
1.25%,
09/15/2037
(g)
5,762
5,261
1.00
x
1
Month
USD
LIBOR
+
1.09%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
BX
Trust
2019-CALM
1.04%,
11/15/2032
(g)
$
2,500
$
2,478
1.00
x
1
Month
USD
LIBOR
+
0.88%
CAMB
Commercial
Mortgage
Trust
2019-LIFE
1.23%,
12/15/2037
(g)
4,562
4,559
1.00
x
1
Month
USD
LIBOR
+
1.07%
CGDB
Commercial
Mortgage
Trust
2019-MOB
1.11%,
11/15/2036
(g)
6,500
6,435
1.00
x
1
Month
USD
LIBOR
+
0.95%
Citigroup
Commercial
Mortgage
Trust
2019-GC41
1.19%,
08/10/2056
(j),(k)
80,550
5,939
1.95%,
08/10/2056
1,268
1,286
Citigroup
Commercial
Mortgage
Trust
2020-GC46
1.11%,
02/15/2053
(j),(k)
6,244
465
COMM
2018-HCLV
Mortgage
Trust
1.16%,
09/15/2033
(g)
10,120
9,765
1.00
x
1
Month
USD
LIBOR
+
1.00%
CORE
2019-CORE
Mortgage
Trust
1.04%,
12/15/2031
(g)
6,100
6,052
1.00
x
1
Month
USD
LIBOR
+
0.88%
DBCG
2017-BBG
Mortgage
Trust
0.86%,
06/15/2034
(g)
3,840
3,797
1.00
x
1
Month
USD
LIBOR
+
0.70%
Freddie
Mac
Multifamily
Structured
Pass
Through
Certificates
1.10%,
05/25/2026
(j),(k)
73,673
3,578
1.44%,
07/25/2026
(j),(k)
12,097
777
GS
Mortgage
Securities
Corp
Trust
2019-SMP
1.31%,
08/15/2032
(g)
4,000
3,855
1.00
x
1
Month
USD
LIBOR
+
1.15%
GS
Mortgage
Securities
Corp
Trust
2019-SOHO
1.06%,
06/15/2036
(g)
3,000
2,966
1.00
x
1
Month
USD
LIBOR
+
0.90%
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-BKWD
1.16%,
09/15/2029
(g)
5,000
4,876
1.00
x
1
Month
USD
LIBOR
+
1.00%
Merit
2020-Hill
1.31%,
08/15/2037
(g)
4,250
4,253
1.00
x
1
Month
USD
LIBOR
+
1.15%
UBS-Barclays
Commercial
Mortgage
Trust
2012-C3
3.09%,
08/10/2049
979
1,013
$
131,609
Electric
-
0.04%
Pacific
Gas
and
Electric
Co
3.15%,
01/01/2026
492
509
4.50%,
07/01/2040
(a)
537
559
$
1,068
Federal
&
Federally
Sponsored
Credit
-
1.99%
Federal
Farm
Credit
Banks
Funding
Corp
0.17%,
06/28/2021
(l)
3,800
3,800
1
Month
USD
LIBOR
+
0.01%
0.19%,
12/27/2021
(l)
11,000
11,010
1
Month
USD
LIBOR
+
0.02%
0.25%,
12/13/2021
2,100
2,101
1
Month
USD
LIBOR
+
0.09%
0.28%,
05/27/2022
(l)
12,000
12,006
Federal
Reserve
Bank
Prime
Loan
Rate
US
+
(2.97)%
0.29%,
11/05/2021
(l)
15,000
15,022
1
Month
USD
LIBOR
+
0.13%
0.39%,
01/18/2022
(l)
1,500
1,504
1
Month
USD
LIBOR
+
0.24%
0.95%,
04/08/2022
(l)
17,700
17,714
$
63,157
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
113
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Finance
-
Mortgage
Loan/Banker
-
5.34%
Fannie
Mae
0.18%,
03/04/2022
(l)
$
17,000
$
16,980
United
States
Secured
Overnight
Financing
Rate
+
0.22%
0.25%,
05/13/2022
(l)
7,000
7,011
United
States
Secured
Overnight
Financing
Rate
+
0.18%
0.30%,
05/06/2022
(l)
14,000
14,002
United
States
Secured
Overnight
Financing
Rate
+
0.23%
0.39%,
10/22/2021
1,000
1,002
United
States
Secured
Overnight
Financing
Rate
+
0.32%
0.42%,
04/07/2022
(l),(m)
40,000
40,097
United
States
Secured
Overnight
Financing
Rate
+
0.35%
0.46%,
04/15/2022
(l)
10,000
10,035
United
States
Secured
Overnight
Financing
Rate
+
0.39%
Federal
Home
Loan
Bank
Discount
Notes
0.07%,
09/02/2020
(n)
4,100
4,100
Federal
Home
Loan
Banks
0.15%,
04/05/2021
(l)
7,500
7,501
1
Month
USD
LIBOR
+
(0.01)%
0.15%,
05/03/2021
(l)
20,500
20,504
1
Month
USD
LIBOR
+
(0.01)%
0.16%,
10/15/2021
(l)
14,000
13,991
1
Month
USD
LIBOR
+
0.00%
Freddie
Mac
0.21%,
12/09/2021
(l)
6,000
6,005
United
States
Secured
Overnight
Financing
Rate
+
0.15%
0.22%,
03/04/2022
2,000
2,002
United
States
Secured
Overnight
Financing
Rate
+
0.15%
0.26%,
06/02/2022
(l)
15,000
15,023
United
States
Secured
Overnight
Financing
Rate
+
0.19%
0.39%,
09/23/2021
(l)
10,000
10,026
United
States
Secured
Overnight
Financing
Rate
+
0.32%
3.08%,
11/09/2021
(l)
1,500
1,508
$
169,787
Media
-
0.00%
iHeartCommunications
Inc
8.38%,
05/01/2027
1
1
Sovereign
-
1.56%
Colombia
Government
International
Bond
3.00%,
01/30/2030
675
695
Italy
Buoni
Poliennali
Del
Tesoro
0.40%,
05/15/2030
(g)
EUR
1,078
1,269
1.30%,
05/15/2028
(g)
2,929
3,714
Japanese
Government
CPI
Linked
Bond
0.10%,
03/10/2028
JPY
624,332
5,920
0.10%,
03/10/2029
1,661,266
15,782
Mexico
Government
International
Bond
3.25%,
04/16/2030
$
620
643
4.50%,
04/22/2029
290
327
New
Zealand
Government
Bond
1.75%,
05/15/2041
NZD
1,175
852
New
Zealand
Government
Inflation
Linked
Bond
2.00%,
09/20/2025
8,490
6,453
2.50%,
09/20/2035
3,057
2,996
2.50%,
09/20/2040
918
951
3.00%,
09/20/2030
1,053
962
Spain
Government
Bond
0.50%,
04/30/2030
(g)
EUR
4,620
5,596
1.00%,
10/31/2050
(g)
655
735
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
United
Kingdom
Gilt
1.75%,
01/22/2049
GBP
1,705
$
2,772
$
49,667
TOTAL
BONDS
$
415,289
COMMODITY
INDEXED
STRUCTURED
NOTES
-
0.68%
Principal
Amount
(000's)
Value
(000's)
Banks
-
0.68%
Royal
Bank
of
Canada;
Dow
Jones
-
UBS
Commodity
Index
Linked
Note
0.09%,
04/26/2021
(g),(k)
$
16,700
$
21,607
TOTAL
COMMODITY
INDEXED
STRUCTURED
NOTES
$
21,607
SENIOR
FLOATING
RATE
INTERESTS
-
15.09%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.31%
Advantage
Sales
&
Marketing
Inc
4.25%,
07/23/2021
(o)
$
1,256
$
1,193
3
Month
USD
LIBOR
+
3.25%
4.25%,
07/23/2021
(o)
427
405
3
Month
USD
LIBOR
+
3.25%
Affinion
Group
Inc
5.00%,
PIK
1.75%,
04/10/2024
(o),(p)
604
414
1
Month
USD
LIBOR
+
4.00%
Checkout
Holding
Corp
2.00%,
PIK
9.50%,
08/15/2023
(o),(p)
257
56
3
Month
USD
LIBOR
+
1.00%
8.50%,
02/15/2023
(o)
170
102
3
Month
USD
LIBOR
+
7.50%
Clear
Channel
Outdoor
Holdings
Inc
3.76%,
08/07/2026
(o)
5,826
5,282
1
Month
USD
LIBOR
+
3.50%
Outfront
Media
Capital
LLC
1.91%,
11/18/2026
(o)
1,157
1,117
1
Month
USD
LIBOR
+
1.75%
Red
Ventures
LLC
2.66%,
11/08/2024
(o)
628
601
1
Month
USD
LIBOR
+
2.50%
Terrier
Media
Buyer
Inc
4.41%,
12/17/2026
(o)
649
635
1
Month
USD
LIBOR
+
4.25%
$
9,805
Aerospace
&
Defense
-
0.28%
Dynasty
Acquisition
Co
Inc
3.81%,
04/06/2026
(o)
1,141
1,007
1
Month
USD
LIBOR
+
3.50%
Sequa
Mezzanine
Holdings
LLC
7.75%,
11/28/2023
(o)
2,584
2,445
1
Month
USD
LIBOR
+
6.75%
11.75%,
04/28/2024
(o)
1,174
879
3
Month
USD
LIBOR
+
9.00%
Standard
Aero
Ltd
3.81%,
04/06/2026
(o)
613
542
1
Month
USD
LIBOR
+
3.50%
TransDigm
Inc
2.41%,
05/30/2025
(o)
978
926
1
Month
USD
LIBOR
+
2.25%
2.41%,
12/24/2025
(o)
3,203
3,033
1
Month
USD
LIBOR
+
2.25%
$
8,832
Airlines
-
0.16%
Allegiant
Travel
Co
3.25%,
02/05/2024
(o)
591
547
1
Month
USD
LIBOR
+
3.00%
American
Airlines
Inc
2.16%,
04/28/2023
(o)
392
309
3
Month
USD
LIBOR
+
2.00%
2.16%,
12/14/2023
(o)
910
708
3
Month
USD
LIBOR
+
2.00%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
114
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Airlines
(continued)
Delta
Air
Lines
Inc
5.75%,
04/27/2023
(o)
$
593
$
591
1
Month
USD
LIBOR
+
4.75%
WestJet
Airlines
Ltd
4.00%,
12/11/2026
(o)
3,686
3,053
3
Month
USD
LIBOR
+
3.00%
$
5,208
Apparel
-
0.03%
Champ
Acquisition
Corp
6.57%,
12/17/2025
(o)
970
929
3
Month
USD
LIBOR
+
5.50%
Automobile
Parts
&
Equipment
-
0.13%
Clarios
Global
LP
3.64%,
04/30/2026
(o)
4,367
4,276
3
Month
USD
LIBOR
+
3.50%
Beverages
-
0.04%
Jacobs
Douwe
Egberts
International
BV
2.19%,
10/23/2025
(o)
1,400
1,377
3
Month
USD
LIBOR
+
2.00%
Biotechnology
-
0.20%
Concordia
International
Corp
6.57%,
09/06/2024
(o)
6,506
6,205
1
Week
USD
LIBOR
+
5.50%
RPI
Intermediate
Finance
Trust
1.91%,
02/05/2027
(o)
198
197
1
Month
USD
LIBOR
+
1.75%
$
6,402
Building
Materials
-
0.10%
Quikrete
Holdings
Inc
2.64%,
02/01/2027
(o)
3,293
3,205
1
Month
USD
LIBOR
+
2.50%
Casino
Hotels
-
0.03%
Golden
Nugget
LLC
3.25%,
10/04/2023
(o)
921
821
1
Month
USD
LIBOR
+
2.50%
Chemicals
-
0.11%
ASP
Unifrax
Holdings
Inc
4.82%,
12/12/2025
(o)
1,578
1,350
3
Month
USD
LIBOR
+
3.75%
Illuminate
Buyer
LLC
4.31%,
06/16/2027
(o)
750
745
1
Month
USD
LIBOR
+
4.00%
INEOS
US
Finance
LLC
2.21%,
03/31/2024
(o)
234
228
3
Month
USD
LIBOR
+
2.00%
Innophos
Holdings
Inc
3.91%,
02/04/2027
(o)
1,215
1,200
1
Month
USD
LIBOR
+
3.75%
Tronox
Finance
LLC
3.22%,
09/13/2024
(o)
33
32
3
Month
USD
LIBOR
+
3.00%
$
3,555
Coal
-
0.01%
Peabody
Energy
Corp
2.91%,
03/31/2025
(o)
949
331
3
Month
USD
LIBOR
+
2.75%
Commercial
Services
-
0.73%
Belron
Finance
2.77%,
10/25/2026
(o)
995
978
1
Month
USD
LIBOR
+
2.50%
Fly
Funding
1.99%,
08/09/2025
(o)
1,414
1,269
3
Month
USD
LIBOR
+
1.75%
Garda
World
Security
4.93%,
10/23/2026
(o)
606
603
1
Month
USD
LIBOR
+
4.75%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Services
(continued)
HGIM
Corp
7.00%,
07/02/2023
(o)
$
1,282
$
601
3
Month
USD
LIBOR
+
6.00%
North
American
Lifting
Holdings
Inc
0.00%,
11/27/2020
(c),(o)
540
361
3
Month
USD
LIBOR
+
4.50%
10.00%,
02/24/2021
(o)
55
53
1
Month
USD
LIBOR
+
9.00%
PAREXEL
International
Corp
2.89%,
09/27/2024
(o)
2,870
2,770
3
Month
USD
LIBOR
+
2.75%
Refinitiv
US
Holdings
Inc
3.40%,
10/01/2025
(o)
4,135
4,096
1
Month
USD
LIBOR
+
3.25%
Sabert
Corp
5.50%,
11/26/2026
(o)
995
984
1
Month
USD
LIBOR
+
4.50%
Sabre
GLBL
Inc
2.13%,
02/22/2024
(o)
951
882
3
Month
USD
LIBOR
+
2.00%
Syniverse
Holdings
Inc
6.00%,
02/09/2023
(o)
2,794
2,184
3
Month
USD
LIBOR
+
5.00%
10.00%,
02/09/2024
(o)
2,350
1,238
3
Month
USD
LIBOR
+
9.00%
Team
Health
Holdings
Inc
3.75%,
02/06/2024
(o)
2,180
1,810
3
Month
USD
LIBOR
+
2.75%
Trans
Union
LLC
1.91%,
11/13/2026
(o)
740
722
1
Month
USD
LIBOR
+
1.75%
Verscend
Holding
Corp
4.66%,
08/08/2025
(o)
2,003
1,986
3
Month
USD
LIBOR
+
4.50%
Wand
NewCo
3
Inc
4.07%,
02/05/2026
(o)
1,991
1,913
1
Month
USD
LIBOR
+
3.00%
WEX
Inc
2.41%,
05/14/2026
(o)
709
684
3
Month
USD
LIBOR
+
2.25%
$
23,134
Computers
-
0.47%
Dell
International
LLC
2.75%,
09/12/2025
(o)
1,667
1,655
1
Month
USD
LIBOR
+
2.00%
iQor
US
Inc
0.00%,
04/01/2021
(c),(o)
916
589
3
Month
USD
LIBOR
+
5.00%
11.95%,
09/09/2020
(o)
87
81
1
Month
USD
LIBOR
+
10.00%
McAfee
LLC
3.92%,
09/30/2024
(o)
6,819
6,748
3
Month
USD
LIBOR
+
3.75%
9.50%,
09/29/2025
(o)
656
661
3
Month
USD
LIBOR
+
8.50%
NCR
Corp
2.66%,
08/07/2026
(o)
993
961
1
Month
USD
LIBOR
+
2.50%
NeuStar
Inc
4.57%,
08/08/2024
(o)
712
666
3
Month
USD
LIBOR
+
3.50%
Perforce
Software
Inc
3.91%,
07/01/2026
(o)
993
964
1
Month
USD
LIBOR
+
3.75%
Tempo
Acquisition
LLC
4.77%,
11/02/2026
(o)
1,933
1,891
1
Month
USD
LIBOR
+
3.25%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
115
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Computers
(continued)
Western
Digital
Corp
1.91%,
04/29/2023
(o)
$
604
$
599
1
Month
USD
LIBOR
+
1.75%
$
14,815
Consumer
Products
-
0.13%
KIK
Custom
Products
Inc
5.00%,
05/15/2023
(o)
4,026
3,985
3
Month
USD
LIBOR
+
4.00%
Cosmetics
&
Personal
Care
-
0.10%
Coty
Inc
1.91%,
04/05/2023
(o)
2,320
2,086
1
Month
USD
LIBOR
+
1.50%
Revlon
Consumer
Products
Corp
4.25%,
07/21/2023
(o)
3,765
951
1
Month
USD
LIBOR
+
3.50%
$
3,037
Distribution
&
Wholesale
-
0.10%
Core
&
Main
LP
3.75%,
08/01/2024
(o)
1,458
1,424
3
Month
USD
LIBOR
+
3.00%
IAA
Inc
2.44%,
06
/28/2026
(o)
209
206
3
Month
USD
LIBOR
+
2.25%
KAR
Auction
Services
Inc
2.44%,
09/11/2026
(o)
278
269
1
Month
USD
LIBOR
+
2.25%
Univar
Solutions
USA
Inc
/Washington
2.41%,
07/01/2024
(o)
1,138
1,114
3
Month
USD
LIBOR
+
2.25%
$
3,013
Diversified
Financial
Services
-
0.05%
Avolon
TLB
Borrower
1
US
LLC
2.25%,
02/05/2027
(o)
407
383
1
Month
USD
LIBOR
+
1.50%
2.50%,
01/15/2025
(o)
942
907
3
Month
USD
LIBOR
+
1.75%
Walter
Invest
(
Ditech
)
0.00%,
06/30/2022
(c),(o)
1,225
269
3
Month
USD
LIBOR
+
7.00%
$
1,559
Electric
-
0.17%
Calpine
Corp
2.16%,
08/12/2026
(o)
1,935
1,877
1
Month
USD
LIBOR
+
2.00%
2.41%,
01/15/2024
(o)
826
808
1
Month
USD
LIBOR
+
2.25%
Exgen
Renewables
IV
LLC
4.00%,
11/28/2024
(o)
881
873
3
Month
USD
LIBOR
+
3.00%
PG&E
Corp
5.50%,
06/18/2025
(o)
1,000
983
1
Month
USD
LIBOR
+
4.50%
Vistra
Operations
Co
LLC
1.91%,
12/31/2025
(o)
1,031
1,013
1
Month
USD
LIBOR
+
1.75%
$
5,554
Electronics
-
0.03%
Tech
Data
Corp
3.63%,
06/26/2025
(o)
325
325
1
Month
USD
LIBOR
+
3.50%
TTM
Technologies
Inc
2.66%,
09/13/2024
(o)
658
644
3
Month
USD
LIBOR
+
2.50%
$
969
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Engineering
&
Construction
-
0.03%
Atlantic
Aviation
FBO
Inc
3.92%,
11/28/2025
(o)
$
739
$
723
3
Month
USD
LIBOR
+
3.75%
Brand
Industrial
Services
Inc
5.25%,
06/21/2024
(o)
378
348
3
Month
USD
LIBOR
+
4.25%
$
1,071
Entertainment
-
0.92%
AMC
Entertainment
Holdings
Inc
4.08%,
03/20/2026
(o)
2,204
1,673
3
Month
USD
LIBOR
+
3.00%
CCM
Merger
Inc
3.00%,
08/08/2021
(o)
3,152
3,106
3
Month
USD
LIBOR
+
2.25%
Crown
Finance
US
Inc
0.00%,
09/30/2026
(o),(q)
154
118
1
Month
USD
LIBOR
+
2.50%
3.32%,
02/07/2025
(o)
472
369
3
Month
USD
LIBOR
+
2.25%
Delta
2
Lux
Sarl
3.50%,
02/01/2024
(o)
6,627
6,415
3
Month
USD
LIBOR
+
2.50%
Lions
Gate
Capital
Holdings
LLC
2.41%,
03/24/2025
(o)
473
458
3
Month
USD
LIBOR
+
2.25%
Merlin
Entertainment
4.32%,
10/16/2026
(o)
1,407
1,300
3
Month
USD
LIBOR
+
3.25%
4.32%,
11/12/2026
(o)
185
171
3
Month
USD
LIBOR
+
3.25%
Metro-Goldwyn-Mayer
Inc
2.66%,
07/03/2025
(o)
3,062
2,911
3
Month
USD
LIBOR
+
2.50%
5.50%,
07/03/2026
(o)
1,000
960
3
Month
USD
LIBOR
+
4.50%
Nascar
Holdings
LLC
2.92%,
10/19/2026
(o)
1,647
1,615
3
Month
USD
LIBOR
+
2.75%
PCI
Gaming
Authority
2.66%,
05/29/2026
(o)
1,757
1,699
1
Month
USD
LIBOR
+
2.50%
Penn
National
Gaming
Inc
3.00%,
10/15/2025
(o)
1,476
1,423
3
Month
USD
LIBOR
+
2.25%
Scientific
Games
International
Inc
3.47%,
08/14/2024
(o)
2,389
2,229
1
Month
USD
LIBOR
+
2.75%
SeaWorld
Parks
&
Entertainment
Inc
3.75%,
04/01/2024
(o)
832
776
3
Month
USD
LIBOR
+
3.00%
Stars
Group
Holdings
BV
3.81%,
06/27/2025
(o)
2,037
2,038
3
Month
USD
LIBOR
+
3.50%
William
Morris
Endeavor
Entertainment
LLC
2.91%,
05/16/2025
(o)
2,302
1,859
3
Month
USD
LIBOR
+
2.75%
$
29,120
Environmental
Control
-
0.16%
Advanced
Disposal
Services
Inc
3.00%,
11/10/2023
(o)
390
389
3
Month
USD
LIBOR
+
2.25%
GFL
Environmental
Inc
4.00%,
05/09/2025
(o)
4,857
4,826
3
Month
USD
LIBOR
+
3.00%
$
5,215
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
116
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Food
-
0.20%
Atkins
Nutritionals
Holdings
Inc
4.75%,
07/07/2024
(o)
$
1,289
$
1,292
1
Month
USD
LIBOR
+
3.75%
Bellring
Brands
LLC
6.00%,
10/10/2024
(o)
1,550
1,548
1
Month
USD
LIBOR
+
5.00%
CHG
PPC
Parent
LLC
2.91%,
03/30/2025
(o)
241
233
3
Month
USD
LIBOR
+
2.75%
Froneri
US
Inc
2.41%,
01/29/2027
(o)
175
168
1
Month
USD
LIBOR
+
2.25%
5.91%,
01/28/2028
(o)
500
492
1
Month
USD
LIBOR
+
5.75%
US
Foods
Inc
1.91%,
06/27/2023
(o)
2,697
2,592
1
Month
USD
LIBOR
+
1.75%
$
6,325
Food
Service
-
0.03%
8th
Avenue
Food
&
Provisions
Inc
3.66%,
09/19/2025
(o)
887
877
3
Month
USD
LIBOR
+
3.50%
Forest
Products
&
Paper
-
0.05%
Asplundh
Tree
0.00%,
08/19/2027
(o),(q)
1,635
1,635
Hand
&
Machine
Tools
-
0.04%
Apex
Tool
Group
LLC
6.50%,
08/01/2024
(o)
1,275
1,224
3
Month
USD
LIBOR
+
5.50%
Healthcare
-
Products
-
0.28%
Carestream
Health
Inc
5.57%,
PIK
8.00%,
08/08/2023
(o),(p)
591
467
1
Month
USD
LIBOR
+
4.50%
7.82%,
05/08/2023
(o)
1,932
1,836
1
Month
USD
LIBOR
+
6.75%
CPI
Holdco
LLC
4.41%,
10/28/2026
(o)
1,701
1,679
1
Month
USD
LIBOR
+
4.25%
LifeScan
Global
Corp
7.18%,
10/01/2024
(o)
1,029
969
3
Month
USD
LIBOR
+
6.00%
Viant
Medical
Holdings
Inc
3.91%,
07/02/2025
(o)
2,192
1,951
3
Month
USD
LIBOR
+
3.75%
VVC
Holding
Corp
4.82%,
02/07/2026
(o)
945
936
3
Month
USD
LIBOR
+
4.50%
Vyaire
Medical
Inc
5.75%,
04/11/2025
(o)
1,429
1,107
3
Month
USD
LIBOR
+
4.75%
$
8,945
Healthcare
-
Services
-
1.48%
AHP
Health
Partners
Inc
5.50%,
06/16/2025
(o)
2,653
2,653
3
Month
USD
LIBOR
+
4.50%
Air
Methods
Corp
4.50%,
04/12/2024
(o)
823
721
3
Month
USD
LIBOR
+
3.50%
ATI
Holdings
Acquisition
Inc
4.57%,
05/10/2023
(o)
897
828
3
Month
USD
LIBOR
+
3.50%
BW
NHHC
Holdco
Inc
5.27%,
05/15/2025
(o)
745
626
3
Month
USD
LIBOR
+
5.00%
Catalent
Pharma
Solutions
Inc
3.25%,
05/08/2026
(o)
988
981
3
Month
USD
LIBOR
+
2.25%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Services
(continued)
Envision
Healthcare
Corp
3.91%,
10/10/2025
(o)
$
5,760
$
4,157
3
Month
USD
LIBOR
+
3.75%
Eyecare
Partners
LLC
4.82%,
02/05/2027
(o)
890
827
1
Month
USD
LIBOR
+
3.75%
Gentiva
Health
Services
Inc
3.44%,
07/02/2025
(o)
4,115
4,074
1
Month
USD
LIBOR
+
3.25%
Global
Medical
Response
Inc
4.25%,
04/28/2022
(o)
6,979
6,906
3
Month
USD
LIBOR
+
3.25%
HCA
Inc
1.91%,
03/13/2025
(o)
543
539
1
Month
USD
LIBOR
+
1.75%
1.91%,
03/17/2026
(o)
1,587
1,573
1
Month
USD
LIBOR
+
1.75%
Heartland
Dental
LLC
3.66%,
04/18/2025
(o)
121
110
3
Month
USD
LIBOR
+
3.75%
Jaguar
Holding
Co
II
3.50%,
08/18/2022
(o)
6,147
6,131
3
Month
USD
LIBOR
+
2.50%
LifePoint
Health
Inc
3.91%,
11/14/2025
(o)
7,076
6,930
1
Month
USD
LIBOR
+
3.75%
MMM
Holdings
LLC
6.75%,
10/30/2026
(o)
1,219
1,194
1
Month
USD
LIBOR
+
5.75%
Phoenix
Guarantor
Inc
3.41%,
03/05/2026
(o)
3,006
2,952
1
Month
USD
LIBOR
+
3.25%
Quorum
Health
Corp
9.25%,
04/29/2025
(o)
342
317
1
Month
USD
LIBOR
+
8.25%
Select
Medical
Corp
2.68%,
03/06/2025
(o)
3,202
3,109
3
Month
USD
LIBOR
+
2.50%
Surgery
Center
Holdings
Inc
4.25%,
06/20/2024
(o)
1,208
1,138
3
Month
USD
LIBOR
+
3.25%
Syneos
Health
Inc
1.89%,
08/01/2024
(o)
1,256
1,223
3
Month
USD
LIBOR
+
2.00%
$
46,989
Insurance
-
0.26%
Acrisure
LLC
3.66%,
02/12/2027
(o)
2,555
2,447
1
Month
USD
LIBOR
+
3.50%
Alliant
Holdings
Intermediate
LLC
2.91%,
05/09/2025
(o)
2,170
2,097
3
Month
USD
LIBOR
+
3.00%
BroadStreet
Partners
Inc
3.41%,
01/22/2027
(o)
1,119
1,081
1
Month
USD
LIBOR
+
3.25%
4.75%,
01/27/2027
(o)
236
233
1
Month
USD
LIBOR
+
3.75%
HUB
International
Ltd
3.26%,
04/25/2025
(o)
2,028
1,973
1
Month
USD
LIBOR
+
2.75%
5.00%,
04/25/2025
(o)
572
572
1
Month
USD
LIBOR
+
4.00%
$
8,403
Internet
-
0.15%
Ancestry.com
Operations
Inc
4.75%,
10/19/2023
(o)
2,318
2,314
1
Month
USD
LIBOR
+
3.75%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
117
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Internet
(continued)
Uber
Technologies
Inc
3.66%,
07/13/2023
(o)
$
1,892
$
1,856
3
Month
USD
LIBOR
+
3.50%
5.00%,
04/04/2025
(o)
578
571
3
Month
USD
LIBOR
+
4.00%
$
4,741
Leisure
Products
&
Services
-
0.25%
Alterra
Mountain
Co
2.91%,
07/31/2024
(o)
3,024
2,900
1
Month
USD
LIBOR
+
2.75%
Callaway
Golf
Co
4.66%,
12/17/2025
(o)
686
685
3
Month
USD
LIBOR
+
4.50%
Carnival
Corp
8.50%,
06/26/2025
(o)
685
671
1
Month
USD
LIBOR
+
7.50%
ClubCorp
Holdings
Inc
3.06%,
08/16/2024
(o)
1,730
1,499
3
Month
USD
LIBOR
+
2.75%
Equinox
Holdings
Inc
4.07%,
03/08/2024
(o)
1,757
1,305
3
Month
USD
LIBOR
+
3.00%
Fitness
International
LLC
4.32%,
01/08/2025
(o)
1,598
895
1
Month
USD
LIBOR
+
2.25%
$
7,955
Lodging
-
0.48%
Boyd
Gaming
Corp
2.36%,
09/15/2023
(o)
4,208
4,083
3
Month
USD
LIBOR
+
2.25%
Caesars
Resort
Collection
LLC
2.91%,
12/22/2024
(o)
5,807
5,448
3
Month
USD
LIBOR
+
2.75%
4.73%,
06/19/2025
(o)
1,500
1,452
1
Month
USD
LIBOR
+
4.50%
CityCenter
Holdings
LLC
3.00%,
04/18/2024
(o)
2,487
2,355
3
Month
USD
LIBOR
+
2.25%
Hilton
Worldwide
Finance
LLC
1.93%,
06/18/2026
(o)
649
624
3
Month
USD
LIBOR
+
1.75%
Wyndham
Hotels
&
Resorts
Inc
1.91%,
05/30/2025
(o)
1,471
1,413
3
Month
USD
LIBOR
+
1.75%
$
15,375
Machinery
-
Construction
&
Mining
-
0.04%
Vertiv
Group
Corp
3.16%,
02/11/2027
(o)
1,247
1,220
1
Month
USD
LIBOR
+
3.00%
Machinery
-
Diversified
-
0.21%
Altra
Industrial
Motion
Corp
2.16%,
09/26/2025
(o)
410
401
3
Month
USD
LIBOR
+
2.00%
Columbus
McKinnon
Corp/NY
3.50%,
01/31/2024
(o)
989
979
3
Month
USD
LIBOR
+
2.50%
Gardner
Denver
Inc
1.91%,
02/05/2027
(o)
621
601
1
Month
USD
LIBOR
+
1.75%
2.92%,
03/01/2027
(o)
265
261
1
Month
USD
LIBOR
+
2.75%
NN
Inc
5.91%,
10/19/2022
(o)
992
972
1
Month
USD
LIBOR
+
5.75%
6.50%,
10/19/2022
(o)
655
641
1
Month
USD
LIBOR
+
5.75%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Machinery
-
Diversified
(continued)
Star
US
Bidco
LLC
5.25%,
03/03/2027
(o)
$
960
$
905
1
Month
USD
LIBOR
+
4.25%
Vertical
US
Newco
4.57%,
06/30/2027
(o)
2,000
1,981
$
6,741
Media
-
1.21%
Altice
Financing
SA
2.91%,
07/15/2025
(o)
2,312
2,201
3
Month
USD
LIBOR
+
2.75%
Charter
Communications
Operating
LLC
1.91%,
02/01/2027
(o)
2,496
2,448
1
Month
USD
LIBOR
+
1.75%
CSC
Holdings
LLC
2.41%,
07/17/2025
(o)
495
477
3
Month
USD
LIBOR
+
2.25%
2.66%,
04/27/2027
(o)
1,474
1,424
1
Month
USD
LIBOR
+
2.50%
Cumulus
Media
New
Holdings
Inc
4.82%,
03/18/2026
(o)
448
423
1
Month
USD
LIBOR
+
3.75%
Entercom
Media
Corp
2.67%,
11/18/2024
(o)
766
721
1
Month
USD
LIBOR
+
2.50%
EW
Scripps
Co/The
2.66%,
05/01/2026
(o)
2,469
2,401
1
Month
USD
LIBOR
+
2.50%
Gray
Television
Inc
2.41%,
02/02/2024
(o)
2,053
2,006
3
Month
USD
LIBOR
+
2.25%
2.66%,
01/02/2026
(o)
637
623
3
Month
USD
LIBOR
+
2.50%
Houghton
Mifflin
Harcourt
Publishers
Inc
7.25%,
11/19/2024
(o)
1,842
1,695
1
Month
USD
LIBOR
+
6.25%
iHeartCommunications
Inc
3.16%,
05/01/2026
(o)
5,202
4,927
1
Month
USD
LIBOR
+
3.00%
LCPR
Loan
Financing
LLC
5.16%,
10/22/2026
(o)
1,815
1,823
1
Month
USD
LIBOR
+
5.00%
McGraw
Hill
LLC
5.00%,
05/04/2022
(o)
2,426
2,089
3
Month
USD
LIBOR
+
4.00%
Meredith
Corp
0.00%,
07/23/2027
(o),(q)
900
896
2.67%,
01/31/2025
(o)
2,091
2,009
1
Month
USD
LIBOR
+
2.50%
5.25%,
01/31/2025
(o)
435
428
1
Month
USD
LIBOR
+
4.25%
Mission
Broadcasting
Inc
2.41%,
01/17/2024
(o)
399
389
3
Month
USD
LIBOR
+
2.25%
Nexstar
Broadcasting
Inc
2.41%,
01/17/2024
(o)
1,553
1,516
3
Month
USD
LIBOR
+
2.25%
2.91%,
09/21/2026
(o)
1,825
1,789
1
Month
USD
LIBOR
+
2.75%
Nielsen
Finance
LLC
2.16%,
10/04/2023
(o)
1,920
1,874
3
Month
USD
LIBOR
+
2.00%
Sinclair
Television
Group
Inc
2.41%,
01/03/2024
(o)
2,462
2,393
3
Month
USD
LIBOR
+
2.25%
2.66%,
07/17/2026
(o)
993
965
1
Month
USD
LIBOR
+
2.50%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
118
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
(continued)
Univision
Communications
Inc
3.75%,
03/15/2024
(o)
$
307
$
297
3
Month
USD
LIBOR
+
2.75%
WideOpenWest
Finance
LLC
4.25%,
08/18/2023
(o)
640
629
3
Month
USD
LIBOR
+
3.25%
Ziggo
Financing
Partnership
2.66%,
04/17/2028
(o)
2,125
2,052
1
Month
USD
LIBOR
+
2.50%
$
38,495
Miscellaneous
Manufacturers
-
0.05%
Gates
Global
LLC
3.75%,
03/31/2024
(o)
1,730
1,708
3
Month
USD
LIBOR
+
2.75%
Office
&
Business
Equipment
-
0.03%
Pitney
Bowes
Inc
5.63%,
01/17/2025
(o)
868
836
1
Month
USD
LIBOR
+
5.50%
Oil
&
Gas
-
0.43%
California
Resources
10.00%,
01/15/2021
(
i
),(o)
3,185
3,153
1
Month
USD
LIBOR
+
9.00%
California
Resources
Corp
0.00%,
12/31/2021
(c),(o)
764
17
1
Month
USD
LIBOR
+
10.37%
0.00%,
11/14/2022
(c),(o)
4,974
1,798
1
Month
USD
LIBOR
+
4.75%
CITGO
Petroleum
Corp
6.00%,
03/28/2024
(o)
1,465
1,390
3
Month
USD
LIBOR
+
5.00%
Delek
US
Holdings
Inc
2.41%,
03/14/2025
(o)
1,198
1,128
3
Month
USD
LIBOR
+
2.25%
6.50%,
03/30/2025
(o)
1,415
1,381
1
Month
USD
LIBOR
+
5.50%
Fieldwood
Energy
LLC
0.00%,
08/04/2021
(
i
),(o),(q)
1,323
1,284
0.00%,
04/11/2022
(c),(o)
8,736
2,097
3
Month
USD
LIBOR
+
5.25%
0.00%,
04/11/2023
(c),(o)
3,648
1
3
Month
USD
LIBOR
+
7.25%
Gulf
Finance
LLC
6.25%,
08/17/2023
(o)
1,827
1,255
3
Month
USD
LIBOR
+
5.25%
$
13,504
Oil
&
Gas
Services
-
0.03%
PGS
ASA
7.75%,
03/19/2024
(o)
1,553
1,087
3
Month
USD
LIBOR
+
5.50%
Packaging
&
Containers
-
0.35%
Berry
Global
Inc
2.16%,
01/19/2024
(o)
1,435
1,412
1
Month
USD
LIBOR
+
2.00%
2.16%,
07/01/2026
(o)
1,798
1,742
1
Month
USD
LIBOR
+
2.00%
Graham
Packaging
Co
Inc
4.50%,
08/06/2027
(o)
1,445
1,442
1
Month
USD
LIBOR
+
3.75%
Kloeckner
Pentaplast
of
America
Inc
5.25%,
06/29/2022
(o)
2,363
2,290
3
Month
USD
LIBOR
+
4.25%
Plaze
Inc
0.00%,
08/03/2026
(o),(q)
1,375
1,358
Reynolds
Group
Holdings
Inc
2.89%,
02/05/2023
(o)
3,044
2,997
3
Month
USD
LIBOR
+
2.75%
$
11,241
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
-
0.60%
Amneal
Pharmaceuticals
LLC
3.69%,
05/04/2025
(o)
$
943
$
883
3
Month
USD
LIBOR
+
3.50%
Bausch
Health
Americas
Inc
2.93%,
11/14/2025
(o)
3,618
3,541
3
Month
USD
LIBOR
+
2.75%
3.18%,
05/19/2025
(o)
4,452
4,376
3
Month
USD
LIBOR
+
3.00%
Change
Healthcare
Holdings
LLC
3.50%,
03/01/2024
(o)
2,966
2,908
1
Month
USD
LIBOR
+
2.50%
Grifols
Worldwide
Operations
USA
Inc
2.11%,
11/08/2027
(o)
2,842
2,782
1
Month
USD
LIBOR
+
2.00%
Mallinckrodt
International
Finance
SA
3.50%,
09/24/2024
(o)
1,662
1,445
3
Month
USD
LIBOR
+
2.75%
3.75%,
02/24/2025
(o)
1,261
1,095
3
Month
USD
LIBOR
+
3.00%
Milano
Acquisition
0.00%,
08/17/2027
(o),(q)
1,900
1,884
$
18,914
Pipelines
-
0.19%
BCP
Renaissance
Parent
LLC
4.50%,
10/31/2024
(o)
964
900
3
Month
USD
LIBOR
+
3.50%
Blackstone
CQP
Holdco
LP
3.81%,
09/30/2024
(o)
2,477
2,430
3
Month
USD
LIBOR
+
3.50%
Buckeye
Partners
LP
2.91%,
11/15/2026
(o)
1,344
1,320
1
Month
USD
LIBOR
+
2.75%
Traverse
Midstream
Partners
LLC
5.00%,
09/21/2024
(o)
1,458
1,330
3
Month
USD
LIBOR
+
4.00%
$
5,980
Real
Estate
-
0.16%
Brookfield
Retail
Holdings
VII
Sub
3
LLC
3.16%,
08/28/2023
(o)
4,016
3,444
3
Month
USD
LIBOR
+
2.25%
Realogy
Group
LLC
2.42%,
02/08/2023
(o)
725
696
3
Month
USD
LIBOR
+
2.25%
3.00%,
02/08/2025
(o)
961
915
3
Month
USD
LIBOR
+
2.25%
$
5,055
REITs
-
0.04%
Blackstone
Mortgage
Trust
Inc
2.41%,
04/23/2026
(o)
1,485
1,418
1
Month
USD
LIBOR
+
2.25%
Retail
-
0.60%
1011778
BC
ULC
1.91%,
11/14/2026
(o)
2,102
2,021
1
Month
USD
LIBOR
+
1.75%
Academy
Ltd
5.00%,
07/01/2022
(o)
1,956
1,836
3
Month
USD
LIBOR
+
4.00%
Belk
Inc
7.75%,
07/31/2025
(o)
1,649
614
1
Month
USD
LIBOR
+
6.75%
BJ's
Wholesale
Club
Inc
2.16%,
02/03/2024
(o)
958
949
1
Month
USD
LIBOR
+
2.25%
CWGS
Group
LLC
3.50%,
11/08/2023
(o)
2,980
2,884
3
Month
USD
LIBOR
+
2.75%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
119
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Retail
(continued)
EG
America
LLC
5.07%,
02/07/2025
(o)
$
1,222
$
1,182
3
Month
USD
LIBOR
+
4.00%
Petco
Animal
Supplies
Inc
4.25%,
01/26/2023
(o)
423
360
3
Month
USD
LIBOR
+
3.25%
PetSmart
Inc
5.00%,
03/11/2022
(o)
6,928
6,909
1
Month
USD
LIBOR
+
4.00%
Serta
Simmons
Bedding
LLC
8.50%,
08/10/2023
(o)
61
60
1
Month
USD
LIBOR
+
7.50%
8.50%,
08/10/2023
(o)
384
304
1
Month
USD
LIBOR
+
7.50%
SRS
Distribution
Inc
4.07%,
05/19/2025
(o)
1,147
1,113
3
Month
USD
LIBOR
+
3.25%
Whatabrands
LLC
2.91%,
08/02/2026
(o)
843
821
1
Month
USD
LIBOR
+
2.75%
$
19,053
Semiconductors
-
0.08%
Bright
Bidco
BV
4.57%,
06/30/2024
(o)
2,920
1,294
3
Month
USD
LIBOR
+
3.50%
MACOM
Technology
Solutions
Holdings
Inc
2.41%,
05/17/2024
(o)
627
605
3
Month
USD
LIBOR
+
2.25%
Microchip
Technology
Inc
2.17%,
05/29/2025
(o)
569
558
3
Month
USD
LIBOR
+
2.00%
$
2,457
Software
-
1.91%
Blackboard
Inc
7.00%,
06/30/2024
(o)
2,978
2,843
1
Month
USD
LIBOR
+
6.00%
Boxer
Parent
Co
Inc
4.41%,
10/02/2025
(o)
573
562
3
Month
USD
LIBOR
+
4.25%
BY
Crown
Parent
LLC
4.00%,
01/31/2026
(o)
1,099
1,090
1
Month
USD
LIBOR
+
3.00%
Camelot
Finance
SA
3.16%,
10/28/2026
(o)
1,205
1,182
1
Month
USD
LIBOR
+
3.25%
Cengage
Learning
Inc
5.25%,
06/07/2023
(o)
3,217
2,642
3
Month
USD
LIBOR
+
4.25%
Ceridian
HCM
Holding
Inc
2.61%,
04/04/2025
(o)
1,522
1,484
3
Month
USD
LIBOR
+
3.00%
DiscoverOrg
LLC
3.91%,
02/02/2026
(o)
1,449
1,434
3
Month
USD
LIBOR
+
4.50%
DTI
Holdco
Inc
5.75%,
10/02/2023
(o)
921
759
3
Month
USD
LIBOR
+
4.75%
Dun
&
Bradstreet
Corp/The
3.92%,
02/06/2026
(o)
1,548
1,543
1
Month
USD
LIBOR
+
3.75%
Dynatrace
LLC
2.41%,
08/08/2025
(o)
572
562
1
Month
USD
LIBOR
+
2.75%
Epicor
Software
Corp
5.25%,
07/30/2027
(o)
6,824
6,823
1
Month
USD
LIBOR
+
4.25%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
(continued)
Evergreen
Skills
Lux
Sarl
0.00%,
04/28/2021
(c),(o)
$
5,015
$
3,275
3
Month
USD
LIBOR
+
4.75%
0.00%,
04/28/2022
(c),(o)
804
23
3
Month
USD
LIBOR
+
8.25%
Finastra
USA
Inc
4.83%,
06/13/2024
(o)
2,336
2,196
3
Month
USD
LIBOR
+
3.50%
Greeneden
US
Holdings
II
LLC
3.41%,
12/01/2023
(o)
4,011
3,942
3
Month
USD
LIBOR
+
3.25%
Greenway
Health
LLC
4.82%,
02/16/2024
(o)
266
225
3
Month
USD
LIBOR
+
4.25%
Informatica
LLC
3.41%,
02/14/2027
(o)
2,021
1,975
1
Month
USD
LIBOR
+
3.25%
MA
FinanceCo
LLC
2.66%,
06/21/2024
(o)
566
539
3
Month
USD
LIBOR
+
2.50%
5.25%,
05/29/2025
(o)
261
260
1
Month
USD
LIBOR
+
4.25%
Project
Boost
Purchaser
LLC
3.66%,
05/22/2026
(o)
991
953
3
Month
USD
LIBOR
+
3.50%
Rackspace
Hosting
Inc
4.00%,
11/03/2023
(o)
5,709
5,641
3
Month
USD
LIBOR
+
3.00%
Riverbed
Technology
Inc
4.25%,
04/24/2022
(o)
2,164
1,911
3
Month
USD
LIBOR
+
3.25%
Seattle
SpinCo
Inc
2.66%,
06/21/2024
(o)
3,821
3,640
3
Month
USD
LIBOR
+
2.50%
Skillsoft
0.00%,
12/27/2024
(c),(o)
242
241
3
Month
USD
LIBOR
+
7.50%
8.50%,
09/17/2020
(o)
248
243
1
Month
USD
LIBOR
+
7.50%
Sophia
LP
4.25%,
09/30/2022
(o)
3,462
3,448
3
Month
USD
LIBOR
+
3.25%
SS&C
Technologies
Inc
1.89%,
04/16/2025
(o)
1,106
1,073
1
Month
USD
LIBOR
+
1.75%
1.89%,
04/16/2025
(o)
777
754
1
Month
USD
LIBOR
+
1.75%
1.89%,
04/16/2025
(o)
2,292
2,224
1
Month
USD
LIBOR
+
1.75%
TIBCO
Software
Inc
3.91%,
06/30/2026
(o)
1,770
1,707
1
Month
USD
LIBOR
+
3.75%
Ultimate
Software
Group
Inc
/The
3.91%,
05/03/2026
(o)
2,233
2,215
3
Month
USD
LIBOR
+
3.75%
4.75%,
05/04/2026
(o)
943
941
1
Month
USD
LIBOR
+
4.00%
Xperi
Holding
Corp
4.14%,
06/01/2025
(o)
750
732
1
Month
USD
LIBOR
+
4.00%
Zelis
Payments
Buyer
Inc
4.91%,
09/25/2026
(o)
1,531
1,529
1
Month
USD
LIBOR
+
4.75%
$
60,611
Telecommunications
-
1.59%
Altice
France
SA/France
4.75%,
08/14/2026
(o)
3,930
3,871
3
Month
USD
LIBOR
+
4.00%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
120
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
Avaya
Inc
4.41%,
12/16/2024
(o)
$
5,352
$
5,194
3
Month
USD
LIBOR
+
4.25%
CenturyLink
Inc
2.41%,
03/15/2027
(o)
4,114
3,969
1
Month
USD
LIBOR
+
2.25%
CommScope
Inc
3.41%,
04/06/2026
(o)
2,771
2,708
3
Month
USD
LIBOR
+
3.25%
Connect
Finco
SARL
5.50%,
09/23/2026
(o)
1,870
1,818
1
Month
USD
LIBOR
+
4.50%
Consolidated
Communications
Inc
4.00%,
10/05/2023
(o)
1,146
1,116
3
Month
USD
LIBOR
+
3.00%
Frontier
Communications
Corp
5.35%,
06/15/2024
(o)
5,657
5,700
3
Month
USD
LIBOR
+
3.75%
Intelsat
Jackson
Holdings
SA
6.50%,
07/13/2022
(o)
1,748
1,777
1
Month
USD
LIBOR
+
5.50%
8.00%,
11/27/2023
(o)
9,816
9,876
1
Month
USD
LIBOR
+
3.75%
8.62%,
01/15/2024
(o)
2,425
2,448
Intrado
Corp
4.50%,
10/10/2024
(o)
544
482
3
Month
USD
LIBOR
+
3.50%
5.00%,
10/10/2024
(o)
2,584
2,306
3
Month
USD
LIBOR
+
4.00%
Iridium
Satellite
LLC
4.75%,
10/16/2026
(o)
2,600
2,605
1
Month
USD
LIBOR
+
3.75%
Maxar
Technologies
Ltd
2.91%,
10/05/2024
(o)
1,395
1,345
3
Month
USD
LIBOR
+
2.75%
MLN
US
Holdco
LLC
4.66%,
11/30/2025
(o)
744
629
3
Month
USD
LIBOR
+
4.50%
Plantronics
Inc
2.76%,
07/02/2025
(o)
1,392
1,298
3
Month
USD
LIBOR
+
2.50%
T-Mobile
USA
Inc
3.14%,
04/01/2027
(o)
1,500
1,503
1
Month
USD
LIBOR
+
3.00%
Windstream
Services
LLC
0.00%,
08/11/2027
(o),(q)
1,140
1,110
6.15%,
09/30/2020
(o)
1,150
673
3
Month
USD
LIBOR
+
2.00%
Zayo
Group
Holdings
Inc
3.16%,
02/19/2027
(o)
219
213
1
Month
USD
LIBOR
+
3.00%
$
50,641
Transportation
-
0.06%
CEVA
Logistics
Finance
BV
5.31%,
08/04/2025
(o)
733
645
3
Month
USD
LIBOR
+
5.00%
Genesee
&
Wyoming
Inc
2.31%,
11/06/2026
(o)
797
783
1
Month
USD
LIBOR
+
2.00%
XPO
Logistics
Inc
2.16%,
02/24/2025
(o)
644
631
3
Month
USD
LIBOR
+
2.00%
$
2,059
TOTAL
SENIOR
FLOATING
RATE
INTERESTS
$
479,702
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
17.78%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
1.79%
0.16%,
07/31/2022
(l)
$
8,000
$
7,999
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.06%
0.21%,
04/30/2022
(l)
17,000
17,018
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.11%
0.40%,
10/31/2021
(l),(r)
30,000
30,097
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.30%
1.13%,
08/15/2040
800
786
1.38%,
08/15/2050
1,045
1,025
$
56,925
U.S.
Treasury
Bill
-
0.22%
0.13%,
10/08/2020
(l),(n)
7,000
6,999
U.S.
Treasury
Inflation-Indexed
Obligations
-
15.77%
0.13%,
01/15/2022
4,514
4,608
0.13%,
04/15/2022
17,191
17,588
0.13%,
07/15/2022
23,092
23,834
0.13%,
01/15/2023
19,058
19,764
0.13%,
07/15/2024
9,289
9,911
0.13%,
10/15/2024
2,658
2,847
0.13%,
04/15/2025
14,811
15,927
0.13%,
07/15/2026
13,032
14,276
0.13%,
01/15/2030
(r)
17,285
19,333
0.13%,
07/15/2030
8,496
9,571
0.25%,
01/15/2025
1,734
1,867
0.25%,
07/15/2029
13,142
14,869
0.25%,
02/15/2050
5,831
6,932
0.38%,
07/15/2023
18,590
19,655
0.38%,
07/15/2025
(r)
21,675
23,751
0.38%,
01/15/2027
(r)
25,885
28,786
0.38%,
07/15/2027
20,529
23,047
0.50%,
01/15/2028
19,660
22,271
0.63%,
04/15/2023
18,611
19,605
0.63%,
01/15/2024
13,115
14,051
0.63%,
01/15/2026
(r)
19,423
21,613
0.63%,
02/15/2043
6,515
7,968
0.75%,
07/15/2028
(r)
20,964
24,412
0.75%,
02/15/2042
9,032
11,274
0.75%,
02/15/2045
10,090
12,804
0.88%,
01/15/2029
(r)
10,364
12,200
0.88%,
02/15/2047
6,701
8,914
1.00%,
02/15/2046
5,833
7,857
1.00%,
02/15/2048
5,698
7,933
1.00%,
02/15/2049
5,583
7,851
1.38%,
02/15/2044
8,141
11,521
1.75%,
01/15/2028
3,149
3,871
2.00%,
01/15/2026
7,852
9,345
2.13%,
02/15/2040
3,377
5,157
2.13%,
02/15/2041
5,446
8,407
2.38%,
01/15/2025
2,343
2,750
2.38%,
01/15/2027
7,365
9,181
2.50%,
01/15/2029
4,228
5,583
3.38%,
04/15/2032
3,262
5,014
3.63%,
04/15/2028
3,597
4,982
$
501,130
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
565,054
TOTAL
PURCHASED
OPTIONS
-
0.00%
$
84
TOTAL
PURCHASED
INTEREST
RATE
SWAPTIONS
-
0.08%
$
2,495
TOTAL
PURCHASED
CAPPED
OPTIONS
-
0.01%
$
206
Total
Investments
$
3,165,926
Other
Assets
and
Liabilities
- 0.38%
12,002
TOTAL
NET
ASSETS
-
100.00%
$
3,177,928
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
121
(a)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(b)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(c)
Non-income
producing
security
(d)
Current
yield
shown
is
as
of
period
end.
(e)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$11,380
or
0.36%
of
net
assets.
(f)
Restricted
Security.
Please
see
Restricted
Security
sub-schedule
for
additional
information.
(g)
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
$175,049
or
5.51%
of
net
assets.
(h)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(
i
)
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
$4,756
or
0.15%
of
net
assets.
(j)
Security
is
an
Interest
Only
Strip.
(k)
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.
(l)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
(m)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
futures
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$22,555
or
0.71%
of
net
assets.
(n)
Rate
shown
is
the
discount
rate
of
the
original
purchase.
(o)
Rate
information
disclosed
is
based
on
an
average
weighted
rate
of
the
underlying
tranches
as
of
period
end.
(p)
Payment
in
kind;
the
issuer
has
the
option
of
paying
additional
securities
in
lieu
of
cash.
(q)
This
Senior
Floating
Rate
Note
will
settle
after
August
31,
2020,
at
which
time
the
interest
rate
will
be
determined.
(r)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
swap
and/or
swaption
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$4,198
or
0.13%
of
net
assets.
Portfolio
Summary (unaudited)
Sector
Percent
Government
26.67%
Utilities
12.50%
Financial
12.18%
Basic
Materials
9.78%
Energy
9.21%
Consumer,
Non-cyclical
6.80%
Industrial
6.70%
Mortgage
Securities
4.14%
Communications
3.40%
Consumer,
Cyclical
3.24%
Technology
2.51%
Money
Market
Funds
2.19%
Investment
Companies
0.21%
Purchased
Interest
Rate
Swaptions
0.08%
Purchased
Capped
Options
0.01%
Purchased
Options
0.00%
Other
Assets
and
Liabilities
0.38%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
115,751
$
2,544,812
$
2,591,155
$
69,408
$
115,751
$
2,544,812
$
2,591,155
$
69,408
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
1,133
$
—
$
—
$
—
$
1,133
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Restricted
Securities
Security
Name
Acquisition
Date
Cost
Value
Percent
of
Net
Assets
Advanz
Pharma
Corp
Ltd
08/08/2018
$
209
$
51
0.00%
Fieldwood
Energy
LLC
04/05/2018
273
—
0.00%
Millennium
Health
LLC
03/15/2016
—
23
0.00%
Millennium
Health
LLC
03/15/2016
—
19
0.00%
Total
$
93
0.00%
Amounts
in
thousands.
Purchased
Capped
Options
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.30%)
Receive
$
38,200
0.30%
02/15/2022
$
68
$
188
$
120
Call
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.30%)
Receive
3,630
0.30%
02/15/2022
15
18
3
Total
$
83
$
206
$
123
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
122
Written
Capped
Options
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.55%)
Receive
$
19,100
0.55%
02/15/2022
$
(16)
$
(59)
$
(43)
Put
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.55%)
Receive
19,100
0.55%
02/15/2022
(19)
(59)
(40)
Total
$
(35)
$
(118)
$
(83)
Amounts
in
thousands.
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
EUR
versus
GBP
Citigroup
Inc
1
EUR
2,545
EUR
0.90
11/03/2020
$
41
$
27
$
(14)
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
204
$
510
$
99.75
12/14/2021
40
56
16
Put
-
US
10
Year
Note
Future;
December
2020
N/A
14
14
$
138.50
09/08/2020
3
1
(2)
Total
$
84
$
84
$
—
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
51
$
128
$
100.00
12/14/2021
$
(8)
$
(6)
$
2
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
102
255
$
99.38
12/14/2021
(5
2
)
(110)
(5
8
)
Total
$
(
60
)
$
(116)
$
(5
6
)
Amounts
in
thousands
except
contracts/shares.
Interest
Rate
Swaptions
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
880
1.77%
11/06/2024
$
10
$
11
$
1
Call
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
6,310
0.39%
05/23/2023
19
19
—
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
9,290
1.77%
11/06/2024
50
115
65
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,760
1.46%
08/17/2021
63
124
61
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,120
1.50%
02/26/2025
59
75
16
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560
3.08%
01/30/2029
32
98
66
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,490
3.09%
12/07/2038
69
273
204
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,956
2.98%
03/08/2024
90
365
275
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,330
2.95%
03/13/2024
60
245
185
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560
3.05%
01/11/2029
32
97
65
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
280
1.42%
06/06/2025
20
18
(2)
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
505
1.42%
06/06/2025
27
32
5
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
505
1.28%
06/05/2025
27
28
1
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
740
0.89%
05/01/2025
40
28
(12)
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
410
2.99%
04/28/2038
19
72
53
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
130
2.86%
02/23/2039
7
22
15
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
123
Interest
Rate
Swaptions
(continued)
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
$
560
3.04%
01/12/2029
$
32
$
96
$
64
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
16,130
1.20%
09/24/2020
50
318
268
Call
-
20
Year
Interest
Rate
Swap
Deutsche
Bank
AG
6
Month
JPY
LIBOR
Pay
JPY
3,760
0.78%
04/19/2021
2
3
1
Call
-
20
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
JPY
LIBOR
Receive
39,560
0.78%
04/19/2021
12
35
23
Call
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
$
50
0.83%
11/24/2020
2
1
(1)
Call
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
550
0.83%
11/24/2020
38
12
(26)
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
880
1.77%
11/06/2024
1
1
—
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
9,290
1.77%
11/06/2024
51
11
(40)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,760
1.46%
08/17/2021
63
10
(53)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
JPY
LIBOR
Pay
JPY
758,545
1.10%
06/30/2022
103
1
(102)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
1,490
3.09%
12/07/2038
70
45
(25)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
560
3.05%
01/11/2029
32
11
(21)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
560
3.08%
01/30/2029
32
11
(21)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,120
1.50%
02/26/2025
59
43
(16)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,956
2.98%
03/08/2024
89
10
(79)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,330
2.95%
03/13/2024
60
7
(53)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,390
2.25%
08/09/2022
33
6
(27)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
280
1.42%
06/06/2025
12
12
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
505
1.42%
06/06/2025
27
22
(5)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
740
0.89%
05/01/2025
40
50
10
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
320
2.50%
06/21/2024
3
3
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
505
1.28%
06/05/2025
28
25
(3)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
2,010
2.25%
08/03/2022
54
8
(46)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
410
2.99%
04/28/2038
19
13
(6)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
130
2.86%
02/23/2039
6
4
(2)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,960
2.50%
06/14/2024
89
21
(68)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,330
2.50%
06/21/2024
54
14
(40)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
560
3.04%
01/12/2029
32
11
(21)
Put
-
20
Year
Interest
Rate
Swap
Deutsche
Bank
AG
6
Month
JPY
LIBOR
Receive
JPY
3,760
0.78%
04/19/2021
2
—
(2)
Put
-
20
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
JPY
LIBOR
Receive
39,560
0.78%
04/19/2021
12
—
(12)
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
2,210
2.85%
05/10/2022
128
15
(113)
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,390
3.80%
06/08/2021
55
1
(54)
Put
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
50
0.83%
11/24/2020
4
4
—
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
124
Interest
Rate
Swaptions
(continued)
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
$
550
0.83%
11/24/2020
$
38
$
49
$
11
Put
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
465
1.35%
09/08/2020
19
—
(19)
Put
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
40
1.35%
09/08/2020
1
—
(1)
Total
$
1,976
$
2,495
$
519
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
880
0.37%
03/18/2021
$
(2)
$
(2)
$
—
Call
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
610
0.69%
04/12/2023
(3)
(3)
—
Call
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
6,310
0.69%
04/12/2023
(25)
(32)
(7)
Call
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
3,230
0.61%
04/07/2023
(12)
(14)
(2)
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
9,290
1.58%
11/06/2020
(22)
(126)
(104)
Call
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
9,290
0.41%
03/18/2021
(15)
(20)
(5)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,110
0.71%
04/07/2021
(31)
(19)
12
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
550
0.69%
04/07/2021
(15)
(9)
6
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
550
0.88%
04/15/2021
(14)
(14)
—
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,420
1.74%
11/20/2020
(58)
(244)
(186)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,590
3.05%
03/13/2029
(85)
(274)
(189)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,464
2.79%
03/09/2021
(74)
(494)
(420)
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
525
0.72%
04/19/2021
(14)
(9)
5
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
550
0.69%
04/07/2021
(15)
(9)
6
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
610
0.79%
04/16/2021
(16)
(13)
3
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
110
0.74%
05/03/2022
(3)
(3)
—
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,190
0.67%
07/15/2021
(30)
(21)
9
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,190
0.72%
06/30/2021
(31)
(23)
8
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,030
0.82%
06/17/2021
(26)
(25)
1
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,140
0.74%
05/03/2022
(39)
(29)
10
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,100
0.69%
05/14/2021
(28)
(19)
9
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
2,170
0.75%
06/03/2021
(54)
(44)
10
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,190
0.74%
06/28/2021
(32)
(25)
7
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
525
0.77%
04/16/2021
(15)
(11)
4
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,680
0.74%
04/20/2021
(46)
(32)
14
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,110
0.87%
04/12/2021
(31)
(29)
2
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
445
0.85%
04/08/2021
(12)
(11)
1
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
125
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
$
660
0.73%
04/07/2021
$
(17)
$
(12)
$
5
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,105
0.71%
04/02/2021
(31)
(19)
12
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
32,250
0.70%
09/24/2020
(36)
(314)
(278)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
5,728
1.53%
12/14/2020
(27)
(151)
(124)
Call
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
5,725
1.51%
12/15/2020
(27)
(148)
(121)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
290
0.65%
06/17/2022
(5)
(5)
—
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
EUR
2,400
0.12%
04/05/2022
(31)
(41)
(10)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
2,780
0.02%
04/08/2022
(35)
(58)
(23)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
1,020
0.04%
09/14/2022
(16)
(21)
(5)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
1,023
0.14%
09/13/2022
(15)
(17)
(2)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
690
0.02%
04/08/2022
(13)
(14)
(1)
Call
-
5
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
$
10,710
0.25%
06/30/2021
(68)
(51)
17
Call
-
5
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,660
0.15%
10/14/2020
(2)
—
2
Call
-
5
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
2,680
0.15%
10/20/2020
(2)
(1)
1
Call
-
5
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
3,030
0.61%
06/16/2022
(45)
(44)
1
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
610
0.69%
04/12/2023
(1)
(1)
—
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
880
0.37%
03/18/2021
—
—
—
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
20,360
2.35%
05/18/2021
(41)
—
41
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
27,720
2.15%
05/28/2021
(78)
—
78
Put
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
6,310
0.69%
04/12/2023
(25)
(8)
17
Put
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
3,230
0.61%
04/07/2023
(12)
(4)
8
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
9,290
1.58%
11/06/2020
(22)
—
22
Put
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
34,330
2.40%
06/02/2021
(62)
—
62
Put
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
9,290
0.41%
03/18/2021
(16)
(1)
15
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,040
1.64%
11/03/2020
(25)
—
25
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,390
3.25%
08/09/2022
(8)
(1)
7
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
550
0.69%
04/07/2021
(16)
(13)
3
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
730
1.10%
07/15/2021
(7)
(8)
(1)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
4,670
1.00%
06/02/2021
(71)
(60)
11
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
750
1.10%
07/19/2021
(8)
(9)
(1)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,464
2.79%
03/09/2021
(73)
—
73
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,010
1.62%
09/15/2020
(25)
—
25
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,216
1.60%
03/07/2022
(20)
(10)
10
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
126
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
1,050
1.62%
11/03/2020
$
(26)
$
—
$
26
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,000
1.76%
09/17/2020
(50)
—
50
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,110
0.71%
04/07/2021
(31)
(24)
7
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,930
3.87%
06/08/2021
(57)
—
57
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,420
1.74%
11/20/2020
(58)
—
58
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,590
3.05%
03/13/2029
(84)
(31)
53
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,390
2.75%
08/09/2022
(17)
(3)
14
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,950
2.10%
01/07/2022
(44)
(5)
39
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,950
2.15%
01/11/2022
(45)
(5)
40
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
4,810
2.75%
05/10/2022
(140)
(7)
133
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,070
1.05%
06/14/2021
(16)
(13)
3
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
550
0.88%
04/15/2021
(15)
(8)
7
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,300
1.85%
02/23/2022
(23)
(7)
16
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,300
1.85%
02/23/2022
(23)
(7)
16
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,000
0.95%
08/05/2021
(11)
(17)
(6)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,140
0.74%
05/03/2022
(40)
(44)
(4)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,100
0.69%
05/14/2021
(28)
(28)
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,790
1.60%
03/07/2022
(19)
(15)
4
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
525
0.77%
04/16/2021
(14)
(10)
4
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,190
0.67%
07/15/2021
(30)
(35)
(5)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
110
0.74%
05/03/2022
(4)
(4)
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,030
0.82%
06/17/2021
(25)
(21)
4
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
440
1.00%
06/02/2021
(8)
(6)
2
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,190
0.72%
06/30/2021
(31)
(31)
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
2,170
0.75%
06/03/2021
(54)
(50)
4
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,090
0.95%
08/06/2021
(13)
(19)
(6)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
160
2.25%
08/21/2024
(2)
(2)
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,230
1.60%
03/01/2022
(22)
(10)
12
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
610
0.79%
04/16/2021
(16)
(11)
5
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,230
1.60%
03/04/2022
(22)
(10)
12
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,190
0.74%
06/28/2021
(31)
(29)
2
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
100
1.05%
06/14/2021
(1)
(1)
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,935
1.60%
03/07/2022
(33)
(16)
17
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
127
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
$
550
0.69%
04/07/2021
$
(15)
$
(13)
$
2
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
680
1.15%
01/11/2022
(10)
(11)
(1)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
525
0.72%
04/19/2021
(15)
(12)
3
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,010
2.75%
08/03/2022
(28)
(4)
24
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,010
3.25%
08/03/2022
(13)
(2)
11
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,105
0.71%
04/02/2021
(31)
(24)
7
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
660
0.73%
04/07/2021
(17)
(14)
3
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,330
3.50%
06/21/2024
(20)
(5)
15
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,960
3.00%
06/14/2024
(54)
(12)
42
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
445
0.85%
04/08/2021
(12)
(7)
5
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,730
2.25%
08/21/2024
(51)
(26)
25
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,110
0.87%
04/12/2021
(31)
(17)
14
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,960
3.50%
06/14/2024
(33)
(7)
26
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,760
1.95%
01/31/2022
(41)
(7)
34
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,680
0.74%
04/20/2021
(46)
(35)
11
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,330
3.00%
06/21/2024
(32)
(8)
24
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,400
0.00%
06/28/2021
(6)
(1)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,190
0.00%
06/15/2021
(6)
—
6
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
3,330
0.15%
08/10/2021
(5)
(2)
3
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
11,740
2.00%
11/30/2020
(16)
—
16
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
5,880
0.15%
08/10/2021
(8)
(3)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
5,220
1.05%
10/05/2020
(9)
—
9
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,400
3.25%
12/30/2020
(9)
—
9
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,200
0.00%
06/21/2021
(5)
—
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
7,830
0.16%
04/13/2021
(26)
—
26
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
7,830
0.10%
04/13/2021
(27)
(1)
26
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
5,728
1.53%
12/14/2020
(27)
—
27
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
7,920
0.25%
09/06/2021
(12)
(7)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,130
0.00%
06/15/2021
(5)
—
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,570
0.00%
06/22/2021
(7)
(1)
6
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
4,870
0.05%
06/11/2021
(13)
(1)
12
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,630
0.00%
07/20/2021
(5)
(1)
4
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
4,950
0.11%
05/18/2021
(17)
(1)
16
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
128
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,500
0.05%
07/06/2021
$
(6)
$
(1)
$
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,570
0.00%
07/02/2021
(6)
(1)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
8,490
0.25%
09/07/2021
(14)
(8)
6
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
10,110
0.10%
03/30/2021
(36)
(1)
35
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
$
5,220
1.05%
10/05/2020
(7)
—
7
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
4,845
1.00%
10/06/2020
(5)
—
5
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
9,710
0.60%
09/25/2020
(11)
—
11
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
7,790
0.15%
04/20/2021
(28)
(1)
27
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
$
5,725
1.51%
12/15/2020
(27)
—
27
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
3,140
0.08%
06/01/2021
(9)
—
9
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,400
0.12%
04/05/2022
(30)
(19)
11
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
1,023
0.14%
09/13/2022
(15)
(12)
3
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,780
0.02%
04/08/2022
(36)
(18)
18
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
690
0.02%
04/08/2022
(5)
(4)
1
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
1,020
0.04%
09/14/2022
(16)
(10)
6
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
290
0.65%
06/17/2022
(4)
(3)
1
Put
-
5
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
3,320
0.45%
10/14/2020
(5)
(2)
3
Put
-
5
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
2,680
0.45%
10/20/2020
(2)
(2)
—
Put
-
5
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
3,030
0.61%
06/16/2022
(46)
(37)
9
Total
$
(3,621)
$
(3,375)
$
246
Amounts
in
thousands.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
Brent
Crude;
November
2020
(a)
Long
142
$
6,430
$
262
Canada
10
Year
Bond;
December
2020
Long
19
2,199
(14)
Cocoa;
December
2020
(a)
Long
409
10,855
562
Coffee
'C';
December
2020
(a)
Long
328
15,873
1,221
Copper;
December
2020
(a)
Long
310
23,727
1,126
Corn;
December
2020
(a)
Long
729
13,040
(46)
Cotton
No.2;
December
2020
(a)
Long
260
8,471
106
Euro
Bond
10
Year
Bond;
September
2020
Short
38
7,961
(14)
Euro
Buxl
30
Year
Bond;
December
2020
Short
6
1,542
(4)
Euro
Buxl
30
Year
Bond;
September
2020
Short
3
777
—
Euro-BTP;
September
2020
Short
11
1,919
(82)
Feeder
Cattle;
October
2020
(a)
Short
137
9,633
311
Gasoline
RBOB;
November
2020
(a)
Long
49
2,445
(22)
Gold
100
oz
;
December
2020
(a)
Long
84
16,620
1,289
Japan
10
Year
Bond
TSE;
September
2020
Short
10
14,312
33
KC
HRW
Wheat;
December
2020
(a)
Long
583
13,853
664
Lean
Hogs;
December
2020
(a)
Short
101
2,227
(48)
Lean
Hogs;
October
2020
(a)
Short
307
6,582
(178)
Live
Cattle;
December
2020
(a)
Short
33
1,439
2
Live
Cattle;
October
2020
(a)
Short
89
3,749
(23)
LME
Copper;
November
2020
(a)
Short
—
—
(71)
LME
Copper;
September
2020
(a)
Short
—
—
70
LME
Lead;
December
2020
(a)
Short
106
5,238
(6)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
129
Futures
Contracts
(continued)
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
LME
Lead;
November
2020
(a)
Short
2
$
98
$
(255)
LME
Lead;
September
2020
(a)
Short
—
—
662
LME
Nickel;
December
2020
(a)
Short
91
8,399
(462)
LME
Nickel;
June
2021
(a)
Long
8
743
52
LME
Nickel;
September
2020
(a)
Short
—
—
146
LME
PRI
Alum;
December
2020
(a)
Long
16
723
394
LME
PRI
Alum;
June
2021
(a)
Long
256
11,793
205
LME
PRI
Alum;
September
2020
(a)
Short
—
—
(469)
LME
Zinc;
December
2020
(a)
Long
229
14,426
1,461
LME
Zinc;
September
2020
(a)
Short
—
—
2,099
Low
Sulphur
Gasoline;
November
2020
(a)
Short
160
5,984
65
Natural
Gas;
January
2021
(a)
Long
89
2,986
132
Natural
Gas;
November
2020
(a)
Short
187
5,460
(257)
NY
Harb
ULSD;
November
2020
(a)
Short
189
9,846
345
Palladium;
December
2020
(a)
Short
14
3,191
(129)
Platinum;
January
2021
(a)
Short
13
616
10
Platinum;
October
2020
(a)
Short
83
3,892
(19)
Silver;
December
2020
(a)
Long
95
13,582
3,077
Soybean
Meal;
December
2020
(a)
Long
234
7,312
399
Soybean
Oil;
December
2020
(a)
Long
489
9,641
704
Soybean;
November
2020
(a)
Long
138
6,579
307
Sugar
#11;
March
2021
(a)
Long
106
1,577
(13)
Sugar
#11;
October
2020
(a)
Long
10
142
(6)
US
10
Year
Note;
December
2020
Short
46
6,406
(13)
US
10
Year
Ultra
Note;
December
2020
Short
138
22,002
(31)
US
2
Year
Note;
December
2020
Long
262
57,888
26
US
5
Year
Note;
December
2020
Long
130
16,384
22
US
Long
Bond;
December
2020
Short
3
527
1
US
Ultra
Bond;
December
2020
Long
5
1,104
(8)
Wheat;
December
2020
(a)
Long
107
2,955
251
WTI
Crude;
March
2021
(a)
Long
390
17,183
54
WTI
Crude;
November
2020
(a)
Short
277
11,883
(3)
Total
$
13,885
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
ANZ
Stockbroking
09/03/2020
GBP
109
$
143
$
3
$
—
ANZ
Stockbroking
09/03/2020
$
11,530
EUR
9,731
—
(83)
ANZ
Stockbroking
11/02/2020
$
36
EUR
30
—
—
Bank
of
America
NA
09/03/2020
$
21,853
JPY
2,296,462
17
2
—
Bank
of
America
NA
09/03/2020
NZD
18,017
$
12,109
27
—
Bank
of
America
NA
09/16/2020
CAD
4,668
$
3,445
134
—
Bank
of
America
NA
10/05/2020
$
12,109
NZD
18,017
—
(23)
BNP
Paribas
09/03/2020
$
2,321
AUD
3,251
—
(77)
BNP
Paribas
09/03/2020
$
42
GBP
32
—
(1)
BNP
Paribas
09/03/2020
NZD
1,606
$
1,060
22
—
BNP
Paribas
09/16/2020
$
849
CAD
1,109
—
(1)
Citigroup
Inc
09/03/2020
$
2,716
GBP
2,059
—
(36)
Citigroup
Inc
09/03/2020
GBP
1,982
$
2,639
10
—
Citigroup
Inc
09/03/2020
CAD
157
$
120
—
—
Citigroup
Inc
09/03/2020
$
310
NZD
475
—
(10)
Citigroup
Inc
09/16/2020
$
1,760
CAD
2,353
—
(44)
Citigroup
Inc
10/05/2020
$
2,640
GBP
1,982
—
(9)
Citigroup
Inc
10/05/2020
$
120
CAD
157
—
—
Goldman
Sachs
&
Co
09/03/2020
NZD
1,923
$
1,293
2
—
HSBC
Securities
Inc
09/03/2020
$
266
CAD
355
—
(6)
JPMorgan
Chase
09/03/2020
JPY
2,287,697
$
21,585
15
—
JPMorgan
Chase
10/05/2020
$
183
EUR
154
—
—
JPMorgan
Chase
10/05/2020
$
21,763
JPY
2,305,586
—
(19)
Morgan
Stanley
&
Co
09/03/2020
AUD
3,318
$
2,437
10
—
Royal
Bank
of
Scotland
09/03/2020
$
276
NZD
415
—
(4)
Standard
Chartered
Bank,
Hong
Kong
09/03/2020
$
251
EUR
213
—
(3)
Standard
Chartered
Bank,
Hong
Kong
09/03/2020
$
13,716
NZD
20,656
—
(19
9
)
UBS
AG
09/03/2020
EUR
9,155
$
10,939
—
(14)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
130
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
UBS
AG
10/05/2020
$
10,947
EUR
9,155
$
15
$
—
Westpac
Banking
Corporation
11/02/2020
GBP
963
$
1,205
82
—
Westpac
Banking
Corporation
11/02/2020
$
1,205
EUR
1,060
—
(61)
Total
$
49
2
$
(5
90
)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
1.08%
Semiannual
Quarterly
N/A
09/16/2030
NZD
8,540
$
(241)
$
(26)
$
(267)
3
Month
USD
LIBOR
Receive
0.75%
Semiannual
Quarterly
N/A
09/02/2030
$
970
(3)
—
(3)
3
Month
USD
LIBOR
Pay
0.76%
Quarterly
Semiannual
N/A
09/08/2025
576
12
—
12
3
Month
USD
LIBOR
Receive
0.65%
Semiannual
Quarterly
N/A
11/04/2030
1,060
8
—
8
3
Month
USD
LIBOR
Pay
1.25%
Quarterly
Semiannual
N/A
09/08/2050
190
8
—
8
3
Month
USD
LIBOR
Receive
0.82%
Semiannual
Quarterly
N/A
09/08/2025
1,110
(27)
—
(27)
3
Month
USD
LIBOR
Pay
0.68%
Quarterly
Semiannual
N/A
03/06/2022
1,720
12
—
12
3
Month
USD
LIBOR
Receive
1.11%
Semiannual
Quarterly
N/A
03/08/2032
545
(12)
—
(12)
3
Month
USD
LIBOR
Pay
0.64%
Quarterly
Semiannual
N/A
07/02/2030
620
(4)
—
(4)
3
Month
USD
LIBOR
Pay
1.02%
Quarterly
Semiannual
N/A
09/08/2030
820
25
—
25
3
Month
USD
LIBOR
Pay
0.25%
Quarterly
Semiannual
N/A
07/08/2023
2,610
(1)
—
(1)
3
Month
USD
LIBOR
Pay
0.73%
Quarterly
Semiannual
N/A
09/04/2022
5,790
60
—
60
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
2,920
39
—
39
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
2,905
39
—
39
3
Month
USD
LIBOR
Receive
0.67%
Semiannual
Quarterly
N/A
10/09/2030
1,070
6
—
6
3
Month
USD
LIBOR
Pay
1.24%
Quarterly
Semiannual
N/A
03/02/2030
600
31
—
31
3
Month
USD
LIBOR
Receive
2.46%
Semiannual
Quarterly
N/A
02/28/2022
9,730
(324)
1
(323)
3
Month
USD
LIBOR
Pay
2.52%
Quarterly
Semiannual
N/A
02/28/2025
700
70
—
70
3
Month
USD
LIBOR
Pay
0.57%
Quarterly
Semiannual
N/A
07/27/2030
290
(4)
—
(4)
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/30/2030
650
55
—
55
3
Month
USD
LIBOR
Pay
0.30%
Quarterly
Semiannual
N/A
05/05/2023
1,810
3
—
3
3
Month
USD
LIBOR
Receive
1.63%
Semiannual
Quarterly
N/A
02/10/2030
600
(53)
—
(53)
3
Month
USD
LIBOR
Pay
1.83%
Quarterly
Semiannual
N/A
02/10/2050
240
47
—
47
3
Month
USD
LIBOR
Receive
0.88%
Semiannual
Quarterly
N/A
07/12/2053
350
27
—
27
3
Month
USD
LIBOR
Pay
0.69%
Quarterly
Semiannual
N/A
03/11/2050
110
(12)
—
(12)
3
Month
USD
LIBOR
Pay
0.65%
Quarterly
Semiannual
N/A
07/12/2028
1,890
(9)
—
(9)
3
Month
USD
LIBOR
Pay
1.43%
Quarterly
Semiannual
N/A
02/25/2030
600
42
—
42
3
Month
USD
LIBOR
Pay
1.32%
Quarterly
Semiannual
N/A
02/26/2030
600
36
—
36
3
Month
USD
LIBOR
Receive
2.40%
Semiannual
Quarterly
N/A
02/26/2022
37,510
(1,219)
1
(1,218)
3
Month
USD
LIBOR
Receive
1.32%
Semiannual
Quarterly
N/A
08/27/2030
1,640
(97)
—
(97)
3
Month
USD
LIBOR
Receive
1.31%
Semiannual
Quarterly
N/A
02/27/2030
1,200
(71)
—
(71)
3
Month
USD
LIBOR
Pay
1.10%
Quarterly
Semiannual
N/A
03/01/2023
5,810
102
—
102
3
Month
USD
LIBOR
Pay
0.63%
Quarterly
Semiannual
N/A
07/10/2030
610
(5)
—
(5)
3
Month
USD
LIBOR
Pay
0.58%
Quarterly
Semiannual
N/A
07/28/2030
930
(12)
—
(12)
3
Month
USD
LIBOR
Receive
0.66%
Semiannual
Quarterly
N/A
03/11/2030
310
1
—
1
3
Month
USD
LIBOR
Pay
0.85%
Quarterly
Semiannual
N/A
03/12/2040
1,190
(59)
—
(59)
3
Month
USD
LIBOR
Receive
0.77%
Semiannual
Quarterly
N/A
05/04/2032
1,790
25
—
25
3
Month
USD
LIBOR
Receive
0.77%
Semiannual
Quarterly
N/A
05/06/2032
1,490
20
—
20
3
Month
USD
LIBOR
Pay
0.79%
Quarterly
Semiannual
N/A
05/09/2032
1,250
(15)
—
(15)
3
Month
USD
LIBOR
Receive
0.76%
Semiannual
Quarterly
N/A
05/03/2032
1,730
25
—
25
3
Month
USD
LIBOR
Receive
0.81%
Semiannual
Quarterly
N/A
05/18/2050
200
15
—
15
3
Month
USD
LIBOR
Receive
0.65%
Semiannual
Quarterly
N/A
04/20/2027
230
(1)
—
(1)
3
Month
USD
LIBOR
Pay
0.92%
Quarterly
Semiannual
N/A
05/16/2035
580
(17)
—
(17)
3
Month
USD
LIBOR
Receive
0.23%
Semiannual
Quarterly
N/A
11/24/2022
5,020
(1)
—
(1)
3
Month
USD
LIBOR
Receive
0.65%
Semiannual
Quarterly
N/A
06/02/2030
880
4
—
4
3
Month
USD
LIBOR
Pay
0.82%
Quarterly
Semiannual
N/A
04/14/2030
1,610
20
—
20
3
Month
USD
LIBOR
Receive
0.63%
Semiannual
Quarterly
N/A
04/14/2025
3,090
(46)
—
(46)
3
Month
USD
LIBOR
Pay
0.64%
Quarterly
Semiannual
N/A
04/07/2030
1,610
(8)
—
(8)
3
Month
USD
LIBOR
Pay
0.35%
Quarterly
Semiannual
N/A
10/02/2022
2,760
8
—
8
3
Month
USD
LIBOR
Pay
0.36%
Quarterly
Semiannual
N/A
06/02/2025
1,720
4
—
4
3
Month
USD
LIBOR
Pay
0.62%
Quarterly
Semiannual
N/A
05/04/2030
700
(5)
—
(5)
3
Month
USD
LIBOR
Receive
1.00%
Semiannual
Quarterly
N/A
06/03/2022
9,766
(134)
—
(134)
3
Month
USD
LIBOR
Receive
0.76%
Semiannual
Quarterly
N/A
06/03/2031
1,596
6
—
6
3
Month
USD
LIBOR
Receive
0.68%
Semiannual
Quarterly
N/A
09/16/2030
1,040
4
—
4
3
Month
USD
LIBOR
Receive
0.76%
Semiannual
Quarterly
N/A
09/02/2030
280
(1)
—
(1)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
131
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Pay
1.10%
Quarterly
Semiannual
N/A
08/21/2050
$
400
$
3
$
—
$
3
3
Month
USD
LIBOR
Pay
0.65%
Quarterly
Semiannual
N/A
06/20/2027
1,705
7
—
7
3
Month
USD
LIBOR
Receive
1.09%
Semiannual
Quarterly
N/A
06/20/2052
310
5
—
5
3
Month
USD
LIBOR
Pay
0.68%
Quarterly
Semiannual
N/A
06/20/2027
1,705
9
—
9
3
Month
USD
LIBOR
Receive
0.55%
Semiannual
Quarterly
N/A
03/12/2021
11,570
(18)
—
(18)
3
Month
USD
LIBOR
Receive
1.14%
Semiannual
Quarterly
N/A
06/20/2052
310
1
—
1
3
Month
USD
LIBOR
Pay
0.31%
Quarterly
Semiannual
N/A
06/14/2023
1,835
3
—
3
3
Month
USD
LIBOR
Pay
0.43%
Quarterly
Semiannual
N/A
09/29/2022
1,270
5
—
5
3
Month
USD
LIBOR
Pay
0.37%
Quarterly
Semiannual
N/A
09/29/2022
1,940
6
—
6
3
Month
USD
LIBOR
Pay
0.67%
Quarterly
Semiannual
N/A
06/03/2030
820
(3)
—
(3)
3
Month
USD
LIBOR
Pay
0.36%
Quarterly
Semiannual
N/A
09/29/2022
1,380
4
—
4
3
Month
USD
LIBOR
Pay
0.34%
Quarterly
Semiannual
N/A
09/29/2022
3,310
9
—
9
3
Month
USD
LIBOR
Pay
0.29%
Quarterly
Semiannual
N/A
06/14/2023
1,835
2
—
2
3
Month
USD
LIBOR
Pay
0.58%
Quarterly
Semiannual
N/A
07/31/2030
930
(12)
—
(12)
3
Month
USD
LIBOR
Pay
1.61%
Quarterly
Semiannual
N/A
01/30/2030
600
52
—
52
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/29/2030
600
50
—
50
3
Month
USD
LIBOR
Receive
2.38%
Semiannual
Quarterly
N/A
07/05/2049
300
(28)
—
(28)
3
Month
USD
LIBOR
Receive
1.77%
Semiannual
Quarterly
N/A
07/12/2023
19,920
(299)
1
(298)
3
Month
USD
LIBOR
Pay
1.71%
Quarterly
Semiannual
N/A
07/13/2022
19,600
297
—
297
3
Month
USD
LIBOR
Receive
0.30%
Semiannual
Quarterly
N/A
02/28/2025
2,110
—
—
—
3
Month
USD
LIBOR
Receive
0.99%
Semiannual
Quarterly
N/A
02/15/2047
660
17
—
17
3
Month
USD
LIBOR
Pay
0.65%
Quarterly
Semiannual
N/A
05/15/2030
4,780
(27)
(2)
(29)
3
Month
USD
LIBOR
Receive
0.64%
Semiannual
Quarterly
N/A
05/15/2030
1,070
6
—
6
3
Month
USD
LIBOR
Receive
1.39%
Semiannual
Quarterly
N/A
08/25/2050
2,350
(189)
—
(189)
3
Month
USD
LIBOR
Receive
1.71%
Semiannual
Quarterly
N/A
08/16/2049
240
(9)
—
(9)
3
Month
USD
LIBOR
Receive
1.67%
Semiannual
Quarterly
N/A
08/17/2049
180
(6)
—
(6)
3
Month
USD
LIBOR
Pay
1.00%
Quarterly
Semiannual
N/A
08/21/2050
90
(2)
—
(2)
3
Month
USD
LIBOR
Pay
1.53%
Quarterly
Semiannual
N/A
11/22/2020
4,970
14
—
14
3
Month
USD
LIBOR
Receive
1.65%
Semiannual
Quarterly
N/A
08/22/2034
535
(25)
—
(25)
3
Month
USD
LIBOR
Pay
0.99%
Quarterly
Semiannual
N/A
08/21/2050
90
(2)
—
(2)
3
Month
USD
LIBOR
Pay
1.57%
Quarterly
Semiannual
N/A
04/29/2030
660
55
—
55
3
Month
USD
LIBOR
Receive
2.33%
Semiannual
Quarterly
N/A
06/24/2034
150
(17)
—
(17)
3
Month
USD
LIBOR
Pay
0.65%
Quarterly
Semiannual
N/A
08/20/2030
120
(1)
—
(1)
3
Month
USD
LIBOR
Pay
2.10%
Quarterly
Semiannual
N/A
06/22/2031
210
27
—
27
3
Month
USD
LIBOR
Receive
2.37%
Semiannual
Quarterly
N/A
06/15/2050
310
(106)
—
(106)
3
Month
USD
LIBOR
Receive
0.75%
Semiannual
Quarterly
N/A
09/01/2030
280
(1)
—
(1)
3
Month
USD
LIBOR
Receive
0.73%
Semiannual
Quarterly
N/A
09/01/2030
280
(1)
—
(1)
3
Month
USD
LIBOR
Receive
0.75%
Semiannual
Quarterly
N/A
09/01/2030
280
(1)
—
(1)
3
Month
USD
LIBOR
Receive
2.53%
Semiannual
Quarterly
N/A
02/07/2023
390
(18)
—
(18)
3
Month
USD
LIBOR
Receive
2.57%
Semiannual
Quarterly
N/A
02/07/2025
5,220
(531)
5
(526)
3
Month
USD
LIBOR
Pay
2.53%
Semiannual
Semiannual
N/A
02/07/2022
55,240
1,813
(20)
1,793
3
Month
USD
LIBOR
Receive
0.72%
Semiannual
Quarterly
N/A
08/28/2030
280
—
—
—
3
Month
USD
LIBOR
Receive
0.70%
Semiannual
Quarterly
N/A
08/27/2030
280
—
—
—
3
Month
USD
LIBOR
Receive
0.69%
Semiannual
Quarterly
N/A
08/27/2030
280
1
(1)
—
3
Month
USD
LIBOR
Receive
0.69%
Semiannual
Quarterly
N/A
08/27/2030
280
1
—
1
3
Month
USD
LIBOR
Receive
0.35%
Semiannual
Quarterly
N/A
08/27/2025
1,040
(1)
—
(1)
3
Month
USD
LIBOR
Pay
2.60%
Quarterly
Semiannual
N/A
03/26/2029
1,360
229
—
229
3
Month
USD
LIBOR
Pay
2.45%
Quarterly
Semiannual
N/A
05/18/2031
460
75
—
75
3
Month
USD
LIBOR
Receive
1.87%
Semiannual
Quarterly
N/A
06/03/2022
12,690
(212)
—
(212)
3
Month
USD
LIBOR
Receive
1.77%
Semiannual
Quarterly
N/A
06/15/2021
9,380
(113)
—
(113)
3
Month
USD
LIBOR
Receive
0.21%
Semiannual
Quarterly
N/A
09/15/2022
14,230
(2)
—
(2)
3
Month
USD
LIBOR
Receive
1.20%
Semiannual
Quarterly
N/A
08/19/2030
2,180
(105)
—
(105)
3
Month
USD
LIBOR
Pay
1.17%
Quarterly
Semiannual
N/A
09/08/2021
2,650
25
—
25
3
Month
USD
LIBOR
Receive
0.50%
Semiannual
Quarterly
N/A
08/19/2027
360
—
—
—
3
Month
USD
LIBOR
Pay
1.69%
Quarterly
Semiannual
N/A
01/28/2030
600
57
—
57
3
Month
USD
LIBOR
Pay
1.73%
Quarterly
Semiannual
N/A
01/08/2030
660
64
—
64
3
Month
USD
LIBOR
Pay
1.80%
Quarterly
Semiannual
N/A
01/07/2030
660
69
—
69
3
Month
USD
LIBOR
Pay
0.18%
Quarterly
Semiannual
N/A
11/10/2022
6,750
(4)
—
(4)
3
Month
USD
LIBOR
Receive
0.75%
Semiannual
Quarterly
N/A
08/12/2022
4,320
(45)
—
(45)
3
Month
USD
LIBOR
Pay
0.25%
Quarterly
Semiannual
N/A
08/17/2023
1,160
—
—
—
3
Month
USD
LIBOR
Pay
3.09%
Quarterly
Semiannual
N/A
11/29/2024
6,660
792
—
792
3
Month
USD
LIBOR
Pay
1.93%
Quarterly
Semiannual
N/A
12/01/2056
50
9
—
9
3
Month
USD
LIBOR
Receive
1.42%
Semiannual
Quarterly
N/A
08/19/2030
1,760
(122)
—
(122)
3
Month
USD
LIBOR
Receive
2.11%
Semiannual
Quarterly
N/A
11/12/2034
660
(59)
—
(59)
3
Month
USD
LIBOR
Receive
0.50%
Semiannual
Quarterly
N/A
08/17/2027
640
—
—
—
3
Month
USD
LIBOR
Receive
2.00%
Semiannual
Quarterly
N/A
11/07/2034
570
(45)
—
(45)
3
Month
USD
LIBOR
Pay
3.21%
Quarterly
Semiannual
N/A
10/29/2024
4,985
606
—
606
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
132
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Pay
0.70%
Quarterly
Semiannual
N/A
08/17/2030
$
230
$
—
$
—
$
—
3
Month
USD
LIBOR
Receive
2.11%
Semiannual
Quarterly
N/A
11/15/2044
800
(51)
—
(51)
3
Month
USD
LIBOR
Receive
1.98%
Semiannual
Quarterly
N/A
10/23/2034
240
(18)
—
(18)
3
Month
USD
LIBOR
Receive
1.91%
Semiannual
Quarterly
N/A
10/21/2034
480
(34)
—
(34)
3
Month
USD
LIBOR
Receive
0.97%
Semiannual
Quarterly
N/A
08/17/2040
300
4
—
4
3
Month
USD
LIBOR
Receive
0.35%
Semiannual
Quarterly
N/A
08/18/2025
520
(1)
—
(1)
3
Month
USD
LIBOR
Receive
1.93%
Semiannual
Quarterly
N/A
10/22/2034
540
(39)
—
(39)
3
Month
USD
LIBOR
Receive
2.10%
Semiannual
Quarterly
N/A
10/23/2039
310
(20)
—
(20)
3
Month
USD
LIBOR
Pay
1.02%
Quarterly
Semiannual
N/A
08/17/2050
210
(4)
—
(4)
3
Month
USD
LIBOR
Receive
1.98%
Semiannual
Quarterly
N/A
10/23/2034
240
(19)
—
(19)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.41)%
Semiannual
Annual
N/A
07/27/2023
EUR
1,280
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.43)%
Semiannual
Annual
N/A
08/05/2023
1,020
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.43)%
Semiannual
Annual
N/A
08/09/2023
810
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.40)%
Annual
Semiannual
N/A
07/21/2022
2,610
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.34)%
Semiannual
Annual
N/A
07/20/2026
1,030
(2)
—
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.41)%
Semiannual
Annual
N/A
07/20/2023
2,700
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.01)%
Annual
Semiannual
N/A
07/14/2050
870
39
1
40
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.19)%
Semiannual
Annual
N/A
07/14/2030
2,580
(14)
—
(14)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.44)%
Semiannual
Annual
N/A
08/24/2023
1,130
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.41)%
Annual
Semiannual
N/A
02/16/2023
2,420
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.25)%
Semiannual
Annual
N/A
08/16/2027
1,880
(3)
—
(3)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.26)%
Annual
Semiannual
N/A
08/16/2027
470
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.40)%
Annual
Semiannual
N/A
02/16/2023
2,370
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.40)%
Semiannual
Annual
N/A
07/08/2023
1,250
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.40)%
Semiannual
Annual
N/A
06/25/2023
1,310
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.42)%
Semiannual
Annual
N/A
06/24/2023
1,320
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
0.06%
Annual
Semiannual
N/A
06/23/2050
890
19
—
19
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.15)%
Semiannual
Annual
N/A
06/23/2030
2,735
(1)
1
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.42)%
Semiannual
Annual
N/A
07/02/2023
1,870
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.37)%
Semiannual
Annual
N/A
05/06/2023
470
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.35)%
Annual
Semiannual
N/A
03/20/2022
1,210
(2)
—
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.45)%
Semiannual
Annual
N/A
08/11/2023
830
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/18/2025
120
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.48)%
Semiannual
Annual
N/A
03/06/2022
950
—
(1)
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.48)%
Semiannual
Annual
N/A
03/05/2022
2,560
(2)
—
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.47)%
Semiannual
Annual
N/A
03/04/2023
1,290
(1)
(1)
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.41)%
Semiannual
Annual
N/A
03/02/2023
2,340
1
(1)
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.33)%
Semiannual
Annual
N/A
02/12/2023
1,390
3
—
3
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.50)%
Semiannual
Annual
N/A
09/14/2023
1,800
(4)
—
(4)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.43)%
Semiannual
Annual
N/A
09/14/2023
530
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.58)%
Semiannual
Annual
N/A
08/17/2023
700
(3)
—
(3)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.45)%
Semiannual
Annual
N/A
09/28/2023
430
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.30)%
Annual
Semiannual
N/A
07/25/2023
5,450
(14)
(1)
(15)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
11/11/2024
460
(4)
(1)
(5)
6
Month
Euro
Interbank
Offered
Rate
Receive
0.19%
Annual
Semiannual
N/A
01/16/2030
1,020
(39)
(3)
(42)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
01/16/2022
4,940
9
—
9
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.05)%
Annual
Semiannual
N/A
01/03/2024
1,335
(10)
(1)
(11)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
12/13/2023
2,370
(12)
(1)
(13)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.06)%
Annual
Semiannual
N/A
01/03/2024
1,335
(10)
(1)
(11)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.29)%
Annual
Semiannual
N/A
07/26/2023
7,870
(22)
(1)
(23)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.44)%
Semiannual
Annual
N/A
10/06/2023
540
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.38)%
Annual
Semiannual
N/A
06/19/2022
1,720
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.49)%
Semiannual
Annual
N/A
03/09/2022
1,730
(1)
(1)
(2)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.30)%
Annual
Semiannual
N/A
03/23/2022
4,410
(11)
—
(11)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.38)%
Semiannual
Annual
N/A
05/04/2023
1,410
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.35)%
Semiannual
Annual
N/A
11/02/2022
1,420
3
—
3
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.34)%
Semiannual
Annual
N/A
05/03/2023
1,410
2
1
3
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.31)%
Semiannual
Annual
N/A
04/29/2023
670
2
—
2
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
07/20/2022
2,550
6
—
6
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
07/20/2022
2,200
5
1
6
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
07/16/2022
1,830
4
1
5
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.33)%
Semiannual
Annual
N/A
10/02/2022
1,980
5
—
5
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.34)%
Annual
Semiannual
N/A
03/20/2022
1,220
(2)
—
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.34)%
Semiannual
Annual
N/A
10/02/2022
2,120
4
1
5
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.45)%
Annual
Semiannual
N/A
12/16/2021
2,045
2
—
2
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.28)%
Semiannual
Annual
N/A
06/30/2022
436
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.28)%
Semiannual
Annual
N/A
06/26/2022
436
1
—
1
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
133
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.29)%
Semiannual
Annual
N/A
06/25/2022
EUR
436
$
1
$
—
$
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.25)%
Semiannual
Annual
N/A
06/24/2022
1,162
4
—
4
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/24/2023
4,700
(26)
(1)
(27)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/24/2023
4,695
(26)
(2)
(28)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
03/24/2023
4,695
(27)
(2)
(29)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.26)%
Annual
Semiannual
N/A
09/22/2022
2,360
(10)
—
(10)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.32)%
Semiannual
Annual
N/A
09/29/2022
1,080
3
—
3
6
Month
JPY
LIBOR
Receive
0.17%
Semiannual
Semiannual
N/A
08/08/2039
JPY
8,330
1
1
2
6
Month
JPY
LIBOR
Receive
0.72%
Semiannual
Semiannual
N/A
03/21/2044
8,220
(5)
—
(5)
6
Month
JPY
LIBOR
Receive
0.30%
Semiannual
Semiannual
N/A
06/17/2039
11,470
(1)
—
(1)
6
Month
JPY
LIBOR
Receive
0.20%
Semiannual
Semiannual
N/A
08/28/2044
1,270
—
—
—
6
Month
JPY
LIBOR
Receive
0.34%
Semiannual
Semiannual
N/A
02/08/2034
8,650
(2)
—
(2)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.71%
Annual
Annual
N/A
08/12/2024
$
5,460
(27)
—
(27)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
08/01/2024
5,860
(78)
—
(78)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.82%
Annual
Annual
N/A
02/03/2030
5,375
29
—
29
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.85%
Annual
Annual
N/A
08/10/2030
2,855
(69)
—
(69)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.33%
Annual
Annual
N/A
05/04/2030
5,730
348
1
349
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.90%
Annual
Annual
N/A
02/12/2024
3,930
(57)
—
(57)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
2.25%
Annual
Annual
N/A
10/30/2028
2,195
(104)
—
(104)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.75%
Annual
Annual
N/A
08/21/2022
11,990
37
—
37
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.96%
Annual
Annual
N/A
08/31/2030
4,940
(43)
1
(42)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.25%
Annual
Annual
N/A
03/11/2030
2,675
182
—
182
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.96%
Annual
Annual
N/A
12/12/2049
1,540
43
—
43
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.29%
Annual
Annual
N/A
05/05/2030
5,115
338
—
338
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.29%
Annual
Annual
N/A
03/15/2029
EUR
4,285
(203)
(16)
(219)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.13%
Annual
Annual
N/A
02/15/2030
605
(15)
(1)
(16)
United
Kingdom
Retail
Prices
Index
Pay
3.49%
Annual
Annual
N/A
03/15/2029
GBP
3,035
85
(5)
80
United
Kingdom
Retail
Prices
Index
Pay
3.61%
Annual
Annual
N/A
01/15/2029
1,145
69
(1)
68
United
Kingdom
Retail
Prices
Index
Pay
3.51%
Annual
Annual
N/A
10/15/2028
3,095
153
(5)
148
United
Kingdom
Retail
Prices
Index
Receive
3.13%
Annual
Annual
N/A
01/15/2050
1,300
(131)
9
(122)
United
Kingdom
Retail
Prices
Index
Pay
3.36%
Annual
Annual
N/A
10/15/2039
3,555
188
(25)
163
United
Kingdom
Retail
Prices
Index
Receive
3.16%
Annual
Annual
N/A
10/15/2049
2,725
(340)
(12)
(352)
United
Kingdom
Retail
Prices
Index
Pay
3.27%
Annual
Annual
N/A
10/15/2044
2,725
248
(10)
238
United
Kingdom
Retail
Prices
Index
Receive
3.46%
Annual
Annual
N/A
12/15/2029
1,065
(11)
1
(10)
United
Kingdom
Retail
Prices
Index
Receive
3.47%
Annual
Annual
N/A
08/15/2030
1,805
40
1
41
United
Kingdom
Retail
Prices
Index
Pay
3.24%
Annual
Annual
N/A
01/15/2045
1,300
79
(7)
72
United
Kingdom
Retail
Prices
Index
Pay
3.34%
Annual
Annual
N/A
01/15/2040
1,700
49
(10)
39
United
Kingdom
Retail
Prices
Index
Receive
3.39%
Annual
Annual
N/A
01/15/2035
1,700
(23)
7
(16)
United
Kingdom
Retail
Prices
Index
Pay
3.31%
Annual
Annual
N/A
01/15/2040
1,700
25
(10)
15
United
Kingdom
Retail
Prices
Index
Receive
3.36%
Annual
Annual
N/A
01/15/2035
1,700
(8)
7
(1)
United
Kingdom
Retail
Prices
Index
Pay
3.22%
Annual
Annual
N/A
01/15/2045
1,300
64
(8)
56
United
Kingdom
Retail
Prices
Index
Receive
3.11%
Annual
Annual
N/A
01/15/2050
1,300
(108)
10
(98)
United
Kingdom
Retail
Prices
Index
Pay
3.45%
Annual
Annual
N/A
02/15/2030
530
1
(1)
—
United
Kingdom
Retail
Prices
Index
Pay
3.29%
Annual
Annual
N/A
03/15/2030
3,310
(79)
(6)
(85)
United
Kingdom
Retail
Prices
Index
Receive
3.42%
Annual
Annual
N/A
10/15/2034
3,555
(135)
24
(111)
United
Kingdom
Retail
Prices
Index
Pay
3.40%
Annual
Annual
N/A
08/15/2028
5,285
141
(13)
128
Total
$
1,046
$
(121)
$
925
Amounts
in
thousands.
(a)
Forward
swap.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
134
Total
Return
Swaps
Counterparty
Reference
Entity
Contracts
Pay/Receive
Positive
Return
Financing
Rate
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/
(Depreciation)
Asset
----
Liability
Bank
of
America
NA
Bloomberg
Commodity
Index
Total
Return
(a)
340,958
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.11%
Monthly
09/23/2020
$
52,401
$
—
$
944
$
—
Bank
of
America
NA
BofA
Merrill
Lynch
Commodity
MLBXCS3T
Total
Return
Strategy
(a)
127,663
Receive
0.17%
Annual
09/08/2020
11,523
—
48
—
M3
Capital
Partners
Bloomberg
Commodity
Index
Total
Return
(a)
538,621
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.09%
Monthly
09/23/2020
82,780
—
1,49
2
—
M3
Capital
Partners
Macquarie
Commodity
Product
251E
(a)
98,735
Receive
0.33%
Annual
09/08/2020
8,582
—
—
(49)
Societe
Generale
Bloomberg
Commodity
Index
Total
Return
(a)
146,250
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.11%
Monthly
09/23/2020
22,477
—
405
—
Societe
Generale
Societe
Generale
Commodities
Custom
Alpha
(a)
149,053
Receive
0.35%
Annual
09/08/2020
12,491
—
41
—
Total
$
—
$
2,93
0
$
(49)
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.
Schedule
of
Investments
Edge
MidCap
Fund
August
31,
2020
See
accompanying
notes.
135
INVESTMENT
COMPANIES
-
3.05%
Shares
Held
Value
(000's)
Money
Market
Funds
-
3.05%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c)
26,003,370
$
26,003
TOTAL
INVESTMENT
COMPANIES
$
26,003
COMMON
STOCKS
-
96.93%
Shares
Held
Value
(000's)
Advertising
-
1.92%
Interpublic
Group
of
Cos
Inc/The
920,573
$
16,349
Airlines
-
0.33%
Alaska
Air
Group
Inc
73,031
2,845
Automobile
Parts
&
Equipment
-
1.20%
Autoliv
Inc
131,190
10,277
Banks
-
2.33%
Bank
OZK
301,201
6,940
Cullen/Frost
Bankers
Inc
185,667
12,896
$
19,836
Building
Materials
-
1.04%
Lennox
International
Inc
31,497
8,830
Chemicals
-
2.67%
FMC
Corp
212,950
22,756
Commercial
Services
-
3.52%
Aaron's
Inc
345,660
19,319
Morningstar
Inc
67,308
10,779
$
30,098
Computers
-
1.14%
Amdocs
Ltd
158,505
9,705
Consumer
Products
-
2.36%
Avery
Dennison
Corp
174,441
20,129
Electric
-
3.97%
Alliant
Energy
Corp
479,577
25,970
Eversource
Energy
93,049
7,975
$
33,945
Electrical
Components
&
Equipment
-
5.32%
Energizer
Holdings
Inc
487,824
22,581
Littelfuse
Inc
126,013
22,788
$
45,369
Electronics
-
1.73%
Arrow
Electronics
Inc
(b)
188,167
14,782
Environmental
Control
-
2.09%
Waste
Connections
Inc
178,012
17,807
Gas
-
0.73%
ONE
Gas
Inc
83,543
6,192
Hand
&
Machine
Tools
-
5.01%
Lincoln
Electric
Holdings
Inc
277,415
26,829
Snap-on
Inc
107,130
15,884
$
42,713
Healthcare
-
Products
-
8.68%
STERIS
PLC
156,885
25,045
Teleflex
Inc
84,051
33,028
Varian
Medical
Systems
Inc
(b)
91,162
15,832
$
73,905
Healthcare
-
Services
-
2.88%
Universal
Health
Services
Inc
222,978
24,606
Insurance
-
4.72%
Fidelity
National
Financial
Inc
589,646
19,358
Markel
Corp
(b)
19,235
20,905
$
40,263
Internet
-
1.85%
Rightmove
PLC
1,880,326
15,780
Leisure
Products
&
Services
-
4.41%
Brunswick
Corp/DE
138,006
8,541
YETI
Holdings
Inc
(b)
565,336
29,047
$
37,588
Machinery
-
Diversified
-
2.14%
Nordson
Corp
97,828
18,244
Media
-
0.26%
Cable
One
Inc
1,221
2,247
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Oil
&
Gas
-
2.27%
Cimarex
Energy
Co
320,309
$
8,898
Helmerich
&
Payne
Inc
215,146
3,546
HollyFrontier
Corp
290,211
6,927
$
19,371
REITs
-
8.38%
Alexandria
Real
Estate
Equities
Inc
148,614
25,024
CyrusOne
Inc
386,378
32,274
STORE
Capital
Corp
526,448
14,235
$
71,533
Retail
-
1.11%
Tractor
Supply
Co
63,675
9,477
Savings
&
Loans
-
2.13%
Washington
Federal
Inc
775,250
18,180
Semiconductors
-
4.69%
Microchip
Technology
Inc
78,966
8,663
Teradyne
Inc
368,234
31,289
$
39,952
Software
-
10.27%
Black
Knight
Inc
(b)
440,154
37,017
Fair
Isaac
Corp
(b)
86,632
36,454
Tyler
Technologies
Inc
(b)
41,173
14,217
$
87,688
Toys,
Games
&
Hobbies
-
2.45%
Hasbro
Inc
264,368
20,869
Transportation
-
4.14%
Expeditors
International
of
Washington
Inc
375,732
33,211
Kirby
Corp
(b)
49,731
2,111
$
35,322
Water
-
1.19%
Essential
Utilities
Inc
238,668
10,143
TOTAL
COMMON
STOCKS
$
826,801
Total
Investments
$
852,804
Other
Assets
and
Liabilities
- 0.02%
156
TOTAL
NET
ASSETS
-
100.00%
$
852,960
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
Portfolio
Summary (unaudited)
Sector
Percent
Industrial
21.47%
Financial
17.56%
Consumer,
Non-cyclical
17.44%
Technology
16.10%
Consumer,
Cyclical
9.50%
Utilities
5.89%
Communications
4.03%
Money
Market
Funds
3.05%
Basic
Materials
2.67%
Energy
2.27%
Other
Assets
and
Liabilities
0.02%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Edge
MidCap
Fund
August
31,
2020
See
accompanying
notes.
136
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
19,943
$
271,121
$
265,061
$
26,003
$
19,9
43
$
271,121
$
265,061
$
26,003
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
156
$
—
$
—
$
—
$
156
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
137
INVESTMENT
COMPANIES
-
12.24%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.10%
iShares
Russell
1000
Growth
ETF
2,105
$
480
iShares
Russell
2000
Value
ETF
226
24
SPDR
Gold
Shares
ETP
798
147
VanEck
Vectors
Gold
Miners
ETF
2,460
104
VanEck
Vectors
Junior
Gold
Miners
ETF
1,381
83
$
838
Money
Market
Funds
-
12.14%
First
American
Government
Obligations
Fund
-
Institutional
Class
0.05%
(a)
3,500,116
3,500
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
-
Institutional
Class
0.02%
(a),(b)
4,768,680
4,769
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
89,035,833
89,036
$
97,305
TOTAL
INVESTMENT
COMPANIES
$
98,143
COMMON
STOCKS
-
41.74%
Shares
Held
Value
(000's)
Advertising
-
0.07%
Clear
Channel
Outdoor
Holdings
Inc
(d)
94,859
$
111
Interpublic
Group
of
Cos
Inc/The
(e)
5,943
105
Omnicom
Group
Inc
(e)
2,237
121
WPP
PLC
21,705
184
$
521
Aerospace
&
Defense
-
0.61%
Airbus
SE
(d)
488
40
General
Dynamics
Corp
(e)
2,481
371
HEICO
Corp
-
Class
A
(e)
1,428
128
Howmet
Aerospace
Inc
(e)
42,881
751
Lockheed
Martin
Corp
(e)
3,630
1,416
Moog
Inc
1,073
65
MTU
Aero
Engines
AG
600
111
Northrop
Grumman
Corp
1,289
442
Raytheon
Technologies
Corp
1,584
97
Thales
SA
2,680
209
TransDigm
Group
Inc
(e)
2,312
1,155
Ultra
Electronics
Holdings
PLC
4,061
125
$
4,910
Agriculture
-
0.26%
Altria
Group
Inc
(e)
9,281
406
Archer-Daniels-Midland
Co
(e)
5,641
252
Philip
Morris
International
Inc
(e)
13,035
1,040
Swedish
Match
AB
5,513
419
$
2,117
Airlines
-
0.03%
Southwest
Airlines
Co
5,624
211
Apparel
-
0.43%
Carter's
Inc
1,839
146
Hanesbrands
Inc
(e)
14,870
227
Kontoor
Brands
Inc
3,961
88
LVMH
Moet
Hennessy
Louis
Vuitton
SE
1,048
492
NIKE
Inc
(e)
6,854
767
Puma
SE
(d)
2,411
200
PVH
Corp
(e)
19,493
1,087
Steven
Madden
Ltd
9,201
195
VF
Corp
1,970
129
Wolverine
World
Wide
Inc
5,833
146
$
3,477
Automobile
Manufacturers
-
0.36%
Cummins
Inc
(e)
2,560
531
Ferrari
NV
2,630
513
General
Motors
Co
(e)
6,318
187
PACCAR
Inc
7,615
654
REV
Group
Inc
10,687
83
Tesla
Inc
(d),(e)
165
82
Volvo
AB
-
B
Shares
(d)
43,303
829
$
2,879
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Automobile
Parts
&
Equipment
-
0.16%
BorgWarner
Inc
(e)
12,830
$
521
Cooper
Tire
&
Rubber
Co
2,902
100
Gentherm
Inc
(d)
2,600
118
Magna
International
Inc
5,900
287
Rheinmetall
AG
2,384
221
$
1,247
Banks
-
1.32%
Allegiance
Bancshares
Inc
2,302
59
Ameris
Bancorp
2,362
58
Aozora
Bank
Ltd
13,600
244
Atlantic
Union
Bankshares
Corp
1,577
37
Banca
Generali
SpA
5,367
163
Bank
of
America
Corp
(e)
19,486
502
Bank
OZK
5,611
129
Cadence
BanCorp
9,121
87
Citigroup
Inc
415
21
Concordia
Financial
Group
Ltd
75,300
250
DBS
Group
Holdings
Ltd
16,600
254
DNB
ASA
(d)
14,997
240
Fifth
Third
Bancorp
(e)
23,444
484
FinecoBank
Banca
Fineco
SpA
(d)
8,628
131
First
Citizens
BancShares
Inc/NC
188
74
First
Hawaiian
Inc
3,826
63
First
Interstate
BancSystem
Inc
2,259
74
First
Midwest
Bancorp
Inc/IL
4,849
60
First
Republic
Bank/CA
1,662
188
FNB
Corp/PA
9,187
69
Fukuoka
Financial
Group
Inc
13,700
226
Goldman
Sachs
Group
Inc/The
(e)
2,163
443
Great
Western
Bancorp
Inc
4,929
69
Heritage
Commerce
Corp
8,296
57
Hilltop
Holdings
Inc
3,871
80
Home
BancShares
Inc/AR
5,453
88
ING
Groep
NV
102,199
834
Intesa
Sanpaolo
SpA
(d)
47,218
102
JPMorgan
Chase
&
Co
(e)
2,340
234
KBC
Group
NV
1,438
82
M&T
Bank
Corp
5,749
594
Macquarie
Group
Ltd
2,228
209
Morgan
Stanley
(e)
8,991
470
Natixis
SA
(d)
108,841
300
PNC
Financial
Services
Group
Inc/The
(e)
4,453
496
Seven
Bank
Ltd
100,100
251
Shinsei
Bank
Ltd
17,800
208
Sumitomo
Mitsui
Financial
Group
Inc
8,800
259
Sumitomo
Mitsui
Trust
Holdings
Inc
12,900
372
SVB
Financial
Group
(d),(e)
2,047
523
Swedbank
AB
(d)
8,588
146
Truist
Financial
Corp
553
21
UBS
Group
AG
(d)
21,132
257
Umpqua
Holdings
Corp
5,597
63
United
Community
Banks
Inc/GA
3,496
63
US
Bancorp
(e)
2,605
95
Veritex
Holdings
Inc
3,601
65
Wells
Fargo
&
Co
(e)
16,878
408
Western
Alliance
Bancorp
5,134
181
Zions
Bancorp
NA
(e)
6,361
204
$
10,587
Beverages
-
0.64%
Boston
Beer
Co
Inc/The
(d)
137
121
Carlsberg
AS
196
28
Coca-Cola
Co/The
(e)
23,916
1,185
Coca-Cola
HBC
AG
(d)
4,884
130
Constellation
Brands
Inc
(e)
5,477
1,010
Diageo
PLC
12,018
401
Keurig
Dr
Pepper
Inc
5,735
171
Molson
Coors
Beverage
Co
3,377
127
Monster
Beverage
Corp
(d),(e)
13,140
1,102
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
138
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Beverages
(continued)
PepsiCo
Inc
(e)
6,077
$
851
$
5,126
Biotechnology
-
0.42%
Abcam
PLC
7,767
129
Alexion
Pharmaceuticals
Inc
(d),(e)
1,907
218
Amgen
Inc
1,140
289
Apellis
Pharmaceuticals
Inc
(d)
3,415
105
Arena
Pharmaceuticals
Inc
(d)
1,235
86
Ascendis
Pharma
A/S
ADR
(d)
334
50
Biogen
Inc
(d),(e)
2,530
728
ChemoCentryx
Inc
(d)
1,050
56
Constellation
Pharmaceuticals
Inc
(d)
1,682
35
Emergent
BioSolutions
Inc
(d)
1,041
119
Exact
Sciences
Corp
(d)
1,789
135
Genmab
A/S
(d)
625
236
Gilead
Sciences
Inc
6,792
453
Illumina
Inc
(d)
209
75
Incyte
Corp
(d)
311
30
Ionis
Pharmaceuticals
Inc
(d),(e)
2,183
119
Regeneron
Pharmaceuticals
Inc
(d)
503
312
Sage
Therapeutics
Inc
(d)
900
47
Y-mAbs
Therapeutics
Inc
(d)
4,048
174
$
3,396
Building
Materials
-
0.81%
American
Woodmark
Corp
(d)
1,388
121
Boise
Cascade
Co
3,457
158
Carrier
Global
Corp
(e)
11,493
343
Cemex
SAB
de
CV
ADR
88,953
286
Cie
de
Saint-Gobain
(d)
9,264
374
CRH
PLC
1,616
60
CRH
PLC
4,956
185
Daikin
Industries
Ltd
2,000
377
Fortune
Brands
Home
&
Security
Inc
(e)
5,293
445
Geberit
AG
780
449
JELD-WEN
Holding
Inc
(d)
6,900
145
Johnson
Controls
International
plc
(e)
8,541
348
Lennox
International
Inc
1,954
547
LIXIL
Group
Corp
13,900
255
Marshalls
PLC
15,542
131
Martin
Marietta
Materials
Inc
(e)
2,366
480
Masco
Corp
(e)
10,837
632
Rinnai
Corp
2,300
213
ROCKWOOL
International
A/S
425
161
Sanwa
Holdings
Corp
6,100
61
TOTO
Ltd
7,200
316
Vulcan
Materials
Co
1,964
236
Wienerberger
AG
7,585
205
$
6,528
Chemicals
-
1.42%
Akzo
Nobel
NV
1,685
166
Asahi
Kasei
Corp
12,400
104
Borregaard
ASA
6,024
88
Brenntag
AG
3,228
202
Celanese
Corp
(e)
5,895
596
CF
Industries
Holdings
Inc
(e)
26,344
860
Dow
Inc
4,879
220
DuPont
de
Nemours
Inc
(e)
21,084
1,176
Eastman
Chemical
Co
(e)
2,097
153
Ecolab
Inc
4,362
860
FMC
Corp
1,330
142
Hexion
Holdings
Corp
(d)
22,049
189
IMCD
NV
1,244
132
Ingevity
Corp
(d)
1,588
89
Kansai
Paint
Co
Ltd
6,400
152
Linde
PLC
(e)
4,529
1,131
LyondellBasell
Industries
NV
(e)
5,323
349
Mosaic
Co/The
42,580
776
Nissan
Chemical
Corp
12,400
656
Nitto
Denko
Corp
9,500
577
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Chemicals
(continued)
Novozymes
A/S
5,261
$
311
Nutrien
Ltd
874
32
PPG
Industries
Inc
(e)
5,343
643
Sherwin-Williams
Co/The
(e)
1,217
817
Shin-Etsu
Chemical
Co
Ltd
5,800
705
Toray
Industries
Inc
29,700
141
Victrex
PLC
(d)
3,395
87
$
11,354
Commercial
Services
-
2.14%
2U
Inc
(d)
2,333
97
Adtalem
Global
Education
Inc
(d)
2,315
77
AMERCO
659
234
AMN
Healthcare
Services
Inc
(d)
1,800
97
Aramark
4,025
111
Automatic
Data
Processing
Inc
(e)
2,938
409
Babcock
International
Group
PLC
35,884
130
Badger
Daylighting
Ltd
4,852
139
Bright
Horizons
Family
Solutions
Inc
(d)
3,990
531
BrightView
Holdings
Inc
(d)
6,653
82
Bureau
Veritas
SA
40,308
915
Carriage
Services
Inc
3,149
70
Chegg
Inc
(d)
1,876
138
Cintas
Corp
(e)
5,035
1,678
CoreLogic
Inc/United
States
34,968
2,322
CoStar
Group
Inc
(d)
297
252
Deluxe
Corp
2,128
60
Elis
SA
(d)
6,974
90
EVERTEC
Inc
2,782
97
FleetCor
Technologies
Inc
(d)
463
116
Gartner
Inc
(d),(e)
5,183
673
Global
Payments
Inc
3,303
584
H&R
Block
Inc
274
4
Hypoport
SE
(d)
231
139
ICF
International
Inc
1,707
117
IHS
Markit
Ltd
(e)
2,220
177
Kforce
Inc
2,243
77
LiveRamp
Holdings
Inc
(d)
3,007
168
Loomis
AB
(d)
5,994
151
Medifast
Inc
524
85
Moody's
Corp
(e)
2,984
879
Paylocity
Holding
Corp
(d)
436
64
PayPal
Holdings
Inc
(d),(e)
6,274
1,281
Persol
Holdings
Co
Ltd
26,400
411
Quanta
Services
Inc
(e)
17,347
889
Recruit
Holdings
Co
Ltd
2,200
83
Robert
Half
International
Inc
(e)
8,728
465
S&P
Global
Inc
(e)
3,410
1,249
Square
Inc
(d)
3,095
494
TransUnion
8,613
747
TriNet
Group
Inc
(d)
2,319
157
United
Rentals
Inc
(d),(e)
3,578
633
$
17,172
Computers
-
1.80%
Accenture
PLC
-
Class
A
(e)
3,458
829
Amdocs
Ltd
964
59
Apple
Inc
(e)
57,820
7,461
Cognizant
Technology
Solutions
Corp
2,782
186
Endava
PLC
ADR
(d)
1,744
95
Fortinet
Inc
(d),(e)
1,841
243
Genpact
Ltd
2,103
89
Hewlett
Packard
Enterprise
Co
6,076
59
HP
Inc
(e)
28,416
556
International
Business
Machines
Corp
(e)
5,239
646
Itochu
Techno-Solutions
Corp
9,800
355
Leidos
Holdings
Inc
1,576
143
Logitech
International
SA
3,720
275
Lumentum
Holdings
Inc
(d)
2,443
210
NetApp
Inc
(e)
11,597
550
Nomura
Research
Institute
Ltd
5,500
146
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
139
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
(continued)
NTT
Data
Corp
85,742
$
979
Obic
Co
Ltd
400
71
Otsuka
Corp
19,000
932
Rapid7
Inc
(d)
2,675
173
Seagate
Technology
PLC
5,665
272
Softcat
PLC
4,462
83
Western
Digital
Corp
865
33
$
14,445
Consumer
Products
-
0.12%
Church
&
Dwight
Co
Inc
1,446
138
Clorox
Co/The
1,188
266
Kimberly-Clark
Corp
(e)
3,747
591
$
995
Cosmetics
&
Personal
Care
-
0.42%
Colgate-Palmolive
Co
(e)
14,768
1,170
Edgewell
Personal
Care
Co
(d)
2,571
74
Estee
Lauder
Cos
Inc/The
(e)
1,029
229
Procter
&
Gamble
Co/The
(e)
13,651
1,888
$
3,361
Distribution
&
Wholesale
-
0.41%
Bunzl
PLC
3,729
120
Copart
Inc
(d)
4,126
426
Diploma
PLC
5,086
131
Fastenal
Co
6,770
331
HD
Supply
Holdings
Inc
(d)
28,488
1,130
LKQ
Corp
(d),(e)
20,886
663
Toyota
Tsusho
Corp
4,100
119
WW
Grainger
Inc
(e)
1,031
377
$
3,297
Diversified
Financial
Services
-
1.57%
4L
Technologies
(d),(f),(g)
24,306
12
4L
Technologies
-
Rights
(d),(f),(g)
869
90
American
Express
Co
4,593
467
Ares
Management
Corp
2,578
104
B
Riley
Financial
Inc
4,309
115
BlackRock
Inc
(e)
1,344
799
Cboe
Global
Markets
Inc
(e)
5,572
511
Charles
Schwab
Corp/The
9,971
354
CI
Financial
Corp
13,400
190
Credit
Acceptance
Corp
(d)
742
287
Discover
Financial
Services
(e)
8,316
441
ECN
Capital
Corp
35,390
140
Element
Comm
Aviation
(d),(f),(g),(h)
280
315
Euronext
NV
(i)
977
119
Federal
Agricultural
Mortgage
Corp
1,110
76
Franklin
Resources
Inc
(e)
23,397
493
Greenhill
&
Co
Inc
6,047
68
Hamilton
Lane
Inc
1,495
109
Hannon
Armstrong
Sustainable
Infrastructure
Capital
Inc
2,273
97
Hargreaves
Lansdown
PLC
4,047
87
Intercontinental
Exchange
Inc
(e)
3,542
376
Invesco
Ltd
(e)
59,237
604
LPL
Financial
Holdings
Inc
726
60
Magellan
Financial
Group
Ltd
7,945
347
Mastercard
Inc
(e)
1,499
537
Moelis
&
Co
3,149
101
Nasdaq
Inc
(e)
4,867
654
Navient
Corp
10,722
97
PRA
Group
Inc
(d)
7,017
328
Raymond
James
Financial
Inc
1,977
150
Sanne
Group
PLC
9,334
87
SEI
Investments
Co
(e)
14,476
758
Singapore
Exchange
Ltd
59,100
374
SLM
Corp
8,676
66
Synchrony
Financial
(e)
25,337
629
T
Rowe
Price
Group
Inc
(e)
3,441
479
Visa
Inc
(e)
6,549
1,388
VZ
Holding
AG
1,661
149
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Diversified
Financial
Services
(continued)
Western
Union
Co/The
(e)
22,180
$
523
$
12,5
81
Electric
-
1.05%
AES
Corp/The
(e)
950
17
Canadian
Utilities
Ltd
11,300
284
Consolidated
Edison
Inc
840
60
Dominion
Energy
Inc
(e)
7,821
613
Duke
Energy
Corp
735
59
Endesa
SA
16,780
466
Enel
SpA
16,212
147
Exelon
Corp
3,521
130
FirstEnergy
Corp
6,919
198
Fortum
Oyj
11,257
238
Iberdrola
SA
7,177
91
Meridian
Energy
Ltd
63,632
217
NextEra
Energy
Inc
4,996
1,395
NRG
Energy
Inc
(e)
29,786
1,025
Pinnacle
West
Capital
Corp
1,131
83
PPL
Corp
25,222
697
Red
Electrica
Corp
SA
15,822
303
RWE
AG
41,944
1,670
Terna
Rete
Elettrica
Nazionale
SpA
57,149
413
Vistra
Corp
(e)
14,537
279
$
8,385
Electrical
Components
&
Equipment
-
0.45%
AMETEK
Inc
(e)
6,616
666
Belden
Inc
3,000
101
Casio
Computer
Co
Ltd
35,987
580
Emerson
Electric
Co
(e)
11,107
772
Energizer
Holdings
Inc
1,385
64
EnerSys
2,696
194
Legrand
SA
7,172
599
Novanta
Inc
(d)
1,026
110
Schneider
Electric
SE
4,160
514
$
3,600
Electronics
-
0.83%
Agilent
Technologies
Inc
3,720
374
Allegion
plc
4,441
459
Arrow
Electronics
Inc
(d)
2,276
179
Assa
Abloy
AB
15,295
354
Coherent
Inc
(d)
406
46
DiscoverIE
Group
PLC
17,709
141
Electrocomponents
PLC
15,390
139
FARO
Technologies
Inc
(d)
2,014
114
FLIR
Systems
Inc
(e)
17,800
657
Fortive
Corp
(e)
8,876
640
Garmin
Ltd
(e)
3,678
381
GoPro
Inc
(d)
21,817
100
Halma
PLC
5,793
172
Honeywell
International
Inc
(e)
4,441
735
Hoya
Corp
1,000
98
II-VI
Inc
(d)
2,396
107
Keysight
Technologies
Inc
(d),(e)
800
79
LEM
Holding
SA
66
118
MINEBEA
MITSUMI
Inc
7,700
133
nVent
Electric
PLC
3,421
65
PerkinElmer
Inc
(e)
3,215
379
Roper
Technologies
Inc
150
64
Rotork
PLC
32,354
130
TE
Connectivity
Ltd
(e)
5,944
574
Trimble
Inc
(d)
4,373
229
Waters
Corp
(d)
520
112
Yokogawa
Electric
Corp
6,500
106
$
6,685
Energy
-
Alternate
Sources
-
0.14%
First
Solar
Inc
(d)
1,984
152
NextEra
Energy
Partners
LP
15,102
911
Vestas
Wind
Systems
A/S
454
69
$
1,132
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
140
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Engineering
&
Construction
-
0.17%
Alten
SA
(d)
603
$
52
Comfort
Systems
USA
Inc
3,492
177
Dycom
Industries
Inc
(d)
2,918
179
Flughafen
Zurich
AG
(d)
1,360
205
HOCHTIEF
AG
1,780
158
JGC
Holdings
Corp
39,300
433
Obayashi
Corp
13,500
132
Singapore
Technologies
Engineering
Ltd
3,100
8
$
1,344
Entertainment
-
0.24%
Aristocrat
Leisure
Ltd
5,413
113
CTS
Eventim
AG
&
Co
KGaA
(d)
2,177
109
Deluxe
Entertainment
(d)
67,048
28
DraftKings
Pipe
(d),(h)
16,896
597
Genting
Singapore
Ltd
123,200
63
Lions
Gate
Entertainment
Corp
-
B
shares
(d)
10,213
93
Live
Nation
Entertainment
Inc
(d)
11,965
679
Penn
National
Gaming
Inc
(d)
2,086
107
Vail
Resorts
Inc
601
131
$
1,920
Environmental
Control
-
0.19%
Pentair
PLC
(e)
15,585
703
Republic
Services
Inc
(e)
5,238
486
Tetra
Tech
Inc
1,476
136
Waste
Management
Inc
(e)
1,366
156
$
1,481
Food
-
0.89%
a2
Milk
Co
Ltd/The
(d)
20,246
253
Calavo
Growers
Inc
1,477
94
Calbee
Inc
2,100
65
Campbell
Soup
Co
(e)
7,030
370
Colruyt
SA
3,334
210
Cranswick
PLC
3,012
149
General
Mills
Inc
(e)
4,722
302
Hostess
Brands
Inc
(d)
6,785
87
ICA
Gruppen
AB
3,142
154
J
M
Smucker
Co/The
(e)
2,293
276
Just
Eat
Takeaway.com
NV
(d),(i)
6,533
727
Kellogg
Co
4,287
304
Kobe
Bussan
Co
Ltd
2,900
172
Koninklijke
Ahold
Delhaize
NV
15,780
475
Kraft
Heinz
Co/The
13,046
457
Kroger
Co/The
4,529
161
Lamb
Weston
Holdings
Inc
(e)
12,282
772
Nisshin
Seifun
Group
Inc
5,600
92
Seven
&
i
Holdings
Co
Ltd
16,900
545
Simply
Good
Foods
Co/The
(d)
17,086
425
Sysco
Corp
(e)
5,649
340
Tyson
Foods
Inc
(e)
9,060
569
Viscofan
SA
1,596
118
$
7,117
Food
Service
-
0.05%
Compass
Group
PLC
19,818
321
Elior
Group
SA
(i)
17,142
100
$
421
Forest
Products
&
Paper
-
0.15%
International
Paper
Co
(e)
6,278
228
Mondi
PLC
8,516
167
Schweitzer-Mauduit
International
Inc
2,435
74
Smurfit
Kappa
Group
PLC
7,985
283
UPM-Kymmene
Oyj
14,256
433
$
1,185
Gas
-
0.12%
Enagas
SA
6,416
157
New
Jersey
Resources
Corp
2,900
88
Osaka
Gas
Co
Ltd
24,300
476
UGI
Corp
7,129
246
$
967
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Hand
&
Machine
Tools
-
0.22%
Kennametal
Inc
7,007
$
203
Makita
Corp
8,400
388
Schindler
Holding
AG
-
PC
1,261
337
Snap-on
Inc
(e)
4,558
676
Stanley
Black
&
Decker
Inc
(e)
1,195
193
$
1,797
Healthcare
-
Products
-
1.43%
Abbott
Laboratories
1,568
172
ABIOMED
Inc
(d)
633
195
Align
Technology
Inc
(d),(e)
1,205
358
Avanos
Medical
Inc
(d)
3,000
97
Baxter
International
Inc
3,071
267
Carl
Zeiss
Meditec
AG
811
91
Cellavision
AB
(d)
2,266
83
Danaher
Corp
(e)
3,793
783
DENTSPLY
SIRONA
Inc
(e)
8,908
400
DiaSorin
SpA
662
120
Edwards
Lifesciences
Corp
(d),(e)
2,583
222
Envista
Holdings
Corp
(d)
3,720
89
Fisher
&
Paykel
Healthcare
Corp
Ltd
16,146
400
Globus
Medical
Inc
(d)
1,432
81
Henry
Schein
Inc
(d),(e)
4,212
280
Hill-Rom
Holdings
Inc
746
70
Hologic
Inc
(d),(e)
11,236
671
IDEXX
Laboratories
Inc
(d)
331
129
Insulet
Corp
(d)
1,652
361
Intuitive
Surgical
Inc
(d),(e)
1,132
827
Koninklijke
Philips
NV
(d)
3,712
176
Medtronic
PLC
(e)
10,959
1,178
Natus
Medical
Inc
(d)
2,618
47
Novocure
Ltd
(d)
932
77
NuVasive
Inc
(d)
3,312
173
Olympus
Corp
37,953
751
QIAGEN
NV
(d)
3,222
164
QIAGEN
NV
(d)
6,724
343
ResMed
Inc
2,936
531
Smith
&
Nephew
PLC
14,915
301
STERIS
PLC
1,348
215
Stryker
Corp
(e)
1,956
388
Sysmex
Corp
1,300
114
Tandem
Diabetes
Care
Inc
(d)
1,530
172
Thermo
Fisher
Scientific
Inc
(e)
1,123
481
Varian
Medical
Systems
Inc
(d),(e)
1,471
256
West
Pharmaceutical
Services
Inc
906
257
Zimmer
Biomet
Holdings
Inc
1,066
150
$
11,470
Healthcare
-
Services
-
0.85%
Anthem
Inc
(e)
866
243
Centene
Corp
(d)
2,230
137
DaVita
Inc
(d),(e)
3,319
288
Eurofins
Scientific
SE
(d)
159
128
HCA
Healthcare
Inc
(e)
4,609
625
Humana
Inc
(e)
1,780
739
IQVIA
Holdings
Inc
(d)
8,242
1,350
Laboratory
Corp
of
America
Holdings
(d),(e)
2,138
375
LHC
Group
Inc
(d)
689
144
Orpea
(d)
1,226
147
Quest
Diagnostics
Inc
(e)
4,959
552
UnitedHealth
Group
Inc
(e)
4,198
1,313
Universal
Health
Services
Inc
(e)
7,170
791
$
6,832
Holding
Companies
-
Diversified
-
0.03%
Churchill
Capital
Corp
III
(d)
10,486
121
Churchill
Capital
Corp
IV
(d)
7,522
75
$
196
Home
Builders
-
0.52%
Berkeley
Group
Holdings
PLC
1,919
116
Cairn
Homes
PLC
106,174
99
Cavco
Industries
Inc
(d)
634
121
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
141
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Home
Builders
(continued)
Century
Communities
Inc
(d)
2,700
$
96
DR
Horton
Inc
3,897
278
Glenveagh
Properties
PLC
(d),(i)
151,958
128
Installed
Building
Products
Inc
(d)
1,512
131
Kaufman
&
Broad
SA
2,771
110
Lennar
Corp
-
A
Shares
446
33
NVR
Inc
(d),(e)
230
959
Persimmon
PLC
11,486
399
PulteGroup
Inc
(e)
17,502
781
Skyline
Champion
Corp
(d)
8,245
235
Thor
Industries
Inc
2,318
219
Toll
Brothers
Inc
10,887
460
$
4,165
Home
Furnishings
-
0.14%
Hoshizaki
Corp
3,600
275
Leggett
&
Platt
Inc
(e)
3,176
130
Sony
Corp
5,776
452
Whirlpool
Corp
(e)
1,405
250
$
1,107���
Housewares
-
0.02%
Newell
Brands
Inc
(e)
8,255
132
Insurance
-
1.27%
Aflac
Inc
(e)
7,193
262
Alleghany
Corp
131
73
Allstate
Corp/The
217
20
American
International
Group
Inc
(e)
9,259
270
Aon
PLC
2,091
418
Arch
Capital
Group
Ltd
(d)
3,292
104
Arthur
J
Gallagher
&
Co
(e)
196
21
Athene
Holding
Ltd
(d)
2,507
92
Beazley
PLC
23,430
134
Berkshire
Hathaway
Inc
-
Class
B
(d),(e)
5,268
1,148
Chubb
Ltd
(e)
5,743
718
Cincinnati
Financial
Corp
(e)
4,709
374
CNO
Financial
Group
Inc
4,357
71
CNP
Assurances
(d)
6,776
91
Direct
Line
Insurance
Group
PLC
27,649
109
Equitable
Holdings
Inc
2,381
50
Everest
Re
Group
Ltd
297
65
Fairfax
Financial
Holdings
Ltd
200
62
Fidelity
National
Financial
Inc
(e)
13,210
434
First
American
Financial
Corp
20,196
1,062
Gjensidige
Forsikring
ASA
(d)
3,788
81
Globe
Life
Inc
(e)
2,499
206
Hartford
Financial
Services
Group
Inc/The
(e)
471
19
James
River
Group
Holdings
Ltd
1,917
93
Lancashire
Holdings
Ltd
7,898
81
Markel
Corp
(d)
469
510
Marsh
&
McLennan
Cos
Inc
(e)
5,034
578
Medibank
Pvt
Ltd
63,069
127
MetLife
Inc
(e)
11,809
454
MGIC
Investment
Corp
11,200
103
NMI
Holdings
Inc
(d)
5,770
99
Progressive
Corp/The
3,710
353
Prudential
Financial
Inc
(e)
3,001
203
Radian
Group
Inc
5,138
79
RSA
Insurance
Group
PLC
16,325
97
Sampo
Oyj
13,746
554
Third
Point
Reinsurance
Ltd
(d)
10,246
88
Travelers
Cos
Inc/The
(e)
2,451
284
Tryg
A/S
7,112
218
Unum
Group
1,908
35
Voya
Financial
Inc
1,385
72
W
R
Berkley
Corp
(e)
2,033
126
White
Mountains
Insurance
Group
Ltd
156
139
$
10,177
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Internet
-
2.73%
Alibaba
Group
Holding
Ltd
ADR
(d)
1,816
$
521
Alphabet
Inc
-
A
Shares
(d),(e)
1,966
3,204
Amazon.com
Inc
(d),(e)
1,546
5,336
Booking
Holdings
Inc
(d)
189
362
Cardlytics
Inc
(d)
2,383
181
CDW
Corp/DE
452
51
Cerved
Group
SpA
(d)
16,499
141
eBay
Inc
(e)
11,121
610
Expedia
Group
Inc
(e)
5,515
541
F5
Networks
Inc
(d),(e)
2,125
281
Facebook
Inc
(d),(e)
8,735
2,561
GoDaddy
Inc
(d),(e)
8,161
683
Grubhub
Inc
(d)
3,157
228
IAC/InterActiveCorp
(d)
1,220
162
JD.com
Inc
ADR
(d)
8,369
658
JOYY
Inc
ADR
(d)
2,527
216
Kakaku.com
Inc
4,100
109
Limelight
Networks
Inc
(d)
17,920
102
Magnite
Inc
(d)
16,366
120
Match
Group
Inc
(d)
1,849
206
Mercari
Inc
(d)
4,158
189
Mimecast
Ltd
(d)
1,697
84
MonotaRO
Co
Ltd
6,100
241
Netflix
Inc
(d)
624
330
NortonLifeLock
Inc
(e)
6,954
163
Prosus
NV
(d)
15,052
1,509
Q2
Holdings
Inc
(d)
1,185
115
Snap
Inc
Class
A
(d)
5,288
119
Spotify
Technology
SA
(d)
835
236
TD
Ameritrade
Holding
Corp
2,787
107
Trend
Micro
Inc/Japan
5,400
334
Twitter
Inc
(d),(e)
27,670
1,123
Uber
Technologies
Inc
(d)
3,062
103
VeriSign
Inc
(d),(e)
827
178
Z
Holdings
Corp
71,914
479
ZOZO
Inc
12,000
338
$
21,921
Investment
Companies
-
0.01%
Melrose
Industries
PLC
42,631
57
Iron
&
Steel
-
0.34%
ArcelorMittal
SA
(d)
4,957
62
Evraz
PLC
82,006
351
Hitachi
Metals
Ltd
110,960
1,661
Nippon
Steel
Corp
25,700
253
Nucor
Corp
3,990
181
Reliance
Steel
&
Aluminum
Co
1,025
108
Steel
Dynamics
Inc
4,835
143
$
2,759
Leisure
Products
&
Services
-
0.21%
BRP
Inc
3,003
163
Fox
Factory
Holding
Corp
(d)
1,233
124
MIPS
AB
3,852
155
Peloton
Interactive
Inc
(d)
2,414
185
Polaris
Inc
2,462
249
Shimano
Inc
1,400
296
Thule
Group
AB
(i)
4,203
133
Yamaha
Corp
6,300
307
YETI
Holdings
Inc
(d)
1,706
88
$
1,700
Lodging
-
0.14%
Choice
Hotels
International
Inc
3,575
355
Hilton
Worldwide
Holdings
Inc
(e)
1,372
124
Las
Vegas
Sands
Corp
1,190
60
Marriott
International
Inc/MD
(e)
343
35
MGM
Resorts
International
(e)
24,746
557
$
1,131
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
142
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Construction
&
Mining
-
0.15%
Argan
Inc
3,752
$
159
Astec
Industries
Inc
2,627
138
Sandvik
AB
(d)
44,282
872
$
1,169
Machinery
-
Diversified
-
0.98%
Curtiss-Wright
Corp
1,986
203
Deere
&
Co
1,677
352
Dover
Corp
(e)
9,254
1,016
FANUC
Corp
1,300
228
Flowserve
Corp
(e)
22,754
675
Hexagon
AB
(d)
5,632
409
Ichor
Holdings
Ltd
(d)
2,827
71
IDEX
Corp
(e)
6,725
1,212
Inficon
Holding
AG
95
82
Ingersoll
Rand
Inc
(d)
2,450
86
Interpump
Group
SpA
3,442
120
Kone
Oyj
5,913
507
Marel
HF
(i)
26,249
136
Middleby
Corp/The
(d)
730
72
Nabtesco
Corp
9,500
300
Otis
Worldwide
Corp
(e)
17,826
1,121
Rockwell
Automation
Inc
(e)
2,791
644
SMC
Corp/Japan
400
220
Spirax-Sarco
Engineering
PLC
640
87
Stabilus
SA
2,156
115
Washtec
AG
(d)
1,618
73
Westinghouse
Air
Brake
Technologies
Corp
1,747
116
$
7,845
Media
-
0.72%
Charter
Communications
Inc
(d),(e)
967
595
Comcast
Corp
-
Class
A
(e)
13,623
610
Discovery
Inc
-
A
Shares
(d),(e)
8,670
191
Discovery
Inc
-
C
Shares
(d),(e)
14,896
298
DISH
Network
Corp
(d),(e)
6,668
237
Fox
Corp
-
A
Shares
(e)
15,595
435
iHeartMedia
Inc
(d)
18,582
171
Nexstar
Media
Group
Inc
224
22
Schibsted
ASA
-
B
Shares
(d)
1,278
51
Shaw
Communications
Inc
10,400
194
Sirius
XM
Holdings
Inc
97,035
570
TEGNA
Inc
6,818
85
Telenet
Group
Holding
NV
2,588
100
Thomson
Reuters
Corp
14,149
1,081
Walt
Disney
Co/The
(e)
6,730
887
Wolters
Kluwer
NV
3,052
250
$
5,777
Metal
Fabrication
&
Hardware
-
0.06%
Advanced
Drainage
Systems
Inc
2,509
139
Rexnord
Corp
7,866
228
Tenaris
SA
ADR
2,145
25
Troax
Group
AB
4,826
94
$
486
Mining
-
0.63%
BHP
Group
Ltd
22,216
613
BHP
Group
PLC
20,737
472
Compass
Minerals
International
Inc
1,356
77
Ecobat
Holdings,
Inc
-
Class
B
(d)
2,998
1,926
Kirkland
Lake
Gold
Ltd
11,100
592
Livent
Corp
(d)
13,500
115
Newmont
Corp
13,942
938
Rio
Tinto
PLC
4,033
251
Wheaton
Precious
Metals
Corp
1,000
53
$
5,037
Miscellaneous
Manufacturers
-
0.45%
3M
Co
(e)
3,326
542
A
O
Smith
Corp
772
38
Alstom
SA
(d)
2,624
147
Enerpac
Tool
Group
Corp
4,589
95
Illinois
Tool
Works
Inc
(e)
6,940
1,371
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Miscellaneous
Manufacturers
(continued)
ITT
Inc
2,519
$
158
JSR
Corp
5,309
113
Knorr-Bremse
AG
4,274
543
Sturm
Ruger
&
Co
Inc
1,017
72
Toshiba
Corp
4,916
142
Trane
Technologies
PLC
(e)
3,278
388
$
3,609
Office
Furnishings
-
0.01%
Knoll
Inc
6,423
83
Oil
&
Gas
-
0.59%
Apache
Corp
(e)
59,707
884
Bellatrix
Exploration
Ltd
(d),(f),(g)
94,641
—
Canadian
Natural
Resources
Ltd
5,041
99
Chevron
Corp
(e)
12,258
1,029
Concho
Resources
Inc
1,155
60
ConocoPhillips
(e)
18,475
700
Diamondback
Energy
Inc
1,233
48
Dommo
Energia
SA
ADR
(d),(g)
269
1
EOG
Resources
Inc
(e)
23,191
1,052
Exxon
Mobil
Corp
(e)
3,719
148
Lundin
Energy
AB
6,955
170
Marathon
Petroleum
Corp
(e)
3,902
138
Royal
Dutch
Shell
PLC
-
A
Shares
3,068
45
Santos
Ltd
68,268
285
Valero
Energy
Corp
(e)
968
51
$
4,710
Oil
&
Gas
Services
-
0.19%
Halliburton
Co
(e)
42,951
695
Schlumberger
NV
(e)
29,230
556
TechnipFMC
PLC
(e)
33,236
256
TGS
NOPEC
Geophysical
Co
ASA
3,066
40
$
1,547
Packaging
&
Containers
-
0.41%
Amcor
PLC
(e)
66,647
737
Ball
Corp
14,605
1,174
CCL
Industries
Inc
6,800
251
Sealed
Air
Corp
(e)
26,145
1,028
Vidrala
SA
1,216
127
$
3,317
Pharmaceuticals
-
1.75%
AbbVie
Inc
(e)
714
69
AstraZeneca
PLC
ADR
3,117
175
AstraZeneca
PLC
1,343
149
Bayer
AG
4,776
318
Bristol-Myers
Squibb
Co
(e)
13,466
837
Cardinal
Health
Inc
(e)
2,810
143
China
Biologic
Products
Holdings
Inc
(d)
11,636
1,228
Chugai
Pharmaceutical
Co
Ltd
8,700
388
Cigna
Corp
(e)
1,451
257
CVS
Health
Corp
(e)
15,985
993
DexCom
Inc
(d)
374
159
Elanco
Animal
Health
Inc
(d)
4,104
119
Eli
Lilly
and
Co
350
52
Galapagos
NV
(d)
1,036
139
Global
Blood
Therapeutics
Inc
(d)
1,848
116
Ipsen
SA
898
93
Jazz
Pharmaceuticals
PLC
(d),(e)
2,762
371
Johnson
&
Johnson
(e)
15,517
2,380
KalVista
Pharmaceuticals
Inc
(d)
4,259
56
Kyowa
Kirin
Co
Ltd
9,210
238
McKesson
Corp
840
129
Merck
&
Co
Inc
(e)
6,795
580
MyoKardia
Inc
(d)
715
78
Neurocrine
Biosciences
Inc
(d),(e)
3,441
401
Nippon
Shinyaku
Co
Ltd
2,900
240
Novartis
AG
3,391
292
Novo
Nordisk
A/S
6,840
452
Odonate
Therapeutics
Inc
(d)
1,989
32
Otsuka
Holdings
Co
Ltd
2,400
105
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
143
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Pharmaceuticals
(continued)
Pfizer
Inc
(e)
19,449
$
735
Rhythm
Pharmaceuticals
Inc
(d)
3,510
104
Roche
Holding
AG
4,945
1,730
Santen
Pharmaceutical
Co
Ltd
8,400
160
Sarepta
Therapeutics
Inc
(d),(e)
800
117
Shionogi
&
Co
Ltd
2,700
150
Sumitomo
Dainippon
Pharma
Co
Ltd
20,990
265
UCB
SA
1,281
152
$
14,002
Pipelines
-
0.16%
AltaGas
Ltd
11,000
142
Enterprise
Products
Partners
LP
1,139
20
Gaztransport
Et
Technigaz
SA
841
79
Kinder
Morgan
Inc
(e)
49,100
679
Southcross
Holdings
(d),(f),(g)
388,623
39
Williams
Cos
Inc/The
(e)
15,076
313
$
1,272
Private
Equity
-
0.03%
Blackstone
Group
Inc/The
1,997
106
Intermediate
Capital
Group
PLC
7,233
131
$
237
Real
Estate
-
0.15%
Catena
AB
3,390
139
CBRE
Group
Inc
(d),(e)
557
26
CK
Asset
Holdings
Ltd
23,500
128
Daito
Trust
Construction
Co
Ltd
1,900
168
Hill
Street
(d),(f),(g)
222
5
Hill
Street
-
Warrants
(d),(f),(g)
377
—
Kojamo
Oyj
3,643
88
LEG
Immobilien
AG
1,256
185
REA
Group
Ltd
3,488
293
Redfin
Corp
(d)
1,132
54
Shurgard
Self
Storage
SA
2,375
104
WE
Company
Common
Class
A
(d),(f),(g),(h)
356
2
$
1,192
REITs
-
0.90%
Agree
Realty
Corp
1,407
94
Alexandria
Real
Estate
Equities
Inc
(e)
1,879
316
American
Tower
Corp
2,179
543
Americold
Realty
Trust
3,091
119
Annaly
Capital
Management
Inc
16,117
118
Apartment
Investment
and
Management
Co
(e)
5,320
192
AvalonBay
Communities
Inc
1,965
311
Big
Yellow
Group
PLC
6,270
89
Boston
Properties
Inc
2,839
247
Camden
Property
Trust
785
71
CoreCivic
Inc
8,210
76
Crown
Castle
International
Corp
596
97
Digital
Realty
Trust
Inc
336
52
Easterly
Government
Properties
Inc
3,580
87
Equinix
Inc
79
62
Essential
Properties
Realty
Trust
Inc
4,727
80
Federal
Realty
Investment
Trust
(e)
582
46
Goodman
Group
16,147
217
Hibernia
REIT
plc
94,006
134
Iron
Mountain
Inc
679
20
Japan
Retail
Fund
Investment
Corp
120
181
Kimco
Realty
Corp
(e)
11,979
144
Mid-America
Apartment
Communities
Inc
(e)
2,492
292
Monmouth
Real
Estate
Investment
Corp
7,246
105
Pebblebrook
Hotel
Trust
7,492
95
Piedmont
Office
Realty
Trust
Inc
4,122
63
Prologis
Inc
(e)
831
85
Public
Storage
(e)
2,738
582
Realty
Income
Corp
(e)
880
55
SBA
Communications
Corp
160
49
Segro
PLC
8,252
105
Simon
Property
Group
Inc
(e)
2,969
201
Unibail-Rodamco-Westfield
1,425
66
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Ventas
Inc
(e)
14,208
$
585
VICI
Properties
Inc
5,314
119
Welltower
Inc
1,197
69
Weyerhaeuser
Co
(e)
48,076
1,457
$
7,224
Retail
-
2.89%
ABC-Mart
Inc
6,500
342
Advance
Auto
Parts
Inc
(e)
4,264
666
AutoZone
Inc
(d),(e)
1,190
1,424
Best
Buy
Co
Inc
(e)
1,867
208
BMC
Stock
Holdings
Inc
(d)
4,091
163
Burlington
Stores
Inc
(d)
655
129
CarMax
Inc
(d)
2,885
308
Casey's
General
Stores
Inc
5,484
975
Cheesecake
Factory
Inc/The
3,342
99
Children's
Place
Inc/The
4,903
98
Costco
Wholesale
Corp
(e)
1,084
377
Darden
Restaurants
Inc
(e)
9,844
853
Dollar
General
Corp
1,768
357
Dollar
Tree
Inc
(d)
4,033
388
Domino's
Pizza
Inc
(e)
539
220
Fast
Retailing
Co
Ltd
300
179
Five
Below
Inc
(d)
7,507
822
Floor
&
Decor
Holdings
Inc
(d)
1,757
129
Gap
Inc/The
(e)
44,213
769
Genuine
Parts
Co
(e)
1,717
162
Hennes
&
Mauritz
AB
7,831
125
Home
Depot
Inc/The
(e)
6,187
1,764
Industria
de
Diseno
Textil
SA
22,808
641
Jand
Inc
(d),(f),(g),(h)
1,693
38
Kohl's
Corp
(e)
3,089
66
L
Brands
Inc
28,830
848
Lawson
Inc
2,500
124
Lowe's
Cos
Inc
(e)
5,675
935
Marui
Group
Co
Ltd
11,600
212
McDonald's
Corp
(e)
6,019
1,285
McDonald's
Holdings
Co
Japan
Ltd
8,900
437
Michaels
Cos
Inc/The
(d)
7,267
82
Moncler
SpA
(d)
2,437
94
Movado
Group
Inc
4,684
51
Next
PLC
3,912
313
Nitori
Holdings
Co
Ltd
2,200
461
Ollie's
Bargain
Outlet
Holdings
Inc
(d)
738
70
O'Reilly
Automotive
Inc
(d)
1,167
544
Pandora
A/S
6,386
466
Panera
Bread
Co
(d),(f),(g)
1,664
—
Regis
Corp
(d)
3,155
23
Starbucks
Corp
767
65
Sundrug
Co
Ltd
9,400
350
Target
Corp
(e)
4,633
700
TJX
Cos
Inc/The
12,872
705
Tractor
Supply
Co
3,232
481
Ulta
Beauty
Inc
(d),(e)
3,180
738
USS
Co
Ltd
11,900
201
Walgreens
Boots
Alliance
Inc
(e)
3,352
127
Walmart
Inc
(e)
10,011
1,390
WH
Smith
PLC
5,974
94
Yum!
Brands
Inc
(e)
11,450
1,098
$
23,196
Savings
&
Loans
-
0.03%
OceanFirst
Financial
Corp
4,314
67
Pacific
Premier
Bancorp
Inc
3,249
73
Sterling
Bancorp/DE
6,413
75
WSFS
Financial
Corp
1,900
56
$
271
Semiconductors
-
1.58%
ACM
Research
Inc
(d)
1,219
108
Advanced
Micro
Devices
Inc
(d)
5,401
491
Analog
Devices
Inc
(e)
2,322
271
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
144
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Semiconductors
(continued)
Applied
Materials
Inc
(e)
7,240
$
446
ASML
Holding
NV
1,812
677
BE
Semiconductor
Industries
NV
2,645
126
Broadcom
Inc
(e)
2,244
779
Entegris
Inc
1,443
97
FormFactor
Inc
(d)
3,605
94
Infineon
Technologies
AG
8,224
229
Intel
Corp
(e)
26,932
1,372
KLA
Corp
991
204
Kulicke
&
Soffa
Industries
Inc
4,100
98
Lam
Research
Corp
(e)
1,299
437
Marvell
Technology
Group
Ltd
4,857
188
Maxim
Integrated
Products
Inc
(e)
2,996
205
Microchip
Technology
Inc
(e)
3,913
429
Micron
Technology
Inc
(d),(e)
2,708
123
MKS
Instruments
Inc
918
110
NVIDIA
Corp
(e)
3,344
1,789
Qorvo
Inc
(d),(e)
3,830
491
QUALCOMM
Inc
(e)
6,200
739
Renesas
Electronics
Corp
(d)
82,125
517
Samsung
Electronics
Co
Ltd
1,957
89
Silicon
Motion
Technology
Corp
ADR
1,456
55
Skyworks
Solutions
Inc
(e)
1,457
211
SOITEC
(d)
1,289
172
STMicroelectronics
NV
14,020
424
Teradyne
Inc
5,271
448
Texas
Instruments
Inc
(e)
4,795
681
Tokyo
Electron
Ltd
1,000
257
Tower
Semiconductor
Ltd
(d)
15,480
301
$
12,658
Shipbuilding
-
0.01%
Yangzijiang
Shipbuilding
Holdings
Ltd
165,200
111
Software
-
2.87%
Activision
Blizzard
Inc
(e)
1,349
113
Adobe
Inc
(d),(e)
1,711
878
Agilysys
Inc
(d)
5,100
129
ANSYS
Inc
(d)
123
42
Autodesk
Inc
(d),(e)
1,983
487
Avid
Technology
Inc
(d)
10,341
84
Bandwidth
Inc
(d)
1,016
160
Black
Knight
Inc
(d)
3,719
313
Broadridge
Financial
Solutions
Inc
4,164
572
Cadence
Design
Systems
Inc
(d)
413
46
Cerner
Corp
(e)
5,064
371
Citrix
Systems
Inc
(e)
5,458
792
Cloudera
Inc
(d)
14,371
190
Constellation
Software
Inc/Canada
357
413
CSG
Systems
International
Inc
1,649
70
Dropbox
Inc
-
A
Shares
(d),(e)
10,735
227
Electronic
Arts
Inc
(d)
997
139
Envestnet
Inc
(d)
14,552
1,208
Fair
Isaac
Corp
(d)
1,644
692
Fidelity
National
Information
Services
Inc
145
22
Five9
Inc
(d)
806
103
Guidewire
Software
Inc
(d)
1,426
160
Health
Catalyst
Inc
(d)
2,649
83
HubSpot
Inc
(d)
502
150
Intuit
Inc
524
181
J2
Global
Inc
(d)
1,110
78
Manhattan
Associates
Inc
(d)
1,220
119
Microsoft
Corp
(e)
27,403
6,180
MINDBODY
Inc
(d),(f),(g)
9,229
337
MongoDB
Inc
(d)
4,733
1,107
MSCI
Inc
(e)
717
268
NextGen
Healthcare
Inc
(d)
5,271
70
Omnicell
Inc
(d)
2,058
137
Oracle
Corp
(e)
25,319
1,449
Oracle
Corp
Japan
900
105
Paychex
Inc
(e)
15,594
1,192
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
(continued)
Paycom
Software
Inc
(d)
64
$
19
PROS
Holdings
Inc
(d)
2,504
98
RingCentral
Inc
(d)
195
57
salesforce.com
Inc
(d),(e)
5,498
1,499
ServiceNow
Inc
(d)
1,085
523
SimCorp
A/S
823
105
Splunk
Inc
(d)
1,567
344
Synopsys
Inc
(d)
584
129
Take-Two
Interactive
Software
Inc
(d)
164
28
VMware
Inc
(d)
496
72
WiseTech
Global
Ltd
9,176
190
Workday
Inc
(d)
3,793
909
Xperi
Holding
Corp
5,374
67
Zoom
Video
Communications
Inc
(d)
976
317
$
23,024
Telecommunications
-
1.06%
AT&T
Inc
(e)
25,613
764
CenturyLink
Inc
4,345
47
Cisco
Systems
Inc
(e)
38,664
1,633
Corning
Inc
10,163
330
Deutsche
Telekom
AG
87,887
1,549
Harmonic
Inc
(d)
17,371
103
Hellenic
Telecommunications
Organization
SA
10,260
167
HMS
Networks
AB
(d)
2,545
65
InterDigital
Inc
1,087
66
Juniper
Networks
Inc
(e)
12,998
325
Koninklijke
KPN
NV
242,346
636
Motorola
Solutions
Inc
(e)
3,140
486
NTT
DOCOMO
Inc
3,100
86
Ooma
Inc
(d)
6,229
85
PagerDuty
Inc
(d)
3,176
104
Plantronics
Inc
8,526
106
Proximus
SADP
4,821
95
Sectra
AB
-
B
Shares
(d)
1,089
81
SoftBank
Group
Corp
14,800
915
Telefonica
SA
12,029
47
T-Mobile
US
Inc
(d),(e)
2,039
237
Verizon
Communications
Inc
(e)
9,471
562
$
8,489
Textiles
-
0.04%
Mohawk
Industries
Inc
(d),(e)
3,552
328
Toys,
Games
&
Hobbies
-
0.12%
Games
Workshop
Group
PLC
1,207
148
Hasbro
Inc
(e)
1,106
87
Nintendo
Co
Ltd
1,300
700
$
935
Transportation
-
0.74%
Canadian
National
Railway
Co
5,528
581
Canadian
Pacific
Railway
Ltd
400
118
Central
Japan
Railway
Co
1,600
240
CH
Robinson
Worldwide
Inc
(e)
3,901
383
CSX
Corp
(e)
6,363
486
Deutsche
Post
AG
17,905
816
Expeditors
International
of
Washington
Inc
(e)
16,147
1,427
FedEx
Corp
612
135
Hub
Group
Inc
(d)
2,129
115
JB
Hunt
Transport
Services
Inc
2,992
421
Kuehne
+
Nagel
International
AG
495
96
Norfolk
Southern
Corp
1,652
351
Old
Dominion
Freight
Line
Inc
902
182
Union
Pacific
Corp
2,857
550
United
Parcel
Service
Inc
274
45
$
5,946
Water
-
0.04%
Severn
Trent
PLC
4,917
152
Veolia
Environnement
SA
6,990
169
$
321
TOTAL
COMMON
STOCKS
$
334,6
71
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
145
CONVERTIBLE
PREFERRED
STOCKS
-
0.20%
Shares
Held
Value
(000's)
Agriculture
-
0.08%
Bunge
Ltd
4.88%
(j)
6,930
$
658
Banks
-
0.08%
Bank
of
America
Corp
7.25%
(j)
215
321
Wells
Fargo
&
Co
7.50%
(j)
243
336
$
657
Electric
-
0.01%
NextEra
Energy
Inc
5.28%,
03/01/2023
1,526
73
Internet
-
0.02%
Airbnb
Inc
-
Series
E
0.00%
(d),(f),(g),(h)
1,685
137
Oil
&
Gas
-
0.00%
Chesapeake
Energy
Corp
5.75%
(j)
355
—
Pipelines
-
0.00%
El
Paso
Energy
Capital
Trust
I
4.75%,
03/31/2028
452
22
Retail
-
0.01%
Jand
Inc
0.00%
(d),(f),(g),(h)
3,781
86
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
1,633
PREFERRED
STOCKS
-
0.43%
Shares
Held
Value
(000's)
Automobile
Manufacturers
-
0.02%
Volkswagen
AG
4.86%
1,068
$
179
Chemicals
-
0.01%
FUCHS
PETROLUB
SE
0.97%
2,500
118
Internet
-
0.00%
Veracode
Inc
0.00%
(d),(f),(g),(h)
6,031
3
Pipelines
-
0.33%
Southcross
Energy
Series
A
0.00%
(d),(f),(g)
2,399,339
1,656
Southcross
Energy
Series
B
0.00%
(d),(f),(g)
703,849
950
$
2,606
Private
Equity
-
0.04%
Forward
Venture
Services
LLC
0.00%
(d),(f),(g),(h)
32,815
299
Real
Estate
-
0.01%
WE
Company
Preferred
D-1
0.00%
(d),(f),(g),(h)
4,867
38
WE
Company
Preferred
D-2
0.00%
(d),(f),(g),(h)
3,824
30
$
68
Software
-
0.02%
Marklogic
Corp
0.00%
(d),(f),(g),(h)
14,832
129
TOTAL
PREFERRED
STOCKS
$
3,402
BONDS
-
38.69%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.04%
Lamar
Media
Corp
3.75%,
02/15/2028
(i)
$
50
$
50
4.00%,
02/15/2030
(i)
100
102
5.00%,
05/01/2023
50
51
Outfront
Media
Capital
LLC
/
Outfront
Media
Capital
Corp
4.63%,
03/15/2030
(i)
120
116
$
319
Aerospace
&
Defense
-
0.44%
Boeing
Co/The
2.25%,
06/15/2026
195
191
2.95%,
02/01/2030
85
83
3.10%,
05/01/2026
10
10
3.25%,
02/01/2035
25
23
3.38%,
06/15/2046
105
89
3.50%,
03/01/2039
65
59
3.55%,
03/01/2038
30
27
3.63%,
03/01/2048
35
31
3.65%,
03/01/2047
30
26
3.75%,
02/01/2050
90
81
3.85%,
11/01/2048
50
45
3.95%,
08/01/2059
60
56
5.15%,
05/01/2030
380
426
5.81%,
05/01/2050
380
456
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Aerospace
&
Defense
(continued)
Embraer
Netherlands
Finance
BV
5.05%,
06/15/2025
$
230
$
219
5.40%,
02/01/2027
130
120
Leonardo
US
Holdings
Inc
6.25%,
01/15/2040
(i)
716
816
Spirit
AeroSystems
Inc
4.60%,
06/15/2028
35
27
7.50%,
04/15/2025
(i)
310
313
TransDigm
Inc
6.25%,
03/15/2026
(i)
408
431
$
3,529
Agriculture
-
0.16%
JBS
Investments
II
GmbH
7.00%,
01/15/2026
(i)
1,200
1,297
Airlines
-
0.16%
American
Airlines
Inc
11.75%,
07/15/2025
(i)
253
243
Latam
Airlines
2015-1
Pass
Through
Trust
B
4.50%,
08/15/2025
158
89
Mileage
Plus
Holdings
LLC
/
Mileage
Plus
Intellectual
Property
Assets
Ltd
6.50%,
06/20/2027
(i)
316
329
United
Airlines
2019-2
Class
B
Pass
Through
Trust
3.50%,
11/01/2029
925
655
$
1,316
Apparel
-
0.03%
Levi
Strauss
&
Co
5.00%,
05/01/2025
245
250
Automobile
Asset
Backed
Securities
-
1.07%
American
Credit
Acceptance
Receivables
Trust
2020-3
2.40%,
06/15/2026
(i)
305
306
Americredit
Automobile
Receivables
Trust
2018-2
4.01%,
07/18/2024
550
580
Americredit
Automobile
Receivables
Trust
2018-3
4.04%,
11/18/2024
670
712
AmeriCredit
Automobile
Receivables
Trust
2020-2
2.13%,
03/18/2026
100
101
Avid
Automobile
Receivables
Trust
2019-1
3.14%,
07/15/2026
(i)
150
153
Avis
Budget
Rental
Car
Funding
AESOP
LLC
2.96%,
02/20/2027
(i)
100
103
CarMax
Auto
Owner
Trust
2018-1
3.37%,
07/15/2024
25
26
CarMax
Auto
Owner
Trust
2018-2
3.99%,
04/15/2025
320
331
Carmax
Auto
Owner
Trust
2018-4
4.15%,
04/15/2025
205
213
Carmax
Auto
Owner
Trust
2020-1
2.64%,
07/15/2026
175
177
Chesapeake
Funding
II
LLC
3.57%,
04/15/2030
(i)
175
179
3.71%,
05/15/2029
(i)
130
131
3.92%,
04/15/2030
(i)
455
460
CIG
AUTO
RECEIVABLES
TRUST
2017-1
2.71%,
05/15/2023
(i)
2
2
CPS
Auto
Receivables
Trust
2018-A
3.05%,
12/15/2023
(i)
81
81
CPS
Auto
Receivables
Trust
2018-D
3.83%,
09/15/2023
(i)
330
336
Drive
Auto
Receivables
Trust
2018-5
4.30%,
04/15/2026
420
444
Drive
Auto
Receivables
Trust
2019-1
4.09%,
06/15/2026
260
272
DT
Auto
Owner
Trust
2018-2
4.15%,
03/15/2024
(i)
290
297
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
146
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Automobile
Asset
Backed
Securities
(continued)
First
Investors
Auto
Owner
Trust
2019-2
2.80%,
12/15/2025
(i)
$
75
$
77
3.88%,
01/15/2026
(i)
175
176
Flagship
Credit
Auto
Trust
2019-2
3.53%,
05/15/2025
(i)
520
536
GLS
Auto
Receivables
Issuer
Trust
2019-2
3.54%,
02/18/2025
(i)
785
812
Motor
2017-1
PLC
0.71%,
09/25/2024
(i)
9
9
1.00
x
1
Month
USD
LIBOR
+
0.53%
Prestige
Auto
Receivables
Trust
2016-1
5.15%,
11/15/2021
(i)
608
610
Prestige
Auto
Receivables
Trust
2019-1
3.90%,
05/15/2026
(i)
145
143
Santander
Drive
Auto
Receivables
Trust
2019-2
3.22%,
07/15/2025
655
675
Santander
Drive
Auto
Receivables
Trust
2020-1
5.35%,
03/15/2028
380
408
Santander
Drive
Auto
Receivables
Trust
2020-2
2.22%,
09/15/2026
135
137
Tidewater
Auto
Receivables
Trust
2018-A
4.30%,
11/15/2024
(i)
100
103
$
8,590
Automobile
Floor
Plan
Asset
Backed
Securities
-
0.03%
Navistar
Financial
Dealer
Note
Master
Owner
Trust
II
0.81%,
09/25/2023
(i)
205
205
1.00
x
1
Month
USD
LIBOR
+
0.63%
Automobile
Manufacturers
-
0.23%
FCE
Bank
PLC
0.87%,
09/13/2021
EUR
395
465
1.88%,
06/24/2021
280
332
Ford
Motor
Co
8.50%,
04/21/2023
$
185
205
9.00%,
04/22/2025
220
257
9.63%,
04/22/2030
50
66
General
Motors
Co
5.20%,
04/01/2045
40
43
5.40%,
04/01/2048
65
71
6.80%,
10/01/2027
320
391
$
1,830
Banks
-
0.85%
Banco
Hipotecario
SA
33.75%,
11/07/2022
(i)
ARS
10,245
142
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.00%
Banco
Macro
SA
17.50%,
05/08/2022
(i)
5,115
45
Danske
Bank
A/S
3.24%,
12/20/2025
(i),(k)
$
200
215
3
Month
USD
LIBOR
+
1.59%
Financiera
de
Desarrollo
Territorial
SA
Findeter
7.88%,
08/12/2024
(i)
COP
3,380,000
958
International
Bank
of
Azerbaijan
OJSC
3.50%,
09/01/2024
$
2,000
1,843
JPMorgan
Chase
&
Co
4.49%,
03/24/2031
(k)
780
961
United
States
Secured
Overnight
Financing
Rate
+
3.79%
Kreditanstalt
fuer
Wiederaufbau
0.38%,
07/18/2025
116
116
1.38%,
08/05/2024
1,387
1,446
MUFG
Union
Bank
NA
0.81%,
12/09/2022
750
751
United
States
Secured
Overnight
Financing
Rate
+
0.71%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Standard
Chartered
PLC
4.64%,
04/01/2031
(i),(k)
$
295
$
346
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.85%
$
6,823
Beverages
-
0.05%
Fomento
Economico
Mexicano
SAB
de
CV
3.50%,
01/16/2050
386
414
Building
Materials
-
0.14%
Builders
FirstSource
Inc
6.75%,
06/01/2027
(i)
225
245
Carrier
Global
Corp
2.72%,
02/15/2030
(i)
310
325
3.58%,
04/05/2050
(i)
220
233
Standard
Industries
Inc/NJ
4.38%,
07/15/2030
(i)
230
244
Vulcan
Materials
Co
3.50%,
06/01/2030
95
108
$
1,155
Chemicals
-
0.39%
Braskem
Netherlands
Finance
BV
4.50%,
01/31/2030
(i)
200
190
Equate
Petrochemical
BV
4.25%,
11/03/2026
1,025
1,097
MEGlobal
Canada
ULC
5.00%,
05/18/2025
(i)
1,700
1,857
$
3,144
Commercial
Mortgage
Backed
Securities
-
3.66%
Banc
of
America
Commercial
Mortgage
Trust
2015-UBS7
3.17%,
09/15/2048
531
357
COMM
2012-LC4
Mortgage
Trust
5.72%,
12/10/2044
(l)
10
8
COMM
2014-CCRE18
Mortgage
Trust
3.60%,
07/15/2047
(i)
1,925
1,280
COMM
2015-CCRE25
Mortgage
Trust
3.94%,
08/10/2048
(l)
2,280
1,587
COMM
2015-CCRE27
Mortgage
Trust
3.25%,
10/10/2048
(i)
2,800
1,797
COMM
2015-LC21
Mortgage
Trust
1.23%,
07/10/2048
(i),(l),(m)
10,000
467
1.23%,
07/10/2048
(i),(l),(m)
3,125
143
3.25%,
07/10/2048
(i)
1,012
517
COMM
2016-CR28
Mortgage
Trust
3.25%,
02/10/2049
(i)
850
425
Credit
Suisse
Commercial
Mortgage
Securities
Corp
2019-SLKZ
3.76%,
01/15/2034
(i)
155
144
1.00
x
1
Month
USD
LIBOR
+
3.60%
Csail
2015-C2
Commercial
Mortgage
Trust
4.33%,
06/15/2057
(l)
960
741
4.33%,
06/15/2057
(l)
2,184
1,427
CSAIL
2015-C3
Commercial
Mortgage
Trust
3.49%,
08/15/2048
(l)
1,690
1,136
CSMC
2014-USA
OA
LLC
4.37%,
09/15/2037
(i)
1,055
634
GS
Mortgage
Securities
Corp
II
4.56%,
07/10/2051
(i),(l)
635
277
GS
Mortgage
Securities
Trust
2014-GC20
5.13%,
04/10/2047
(i),(l)
1,820
948
HPLY
Trust
2019-HIT
1.76%,
11/15/2036
(i)
254
236
1.00
x
1
Month
USD
LIBOR
+
1.60%
JPMBB
Commercial
Mortgage
Securities
Trust
2013-C12
4.24%,
07/15/2045
(i),(l)
932
659
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
147
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C21
3.90%,
08/15/2047
(i),(l)
$
1,120
$
699
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C29
3.85%,
05/15/2048
(l),(n)
2,735
1,884
3.90%,
05/15/2048
(i),(l)
2,160
1,157
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C12
3.71%,
10/15/2046
(i)
1,275
470
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C25
4.68%,
10/15/2048
(i),(l)
350
215
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2017-C34
1.02%,
11/15/2052
(i),(l),(m)
3,150
156
Morgan
Stanley
Capital
I
Trust
2011-C2
5.66%,
06/15/2044
(i),(l)
475
339
5.66%,
06/15/2044
(i),(l)
160
98
Motel
6
Trust
2017-M6MZ
7.09%,
08/15/2024
(i)
881
718
1.00
x
1
Month
USD
LIBOR
+
6.93%
SG
Commercial
Mortgage
Securities
Trust
2016-C5
2.54%,
10/10/2048
(i)
1,665
853
Starwood
Retail
Property
Trust
2014-STAR
2.91%,
11/15/2027
(f),(g),(i)
170
117
1.00
x
1
Month
USD
LIBOR
+
2.75%
4.56%,
11/15/2027
(f),(g),(i)
645
213
1.00
x
1
Month
USD
LIBOR
+
4.40%
Wells
Fargo
Commercial
Mortgage
Trust
2015-C26
3.25%,
02/15/2048
(i)
1,981
1,122
Wells
Fargo
Commercial
Mortgage
Trust
2015-C28
3.00%,
05/15/2048
(i)
1,794
713
Wells
Fargo
Commercial
Mortgage
Trust
2015-LC22
3.36%,
09/15/2058
(i)
260
144
Wells
Fargo
Commercial
Mortgage
Trust
2015-NXS1
2.88%,
05/15/2048
(i),(l)
1,485
919
Wells
Fargo
Commercial
Mortgage
Trust
2016-NXS6
2.00%,
11/15/2049
(i),(l),(m)
7,575
650
Wells
Fargo
Commercial
Mortgage
Trust
2019-JWDR
3.14%,
09/15/2031
(i),(l)
650
613
WF-RBS
Commercial
Mortgage
Trust
2011-C2
5.85%,
02/15/2044
(i),(l)
115
114
WFRBS
Commercial
Mortgage
Trust
2011-C3
5.85%,
03/15/2044
(i),(l)
350
165
WFRBS
Commercial
Mortgage
Trust
2011-C4
5.39%,
06/15/2044
(i),(l)
845
702
WFRBS
Commercial
Mortgage
Trust
2012-C6
5.77%,
04/15/2045
(i),(l)
500
491
WFRBS
Commercial
Mortgage
Trust
2012-C7
4.97%,
06/15/2045
(l)
80
57
4.97%,
06/15/2045
(i),(l)
225
92
WFRBS
Commercial
Mortgage
Trust
2014-C20
3.99%,
05/15/2047
(i)
267
157
WFRBS
Commercial
Mortgage
Trust
2014-C21
3.49%,
08/15/2047
(i)
1,030
588
3.50%,
08/15/2047
(i),(n)
4,515
3,146
$
29,375
Commercial
Services
-
0.42%
Adani
Ports
&
Special
Economic
Zone
Ltd
4.20%,
08/04/2027
(i)
1,620
1,662
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Services
(continued)
APX
Group
Inc
6.75%,
02/15/2027
(i)
$
1,000
$
1,050
Sabre
GLBL
Inc
9.25%,
04/15/2025
(i)
30
33
United
Rentals
North
America
Inc
4.00%,
07/15/2030
630
658
$
3,403
Computers
-
0.04%
Diebold
Nixdorf
Inc
9.38%,
07/15/2025
(i)
191
206
Seagate
HDD
Cayman
4.13%,
01/15/2031
(i)
95
103
$
309
Consumer
Products
-
0.03%
Kimberly-Clark
de
Mexico
SAB
de
CV
2.43%,
07/01/2031
(i)
200
204
Credit
Card
Asset
Backed
Securities
-
0.03%
Genesis
Sales
Finance
Master
Trust
Series
2019-A
4.68%,
08/20/2023
(i)
255
256
Diversified
Financial
Services
-
0.86%
AerCap
Ireland
Capital
DAC
/
AerCap
Global
Aviation
Trust
3.65%,
07/21/2027
150
140
3.88%,
01/23/2028
150
138
4.50%,
09/15/2023
380
390
6.50%,
07/15/2025
150
163
Air
Lease
Corp
3.38%,
07/01/2025
330
336
Aircastle
Ltd
4.25%,
06/15/2026
695
649
Ally
Financial
Inc
3.88%,
05/21/2024
35
37
4.63%,
03/30/2025
40
44
5.75%,
11/20/2025
240
269
5.80%,
05/01/2025
285
329
Navient
Corp
5.00%,
03/15/2027
370
356
5.88%,
10/25/2024
15
16
6.13%,
03/25/2024
5
5
6.50%,
06/15/2022
5
5
6.75%,
06/15/2026
15
16
7.25%,
01/25/2022
20
21
7.25%,
09/25/2023
50
53
OneMain
Finance
Corp
5.38%,
11/15/2029
130
138
6.63%,
01/15/2028
30
34
6.88%,
03/15/2025
5
6
7.13%,
03/15/2026
425
488
8.88%,
06/01/2025
85
96
Power
Finance
Corp
Ltd
5.25%,
08/10/2028
2,140
2,295
Quicken
Loans
LLC
5.25%,
01/15/2028
(i)
685
731
5.75%,
05/01/2025
(i)
105
108
$
6,863
Electric
-
0.85%
Adani
Electricity
Mumbai
Ltd
3.95%,
02/12/2030
(i)
1,600
1,596
3.95%,
02/12/2030
500
499
AES
Corp/The
3.95%,
07/15/2030
(i)
115
123
5.13%,
09/01/2027
115
124
5.50%,
04/15/2025
40
41
6.00%,
05/15/2026
15
16
Enel
SpA
8.75%,
09/24/2073
(i),(k)
320
375
USD
Swap
Semi-Annual
5
Year
+
5.88%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
148
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
FirstEnergy
Corp
4.85%,
07/15/2047
$
57
$
70
GenOn
Energy
Inc
-
Escrow
0.00%,
10/15/2018
(d),(f),(g)
6,993
—
0.00%,
10/15/2020
(d),(f),(g)
6,143
—
IPALCO
Enterprises
Inc
4.25%,
05/01/2030
(i)
30
34
NRG
Energy
Inc
4.45%,
06/15/2029
(i)
130
144
5.25%,
06/15/2029
(i)
60
65
5.75%,
01/15/2028
130
141
Pacific
Gas
and
Electric
Co
3.50%,
08/01/2050
210
196
4.55%,
07/01/2030
875
968
4.95%,
07/01/2050
875
964
Vistra
Operations
Co
LLC
3.70%,
01/30/2027
(i)
1,285
1,351
4.30%,
07/15/2029
(i)
125
136
$
6,843
Engineering
&
Construction
-
0.03%
GMR
Hyderabad
International
Airport
Ltd
5.38%,
04/10/2024
270
263
Entertainment
-
0.03%
Colt
Merger
Sub
Inc
5.75%,
07/01/2025
(i)
188
197
Finance
-
Mortgage
Loan/Banker
-
0.13%
Fannie
Mae
0.88%,
08/05/2030
286
281
Freddie
Mac
0.25%,
08/24/2023
717
717
$
998
Food
-
0.52%
Albertsons
Cos
Inc
/
Safeway
Inc
/
New
Albertsons
LP
/
Albertsons
LLC
5.75%,
03/15/2025
290
298
Kraft
Heinz
Foods
Co
4.38%,
06/01/2046
170
174
4.88%,
10/01/2049
(i)
570
629
5.00%,
06/04/2042
85
94
5.20%,
07/15/2045
175
199
Lamb
Weston
Holdings
Inc
4.88%,
05/15/2028
(i)
80
88
MARB
BondCo
PLC
7.00%,
03/15/2024
2,300
2,375
NBM
US
Holdings
Inc
7.00%,
05/14/2026
(i)
320
341
$
4,198
Healthcare
-
Services
-
0.26%
Centene
Corp
4.63%,
12/15/2029
35
38
Encompass
Health
Corp
4.75%,
02/01/2030
45
47
Hadrian
Merger
Sub
Inc
8.50%,
05/01/2026
(i)
971
933
HCA
Inc
3.50%,
09/01/2030
190
200
IQVIA
Inc
5.00%,
05/15/2027
(i)
200
211
Tenet
Healthcare
Corp
4.63%,
06/15/2028
(i)
5
5
5.13%,
05/01/2025
620
632
$
2,066
Home
Builders
-
0.04%
Lennar
Corp
4.75%,
11/29/2027
160
182
4.88%,
12/15/2023
35
38
5.00%,
06/15/2027
5
6
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Home
Builders
(continued)
PulteGroup
Inc
4.25%,
03/01/2021
$
100
$
101
$
327
Insurance
-
0.10%
American
International
Group
Inc
4.38%,
06/30/2050
625
743
Global
Atlantic
Fin
Co
4.40%,
10/15/2029
(i)
60
63
$
806
Internet
-
0.45%
Booking
Holdings
Inc
4.50%,
04/13/2027
245
289
4.63%,
04/13/2030
400
483
eBay
Inc
4.00%,
07/15/2042
35
39
Expedia
Group
Inc
3.25%,
02/15/2030
525
497
4.63%,
08/01/2027
(i)
165
172
6.25%,
05/01/2025
(i)
520
572
7.00%,
05/01/2025
(i)
265
288
Uber
Technologies
Inc
7.50%,
05/15/2025
(i)
40
42
7.50%,
09/15/2027
(i)
600
629
8.00%,
11/01/2026
(i)
575
609
$
3,620
Investment
Companies
-
0.09%
Icahn
Enterprises
LP
/
Icahn
Enterprises
Finance
Corp
4.75%,
09/15/2024
90
93
5.25%,
05/15/2027
235
250
6.25%,
05/15/2026
325
347
$
690
Iron
&
Steel
-
0.11%
ABJA
Investment
Co
Pte
Ltd
5.45%,
01/24/2028
210
202
Metinvest
BV
8.50%,
04/23/2026
200
202
Reliance
Steel
&
Aluminum
Co
2.15%,
08/15/2030
40
40
Steel
Dynamics
Inc
3.45%,
04/15/2030
370
407
$
851
Leisure
Products
&
Services
-
0.32%
Constellation
Merger
Sub
Inc
8.50%,
09/15/2025
(i)
2,449
2,082
Royal
Caribbean
Cruises
Ltd
11.50%,
06/01/2025
(i)
442
512
$
2,594
Lodging
-
0.15%
Hyatt
Hotels
Corp
5.38%,
04/23/2025
45
49
5.75%,
04/23/2030
80
92
Marriott
International
Inc/MD
0.97%,
03/08/2021
845
841
3
Month
USD
LIBOR
+
0.65%
4.63%,
06/15/2030
85
93
5.75%,
05/01/2025
5
6
Wyndham
Destinations
Inc
6.63%,
07/31/2026
(i)
85
90
$
1,171
Media
-
0.75%
Block
Communications
Inc
4.88%,
03/01/2028
(i)
95
97
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp
4.25%,
02/01/2031
(i)
675
706
4.50%,
08/15/2030
(i)
190
202
4.50%,
05/01/2032
(i)
20
21
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
149
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
(continued)
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp
(continued)
5.38%,
06/01/2029
(i)
$
35
$
38
Cengage
Learning
Inc
9.50%,
06/15/2024
(i)
1,161
778
Clear
Channel
Worldwide
Holdings
Inc
5.13%,
08/15/2027
(i)
295
298
CSC
Holdings
LLC
4.63%,
12/01/2030
(i)
200
205
6.50%,
02/01/2029
(i)
200
225
iHeartCommunications
Inc
4.75%,
01/15/2028
(i)
320
305
5.25%,
08/15/2027
(i)
260
259
6.38%,
05/01/2026
100
104
8.38%,
05/01/2027
285
289
NBCUniversal
Enterprise
Inc
5.25%,
12/31/2099
(i),(j)
1,205
1,223
Sirius
XM
Radio
Inc
4.63%,
07/15/2024
(i)
30
31
5.00%,
08/01/2027
(i)
160
170
5.38%,
07/15/2026
(i)
60
63
5.50%,
07/01/2029
(i)
15
16
ViacomCBS
Inc
4.95%,
05/19/2050
173
202
Virgin
Media
Finance
PLC
5.00%,
07/15/2030
(i)
200
206
Virgin
Media
Secured
Finance
PLC
5.50%,
08/15/2026
(i)
200
211
Ziggo
BV
4.88%,
01/15/2030
(i)
215
228
5.50%,
01/15/2027
(i)
150
158
$
6,035
Metal
Fabrication
&
Hardware
-
0.25%
HTA
Group
Ltd/Mauritius
7.00%,
12/18/2025
(i)
1,865
1,988
Mining
-
0.50%
First
Quantum
Minerals
Ltd
6.88%,
03/01/2026
(i)
405
405
7.50%,
04/01/2025
(i)
200
204
Freeport-McMoRan
Inc
4.13%,
03/01/2028
140
146
4.25%,
03/01/2030
105
110
4.38%,
08/01/2028
55
58
4.63%,
08/01/2030
35
38
5.00%,
09/01/2027
20
21
Indonesia
Asahan
Aluminium
Persero
PT
4.75%,
05/15/2025
(i)
1,800
1,972
4.75%,
05/15/2025
800
876
Newcrest
Finance
Pty
Ltd
3.25%,
05/13/2030
(i)
135
149
$
3,979
Miscellaneous
Manufacturers
-
0.14%
FXI
Holdings
Inc
7.88%,
11/01/2024
(i),(n)
1,162
1,127
Mortgage
Backed
Securities
-
3.63%
Alternative
Loan
Trust
2003-22CB
5.75%,
12/25/2033
86
89
Alternative
Loan
Trust
2004-16CB
5.50%,
07/25/2034
65
67
5.50%,
08/25/2034
70
72
Alternative
Loan
Trust
2004-J10
6.00%,
09/25/2034
152
159
Alternative
Loan
Trust
2005-J1
5.50%,
02/25/2025
67
69
Banc
of
America
Alternative
Loan
Trust
2003-8
5.50%,
10/25/2033
65
65
Banc
of
America
Funding
2005-7
Trust
5.75%,
11/25/2035
62
67
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
(continued)
Banc
of
America
Funding
2007-4
Trust
5.50%,
11/25/2034
$
82
$
82
Banc
of
America
Mortgage
2005-A
Trust
3.71%,
02/25/2035
(l)
23
23
CHL
Mortgage
Pass-Through
Trust
2004-HYB4
2.92%,
09/20/2034
(l)
26
25
Citigroup
Mortgage
Loan
Trust
2018-A
4.00%,
01/25/2068
(i),(l)
222
223
Citigroup
Mortgage
Loan
Trust
2018-C
4.13%,
03/25/2059
(i),(l)
495
499
Citigroup
Mortgage
Loan
Trust
2019-B
3.26%,
04/25/2066
(i),(l)
324
326
Connecticut
Avenue
Securities
Trust
2019-R04
5.43%,
06/25/2039
(i)
280
246
1.00
x
1
Month
USD
LIBOR
+
5.25%
Connecticut
Avenue
Securities
Trust
2019-R07
3.58%,
10/25/2039
(i)
2,000
1,630
1.00
x
1
Month
USD
LIBOR
+
3.40%
Connecticut
Avenue
Securities
Trust
2020-R01
2.23%,
01/25/2040
(i)
155
149
1.00
x
1
Month
USD
LIBOR
+
2.05%
3.43%,
01/25/2040
(i)
260
180
1.00
x
1
Month
USD
LIBOR
+
3.25%
Connecticut
Avenue
Securities
Trust
2020-SBT1
3.83%,
02/25/2040
(i)
295
277
1.00
x
1
Month
USD
LIBOR
+
3.65%
3.83%,
02/25/2040
(i)
365
341
1.00
x
1
Month
USD
LIBOR
+
3.65%
CSFB
Mortgage-Backed
Pass-Through
Certificates
Series
2003-27
5.75%,
11/25/2033
36
38
CSMC
2018-RPL2
Trust
4.31%,
08/25/2062
(i),(l)
532
535
CSMC
2019-RP10
Trust
3.12%,
12/26/2059
(i),(l)
288
290
DSLA
Mortgage
Loan
Trust
2005-AR5
0.49%,
09/19/2045
124
92
1.00
x
1
Month
USD
LIBOR
+
0.33%
Dukinfield
II
PLC
1.43%,
12/20/2052
GBP
269
361
1.00
x
3
Month
GBP
LIBOR
+
1.25%
Fannie
Mae
Connecticut
Avenue
Securities
2.38%,
01/25/2030
$
31
31
1.00
x
1
Month
USD
LIBOR
+
2.20%
4.43%,
01/25/2031
4,451
4,095
1.00
x
1
Month
USD
LIBOR
+
4.25%
5.03%,
10/25/2029
1,320
1,303
1.00
x
1
Month
USD
LIBOR
+
4.85%
5.93%,
07/25/2029
1,215
1,252
1.00
x
1
Month
USD
LIBOR
+
5.75%
Fannie
Mae
REMICS
5.92%,
05/25/2047
(m)
1,777
405
(1.00)
x
1
Month
USD
LIBOR
+
6.10%
6.02%,
12/25/2045
(m)
1,069
248
(1.00)
x
1
Month
USD
LIBOR
+
6.20%
Freddie
Mac
STACR
2019-HQA3
7.68%,
09/25/2049
(i)
240
172
1.00
x
1
Month
USD
LIBOR
+
7.50%
Freddie
Mac
Stacr
Remic
Trust
2019-Hqa4
6.78%,
11/25/2049
(i)
530
306
1.00
x
1
Month
USD
LIBOR
+
6.60%
Freddie
Mac
Stacr
Remic
Trust
2020-DNA1
5.43%,
01/25/2050
(i)
350
200
1.00
x
1
Month
USD
LIBOR
+
5.25%
Freddie
Mac
STACR
Remic
Trust
2020-DNA2
4.98%,
02/25/2050
(i)
470
240
1.00
x
1
Month
USD
LIBOR
+
4.80%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
150
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
(continued)
Freddie
Mac
STACR
REMIC
Trust
2020-HQA1
5.28%,
01/25/2050
(i)
$
220
$
110
1.00
x
1
Month
USD
LIBOR
+
5.10%
Freddie
Mac
Stacr
Remic
Trust
2020-HQA2
3.28%,
03/25/2050
(i)
660
651
1.00
x
1
Month
USD
LIBOR
+
3.10%
4.28%,
03/25/2050
(i)
660
564
1.00
x
1
Month
USD
LIBOR
+
4.10%
Freddie
Mac
STACR
Trust
2019-DNA4
6.43%,
10/25/2049
(i)
300
204
1.00
x
1
Month
USD
LIBOR
+
6.25%
Freddie
Mac
STACR
Trust
2019-HRP1
4.23%,
02/25/2049
(i)
270
246
1.00
x
1
Month
USD
LIBOR
+
4.05%
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes
1.98%,
07/25/2030
22
21
1.00
x
1
Month
USD
LIBOR
+
1.80%
2.03%,
10/25/2027
31
31
1.00
x
1
Month
USD
LIBOR
+
1.85%
5.13%,
07/25/2029
2,689
2,709
1.00
x
1
Month
USD
LIBOR
+
4.95%
8.98%,
03/25/2028
4,455
4,289
1.00
x
1
Month
USD
LIBOR
+
8.80%
Grand
Avenue
Mortgage
Loan
Trust
2017-RPL1
3.25%,
08/25/2064
(i)
123
120
GSR
Mortgage
Loan
Trust
2005-4F
6.50%,
02/25/2035
38
39
IndyMac
INDX
Mortgage
Loan
Trust
2004-AR7
1.40%,
09/25/2034
118
108
1.00
x
1
Month
USD
LIBOR
+
1.22%
IndyMac
INDX
Mortgage
Loan
Trust
2005-AR11
3.24%,
08/25/2035
(l)
485
426
Lehman
XS
Trust
Series
2006-2N
0.44%,
02/25/2046
88
77
1.00
x
1
Month
USD
LIBOR
+
0.26%
MASTR
Alternative
Loan
Trust
2003-9
5.25%,
11/25/2033
36
38
MASTR
Alternative
Loan
Trust
2004-5
5.50%,
06/25/2034
32
33
6.00%,
06/25/2034
39
41
MASTR
Alternative
Loan
Trust
2004-8
6.00%,
09/25/2034
207
214
Merrill
Lynch
Mortgage
Investors
Trust
Series
MLCC
2006-2
3.01%,
05/25/2036
(l)
12
12
RCO
V
Mortgage
LLC
2019-1
3.72%,
05/24/2024
(i),(l)
483
486
STACR
Trust
2018-HRP2
2.58%,
02/25/2047
(i)
2,390
2,255
1.00
x
1
Month
USD
LIBOR
+
2.40%
Structured
Adjustable
Rate
Mortgage
Loan
Trust
0.49%,
07/25/2035
555
400
1.00
x
1
Month
USD
LIBOR
+
0.31%
Toorak
Mortgage
Corp
2018-1
Ltd
4.34%,
08/25/2021
(i),(l)
1,880
1,898
$
29,129
Office
&
Business
Equipment
-
0.03%
CDW
LLC
/
CDW
Finance
Corp
4.13%,
05/01/2025
195
203
Oil
&
Gas
-
2.54%
Aker
BP
ASA
3.75%,
01/15/2030
(i)
505
503
Bellatrix
Exploration
Ltd
0.00%,
09/11/2023
(d),(f),(g)
236
—
0.00%,
PIK
0.00%,
12/15/2023
(d),(f),(g),(o)
257
—
Cobalt
International
Energy
Inc
0.00%,
12/01/2023
(d)
4,635
97
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Oil
&
Gas
(continued)
Diamond
Offshore
Drilling
Inc
0.00%,
10/15/2039
(d)
$
327
$
33
Diamondback
Energy
Inc
3.50%,
12/01/2029
105
107
Hess
Corp
5.60%,
02/15/2041
155
179
Leviathan
Bond
Ltd
5.75%,
06/30/2023
(i)
600
621
6.13%,
06/30/2025
(i)
485
504
6.50%,
06/30/2027
(i)
880
916
Occidental
Petroleum
Corp
2.70%,
08/15/2022
75
74
2.70%,
02/15/2023
20
19
2.90%,
08/15/2024
105
97
3.50%,
06/15/2025
35
32
5.55%,
03/15/2026
10
10
Odebrecht
Drilling
Norbe
VIII/IX
Ltd
6.35%,
12/01/2021
1,019
927
Odebrecht
Offshore
Drilling
Finance
Ltd
6.72%,
12/01/2022
555
483
OGX
Austria
GmbH
0.00%,
06/01/2018
(d),(i)
600
—
0.00%,
04/01/2022
(d),(i)
1,100
—
Petrobras
Global
Finance
BV
5.09%,
01/15/2030
975
1,016
6.00%,
01/27/2028
1,700
1,885
7.25%,
03/17/2044
125
147
Petroleos
Mexicanos
5.95%,
01/28/2031
(i)
1,435
1,296
6.50%,
03/13/2027
1,925
1,897
6.63%,
06/15/2035
630
556
6.84%,
01/23/2030
(i)
1,450
1,398
6.95%,
01/28/2060
1,500
1,249
Petronas
Capital
Ltd
3.50%,
04/21/2030
(i)
1,050
1,190
Tengizchevroil
Finance
Co
International
Ltd
2.63%,
08/15/2025
(i)
1,850
1,880
3.25%,
08/15/2030
(i)
1,175
1,210
Tullow
Oil
PLC
6.25%,
04/15/2022
950
594
7.00%,
03/01/2025
2,100
1,197
Whiting
Petroleum
Corp
0.00%,
01/15/2026
(d)
175
41
YPF
SA
6.95%,
07/21/2027
(i)
240
176
$
20,334
Other
Asset
Backed
Securities
-
5.41%
Accelerated
Assets
2018-1
LLC
4.51%,
12/02/2033
(i)
144
144
Adams
Outdoor
Advertising
LP
4.81%,
11/15/2048
(i)
749
779
AIG
CLO
2018-1
Ltd
6.72%,
01/20/2032
(i)
2,640
2,422
1.00
x
3
Month
USD
LIBOR
+
6.45%
AIM
Aviation
Finance
Ltd
5.07%,
02/15/2040
(i),(l)
675
211
Ajax
Mortgage
Loan
Trust
2017-B
3.16%,
09/25/2056
(i),(l)
251
249
Allegro
CLO
VI
Ltd
3.02%,
01/17/2031
(i)
250
226
1.00
x
3
Month
USD
LIBOR
+
2.75%
ALM
VII
R
Ltd
7.41%,
10/15/2028
(i)
2,000
1,784
1.00
x
3
Month
USD
LIBOR
+
7.14%
American
Homes
4
Rent
2014-SFR2
Trust
5.15%,
10/17/2036
(i)
280
309
6.23%,
10/17/2036
(i)
695
771
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
151
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
American
Homes
4
Rent
2014-SFR3
Trust
6.42%,
12/17/2036
(i)
$
900
$
1,003
American
Homes
4
Rent
2015-SFR1
5.64%,
04/17/2052
(i)
1,045
1,149
Anchorage
Capital
CLO
9
Ltd
4.28%,
07/15/2032
(i)
250
244
1.00
x
3
Month
USD
LIBOR
+
4.00%
Apidos
CLO
XXIII
3.60%,
04/15/2033
(i)
370
360
1.00
x
3
Month
USD
LIBOR
+
2.00%
Arbys
Funding
LLC
3.24%,
07/30/2050
(i)
115
118
ArrowMark
Colorado
Holdings
2.98%,
07/15/2029
(i)
250
249
1.00
x
3
Month
USD
LIBOR
+
2.70%
Ascentium
Equipment
Receivables
2017-2
Trust
2.87%,
08/10/2022
(i)
80
81
Avery
Point
VII
CLO
Ltd
6.87%,
01/15/2028
(i)
1,400
1,129
1.00
x
3
Month
USD
LIBOR
+
6.60%
Barings
Clo
Ltd
2019-IV
3.08%,
01/15/2033
(i)
250
251
1.00
x
3
Month
USD
LIBOR
+
2.80%
BCC
Funding
XIV
LLC
6.00%,
04/21/2025
(i)
250
250
Blackbird
Capital
Aircraft
Lease
Securitization
Ltd
2016-1
4.21%,
12/16/2041
(i),(l)
198
168
5.68%,
12/16/2041
(i),(l)
547
340
BlueMountain
CLO
XXIV
Ltd
2.97%,
04/20/2031
(i)
250
250
1.00
x
3
Month
USD
LIBOR
+
2.70%
Bowman
Park
CLO
Ltd
5.66%,
11/23/2025
(i)
1,000
832
1.00
x
3
Month
USD
LIBOR
+
5.40%
Cairn
CLO
XI
DAC
6.77%,
07/15/2035
(i)
EUR
360
415
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
6.77%
Canyon
Capital
CLO
2019-2
Ltd
7.43%,
10/15/2032
(i)
$
250
229
1.00
x
3
Month
USD
LIBOR
+
7.15%
Carlyle
Global
Market
Strategies
Euro
CLO
2015-1
Ltd
3.40%,
01/16/2033
(i)
EUR
2,205
2,451
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
3.40%
5.50%,
01/16/2033
(i)
882
883
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
5.50%
CCG
Receivables
Trust
2018-1
3.42%,
06/16/2025
(i)
$
100
101
Coinstar
Funding
LLC
Series
2017-1
5.22%,
04/25/2047
(i)
672
638
Cole
Park
CLO
Ltd
2015-1
3.42%,
10/20/2028
(i)
255
248
1.00
x
3
Month
USD
LIBOR
+
3.15%
Colony
American
Finance
2015-1
Ltd
5.65%,
10/15/2047
(i)
550
553
Colony
American
Finance
2016-1
Ltd
4.64%,
06/15/2048
(i),(l)
260
260
DB
Master
Finance
LLC
4.35%,
05/20/2049
(i)
208
227
Diamond
Resorts
Owner
Trust
6.07%,
10/22/2029
(i)
68
68
Diamond
Resorts
Owner
Trust
2018-1
4.53%,
01/21/2031
(i)
238
236
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
Diamond
Resorts
Owner
Trust
2019-1
3.53%,
02/20/2032
(i)
$
236
$
235
Domino's
Pizza
Master
Issuer
LLC
4.12%,
07/25/2047
(i)
326
354
Dryden
33
Senior
Loan
Fund
7.25%,
04/15/2029
(i)
700
604
1.00
x
3
Month
USD
LIBOR
+
6.97%
Dryden
63
GBP
CLO
2018
BV
2.98%,
10/15/2032
(i)
GBP
2,060
2,672
1.00
x
3
Month
GBP
LIBOR
+
2.90%
4.58%,
10/15/2032
(i)
1,052
1,347
1.00
x
3
Month
GBP
LIBOR
+
4.50%
Fairstone
Financial
Issuance
Trust
I
3.95%,
03/21/2033
(i)
CAD
515
397
GCA2014
Holdings
Ltd
-
Class
C
6.00%,
01/05/2030
(f),(g),(i)
$
678
215
GCA2014
Holdings
Ltd
-
Class
D
7.50%,
01/05/2030
(f),(g),(i)
307
33
GCA2014
Holdings
Ltd
-
Class
E
0.00%,
01/05/2030
(d),(f),(g),(i)
1,030
—
Global
Container
Assets
Ltd
4.50%,
02/05/2030
(i)
201
199
Harbour
Aircraft
Investments
Ltd
8.00%,
11/15/2037
553
266
Hilton
Grand
Vacations
Trust
2018-A
4.00%,
02/25/2032
(i)
64
65
HPEFS
Equipment
Trust
2.79%,
07/22/2030
500
507
HPEFS
Equipment
Trust
2020-1
2.26%,
02/20/2030
(i)
115
114
Invitation
Homes
2018-SFR1
Trust
2.16%,
03/17/2037
(i)
470
468
1.00
x
1
Month
USD
LIBOR
+
2.00%
Invitation
Homes
2018-SFR2
Trust
2.16%,
06/17/2037
(i)
835
830
1.00
x
1
Month
USD
LIBOR
+
2.00%
Invitation
Homes
2018-SFR4
Trust
1.81%,
01/17/2038
(i)
210
209
1.00
x
1
Month
USD
LIBOR
+
1.65%
Kestrel
Aircraft
Funding
Ltd
4.25%,
12/15/2038
(i)
345
291
KKR
Clo
25
Ltd
6.82%,
04/15/2032
(i)
640
554
1.00
x
3
Month
USD
LIBOR
+
6.54%
Legacy
Mortgage
Asset
Trust
2019-GS3
3.75%,
04/25/2059
(i),(l)
348
353
MAPS
2018-1
Ltd
4.21%,
05/15/2043
(i)
636
559
Marlette
Funding
Trust
2019-1
3.44%,
04/16/2029
(i)
89
90
Marlette
Funding
Trust
2019-3
2.69%,
09/17/2029
(i)
102
103
Neuberger
Berman
CLO
XIV
Ltd
2.15%,
01/28/2030
(i)
365
350
1.00
x
3
Month
USD
LIBOR
+
1.90%
OCP
CLO
2015-8
Ltd
3.07%,
04/17/2027
(i)
260
256
1.00
x
3
Month
USD
LIBOR
+
2.80%
Octagon
Investment
Partners
40
Ltd
4.07%,
04/20/2031
(i)
250
249
1.00
x
3
Month
USD
LIBOR
+
3.80%
Octagon
Investment
Partners
XVI
Ltd
6.02%,
07/17/2030
(i)
500
412
1.00
x
3
Month
USD
LIBOR
+
5.75%
Octagon
Investment
Partners
XXII
Ltd
2.16%,
01/22/2030
(i)
250
241
1.00
x
3
Month
USD
LIBOR
+
1.90%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
152
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
OHA
Credit
Funding
5
Ltd
3.31%,
04/18/2033
(i)
$
420
$
416
1.00
x
3
Month
USD
LIBOR
+
2.00%
OHA
Loan
Funding
2013-1
Ltd
3.31%,
07/23/2031
(i)
275
263
1.00
x
3
Month
USD
LIBOR
+
3.05%
OHA
Loan
Funding
2016-1
Ltd
2.22%,
01/20/2033
(i)
345
341
1.00
x
3
Month
USD
LIBOR
+
1.95%
OneMain
Financial
Issuance
Trust
2015-3
4.16%,
11/20/2028
(i)
790
799
OneMain
Financial
Issuance
Trust
2019-1
4.22%,
02/14/2031
(i)
620
634
OneMain
Financial
Issuance
Trust
2020-2
2.76%,
09/14/2035
(i)
120
121
Oxford
Finance
Funding
2019-1
LLC
4.46%,
02/15/2027
(i)
145
149
Parallel
2017-1
Ltd
2.27%,
07/20/2029
(i)
305
294
1.00
x
3
Month
USD
LIBOR
+
2.00%
Parallel
2018-2
Ltd
2.42%,
10/20/2031
(i)
480
462
1.00
x
3
Month
USD
LIBOR
+
2.15%
Planet
Fitness
Master
Issuer
LLC
3.86%,
12/05/2049
(i)
274
257
Progress
Residential
2017-SFR2
Trust
4.14%,
12/17/2034
(i)
100
101
Progress
Residential
2018-SFR2
Trust
4.66%,
08/17/2035
(i)
100
102
Progress
Residential
2019-SFR1
Trust
4.47%,
08/17/2035
(i)
420
432
Prosper
Pass-Thru
Trust
II
Series
2019-St2
0.00%,
11/15/2025
(d),(f),(g),(i)
1,190
535
0.00%,
11/15/2025
(d),(f),(g),(i)
595
268
PRPM
2018-1
LLC
5.00%,
04/25/2023
(i),(l)
200
193
PRPM
2019-4
LLC
3.35%,
11/25/2024
(i),(l)
192
193
PRPM
2020-1
LLC
2.98%,
02/25/2025
(i),(l)
431
429
Republic
FInance
Issuance
Trust
2019-A
3.43%,
11/22/2027
(i)
490
491
Rockford
Tower
CLO
2017-2
Ltd
2.18%,
10/15/2029
(i)
295
288
1.00
x
3
Month
USD
LIBOR
+
1.90%
SCF
Equipment
Leasing
2018-1
LLC
4.21%,
04/20/2027
(i)
795
811
Sierra
Timeshare
2020-2
Receivables
Funding
LLC
3.51%,
07/20/2037
(i)
100
101
S-Jets
2017-1
Ltd
3.97%,
08/15/2042
(i)
753
673
Sound
Point
Clo
XV
Ltd
6.22%,
01/23/2029
(i)
1,500
1,112
1.00
x
3
Month
USD
LIBOR
+
5.96%
Sprite
2017-1
Ltd
5.75%,
12/15/2037
(i)
240
139
TAL
Advantage
V
LLC
3.55%,
11/20/2038
(i)
171
172
Thunderbolt
Aircraft
Lease
Ltd
5.75%,
05/17/2032
(i),(l)
163
114
Towd
Point
Mortgage
Trust
2015-2
2.50%,
11/25/2060
(i),(l)
153
154
Towd
Point
Mortgage
Trust
2019-4
2.90%,
10/25/2059
(i),(l)
406
432
VERDE
CLO
Ltd
7.18%,
04/15/2032
(i)
555
502
1.00
x
3
Month
USD
LIBOR
+
6.90%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
WAVE
2017-1
Trust
5.68%,
11/15/2042
(i)
$
243
$
168
Wendy's
Funding
LLC
4.08%,
06/15/2049
(i)
83
89
York
CLO-2
Ltd
2.11%,
01/22/2031
(i)
250
241
1.00
x
3
Month
USD
LIBOR
+
1.85%
York
CLO-7
Ltd
4.06%,
01/22/2033
(i)
295
295
1.00
x
3
Month
USD
LIBOR
+
3.80%
$
43,372
Packaging
&
Containers
-
0.00%
Intelligent
Packaging
Ltd
Finco
Inc
/
Intelligent
Packaging
Ltd
Co-Issuer
LLC
6.00%,
09/15/2028
(i),(p)
34
35
Pharmaceuticals
-
0.34%
Bausch
Health
Cos
Inc
4.50%,
05/15/2023
EUR
640
761
Teva
Pharmaceutical
Finance
Netherlands
II
BV
6.00%,
01/31/2025
(i)
190
241
Teva
Pharmaceutical
Finance
Netherlands
III
BV
4.10%,
10/01/2046
$
1,420
1,214
7.13%,
01/31/2025
(i)
210
227
Upjohn
Inc
4.00%,
06/22/2050
(i)
290
316
$
2,759
Pipelines
-
0.20%
Cheniere
Corpus
Christi
Holdings
LLC
3.70%,
11/15/2029
(i)
630
665
Energy
Transfer
Operating
LP
3.75%,
05/15/2030
65
64
5.00%,
05/15/2050
245
234
Kinder
Morgan
Inc
5.05%,
02/15/2046
75
89
Sabine
Pass
Liquefaction
LLC
4.50%,
05/15/2030
(i)
445
509
$
1,561
Real
Estate
-
0.92%
Arabian
Centres
Sukuk
Ltd
5.38%,
11/26/2024
(i)
1,210
1,073
Country
Garden
Holdings
Co
Ltd
4.75%,
07/25/2022
700
716
4.75%,
09/28/2023
650
665
Kaisa
Group
Holdings
Ltd
8.50%,
06/30/2022
1,350
1,358
Sunac
China
Holdings
Ltd
7.25%,
06/14/2022
200
205
7.88%,
02/15/2022
1,531
1,577
Yuzhou
Group
Holdings
Co
Ltd
6.00%,
01/25/2022
420
425
8.50%,
02/04/2023
1,275
1,355
$
7,374
Regional
Authority
-
0.11%
Provincia
de
Buenos
Aires/Government
Bonds
33.35%,
04/12/2025
(i)
ARS
11,045
138
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
3.75%
33.48%,
05/31/2022
51,665
710
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
3.83%
$
848
REITs
-
0.31%
American
Tower
Corp
2.10%,
06/15/2030
$
280
286
Crown
Castle
International
Corp
2.25%,
01/15/2031
635
650
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
153
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
REITs
(continued)
Equinix
Inc
2.15%,
07/15/2030
$
425
$
436
3.20%,
11/18/2029
45
50
Iron
Mountain
Inc
5.00%,
07/15/2028
(i)
165
171
5.25%,
07/15/2030
(i)
165
175
Ladder
Capital
Finance
Holdings
LLLP
/
Ladder
Capital
Finance
Corp
4.25%,
02/01/2027
(i)
620
569
5.25%,
03/15/2022
(i)
50
49
5.25%,
10/01/2025
(i)
130
124
$
2,510
Retail
-
0.36%
1011778
BC
ULC
/
New
Red
Finance
Inc
3.88%,
01/15/2028
(i)
50
51
4.38%,
01/15/2028
(i)
660
678
AutoNation
Inc
4.75%,
06/01/2030
60
70
FirstCash
Inc
4.63%,
09/01/2028
(i)
171
176
McDonald's
Corp
3.63%,
09/01/2049
230
260
Staples
Inc
10.75%,
04/15/2027
(i),(n)
2,048
1,423
Yum!
Brands
Inc
4.75%,
01/15/2030
(i)
230
254
$
2,912
Semiconductors
-
0.37%
Broadcom
Corp
/
Broadcom
Cayman
Finance
Ltd
3.50%,
01/15/2028
10
11
3.88%,
01/15/2027
40
44
Broadcom
Inc
4.15%,
11/15/2030
20
23
4.30%,
11/15/2032
740
852
4.75%,
04/15/2029
710
833
5.00%,
04/15/2030
225
268
Micron
Technology
Inc
4.66%,
02/15/2030
30
35
5.33%,
02/06/2029
670
801
NXP
BV
/
NXP
Funding
LLC
/
NXP
USA
Inc
3.15%,
05/01/2027
(i)
70
77
3.40%,
05/01/2030
(i)
40
44
$
2,988
Software
-
0.06%
MSCI
Inc
3.63%,
09/01/2030
(i)
265
278
Open
Text
Corp
3.88%,
02/15/2028
(i)
70
72
Open
Text
Holdings
Inc
4.13%,
02/15/2030
(i)
65
67
SS&C
Technologies
Inc
5.50%,
09/30/2027
(i)
65
70
$
487
Sovereign
-
8.75%
1MDB
Global
Investments
Ltd
4.40%,
03/09/2023
900
904
Abu
Dhabi
Government
International
Bond
0.75%,
09/02/2023
(i),(p)
1,825
1,823
1.70%,
03/02/2031
(i),(p)
1,825
1,814
2.50%,
04/16/2025
(i)
850
901
3.13%,
04/16/2030
(i)
1,175
1,315
Argentine
Republic
Government
International
Bond
0.00%,
04/22/2026
(d)
825
375
0.00%,
07/06/2036
(d)
1,460
646
0.00%,
04/22/2046
(d)
1,100
481
3.88%,
01/15/2022
EUR
66
37
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Brazilian
Government
International
Bond
2.88%,
06/06/2025
$
1,742
$
1,763
Colombia
Government
International
Bond
3.88%,
04/25/2027
2,225
2,423
4.50%,
03/15/2029
375
423
Dominican
Republic
International
Bond
5.50%,
01/27/2025
1,325
1,389
5.95%,
01/25/2027
700
750
Export-Import
Bank
of
Korea
0.82%,
06/25/2022
650
652
3
Month
USD
LIBOR
+
0.53%
Ghana
Government
International
Bond
8.13%,
01/18/2026
1,275
1,301
Indonesia
Treasury
Bond
7.00%,
09/15/2030
IDR
64,500,000
4,469
Israel
Government
International
Bond
2.75%,
07/03/2030
$
2,300
2,529
3.88%,
07/03/2050
1,275
1,520
4.50%,
04/03/2120
825
1,133
Ivory
Coast
Government
International
Bond
5.25%,
03/22/2030
EUR
1,125
1,273
Malaysia
Government
Bond
4.07%,
06/15/2050
MYR
8,100
2,072
Mexican
Bonos
5.75%,
03/05/2026
MXN
28,300
1,323
7.75%,
11/13/2042
27,400
1,369
Mexico
Government
International
Bond
4.75%,
04/27/2032
$
1,650
1,891
Montenegro
Government
International
Bond
5.75%,
03/10/2021
EUR
2,282
2,767
Peru
Government
Bond
6.15%,
08/12/2032
PEN
9,125
3,038
Peruvian
Government
International
Bond
6.35%,
08/12/2028
10,000
3,450
Qatar
Government
International
Bond
3.40%,
04/16/2025
(i)
$
1,250
1,371
3.75%,
04/16/2030
(i)
1,175
1,368
4.40%,
04/16/2050
(i)
1,000
1,298
Republic
of
Belarus
Ministry
of
Finance
5.88%,
02/24/2026
(i)
700
654
Republic
of
South
Africa
Government
Bond
6.25%,
03/31/2036
ZAR
39,717
1,549
8.88%,
02/28/2035
73,000
3,681
Romanian
Government
International
Bond
2.00%,
01/28/2032
EUR
1,725
1,941
3.62%,
05/26/2030
(i)
750
980
Russian
Federal
Bond
-
OFZ
7.25%,
05/10/2034
RUB
225,000
3,311
Serbia
International
Bond
3.13%,
05/15/2027
(i)
EUR
2,025
2,583
Turkey
Government
International
Bond
5.60%,
11/14/2024
$
592
578
6.25%,
09/26/2022
358
363
6.35%,
08/10/2024
359
360
Ukraine
Government
International
Bond
0.00%,
05/31/2040
(d),(l)
1,970
1,876
4.38%,
01/27/2030
(i)
EUR
675
692
7.75%,
09/01/2023
$
1,675
1,780
Zambia
Government
International
Bond
5.38%,
09/20/2022
900
471
8.50%,
04/14/2024
1,900
986
8.97%,
07/30/2027
875
458
$
70,131
Student
Loan
Asset
Backed
Securities
-
0.32%
Education
Funding
Trust
Trust
2.79%,
07/25/2041
(i)
320
323
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
154
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Student
Loan
Asset
Backed
Securities
(continued)
Navient
Private
Education
Refi
Loan
Trust
2018-A
3.68%,
02/18/2042
(i)
$
140
$
143
Navient
Private
Education
Refi
Loan
Trust
2019-F
3.12%,
08/15/2068
(i)
445
451
Navient
Private
Education
Refi
Loan
Trust
2019-G
3.08%,
10/15/2068
(i)
105
104
Navient
Private
Education
Refi
Loan
Trust
2020-F
2.69%,
07/15/2069
(i)
100
100
SLM
Private
Credit
Student
Loan
Trust
2003-A
3.68%,
06/15/2032
189
184
1.00
x
US
28
Day
Auction
Rate
+
0.00%
SLM
Private
Credit
Student
Loan
Trust
2003-B
3.66%,
03/15/2033
50
48
1.00
x
US
28
Day
Auction
Rate
+
0.00%
3.67%,
03/15/2033
450
436
1.00
x
US
28
Day
Auction
Rate
+
0.00%
SMB
Private
Education
Loan
Trust
2015-C
3.50%,
09/15/2043
(i)
100
105
SMB
Private
Education
Loan
Trust
2017-B
0.91%,
10/15/2035
(i)
227
225
1.00
x
1
Month
USD
LIBOR
+
0.75%
SMB
Private
Education
Loan
Trust
2018-C
4.00%,
11/17/2042
(i)
100
101
SoFi
Professional
Loan
Program
2015-C
LLC
3.58%,
08/25/2036
(i)
31
31
Sofi
Professional
Loan
Program
2016-A
LLC
3.57%,
01/26/2038
(i)
173
176
SoFi
Professional
Loan
Program
2020-ATrust
3.12%,
05/15/2046
(i)
160
166
$
2,593
Supranational
Bank
-
0.80%
Eastern
&
Southern
African
Trade
&
Development
Bank
4.88%,
05/23/2024
875
887
European
Investment
Bank
0.63%,
07/25/2025
139
141
1.63%,
03/14/2025
2,220
2,345
International
Bank
for
Reconstruction
&
Development
0.63%,
04/22/2025
694
701
1.63%,
01/15/2025
2,220
2,340
$
6,414
Telecommunications
-
1.15%
AT&T
Inc
3.65%,
06/01/2051
325
343
C&W
Senior
Financing
DAC
7.50%,
10/15/2026
(i)
1,850
1,975
CommScope
Inc
6.00%,
03/01/2026
(i)
250
266
7.13%,
07/01/2028
(i)
455
485
CommScope
Technologies
LLC
5.00%,
03/15/2027
(i)
95
94
Gogo
Intermediate
Holdings
LLC
/
Gogo
Finance
Co
Inc
9.88%,
05/01/2024
(i)
1,064
1,106
Intrado
Corp
8.50%,
10/15/2025
(i)
1,912
1,693
Kenbourne
Invest
SA
6.88%,
11/26/2024
(i)
355
369
Level
3
Financing
Inc
4.63%,
09/15/2027
(i)
55
58
Millicom
International
Cellular
SA
5.13%,
01/15/2028
(i)
200
209
MTN
Mauritius
Investments
Ltd
5.37%,
02/13/2022
2,410
2,481
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
Sprint
Capital
Corp
6.88%,
11/15/2028
$
40
$
51
T-Mobile
USA
Inc
4.50%,
02/01/2026
65
67
$
9,197
Transportation
-
0.02%
FedEx
Corp
4.05%,
02/15/2048
5
6
4.10%,
02/01/2045
55
62
5.25%,
05/15/2050
75
100
$
168
Trucking
&
Leasing
-
0.02%
Aviation
Capital
Group
LLC
5.50%,
12/15/2024
(i)
175
180
TOTAL
BONDS
$
310,230
CONVERTIBLE
BONDS
-
0.38%
Principal
Amount
(000's)
Value
(000's)
Biotechnology
-
0.10%
BioMarin
Pharmaceutical
Inc
0.60%,
08/01/2024
$
315
$
336
1.25%,
05/15/2027
(i)
475
471
$
807
Commercial
Services
-
0.01%
Chegg
Inc
0.00%,
09/01/2026
(d),(i)
60
61
Media
-
0.26%
DISH
Network
Corp
2.38%,
03/15/2024
555
522
3.38%,
08/15/2026
1,573
1,551
$
2,073
Oil
&
Gas
-
0.00%
Chesapeake
Energy
Corp
0.00%,
09/15/2026
(d)
190
8
Telecommunications
-
0.00%
CalAmp
Corp
2.00%,
08/01/2025
45
37
Trucking
&
Leasing
-
0.01%
Greenbrier
Cos
Inc/The
2.88%,
02/01/2024
80
73
TOTAL
CONVERTIBLE
BONDS
$
3,059
SENIOR
FLOATING
RATE
INTERESTS
-
0.91%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.08%
Clear
Channel
Outdoor
Holdings
Inc
3.76%,
08/07/2026
(q)
$
720
$
653
1
Month
USD
LIBOR
+
3.50%
Airlines
-
0.04%
JetBlue
Airways
Corp
6.24%,
06/12/2024
(q)
12
12
1
Month
USD
LIBOR
+
5.25%
Mileage
Plus
Holdings
LLC
6.25%,
06/25/2027
(q)
318
321
1
Month
USD
LIBOR
+
5.25%
$
333
Automobile
Parts
&
Equipment
-
0.15%
American
Axle
&
Manufacturing
Inc
3.00%,
03/08/2024
(q)
403
391
3
Month
USD
LIBOR
+
2.25%
GC
EOS
Buyer
Inc
5.58%,
06/27/2025
(q)
975
835
3
Month
USD
LIBOR
+
4.50%
$
1,226
Commercial
Services
-
0.06%
Employbridge
LLC
5.50%,
04/18/2025
(q)
125
112
3
Month
USD
LIBOR
+
4.50%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
155
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Services
(continued)
Kingpin
Intermediate
Holdings
LLC
4.50%,
07/03/2024
(q)
$
401
$
330
3
Month
USD
LIBOR
+
3.50%
$
442
Computers
-
0.05%
Electronics
For
Imaging
Inc
5.18%,
07/02/2026
(q)
372
294
3
Month
USD
LIBOR
+
5.00%
Genuine
Financial
Holdings
LLC
3.90%,
06/27/2025
(q)
110
100
3
Month
USD
LIBOR
+
3.75%
Redstone
Buyer
LLC
0.00%,
06/29/2027
(q),(r)
31
31
1
Month
USD
LIBOR
+
5.00%
$
425
Diversified
Financial
Services
-
0.03%
4L
Technologies
8.50%,
02/05/2024
(q)
199
173
1
Month
USD
LIBOR
+
7.50%
Hudson
River
Trading
LLC
0.00%,
02/18/2027
(q),(r)
50
49
1
Month
USD
LIBOR
+
3.00%
$
222
Electric
-
0.01%
PG&E
Corp
5.50%,
06/18/2025
(q)
57
56
1
Month
USD
LIBOR
+
4.50%
Electronics
-
0.00%
Tech
Data
Corp
3.63%,
06/26/2025
(q)
37
37
1
Month
USD
LIBOR
+
3.50%
Engineering
&
Construction
-
0.01%
Tutor
Perini
Corp
0.00%,
08/13/2027
(q),(r)
44
43
Entertainment
-
0.12%
Deluxe
Entertainment
Services
Group
Inc
6.00%,
PIK
1.50%,
03/25/2024
(f),(g),(o),(q)
382
3
50
1
Month
USD
LIBOR
+
6.50%
7.00%,
PIK
2.50%,
09/25/2024
(f),(g),(o),(q)
801
240
1
Month
USD
LIBOR
+
8.50%
$
590
Healthcare
-
Services
-
0.04%
Air
Methods
Corp
4.50%,
04/12/2024
(q)
374
328
3
Month
USD
LIBOR
+
3.50%
Household
Products
&
Wares
-
0.03%
Acuity
Specialty
Products
Inc
5.07%,
08/09/2024
(q)
236
217
3
Month
USD
LIBOR
+
4.00%
Insurance
-
0.03%
Sedgwick
Claims
Management
Services
Inc
5.25%,
09/03/2026
(q)
225
224
1
Month
USD
LIBOR
+
4.25%
Internet
-
0.02%
Airbnb
Inc
8.50%,
04/14/2025
(q)
169
178
1
Month
USD
LIBOR
+
7.50%
Go
Daddy
Operating
Co
LLC
0.00%,
08/07/2027
(q),(r)
14
14
1
Month
USD
LIBOR
+
2.50%
$
192
Leisure
Products
&
Services
-
0.01%
Carnival
Corp
8.50%,
06/26/2025
(q)
40
39
1
Month
USD
LIBOR
+
7.50%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Machinery
-
Diversified
-
0.01%
Vertical
US
Newco
0.00%,
06/30/2027
(q),(r)
$
60
$
59
Media
-
0.09%
Meredith
Corp
0.00%,
07/23/2027
(q),(r)
92
92
NEP
Group
Inc
3.41%,
10/20/2025
(q)
346
290
3
Month
USD
LIBOR
+
3.25%
UPC
Financing
Partners
0.00%,
01/20/2029
(q),(r)
40
39
0.00%,
01/20/2029
(q),(r)
40
39
Ziggo
BV
3.00%,
01/17/2029
(q)
EUR
235
275
3
Month
Euro
Interbank
Offered
Rate
+
3.00%
$
735
Oil
&
Gas
-
0.01%
California
Resources
Corp
0.00%,
11/14/2022
(d),(q)
$
184
67
1
Month
USD
LIBOR
+
4.75%
Gavilan
Resources
LLC
0.00%,
03/01/2024
(d),(q)
680
3
3
Month
USD
LIBOR
+
6.00%
$
70
Oil
&
Gas
Services
-
0.01%
ChampionX
Holding
Inc
5.99%,
05/28/2027
(q)
14
14
1
Month
USD
LIBOR
+
5.00%
Lealand
Finance
Co
BV
3.15%,
06/28/2024
(q)
44
39
1
Month
USD
LIBOR
+
3.00%
$
53
Packaging
&
Containers
-
0.01%
Graham
Packaging
Co
Inc
4.50%,
08/06/2027
(q)
50
50
1
Month
USD
LIBOR
+
3.75%
Pharmaceuticals
-
0.01%
Milano
Acquisition
0.00%,
08/17/2027
(q),(r)
106
10
4
Real
Estate
-
0.00%
Toys
R
Us
Property
Co
I
LLC
0.00%,
PIK
12.50%,
02/04/2024
(d),(o),(q)
7
7
Software
-
0.03%
GlobalLogic
Holdings
Inc
0.00%,
08/23/2027
(q),(r)
82
81
1
Month
USD
LIBOR
+
3.75%
Mitchell
International
Inc
4.75%,
12/01/2024
(q)
90
88
1
Month
USD
LIBOR
+
4.25%
Riverbed
Technology
Inc
4.25%,
04/24/2022
(q)
66
58
3
Month
USD
LIBOR
+
3.25%
Ultimate
Software
Group
Inc/The
4.75%,
05/04/2026
(q)
45
45
1
Month
USD
LIBOR
+
4.00%
$
272
Telecommunications
-
0.06%
GTT
Communications
Inc
2.91%,
05/31/2025
(q)
368
290
3
Month
USD
LIBOR
+
2.75%
LogMeIn
Inc
0.00%,
08/14/2027
(q),(r)
230
224
1
Month
USD
LIBOR
+
4.75%
$
514
TOTAL
SENIOR
FLOATING
RATE
INTERESTS
$
6,891
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
156
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
56.1
8
%
Principal
Amount
(000's)
Value
(000's)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
2.62%
2.00%,
10/01/2050
(s)
$
5,314
$
5,468
3.00%,
07/01/2050
(n)
14,531
15,529
$
20,997
U.S.
Treasury
-
50.4
4
%
0.13%,
06/30/2022
(n)
2,773
2,772
0.25%,
06/15/2023
(n)
17,829
17,882
0.63%,
03/31/2027
(n)
15,384
15,564
0.63%,
08/15/2030
(n)
4,928
4,895
1.13%,
02/28/2022
7,000
7,102
1.25%,
10/31/2021
(n)
20,120
20,370
1.38%,
08/31/2026
(n)
32,741
34,667
1.63%,
10/31/2026
(n)
18,321
19,686
1.63%,
11/30/2026
(n)
28,604
30,750
1.88%,
03/31/2022
(n)
18,234
18,732
2.13%,
05/15/2022
(n)
23,265
24,047
2.13%,
11/30/2024
(n)
48,717
52,633
2.25%,
03/31/2021
(n)
13,602
13,764
2.50%,
01/15/2022
(n)
26,693
27,550
2.50%,
02/15/2022
(n)
18,234
18,857
2.50%,
03/31/2023
(n)
20,137
21,361
2.63%,
06/30/2023
(n)
17,799
19,044
2.63%,
12/31/2023
(n)
36,039
38,974
3.00%,
02/15/2047
(n)
7,172
9,688
3.75%,
11/15/2043
(n)
3,940
5,839
$
404,177
U.S.
Treasury
Bill
-
1.29%
0.10%,
11/27/2020
(t),(u)
1,285
1,285
0.12%,
06/17/2021
(t)
2,640
2,637
0.13%,
07/15/2021
(t)
1,320
1,318
0.14%,
10/13/2020
(t)
1,900
1,900
0.14%,
11/19/2020
(t)
1,275
1,275
1.50%,
11/05/2020
(t)
1,895
1,895
$
10,310
U.S.
Treasury
Inflation-Indexed
Obligations
-
1.83%
0.13%,
10/15/2024
(n)
1,391
1,489
0.13%,
04/15/2025
(n)
7,610
8,184
0.50%,
04/15/2024
(n)
4,709
5,043
$
14,716
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
450,200
REPURCHASE
AGREEMENTS
-
34.63%
Maturity
Amount
(000's)
Value
(000's)
Banks
-
34.63%
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.00%
traded
03/18/2020
(collateralized
by
Turkey
Government
International
Bond;
$668,626;
11.88%;
dated
01/15/30)
(d),(v)
$
631
$
631
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.01%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$11,076,483;
0.25%;
dated
07/31/25)
11,067
11,067
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
(0.01)%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/
Bond;
$23,376,898;
0.38%;
dated
07/31/27)
23,325
23,325
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$26,862,939;
2.25%;
dated
02/15/37)
26,844
26,844
REPURCHASE
AGREEMENTS
(continued)
Maturity
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Inflation
Indexed
Bonds;
$3,301,905;
0.25%;
dated
07/15/29)
$
3,300
$
3,300
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$40,104,946;
1.75%;
dated
12/31/24)
40,111
40,111
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$34,017,408;
1.38%;
dated
02/15/23)
34,026
34,026
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$20,987,236;
1.13%;
dated
02/28/22)
20,996
20,996
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$23,349,119;
0.50%;
dated
03/31/25)
23,346
23,346
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$13,848,553;
0.13%;
dated
05/15/23)
13,851
13,851
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$38,096,157;
0.25%;
dated
05/31/25)
38,069
38,069
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$36,153,291;
0.13%;
dated
07/15/23)
36,170
36,170
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
(0.08)%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/
Bond;
$3,015,607;
1.25%;
dated
05/15/50)
2,968
2,969
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
(0.30)%
traded
03/18/2020
(collateralized
by
Republic
of
South
Africa
Government
International
Bond;
$3,150,070;
4.85%;
dated
09/27/27)
(v)
2,952
2,95
6
$
277,66
1
TOTAL
REPURCHASE
AGREEMENTS
$
277,66
1
TOTAL
PURCHASED
OPTIONS
-
0.18%
$
1,463
TOTAL
PURCHASED
INTEREST
RATE
SWAPTIONS
-
0.02%
$
128
Total
Investments
$
1,487,481
Other
Assets
and
Liabilities
- (85.60)%
(686,058)
TOTAL
NET
ASSETS
-
100.00%
$
801,
423
(a)
Current
yield
shown
is
as
of
period
end.
(b)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
157
(e)
Security
or
a
portion
of
the
security
was
pledged
as
collateral
for
short
sales.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$102,729
or
12.81%
of
net
assets.
(f)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(g)
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
$6,138
or
0.77%
of
net
assets.
(h)
Restricted
Security.
Please
see
Restricted
Security
sub-schedule
for
additional
information.
(i)
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
$159,276
or
19.87%
of
net
assets.
(j)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(k)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(l)
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.
(m)
Security
is
an
Interest
Only
Strip.
(n)
Security
or
portion
of
the
security
was
pledged
as
collateral
for
reverse
repurchase
agreements.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$414,047
or
51.66%
of
net
assets.
(o)
Payment
in
kind;
the
issuer
has
the
option
of
paying
additional
securities
in
lieu
of
cash.
(p)
Security
purchased
on
a
when-issued
basis.
(q)
Rate
information
disclosed
is
based
on
an
average
weighted
rate
of
the
underlying
tranches
as
of
period
end.
(r)
This
Senior
Floating
Rate
Note
will
settle
after
August
31,
2020,
at
which
time
the
interest
rate
will
be
determined.
(s)
Security
was
purchased
in
a
"to-be-announced"
("TBA")
transaction. See
Notes
to
Financial
Statements
for
additional
information.
(t)
Rate
shown
is
the
discount
rate
of
the
original
purchase.
(u)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
futures
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$440
or
0.05%
of
net
assets.
(v)
Although
the
maturity
date
of
the
repurchase
agreement
is
open-ended
through
the
maturity
date
of
the
collateral,
the
Fund
has
a
right
to
terminate
the
repurchase
agreement
and
demand
repayment
from
the
counterparty
at
any
time
with
two
days'
notice
or
less.
During
periods
of
high
demand
for
the
collateral
security,
the
fund
may
also
pay
the
counterparty
a
fee.
Portfolio
Summary (unaudited)
Sector
Percent
Government
63.32%
Financial
43.23%
Money
Market
Funds
12.14%
Consumer,
Non-cyclical
11.27%
Mortgage
Securities
9.91%
Communications
7.50%
Consumer,
Cyclical
7.44%
Industrial
7.16%
Asset
Backed
Securities
6.86%
Technology
6.85%
Energy
4.17%
Basic
Materials
3.31%
Utilities
2.08%
Purchased
Options
0.18%
Investment
Companies
0.10%
Diversified
0.03%
Purchased
Interest
Rate
Swaptions
0.02%
Investments
Sold
Short
(53.
30
)%
Other
Assets
and
Liabilities
(32.
30
)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
151,384
$
1,072,757
$
1,135,105
$
89,036
$
151,384
$
1,072,757
$
1,135,105
$
89,036
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
1,047
$
—
$
—
$
—
$
1,047
$
—
$
—
$
—
Amounts
in
thousands.
Restricted
Securities
Security
Name
Acquisition
Date
Cost
Value
Percent
of
Net
Assets
Airbnb
Inc
-
Series
E
0.00%
06/24/2015
$
157
$
137
0.02%
DraftKings
Pipe
12/04/2014-08/14/2020
79
597
0.08%
Element
Comm
Aviation
06/15/2015
2,800
315
0.04%
Forward
Venture
Services
LLC
0.00%
11/20/2014
102
299
0.04%
Jand
Inc
04/23/2015
19
38
0.00%
Jand
Inc
0.00%
04/23/2015
43
86
0.01%
Marklogic
Corp
0.00%
04/27/2015
172
129
0.02%
Veracode
Inc
0.00%
04/18/2017
2
4
3
0.00%
WE
Company
Common
Class
A
12/08/2014
6
2
0.00%
WE
Company
Preferred
D-1
0.00%
12/08/2014
81
38
0.01%
WE
Company
Preferred
D-2
0.00%
12/08/2014
64
30
0.00%
Total
$
1,674
0.22%
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
158
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
SPDR
Gold
Shares
ETP
N/A
22
$
2
$
200.00
01/24/2022
$
28
$
31
$
3
Call
-
Bayer
AG
N/A
228
EUR
23
EUR
60.00
10/19/2020
49
36
(13)
Call
-
Coca-Cola
Co/The
N/A
127
$
13
$
47.50
12/21/2020
35
44
9
Call
-
SPDR
S&P
Oil
&
Gas
Exploration
&
Production
ETF
N/A
69
7
$
60.00
01/18/2021
35
20
(15)
Put
-
iShares
Russell
2000
ETF
N/A
62
6
$
137.00
12/21/2020
29
30
1
Put
-
iShares
Russell
2000
ETF
N/A
62
6
$
145.00
12/21/2020
40
43
3
Put
-
MAXIS
Nikkei
225
Index
N/A
10
JPY
10
JPY
22,500.00
09/14/2020
49
11
(38)
Put
-
S&P
500
Index
N/A
48
$
5
$
3,100.00
12/21/2020
385
426
41
Put
-
S&P
500
Index
N/A
17
2
$
3,150.00
03/22/2021
277
259
(18)
Put
-
S&P
500
Index
N/A
48
5
$
2,950.00
09/21/2020
411
21
(390)
Put
-
SPDR
S&P
500
ETF
Trust
N/A
21
2
$
296.00
12/21/2020
16
15
(1)
Put
-
SPDR
S&P
500
ETF
Trust
N/A
21
2
$
313.00
12/21/2020
23
20
(3)
Call
-
EUR
versus
USD
Goldman
Sachs
&
Co
1
EUR
2,775
EUR
1.18
09/10/2020
27
43
16
Call
-
USD
versus
IDR
Standard
Chartered
Bank,
Hong
Kong
1
$
1,158
$
15,500.00
11/04/2020
14
6
(8)
Call
-
USD
versus
KRW
Goldman
Sachs
&
Co
1
1,665
$
1,250.00
12/18/2020
19
8
(11)
Call
-
USD
versus
KRW
Goldman
Sachs
&
Co
1
1,388
$
1,260.00
12/08/2020
15
5
(10)
Call
-
USD
versus
THB
Standard
Chartered
Bank,
Hong
Kong
1
3,474
$
32.15
11/17/2020
22
8
(14)
Call
-
USD
versus
THB
Standard
Chartered
Bank,
Hong
Kong
1
4,163
$
31.50
10/16/2020
34
16
(18)
Put
-
EUR
versus
JPY
Goldman
Sachs
&
Co
1
EUR
2,775
EUR
124.00
10/30/2020
21
20
(1)
Put
-
USD
versus
BRL
Morgan
Stanley
&
Co
1
$
1,981
$
5.15
10/16/2020
57
16
(41)
Put
-
USD
versus
BRL
Goldman
Sachs
&
Co
1
1,698
$
5.15
10/16/2020
45
13
(32)
Put
-
USD
versus
BRL
BNP
Paribas
1
3,962
$
4.82
10/16/2020
117
5
(112)
Put
-
USD
versus
CLP
Deutsche
Bank
AG
1
4,170
$
795.00
10/02/2020
108
124
16
Put
-
USD
versus
CNH
Goldman
Sachs
&
Co
1
4,290
$
6.89
12/14/2020
32
53
21
Put
-
USD
versus
CNH
JPMorgan
Chase
1
2,027
$
6.90
01/06/2021
14
28
14
Put
-
USD
versus
MXN
Goldman
Sachs
&
Co
1
463
$
21.50
12/24/2020
9
8
(1)
Put
-
USD
versus
MXN
Goldman
Sachs
&
Co
1
2,316
$
21.50
12/24/2020
42
39
(3)
Put
-
USD
versus
THB
JPMorgan
Chase
1
2,895
$
30.75
09/15/2020
5
2
(3)
Put
-
USD
versus
THB
Bank
of
America
NA
1
2,775
$
30.75
09/15/2020
5
2
(3)
Call
-
US
10
Year
Note
Future;
December
2020
N/A
342
342
$
140.50
09/28/2020
131
21
(110)
Call
-
US
10
Year
Note
Future;
December
2020
N/A
29
29
$
140.00
09/28/2020
4
4
—
Call
-
US
10
Year
Note
Future;
December
2020
N/A
116
116
$
142.00
09/28/2020
20
2
(18)
Put
-
90
Day
Eurodollar
Future;
December
2022
N/A
279
698
$
99.63
12/14/2020
41
28
(13)
Put
-
90
Day
Eurodollar
Future;
September
2021
N/A
155
388
$
99.75
09/14/2020
8
1
(7)
Put
-
90
Day
Eurodollar
Future;
September
2022
N/A
55
138
$
99.63
09/14/2020
7
—
(7)
Put
-
US
10
Year
Note
Future;
December
2020
N/A
58
58
$
140.00
09/28/2020
38
52
14
Put
-
US
5
Year
Note
Future;
December
2020
N/A
135
135
$
125.25
09/28/2020
9
3
(6)
Put
-
US
5
Year
Note
Future;
December
2020
N/A
7
7
$
123.00
11/23/2020
—
—
—
Total
$
2,221
$
1,463
$
(758)
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
Allstate
Corp/The
N/A
1
$
—
$
100.00
10/19/2020
$
—
$
—
$
—
Call
-
Altria
Group
Inc
N/A
1
—
$
45.00
10/19/2020
—
—
—
Call
-
Applied
Materials
Inc
N/A
2
—
$
70.00
10/19/2020
—
—
—
Call
-
AT&T
Inc
N/A
3
—
$
31.00
10/19/2020
—
—
—
Call
-
Bayer
AG
N/A
228
EUR
23
EUR
65.00
10/19/2020
(17)
(15)
2
Call
-
Best
Buy
Co
Inc
N/A
1
$
—
$
130.00
10/19/2020
—
—
—
Call
-
Bristol-Myers
Squibb
Co
N/A
2
—
$
65.00
10/19/2020
—
—
—
Call
-
Chevron
Corp
N/A
1
—
$
97.50
10/19/2020
—
—
—
Call
-
Citigroup
Inc
N/A
1
—
$
55.00
10/19/2020
—
—
—
Call
-
Coca-Cola
Co/The
N/A
127
13
$
57.50
12/21/2020
(4)
(4)
—
Call
-
Comcast
Corp
N/A
3
—
$
45.00
10/19/2020
(1)
(1)
—
Call
-
CSX
Corp
N/A
1
—
$
77.50
10/19/2020
—
—
—
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
159
Options
(continued)
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
DR
Horton
Inc
N/A
1
$
—
$
82.50
10/19/2020
$
—
$
—
$
—
Call
-
eBay
Inc
N/A
2
—
$
65.00
10/19/2020
—
—
—
Call
-
Enterprise
Products
Partners
LP
N/A
6
1
$
20.00
10/19/2020
—
—
—
Call
-
HP
Inc
N/A
4
—
$
20.00
10/19/2020
—
—
—
Call
-
Kroger
Co/The
N/A
3
—
$
39.00
10/19/2020
—
—
—
Call
-
Merck
&
Co
Inc
N/A
1
—
$
90.00
10/19/2020
—
—
—
Call
-
MetLife
Inc
N/A
2
—
$
42.50
10/19/2020
—
—
—
Call
-
Newmont
Corp
N/A
1
—
$
75.00
10/19/2020
—
—
—
Call
-
Nexstar
Media
Group
Inc
N/A
1
—
$
105.00
10/19/2020
—
—
—
Call
-
NortonLifeLock
Inc
N/A
4
—
$
25.00
10/19/2020
—
—
—
Call
-
Oracle
Corp
N/A
1
—
$
60.00
10/19/2020
—
—
—
Call
-
Philip
Morris
International
Inc
N/A
1
—
$
82.50
10/19/2020
—
—
—
Call
-
Procter
&
Gamble
Co/The
N/A
1
—
$
145.00
10/19/2020
—
—
—
Call
-
Progressive
Corp/The
N/A
1
—
$
95.00
10/19/2020
(1)
(1)
—
Call
-
PulteGroup
Inc
N/A
2
—
$
50.00
10/19/2020
—
—
—
Call
-
QUALCOMM
Inc
N/A
1
—
$
125.00
10/19/2020
(1)
(1)
—
Call
-
Truist
Financial
Corp
N/A
2
—
$
42.50
10/19/2020
—
—
—
Call
-
Williams
Cos
Inc/The
N/A
3
—
$
23.00
10/19/2020
—
—
—
Put
-
Coca-Cola
Co/The
N/A
127
13
$
37.50
12/21/2020
(10)
(4)
6
Put
-
S&P
500
Index
N/A
17
2
$
2,875.00
03/22/2021
(178)
(171)
7
Put
-
S&P
500
Index
N/A
48
5
$
2,775.00
12/21/2020
(191)
(221)
(30)
Call
-
EUR
versus
HUF
JPMorgan
Chase
1
EUR
1,415
EUR
360.00
10/29/2020
(13)
(12)
1
Call
-
EUR
versus
USD
Goldman
Sachs
&
Co
1
1,388
EUR
1.22
11/11/2020
(9)
(11)
(2)
Call
-
USD
versus
CLP
Deutsche
Bank
AG
1
$
1,430
$
815.00
10/02/2020
(16)
(5)
11
Call
-
USD
versus
CNH
Goldman
Sachs
&
Co
1
1,737
$
7.16
01/06/2021
(22)
(9)
13
Call
-
USD
versus
COP
Citigroup
Inc
1
1,430
$
4,000.00
12/16/2020
(26)
(18)
8
Call
-
USD
versus
MXN
Goldman
Sachs
&
Co
1
1,448
$
23.00
12/24/2020
(41)
(30)
11
Call
-
USD
versus
THB
Standard
Chartered
Bank,
Hong
Kong
1
4,163
$
32.50
10/16/2020
(11)
(2)
9
Call
-
USD
versus
THB
Standard
Chartered
Bank,
Hong
Kong
1
3,474
$
33.00
11/17/2020
(10)
(3)
7
Put
-
USD
versus
CLP
Goldman
Sachs
&
Co
1
3,892
$
755.00
10/02/2020
(13)
(15)
(2)
Put
-
USD
versus
INR
BNP
Paribas
1
1,687
$
73.50
12/16/2020
(18)
(17)
1
Put
-
USD
versus
INR
JPMorgan
Chase
1
1,019
$
73.50
12/16/2020
(8)
(10)
(2)
Call
-
90
Day
Eurodollar
Future;
September
2023
N/A
55
138
$
99.63
09/14/2020
(12)
(8)
4
Put
-
90
Day
Eurodollar
Future;
December
2022
N/A
279
698
$
99.38
12/14/2020
(16)
(7)
9
Put
-
90
Day
Eurodollar
Future;
September
2021
N/A
100
250
$
99.63
09/14/2020
(2)
(1)
1
Put
-
US
10
Year
Note
Future;
December
2020
N/A
116
116
$
138.00
09/28/2020
(18)
(13)
5
Put
-
US
5
Year
Note
Future;
December
2020
N/A
21
21
$
116.00
11/23/2020
—
—
—
Total
$
(638)
$
(579)
$
59
Amounts
in
thousands
except
contracts/shares.
Interest
Rate
Swaptions
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
ZAR
27,750
7.59%
11/12/2020
$
47
$
71
$
24
Call
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Pay
PLN
9,435
0.82%
11/05/2020
20
13
(7)
Call
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
ZAR
48,724
5.50%
11/10/2020
23
39
16
Put
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Pay
PLN
9,435
0.88%
11/11/2020
21
5
(16)
Total
$
111
$
128
$
17
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
160
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
ZAR
27,750
6.75%
11/12/2020
$
(12)
$
(17)
$
(5)
Put
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Receive
PLN
9,435
1.43%
11/11/2020
(8)
—
8
Put
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Receive
9,435
1.37%
11/05/2020
(7)
—
7
Total
$
(27)
$
(17)
$
10
Amounts
in
thousands.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
1
Month
SOFR;
December
2020
Long
69
$
28,729
$
2
1
Month
SOFR;
January
2021
Short
69
28,731
(2)
30
Day
Federal
Funds;
September
2020
Long
166
69,115
(8)
90
Day
Eurodollar;
December
2021
Long
299
74,586
7
90
Day
Eurodollar;
December
2021
Long
100
24,945
6
90
Day
Eurodollar;
December
2022
Short
100
24,935
(10)
90
Day
Eurodollar;
September
2020
Short
277
69,089
(33)
90
Day
Eurodollar;
September
2021
Long
342
85,333
13
90
Day
Eurodollar;
September
2022
Short
342
85,308
(54)
90
Day
Eurodollar;
September
2023
Short
2
498
(4)
90
Day
Short
Sterling;
December
2021
Long
227
37,923
11
Australia
10
Year
Bond;
September
2020
Long
32
3,480
(24)
Brent
Crude;
November
2020
(a)
Short
11
498
1
CAC40
Index;
September
2020
Long
29
1,710
(7)
Canada
10
Year
Bond;
December
2020
Long
109
12,613
(49)
Cocoa;
December
2020
(a)
Short
13
306
(13)
Coffee
'C';
December
2020
(a)
Short
3
145
(15)
Corn;
December
2020
(a)
Short
74
1,324
(64)
Cotton
No.2;
December
2020
(a)
Long
14
456
9
DAX
Index;
September
2020
Long
9
3,471
58
DJ
Euro
Stoxx
50;
September
2020
Short
46
1,792
(75)
DJ
Euro
Stoxx
50;
September
2020
Long
79
3,078
3
DJ
Euro
Stoxx
50;
September
2020
Short
267
10,403
(664)
Dollar
Index;
September
2020
Short
14
1,290
48
E-Mini
DJIA
Index;
September
2020
Long
33
4,689
239
eMini
MSCI
Emerging
Markets;
September
2020
Short
17
935
(113)
Euribor;
December
2021
Long
24
7,194
(1)
Euro
Bond
10
Year
Bond;
September
2020
Short
3
629
—
Euro
Schatz;
September
2020
Long
111
14,838
(8)
Euro-Bobl
5
Year;
September
2020
Long
19
3,053
(5)
FTSE
China
A50
Index;
September
2020
Short
6
93
—
FTSE100
Index;
September
2020
Short
45
3,586
(11)
Gasoline
RBOB;
October
2020
(a)
Long
14
714
8
Gold
100
oz;
December
2020
(a)
Long
11
2,176
(8)
Hang
Seng
Index;
September
2020
Short
12
1,941
27
Hang
Seng
Index;
September
2020
Long
10
1,618
(18)
HSCEI
China
Index;
September
2020
Short
27
1,739
52
Japan
10
Year
Bond
TSE;
September
2020
Short
10
14,312
39
Japan
Topix
Index;
September
2020
Short
20
3,052
8
Japan
Topix
Index;
September
2020
Long
15
2,289
50
KC
HRW
Wheat;
December
2020
(a)
Short
29
689
(70)
LME
Copper;
December
2020
(a)
Long
20
3,333
97
LME
Copper;
September
2020
(a)
Short
—
—
(156)
LME
PRI
Alum;
December
2020
(a)
Long
19
857
(2)
LME
PRI
Alum;
September
2020
(a)
Short
—
—
(123)
LME
Zinc;
December
2020
(a)
Long
14
882
69
LME
Zinc;
September
2020
(a)
Short
—
—
(87)
Low
Sulphur
Gasoline;
October
2020
(a)
Short
21
773
30
Mini
Japan
10
Year
Bond;
September
2020
Short
12
1,717
4
Nasdaq
100
E-Mini;
September
2020
Long
12
2,907
248
Natural
Gas;
October
2020
(a)
Short
44
1,157
(132)
Nikkei
225
OSE;
September
2020
Short
13
2,843
(57)
Nikkei
225
OSE;
September
2020
Long
18
3,936
79
NY
Harb
ULSD;
October
2020
(a)
Short
16
818
36
Russell
2000
Emini;
September
2020
Short
205
16,003
(1,394)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
161
Futures
Contracts
(continued)
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
Russell
2000
Emini;
September
2020
Long
30
$
2,342
$
71
S&P
500
Emini;
September
2020
Short
46
8,048
(1,063)
S&P
500
Emini;
September
2020
Short
9
1,575
(82)
S&P
500
Emini;
September
2020
Long
30
5,248
429
S&P
Mid
400
Emini;
September
2020
Short
21
4,044
(393)
S&P/TSX
60
Index;
September
2020
Short
10
1,516
(114)
Silver;
December
2020
(a)
Long
9
1,287
72
Soybean
Meal;
December
2020
(a)
Short
18
563
(30)
Soybean
Oil;
December
2020
(a)
Long
12
237
2
Soybean;
November
2020
(a)
Short
33
1,573
(129)
SPI
200
Index;
September
2020
Short
2
222
(8)
Sugar
#11;
March
2021
(a)
Long
36
535
—
UK
10
Year
Gilt;
December
2020
Long
35
6,317
(34)
US
10
Year
Note;
December
2020
Short
73
10,165
(25)
US
10
Year
Note;
December
2020
Long
97
13,507
3
US
10
Year
Note;
December
2020
Short
22
3,064
(3)
US
10
Year
Ultra
Note;
September
2020
Short
87
13,686
45
US
2
Year
Note;
December
2020
Short
102
22,536
(1)
US
2
Year
Note;
December
2020
Long
177
39,107
14
US
2
Year
Note;
September
2020
Short
121
26,723
(2)
US
5
Year
Note;
December
2020
Short
41
5,167
(5)
US
5
Year
Note;
December
2020
Long
216
27,223
29
US
Long
Bond;
December
2020
Short
89
15,639
(23)
US
Long
Bond;
December
2020
Long
6
1,054
4
US
Long
Bond;
December
2020
Long
19
3,339
(25)
US
Ultra
Bond;
December
2020
Short
40
8,836
(101)
US
Ultra
Bond;
December
2020
Short
18
3,976
—
Wheat;
December
2020
(a)
Short
30
828
(75)
WTI
Crude;
October
2020
(a)
Short
18
767
(7)
Total
$
(3,514)
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
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
Bank
of
America
NA
09/01/2020
$
340
EUR
286
$
—
$
(1)
Bank
of
America
NA
09/01/2020
EUR
972
$
1,158
2
—
Bank
of
America
NA
09/01/2020
$
820
EUR
686
1
—
Bank
of
America
NA
09/01/2020
$
822
HUF
244,475
1
—
Bank
of
America
NA
09/01/2020
HUF
244,475
$
821
—
—
Bank
of
America
NA
09/01/2020
$
840
JPY
88,861
1
—
Bank
of
America
NA
09/01/2020
JPY
88,861
$
833
6
—
Bank
of
America
NA
09/01/2020
$
2
MXN
41
—
—
Bank
of
America
NA
09/01/2020
$
172
MXN
3,738
1
—
Bank
of
America
NA
09/01/2020
MXN
3,779
$
172
1
—
Bank
of
America
NA
09/01/2020
PLN
4
$
1
—
—
Bank
of
America
NA
09/01/2020
PLN
1,254
$
341
—
—
Bank
of
America
NA
09/01/2020
$
342
PLN
1,259
—
—
Bank
of
America
NA
09/02/2020
$
911
EUR
763
—
—
Bank
of
America
NA
09/02/2020
EUR
763
$
911
—
—
Bank
of
America
NA
09/02/2020
$
910
JPY
96,512
—
(1)
Bank
of
America
NA
09/02/2020
JPY
96,493
$
911
—
—
Bank
of
America
NA
09/08/2020
$
2,631
COP
9,953,429
—
(29)
Bank
of
America
NA
09/08/2020
$
278
KRW
332,015
—
(2)
Bank
of
America
NA
09/10/2020
$
429
CLP
341,055
—
(10)
Bank
of
America
NA
09/10/2020
CLP
885,957
$
1,144
—
(4)
Bank
of
America
NA
09/14/2020
AUD
1,110
$
807
12
—
Bank
of
America
NA
09/14/2020
$
2,786
AUD
3,885
—
(79)
Bank
of
America
NA
09/14/2020
GBP
1,665
$
2,185
41
—
Bank
of
America
NA
09/14/2020
$
2,918
GBP
2,220
—
(50)
Bank
of
America
NA
09/14/2020
$
6,390
EUR
5,392
—
(46)
Bank
of
America
NA
09/14/2020
$
1,990
EUR
1,665
3
—
Bank
of
America
NA
09/14/2020
EUR
10,026
$
11,827
140
—
Bank
of
America
NA
09/14/2020
JPY
88,100
$
833
—
(1)
Bank
of
America
NA
09/14/2020
JPY
324,089
$
3,053
8
—
Bank
of
America
NA
09/14/2020
$
1,110
NZD
1,665
—
(11)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
162
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
America
NA
09/14/2020
NZD
1,665
$
1,092
$
29
$
—
Bank
of
America
NA
09/14/2020
$
1,648
NOK
14,564
—
(20)
Bank
of
America
NA
09/14/2020
NOK
14,753
$
1,637
52
—
Bank
of
America
NA
09/14/2020
SEK
5,723
$
662
—
—
Bank
of
America
NA
09/14/2020
$
2,934
SEK
25,677
—
(35)
Bank
of
America
NA
09/14/2020
$
2,220
CHF
2,019
—
(14)
Bank
of
America
NA
09/14/2020
CHF
1,012
$
1,110
10
—
Bank
of
America
NA
09/16/2020
$
463
CNH
3,256
—
(12)
Bank
of
America
NA
09/16/2020
CNH
3,243
$
463
10
—
Bank
of
America
NA
09/16/2020
EUR
3,737
$
4,268
192
—
Bank
of
America
NA
09/16/2020
$
4,317
EUR
3,737
—
(143)
Bank
of
America
NA
09/16/2020
$
312
INR
23,294
—
(5)
Bank
of
America
NA
09/16/2020
INR
47,382
$
623
21
—
Bank
of
America
NA
09/16/2020
JPY
60,511
$
572
—
(1)
Bank
of
America
NA
09/16/2020
$
3,098
JPY
331,447
—
(32)
Bank
of
America
NA
09/16/2020
JPY
364,068
$
3,395
43
—
Bank
of
America
NA
09/16/2020
$
869
JPY
91,360
6
—
Bank
of
America
NA
09/16/2020
$
7,832
THB
246,252
—
(81)
Bank
of
America
NA
09/16/2020
THB
79,039
$
2,553
—
(13)
Bank
of
America
NA
09/16/2020
THB
91,695
$
2,918
28
—
Bank
of
America
NA
09/18/2020
$
8,602
AUD
12,114
—
(332)
Bank
of
America
NA
09/18/2020
AUD
23,663
$
15,617
835
—
Bank
of
America
NA
09/18/2020
$
9,332
GBP
7,376
—
(528)
Bank
of
America
NA
09/18/2020
GBP
13,514
$
15,401
664
—
Bank
of
America
NA
09/18/2020
$
9,381
CAD
13,992
—
(348)
Bank
of
America
NA
09/18/2020
CAD
13,863
$
10,464
166
—
Bank
of
America
NA
09/18/2020
$
10,096
EUR
9,488
—
(230)
Bank
of
America
NA
09/18/2020
EUR
19,205
$
22,077
848
—
Bank
of
America
NA
09/18/2020
$
3,659
JPY
384,183
31
—
Bank
of
America
NA
09/18/2020
JPY
1,483,180
$
13,116
—
(108)
Bank
of
America
NA
09/18/2020
$
30,030
JPY
3,419,581
—
(266)
Bank
of
America
NA
09/18/2020
JPY
2,714,469
$
25,376
261
—
Bank
of
America
NA
09/18/2020
MXN
83
$
4
—
—
Bank
of
America
NA
09/18/2020
$
2,460
MXN
55,574
—
(75)
Bank
of
America
NA
09/18/2020
MXN
111,603
$
5,010
81
—
Bank
of
America
NA
09/18/2020
NZD
11,492
$
7,585
155
—
Bank
of
America
NA
09/18/2020
$
6,767
NZD
10,357
—
(208)
Bank
of
America
NA
09/18/2020
$
1
CHF
1
—
—
Bank
of
America
NA
09/18/2020
CHF
7,458
$
7,931
325
—
Bank
of
America
NA
09/18/2020
$
384
CHF
353
—
(7)
Bank
of
America
NA
09/18/2020
CHF
5
$
6
—
—
Bank
of
America
NA
09/18/2020
JPY
382,110
$
3,576
33
—
Bank
of
America
NA
09/18/2020
NOK
4,995
$
563
9
—
Bank
of
America
NA
09/21/2020
$
1,110
KRW
1,316,516
1
—
Bank
of
America
NA
09/25/2020
INR
308,013
$
4,107
80
—
Bank
of
America
NA
09/25/2020
$
1,731
INR
128,869
—
(21)
Bank
of
America
NA
09/28/2020
$
5,565
EUR
4,687
—
(31)
Bank
of
America
NA
09/28/2020
EUR
1,698
HUF
598,474
18
—
Bank
of
America
NA
09/28/2020
EUR
4,267
$
5,009
86
—
Bank
of
America
NA
09/28/2020
$
343
EUR
288
—
—
Bank
of
America
NA
09/28/2020
HUF
201,458
$
674
2
—
Bank
of
America
NA
09/28/2020
$
2,178
HUF
639,853
29
—
Bank
of
America
NA
09/28/2020
HUF
1,529,868
$
5,233
—
(96)
Bank
of
America
NA
09/28/2020
$
2,832
HUF
850,377
—
(24
)
Bank
of
America
NA
09/28/2020
$
1,388
KRW
1,646,654
1
—
Bank
of
America
NA
09/30/2020
EUR
5,630
HUF
2,015,315
—
(4
5
)
Bank
of
America
NA
09/30/2020
$
12
0
HUF
38,692
—
(10
)
Bank
of
America
NA
09/30/2020
HUF
2,054,007
EUR
5,630
176
—
Bank
of
America
NA
09/30/2020
ZAR
63,839
$
3,493
263
—
Bank
of
America
NA
09/30/2020
$
3,493
ZAR
64,307
—
(291)
Bank
of
America
NA
10/02/2020
EUR
1,990
$
2,326
50
—
Bank
of
America
NA
10/02/2020
EUR
1,132
HUF
402,123
1
—
Bank
of
America
NA
10/02/2020
$
543
HUF
161,136
2
—
Bank
of
America
NA
10/02/2020
$
1,783
HUF
546,806
—
(53
)
Bank
of
America
NA
10/05/2020
$
4,917
CLP
3,955,677
—
(172)
Bank
of
America
NA
10/05/2020
CLP
1,592,189
$
2,057
—
(9)
Bank
of
America
NA
10/05/2020
CLP
2,320,533
$
2,861
125
—
Bank
of
America
NA
10/07/2020
$
306
CLP
249,248
—
(15)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
163
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
America
NA
10/07/2020
CLP
245,175
$
305
$
10
$
—
Bank
of
America
NA
10/08/2020
CLP
1,176,600
$
1,413
101
—
Bank
of
America
NA
10/08/2020
$
1,388
CLP
1,176,600
—
(126)
Bank
of
America
NA
10/09/2020
CLP
5,838,253
$
7,248
264
—
Bank
of
America
NA
10/09/2020
$
6,938
CLP
5,838,253
—
(574)
Bank
of
America
NA
10/13/2020
$
5,832
CNH
40,564
—
(72)
Bank
of
America
NA
10/13/2020
$
50
IDR
745,150
—
(1)
Bank
of
America
NA
10/13/2020
IDR
753,250
$
50
2
—
Bank
of
America
NA
10/14/2020
$
1,388
CLP
1,159,118
—
(104)
Bank
of
America
NA
10/14/2020
CLP
1,159,117
$
1,388
103
—
Bank
of
America
NA
10/14/2020
IDR
24,563,412
$
1,498
182
—
Bank
of
America
NA
10/14/2020
$
1,499
IDR
24,494,481
—
(177)
Bank
of
America
NA
10/16/2020
CLP
1,641,626
$
2,042
70
—
Bank
of
America
NA
10/16/2020
$
1,942
CLP
1,641,626
—
(170)
Bank
of
America
NA
10/19/2020
BRL
8,257
$
1,613
—
(108)
Bank
of
America
NA
10/19/2020
$
1,613
BRL
8,203
118
—
Bank
of
America
NA
10/19/2020
CLP
1,182,774
$
1,418
104
—
Bank
of
America
NA
10/19/2020
$
1,387
CLP
1,182,774
—
(135)
Bank
of
America
NA
10/26/2020
$
343
EUR
286
1
—
Bank
of
America
NA
10/26/2020
$
1,151
EUR
984
—
(25)
Bank
of
America
NA
10/26/2020
PLN
5,619
$
1,493
34
—
Bank
of
America
NA
10/27/2020
COP
15,369,266
$
4,053
45
—
Bank
of
America
NA
10/27/2020
$
4,053
COP
14,988,781
57
—
Bank
of
America
NA
10/27/2020
$
98
COP
380,484
—
(3)
Bank
of
America
NA
11/03/2020
$
2,288
MXN
50,528
—
(4)
Bank
of
America
NA
11/03/2020
$
2,860
MXN
62,863
8
—
Bank
of
America
NA
11/03/2020
$
869
ZAR
14,921
—
(6)
Bank
of
America
NA
11/03/2020
ZAR
14,849
$
869
2
—
Bank
of
America
NA
11/04/2020
IDR
8,647,944
$
579
11
—
Bank
of
America
NA
11/04/2020
$
579
IDR
8,658,945
—
(12)
Bank
of
America
NA
11/05/2020
BRL
2,210
$
401
2
—
Bank
of
America
NA
11/05/2020
BRL
7,424
$
1,373
—
(20)
Bank
of
America
NA
11/09/2020
$
286
THB
8,938
—
(1)
Bank
of
America
NA
11/09/2020
$
286
THB
8,889
—
—
Bank
of
America
NA
11/12/2020
CLP
1,143,508
$
1,395
77
—
Bank
of
America
NA
11/12/2020
$
1,388
CLP
1,143,508
—
(84)
Bank
of
America
NA
11/18/2020
THB
83,170
$
2,632
40
—
Bank
of
America
NA
11/18/2020
$
2,632
THB
83,055
—
(36)
Bank
of
America
NA
11/20/2020
$
4,290
CNH
29,901
—
(52)
Bank
of
America
NA
11/23/2020
$
858
TRY
6,511
—
(3)
Bank
of
America
NA
11/25/2020
$
1,424
MXN
31,634
—
(7)
Bank
of
America
NA
12/15/2020
$
1,945
CNH
13,624
—
(30)
Bank
of
America
NA
12/16/2020
EUR
850
$
1,008
8
—
Bank
of
America
NA
12/16/2020
INR
86,976
$
1,158
16
—
Bank
of
America
NA
12/16/2020
IDR
10,638,914
$
715
7
—
Bank
of
America
NA
12/16/2020
JPY
90,276
$
850
4
—
Bank
of
America
NA
12/17/2020
EUR
753
$
890
10
—
Bank
of
America
NA
12/17/2020
JPY
60,724
$
579
—
(5)
Bank
of
America
NA
12/17/2020
JPY
98,604
$
927
6
—
Bank
of
America
NA
12/17/2020
$
579
JPY
61,009
2
—
Bank
of
America
NA
12/28/2020
EUR
829
$
982
10
—
Bank
of
America
NA
12/28/2020
$
982
TRY
7,646
—
(14)
Bank
of
America
NA
01/06/2021
$
1,221
CNH
8,688
—
(37)
Bank
of
America
NA
01/06/2021
INR
67,640
$
890
21
—
Bank
of
America
NA
01/07/2021
$
1,476
CNH
10,482
—
(41)
Bank
of
America
NA
01/07/2021
CNH
4,102
$
580
14
—
Bank
of
America
NA
03/31/2021
EUR
1,408
HUF
503,702
—
(
4
)
Bank
of
America
NA
03/31/2021
$
36
HUF
12,147
—
(
5
)
Bank
of
America
NA
03/31/2021
HUF
515,849
EUR
1,408
44
—
Bank
of
America
NA
04/27/2021
COP
362,422
$
92
3
—
Bank
of
America
NA
04/27/2021
$
4,053
COP
15,551,057
—
(43)
Bank
of
America
NA
04/27/2021
COP
15,188,635
$
4,053
—
(52)
Bank
of
America
NA
06/01/2021
MXN
32,249
$
1,430
—
(3)
Bank
of
America
NA
08/20/2021
CNH
30,388
$
4,290
45
—
Bank
of
America
NA
09/01/2021
MXN
52,371
$
2,288
5
—
Bank
of
America
NA
09/01/2021
MXN
32,556
$
1,430
—
(4)
Bank
of
New
York
Mellon
09/02/2020
$
3,214
EUR
2,850
—
(187)
Bank
of
New
York
Mellon
09/16/2020
$
1,149
GBP
900
—
(54)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
164
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
New
York
Mellon
09/16/2020
GBP
3,400
$
4,316
$
229
$
—
Bank
of
New
York
Mellon
09/16/2020
DKK
2,500
$
384
17
—
Bank
of
New
York
Mellon
09/16/2020
$
578
DKK
3,800
—
(31)
Bank
of
New
York
Mellon
09/16/2020
EUR
6,344
$
7,300
273
—
Bank
of
New
York
Mellon
09/16/2020
$
13,053
EUR
11,425
—
(584)
Bank
of
New
York
Mellon
09/16/2020
$
739
HKD
5,725
—
—
Bank
of
New
York
Mellon
09/16/2020
HKD
2,200
$
284
—
—
Bank
of
New
York
Mellon
09/16/2020
$
179
JPY
19,000
—
—
Bank
of
New
York
Mellon
09/16/2020
JPY
70,000
$
655
6
—
Bank
of
New
York
Mellon
09/16/2020
$
6,946
JPY
745,600
—
(96)
Bank
of
New
York
Mellon
09/16/2020
NOK
2,400
$
266
9
—
Bank
of
New
York
Mellon
09/16/2020
$
518
NOK
4,850
—
(37)
Bank
of
New
York
Mellon
09/16/2020
$
2,449
ZAR
41,032
32
—
Bank
of
New
York
Mellon
09/16/2020
ZAR
22,138
$
1,340
—
(36)
Bank
of
New
York
Mellon
09/16/2020
$
470
ZAR
8,196
—
(13)
Bank
of
New
York
Mellon
09/16/2020
SEK
1,400
$
160
2
—
Bank
of
New
York
Mellon
09/16/2020
$
973
SEK
8,750
—
(39)
Bank
of
New
York
Mellon
09/16/2020
$
790
CHF
750
—
(40)
Bank
of
New
York
Mellon
09/16/2020
CHF
325
$
355
5
—
Bank
of
New
York
Mellon
09/17/2020
$
2,650
EUR
2,350
—
(155)
Bank
of
New
York
Mellon
10/16/2020
$
3,902
GBP
3,100
—
(242)
Barclays
Bank
PLC
09/17/2020
$
1,684
MYR
7,027
—
(6)
Barclays
Bank
PLC
09/17/2020
MYR
7,217
$
1,684
51
—
Barclays
Bank
PLC
10/23/2020
$
281
EUR
245
—
(12)
Barclays
Bank
PLC
11/09/2020
MYR
4,796
$
1,144
13
—
Barclays
Bank
PLC
12/16/2020
MYR
7,042
$
1,684
13
—
BMO
Capital
Markets
09/16/2020
$
1,125
CAD
1,520
—
(40)
BNP
Paribas
09/16/2020
$
4,030
GBP
3,181
—
(222)
Citigroup
Inc
09/18/2020
EUR
571
$
680
1
—
Deutsche
Bank
AG
10/30/2020
$
378
GBP
291
—
(11)
HSBC
Securities
Inc
09/16/2020
$
463
CAD
610
—
(5)
HSBC
Securities
Inc
09/18/2020
BRL
18,250
$
3,344
—
(14)
HSBC
Securities
Inc
09/18/2020
$
2,707
MXN
60,650
—
(60)
HSBC
Securities
Inc
09/18/2020
$
6,080
RUB
447,200
63
—
HSBC
Securities
Inc
09/18/2020
RUB
196,000
$
2,653
—
(16)
HSBC
Securities
Inc
09/18/2020
$
1,916
RUB
143,800
—
(19)
HSBC
Securities
Inc
09/18/2020
RUB
250,000
$
3,352
12
—
HSBC
Securities
Inc
11/13/2020
$
83
EUR
70
—
(1)
JPMorgan
Chase
09/16/2020
$
7,081
EUR
6,276
—
(410)
JPMorgan
Chase
09/18/2020
BRL
11,200
$
2,011
32
—
JPMorgan
Chase
09/18/2020
$
3,227
BRL
18,250
—
(103)
JPMorgan
Chase
09/18/2020
CNH
36,950
$
5,310
7
6
—
JPMorgan
Chase
09/18/2020
CZK
30,700
$
1,377
18
—
JPMorgan
Chase
09/18/2020
$
7,415
EUR
6,274
—
(75)
JPMorgan
Chase
09/18/2020
EUR
1,835
$
2,191
—
(1)
JPMorgan
Chase
09/18/2020
MXN
72,500
$
3,293
14
—
JPMorgan
Chase
09/18/2020
PEN
11,300
$
3,202
—
(12)
JPMorgan
Chase
09/18/2020
$
3,152
PEN
11,300
—
(38)
JPMorgan
Chase
09/18/2020
PLN
5,100
$
1,360
25
—
JPMorgan
Chase
09/18/2020
RUB
145,000
$
1,974
—
(23)
JPMorgan
Chase
09/18/2020
$
7,805
ZAR
136,347
—
(226)
JPMorgan
Chase
09/18/2020
ZAR
35,900
$
2,057
5
7
—
JPMorgan
Chase
09/18/2020
ZAR
38,200
$
2,257
—
(7)
JPMorgan
Chase
09/18/2020
$
2,657
TRY
19,550
5
—
Merrill
Lynch
10/23/2020
$
394
CAD
530
—
(12)
Merrill
Lynch
10/23/2020
$
218
EUR
190
—
(9)
Morgan
Stanley
&
Co
09/16/2020
CNH
4,845
$
689
17
—
Morgan
Stanley
&
Co
09/16/2020
$
2,034
CNH
14,414
—
(68)
Morgan
Stanley
&
Co
09/16/2020
$
685
EUR
605
—
(37)
Morgan
Stanley
&
Co
10/08/2020
$
890
COP
3,330,000
1
—
Standard
Chartered
Bank,
Hong
Kong
10/02/2020
$
691
EUR
615
—
(43)
State
Street
Financial
Global
Markets
09/16/2020
$
1,200
GBP
941
—
(58)
State
Street
Financial
Global
Markets
09/16/2020
GBP
941
$
1,199
5
8
—
Toronto
Dominion
Bank
09/16/2020
$
1,130
CAD
1,520
—
(35)
Toronto
Dominion
Bank
09/16/2020
CAD
1,520
$
1,130
35
—
Total
$
7,340
$
(8,4
9
4
)
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
165
Credit
Default
Swaps
Buy
Protection
Counterparty
Reference
Entity
Implied
Credit
Spread
as
of
August
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
Asset
----
Liability
Bank
of
America
NA
Mexico
Government
International
Bond,
4.15%,
03/28/2027
1.17%
(1.00)%
Quarterly
06/20/2025
$
230
$
20
$
(18)
$
2
$
—
Bank
of
America
NA
Mexico
Government
International
Bond,
4.15%,
03/28/2027
1.17%
(1.00)%
Quarterly
06/20/2025
1,150
96
(87)
9
—
Bank
of
New
York
Mellon
Royal
Caribbean
Cruises
Ltd,
5.25%,
11/15/2022
10.32%
(5.00)%
Quarterly
06/20/2025
450
97
(19)
78
—
Barclays
Bank
PLC
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
2,565
187
(100)
87
—
Barclays
Bank
PLC
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
95
9
(6)
3
—
Barclays
Bank
PLC
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
475
46
(30)
16
—
Barclays
Bank
PLC
Republic
of
South
Africa,
5.87%,
09/16/2025
2.87%
(1.00)%
Quarterly
06/20/2025
2,250
183
6
189
—
Citigroup
Inc
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
2,185
216
(142)
74
—
Goldman
Sachs
&
Co
American
Airlines
Group,
5.00%,
06/01/2022
32.83%
(5.00)%
Quarterly
06/22/2022
200
85
(14)
71
—
Goldman
Sachs
&
Co
Kohl's
Corp,
4.25%,
07/17/2025
3.17%
(1.00)%
Quarterly
06/20/2025
250
24
(1)
23
—
Goldman
Sachs
&
Co
Pitney
Bowes
Inc,
4.70%,
04/01/2023
3.93%
(1.00)%
Quarterly
06/20/2023
300
90
(67)
23
—
JPMorgan
Chase
Republic
of
South
Africa,
5.87%,
09/16/2025
2.87%
(1.00)%
Quarterly
06/20/2025
200
19
(2)
17
—
JPMorgan
Chase
Republic
of
South
Africa,
5.87%,
09/16/2025
2.87%
(1.00)%
Quarterly
06/20/2025
1,000
82
2
84
—
Merrill
Lynch
Mexico
Government
International
Bond,
4.15%,
03/28/2027
1.17%
(1.00)%
Quarterly
06/20/2025
1,170
106
(97)
9
—
Morgan
Stanley
&
Co
China
Government
International
Bond,
7.50%,
10/28/2027
0.35%
(1.00)%
Quarterly
06/20/2025
1,275
(20)
(19)
—
(39)
Morgan
Stanley
&
Co
China
Government
International
Bond,
7.50%,
10/28/2027
0.35%
(1.00)%
Quarterly
06/20/2025
1,250
(28)
(11)
—
(39)
Morgan
Stanley
&
Co
Enel
Spa,
5.25%,
05/20/2024
0.36%
(1.00)%
Quarterly
12/20/2023
EUR
750
3
(22)
—
(19)
Total
$
1,215
$
(627)
$
685
$
(97)
Amounts
in
thousands.
Exchange
Cleared
Credit
Default
Swaps
Buy
Protection
Reference
Entity
Implied
Credit
Spread
as
of
August
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
Turkey
Government
International
Bond,
11.88%,
01/15/2030
5.52%
(1.00)%
Quarterly
06/20/2025
$
5,593
$
838
$
143
$
981
Total
$
838
$
143
$
981
Sell
Protection
Reference
Entity
Implied
Credit
Spread
as
of
August
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
(b)
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
(c)
CDX.34.HY
N/A
5.00%
Quarterly
06/20/2025
$
8,240
$
(394)
$
870
$
476
Total
$
(394)
$
870
$
476
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.
(b)
The
maximum
potential
payment
amount
that
the
seller
of
credit
protection
could
be
required
to
make
if
a
credit
event
occurs
as
defined
under
the
terms
of
that
particular
swap
agreement
is
$8,240.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
166
Exchange
Cleared
Credit
Default
Swaps
(continued)
(c)
The
market
price
and
resulting
market
value
for
credit
default
swap
agreements
on
an
issuer
serve
as
an
indicator
of
the
current
status
of
the
payment/performance
risk
and
represent
the
likelihood
of
an
expected
liability
(or
profit)
for
the
credit
default
swap
as
of
the
period
end.
Increasing
market
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
of
default
or
other
credit
event
occurring
as
defined
under
the
terms
of
the
agreement.
Interest
Rate
Swaps
Counterparty
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
Asset
Liability
Barclays
Bank
PLC
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.20%
Annual
Semiannual
N/A
12/12/2023
PLN
10,712
$
(164)
$
—
$
—
$
(164)
JPMorgan
Chase
Brazil
Cetip
DI
Interbank
Deposit
Rate
Receive
3.00%
Annual
Annual
N/A
01/03/2022
BRL
190,000
(97)
—
—
(97)
JPMorgan
Chase
Brazil
Cetip
DI
Interbank
Deposit
Rate
Pay
5.46%
Annual
Annual
N/A
01/02/2025
76,000
(155)
—
—
(155)
Morgan
Stanley
&
Co
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.09%
Quarterly
Quarterly
N/A
11/08/2024
CNY
18,894
43
—
43
—
Total
$
(373)
$
—
$
43
$
(416)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
5.29%
Quarterly
Quarterly
N/A
11/06/2025
ZAR
17,449
$
2
$
—
$
2
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
5.20%
Quarterly
Quarterly
N/A
11/06/2025
5,350
2
—
2
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
6.59%
Quarterly
Quarterly
N/A
11/11/2022
105,000
(342)
(8)
(350)
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
7.00%
Quarterly
Quarterly
N/A
07/13/2030
32,550
(7)
1
(6)
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
7.20%
Quarterly
Quarterly
N/A
11/11/2022
105,000
434
(4)
430
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
5.39%
Quarterly
Quarterly
N/A
11/06/2025
8,866
(1)
—
(1)
3
Month
KRW
Certificate
of
Deposit
Receive
1.31%
Quarterly
Quarterly
N/A
11/22/2029
$
1,391,000
(22)
—
(22)
3
Month
KRW
Certificate
of
Deposit
Pay
0.95%
Annual
Annual
N/A
08/07/2022
72,500,000
160
—
160
3
Month
KRW
Certificate
of
Deposit
Receive
1.39%
Quarterly
Quarterly
N/A
12/18/2029
1,690,489
(39)
—
(39)
3
Month
KRW
Certificate
of
Deposit
Receive
1.41%
Quarterly
Quarterly
N/A
01/28/2022
8,790,000
(69)
—
(69)
3
Month
KRW
Certificate
of
Deposit
Pay
2.00%
Annual
Annual
N/A
03/17/2022
85,700,000
1,214
—
1,214
3
Month
KRW
Certificate
of
Deposit
Receive
1.75%
Annual
Annual
N/A
03/17/2030
12,855,000
(609)
—
(609)
3
Month
USD
LIBOR
Receive
3.04%
Semiannual
Quarterly
N/A
05/22/2025
3,180
(410)
—
(410)
3
Month
USD
LIBOR
Receive
3.09%
Semiannual
Quarterly
N/A
10/01/2024
4,584
(528)
—
(528)
3
Month
USD
LIBOR
Pay
2.98%
Quarterly
Semiannual
N/A
08/07/2023
4,428
357
—
357
3
Month
USD
LIBOR
Receive
2.75%
Semiannual
Quarterly
N/A
03/29/2025
1,575
(177)
—
(177)
3
Month
USD
LIBOR
Receive
2.77%
Semiannual
Quarterly
N/A
03/07/2025
3,938
(440)
—
(440)
3
Month
USD
LIBOR
Receive
3.04%
Semiannual
Quarterly
N/A
08/07/2028
2,362
(462)
—
(462)
3
Month
USD
LIBOR
Receive
0.41%
Semiannual
Quarterly
N/A
05/07/2025
1,197
(6)
—
(6)
3
Month
USD
LIBOR
Receive
0.26%
Semiannual
Quarterly
N/A
06/29/2023
5,875
(5)
—
(5)
3
Month
USD
LIBOR
Receive
0.23%
Semiannual
Quarterly
N/A
07/03/2023
5,875
(1)
—
(1)
3
Month
USD
LIBOR
Receive
2.93%
Semiannual
Quarterly
N/A
06/11/2025
3,963
(496)
—
(496)
3
Month
USD
LIBOR
Receive
2.97%
Semiannual
Quarterly
N/A
05/04/2025
2,381
(297)
1
(296)
3
Month
USD
LIBOR
Receive
2.97%
Semiannual
Quarterly
N/A
04/25/2025
2,700
(335)
1
(334)
3
Month
USD
LIBOR
Receive
2.88%
Semiannual
Quarterly
N/A
08/21/2025
6,337
(804)
—
(804)
3
Month
USD
LIBOR
Receive
0.26%
Semiannual
Quarterly
N/A
06/30/2023
5,875
(5)
—
(5)
3
Month
USD
LIBOR
Receive
0.41%
Semiannual
Quarterly
N/A
05/07/2025
686
(4)
1
(3)
6
Month
Budapest
Interbank
Offered
Rate
Receive
2.09%
Annual
Semiannual
N/A
07/11/2023
HUF
482,425
(55)
7
(48)
6
Month
Budapest
Interbank
Offered
Rate
Receive
1.13%
Annual
Semiannual
N/A
08/31/2024
526,240
2
—
2
6
Month
Budapest
Interbank
Offered
Rate
Receive
0.92%
Annual
Semiannual
N/A
07/09/2025
478,833
26
—
26
6
Month
Budapest
Interbank
Offered
Rate
Receive
1.32%
Annual
Semiannual
N/A
07/01/2030
187,912
24
—
24
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
167
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
6
Month
Budapest
Interbank
Offered
Rate
Pay
0.81%
Semiannual
Annual
N/A
12/16/2023
HUF
871,350
$
(28)
$
1
$
(27)
6
Month
Budapest
Interbank
Offered
Rate
Receive
1.27%
Annual
Semiannual
N/A
12/16/2027
382,950
23
—
23
6
Month
Budapest
Interbank
Offered
Rate
Pay
1.00%
Semiannual
Annual
N/A
12/16/2023
568,568
(7)
—
(7)
6
Month
Budapest
Interbank
Offered
Rate
Receive
1.43%
Annual
Semiannual
N/A
12/16/2027
251,108
6
—
6
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.19)%
Semiannual
Annual
N/A
08/27/2029
EUR
1,305
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
0.06%
Annual
Semiannual
N/A
04/18/2024
1,487
(29)
(1)
(30)
6
Month
Euro
Interbank
Offered
Rate
Receive
0.05%
Annual
Semiannual
N/A
08/27/2034
870
(5)
—
(5)
6
Month
Prague
Interbank
Offered
Rate
Pay
1.59%
Semiannual
Annual
N/A
08/16/2021
CZK
85,188
40
4
44
6
Month
Thai
Baht
Interest
Rate
Fixing
Pay
0.71%
Annual
Annual
N/A
09/16/2023
$
57,720
—
1
1
6
Month
Thai
Baht
Interest
Rate
Fixing
Pay
0.73%
Semiannual
Semiannual
N/A
09/16/2023
90,465
3
—
3
6
Month
Thai
Baht
Interest
Rate
Fixing
Pay
1.00%
Annual
Annual
N/A
12/16/2023
88,800
67
—
67
6
Month
Warsaw
Interbank
Offered
Rate
Receive
1.07%
Annual
Semiannual
N/A
06/09/2030
PLN
2,773
5
(1)
4
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.85%
Semiannual
Annual
N/A
01/28/2022
146,200
789
79
868
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.48%
Annual
Semiannual
N/A
03/23/2023
4,152
(56)
(3)
(59)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.55%
Annual
Semiannual
N/A
03/10/2022
6,420
(55)
(4)
(59)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.02%
Annual
Semiannual
N/A
01/28/2030
31,050
(627)
(78)
(705)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
1.85%
Annual
Semiannual
N/A
01/28/2022
77,000
(429)
(28)
(457)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
2.02%
Semiannual
Annual
N/A
01/28/2030
16,500
388
(13)
375
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.52%
Annual
Semiannual
N/A
03/09/2022
3,605
(31)
(2)
(33)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.54%
Annual
Semiannual
N/A
05/17/2023
5,873
(85)
(6)
(91)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.51%
Semiannual
Annual
N/A
02/19/2022
27,840
122
14
136
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.37%
Annual
Semiannual
N/A
04/26/2022
6,600
(57)
(3)
(60)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.02%
Annual
Semiannual
N/A
05/27/2024
11,140
(148)
(14)
(162)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.10%
Annual
Annual
N/A
06/08/2023
$
21,112
(36)
—
(36)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.00%
Annual
Annual
N/A
06/11/2025
91,500
(248)
—
(248)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.51%
Annual
Annual
N/A
07/10/2023
16,675
(2)
—
(2)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.00%
Quarterly
Quarterly
N/A
05/13/2023
13,455
(45)
—
(45)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.26%
Annual
Annual
N/A
06/11/2025
42,500
(24)
(97)
(121)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
1.99%
Annual
Annual
N/A
06/16/2023
13,584
(30)
1
(29)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.32%
Annual
Annual
N/A
07/20/2021
41,109
(41)
—
(41)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.35%
Annual
Annual
N/A
07/13/2021
40,530
(3)
—
(3)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.04%
Annual
Annual
N/A
06/12/2023
13,714
(28)
1
(27)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.10%
Annual
Annual
N/A
06/12/2023
13,641
(24)
—
(24)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.33%
Annual
Annual
N/A
07/07/2023
17,370
(13)
—
(13)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.00%
Annual
Annual
N/A
04/13/2023
19,980
(65)
1
(64)
Sinacofi
Chile
Interbank
Rate
Avg
Receive
1.30%
Annual
Annual
N/A
07/20/2025
CLP
1,360,650
(11)
1
(10)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.40%
Annual
Annual
N/A
03/31/2021
$
13,602
(183)
1
(182)
Total
$
(3,760)
$
(147)
$
(3,907)
Amounts
in
thousands.
(a)
Forward
swap.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
168
Total
Return
Equity
Basket
Swaps
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
Goldman
Sachs
&
Co
(a)
Floating
rate
based
on
the
Federal
Funds
Rate
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
05/15/2030-
06/05/2030
$
16,027
$
—
$
—
$
(955)
JPMorgan
Chase
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
11/30/2020
1,209
—
151
—
JPMorgan
Chase
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
ZAR
Monthly
11/04/2020
132
—
—
(6)
JPMorgan
Chase
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
12/04/2020-
05/24/2021
1,564
—
206
—
JPMorgan
Chase
Floating
rate
based
on
Norway
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
NOK
Monthly
11/02/2020-
11/04/2020
687
—
257
—
JPMorgan
Chase
Floating
rate
based
on
1
Month
JPY
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
03/25/2021
98
—
3
—
JPMorgan
Chase
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CNY
Monthly
12/04/2020
1,398
—
149
—
JPMorgan
Chase
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
11/03/2020-
12/04/2020
7,109
—
120
—
JPMorgan
Chase
Floating
rate
based
on
1
Month
GBP
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
11/02/2020-
12/07/2020
2,180
—
—
(350)
Morgan
Stanley
&
Co
(b)
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
10/13/2020-
08/24/2021
23,132
—
1,696
—
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
01/21/2021-
11/30/2021
2,271
—
180
—
Morgan
Stanley
&
Co
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
01/28/2021
624
—
109
—
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
05/20/2021
2,996
—
—
(832)
Morgan
Stanley
&
Co
(c)
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
10/09/2020-
02/10/2021
15,329
—
—
(341)
UBS
AG
Floating
rate
based
on
1
Day
Reserve
Bank
of
Australia
Cash
Rate
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
AUD
Monthly
11/28/2022
736
—
8
—
UBS
AG
Floating
rate
based
on
1
Month
EUR
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
02/01/2022
6,345
—
577
—
UBS
AG
Floating
rate
based
on
1
Month
GBP
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
02/01/2022
2,174
—
—
(192)
UBS
AG
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
03/01/2022
770
—
36
—
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
169
Total
Return
Equity
Basket
Swaps
(continued)
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
UBS
AG
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
03/01/2022
$
7,268
$
—
$
—
$
(54)
Total
$
92,049
$
—
$
3,492
$
(2,730)
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.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
170
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Adobe
Inc
(446)
$
(229
)
(1.43)%
salesforce.com
Inc
(817)
(223
)
(1.39)%
PayPal
Holdings
Inc
(1,082)
(221
)
(1.38)%
Walt
Disney
Co/The
(1,660)
(219
)
(1.37)%
Netflix
Inc
(404)
(214
)
(1.33)%
Merck
&
Co
Inc
(2,344)
(200
)
(1.25)%
Bank
of
America
Corp
(7,451)
(192
)
(1.20)%
Comcast
Corp
(4,180)
(187
)
(1.17)%
PepsiCo
Inc
(1,285)
(180
)
(1.12)%
Abbott
Laboratories
(1,627)
(178
)
(1.11)%
Cisco
Systems
Inc
(3,907)
(165
)
(1.03)%
Thermo
Fisher
Scientific
Inc
(369)
(158
)
(0.99)%
Exxon
Mobil
Corp
(3,897)
(156
)
(0.97)%
McDonald's
Corp
(693)
(148
)
(0.92)%
Chevron
Corp
(1,742)
(146
)
(0.91)%
Costco
Wholesale
Corp
(407)
(141
)
(0.88)%
Accenture
PLC
(585)
(140
)
(0.88)%
Amgen
Inc
(547)
(139
)
(0.86)%
Bristol-Myers
Squibb
Co
(2,159)
(134
)
(0.84)%
Medtronic
PLC
(1,234)
(133
)
(0.83)%
AbbVie
Inc
(1,362)
(130
)
(0.81)%
NIKE
Inc
(1,147)
(128
)
(0.80)%
Broadcom
Inc
(365)
(127
)
(0.79)%
NextEra
Energy
Inc
(450)
(126
)
(0.78)%
QUALCOMM
Inc
(1,052)
(125
)
(0.78)%
Linde
PLC
(494)
(123
)
(0.77)%
Union
Pacific
Corp
(640)
(123
)
(0.77)%
Texas
Instruments
Inc
(861)
(122
)
(0.76)%
Danaher
Corp
(589)
(122
)
(0.76)%
Lowe's
Cos
Inc
(705)
(116
)
(0.72)%
Eli
Lilly
and
Co
(778)
(115
)
(0.72)%
Philip
Morris
International
Inc
(1,433)
(114
)
(0.71)%
Oracle
Corp
(1,994)
(114
)
(0.71)%
Honeywell
International
Inc
(658)
(109
)
(0.68)%
United
Parcel
Service
Inc
(645)
(106
)
(0.66)%
Citigroup
Inc
(2,010)
(103
)
(0.64)%
American
Tower
Corp
(408)
(102
)
(0.63)%
International
Business
Machines
Corp
(815)
(100
)
(0.63)%
Advanced
Micro
Devices
Inc
(1,076)
(98
)
(0.61)%
Starbucks
Corp
(1,086)
(92
)
(0.57)%
Lockheed
Martin
Corp
(228)
(89
)
(0.56)%
Charter
Communications
Inc
(144)
(89
)
(0.55)%
3M
Co
(529)
(86
)
(0.54)%
Wells
Fargo
&
Co
(3,546)
(86
)
(0.53)%
Fidelity
National
Information
Services
Inc
(566)
(85
)
(0.53)%
Boeing
Co/The
(493)
(85
)
(0.53)%
ServiceNow
Inc
(174)
(84
)
(0.52)%
Intuit
Inc
(240)
(83
)
(0.52)%
S&P
Global
Inc
(225)
(83
)
(0.51)%
Raytheon
Technologies
Corp
(1,352)
(82
)
(0.51)%
(a)
Top
Underlying
Securities
YRKGSUSD
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
171
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Fidelity
National
Information
Services
Inc
13,221
$
1,994
8.62%
Mastercard
Inc
5,221
1,870
8.09%
Aon
PLC
(8,491)
(1,698
)
(7.34)%
Willis
Towers
Watson
PLC
7,862
1,616
6.98%
Coca-Cola
Co/The
28,754
1,424
6.16%
Aramark
50,540
1,393
6.02%
Boston
Scientific
Corp
33,286
1,365
5.90%
Tiffany
&
Co
9,962
1,220
5.28%
Alphabet
Inc
-
C
Shares
703
1,149
4.97%
TJX
Cos
Inc/The
20,817
1,141
4.93%
Tencent
Holdings
Ltd
(16,079)
(1,099
)
(4.75)%
iShares
iBoxx
High
Yield
Corporate
Bond
ETF
(10,527)
(895
)
(3.87)%
Amazon.com
Inc
237
818
3.53%
Adobe
Inc
1,566
804
3.48%
Kroger
Co/The
(18,261)
(652
)
(2.82)%
Exxon
Mobil
Corp
(15,778)
(630
)
(2.72)%
3M
Co
(3,233)
(527
)
(2.28)%
Verizon
Communications
Inc
(6,128)
(363
)
(1.57)%
Advanced
Disposal
Services
Inc
(11,489)
(346
)
(1.50)%
Cerner
Corp
(4,668)
(342
)
(1.48)%
AT&T
Inc
(11,341)
(338
)
(1.46)%
AvalonBay
Communities
Inc
(2,077)
(328
)
(1.42)%
ONEOK
Inc
(11,713)
(322
)
(1.39)%
J
M
Smucker
Co/The
(2,067)
(248
)
(1.07)%
Grand
Canyon
Education
Inc
(2,234)
(210
)
(0.91)%
Campbell
Soup
Co
(3,604)
(190
)
(0.82)%
Bristol-Myers
Squibb
Co
55,365
148
0.64%
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Stoxx
Europe
600
Index
(26,526)
$
(11,602
)
(75.68)%
Getlink
SE
99,460
1,524
9.94%
Eiffage
SA
10,792
994
6.49%
Grifols
SA
(15,047)
(408
)
(2.66)%
Grifols
SA
24,875
402
2.62%
Aena
SME
SA
2,675
399
2.60%
(b)
Top
Underlying
Securities
YORKEBS
(c)
Top
Underlying
Securities
YRKEBSEUR
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
172
Reverse
Repurchase
Agreements
Counterparty
Coupon
Rate
Maturity
Date
Principal
Amount
Payable
for
Reverse
Repurchase
Agreements
Merrill
Lynch
(1.75)%
Open
ended
$
825
$
(832)
Merrill
Lynch
(1.75)%
Open
ended
590
(593)
Merrill
Lynch
(2.25)%
09/04/2020
1,067
(1,069)
Merrill
Lynch
(2.30)%
09/04/2020
2,084
(2,088)
Merrill
Lynch
(0.26)%
09/14/2020
14,906
(14,908)
Merrill
Lynch
(0.15)%
09/02/2020
21,572
(21,572)
Merrill
Lynch
(0.15)%
09/02/2020
9,575
(9,575)
Merrill
Lynch
(0.15)%
09/02/2020
4,700
(4,700)
Merrill
Lynch
(0.15)%
09/02/2020
52,858
(52,858)
Merrill
Lynch
(0.15)%
09/02/2020
5,861
(5,861)
Merrill
Lynch
(0.15)%
09/02/2020
5,050
(5,050)
Merrill
Lynch
(0.15)%
09/02/2020
24,196
(24,196)
Merrill
Lynch
(0.15)%
09/02/2020
18,872
(18,872)
Merrill
Lynch
(0.15)%
09/02/2020
27,627
(27,627)
Merrill
Lynch
(0.15)%
09/02/2020
19,112
(19,112)
Merrill
Lynch
(0.15)%
09/02/2020
39,147
(39,147)
Merrill
Lynch
(0.15)%
09/02/2020
34,665
(34,665)
Merrill
Lynch
(0.15)%
09/02/2020
20,472
(20,472)
Merrill
Lynch
(0.15)%
09/02/2020
8,976
(8,976)
Merrill
Lynch
(0.15)%
09/02/2020
1,490
(1,490)
Merrill
Lynch
(0.15)%
09/02/2020
30,821
(30,821)
Merrill
Lynch
(0.15)%
09/02/2020
18,872
(18,872)
Merrill
Lynch
(0.15)%
09/02/2020
15,596
(15,596)
Merrill
Lynch
(0.12)%
09/02/2020
955
(954)
Merrill
Lynch
(0.12)%
09/02/2020
7,223
(7,223)
Merrill
Lynch
(0.15)%
09/02/2020
17,896
(17,896)
Merrill
Lynch
(0.15)%
09/02/2020
2,773
(2,773)
Merrill
Lynch
0.00%
09/02/2020
4,879
(4,879)
Total
$
(412,677)
Amounts
in
thousands.
Total
Return
Swaps
Counterparty
Reference
Entity
Contracts
Pay/Receive
Positive
Return
Financing
Rate
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/
(Depreciation)
Asset
----
Liability
Bank
of
America
NA
Indonesia
Government,
6.50%,
06/15/2025
3,962,000,000
Receive
3
Month
USD
LIBOR
+
1.00%
Semiannual
06/21/2021
$
279
$
—
$
7
$
—
Bank
of
America
NA
Indonesia
Treasury
Bond,
7.25%,
02/15/2026
4,725,500,000
Receive
3
Month
USD
LIBOR
+
1.00%
Semiannual
07/14/2021
339
—
—
(2)
Goldman
Sachs
&
Co
GS
US
Global
Health
Risk
Exposure
2,538
Pay
US
Federal
Funds
Effective
Rate
(continuous
series)
Monthly
06/14/2023
218
—
—
(13)
HSBC
Securities
Inc
Egypt
Treasury
Bills,
0.00%,
10/06/2020
19,700,000
Receive
3
Month
USD
LIBOR
+
0.90%
Annual
10/07/2020
1,200
—
25
—
HSBC
Securities
Inc
Egypt
Treasury
Bills,
0.00%,
10/13/2020
19,700,000
Receive
3
Month
USD
LIBOR
+
0.90%
Quarterly
10/14/2020
1,197
—
24
—
HSBC
Securities
Inc
Egypt
Treasury
Bills,
0.00%,
10/13/2020
29,500,000
Receive
3
Month
USD
LIBOR
+
0.80%
Quarterly
10/14/2020
1,797
—
33
—
Total
$
—
$
89
$
(15)
Amounts
in
thousands
except
contracts.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
173
Short
Sales
Outstanding
COMMON
STOCKS
-
(16.40)%
Shares
Value
(000's)
Advertising
-
(0.04)%
Hakuhodo
DY
Holdings
Inc
5,400
$
67
JCDecaux
SA
7,715
147
Trade
Desk
Inc/The
225
108
$
322
Aerospace
&
Defense
-
(0.32)%
Boeing
Co/The
3,640
625
Dassault
Aviation
SA
258
234
General
Dynamics
Corp
1,671
250
Kawasaki
Heavy
Industries
Ltd
14,100
199
L3Harris
Technologies
Inc
3,371
609
Raytheon
Technologies
Corp
7,202
439
Teledyne
Technologies
Inc
36
11
Thales
SA
2,287
179
$
2,546
Agriculture
-
(0.08)%
Archer-Daniels-Midland
Co
15,100
676
Airlines
-
(0.20)%
Air
Canada
12,590
170
Alaska
Air
Group
Inc
4,188
163
American
Airlines
Group
Inc
16,368
214
Delta
Air
Lines
Inc
13,776
425
Japan
Airlines
Co
Ltd
10,300
204
Southwest
Airlines
Co
4,364
164
United
Airlines
Holdings
Inc
4,850
175
$
1,515
Apparel
-
(0.23)%
Ralph
Lauren
Corp
8,039
553
Tapestry
Inc
18,652
275
Under
Armour
Inc
-
Class
C
66,517
589
VF
Corp
7,897
519
$
1,936
Automobile
Manufacturers
-
(0.23)%
Ford
Motor
Co
51,858
354
General
Motors
Co
8,633
256
Honda
Motor
Co
Ltd
5,300
135
Mazda
Motor
Corp
8,000
51
PACCAR
Inc
1,679
144
Subaru
Corp
4,500
94
Suzuki
Motor
Corp
7,900
323
Toyota
Motor
Corp
2,300
152
Volkswagen
AG
1,648
297
$
1,806
Automobile
Parts
&
Equipment
-
(0.26)%
Aisin
Seiki
Co
Ltd
5,100
175
Aptiv
PLC
5,545
478
Autoliv
Inc
3,977
312
Cie
Generale
des
Etablissements
Michelin
SCA
2,822
320
Lear
Corp
727
83
NGK
Insulators
Ltd
11,300
161
Sumitomo
Electric
Industries
Ltd
20,600
242
Toyoda
Gosei
Co
Ltd
7,300
159
Toyota
Industries
Corp
2,900
168
$
2,098
Banks
-
(0.52)%
Bank
of
New
York
Mellon
Corp/The
6,032
223
Canadian
Imperial
Bank
of
Commerce
2,600
206
Citigroup
Inc
431
22
Citizens
Financial
Group
Inc
2,120
55
Comerica
Inc
1,601
63
Commonwealth
Bank
of
Australia
6,491
326
Danske
Bank
A/S
1,957
30
FinecoBank
Banca
Fineco
SpA
9,629
146
First
Republic
Bank/CA
2,365
267
Huntington
Bancshares
Inc/OH
31,285
294
Japan
Post
Bank
Co
Ltd
17,300
139
KeyCorp
4,344
54
Northern
Trust
Corp
6,987
572
PNC
Financial
Services
Group
Inc/The
2,003
223
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Banks
(continued)
Regions
Financial
Corp
14,903
$
172
State
Street
Corp
8,557
583
SVB
Financial
Group
1,262
322
Toronto-Dominion
Bank/The
3,200
160
Truist
Financial
Corp
5,170
201
$
4,058
Beverages
-
(0.22)%
Asahi
Group
Holdings
Ltd
2,000
70
Brown-Forman
Corp
-
B
Shares
9,550
699
Coca-Cola
Amatil
Ltd
660
4
Coca-Cola
Bottlers
Japan
Holdings
Inc
3,900
65
Coca-Cola
European
Partners
PLC
5,506
227
Monster
Beverage
Corp
3,465
291
Remy
Cointreau
SA
2,078
342
$
1,698
Biotechnology
-
(0.36)%
Alnylam
Pharmaceuticals
Inc
1,306
173
BeiGene
Ltd
ADR
631
152
Bio-Rad
Laboratories
Inc
1,639
834
Corteva
Inc
25,477
727
Exact
Sciences
Corp
1,165
88
Incyte
Corp
2,021
195
Moderna
Inc
1,793
116
Seattle
Genetics
Inc
1,220
193
Vertex
Pharmaceuticals
Inc
1,654
462
$
2,940
Building
Materials
-
(0.12)%
Cie
de
Saint-Gobain
8,005
324
CRH
PLC
9,587
358
Owens
Corning
2,135
144
Vulcan
Materials
Co
1,531
184
$
1,010
Chemicals
-
(0.51)%
Air
Products
and
Chemicals
Inc
1,641
480
Albemarle
Corp
13,731
1,249
BASF
SE
1,249
76
Daicel
Corp
8,100
59
Dow
Inc
1,088
49
FMC
Corp
3,858
412
International
Flavors
&
Fragrances
Inc
5,821
721
Kuraray
Co
Ltd
800
8
LANXESS
AG
4,181
245
Nippon
Paint
Holdings
Co
Ltd
5,100
438
Sherwin-Williams
Co/The
264
177
Umicore
SA
5,948
273
$
4,187
Commercial
Services
-
(0.42)%
AMERCO
332
118
Aramark
3,784
104
Atlantia
SpA
8,847
140
Automatic
Data
Processing
Inc
1,070
149
Equifax
Inc
2,383
401
FleetCor
Technologies
Inc
801
201
Global
Payments
Inc
4,352
769
GMO
Payment
Gateway
Inc
2,300
243
IHS
Markit
Ltd
1,147
92
MarketAxess
Holdings
Inc
815
396
Nielsen
Holdings
PLC
1,639
25
Nihon
M&A
Center
Inc
2,200
110
Park24
Co
Ltd
3,800
68
Rollins
Inc
6,343
350
Verisk
Analytics
Inc
226
42
Worldline
SA/France
1,488
137
$
3,345
Computers
-
(0.50)%
Atos
SE
5,887
510
DXC
Technology
Co
24,401
488
Fortinet
Inc
6,554
865
Hewlett
Packard
Enterprise
Co
44,084
426
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
174
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Computers
(continued)
International
Business
Machines
Corp
1,286
$
159
Leidos
Holdings
Inc
5,589
506
NEC
Corp
3,250
172
Western
Digital
Corp
25,231
969
$
4,095
Consumer
Products
-
(0.04)%
Avery
Dennison
Corp
1,446
167
Church
&
Dwight
Co
Inc
1,371
131
$
298
Cosmetics
&
Personal
Care
-
(0.10)%
Coty
Inc
56,803
203
Kose
Corp
800
94
Shiseido
Co
Ltd
8,200
477
$
774
Distribution
&
Wholesale
-
(0.21)%
Copart
Inc
5,321
550
Fastenal
Co
9,736
476
ITOCHU
Corp
3,600
92
Jardine
Cycle
&
Carriage
Ltd
12,300
171
Mitsubishi
Corp
17,200
407
$
1,696
Diversified
Financial
Services
-
(0.54)%
Afterpay
Ltd
4,838
326
American
Express
Co
1,644
167
Ameriprise
Financial
Inc
2,981
467
Capital
One
Financial
Corp
3,094
214
Charles
Schwab
Corp/The
9,102
323
CME
Group
Inc
1,070
188
Japan
Exchange
Group
Inc
22,100
573
London
Stock
Exchange
Group
PLC
1,142
135
Raymond
James
Financial
Inc
8,812
667
SBI
Holdings
Inc/Japan
7,500
171
St
James's
Place
PLC
35,459
460
TMX
Group
Ltd
4,200
442
Tokyo
Century
Corp
3,400
174
$
4,307
Electric
-
(0.95)%
Alliant
Energy
Corp
5,796
314
Ameren
Corp
5,116
405
American
Electric
Power
Co
Inc
3,987
314
CenterPoint
Energy
Inc
1,568
31
Chugoku
Electric
Power
Co
Inc/The
44,900
548
CMS
Energy
Corp
4,423
268
Consolidated
Edison
Inc
8,341
595
DTE
Energy
Co
2,737
325
Duke
Energy
Corp
1,024
82
E.ON
SE
33,791
400
Edison
International
8,795
462
Entergy
Corp
6,992
693
Evergy
Inc
2,899
154
Eversource
Energy
4,332
371
Exelon
Corp
1,818
67
Kyushu
Electric
Power
Co
Inc
13,900
123
NextEra
Energy
Inc
631
176
Pinnacle
West
Capital
Corp
5,820
427
Public
Service
Enterprise
Group
Inc
854
45
RWE
AG
8,065
321
Sempra
Energy
1,533
189
Southern
Co/The
4,031
210
WEC
Energy
Group
Inc
2,511
236
Xcel
Energy
Inc
11,058
769
$
7,525
Electrical
Components
&
Equipment
-
(0.04)%
Prysmian
SpA
11,471
321
Electronics
-
(0.26)%
Allegion
plc
4,594
475
Amphenol
Corp
1,524
167
FLIR
Systems
Inc
2,786
103
Keysight
Technologies
Inc
5,138
506
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Electronics
(continued)
Mettler-Toledo
International
Inc
449
$
436
Murata
Manufacturing
Co
Ltd
5,000
296
Waters
Corp
618
134
$
2,117
Energy
-
Alternate
Sources
-
(0.03)%
Siemens
Gamesa
Renewable
Energy
SA
9,719
261
Engineering
&
Construction
-
(0.41)%
ACS
Actividades
de
Construccion
y
Servicios
SA
4,809
118
Ferrovial
SA
26,733
714
Jacobs
Engineering
Group
Inc
17,990
1,624
Japan
Airport
Terminal
Co
Ltd
12,000
539
Kajima
Corp
20,600
256
$
3,251
Entertainment
-
(0.20)%
Flutter
Entertainment
PLC
3,568
600
GVC
Holdings
PLC
6,159
65
Live
Nation
Entertainment
Inc
11,244
638
Oriental
Land
Co
Ltd/Japan
1,750
238
$
1,541
Food
-
(0.39)%
Barry
Callebaut
AG
135
299
Conagra
Brands
Inc
2,956
113
Hershey
Co/The
1,793
267
Hormel
Foods
Corp
6,025
307
J
M
Smucker
Co/The
983
118
Kellogg
Co
993
70
Kraft
Heinz
Co/The
4,373
153
Kroger
Co/The
11,986
428
McCormick
&
Co
Inc/MD
964
199
Mondelez
International
Inc
1,838
107
NH
Foods
Ltd
3,100
140
Ocado
Group
PLC
27,130
904
Yamazaki
Baking
Co
Ltd
7,200
117
$
3,222
Forest
Products
&
Paper
-
(0.12)%
Stora
Enso
Oyj
8,893
131
Svenska
Cellulosa
AB
SCA
60,753
784
$
915
Gas
-
(0.13)%
Atmos
Energy
Corp
9,100
909
NiSource
Inc
9,398
208
$
1,117
Hand
&
Machine
Tools
-
(0.08)%
Stanley
Black
&
Decker
Inc
4,059
655
Healthcare
-
Products
-
(0.47)%
ABIOMED
Inc
1,618
498
Alcon
Inc
1,430
81
Align
Technology
Inc
1,414
420
Ambu
A/S
5,062
149
Baxter
International
Inc
1,946
169
Boston
Scientific
Corp
8,250
338
Cooper
Cos
Inc/The
1,781
560
Edwards
Lifesciences
Corp
5,488
471
IDEXX
Laboratories
Inc
483
189
Insulet
Corp
1,291
282
Intuitive
Surgical
Inc
135
99
Teleflex
Inc
894
351
Zimmer
Biomet
Holdings
Inc
1,726
243
$
3,850
Healthcare
-
Services
-
(0.24)%
BioMerieux
730
110
Catalent
Inc
3,740
346
Centene
Corp
3,341
205
Fresenius
Medical
Care
AG
&
Co
KGaA
3,526
300
Fresenius
SE
&
Co
KGaA
2,086
97
HCA
Healthcare
Inc
525
71
IQVIA
Holdings
Inc
846
139
Laboratory
Corp
of
America
Holdings
1,827
321
Ryman
Healthcare
Ltd
18,860
170
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
175
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Healthcare
-
Services
(continued)
Teladoc
Health
Inc
836
$
180
$
1,939
Holding
Companies
-
Diversified
-
(0.01)%
Jardine
Matheson
Holdings
Ltd
1,900
80
Home
Builders
-
(0.09)%
Daiwa
House
Industry
Co
Ltd
2,700
72
NVR
Inc
146
609
$
681
Home
Furnishings
-
(0.07)%
Electrolux
AB
6,800
148
Sony
Corp
3,900
305
Whirlpool
Corp
493
88
$
541
Insurance
-
(0.60)%
Aflac
Inc
7,100
258
Allstate
Corp/The
853
79
Arthur
J
Gallagher
&
Co
620
65
Assurant
Inc
1,180
143
Berkshire
Hathaway
Inc
-
Class
B
625
136
Chubb
Ltd
2,959
370
Dai-ichi
Life
Holdings
Inc
6,300
95
Japan
Post
Holdings
Co
Ltd
74,600
552
Lincoln
National
Corp
9,912
357
Loews
Corp
4,892
175
Progressive
Corp/The
4,553
433
Prudential
Financial
Inc
4,117
279
Reinsurance
Group
of
America
Inc
1,152
106
Suncorp
Group
Ltd
8,746
60
Swiss
Re
AG
4,455
359
Travelers
Cos
Inc/The
2,520
292
Unum
Group
16,997
314
Voya
Financial
Inc
8,964
465
Willis
Towers
Watson
PLC
1,195
246
$
4,784
Internet
-
(0.49)%
Booking
Holdings
Inc
442
844
E*TRADE
Financial
Corp
4,215
228
Expedia
Group
Inc
5,446
535
Iliad
SA
2,558
546
M3
Inc
4,600
266
Netflix
Inc
478
253
Okta
Inc
744
160
Shopify
Inc
200
214
Twitter
Inc
8,005
325
Z
Holdings
Corp
77,000
513
$
3,884
Investment
Companies
-
(0.02)%
Kinnevik
AB
2,943
2
Kinnevik
AB
-
Class
B
2,943
114
L
E
Lundbergforetagen
AB
1,965
90
$
206
Iron
&
Steel
-
(0.16)%
BlueScope
Steel
Ltd
16,495
154
Hitachi
Metals
Ltd
63,200
946
thyssenkrupp
AG
8,000
58
voestalpine
AG
3,043
76
$
1,234
Leisure
Products
&
Services
-
(0.07)%
Carnival
Corp
10,500
173
Norwegian
Cruise
Line
Holdings
Ltd
11,181
191
Royal
Caribbean
Cruises
Ltd
2,924
201
$
565
Lodging
-
(0.27)%
City
Developments
Ltd
39,300
232
Hilton
Worldwide
Holdings
Inc
2,412
218
Las
Vegas
Sands
Corp
13,858
703
MGM
Resorts
International
7,422
167
Whitbread
PLC
10,737
362
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Lodging
(continued)
Wynn
Resorts
Ltd
5,065
$
443
$
2,125
Machinery
-
Construction
&
Mining
-
(0.07)%
Caterpillar
Inc
694
99
Hitachi
Construction
Machinery
Co
Ltd
10,600
372
Hitachi
Ltd
2,100
70
$
541
Machinery
-
Diversified
-
(0.46)%
ANDRITZ
AG
5,303
177
CNH
Industrial
NV
39,211
311
Daifuku
Co
Ltd
2,000
176
Deere
&
Co
3,258
684
Ingersoll
Rand
Inc
29,632
1,039
Rockwell
Automation
Inc
800
184
Westinghouse
Air
Brake
Technologies
Corp
5,260
350
Xylem
Inc/NY
9,782
784
$
3,705
Media
-
(0.37)%
DISH
Network
Corp
7,729
275
Liberty
Broadband
Corp
-
C
Shares
5,401
757
Liberty
Global
PLC
-
A
Shares
12,098
283
News
Corp
-
A
Shares
28,295
428
Pearson
PLC
45,756
337
ViacomCBS
Inc
-
Class
B
11,265
314
Walt
Disney
Co/The
4,866
642
$
3,036
Metal
Fabrication
&
Hardware
-
(0.03)%
SKF
AB
12,299
246
Mining
-
(0.12)%
Anglo
American
PLC
6,749
166
Freeport-McMoRan
Inc
19,720
308
Lundin
Mining
Corp
30,000
188
Mitsubishi
Materials
Corp
16,700
350
$
1,012
Miscellaneous
Manufacturers
-
(0.34)%
A
O
Smith
Corp
8,368
410
Eaton
Corp
PLC
2,248
230
General
Electric
Co
97,380
617
JSR
Corp
23,100
493
Nikon
Corp
20,900
164
Orica
Ltd
6,711
86
Parker-Hannifin
Corp
623
128
Smiths
Group
PLC
5,686
106
Textron
Inc
12,687
500
$
2,734
Office
&
Business
Equipment
-
(0.17)%
FUJIFILM
Holdings
Corp
8,400
400
Ricoh
Co
Ltd
61,100
456
Xerox
Holdings
Corp
14,373
271
Zebra
Technologies
Corp
890
255
$
1,382
Oil
&
Gas
-
(0.68)%
Cabot
Oil
&
Gas
Corp
38,866
738
Canadian
Natural
Resources
Ltd
6,100
120
Concho
Resources
Inc
4,908
255
Devon
Energy
Corp
35,433
385
Diamondback
Energy
Inc
11,888
463
Equinor
ASA
6,328
102
Exxon
Mobil
Corp
2,865
114
Hess
Corp
14,531
669
HollyFrontier
Corp
4,106
98
Idemitsu
Kosan
Co
Ltd
10,300
227
Marathon
Oil
Corp
58,541
309
Marathon
Petroleum
Corp
2,824
100
Noble
Energy
Inc
44,671
444
Occidental
Petroleum
Corp
44,202
563
Phillips
66
5,882
344
Pioneer
Natural
Resources
Co
3,750
390
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
176
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Oil
&
Gas
(continued)
Valero
Energy
Corp
2,698
$
142
$
5,463
Oil
&
Gas
Services
-
(0.01)%
National
Oilwell
Varco
Inc
9,508
114
Packaging
&
Containers
-
(0.08)%
Ball
Corp
1,889
152
Packaging
Corp
of
America
1,977
200
Westrock
Co
7,098
215
$
567
Pharmaceuticals
-
(0.36)%
Alfresa
Holdings
Corp
10,300
207
AmerisourceBergen
Corp
1,558
151
Becton
Dickinson
and
Co
1,103
267
DexCom
Inc
842
358
Eisai
Co
Ltd
1,500
131
Eli
Lilly
and
Co
1,773
263
Mylan
NV
8,201
134
Perrigo
Co
PLC
16,220
848
Pfizer
Inc
6,135
232
Sumitomo
Dainippon
Pharma
Co
Ltd
8,300
105
Taisho
Pharmaceutical
Holdings
Co
Ltd
1,900
117
Zoetis
Inc
1,198
192
$
3,005
Pipelines
-
(0.25)%
Cheniere
Energy
Inc
2,809
146
Keyera
Corp
7,100
130
Kinder
Morgan
Inc
12,268
170
Koninklijke
Vopak
NV
4,501
247
ONEOK
Inc
35,500
976
Williams
Cos
Inc/The
10,475
217
$
1,886
Private
Equity
-
(0.03)%
Brookfield
Asset
Management
Inc
6,800
229
Real
Estate
-
(0.14)%
Aeon
Mall
Co
Ltd
15,300
202
Deutsche
Wohnen
SE
6,345
338
Hulic
Co
Ltd
7,100
65
Tokyu
Fudosan
Holdings
Corp
33,900
145
UOL
Group
Ltd
14,500
70
Vonovia
SE
3,216
230
$
1,050
REITs
-
(0.48)%
Digital
Realty
Trust
Inc
2,291
357
Duke
Realty
Corp
321
12
Equinix
Inc
891
704
Equity
Residential
6,300
356
Essex
Property
Trust
Inc
553
120
Extra
Space
Storage
Inc
2,868
306
Healthpeak
Properties
Inc
18,107
500
Host
Hotels
&
Resorts
Inc
10,722
120
Iron
Mountain
Inc
8,190
246
Regency
Centers
Corp
8,563
340
SL
Green
Realty
Corp
6,801
318
UDR
Inc
7,220
251
Vornado
Realty
Trust
7,507
269
$
3,899
Retail
-
(0.64)%
CarMax
Inc
5,143
550
Chipotle
Mexican
Grill
Inc
325
426
Costco
Wholesale
Corp
223
78
Dollar
Tree
Inc
1,587
153
Domino's
Pizza
Inc
1,010
413
Pan
Pacific
International
Holdings
Corp
6,400
151
Ross
Stores
Inc
7,202
656
Starbucks
Corp
10,399
878
Tiffany
&
Co
6,301
772
TJX
Cos
Inc/The
19,873
1,088
$
5,165
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Savings
&
Loans
-
(0.05)%
People's
United
Financial
Inc
40,705
$
431
Semiconductors
-
(0.37)%
Advanced
Micro
Devices
Inc
2,664
242
Analog
Devices
Inc
1,995
233
IPG
Photonics
Corp
4,843
783
Lasertec
Corp
1,200
91
Marvell
Technology
Group
Ltd
8,625
334
Microchip
Technology
Inc
2,286
251
QUALCOMM
Inc
1,736
207
SUMCO
Corp
25,400
345
Xilinx
Inc
4,325
451
$
2,937
Shipbuilding
-
(0.05)%
Huntington
Ingalls
Industries
Inc
1,658
251
Wartsila
OYJ
Abp
22,284
191
$
442
Software
-
(0.90)%
Akamai
Technologies
Inc
3,224
375
ANSYS
Inc
586
199
Cadence
Design
Systems
Inc
1,748
194
Cerner
Corp
688
50
DocuSign
Inc
2,618
584
Dynatrace
Inc
1,227
54
Fidelity
National
Information
Services
Inc
5,635
850
Fiserv
Inc
5,535
551
Jack
Henry
&
Associates
Inc
2,172
359
Konami
Holdings
Corp
7,900
304
MongoDB
Inc
2,256
527
MSCI
Inc
1,932
721
Nexon
Co
Ltd
6,900
161
Paycom
Software
Inc
2,003
600
salesforce.com
Inc
833
227
Splunk
Inc
2,347
515
Twilio
Inc
1,058
285
Tyler
Technologies
Inc
1,627
562
$
7,118
Telecommunications
-
(0.37)%
Arista
Networks
Inc
2,582
577
CenturyLink
Inc
41,257
444
Corning
Inc
10,685
347
Juniper
Networks
Inc
25,510
638
Motorola
Solutions
Inc
3,288
509
Nippon
Telegraph
&
Telephone
Corp
11,950
272
SES
SA
12,137
86
T-Mobile
US
Inc
1,499
175
$
3,048
Transportation
-
(0.39)%
FedEx
Corp
3,283
722
Getlink
SE
13,789
211
Kansas
City
Southern
1,949
355
Kintetsu
Group
Holdings
Co
Ltd
8,900
392
Knight-Swift
Transportation
Holdings
Inc
2,020
92
MTR
Corp
Ltd
15,000
78
Nagoya
Railroad
Co
Ltd
5,100
142
Nippon
Express
Co
Ltd
3,400
201
Nippon
Yusen
KK
18,300
286
Old
Dominion
Freight
Line
Inc
1,028
208
SG
Holdings
Co
Ltd
1,600
74
Yamato
Holdings
Co
Ltd
10,600
277
$
3,038
Water
-
(0.04)%
American
Water
Works
Co
Inc
2,450
346
TOTAL
COMMON
STOCKS
(proceeds
$119,953)
$
131,515
PREFERRED
STOCKS
-
(0.04)%
Shares
Value
(000's)
Consumer
Products
-
(0.03)%
Henkel
AG
&
Co
KGaA
1.85%
2,234
$
228
Electronics
-
(0.01)%
Sartorius
AG
0.36%
226
96
TOTAL
PREFERRED
STOCKS
(proceeds
$321)
$
324
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
177
Short
Sales
Outstanding
BONDS
-
(0.74)%
Principal
Amount
(000's)
Value
(000's)
Computers
-
(0.02)%
Diebold
Nixdorf
Inc
8.50%,
04/15/2024
$
190
$
182
Electric
-
(0.18)%
Pacific
Gas
and
Electric
Co
2.50%,
02/01/2031
719
691
3.50%,
08/01/2050
719
670
$
1,361
Entertainment
-
(0.02)%
Caesars
Resort
Collection
LLC
/
CRC
Finco
Inc
5.25%,
10/15/2025
188
180
Media
-
(0.04)%
Clear
Channel
Worldwide
Holdings
Inc
9.25%,
02/15/2024
337
330
Sovereign
-
(0.47)%
Republic
of
South
Africa
Government
International
Bond
4.85%,
09/27/2027
3,071
3,086
Turkey
Government
International
Bond
11.88%,
01/15/2030
497
661
$
3,747
Telecommunications
-
(0.01)%
GTT
Communications
Inc
7.88%,
12/31/2024
225
83
TOTAL
BONDS
(proceeds
$5,756)
$
5,883
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
(36.1
2
)%
Principal
Amount
(000's)
Value
(000's)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
(1.91)%
3.00%,
09/01/2050
$
14,538
$
15,325
U.S.
Treasury
-
(33.78)%
0.13%,
05/15/2023
13,851
13,843
0.13%,
07/15/2023
36,170
36,147
0.25%,
05/31/2025
38,069
38,072
0.25%,
07/31/2025
11,081
11,074
0.38%,
07/31/2027
23,531
23,369
0.50%,
03/31/2025
23,029
23,301
1.13%,
02/28/2022
20,686
20,987
1.25%,
05/15/2050
3,162
3,004
1.38%,
02/15/2023
32,995
33,996
1.50%,
02/15/2030
41
44
1.75%,
12/31/2024
37,531
39,993
2.00%,
02/15/2050
41
47
2.25%,
02/15/2027
24,048
26,838
2.38%,
11/15/2049
92
112
$
270,827
U.S.
Treasury
Inflation-Indexed
Obligations
-
(0.41)%
0.25%,
07/15/2029
2,918
3,301
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(proceeds
$286,040)
$
289,453
TOTAL
SHORT
SALES
(proceeds
$412,070)
$
427,175
Schedule
of
Investments
International
Equity
Index
Fund
August
31,
2020
See
accompanying
notes.
178
INVESTMENT
COMPANIES
-
1.89%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.92%
iShares
MSCI
EAFE
ETF
156,000
$
10,137
Money
Market
Funds
-
0.97%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c),(d)
10,633,561
10,634
TOTAL
INVESTMENT
COMPANIES
$
20,771
COMMON
STOCKS
-
97.82%
Shares
Held
Value
(000's)
Advertising
-
0.20%
Dentsu
Group
Inc
16,600
$
436
Hakuhodo
DY
Holdings
Inc
17,900
222
JCDecaux
SA
(b)
6,556
125
Publicis
Groupe
SA
16,663
583
WPP
PLC
95,290
807
$
2,173
Aerospace
&
Defense
-
1.00%
Airbus
SE
(b)
45,238
3,720
BAE
Systems
PLC
246,884
1,714
Dassault
Aviation
SA
(b)
193
175
Elbit
Systems
Ltd
2,040
275
Kawasaki
Heavy
Industries
Ltd
10,900
154
Leonardo
SpA
31,165
211
MTU
Aero
Engines
AG
4,085
759
Rolls-Royce
Holdings
PLC
(b)
148,700
469
Safran
SA
(b)
24,652
2,847
Thales
SA
8,198
640
$
10,964
Agriculture
-
0.90%
British
American
Tobacco
PLC
176,647
5,954
Imperial
Brands
PLC
72,882
1,216
Japan
Tobacco
Inc
92,400
1,727
Swedish
Match
AB
12,479
948
$
9,845
Airlines
-
0.10%
ANA
Holdings
Inc
(e)
8,800
219
Deutsche
Lufthansa
AG
(b),(e)
22,992
241
Japan
Airlines
Co
Ltd
8,600
171
Qantas
Airways
Ltd
70,245
204
Singapore
Airlines
Ltd
103,900
278
$
1,113
Apparel
-
1.94%
Adidas
AG
(b)
14,648
4,457
Burberry
Group
PLC
31,163
595
Hermes
International
2,437
2,094
Kering
SA
5,829
3,577
LVMH
Moet
Hennessy
Louis
Vuitton
SE
21,369
10,035
Puma
SE
(b)
6,382
529
$
21,287
Automobile
Manufacturers
-
2.70%
Bayerische
Motoren
Werke
AG
25,472
1,835
Daimler
AG
65,843
3,376
Ferrari
NV
9,698
1,893
Fiat
Chrysler
Automobiles
NV
(b)
84,450
936
Hino
Motors
Ltd
22,100
149
Honda
Motor
Co
Ltd
125,500
3,195
Isuzu
Motors
Ltd
42,500
420
Mazda
Motor
Corp
43,800
279
Mitsubishi
Motors
Corp
51,600
123
Nissan
Motor
Co
Ltd
178,600
720
Peugeot
SA
(b)
45,246
780
Renault
SA
(b)
14,788
422
Subaru
Corp
47,300
983
Suzuki
Motor
Corp
28,300
1,158
Toyota
Motor
Corp
163,200
10,778
Volkswagen
AG
2,498
450
Volvo
AB
-
B
Shares
(b)
114,417
2,192
$
29,689
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Automobile
Parts
&
Equipment
-
0.86%
Aisin
Seiki
Co
Ltd
12,400
$
425
Bridgestone
Corp
41,200
1,304
Cie
Generale
des
Etablissements
Michelin
SCA
13,055
1,479
Continental
AG
8,463
928
Denso
Corp
33,400
1,405
Faurecia
SE
(b)
5,846
256
JTEKT
Corp
15,800
121
Koito
Manufacturing
Co
Ltd
8,000
387
NGK
Insulators
Ltd
19,900
283
NGK
Spark
Plug
Co
Ltd
11,800
202
Pirelli
&
C
SpA
(b),(f)
30,803
133
Stanley
Electric
Co
Ltd
10,100
288
Sumitomo
Electric
Industries
Ltd
58,100
682
Sumitomo
Rubber
Industries
Ltd
13,100
126
Toyoda
Gosei
Co
Ltd
5,000
109
Toyota
Industries
Corp
11,200
651
Valeo
SA
17,616
541
Yokohama
Rubber
Co
Ltd/The
9,100
143
$
9,463
Banks
-
8.10%
ABN
AMRO
Bank
NV
(f)
32,542
309
Aozora
Bank
Ltd
9,100
163
Australia
&
New
Zealand
Banking
Group
Ltd
218,187
2,940
Banco
Bilbao
Vizcaya
Argentaria
SA
512,961
1,502
Banco
Espirito
Santo
SA
(b),(g),(h)
131,709
—
Banco
Santander
SA
1,278,431
2,846
Bank
Hapoalim
BM
87,396
529
Bank
Leumi
Le-Israel
BM
111,772
572
Bank
of
East
Asia
Ltd/The
100,800
227
Bank
of
Kyoto
Ltd/The
4,300
183
Bankinter
SA
51,915
279
Banque
Cantonale
Vaudoise
2,320
248
Barclays
PLC
1,334,178
1,953
BNP
Paribas
SA
(b)
86,533
3,770
BOC
Hong
Kong
Holdings
Ltd
285,000
808
CaixaBank
SA
276,092
607
Chiba
Bank
Ltd/The
40,800
211
Commerzbank
AG
(b)
77,076
448
Commonwealth
Bank
of
Australia
136,185
6,845
Concordia
Financial
Group
Ltd
79,100
262
Credit
Agricole
SA
(b)
88,768
910
Credit
Suisse
Group
AG
186,803
2,055
Danske
Bank
A/S
(b)
53,063
821
DBS
Group
Holdings
Ltd
138,100
2,116
Deutsche
Bank
AG
(b)
151,047
1,448
DNB
ASA
(b)
72,944
1,169
Erste
Group
Bank
AG
(b)
21,492
522
FinecoBank
Banca
Fineco
SpA
(b)
46,892
710
Fukuoka
Financial
Group
Inc
13,200
218
Hang
Seng
Bank
Ltd
58,800
924
HSBC
Holdings
PLC
1,564,303
6,710
ING
Groep
NV
300,082
2,449
Intesa
Sanpaolo
SpA
(b)
1,272,173
2,738
Israel
Discount
Bank
Ltd
89,638
287
Japan
Post
Bank
Co
Ltd
31,100
250
KBC
Group
NV
19,220
1,098
Lloyds
Banking
Group
PLC
5,412,494
2,041
Macquarie
Group
Ltd
25,900
2,435
Mediobanca
Banca
di
Credito
Finanziario
SpA
47,779
416
Mitsubishi
UFJ
Financial
Group
Inc
940,400
3,924
Mizrahi
Tefahot
Bank
Ltd
10,858
221
Mizuho
Financial
Group
Inc
1,855,800
2,512
National
Australia
Bank
Ltd
245,886
3,238
Natixis
SA
(b)
72,844
201
Natwest
Group
PLC
372,527
555
Nordea
Bank
Abp
(b)
249,251
2,009
Oversea-Chinese
Banking
Corp
Ltd
254,400
1,619
Raiffeisen
Bank
International
AG
11,399
204
Resona
Holdings
Inc
161,000
592
Schedule
of
Investments
International
Equity
Index
Fund
August
31,
2020
See
accompanying
notes.
179
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Banks
(continued)
Seven
Bank
Ltd
45,400
$
114
Shinsei
Bank
Ltd
11,900
139
Shizuoka
Bank
Ltd/The
32,100
223
Skandinaviska
Enskilda
Banken
AB
(b)
125,205
1,242
Societe
Generale
SA
(b)
62,368
1,010
Standard
Chartered
PLC
209,212
1,090
Sumitomo
Mitsui
Financial
Group
Inc
100,400
2,952
Sumitomo
Mitsui
Trust
Holdings
Inc
25,944
748
Svenska
Handelsbanken
AB
(b)
119,690
1,204
Swedbank
AB
(b)
69,669
1,184
UBS
Group
AG
(b)
282,034
3,431
UniCredit
SpA
(b)
163,506
1,608
United
Overseas
Bank
Ltd
90,500
1,298
Westpac
Banking
Corp
277,847
3,549
$
88,886
Beverages
-
1.99%
Anheuser-Busch
InBev
SA/NV
58,618
3,407
Asahi
Group
Holdings
Ltd
29,700
1,038
Budweiser
Brewing
Co
APAC
Ltd
(f)
132,400
446
Carlsberg
AS
7,925
1,114
Coca-Cola
Amatil
Ltd
39,028
262
Coca-Cola
Bottlers
Japan
Holdings
Inc
9,500
158
Coca-Cola
European
Partners
PLC
15,723
647
Coca-Cola
HBC
AG
(b)
15,391
409
Davide
Campari-Milano
NV
44,681
458
Diageo
PLC
179,962
6,013
Heineken
Holding
NV
8,864
725
Heineken
NV
19,941
1,844
Ito
En
Ltd
4,100
248
Kirin
Holdings
Co
Ltd
63,300
1,244
Pernod
Ricard
SA
16,336
2,798
Remy
Cointreau
SA
(e)
1,737
286
Suntory
Beverage
&
Food
Ltd
10,600
409
Treasury
Wine
Estates
Ltd
55,442
378
$
21,884
Biotechnology
-
1.00%
Argenx
SE
(b)
3,435
796
BeiGene
Ltd
ADR
(b)
3,098
748
CSL
Ltd
34,930
7,330
Genmab
A/S
(b)
5,021
1,895
H
Lundbeck
A/S
5,368
176
$
10,945
Building
Materials
-
1.72%
AGC
Inc
/Japan
14,800
419
Cie
de
Saint-Gobain
(b)
39,808
1,609
CRH
PLC
60,376
2,252
Daikin
Industries
Ltd
19,200
3,617
Geberit
AG
2,850
1,640
HeidelbergCement
AG
11,449
726
Investment
AB
Latour
(e)
11,399
255
James
Hardie
Industries
PLC
34,092
774
Kingspan
Group
PLC
11,847
1,018
LafargeHolcim
Ltd
(b)
40,276
1,912
LIXIL
Group
Corp
20,500
376
Nibe
Industrier
AB
(b)
23,990
676
Rinnai
Corp
2,800
259
Sika
AG
10,908
2,608
Taiheiyo
Cement
Corp
9,300
236
TOTO
Ltd
10,900
478
$
18,855
Chemicals
-
3.37%
Air
Liquide
SA
36,419
6,039
Air
Water
Inc
14,100
198
Akzo
Nobel
NV
14,845
1,465
Arkema
SA
5,314
588
Asahi
Kasei
Corp
96,600
809
BASF
SE
70,659
4,315
Brenntag
AG
11,886
745
Chr
Hansen
Holding
A/S
8,115
931
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Chemicals
(continued)
Clariant
AG
15,336
$
320
Covestro
AG
(f)
13,375
638
Croda
International
PLC
9,926
781
Daicel
Corp
18,300
133
EMS-
Chemie
Holding
AG
(e)
630
569
Evonik
Industries
AG
16,133
469
Givaudan
SA
711
2,988
ICL
Group
Ltd
54,232
201
Johnson
Matthey
PLC
14,903
470
Kansai
Paint
Co
Ltd
13,600
324
Koninklijke
DSM
NV
13,260
2,124
Kuraray
Co
Ltd
24,500
250
LANXESS
AG
6,391
374
Mitsubishi
Chemical
Holdings
Corp
98,500
575
Mitsubishi
Gas
Chemical
Co
Inc
12,100
216
Mitsui
Chemicals
Inc
14,100
331
Nippon
Paint
Holdings
Co
Ltd
11,300
971
Nissan
Chemical
Corp
9,500
503
Nitto
Denko
Corp
12,200
741
Novozymes
A/S
16,012
946
Shin-Etsu
Chemical
Co
Ltd
27,300
3,318
Showa
Denko
KK
10,300
200
Solvay
SA
5,702
491
Sumitomo
Chemical
Co
Ltd
114,700
372
Symrise
AG
9,898
1,369
Taiyo
Nippon
Sanso
Corp
11,600
204
Toray
Industries
Inc
106,700
506
Tosoh
Corp
20,000
296
Umicore
SA
15,165
696
Yara
International
ASA
13,622
571
$
37,037
Commercial
Services
-
2.76%
Adecco
Group
AG
11,938
625
Adyen
NV
(b),(f)
1,393
2,348
Amadeus
IT
Group
SA
34,656
1,947
Ashtead
Group
PLC
34,716
1,204
Atlantia
SpA
(b)
38,117
605
Benesse
Holdings
Inc
5,500
140
Brambles
Ltd
116,759
953
Bureau
Veritas
SA
22,599
513
Dai
Nippon
Printing
Co
Ltd
18,700
397
Edenred
18,710
966
Experian
PLC
69,943
2,613
GMO
Payment
Gateway
Inc
3,100
328
Intertek
Group
PLC
12,430
974
Nexi
SpA
(b),(f)
28,977
516
Nihon
M&A
Center
Inc
11,400
567
Park24
Co
Ltd
8,300
150
Persol
Holdings
Co
Ltd
13,700
213
Randstad
NV
9,166
477
Recruit
Holdings
Co
Ltd
97,900
3,710
RELX
PLC
148,890
3,379
Rentokil
Initial
PLC
142,413
1,014
Secom
Co
Ltd
16,200
1,533
Securitas
AB
(b)
24,089
343
SGS
SA
466
1,208
Sohgo
Security
Services
Co
Ltd
5,400
252
Toppan
Printing
Co
Ltd
20,200
314
Transurban
Group
210,412
2,081
Worldline
SA/France
(b),(f)
10,539
970
$
30,340
Computers
-
1.21%
Atos
SE
(b)
7,561
655
Capgemini
SE
12,384
1,718
Check
Point
Software
Technologies
Ltd
(b)
8,800
1,111
Computershare
Ltd
37,449
367
CyberArk
Software
Ltd
(b)
2,979
329
Fujitsu
Ltd
15,100
1,971
Ingenico
Group
SA
(b)
4,657
795
Schedule
of
Investments
International
Equity
Index
Fund
August
31,
2020
See
accompanying
notes.
180
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
(continued)
Itochu
Techno-Solutions
Corp
7,300
$
264
Logitech
International
SA
12,652
937
NEC
Corp
19,100
1,008
Nomura
Research
Institute
Ltd
24,543
653
NTT
Data
Corp
48,500
554
Obic
Co
Ltd
5,400
956
Otsuka
Corp
8,000
393
SCSK
Corp
4,000
217
Teleperformance
4,518
1,393
$
13,321
Consumer
Products
-
0.57%
Henkel
AG
&
Co
KGaA
7,995
719
Reckitt
Benckiser
Group
PLC
54,657
5,487
$
6,206
Cosmetics
&
Personal
Care
-
2.55%
Beiersdorf
AG
7,755
896
Essity
AB
(b)
46,678
1,608
Kao
Corp
37,100
2,827
Kose
Corp
2,600
305
Lion
Corp
17,200
365
L'Oreal
SA
19,361
6,425
Pigeon
Corp
8,800
402
Pola
Orbis
Holdings
Inc
7,000
127
Shiseido
Co
Ltd
30,800
1,791
Unicharm
Corp
31,000
1,350
Unilever
NV
112,373
6,530
Unilever
PLC
89,984
5,320
$
27,946
Distribution
&
Wholesale
-
1.13%
Bunzl
PLC
25,936
837
Ferguson
PLC
17,358
1,702
ITOCHU
Corp
103,700
2,661
Jardine
Cycle
&
Carriage
Ltd
7,600
106
Marubeni
Corp
127,000
765
Mitsubishi
Corp
102,900
2,436
Mitsui
&
Co
Ltd
125,500
2,263
Sumitomo
Corp
91,500
1,191
Toyota
Tsusho
Corp
16,300
474
$
12,435
Diversified
Financial
Services
-
1.98%
Acom
Co
Ltd
30,800
120
AerCap
Holdings
NV
(b)
9,973
295
Afterpay
Ltd
(b)
16,455
1,110
Amundi
SA
(b),(f)
4,666
362
ASX
Ltd
14,894
959
Daiwa
Securities
Group
Inc
111,200
502
Deutsche
Boerse
AG
14,617
2,765
Hargreaves
Lansdown
PLC
25,568
550
Hong
Kong
Exchanges
&
Clearing
Ltd
92,600
4,669
Japan
Exchange
Group
Inc
39,100
1,014
Julius
Baer
Group
Ltd
17,218
826
London
Stock
Exchange
Group
PLC
24,242
2,864
Magellan
Financial
Group
Ltd
9,816
428
Mebuki
Financial
Group
Inc
71,400
173
Mitsubishi
UFJ
Lease
&
Finance
Co
Ltd
31,000
146
Nomura
Holdings
Inc
241,900
1,243
ORIX
Corp
101,100
1,257
SBI
Holdings
Inc
/Japan
18,190
414
Schroders
PLC
9,573
371
Singapore
Exchange
Ltd
61,900
391
St
James's
Place
PLC
41,199
534
Standard
Life
Aberdeen
PLC
179,315
561
Tokyo
Century
Corp
3,300
169
$
21,723
Electric
-
2.97%
AGL
Energy
Ltd
48,197
525
AusNet
Services
143,495
192
Chubu
Electric
Power
Co
Inc
49,600
613
Chugoku
Electric
Power
Co
Inc
/The
22,300
272
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Electric
(continued)
CLP
Holdings
Ltd
126,000
$
1,237
E.ON
SE
172,718
2,046
EDP
-
Energias
de
Portugal
SA
213,653
1,086
Electric
Power
Development
Co
Ltd
10,500
158
Electricite
de
France
SA
47,753
502
Elia
Group
SA/NV
2,377
255
Endesa
SA
24,435
678
Enel
SpA
625,698
5,666
Engie
SA
(b)
140,510
1,955
Fortum
Oyj
34,169
723
HK
Electric
Investments
&
HK
Electric
Investments
Ltd
204,000
208
Iberdrola
SA
456,983
5,766
Kansai
Electric
Power
Co
Inc
/The
54,200
534
Kyushu
Electric
Power
Co
Inc
29,200
259
Mercury
NZ
Ltd
52,454
183
Meridian
Energy
Ltd
98,570
336
Origin
Energy
Ltd
135,490
558
Orsted
A/S
(f)
14,553
2,060
Power
Assets
Holdings
Ltd
106,500
610
Red
Electrica
Corp
SA
33,301
637
RWE
AG
49,421
1,968
SSE
PLC
79,312
1,337
Terna
Rete
Elettrica
Nazionale
SpA
108,241
783
Tohoku
Electric
Power
Co
Inc
32,900
334
Tokyo
Electric
Power
Co
Holdings
Inc
(b)
111,400
328
Uniper
SE
15,485
507
Verbund
AG
5,244
282
$
32,598
Electrical
Components
&
Equipment
-
0.73%
Brother
Industries
Ltd
17,200
285
Casio
Computer
Co
Ltd
14,900
240
Legrand
SA
20,537
1,714
Prysmian
SpA
18,566
519
Schneider
Electric
SE
42,534
5,260
$
8,018
Electronics
-
1.77%
ABB
Ltd
141,777
3,615
Assa
Abloy
AB
77,107
1,786
Halma
PLC
29,235
867
Hirose
Electric
Co
Ltd
2,499
283
Hoya
Corp
29,000
2,853
Kyocera
Corp
24,600
1,412
MINEBEA
MITSUMI
Inc
27,900
483
Murata
Manufacturing
Co
Ltd
44,200
2,614
Nidec
Corp
34,400
2,887
Omron
Corp
14,200
1,040
TDK
Corp
10,000
1,037
Venture
Corp
Ltd
21,100
307
Yokogawa
Electric
Corp
17,500
286
$
19,470
Energy
-
Alternate
Sources
-
0.25%
Siemens
Gamesa
Renewable
Energy
SA
18,341
492
Vestas
Wind
Systems
A/S
15,150
2,291
$
2,783
Engineering
&
Construction
-
1.33%
ACS
Actividades
de
Construccion
y
Servicios
SA
20,577
504
Aena
SME
SA
(b),(f)
5,193
775
Aeroports
de
Paris
2,284
238
Auckland
International
Airport
Ltd
96,290
429
Bouygues
SA
17,537
694
Cellnex
Telecom
SA
(f)
24,339
1,564
CIMIC
Group
Ltd
7,363
115
CK
Infrastructure
Holdings
Ltd
51,000
270
Eiffage
SA
(b)
6,513
599
Ferrovial
SA
37,282
996
Fraport
AG
Frankfurt
Airport
Services
Worldwide
(b),(e)
3,204
146
HOCHTIEF
AG
1,906
169
Schedule
of
Investments
International
Equity
Index
Fund
August
31,
2020
See
accompanying
notes.
181
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Engineering
&
Construction
(continued)
Infrastrutture
Wireless
Italiane
SpA
(f)
18,480
$
180
Japan
Airport
Terminal
Co
Ltd
3,900
175
JGC
Holdings
Corp
16,900
186
Kajima
Corp
34,600
430
Keppel
Corp
Ltd
112,000
377
Lendlease
Corp
Ltd
50,883
435
Obayashi
Corp
50,000
489
Shimizu
Corp
42,500
326
Singapore
Technologies
Engineering
Ltd
120,300
300
Skanska
AB
(b)
26,170
532
Sydney
Airport
101,726
427
Taisei
Corp
14,700
507
Vinci
SA
39,641
3,714
$
14,577
Entertainment
-
0.70%
Aristocrat
Leisure
Ltd
44,211
921
Evolution
Gaming
Group
AB
(f)
9,781
732
Flutter
Entertainment
PLC
11,874
1,996
Genting
Singapore
Ltd
465,700
239
GVC
Holdings
PLC
44,875
474
La
Francaise
des
Jeux
SAEM
(f)
6,617
245
Oriental
Land
Co
Ltd/Japan
15,400
2,090
Sega
Sammy
Holdings
Inc
13,300
154
Tabcorp
Holdings
Ltd
170,558
455
Tabcorp
Holdings
Ltd
-
Rights
(b)
14,178
4
Toho
Co
Ltd/Tokyo
8,600
327
$
7,637
Environmental
Control
-
0.02%
Kurita
Water
Industries
Ltd
7,600
238
Food
-
5.36%
a2
Milk
Co
Ltd/The
(b)
56,915
710
Ajinomoto
Co
Inc
35,900
670
Associated
British
Foods
PLC
27,434
742
Barry
Callebaut
AG
233
517
Calbee
Inc
6,600
206
Carrefour
SA
46,578
749
Chocoladefabriken
Lindt
&
Spruengli
AG
-
PC
83
708
Chocoladefabriken
Lindt
&
Spruengli
AG
-
REG
8
707
Coles
Group
Ltd
102,620
1,337
Colruyt
SA
4,260
268
Dairy
Farm
International
Holdings
Ltd
26,016
109
Danone
SA
47,505
3,124
ICA
Gruppen
AB
7,743
380
J
Sainsbury
PLC
136,327
335
Jardine
Strategic
Holdings
Ltd
17,043
342
Jeronimo
Martins
SGPS
SA
19,383
319
Just
Eat
Takeaway.com
NV
(b),(f)
9,723
1,082
Kerry
Group
PLC
12,231
1,606
Kikkoman
Corp
11,200
608
Kobe
Bussan
Co
Ltd
4,700
278
Koninklijke
Ahold
Delhaize
NV
84,679
2,548
MEIJI
Holdings
Co
Ltd
8,800
712
METRO
AG
13,865
137
Mowi
ASA
33,815
661
Nestle
SA
228,944
27,576
NH
Foods
Ltd
6,300
285
Nisshin
Seifun
Group
Inc
15,195
251
Nissin
Foods
Holdings
Co
Ltd
4,900
491
Ocado
Group
PLC
(b)
35,590
1,185
Orkla
ASA
57,781
588
Seven
&
i
Holdings
Co
Ltd
(e)
58,000
1,871
Tesco
PLC
754,171
2,202
Toyo
Suisan
Kaisha
Ltd
6,800
387
WH
Group
Ltd
(f)
736,500
635
Wilmar
International
Ltd
147,800
473
Wm
Morrison
Supermarkets
PLC
(e)
185,199
474
Woolworths
Group
Ltd
97,169
2,847
Yakult
Honsha
Co
Ltd
9,200
525
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Food
(continued)
Yamazaki
Baking
Co
Ltd
9,300
$
152
$
58,797
Food
Service
-
0.25%
Compass
Group
PLC
137,359
2,223
Sodexo
SA
6,807
486
$
2,709
Forest
Products
&
Paper
-
0.38%
Mondi
PLC
37,391
736
Oji
Holdings
Corp
66,300
300
Smurfit
Kappa
Group
PLC
17,435
617
Stora
Enso
Oyj
44,754
660
Svenska
Cellulosa
AB
SCA
(b)
46,610
602
UPM-
Kymmene
Oyj
41,061
1,246
$
4,161
Gas
-
0.67%
Enagas
SA
19,148
469
Hong
Kong
&
China
Gas
Co
Ltd
820,321
1,193
National
Grid
PLC
270,161
3,026
Naturgy
Energy
Group
SA
22,713
438
Osaka
Gas
Co
Ltd
28,800
564
Snam
SpA
156,699
802
Toho
Gas
Co
Ltd
5,700
252
Tokyo
Gas
Co
Ltd
28,900
644
$
7,388
Hand
&
Machine
Tools
-
0.40%
Amada
Co
Ltd
24,900
221
Disco
Corp
2,200
513
Fuji
Electric
Co
Ltd
9,800
306
Makita
Corp
17,200
794
Schindler
Holding
AG
-
PC
3,133
838
Schindler
Holding
AG
-
REG
1,549
408
Techtronic
Industries
Co
Ltd
105,500
1,336
$
4,416
Healthcare
-
Products
-
2.30%
Alcon
Inc
(b)
37,827
2,152
Ambu
A/S
12,571
370
Asahi
Intecc
Co
Ltd
15,000
445
Carl
Zeiss
Meditec
AG
3,097
349
Cochlear
Ltd
5,053
714
Coloplast
A/S
9,140
1,550
Demant
A/S
(b)
8,333
248
DiaSorin
SpA
1,937
351
EssilorLuxottica
SA
(b)
21,879
2,929
Fisher
&
Paykel
Healthcare
Corp
Ltd
44,207
1,095
GN
Store
Nord
A/S
9,851
714
Koninklijke
Philips
NV
(b)
70,401
3,331
Microport
Scientific
Corp
55,000
250
Olympus
Corp
89,700
1,775
QIAGEN
NV
(b)
17,553
892
Sartorius
Stedim
Biotech
2,128
761
Shimadzu
Corp
17,100
511
Siemens
Healthineers
AG
(f)
11,540
526
Smith
&
Nephew
PLC
67,351
1,359
Sonova
Holding
AG
(b)
4,212
985
Straumann
Holding
AG
796
786
Sysmex
Corp
12,900
1,127
Terumo
Corp
49,700
2,022
$
25,242
Healthcare
-
Services
-
0.94%
BioMerieux
3,187
482
Eurofins
Scientific
SE
(b)
1,015
817
Fresenius
Medical
Care
AG
&
Co
KGaA
16,395
1,393
Fresenius
SE
&
Co
KGaA
32,162
1,492
Lonza
Group
AG
5,729
3,560
NMC
Health
PLC
(b),(g),(h)
7,238
—
Orpea
(b)
3,977
477
PeptiDream
Inc
(b)
7,200
292
Ramsay
Health
Care
Ltd
14,086
676
Schedule
of
Investments
International
Equity
Index
Fund
August
31,
2020
See
accompanying
notes.
182
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Healthcare
-
Services
(continued)
Ryman
Healthcare
Ltd
30,803
$
278
Sonic
Healthcare
Ltd
34,728
819
$
10,286
Holding
Companies
-
Diversified
-
0.22%
CK
Hutchison
Holdings
Ltd
207,632
1,358
Jardine
Matheson
Holdings
Ltd
16,925
711
Swire
Pacific
Ltd
38,000
207
Washington
H
Soul
Pattinson
&
Co
Ltd
8,295
128
$
2,404
Home
Builders
-
0.47%
Barratt
Developments
PLC
78,416
548
Berkeley
Group
Holdings
PLC
9,693
586
Daiwa
House
Industry
Co
Ltd
43,600
1,166
Iida
Group
Holdings
Co
Ltd
11,320
221
Persimmon
PLC
24,559
853
Sekisui
Chemical
Co
Ltd
27,500
440
Sekisui
House
Ltd
47,500
938
Taylor
Wimpey
PLC
259,371
419
$
5,171
Home
Furnishings
-
0.94%
Electrolux
AB
17,352
377
Hoshizaki
Corp
3,900
298
Panasonic
Corp
169,900
1,566
SEB
SA
1,742
306
Sharp
Corp/Japan
16,400
203
Sony
Corp
97,100
7,603
$
10,353
Insurance
-
4.95%
Admiral
Group
PLC
14,701
513
Aegon
NV
137,656
381
Ageas
SA/NV
13,471
561
AIA
Group
Ltd
930,200
9,530
Allianz
SE
32,094
6,964
AMP
Ltd
264,643
298
Assicurazioni
Generali
SpA
84,871
1,318
Aviva
PLC
302,003
1,138
AXA
SA
148,795
3,036
Baloise
Holding
AG
3,567
556
CNP
Assurances
(b)
13,219
177
Dai-ichi
Life
Holdings
Inc
83,000
1,258
Direct
Line
Insurance
Group
PLC
105,884
418
Gjensidige
Forsikring
ASA
(b)
15,386
328
Hannover
Rueck
SE
4,639
791
Insurance
Australia
Group
Ltd
177,789
623
Japan
Post
Holdings
Co
Ltd
121,200
896
Japan
Post
Insurance
Co
Ltd
17,300
276
Legal
&
General
Group
PLC
459,382
1,321
M&G
PLC
200,213
463
Mapfre
SA
83,003
157
Medibank
Pvt
Ltd
211,866
426
MS&AD
Insurance
Group
Holdings
Inc
34,300
951
Muenchener
Rueckversicherungs-Gesellschaft
AG
in
Muenchen
10,778
3,113
NN
Group
NV
22,175
834
Prudential
PLC
200,321
3,230
QBE
Insurance
Group
Ltd
113,026
874
RSA
Insurance
Group
PLC
79,445
474
Sampo
Oyj
36,237
1,460
SCOR
SE
(b)
12,198
327
Sompo
Holdings
Inc
25,850
971
Suncorp
Group
Ltd
97,005
664
Swiss
Life
Holding
AG
2,456
993
Swiss
Re
AG
22,669
1,825
T&D
Holdings
Inc
41,400
433
Tokio
Marine
Holdings
Inc
48,700
2,248
Tryg
A/S
9,307
286
Zurich
Insurance
Group
AG
11,574
4,280
$
54,392
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Internet
-
1.37%
Adevinta
ASA
-
B
Shares
(b)
18,442
$
344
Auto
Trader
Group
PLC
(f)
74,394
556
CyberAgent
Inc
7,700
410
Delivery
Hero
SE
(b),(f)
9,937
1,069
Iliad
SA
1,139
243
Kakaku.com
Inc
10,300
275
LINE
Corp
(b)
4,600
235
M3
Inc
34,000
1,970
Mercari
Inc
(b)
6,500
295
MonotaRO
Co
Ltd
9,600
380
Prosus
NV
(b)
37,496
3,758
Rakuten
Inc
66,200
583
Scout24
AG
(f)
8,278
770
SEEK
Ltd
25,756
391
Trend
Micro
Inc
/Japan
10,200
631
United
Internet
AG
8,208
404
Wix.com
Ltd
(b)
3,963
1,168
Z
Holdings
Corp
204,100
1,359
ZOZO
Inc
8,300
234
$
15,075
Investment
Companies
-
0.55%
Eurazeo
SE
(b)
3,027
160
EXOR
NV
8,344
492
Groupe
Bruxelles
Lambert
SA
8,690
802
Industrivarden
AB
(b)
12,284
324
Investor
AB
35,041
2,241
Kinnevik
AB
–
Class
B
(b)
18,611
722
Kinnevik
AB
(b),(e)
18,629
15
L
E
Lundbergforetagen
AB
(b)
5,852
268
Melrose
Industries
PLC
374,121
499
Sofina
SA
1,186
355
Wendel
SE
2,063
212
$
6,090
Iron
&
Steel
-
0.41%
ArcelorMittal
SA
(b)
55,146
695
BlueScope
Steel
Ltd
38,668
361
Evraz
PLC
39,133
167
Fortescue
Metals
Group
Ltd
130,276
1,665
Hitachi
Metals
Ltd
16,500
247
JFE
Holdings
Inc
37,900
287
Nippon
Steel
Corp
62,077
611
thyssenkrupp
AG
(b)
31,161
225
voestalpine
AG
8,937
222
$
4,480
Leisure
Products
&
Services
-
0.19%
Shimano
Inc
5,700
1,207
Yamaha
Corp
10,300
502
Yamaha
Motor
Co
Ltd
21,500
338
$
2,047
Lodging
-
0.46%
Accor
SA
(b)
14,577
447
City
Developments
Ltd
34,900
206
Crown
Resorts
Ltd
28,680
190
Galaxy
Entertainment
Group
Ltd
167,000
1,313
InterContinental
Hotels
Group
PLC
13,317
769
Melco
Resorts
&
Entertainment
Ltd
ADR
16,507
322
Sands
China
Ltd
186,400
820
SJM
Holdings
Ltd
153,000
210
Whitbread
PLC
15,524
524
Wynn
Macau
Ltd
(b)
120,000
225
$
5,026
Machinery
-
Construction
&
Mining
-
0.88%
Epiroc
AB
-
A
Shares
50,698
756
Epiroc
AB
-
B
Shares
30,001
431
Hitachi
Construction
Machinery
Co
Ltd
8,200
288
Hitachi
Ltd
74,400
2,475
Komatsu
Ltd
67,400
1,467
Mitsubishi
Electric
Corp
140,500
1,936
Mitsubishi
Heavy
Industries
Ltd
24,600
611
Schedule
of
Investments
International
Equity
Index
Fund
August
31,
2020
See
accompanying
notes.
183
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Construction
&
Mining
(continued)
Sandvik
AB
(b)
86,850
$
1,710
$
9,674
Machinery
-
Diversified
-
2.25%
ANDRITZ
AG
5,605
187
Atlas
Copco
AB
-
A
Shares
51,660
2,391
Atlas
Copco
AB
-
B
Shares
30,020
1,206
CNH
Industrial
NV
(b)
78,723
624
Daifuku
Co
Ltd
7,800
687
FANUC
Corp
14,800
2,596
GEA
Group
AG
11,803
431
Hexagon
AB
(b)
21,651
1,572
Husqvarna
AB
32,181
350
Keyence
Corp
14,060
5,791
KION
Group
AG
4,997
423
Kone
Oyj
26,148
2,243
Kubota
Corp
79,800
1,441
Miura
Co
Ltd
6,700
275
Nabtesco
Corp
8,600
272
SMC
Corp/Japan
4,400
2,418
Spirax-Sarco
Engineering
PLC
5,674
773
Sumitomo
Heavy
Industries
Ltd
8,500
193
THK
Co
Ltd
9,200
216
Yaskawa
Electric
Corp
(e)
18,500
664
$
24,753
Media
-
0.50%
Bollore
SA
67,954
255
Informa
PLC
115,675
638
ITV
PLC
278,988
223
Pearson
PLC
59,120
436
Schibsted
ASA
-
B
Shares
(b)
7,548
298
Telenet
Group
Holding
NV
3,501
136
Vivendi
SA
63,841
1,818
Wolters
Kluwer
NV
21,004
1,723
$
5,527
Metal
Fabrication
&
Hardware
-
0.15%
Maruichi
Steel
Tube
Ltd
4,300
115
MISUMI
Group
Inc
21,800
571
NSK
Ltd
27,500
211
SKF
AB
29,285
586
Tenaris
SA
36,364
213
$
1,696
Mining
-
2.45%
Anglo
American
PLC
94,582
2,324
Antofagasta
PLC
30,367
436
BHP
Group
Ltd
226,625
6,258
BHP
Group
PLC
162,645
3,702
Boliden
AB
21,042
629
Evolution
Mining
Ltd
124,565
509
Glencore
PLC
(b)
769,552
1,892
Mitsubishi
Materials
Corp
8,500
178
Newcrest
Mining
Ltd
62,180
1,464
Norsk
Hydro
ASA
(b)
103,460
330
Northern
Star
Resources
Ltd
56,932
574
Rio
Tinto
Ltd
28,558
2,055
Rio
Tinto
PLC
86,378
5,372
South32
Ltd
372,824
576
Sumitomo
Metal
Mining
Co
Ltd
17,900
546
$
26,845
Miscellaneous
Manufacturers
-
1.13%
Alfa
Laval
AB
(b)
24,202
591
Alstom
SA
(b)
14,832
828
JSR
Corp
15,600
333
Knorr-
Bremse
AG
3,721
473
Nikon
Corp
23,200
182
Orica
Ltd
31,205
399
Siemens
AG
58,852
8,155
Smiths
Group
PLC
30,510
566
Toshiba
Corp
29,800
859
$
12,386
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Office
&
Business
Equipment
-
0.30%
Canon
Inc
77,000
$
1,321
FUJIFILM
Holdings
Corp
27,700
1,318
Ricoh
Co
Ltd
51,600
385
Seiko
Epson
Corp
21,500
256
$
3,280
Oil
&
Gas
-
3.03%
Ampol
Ltd
19,210
368
BP
PLC
1,559,653
5,441
DCC
PLC
7,579
673
ENEOS
Holdings
Inc
236,130
925
Eni
SpA
195,705
1,818
Equinor
ASA
77,053
1,247
Galp
Energia
SGPS
SA
38,562
414
Idemitsu
Kosan
Co
Ltd
14,981
330
Inpex
Corp
78,800
500
Lundin
Energy
AB
14,298
350
Neste
Oyj
32,547
1,742
Oil
Search
Ltd
151,953
366
OMV
AG
11,330
367
Repsol
SA
114,452
904
Royal
Dutch
Shell
PLC
-
A
Shares
316,957
4,666
Royal
Dutch
Shell
PLC
-
B
Shares
286,782
4,035
Santos
Ltd
136,215
569
TOTAL
SE
190,156
7,544
Woodside
Petroleum
Ltd
73,418
1,059
$
33,318
Pharmaceuticals
-
9.32%
Alfresa
Holdings
Corp
14,400
289
Astellas
Pharma
Inc
143,300
2,248
AstraZeneca
PLC
101,050
11,217
Bayer
AG
75,578
5,027
Chugai
Pharmaceutical
Co
Ltd
51,700
2,304
Daiichi
Sankyo
Co
Ltd
43,700
3,898
Eisai
Co
Ltd
19,400
1,695
Galapagos
NV
(b)
3,263
438
GlaxoSmithKline
PLC
386,302
7,546
Grifols
SA
22,948
622
Hikma
Pharmaceuticals
PLC
11,808
373
Hisamitsu
Pharmaceutical
Co
Inc
4,000
185
Ipsen
SA
2,902
300
Kobayashi
Pharmaceutical
Co
Ltd
3,800
339
Kyowa
Kirin
Co
Ltd
20,700
535
Medipal
Holdings
Corp
14,100
269
Merck
KGaA
9,943
1,351
Nippon
Shinyaku
Co
Ltd
3,600
297
Novartis
AG
170,811
14,722
Novo
Nordisk
A/S
132,469
8,758
Ono
Pharmaceutical
Co
Ltd
28,400
858
Orion
Oyj
8,098
380
Otsuka
Holdings
Co
Ltd
30,100
1,321
Recordati
Industria
Chimica
e
Farmaceutica
SpA
8,044
439
Roche
Holding
AG
54,049
18,907
Sanofi
86,968
8,809
Santen
Pharmaceutical
Co
Ltd
27,600
527
Shionogi
&
Co
Ltd
20,400
1,133
Sumitomo
Dainippon
Pharma
Co
Ltd
13,700
173
Suzuken
Co
Ltd/Aichi
Japan
5,100
189
Taisho
Pharmaceutical
Holdings
Co
Ltd
2,700
166
Takeda
Pharmaceutical
Co
Ltd
121,200
4,519
Teva
Pharmaceutical
Industries
Ltd
ADR
(b)
84,278
832
UCB
SA
9,727
1,154
Vifor
Pharma
AG
3,501
518
$
102,338
Pipelines
-
0.09%
APA
Group
90,770
696
Koninklijke
Vopak
NV
5,409
297
$
993
Schedule
of
Investments
International
Equity
Index
Fund
August
31,
2020
See
accompanying
notes.
184
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Private
Equity
-
0.25%
3i
Group
PLC
74,933
$
921
EQT
AB
18,345
340
Partners
Group
Holding
AG
1,438
1,465
$
2,726
Real
Estate
-
1.56%
Aeon
Mall
Co
Ltd
7,850
104
Aroundtown
SA
(b)
88,647
486
Azrieli
Group
Ltd
3,268
176
CapitaLand
Ltd
197,600
402
CK
Asset
Holdings
Ltd
198,632
1,078
Daito
Trust
Construction
Co
Ltd
5,100
452
Deutsche
Wohnen
SE
26,294
1,403
Hang
Lung
Properties
Ltd
155,000
437
Henderson
Land
Development
Co
Ltd
111,982
440
Hongkong
Land
Holdings
Ltd
89,775
343
Hulic
Co
Ltd
23,300
212
Kerry
Properties
Ltd
50,500
131
LEG
Immobilien
AG
5,309
780
Mitsubishi
Estate
Co
Ltd
91,000
1,424
Mitsui
Fudosan
Co
Ltd
71,500
1,293
New
World
Development
Co
Ltd
117,750
610
Nomura
Real
Estate
Holdings
Inc
8,900
170
REA
Group
Ltd
(e)
4,054
341
Sino
Land
Co
Ltd
243,073
283
Sumitomo
Realty
&
Development
Co
Ltd
23,800
702
Sun
Hung
Kai
Properties
Ltd
100,000
1,342
Swire
Properties
Ltd
90,000
244
Swiss
Prime
Site
AG
5,845
527
Tokyu
Fudosan
Holdings
Corp
47,100
202
UOL
Group
Ltd
35,600
172
Vonovia
SE
39,632
2,836
Wharf
Real
Estate
Investment
Co
Ltd
128,000
532
$
17,122
REITs
-
1.39%
Ascendas
Real
Estate
Investment
Trust
236,650
577
British
Land
Co
PLC/The
67,792
331
CapitaLand
Commercial
Trust
208,000
256
CapitaLand
Mall
Trust
198,800
286
Covivio
3,997
296
Daiwa
House
REIT
Investment
Corp
153
400
Dexus
83,947
546
Gecina
SA
3,527
485
GLP
J-
Reit
(b)
280
432
Goodman
Group
126,594
1,704
GPT
Group/The
149,855
423
ICADE
2,297
149
Japan
Prime
Realty
Investment
Corp
62
187
Japan
Real
Estate
Investment
Corp
102
571
Japan
Retail
Fund
Investment
Corp
202
304
Klepierre
SA
15,150
249
Land
Securities
Group
PLC
54,243
420
Link
REIT
158,400
1,260
Mapletree
Commercial
Trust
165,600
233
Mapletree
Logistics
Trust
204,700
311
Mirvac
Group
302,639
470
Nippon
Building
Fund
Inc
98
590
Nippon
Prologis
REIT
Inc
(b)
162
531
Nomura
Real
Estate
Master
Fund
Inc
(b)
327
419
Orix
JREIT
Inc
202
300
Scentre
Group
399,296
665
Segro
PLC
90,860
1,155
Stockland
183,429
535
Suntec
Real
Estate
Investment
Trust
151,500
156
Unibail
-
Rodamco
-Westfield
10,646
495
United
Urban
Investment
Corp
228
253
Vicinity
Centres
296,196
316
$
15,305
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Retail
-
2.10%
ABC-Mart
Inc
(e)
2,600
$
137
Aeon
Co
Ltd
50,400
1,251
Cie
Financiere
Richemont
SA
40,158
2,674
Cosmos
Pharmaceutical
Corp
1,600
282
FamilyMart
Co
Ltd
13,700
304
Fast
Retailing
Co
Ltd
(e)
4,500
2,683
Hennes
&
Mauritz
AB
61,804
989
Industria
de
Diseno
Textil
SA
83,918
2,360
Isetan
Mitsukoshi
Holdings
Ltd
25,900
142
JD
Sports
Fashion
PLC
33,725
325
Kingfisher
PLC
162,495
591
Lawson
Inc
(e)
3,800
188
Marui
Group
Co
Ltd
14,600
266
McDonald's
Holdings
Co
Japan
Ltd
5,100
250
Moncler
SpA
(b)
14,904
578
Next
PLC
10,239
820
Nitori
Holdings
Co
Ltd
6,200
1,298
Pan
Pacific
International
Holdings
Corp
31,600
744
Pandora
A/S
7,693
562
Ryohin
Keikaku
Co
Ltd
18,300
286
Shimamura
Co
Ltd
1,800
149
Sundrug
Co
Ltd
5,500
205
Swatch
Group
AG/The
-
BR
2,227
471
Swatch
Group
AG/The
-
REG
4,051
160
Tsuruha
Holdings
Inc
2,900
388
USS
Co
Ltd
16,900
285
Welcia
Holdings
Co
Ltd
7,400
317
Wesfarmers
Ltd
87,227
3,048
Yamada
Denki
Co
Ltd
55,700
299
Zalando
SE
(b),(f)
11,673
1,023
$
23,075
Semiconductors
-
2.04%
Advantest
Corp
15,400
738
ASM
Pacific
Technology
Ltd
23,600
254
ASML
Holding
NV
32,746
12,237
Hamamatsu
Photonics
KK
10,700
487
Infineon
Technologies
AG
96,234
2,676
Lasertec
Corp
5,800
438
Renesas
Electronics
Corp
(b)
59,200
373
Rohm
Co
Ltd
6,800
438
STMicroelectronics
NV
49,035
1,483
SUMCO
Corp
20,100
273
Tokyo
Electron
Ltd
11,500
2,950
$
22,347
Shipbuilding
-
0.04%
Wartsila
OYJ
Abp
34,175
293
Yangzijiang
Shipbuilding
Holdings
Ltd
198,700
133
$
426
Software
-
1.93%
AVEVA
Group
PLC
4,974
336
Dassault
Systemes
SE
10,164
1,918
Konami
Holdings
Corp
7,100
273
Nemetschek
SE
4,443
353
Nexon
Co
Ltd
37,300
873
Oracle
Corp
Japan
3,000
352
Sage
Group
PLC/The
84,059
830
SAP
SE
80,333
13,283
Square
Enix
Holdings
Co
Ltd
7,000
461
TeamViewer
AG
(b),(f)
10,001
541
Temenos
AG
5,098
824
TIS
Inc
17,200
343
Ubisoft
Entertainment
SA
(b)
6,995
576
WiseTech
Global
Ltd
11,207
232
$
21,195
Telecommunications
-
4.07%
Altice
Europe
NV
(b)
47,934
212
BT
Group
PLC
684,901
954
Deutsche
Telekom
AG
256,410
4,520
Elisa
Oyj
10,943
644
Schedule
of
Investments
International
Equity
Index
Fund
August
31,
2020
See
accompanying
notes.
185
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Telecommunications
(continued)
Hikari
Tsushin
Inc
1,600
$
386
HKT
Trust
&
HKT
Ltd
290,980
416
KDDI
Corp
124,100
3,607
Koninklijke
KPN
NV
274,826
721
Nice
Ltd
(b)
4,800
1,102
Nippon
Telegraph
&
Telephone
Corp
99,100
2,255
Nokia
OYJ
(b)
434,954
2,120
NTT
DOCOMO
Inc
87,000
2,426
Orange
SA
153,479
1,714
PCCW
Ltd
327,000
205
Proximus
SADP
11,713
231
SES
SA
29,528
210
Singapore
Telecommunications
Ltd
628,200
1,060
SoftBank
Corp
147,300
1,936
SoftBank
Group
Corp
120,600
7,460
Spark
New
Zealand
Ltd
141,324
459
Swisscom
AG
1,993
1,104
Tele2
AB
38,418
545
Telecom
Italia
SpA
/Milano
643,267
306
Telecom
Italia
SpA
/Milano
-
RSP
464,185
220
Telefonaktiebolaget
LM
Ericsson
224,542
2,618
Telefonica
Deutschland
Holding
AG
80,181
222
Telefonica
SA
374,466
1,475
Telenor
ASA
55,485
903
Telia
Co
AB
188,770
728
Telstra
Corp
Ltd
320,233
681
TPG
Telecom
Ltd
(b)
28,551
173
Vodafone
Group
PLC
2,061,581
3,023
$
44,636
Textiles
-
0.02%
Teijin
Ltd
13,700
215
Toys,
Games
&
Hobbies
-
0.51%
Bandai
Namco
Holdings
Inc
15,300
950
Nintendo
Co
Ltd
8,600
4,629
$
5,579
Transportation
-
1.86%
AP
Moller
-
Maersk
A/S
-
A
249
354
AP
Moller
-
Maersk
A/S
-
B
504
772
Aurizon
Holdings
Ltd
147,444
471
Central
Japan
Railway
Co
11,100
1,664
Deutsche
Post
AG
76,100
3,469
DSV
PANALPINA
A/S
15,925
2,486
East
Japan
Railway
Co
23,200
1,510
Getlink
SE
(b)
33,850
518
Hankyu
Hanshin
Holdings
Inc
17,600
572
Kamigumi
Co
Ltd
7,500
155
Keihan
Holdings
Co
Ltd
7,400
319
Keikyu
Corp
17,000
254
Keio
Corp
7,900
478
Keisei
Electric
Railway
Co
Ltd
10,000
294
Kintetsu
Group
Holdings
Co
Ltd
13,200
581
Kuehne
+
Nagel
International
AG
4,155
805
Kyushu
Railway
Co
11,500
254
MTR
Corp
Ltd
118,500
616
Nagoya
Railroad
Co
Ltd
14,300
399
Nippon
Express
Co
Ltd
5,600
331
Nippon
Yusen
KK
11,700
183
Odakyu
Electric
Railway
Co
Ltd
22,700
562
Poste
Italiane
SpA
(f)
40,192
369
Seibu
Holdings
Inc
16,200
178
SG
Holdings
Co
Ltd
12,300
566
Tobu
Railway
Co
Ltd
14,600
456
Tokyu
Corp
38,500
515
West
Japan
Railway
Co
12,500
657
Yamato
Holdings
Co
Ltd
23,700
620
$
20,408
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Water
-
0.24%
Severn
Trent
PLC
18,324
$
569
Suez
SA
26,587
459
United
Utilities
Group
PLC
52,510
577
Veolia
Environnement
SA
41,458
1,000
$
2,605
TOTAL
COMMON
STOCKS
$
1,073,919
PREFERRED
STOCKS
-
0.56%
Shares
Held
Value
(000's)
Automobile
Manufacturers
-
0.31%
Bayerische
Motoren
Werke
AG
2.52%
4,380
$
247
Porsche
Automobil
Holding
SE
2.21%
11,780
725
Volkswagen
AG
4.86%
14,278
2,388
$
3,360
Chemicals
-
0.02%
FUCHS
PETROLUB
SE
0.97%
5,353
253
Consumer
Products
-
0.13%
Henkel
AG
&
Co
KGaA
1.85%
13,707
1,401
Electronics
-
0.10%
Sartorius
AG
0.36%
2,737
1,162
TOTAL
PREFERRED
STOCKS
$
6,176
Total
Investments
$
1,100,866
Other
Assets
and
Liabilities
- (0.27)%
(2,993)
TOTAL
NET
ASSETS
-
100.00%
$
1,097,873
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
(d)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$8,560
or
0.78%
of
net
assets.
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(f)
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
$17,849
or
1.63%
of
net
assets.
(g)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(h)
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
$0
or
0.00%
of
net
assets.
Schedule
of
Investments
International
Equity
Index
Fund
August
31,
2020
See
accompanying
notes.
186
Portfolio
Summary (unaudited)
Location
Percent
Japan
24.63%
United
Kingdom
12.63%
Switzerland
10.43%
France
10.43%
Germany
9.36%
Australia
6.84%
Netherlands
4.53%
Hong
Kong
3.16%
Sweden
3.03%
Denmark
2.41%
Spain
2.28%
Italy
2.06%
United
States
1.89%
Finland
1.22%
Ireland
1.09%
Singapore
1.02%
Belgium
0.88%
Israel
0.63%
Norway
0.58%
New
Zealand
0.33%
Luxembourg
0.21%
Portugal
0.17%
Austria
0.16%
China
0.10%
Macao
0.09%
Chile
0.04%
Isle
of
Man
0.04%
Jordan
0.03%
United
Arab
Emirates
0.00%
Other
Assets
and
Liabilities
(0.27)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
6,107
$
352,474
$
347,947
$
10,634
$
6,107
$
352,474
$
347,947
$
10,634
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
39
$
—
$
—
$
—
$
39
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
eMini
MSCI
EAFE;
September
2020
Long
26
$
2,470
$
161
Total
$
161
Amounts
in
thousands
except
contracts.
Schedule
of
Investments
International
Small
Company
Fund
August
31,
2020
See
accompanying
notes.
187
INVESTMENT
COMPANIES
-
3.34%
Shares
Held
Value
(000's)
Money
Market
Funds
-
3.34%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c),(d)
34,883,655
$
34,88
4
TOTAL
INVESTMENT
COMPANIES
$
34,88
4
COMMON
STOCKS
-
98.62%
Shares
Held
Value
(000's)
Advertising
-
0.54%
Stroeer
SE
&
Co
KGaA
(b),(e)
72,523
$
5,654
Aerospace
&
Defense
-
0.29%
Ultra
Electronics
Holdings
PLC
99,479
3,065
Agriculture
-
0.27%
Genus
PLC
64,518
2,867
Airlines
-
0.27%
Wizz
Air
Holdings
Plc
(b),(f)
55,149
2,861
Apparel
-
1.04%
boohoo
Group
PLC
(b)
1,972,102
7,679
Puma
SE
(b)
38,152
3,161
$
10,840
Automobile
Manufacturers
-
0.22%
Isuzu
Motors
Ltd
234,000
2,312
Automobile
Parts
&
Equipment
-
1.72%
FCC
Co
Ltd
100,000
1,816
Rheinmetall
AG
76,187
7,063
Toyoda
Gosei
Co
Ltd
259,900
5,646
TS
Tech
Co
Ltd
118,900
3,478
$
18,003
Banks
-
3.32%
BAWAG
Group
AG
(b),(f)
97,239
3,663
Cembra
Money
Bank
AG
(e)
43,138
5,147
Chiba
Bank
Ltd/The
934,000
4,838
Israel
Discount
Bank
Ltd
1,435,115
4,590
Mediobanca
Banca
di
Credito
Finanziario
SpA
676,214
5,881
Mizrahi
Tefahot
Bank
Ltd
228,971
4,663
Paragon
Banking
Group
PLC
405,465
1,926
Shinsei
Bank
Ltd
339,300
3,959
$
34,667
Beverages
-
1.09%
Carlsberg
AS
19,527
2,745
Royal
Unibrew
A/S
82,160
8,621
$
11,366
Biotechnology
-
0.24%
Argenx
SE
(b)
10,651
2,468
Building
Materials
-
2.01%
Buzzi
Unicem
SpA
335,462
8,200
Ibstock
PLC
(f)
1,034,247
2,108
ROCKWOOL
International
A/S
24,976
9,437
Wienerberger
AG
46,356
1,250
$
20,995
Chemicals
-
3.16%
Arkema
SA
67,316
7,453
Denka
Co
Ltd
240,600
6,771
Koninklijke
DSM
NV
23,687
3,793
Lintec
Corp
138,400
3,280
Solvay
SA
29,074
2,505
Sumitomo
Bakelite
Co
Ltd
153,500
4,054
Zeon
Corp
489,500
5,138
$
32,994
Commercial
Services
-
2.16%
Aggreko
PLC
357,470
2,252
Loomis
AB
(b)
223,195
5,605
Nishio
Rent
All
Co
Ltd
91,800
2,023
Park24
Co
Ltd
282,900
5,094
QinetiQ
Group
PLC
881,717
3,412
Rentokil
Initial
PLC
582,803
4,150
$
22,536
Computers
-
5.86%
Appen
Ltd
288,948
7,370
Computacenter
PLC
142,395
3,871
CyberArk
Software
Ltd
(b)
51,649
5,707
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
(continued)
Indra
Sistemas
SA
(b)
443,785
$
3,235
Keywords
Studios
PLC
125,283
3,660
Logitech
International
SA
71,327
5,283
MCJ
Co
Ltd
291,400
2,593
NEC
Corp
81,200
4,288
NEC
Networks
&
System
Integration
Corp
170,100
3,163
Nomura
Research
Institute
Ltd
140,700
3,741
NSD
Co
Ltd
134,100
2,337
S&T
AG
(b)
148,410
4,158
Softcat
PLC
182,256
3,375
Sopra
Steria
Group
(b)
25,451
4,133
Teleperformance
13,774
4,247
$
61,161
Distribution
&
Wholesale
-
2.32%
Inchcape
PLC
791,564
5,332
Rexel
SA
(b)
516,980
6,907
Seven
Group
Holdings
Ltd
(e)
474,222
6,664
Toromont
Industries
Ltd
93,104
5,269
$
24,172
Diversified
Financial
Services
-
2.77%
DWS
Group
GmbH
&
Co
KGaA
(b),(f)
70,125
2,764
Euronext
NV
(f)
52,398
6,381
IG
Group
Holdings
PLC
676,637
7,046
Man
Group
PLC/Jersey
1,855,154
3,050
Mitsubishi
UFJ
Lease
&
Finance
Co
Ltd
400,200
1,889
TP
ICAP
PLC
644,893
2,574
Zenkoku
Hosho
Co
Ltd
147,600
5,223
$
28,927
Electric
-
2.43%
Capital
Power
Corp
261,900
5,747
Chubu
Electric
Power
Co
Inc
120,200
1,485
Hera
SpA
1,429,532
5,458
Iren
SpA
1,821,981
4,771
Northland
Power
Inc
283,200
7,932
$
25,393
Electrical
Components
&
Equipment
-
1.35%
Prysmian
SpA
269,315
7,527
Signify
NV
(b),(f)
198,371
6,617
$
14,144
Electronics
-
1.45%
Anritsu
Corp
(e)
336,500
7,368
Halma
PLC
120,940
3,586
Mycronic
AB
184,089
4,193
$
15,147
Energy
-
Alternate
Sources
-
0.54%
Vestas
Wind
Systems
A/S
37,339
5,645
Engineering
&
Construction
-
4.16%
ACS
Actividades
de
Construccion
y
Servicios
SA
68,277
1,671
Balfour
Beatty
PLC
931,945
2,735
Downer
EDI
Ltd
1,377,166
4,553
Hazama
Ando
Corp
795,500
5,404
Kajima
Corp
514,200
6,397
KAWADA
TECHNOLOGIES
Inc
24,900
1,178
Kyowa
Exeo
Corp
305,600
7,688
Penta-Ocean
Construction
Co
Ltd
1,059,500
6,795
SPIE
SA
180,471
3,062
Stantec
Inc
123,000
3,994
$
43,477
Entertainment
-
1.68%
Flutter
Entertainment
PLC
28,908
4,750
GVC
Holdings
PLC
657,703
6,954
Kindred
Group
PLC
(b)
416,256
3,231
Tokyotokeiba
Co
Ltd
56,800
2,624
$
17,559
Food
-
4.00%
AAK
AB
(b)
200,810
3,985
Empire
Co
Ltd
236,300
6,150
HelloFresh
SE
(b)
144,888
7,465
Schedule
of
Investments
International
Small
Company
Fund
August
31,
2020
See
accompanying
notes.
188
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Food
(continued)
J
Sainsbury
PLC
2,350,430
$
5,775
Morinaga
Milk
Industry
Co
Ltd
152,500
7,411
NH
Foods
Ltd
151,000
6,840
Sonae
SGPS
SA
3,034,882
2,166
WH
Group
Ltd
(f)
2,277,500
1,963
$
41,755
Food
Service
-
0.16%
Autogrill
SpA
(b)
329,251
1,686
Forest
Products
&
Paper
-
1.17%
Interfor
Corp
(b)
231,213
3,031
Sumitomo
Forestry
Co
Ltd
219,200
3,500
UPM-
Kymmene
Oyj
119,017
3,613
West
Fraser
Timber
Co
Ltd
38,100
2,043
$
12,187
Gas
-
0.56%
Rubis
SCA
124,727
5,872
Healthcare
-
Products
-
2.20%
Ambu
A/S
153,849
4,528
Carl
Zeiss
Meditec
AG
17,866
2,016
ConvaTec
Group
PLC
(f)
1,671,033
4,267
GN
Store
Nord
A/S
103,125
7,474
Sartorius
Stedim
Biotech
13,206
4,720
$
23,005
Healthcare
-
Services
-
1.74%
Evotec
SE
(b),(e)
125,455
3,359
ICON
PLC
(b)
37,045
6,905
Korian
SA
(b)
88,529
3,429
Orpea
(b)
37,037
4,442
$
18,135
Home
Builders
-
0.51%
Redrow
PLC
886,372
5,365
Insurance
-
2.48%
ASR
Nederland
NV
244,858
8,465
Direct
Line
Insurance
Group
PLC
1,538,108
6,079
Phoenix
Group
Holdings
PLC
851,734
7,877
Swiss
Life
Holding
AG
8,648
3,496
$
25,917
Internet
-
0.78%
Scout24
AG
(f)
87,040
8,097
Investment
Companies
-
0.66%
Kinnevik
AB
–
Class
B
(b),(e)
173,089
6,714
Kinnevik
AB
(b),(e)
156,518
126
$
6,840
Lodging
-
0.13%
NagaCorp
Ltd
1,150,000
1,387
Machinery
-
Diversified
-
2.95%
ATS
Automation
Tooling
Systems
Inc
(b)
155,400
2,190
Bucher
Industries
AG
21,131
7,907
Husqvarna
AB
733,853
7,990
KION
Group
AG
87,119
7,372
Okuma
Holdings
Inc
117,200
5,348
$
30,807
Media
-
1.82%
Future
PLC
137,983
2,704
Nine
Entertainment
Co
Holdings
Ltd
4,282,610
5,247
ProSiebenSat.1
Media
SE
(b)
482,348
5,478
Tokyo
Broadcasting
System
Holdings
Inc
322,100
5,563
$
18,992
Metal
Fabrication
&
Hardware
-
0.31%
SKF
AB
163,610
3,272
Mining
-
3.98%
Alacer
Gold
Corp
(b)
262,500
1,813
Equinox
Gold
Corp
(b)
348,800
4,559
IGO
Ltd
787,324
2,562
Lundin
Mining
Corp
1,099,600
6,888
NRW
Holdings
Ltd
1,519,386
2,457
OZ
Minerals
Ltd
515,926
5,551
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Mining
(continued)
Saracen
Mineral
Holdings
Ltd
(b)
1,922,496
$
7,394
SSR
Mining
Inc
(b)
280,627
6,020
Wesdome
Gold
Mines
Ltd
(b)
386,000
4,267
$
41,511
Miscellaneous
Manufacturers
-
1.03%
Aalberts
NV
109,665
4,127
Trelleborg
AB
(b)
264,846
4,625
Vesuvius
PLC
374,623
2,015
$
10,767
Office
&
Business
Equipment
-
0.63%
Canon
Marketing
Japan
Inc
152,000
2,711
Ricoh
Co
Ltd
290,200
2,166
Sato
Holdings
Corp
86,500
1,648
$
6,525
Oil
&
Gas
-
2.09%
Aker
BP
ASA
98,382
1,957
Beach
Energy
Ltd
4,776,419
5,342
DCC
PLC
72,285
6,422
Parex
Resources
Inc
(b)
444,667
6,085
Tourmaline
Oil
Corp
156,500
1,988
$
21,794
Packaging
&
Containers
-
1.32%
DS
Smith
PLC
1,592,390
5,479
SIG
Combibloc
Group
AG
(b)
420,911
8,260
$
13,739
Pharmaceuticals
-
3.55%
ALK-
Abello
A/S
(b)
8,739
2,953
Almirall
SA
127,413
1,402
Clinigen
Group
Plc
183,276
1,687
Dechra
Pharmaceuticals
PLC
111,039
4,637
Hikma
Pharmaceuticals
PLC
225,835
7,126
Nichi-iko
Pharmaceutical
Co
Ltd
162,800
1,829
Nippon
Shinyaku
Co
Ltd
71,100
5,875
Sawai
Pharmaceutical
Co
Ltd
130,000
6,653
Ship
Healthcare
Holdings
Inc
64,600
2,985
Towa
Pharmaceutical
Co
Ltd
98,600
1,958
$
37,105
Pipelines
-
0.60%
Keyera
Corp
166,000
3,032
Koninklijke
Vopak
NV
59,212
3,251
$
6,283
Private
Equity
-
0.89%
Intermediate
Capital
Group
PLC
400,448
7,249
Jafco
Co
Ltd
50,900
2,049
$
9,298
Real
Estate
-
3.65%
CA
Immobilien
Anlagen
AG
66,497
2,069
Castellum
AB
370,689
7,599
Entra
ASA
(f)
167,213
2,282
Hysan
Development
Co
Ltd
1,013,000
3,199
Kojamo
Oyj
122,290
2,963
LEG
Immobilien
AG
50,956
7,488
PSP
Swiss
Property
AG
62,851
7,498
UOL
Group
Ltd
1,038,100
5,007
$
38,105
REITs
-
7.34%
Allied
Properties
Real
Estate
Investment
Trust
134,859
3,805
alstria
office
REIT-AG
217,904
3,260
Canadian
Apartment
Properties
REIT
65,200
2,249
Charter
Hall
Group
919,657
8,465
Cofinimmo
SA
17,847
2,611
Covivio
61,449
4,545
Frasers
Logistics
&
Commercial
Trust
3,219,100
3,164
GLP
J-
Reit
(b)
3,471
5,360
Granite
Real
Estate
Investment
Trust
60,400
3,593
ICADE
55,088
3,566
Inmobiliaria
Colonial
Socimi
SA
272,310
2,399
Japan
Hotel
REIT
Investment
Corp
8,465
3,920
Schedule
of
Investments
International
Small
Company
Fund
August
31,
2020
See
accompanying
notes.
189
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Kenedix
Office
Investment
Corp
811
$
4,804
Kenedix
Residential
Next
Investment
Corp
1,491
2,656
Keppel
DC
REIT
2,509,700
5,363
Mapletree
Industrial
Trust
2,948,800
6,600
MCUBS
MidCity
Investment
Corp
2,929
2,264
Mitsui
Fudosan
Logistics
Park
Inc
1,070
5,349
Summit
Industrial
Income
REIT
289,600
2,635
$
76,608
Retail
-
6.78%
B&M
European
Value
Retail
SA
1,477,472
9,379
cocokara
fine
Inc
45,400
2,544
Cosmos
Pharmaceutical
Corp
40,000
7,045
Grafton
Group
PLC
364,424
3,760
JD
Sports
Fashion
PLC
593,770
5,714
Man
Wah
Holdings
Ltd
3,155,200
4,406
Moncler
SpA
(b)
66,698
2,586
Ryohin
Keikaku
Co
Ltd
418,200
6,537
Saizeriya
Co
Ltd
(e)
133,800
2,506
Seiko
Holdings
Corp
126,600
1,784
Seria
Co
Ltd
50,800
2,246
Shop
Apotheke
Europe
NV
(b),(e),(f)
20,447
3,892
Super
Retail
Group
Ltd
663,661
5,224
Sushiro
Global
Holdings
Ltd
303,400
7,050
Tsuruha
Holdings
Inc
45,800
6,130
$
70,803
Semiconductors
-
0.92%
ASM
International
NV
64,154
9,632
Shipbuilding
-
0.15%
Mitsui
E&S
Holdings
Co
Ltd
(b)
373,900
1,511
Software
-
2.13%
CompuGroup
Medical
SE
&
Co
KgaA
33,878
3,040
Descartes
Systems
Group
Inc
/The
(b)
76,200
4,650
Kinaxis
Inc
(b)
26,600
4,057
Open
Text
Corp
87,900
3,987
TIS
Inc
325,400
6,494
$
22,228
Telecommunications
-
2.06%
Bezeq
The
Israeli
Telecommunication
Corp
Ltd
(b)
5,875,913
6,70
3
Eutelsat
Communications
SA
278,243
2,790
Proximus
SADP
234,207
4,625
Spark
New
Zealand
Ltd
2,291,873
7,441
$
21,5
59
Transportation
-
3.14%
ComfortDelGro
Corp
Ltd
3,491,100
3,789
Kamigumi
Co
Ltd
313,800
6,476
National
Express
Group
PLC
137,350
233
Nippon
Express
Co
Ltd
87,200
5,150
PostNL
NV
(b)
1,086,851
3,233
Sankyu
Inc
147,800
6,166
TFI
International
Inc
175,500
7,758
$
32,805
TOTAL
COMMON
STOCKS
$
1,029,84
3
Total
Investments
$
1,064,727
Other
Assets
and
Liabilities
- (1.96)%
(20,464)
TOTAL
NET
ASSETS
-
100.00%
$
1,044,263
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
(d)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$23,940
or
2.29%
of
net
assets.
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(f)
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
$44,895
or
4.30%
of
net
assets.
Portfolio
Summary (unaudited)
Location
Percent
Japan
24.26%
United
Kingdom
12.19%
Canada
9.78%
Germany
6.34%
Australia
5.82%
France
5.29%
Netherlands
4.96%
Sweden
4.22%
Denmark
3.96%
Switzerland
3.88%
United
States
3.51%
Italy
3.46%
Ireland
2.44%
Singapore
2.28%
Israel
2.08%
Austria
1.07%
Belgium
0.93%
Hong
Kong
0.91%
Spain
0.83%
New
Zealand
0.71%
Jordan
0.68%
Isle
of
Man
0.67%
Finland
0.63%
Norway
0.41%
Malta
0.31%
Portugal
0.21%
Cambodia
0.13%
Other
Assets
and
Liabilities
(1.96)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
International
Small
Company
Fund
August
31,
2020
See
accompanying
notes.
190
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
29,546
$
568,974
$
563,63
6
$
34,88
4
$
29,546
$
568,974
$
563,63
6
$
34,88
4
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
129
$
—
$
—
$
—
$
129
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Opportunistic
Municipal
Fund
August
31,
2020
See
accompanying
notes.
191
INVESTMENT
COMPANIES
-
0.04%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.04%
SPDR
Nuveen
Bloomberg
Barclays
High
Yield
Municipal
Bond
ETF
435
$
25
VanEck
Vectors
Short
High-Yield
Municipal
Index
ETF
1,000
24
$
49
TOTAL
INVESTMENT
COMPANIES
$
49
MUNICIPAL
BONDS
-
103.68%
Principal
Amount
(000's)
Value
(000's)
Alabama
-
4.00%
Lower
Alabama
Gas
District/The
5.00%,
09/01/2034
$
1,500
$
2,008
Tuscaloosa
County
Industrial
Development
Authority
4.50%,
05/01/2032
(a)
1,000
1,094
5.25%,
05/01/2044
(a)
2,000
2,220
$
5,322
Arizona
-
4.32%
Arizona
Industrial
Development
Authority
5.00%,
01/01/2049
(a)
1,000
792
7.25%,
01/01/2054
(a)
1,000
862
Navajo
Nation
5.50%,
12/01/2030
(a)
2,500
2,768
Salt
Verde
Financial
Corp
5.00%,
12/01/2032
1,000
1,315
$
5,737
Arkansas
-
0.76%
Arkansas
Development
Finance
Authority
4.50%,
09/01/2049
(a)
1,000
1,009
California
-
3.82%
Abag
Finance
Authority
for
Nonprofit
Corps
5.00%,
08/01/2043
500
547
California
Statewide
Communities
Development
Authority
5.25%,
12/01/2048
(a)
1,000
1,087
California
Statewide
Communities
Development
Authority
(credit
support
from
Ginnie
Mae
Collateral
)
4.90%,
07/20/2039
(b)
500
506
California
Statewide
Financing
Authority
6.00%,
05/01/2043
1,000
1,009
La
Verne
Public
Financing
Authority
7.25%,
09/01/2026
490
492
Oakland
Unified
School
District/Alameda
County
5.00%,
08/01/2035
1,225
1,433
$
5,074
Colorado
-
4.97%
Centerra
Metropolitan
District
No
1
5.00%,
12/01/2037
(a)
1,000
1,029
Creekside
Village
Metropolitan
District
5.00%,
12/01/2039
1,255
1,281
Eagle
County
Airport
Terminal
Corp
5.00%,
05/01/2037
1,000
1,131
Elbert
County
Independence
Water
&
Sanitation
District
7.25%,
12/01/2038
1,000
1,093
Painted
Prairie
Public
Improvement
Authority
5.00%,
12/01/2049
500
518
Velocity
Metropolitan
District
No
3
5.50%,
12/01/2048
1,500
1,554
$
6,606
Connecticut
-
1.76%
Mohegan
Tribal
Finance
Authority
7.00%,
02/01/2045
(a)
2,400
2,332
District
of
Columbia
-
0.82%
District
of
Columbia
4.00%,
07/01/2039
1,000
1,085
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Florida
-
4.61%
Florida
Development
Finance
Corp
6.25%,
01/01/2049
(a),(c)
$
1,000
$
881
Greater
Orlando
Aviation
Authority
5.00%,
10/01/2047
(d)
2,999
3,491
Ocean
Highway
&
Port
Authority
5.50%,
12/01/2049
(a)
1,500
1,435
Orange
County
Housing
Finance
Authority
7.00%,
10/01/2025
325
326
$
6,133
Illinois
-
17.40%
City
of
Chicago
IL
5.50%,
01/01/2042
300
324
5.50%,
01/01/2049
1,000
1,132
6.00%,
01/01/2038
1,900
2,189
7.46%,
02/15/2026
1,707
1,219
City
of
Chicago
IL
Wastewater
Transmission
Revenue
5.00%,
01/01/2031
760
877
5.00%,
01/01/2039
1,200
1,359
Illinois
Finance
Authority
0.00%,
12/01/2042
(e)
300
162
4.00%,
10/01/2055
250
271
4.75%,
10/15/2040
(a),(c)
2,500
2,562
5.00%,
10/01/2035
250
312
Illinois
Sports
Facilities
Authority/The
5.00%,
06/15/2028
1,000
1,138
5.00%,
06/15/2029
1,000
1,143
Illinois
State
Toll
Highway
Authority
5.00%,
01/01/2040
(d)
4,991
5,864
Metropolitan
Pier
&
Exposition
Authority
4.00%,
06/15/2050
500
512
5.00%,
06/15/2050
1,000
1,124
5.00%,
06/15/2057
500
548
Metropolitan
Pier
&
Exposition
Authority
(credit
support
from
National
Public
Finance
Guarantee
Corp
)
5.50%,
06/15/2029
(b)
1,000
1,158
State
of
Illinois
5.50%,
07/01/2027
1,150
1,240
$
23,134
Indiana
-
0.95%
Indiana
Finance
Authority
7.00%,
03/01/2039
(a)
1,000
940
Town
of
Shoals
IN
7.25%,
11/01/2043
300
317
$
1,257
Louisiana
-
7.77%
Louisiana
Local
Government
Environmental
Facilities
&
Community
Development
Authority
4.40%,
11/01/2044
(a)
1,000
998
5.50%,
11/01/2039
(a)
800
852
5.65%,
11/01/2037
(a)
1,000
1,098
Louisiana
Public
Facilities
Authority
0.00%,
07/01/2039
(e)
278
—
Parish
of
St
James
LA
6.35%,
10/01/2040
(a)
4,000
4,749
Parish
of
St
John
the
Baptist
LA
2.10%,
06/01/2037
(c)
1,000
1,004
2.37%,
06/01/2037
(c)
1,000
1,012
Port
New
Orleans
Board
of
Commissioners
5.00%,
04/01/2044
(f)
500
614
$
10,327
Maine
-
0.83%
Finance
Authority
of
Maine
5.25%,
01/01/2025
(a)
1,000
1,108
Maryland
-
0.47%
City
of
Westminster
MD
6.25%,
07/01/2044
600
626
Schedule
of
Investments
Opportunistic
Municipal
Fund
August
31,
2020
See
accompanying
notes.
192
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Massachusetts
-
0.19%
Massachusetts
Development
Finance
Agency
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
3.00%,
10/01/2045
(b)
$
250
$
256
Michigan
-
3.23%
Kalamazoo
Economic
Development
Corp
5.00%,
05/15/2032
1,000
1,037
Michigan
Finance
Authority
5.00%,
07/01/2035
1,000
1,172
Michigan
Strategic
Fund
5.00%,
11/15/2043
1,000
1,046
5.00%,
11/15/2049
1,000
1,042
$
4,297
Missouri
-
2.01%
City
of
St
Louis
MO
Airport
Revenue
(credit
support
from
National
Public
Finance
Guarantee
Corp
)
5.50%,
07/01/2028
(b)
400
517
Health
&
Educational
Facilities
Authority
of
the
State
of
Missouri
5.00%,
02/01/2034
1,000
1,093
Kansas
City
Industrial
Development
Authority
5.00%,
04/01/2046
(a)
1,100
1,056
$
2,666
Montana
-
1.06%
City
of
Kalispell
MT
5.25%,
05/15/2037
1,400
1,414
Nevada
-
1.84%
Las
Vegas
Convention
&
Visitors
Authority
5.00%,
07/01/2043
(d)
1,396
1,593
State
of
Nevada
Department
of
Business
&
Industry
5.13%,
12/15/2037
(a)
1,000
851
$
2,444
New
Hampshire
-
1.85%
New
Hampshire
Business
Finance
Authority
2.95%,
04/01/2029
(a),(c)
1,000
989
New
Hampshire
Health
and
Education
Facilities
Authority
Act
5.00%,
08/01/2059
1,000
1,469
$
2,458
New
Jersey
-
6.43%
Casino
Reinvestment
Development
Authority
Inc
5.25%,
11/01/2039
250
255
New
Jersey
Economic
Development
Authority
5.00%,
07/15/2028
500
579
5.00%,
06/15/2047
500
568
5.25%,
06/15/2040
55
68
5.25%,
06/15/2040
945
1,047
5.63%,
11/15/2030
1,500
1,556
5.75%,
09/15/2027
500
494
New
Jersey
Transportation
Trust
Fund
Authority
5.25%,
06/15/2032
2,000
2,238
South
Jersey
Port
Corp
5.00%,
01/01/2048
1,000
1,088
South
Jersey
Transportation
Authority
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
5.00%,
11/01/2029
(b)
500
655
$
8,548
New
York
-
3.56%
Glen
Cove
Local
Economic
Assistance
Corp
5.00%,
01/01/2056
1,000
1,030
New
York
Counties
Tobacco
Trust
VI
5.00%,
06/01/2041
400
443
New
York
State
Thruway
Authority
5.25%,
01/01/2056
1,000
1,149
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
New
York
(continued)
New
York
Transportation
Development
Corp
5.00%,
01/01/2036
$
1,000
$
1,078
5.38%,
08/01/2036
1,000
1,035
$
4,735
North
Carolina
-
1.50%
Charlotte-Mecklenburg
Hospital
Authority/The
0.02%,
01/15/2038
(c)
2,000
2,000
Ohio
-
4.69%
Buckeye
Tobacco
Settlement
Financing
Authority
5.00%,
06/01/2055
3,000
3,295
Cleveland
Department
of
Public
Utilities
Division
of
Public
Power
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
4.00%,
11/15/2037
(b)
500
583
Ohio
Air
Quality
Development
Authority
4.50%,
01/15/2048
(a)
1,000
1,059
5.00%,
07/01/2049
(a)
1,000
1,018
Ohio
State
Air
Quality
Development
Authority
Escrow
0.00%,
12/01/2023
(e),(g)
1,000
273
$
6,228
Oklahoma
-
1.67%
Oklahoma
Development
Finance
Authority
5.25%,
08/15/2043
1,000
1,171
Tulsa
County
Industrial
Authority
5.25%,
11/15/2045
1,000
1,050
$
2,221
Oregon
-
0.49%
Oregon
State
Business
Development
Commission
0.00%,
04/01/2031
(a),(e)
1,000
647
Pennsylvania
-
5.95%
Allegheny
County
Industrial
Development
Authority
4.88%,
11/01/2024
500
476
5.13%,
05/01/2030
1,000
900
Commonwealth
Financing
Authority
5.00%,
06/01/2028
1,000
1,286
5.00%,
06/01/2035
1,000
1,236
Lancaster
County
Hospital
Authority/PA
5.00%,
07/01/2045
1,000
1,024
Pennsylvania
Economic
Development
Financing
Authority
3.25%,
08/01/2039
(a)
1,000
978
5.50%,
11/01/2044
1,000
1,026
5.75%,
06/01/2036
(a)
1,000
981
$
7,907
South
Carolina
-
0.39%
South
Carolina
Jobs-Economic
Development
Authority
5.25%,
11/15/2052
500
517
South
Dakota
-
0.38%
Oglala
Sioux
Tribe
5.75%,
10/01/2025
(a)
500
500
Tennessee
-
2.67%
Chattanooga
Health
Educational
&
Housing
Facility
Board
5.00%,
10/01/2028
1,050
1,095
5.00%,
10/01/2035
500
509
Metropolitan
Government
Nashville
&
Davidson
County
Health
&
Educational
Facilities
Board
5.00%,
07/01/2040
1,000
1,155
Nashville
Metropolitan
Development
&
Housing
Agency
5.13%,
06/01/2036
(a)
750
785
$
3,544
Schedule
of
Investments
Opportunistic
Municipal
Fund
August
31,
2020
See
accompanying
notes.
193
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Texas
-
7.07%
Grand
Parkway
Transportation
Corp
3.00%,
10/01/2050
$
1,250
$
1,282
North
Texas
Tollway
Authority
5.00%,
01/01/2045
615
704
5.00%,
01/01/2048
500
585
Port
Beaumont
Navigation
District
4.00%,
01/01/2050
(a)
3,500
3,501
Texas
Municipal
Gas
Acquisition
and
Supply
Corp
I
6.25%,
12/15/2026
2,100
2,484
Texas
Private
Activity
Bond
Surface
Transportation
Corp
7.00%,
12/31/2038
300
345
7.00%,
06/30/2040
500
502
$
9,403
Utah
-
1.06%
Utah
Infrastructure
Agency
5.25%,
10/15/2033
1,250
1,411
Vermont
-
1.08%
Vermont
Economic
Development
Authority
4.63%,
04/01/2036
(a),(c)
1,300
1,441
Virginia
-
1.14%
Amelia
County
Industrial
Development
Authority
3.00%,
04/01/2027
(c)
1,500
1,521
Wisconsin
-
2.94%
Public
Finance
Authority
5.00%,
01/01/2024
500
552
5.00%,
12/01/2025
1,200
1,387
5.00%,
09/01/2039
(a)
1,000
1,031
Wisconsin
Health
&
Educational
Facilities
Authority
5.50%,
07/01/2023
70
68
6.00%,
07/01/2028
170
158
6.50%,
07/01/2033
300
268
7.00%,
07/01/2043
500
447
$
3,911
TOTAL
MUNICIPAL
BONDS
$
137,819
Total
Investments
$
137,868
Liability
for
Floating
Rate
Notes
Issued
in
Conjunction
with
Securities
Held
-
(4.53)%
Notes
with
interest
rates
of
0.12%
-
0.39%
at
August
31,
2020
and
contractual
maturity
of
collateral
from
2024-2026.
(h)
$
(6,023)
(6,023)
Total
Net
Investments
$
131,845
Other
Assets
and
Liabilities
- 0.81%
1,079
TOTAL
NET
ASSETS
-
100.00%
$
132,924
(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
$42,653
or
32.09%
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
f
und. See
Notes
to
Financial
Statements
for
additional
information.
(e)
Non-income
producing
security
(f)
Security
purchased
on
a
when-issued
basis.
(g)
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
$273
or
0.21%
of
net
assets.
(h)
Floating
rate
securities.
The
interest
rate(s)
shown
reflect
the
rates
in
effect
at
August
31,
2020.
Portfolio
Summary (unaudited)
Sector
Percent
Revenue
Bonds
90.53%
General
Obligation
Unlimited
4.75%
Insured
2.76%
General
Obligation
Limited
2.13%
Tax
Allocation
1.37%
Certificate
Participation
0.92%
Prerefunded
0.84%
Special
Tax
0.38%
Investment
Companies
0.04%
Liability
For
Floating
Rate
Notes
Issued
(4.53)%
Other
Assets
and
Liabilities
0.81%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Origin
Emerging
Markets
Fund
August
31,
2020
See
accompanying
notes.
194
INVESTMENT
COMPANIES
-
4.43%
Shares
Held
Value
(000's)
Money
Market
Funds
-
4.43%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.05%
(a),(b)
4,893,135
$
4,893
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
77,484,899
77,485
$
82,378
TOTAL
INVESTMENT
COMPANIES
$
82,378
COMMON
STOCKS
-
94.25%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
1.65%
Aselsan
Elektronik
Sanayi
Ve
Ticaret
AS
13,814,800
$
30,629
Automobile
Parts
&
Equipment
-
1.31%
Hyundai
Mobis
Co
Ltd
72,600
13,587
Weichai
Power
Co
Ltd
5,338,800
10,716
$
24,303
Banks
-
5.70%
Banco
do
Brasil
SA
1,317,200
7,898
Bangkok
Bank
PCL
3,175,500
10,877
Bank
Mandiri
Persero
Tbk
PT
33,548,900
13,718
China
Merchants
Bank
Co
Ltd
7,939,100
37,877
Grupo
Financiero
Banorte
SAB
de
CV
(d)
3,330,800
11,447
OTP
Bank
Nyrt
(d)
213,600
7,194
Sberbank
of
Russia
PJSC
ADR
(d)
1,404,300
16,874
$
105,885
Beverages
-
0.59%
Kweichow
Moutai
Co
Ltd
41,948
10,925
Building
Materials
-
4.01%
Anhui
Conch
Cement
Co
Ltd
3,437,200
24,883
China
National
Building
Material
Co
Ltd
6,751,900
9,477
China
Resources
Cement
Holdings
Ltd
10,588,200
15,420
Gansu
Qilianshan
Cement
Group
Co
Ltd
3,286,944
9,717
Jiangxi
Wannianqing
Cement
Co
Ltd
1,990,193
5,229
Taiwan
Cement
Corp
6,657,441
9,734
$
74,460
Chemicals
-
0.97%
Coromandel
International
Ltd
877,000
9,069
Soulbrain
Co
Ltd/New
(d)
49,612
9,055
$
18,124
Commercial
Services
-
1.22%
China
Yuhua
Education
Corp
Ltd
(e)
13,150,269
12,606
New
Oriental
Education
&
Technology
Group
Inc
ADR
(d)
69,100
10,132
$
22,738
Computers
-
3.10%
Asustek
Computer
Inc
216,179
1,790
Gigabyte
Technology
Co
Ltd
3,650,400
10,546
Infosys
Ltd
ADR
2,082,818
26,244
Phison
Electronics
Corp
1,158,500
10,913
Wiwynn
Corp
305,300
8,144
$
57,637
Diversified
Financial
Services
-
3.12%
B3
SA
-
Brasil
Bolsa
Balcao
1,658,200
17,843
Chailease
Holding
Co
Ltd
2,330,790
10,295
E.Sun
Financial
Holding
Co
Ltd
11,437,084
10,603
Manappuram
Finance
Ltd
3,413,500
6,872
Muthoot
Finance
Ltd
786,800
12,278
$
57,891
Electric
-
0.20%
Mahanagar
Gas
Ltd
285,791
3,695
Electrical
Components
&
Equipment
-
1.13%
Delta
Electronics
Inc
2,032,106
13,069
LG
Innotek
Co
Ltd
65,500
7,969
$
21,038
Electronics
-
5.57%
BYD
Electronic
International
Co
Ltd
3,420,700
14,466
FLEXium
Interconnect
Inc
2,196,800
9,424
General
Interface
Solution
Holding
Ltd
1,151,998
5,097
Luxshare
Precision
Industry
Co
Ltd
1,537,121
12,376
Micro-Star
International
Co
Ltd
5,911,800
27,293
Radiant
Opto-Electronics
Corp
2,399,800
8,812
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Electronics
(continued)
Simplo
Technology
Co
Ltd
746,900
$
8,516
Tripod
Technology
Corp
1,963,600
7,753
Zhen
Ding
Technology
Holding
Ltd
2,305,300
9,667
$
103,404
Engineering
&
Construction
-
0.67%
Daelim
Industrial
Co
Ltd
170,130
12,422
Environmental
Control
-
0.60%
China
Conch
Venture
Holdings
Ltd
2,557,400
11,073
Food
-
2.73%
BIM
Birlesik
Magazalar
AS
1,233,800
11,407
Dino
Polska
SA
(d),(e)
276,100
16,743
Marfrig
Global
Foods
SA
(d)
4,670,100
15,173
X5
Retail
Group
NV
203,700
7,455
$
50,778
Gas
-
2.23%
China
Gas
Holdings
Ltd
3,707,700
10,150
ENN
Energy
Holdings
Ltd
2,820,000
31,246
$
41,396
Healthcare
-
Products
-
0.27%
China
Medical
System
Holdings
Ltd
4,538,587
5,112
Home
Furnishings
-
0.50%
E
Ink
Holdings
Inc
6,590,600
9,216
Insurance
-
3.09%
BB
Seguridade
Participacoes
SA
2,283,400
11,120
Cathay
Financial
Holding
Co
Ltd
8,377,000
11,378
PICC
Property
&
Casualty
Co
Ltd
12,714,100
9,804
Ping
An
Insurance
Group
Co
of
China
Ltd
2,347,300
25,061
$
57,363
Internet
-
20.61%
Alibaba
Group
Holding
Ltd
ADR
(d)
549,500
157,723
JD.com
Inc
ADR
(d)
322,106
25,330
Meituan
Dianping
(d)
826,000
27,229
Naspers
Ltd
333,900
60,882
NCSoft
Corp
14,400
9,990
Tencent
Holdings
Ltd
1,489,305
101,747
$
382,901
Iron
&
Steel
-
0.49%
Kumba
Iron
Ore
Ltd
(f)
289,600
9,075
Machinery
-
Construction
&
Mining
-
0.47%
Zoomlion
Heavy
Industry
Science
and
Technology
Co
Ltd
(d)
8,712,100
8,714
Mining
-
2.15%
MMC
Norilsk
Nickel
PJSC
ADR
521,946
13,620
Polymetal
International
PLC
969,600
26,313
$
39,933
Miscellaneous
Manufacturers
-
0.61%
Elite
Material
Co
Ltd
1,969,100
11,405
Oil
&
Gas
-
2.62%
LUKOIL
PJSC
ADR
169,100
11,545
Polski
Koncern
Naftowy
ORLEN
SA
715,700
9,844
Reliance
Industries
Ltd
969,700
27,389
$
48,778
Pharmaceuticals
-
4.29%
Alkem
Laboratories
Ltd
53,896
1,991
Aurobindo
Pharma
Ltd
784,500
8,584
Changchun
High
&
New
Technology
Industry
Group
Inc
180,352
12,286
CSPC
Pharmaceutical
Group
Ltd
5,030,680
11,115
Hypera
SA
1,801,900
10,558
Jiangsu
Hengrui
Medicine
Co
Ltd
704,331
9,735
Richter
Gedeon
Nyrt
380,700
9,272
Sino
Biopharmaceutical
Ltd
14,080,850
16,204
$
79,745
Schedule
of
Investments
Origin
Emerging
Markets
Fund
August
31,
2020
See
accompanying
notes.
195
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Real
Estate
-
2.06%
China
Vanke
Co
Ltd
4,496,600
$
13,958
Country
Garden
Services
Holdings
Co
Ltd
2,242,400
15,623
Longfor
Group
Holdings
Ltd
(e)
1,655,400
8,758
$
38,339
Retail
-
2.68%
ANTA
Sports
Products
Ltd
2,565,600
25,290
Wal-Mart
de
Mexico
SAB
de
CV
4,877,400
11,680
Zhongsheng
Group
Holdings
Ltd
2,060,900
12,853
$
49,823
Semiconductors
-
13.63%
Novatek
Microelectronics
Corp
3,152,800
25,795
Parade
Technologies
Ltd
321,200
11,386
Realtek
Semiconductor
Corp
1,587,900
20,574
Samsung
Electronics
Co
Ltd
39,277
47,241
Samsung
Electronics
Co
Ltd
544,100
24,705
Taiwan
Semiconductor
Manufacturing
Co
Ltd
1,056,607
15,400
Taiwan
Semiconductor
Manufacturing
Co
Ltd
ADR
1,363,417
108,051
$
253,152
Software
-
5.50%
G-bits
Network
Technology
Xiamen
Co
Ltd
147,100
13,279
HCL
Technologies
Ltd
4,705,100
44,400
NetEase
Inc
ADR
91,200
44,434
$
102,113
Telecommunications
-
0.48%
Telekomunikasi
Indonesia
Persero
Tbk
PT
45,217,900
8,897
TOTAL
COMMON
STOCKS
$
1,750,964
PREFERRED
STOCKS
-
1.51%
Shares
Held
Value
(000's)
Banks
-
1.51%
Banco
Bradesco
SA
0.02%
7,314,370
$
27,997
TOTAL
PREFERRED
STOCKS
$
27,997
Total
Investments
$
1,861,339
Other
Assets
and
Liabilities
- (0.19)%
(3,469)
TOTAL
NET
ASSETS
-
100.00%
$
1,857,870
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$4,893
or
0.26%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
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
$38,107
or
2.05%
of
net
assets.
(f)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary (unaudited)
Location
Percent
China
39.22%
Taiwan
19.65%
India
7.56%
Korea,
Republic
Of
6.72%
Brazil
4.88%
United
States
4.43%
South
Africa
3.77%
Russian
Federation
2.66%
Turkey
2.26%
Hong
Kong
2.25%
Poland
1.43%
Cyprus
1.42%
Mexico
1.25%
Indonesia
1.22%
Hungary
0.89%
Thailand
0.58%
Other
Assets
and
Liabilities
(0.19)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
40,635
$
1,080,784
$
1,043,934
$
77,485
$
40,635
$
1,080,784
$
1,043,934
$
77,485
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
213
$
—
$
—
$
—
$
213
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Small-MidCap
Dividend
Income
Fund
August
31,
2020
See
accompanying
notes.
196
INVESTMENT
COMPANIES
-
0.97%
Shares
Held
Value
(000's)
Money
Market
Funds
-
0.97%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c)
15,507,591
$
15,508
TOTAL
INVESTMENT
COMPANIES
$
15,508
COMMON
STOCKS
-
98.89%
Shares
Held
Value
(000's)
Advertising
-
0.72%
Interpublic
Group
of
Cos
Inc/The
644,574
$
11,448
Agriculture
-
1.13%
Phibro
Animal
Health
Corp
836,078
17,942
Automobile
Manufacturers
-
0.40%
NFI
Group
Inc
472,843
6,398
Automobile
Parts
&
Equipment
-
2.11%
Linamar
Corp
1,073,910
33,674
Banks
-
11.69%
Bank
OZK
1,729,742
39,853
Cathay
General
Bancorp
1,069,131
26,397
Cullen/Frost
Bankers
Inc
271,654
18,869
East
West
Bancorp
Inc
1,063,842
39,128
PacWest
Bancorp
539,845
10,300
Preferred
Bank/Los
Angeles
CA
234,634
8,775
ServisFirst
Bancshares
Inc
757,826
27,775
Washington
Trust
Bancorp
Inc
450,171
15,027
$
186,124
Chemicals
-
4.46%
HB
Fuller
Co
221,584
10,673
Huntsman
Corp
1,550,177
33,515
RPM
International
Inc
316,301
26,813
$
71,001
Computers
-
3.11%
Amdocs
Ltd
454,347
27,820
Leidos
Holdings
Inc
239,017
21,628
$
49,448
Consumer
Products
-
1.77%
Avery
Dennison
Corp
243,931
28,147
Diversified
Financial
Services
-
1.92%
Federal
Agricultural
Mortgage
Corp
199,082
13,568
Raymond
James
Financial
Inc
225,692
17,089
$
30,657
Electric
-
3.75%
ALLETE
Inc
581,383
31,372
IDACORP
Inc
72,110
6,483
PNM
Resources
Inc
196,134
8,567
Portland
General
Electric
Co
186,822
7,127
Unitil
Corp
145,049
6,121
$
59,670
Electrical
Components
&
Equipment
-
3.59%
Energizer
Holdings
Inc
589,693
27,297
Littelfuse
Inc
165,262
29,886
$
57,183
Electronics
-
2.99%
Hubbell
Inc
149,505
21,666
nVent
Electric
PLC
1,355,129
25,910
$
47,576
Engineering
&
Construction
-
0.32%
Comfort
Systems
USA
Inc
99,748
5,054
Food
-
2.06%
Ingredion
Inc
408,686
32,875
Gas
-
1.17%
ONE
Gas
Inc
79,248
5,874
Spire
Inc
218,754
12,734
$
18,608
Hand
&
Machine
Tools
-
5.47%
Lincoln
Electric
Holdings
Inc
285,211
27,583
MSA
Safety
Inc
248,994
31,361
Snap-on
Inc
189,617
28,114
$
87,058
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Healthcare
-
Products
-
5.35%
CONMED
Corp
366,279
$
31,614
LeMaitre
Vascular
Inc
193,691
6,252
STERIS
PLC
201,217
32,122
Teleflex
Inc
38,584
15,162
$
85,150
Home
Builders
-
2.23%
LCI
Industries
312,901
35,555
Insurance
-
6.25%
Assured
Guaranty
Ltd
833,629
17,881
Fidelity
National
Financial
Inc
1,291,929
42,414
James
River
Group
Holdings
Ltd
805,316
39,227
$
99,522
Leisure
Products
&
Services
-
4.19%
Acushnet
Holdings
Corp
1,046,748
36,940
Brunswick
Corp/DE
481,577
29,805
$
66,745
Machinery
-
Diversified
-
3.83%
Albany
International
Corp
331,482
17,204
Crane
Co
427,746
24,185
Nordson
Corp
105,325
19,642
$
61,031
Media
-
0.98%
John
Wiley
&
Sons
Inc
492,490
15,587
Metal
Fabrication
&
Hardware
-
0.96%
Timken
Co/The
281,532
15,256
Miscellaneous
Manufacturers
-
1.28%
Donaldson
Co
Inc
165,513
8,335
EnPro
Industries
Inc
207,164
12,123
$
20,458
Oil
&
Gas
-
2.51%
Cimarex
Energy
Co
448,267
12,453
Diamondback
Energy
Inc
313,896
12,230
HollyFrontier
Corp
641,865
15,321
$
40,004
Packaging
&
Containers
-
1.56%
Packaging
Corp
of
America
244,944
24,798
Pipelines
-
0.75%
Targa
Resources
Corp
705,552
12,001
REITs
-
13.85%
Agree
Realty
Corp
351,418
23,517
Camden
Property
Trust
84,359
7,672
CyrusOne
Inc
550,614
45,993
EastGroup
Properties
Inc
169,415
22,559
Four
Corners
Property
Trust
Inc
765,578
19,331
Granite
Real
Estate
Investment
Trust
384,087
22,848
Medical
Properties
Trust
Inc
1,149,148
21,351
National
Health
Investors
Inc
187,348
11,662
STORE
Capital
Corp
1,093,988
29,581
Terreno
Realty
Corp
268,608
16,020
$
220,534
Semiconductors
-
4.62%
Kulicke
&
Soffa
Industries
Inc
662,364
15,884
MKS
Instruments
Inc
374,251
44,734
Monolithic
Power
Systems
Inc
48,214
12,879
$
73,497
Shipbuilding
-
1.24%
Huntington
Ingalls
Industries
Inc
129,945
19,689
Software
-
0.80%
Broadridge
Financial
Solutions
Inc
43,434
5,968
ManTech
International
Corp/VA
90,486
6,773
$
12,741
Toys,
Games
&
Hobbies
-
1.83%
Hasbro
Inc
369,015
29,130
TOTAL
COMMON
STOCKS
$
1,574,561
Total
Investments
$
1,590,069
Other
Assets
and
Liabilities
- 0.14%
2,213
TOTAL
NET
ASSETS
-
100.00%
$
1,592,282
Schedule
of
Investments
Small-MidCap
Dividend
Income
Fund
August
31,
2020
See
accompanying
notes.
197
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
Portfolio
Summary (unaudited)
Sector
Percent
Financial
33.71%
Industrial
21.24%
Consumer,
Cyclical
10.76%
Consumer,
Non-cyclical
10.31%
Technology
8.53%
Utilities
4.92%
Basic
Materials
4.46%
Energy
3.26%
Communications
1.70%
Money
Market
Funds
0.97%
Other
Assets
and
Liabilities
0.14%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
43,288
$
578,226
$
606,006
$
15,508
$
43,288
$
578,226
$
606,006
$
15,508
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
279
$
—
$
—
$
—
$
279
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Small-MidCap
Growth
Fund
August
31,
2020
See
accompanying
notes.
198
INVESTMENT
COMPANIES
-
1.70%
Shares
Held
Value
(000's)
Money
Market
Funds
-
1.70%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.05%
(a),(b)
82,912
$
83
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
46,862
47
$
130
TOTAL
INVESTMENT
COMPANIES
$
130
COMMON
STOCKS
-
99.41%
Shares
Held
Value
(000's)
Airlines
-
0.79%
Allegiant
Travel
Co
466
$
60
Apparel
-
3.61%
Crocs
Inc
(d)
1,537
61
Deckers
Outdoor
Corp
(d)
465
95
Hanesbrands
Inc
7,771
119
$
275
Automobile
Parts
&
Equipment
-
2.58%
BorgWarner
Inc
1,501
61
Visteon
Corp
(d)
1,802
136
$
197
Banks
-
3.17%
SVB
Financial
Group
(d)
949
242
Beverages
-
1.18%
Boston
Beer
Co
Inc
/The
(d)
102
90
Biotechnology
-
6.19%
Arrowhead
Pharmaceuticals
Inc
(d)
832
35
Biohaven
Pharmaceutical
Holding
Co
Ltd
(d)
2,024
128
Bio-Rad
Laboratories
Inc
(d)
65
33
CRISPR
Therapeutics
AG
(d)
856
80
Fate
Therapeutics
Inc
(d)
1,355
49
Immunomedics
Inc
(d)
1,231
55
Mirati
Therapeutics
Inc
(d)
379
57
Novavax
Inc
(d)
86
10
Ultragenyx
Pharmaceutical
Inc
(d)
299
25
$
472
Building
Materials
-
3.68%
Masonite
International
Corp
(d)
1,659
151
Trex
Co
Inc
(d)
866
130
$
281
Computers
-
2.77%
Crowdstrike
Holdings
Inc
(d)
1,208
152
Zscaler
Inc
(d)
412
59
$
211
Cosmetics
&
Personal
Care
-
1.46%
elf
Beauty
Inc
(d)
5,708
111
Distribution
&
Wholesale
-
0.47%
SiteOne
Landscape
Supply
Inc
(d)
292
36
Diversified
Financial
Services
-
4.50%
Ally
Financial
Inc
4,371
100
Hamilton
Lane
Inc
1,326
97
OneMain
Holdings
Inc
1,220
36
Tradeweb
Markets
Inc
1,926
110
$
343
Electrical
Components
&
Equipment
-
2.86%
Generac
Holdings
Inc
(d)
378
72
Littelfuse
Inc
808
146
$
218
Energy
-
Alternate
Sources
-
4.47%
Enphase
Energy
Inc
(d)
846
65
First
Solar
Inc
(d)
811
62
Plug
Power
Inc
(d)
4,573
60
SolarEdge
Technologies
Inc
(d)
697
154
$
341
Engineering
&
Construction
-
1.65%
TopBuild
Corp
(d)
822
126
Entertainment
-
0.47%
Caesars
Entertainment
Inc
(d)
781
36
Food
-
0.51%
Performance
Food
Group
Co
(d)
1,056
39
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Healthcare
-
Products
-
14.57%
Inspire
Medical
Systems
Inc
(d)
1,729
$
207
Insulet
Corp
(d)
849
185
iRhythm
Technologies
Inc
(d)
275
61
NanoString
Technologies
Inc
(d)
1,273
52
Natera
Inc
(d)
3,351
213
Penumbra
Inc
(d)
484
101
Repligen
Corp
(d)
345
53
Tandem
Diabetes
Care
Inc
(d)
2,123
239
$
1,111
Healthcare
-
Services
-
3.12%
Addus
HomeCare
Corp
(d)
776
72
Amedisys
Inc
(d)
193
47
LHC
Group
Inc
(d)
571
119
$
238
Home
Builders
-
2.18%
DR
Horton
Inc
615
44
KB
Home
3,418
122
$
166
Internet
-
6.20%
Chewy
Inc
(d)
1,478
90
Q2
Holdings
Inc
(d)
1,315
128
Zendesk
Inc
(d)
1,973
190
Zillow
Group
Inc
-
A
Shares
(d)
757
65
$
473
Leisure
Products
&
Services
-
4.34%
Fox
Factory
Holding
Corp
(d)
1,800
181
YETI
Holdings
Inc
(d)
2,915
150
$
331
Machinery
-
Diversified
-
2.08%
Altra
Industrial
Motion
Corp
1,680
66
Nordson
Corp
499
93
$
159
Metal
Fabrication
&
Hardware
-
0.69%
Timken
Co/The
986
53
Office
&
Business
Equipment
-
0.45%
Zebra
Technologies
Corp
(d)
117
34
Pharmaceuticals
-
4.62%
Horizon
Therapeutics
Plc
(d)
3,892
292
MyoKardia
Inc
(d)
544
60
$
352
Retail
-
6.27%
BJ's
Wholesale
Club
Holdings
Inc
(d)
857
38
Floor
&
Decor
Holdings
Inc
(d)
3,068
225
National
Vision
Holdings
Inc
(d)
2,556
96
Papa
John's
International
Inc
800
79
Shake
Shack
Inc
(d)
594
40
$
478
Semiconductors
-
5.77%
Cree
Inc
(d)
1,102
70
Inphi
Corp
(d)
600
69
MACOM
Technology
Solutions
Holdings
Inc
(d)
1,881
67
MaxLinear
Inc
(d)
1,412
34
MKS
Instruments
Inc
296
35
Semtech
Corp
(d)
850
50
Synaptics
Inc
(d)
622
53
Teradyne
Inc
730
62
$
440
Software
-
6.15%
Elastic
NV
(d)
338
37
Five9
Inc
(d)
897
114
Nuance
Communications
Inc
(d)
7,231
217
RingCentral
Inc
(d)
347
101
$
469
Schedule
of
Investments
Small-MidCap
Growth
Fund
August
31,
2020
See
accompanying
notes.
199
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Transportation
-
2.61%
CryoPort
Inc
(d),(e)
1,476
$
82
Kansas
City
Southern
315
57
Knight-Swift
Transportation
Holdings
Inc
1,321
60
$
199
TOTAL
COMMON
STOCKS
$
7,581
Total
Investments
$
7,711
Other
Assets
and
Liabilities
- (1.11)%
(85)
TOTAL
NET
ASSETS
-
100.00%
$
7,626
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$83
or
1.09%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary (unaudited)
Sector
Percent
Consumer,
Non-cyclical
31.65%
Consumer,
Cyclical
20.71%
Technology
15.14%
Industrial
13.57%
Financial
7.67%
Communications
6.20%
Energy
4.47%
Money
Market
Funds
1.70%
Other
Assets
and
Liabilities
(1.11)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
53
$
2,875
$
2,881
$
47
$
53
$
2,875
$
2,881
$
47
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
1
$
—
$
—
$
—
$
1
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
200
INVESTMENT
COMPANIES
-
3.94%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.68%
Invesco
Preferred
ETF
565,631
$
8,439
iShares
Preferred
&
Income
Securities
ETF
(a)
1,164,818
42,749
$
51,188
Money
Market
Funds
-
3.26%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(b),(c),(d),(e)
245,019,305
245,019
TOTAL
INVESTMENT
COMPANIES
$
296,207
CONVERTIBLE
PREFERRED
STOCKS
-
1.54%
Shares
Held
Value
(000's)
Banks
-
1.21%
Bank
of
America
Corp
7.25%
(f)
470
$
703
Wells
Fargo
&
Co
7.50%
(f)
65,530
90,464
$
91,167
Hand
&
Machine
Tools
-
0.33%
Stanley
Black
&
Decker
Inc
5.00%,
05/15/2021
(f)
21,000
24,890
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
116,057
PREFERRED
STOCKS
-
11.58%
Shares
Held
Value
(000's)
Banks
-
3.26%
AgriBank
FCB
6.88%,
01/01/2024
(f)
61,700
$
6,509
3
Month
USD
LIBOR
+
4.23%
Associated
Banc-Corp
5.63%,
09/15/2025
(f)
201,000
5,226
Associated
Banc-Corp
5.88%,
12/15/2023
(a),(f)
2,429
66
Bank
of
New
York
Mellon
Corp/The
5.20%,
12/20/2020
(a),(f)
107,448
2,768
Citigroup
Inc
6.88%,
11/15/2023
(a),(f)
414,370
11,718
3
Month
USD
LIBOR
+
4.13%
Citizens
Financial
Group
Inc
6.35%,
04/06/2024
(a),(f)
14,879
401
3
Month
USD
LIBOR
+
3.64%
Goldman
Sachs
Group
Inc
/The
5.50%,
05/10/2023
(f)
742,590
20,109
3
Month
USD
LIBOR
+
3.64%
Huntington
Bancshares
Inc
/OH
5.88%,
10/15/2021
(f)
325,787
8,741
Huntington
Bancshares
Inc
/OH
6.25%,
04/15/2021
(f)
990,264
25,400
JPMorgan
Chase
&
Co
4.75%,
12/01/2024
(a),(f)
277,529
7,388
JPMorgan
Chase
&
Co
5.75%,
12/01/2023
(f)
222,039
6,077
KeyCorp
6.13%,
12/15/2026
(a),(f)
750,031
22,306
3
Month
USD
LIBOR
+
3.89%
Morgan
Stanley
4.88%,
01/15/2025
(a),(f)
7,117
187
Morgan
Stanley
5.85%,
04/15/2027
(a),(f)
649,481
18,341
3
Month
USD
LIBOR
+
3.49%
PNC
Financial
Services
Group
Inc
/The
6.13%,
05/01/2022
(a),(f)
1,239,905
32,907
3
Month
USD
LIBOR
+
4.07%
Regions
Financial
Corp
5.70%,
05/15/2029
(a),(f)
328,950
8,931
3
Month
USD
LIBOR
+
3.15%
State
Street
Corp
5.90%,
03/15/2024
(a),(f)
236,076
6,502
3
Month
USD
LIBOR
+
3.11%
Synovus
Financial
Corp
5.88%,
07/01/2024
(f)
344,000
8,590
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.13%
Truist
Financial
Corp
0.00%,
09/01/2025
(c),(f)
480,000
12,686
Truist
Financial
Corp
5.63%,
06/01/2021
(a),(f)
134,160
3,507
US
Bancorp
3.50%,
09/30/2020
(f)
11,300
250
3
Month
USD
LIBOR
+
0.60%
US
Bancorp
6.50%,
01/15/2022
(a),(f)
239,945
6,462
3
Month
USD
LIBOR
+
4.47%
Valley
National
Bancorp
6.25%,
06/30/2025
(a),(f)
170,096
4,744
3
Month
USD
LIBOR
+
3.85%
Webster
Financial
Corp
5.25%,
12/15/2022
(a),(f)
194,856
5,158
Wells
Fargo
&
Co
4.75%,
03/15/2025
(f)
330,978
8,205
Wells
Fargo
&
Co
5.63%,
06/15/2022
(a),(f)
194,971
5,233
Wells
Fargo
&
Co
5.85%,
09/15/2023
(a),(f)
62,555
1,632
3
Month
USD
LIBOR
+
3.09%
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Banks
(continued)
Wells
Fargo
&
Co
6.63%,
03/15/2024
(a),(f)
207,457
$
5,720
3
Month
USD
LIBOR
+
3.69%
$
245,764
Diversified
Financial
Services
-
0.27%
Affiliated
Managers
Group
Inc
5.88%,
03/30/2059
(a)
146,761
4,029
Capital
One
Financial
Corp
0.00%,
06/01/2025
(a),(c),(f)
160,148
3,887
Capital
One
Financial
Corp
5.00%,
12/01/2024
(a),(f)
355,725
8,957
Charles
Schwab
Corp/The
6.00%,
12/01/2020
(a),(f)
138,263
3,520
$
20,393
Electric
-
2.37%
Alabama
Power
Co
5.00%,
10/01/2022
(a),(f)
572,000
16,016
Algonquin
Power
&
Utilities
Corp
6.20%,
07/01/2079
490,152
13,450
3
Month
USD
LIBOR
+
4.01%
CMS
Energy
Corp
5.88%,
03/01/2079
118,402
3,264
Dominion
Energy
Inc
5.25%,
07/30/2076
(a)
890,372
23,016
DTE
Energy
Co
5.25%,
12/01/2062
306,488
7,809
DTE
Energy
Co
5.25%,
12/01/2077
315,006
8,370
DTE
Energy
Co
5.38%,
06/01/2076
7,539
193
Duke
Energy
Corp
5.13%,
01/15/2073
339,938
8,808
Duke
Energy
Corp
5.75%,
06/15/2024
(f)
68,264
1,926
Entergy
Arkansas
LLC
4.90%,
12/01/2052
(a)
145,002
3,835
Entergy
Louisiana
LLC
4.70%,
06/01/2063
(a)
156,785
4,043
Entergy
Louisiana
LLC
4.88%,
09/01/2066
(a)
24,691
642
Entergy
Louisiana
LLC
5.25%,
07/01/2052
(a)
96,580
2,584
Entergy
Texas
Inc
5.38%,
10/15/2024
(a),(f)
30,000
825
Georgia
Power
Co
5.00%,
10/01/2077
(a)
262,012
7,242
Integrys
Holding
Inc
6.00%,
08/01/2073
81,343
2,190
3
Month
USD
LIBOR
+
3.22%
Interstate
Power
and
Light
Co
5.10%,
09/30/2020
(a),(f)
493,973
12,646
National
Rural
Utilities
Cooperative
Finance
Corp
5.50%,
05/15/2064
225,022
6,132
NextEra
Energy
Capital
Holdings
Inc
5.00%,
01/15/2073
(a)
477,663
12,185
NextEra
Energy
Capital
Holdings
Inc
5.13%,
11/15/2072
(a)
658,383
16,841
NextEra
Energy
Capital
Holdings
Inc
5.65%,
03/01/2079
77,046
2,142
Southern
Co/The
0.00%,
01/30/2080
(c)
239,337
6,419
Southern
Co/The
5.25%,
12/01/2077
555,000
14,946
Southern
Co/The
5.25%,
10/01/2076
(a)
100,061
2,599
$
178,123
Food
-
0.30%
Dairy
Farmers
of
America
Inc
7.88%,
09/30/2020
(f),(g)
16,000
1,448
Dairy
Farmers
of
America
Inc
7.88%,
12/01/2025
(f),(g)
236,300
21,385
$
22,833
Gas
-
0.02%
Entergy
New
Orleans
LLC
5.00%,
12/01/2052
3,299
85
Entergy
New
Orleans
LLC
5.50%,
04/01/2066
46,623
1,282
$
1,367
Insurance
-
1.60%
Allstate
Corp/The
4.75%,
01/15/2025
(a),(f)
153,679
4,162
Allstate
Corp/The
5.10%,
01/15/2053
(a)
537,816
14,467
3
Month
USD
LIBOR
+
3.17%
Allstate
Corp/The
5.10%,
10/15/2024
(a),(f)
439
12
American
Financial
Group
Inc
/OH
5.63%,
06/01/2060
125,706
3,423
American
Financial
Group
Inc
/OH
5.88%,
03/30/2059
(a)
100,515
2,779
American
Financial
Group
Inc
/OH
6.00%,
11/15/2055
12
—
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
201
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Insurance
(continued)
American
International
Group
Inc
5.85%,
03/15/2024
(f)
15,000
$
410
Arch
Capital
Group
Ltd
5.25%,
09/29/2021
(a),(f)
289,942
7,391
Arch
Capital
Group
Ltd
5.45%,
08/17/2022
(f)
53,235
1,401
Equitable
Holdings
Inc
5.25%,
12/15/2024
(a),(f)
475,000
11,927
Hartford
Financial
Services
Group
Inc
/The
7.88%,
04/15/2042
1,042,030
29,344
3
Month
USD
LIBOR
+
5.60%
MetLife
Inc
0.00%,
03/15/2025
(a),(c),(f)
30,000
795
Reinsurance
Group
of
America
Inc
6.20%,
09/15/2042
92,165
2,480
3
Month
USD
LIBOR
+
4.37%
RenaissanceRe
Holdings
Ltd
5.38%,
09/30/2020
(f)
544,287
13,716
RenaissanceRe
Holdings
Ltd
5.75%,
06/30/2023
(f)
29,666
813
Voya
Financial
Inc
5.35%,
09/15/2029
(a),(f)
72,909
2,053
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.21%
W
R
Berkley
Corp
5.63%,
04/30/2053
911,736
23,231
W
R
Berkley
Corp
5.70%,
03/30/2058
(a)
1,933
52
W
R
Berkley
Corp
5.75%,
06/01/2056
(a)
65,882
1,692
$
120,148
Pipelines
-
0.00%
Enbridge
Inc
6.38%,
04/15/2078
1,939
50
3
Month
USD
LIBOR
+
3.59%
REITs
-
1.42%
Digital
Realty
Trust
Inc
5.88%,
09/30/2020
(a),(f)
88,984
2,291
Digital
Realty
Trust
Inc
6.35%,
09/08/2020
(f)
189,212
4,789
Federal
Realty
Investment
Trust
5.00%,
09/29/2022
(f)
47,836
1,261
Kimco
Realty
Corp
5.13%,
08/16/2022
(f)
12,477
329
Kimco
Realty
Corp
5.25%,
12/20/2022
(a),(f)
406,949
10,784
National
Retail
Properties
Inc
5.20%,
10/11/2021
(a),(f)
121,276
3,130
Prologis
Inc
8.54%,
11/13/2026
(f)
162,700
13,667
PS
Business
Parks
Inc
4.88%,
11/04/2024
(f)
3,957
106
PS
Business
Parks
Inc
5.25%,
09/21/2022
(f)
57,755
1,531
Public
Storage
0.00%,
08/14/2025
(c),(f)
316,800
8,401
Public
Storage
4.63%,
06/17/2025
(a),(f)
237,200
6,494
Public
Storage
4.75%,
12/20/2024
(a),(f)
185,477
5,119
Public
Storage
4.90%,
10/14/2021
(f)
6,561
169
Public
Storage
5.05%,
08/09/2022
(f)
177,565
4,679
Public
Storage
5.20%,
09/30/2020
(a),(f)
1,800
46
Public
Storage
5.20%,
09/30/2020
(f)
64,611
1,637
Public
Storage
5.60%,
03/11/2024
(a),(f)
311,855
8,857
Vornado
Realty
Trust
5.25%,
12/13/2022
(f)
382,922
9,719
Vornado
Realty
Trust
5.40%,
09/30/2020
(a),(f)
188,066
4,749
Vornado
Realty
Trust
5.70%,
09/30/2020
(f)
759,672
19,235
$
106,993
Savings
&
Loans
-
0.05%
People's
United
Financial
Inc
5.63%,
12/15/2026
(a),(f)
94,067
2,502
3
Month
USD
LIBOR
+
4.02%
Sterling
Bancorp/DE
6.50%,
10/15/2022
(a),(f)
42,713
1,130
$
3,632
Sovereign
-
0.90%
CoBank
ACB
6.13%,
10/01/2020
(f)
8,000
839
CoBank
ACB
6.20%,
01/01/2025
(f)
65,000
6,825
3
Month
USD
LIBOR
+
3.74%
CoBank
ACB
6.25%,
10/01/2022
(f)
296,500
30,836
3
Month
USD
LIBOR
+
4.56%
Farm
Credit
Bank
of
Texas
6.75%,
09/15/2023
(f),(g)
270,500
28,944
3
Month
USD
LIBOR
+
4.01%
$
67,444
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Telecommunications
-
1.39%
AT&T
Inc
0.00%,
02/18/2025
(c),(f)
2,704,605
$
68,616
AT&T
Inc
5.00%,
12/12/2024
(f)
40,144
1,076
Telephone
and
Data
Systems
Inc
6.63%,
03/31/2045
(a)
72,184
1,878
Telephone
and
Data
Systems
Inc
7.00%,
03/15/2060
(a)
1,071,162
27,497
United
States
Cellular
Corp
6.25%,
09/01/2069
160,000
4,189
United
States
Cellular
Corp
6.95%,
05/15/2060
45,971
1,170
$
104,426
TOTAL
PREFERRED
STOCKS
$
871,173
BONDS
-
80.43%
Principal
Amount
(000's)
Value
(000's)
Banks
-
48.79%
Australia
&
New
Zealand
Banking
Group
Ltd/
United
Kingdom
6.75%,
12/31/2049
(f),(g),(h),(
i
)
$
5,000
$
5,731
USD
Swap
Rate
NY
5
Year
+
5.17%
6.75%,
12/31/2049
(f),(h),(
i
)
2,700
3,095
USD
Swap
Rate
NY
5
Year
+
5.17%
Banco
Bilbao
Vizcaya
Argentaria
SA
6.50%,
12/31/2049
(f),(h),(
i
)
30,600
30,677
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.19%
Banco
Santander
SA
7.50%,
12/31/2049
(f),(h),(
i
)
32,400
34,182
USD
Swap
Semi-Annual
5
Year
+
4.99%
Bank
of
America
Corp
6.10%,
12/31/2049
(f),(h)
5,000
5,610
3
Month
USD
LIBOR
+
3.90%
6.25%,
12/31/2049
(f),(h)
30,599
33,547
3
Month
USD
LIBOR
+
3.71%
6.30%,
12/31/2049
(f),(h)
46,995
54,343
3
Month
USD
LIBOR
+
4.55%
6.50%,
12/31/2049
(f),(h)
97,785
110,473
3
Month
USD
LIBOR
+
4.17%
8.05%,
06/15/2027
6,312
8,434
Bank
of
Montreal
1.85%,
05/01/2025
11,800
12,394
Bank
of
New
York
Mellon
Corp/The
3.73%,
12/31/2049
(f)
73,500
73,299
3
Month
USD
LIBOR
+
3.42%
4.62%,
12/31/2099
(f),(h)
19,688
20,575
3
Month
USD
LIBOR
+
3.13%
4.70%,
12/31/2049
(f),(h)
12,400
13,466
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.36%
Bank
of
Nova
Scotia/The
1.63%,
05/01/2023
9,000
9,265
4.90%,
12/31/2049
(f),(h)
23,000
24,064
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.55%
Barclays
Bank
PLC
6.28%,
12/31/2049
(f),(h)
4,000
4,518
3
Month
USD
LIBOR
+
1.55%
6.86%,
12/31/2049
(f),(h)
517
643
6
Month
USD
LIBOR
+
1.73%
7.63%,
11/21/2022
(
i
)
8,000
8,895
Barclays
PLC
6.13%,
12/31/2049
(f),(h),(
i
)
5,000
5,174
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.87%
7.75%,
12/31/2049
(f),(h),(
i
)
47,300
50,097
USD
Swap
Semi-Annual
5
Year
+
4.84%
7.88%,
12/31/2049
(f),(h),(
i
)
30,065
31,455
USD
Swap
Semi-Annual
5
Year
+
6.77%
8.00%,
12/31/2049
(f),(h),(
i
)
67,803
74,171
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.67%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
202
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
BNP
Paribas
SA
6.63%,
12/31/2049
(f),(g),(h),(
i
)
$
39,300
$
41,904
USD
Swap
Semi-Annual
5
Year
+
4.15%
6.63%,
12/31/2049
(f),(h),(
i
)
8,700
9,276
USD
Swap
Rate
NY
5
Year
+
4.15%
6.75%,
12/31/2049
(f),(h),(
i
)
6,200
6,498
USD
Swap
Semi-Annual
5
Year
+
4.92%
7.00%,
12/31/2049
(f),(g),(h),(
i
)
2,500
2,863
USD
Swap
Semi-Annual
5
Year
+
3.98%
7.20%,
12/31/2049
(f),(g),(h)
10,800
11,761
3
Month
USD
LIBOR
+
1.29%
7.37%,
12/31/2049
(f),(g),(h),(
i
)
100
114
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.37%,
12/31/2049
(f),(h),(
i
)
13,000
14,812
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.63%,
12/31/2049
(f),(g),(h),(
i
)
80,898
83,224
USD
Swap
Semi-Annual
5
Year
+
6.31%
7.63%,
12/31/2049
(f),(h),(
i
)
50,000
51,438
USD
Swap
Semi-Annual
5
Year
+
6.31%
BPCE
SA
5.15%,
07/21/2024
(g)
13,014
14,633
Citigroup
Capital
III
7.63%,
12/01/2036
2,700
3,825
Citigroup
Inc
4.38%,
12/31/2049
(f)
19,000
18,908
3
Month
USD
LIBOR
+
4.10%
5.90%,
12/31/2049
(f),(h)
7,383
7,822
3
Month
USD
LIBOR
+
4.23%
5.95%,
12/31/2049
(f),(h)
27,100
28,387
3
Month
USD
LIBOR
+
4.07%
5.95%,
12/31/2049
(f),(h)
10,770
11,629
3
Month
USD
LIBOR
+
3.91%
6.13%,
12/31/2049
(f),(h)
36,800
37,026
3
Month
USD
LIBOR
+
4.48%
6.25%,
12/31/2049
(f),(h)
86,582
98,271
3
Month
USD
LIBOR
+
4.52%
Citizens
Financial
Group
Inc
4.26%,
12/31/2049
(f)
13,300
12,519
3
Month
USD
LIBOR
+
3.96%
5.65%,
12/31/2049
(f),(h)
53,983
57,897
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.31%
6.00%,
12/31/2049
(f),(h)
7,000
6,843
3
Month
USD
LIBOR
+
3.00%
6.38%,
12/31/2049
(f),(h)
7,000
7,035
3
Month
USD
LIBOR
+
3.16%
Comerica
Inc
5.63%,
12/31/2049
(f),(h)
18,600
20,274
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.29%
Corestates
Capital
III
0.85%,
02/15/2027
(g)
18,621
16,866
3
Month
USD
LIBOR
+
0.57%
Credit
Agricole
SA
7.88%,
12/31/2049
(f),(g),(h),(
i
)
29,540
32,973
USD
Swap
Semi-Annual
5
Year
+
4.90%
7.88%,
12/31/2049
(f),(h),(
i
)
18,100
20,204
USD
Swap
Semi-Annual
5
Year
+
4.90%
8.13%,
12/31/2049
(f),(g),(h),(
i
)
34,368
40,726
USD
Swap
Semi-Annual
5
Year
+
6.19%
Credit
Suisse
AG
6.50%,
08/08/2023
(g),(
i
)
23,254
26,472
6.50%,
08/08/2023
(
i
)
6,000
6,830
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Credit
Suisse
Group
AG
5.10%,
12/31/2049
(f),(g),(h),(
i
)
$
21,300
$
21,207
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.29%
5.25%,
12/31/2049
(f),(g),(h),(
i
)
34,800
35,453
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.89%
6.25%,
12/31/2049
(f),(g),(h),(
i
)
6,000
6,530
USD
Swap
Semi-Annual
5
Year
+
3.46%
6.38%,
12/31/2099
(f),(g),(h),(
i
)
14,400
15,660
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.82%
7.13%,
12/31/2049
(f),(h),(
i
)
24,838
26,173
USD
Swap
Semi-Annual
5
Year
+
5.11%
7.50%,
12/31/2049
(f),(g),(h),(
i
)
6,500
7,011
USD
Swap
Semi-Annual
5
Year
+
4.60%
7.50%,
12/31/2049
(f),(g),(h),(
i
)
77,040
85,512
USD
Swap
Semi-Annual
5
Year
+
4.60%
Danske
Bank
A/S
6.13%,
12/31/2099
(f),(h),(
i
)
2,500
2,594
USD
Swap
Semi-Annual
7
Year
+
3.90%
7.00%,
12/31/2049
(f),(h),(
i
)
19,645
21,193
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
7
Year
+
4.13%
Fifth
Third
Bancorp
4.50%,
12/31/2049
(f),(h)
13,525
13,850
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.22%
First
Maryland
Capital
I
1.28%,
01/15/2027
2,000
1,848
3
Month
USD
LIBOR
+
1.00%
Goldman
Sachs
Group
Inc
/The
4.17%,
12/31/2049
(f)
11,300
11,187
3
Month
USD
LIBOR
+
3.92%
4.95%,
12/31/2049
(f),(h)
23,363
24,172
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.22%
5.50%,
12/31/2049
(a),(f),(h)
13,750
14,882
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.62%
HBOS
Capital
Funding
LP
6.85%,
12/31/2049
(f)
19,106
19,381
HSBC
Capital
Funding
Dollar
1
LP
10.18%,
12/31/2049
(f),(g),(h)
56,967
91,112
3
Month
USD
LIBOR
+
4.98%
10.18%,
12/31/2049
(f),(h)
34,808
55,671
3
Month
USD
LIBOR
+
4.98%
HSBC
Holdings
PLC
6.00%,
12/31/2099
(f),(h),(
i
)
15,900
16,437
USD
Swap
Rate
NY
5
Year
+
3.75%
6.37%,
12/31/2049
(f),(h),(
i
)
14,800
15,732
USD
Swap
Rate
NY
5
Year
+
4.37%
6.38%,
12/31/2049
(f),(h),(
i
)
3,300
3,449
USD
Swap
Rate
NY
5
Year
+
3.71%
6.50%,
12/31/2099
(f),(h),(
i
)
25,600
27,584
USD
Swap
Rate
NY
5
Year
+
3.61%
6.87%,
12/31/2049
(f),(h),(
i
)
54,800
56,291
USD
Swap
Rate
NY
5
Year
+
5.51%
Huntington
Bancshares
Inc
/OH
4.45%,
12/31/2049
(f),(h)
78,528
78,919
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
7
Year
+
4.05%
5.63%,
12/31/2049
(f),(h)
20,520
22,931
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
10
Year
+
4.95%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
203
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
ING
Groep
NV
5.75%,
12/31/2049
(f),(h),(
i
)
$
14,075
$
14,878
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.34%
6.50%,
12/31/2049
(f),(h),(
i
)
35,300
37,559
USD
Swap
Semi-Annual
5
Year
+
4.45%
6.87%,
12/31/2049
(f),(h),(
i
)
62,586
65,896
USD
Swap
Semi-Annual
5
Year
+
5.12%
Intesa
Sanpaolo
SpA
7.70%,
12/31/2049
(f),(g),(h),(
i
)
10,900
11,718
USD
Swap
Semi-Annual
5
Year
+
5.46%
JPMorgan
Chase
&
Co
4.05%,
12/31/2099
(f)
25,318
25,229
3
Month
USD
LIBOR
+
3.80%
4.60%,
12/31/2049
(f),(h)
7,000
7,026
United
States
Secured
Overnight
Financing
Rate
+
3.13%
6.75%,
12/31/2049
(f),(h)
147,336
164,648
3
Month
USD
LIBOR
+
3.78%
KeyCorp
5.00%,
12/31/2049
(f),(h)
16,101
16,458
3
Month
USD
LIBOR
+
3.61%
KeyCorp
Capital
I
1.04%,
07/01/2028
2,825
2,540
3
Month
USD
LIBOR
+
0.74%
KeyCorp
Capital
III
7.75%,
07/15/2029
3,500
4,413
Lloyds
Bank
PLC
12.00%,
12/31/2049
(f),(g),(h)
38,250
44,697
3
Month
USD
LIBOR
+
11.76%
12.00%,
12/31/2049
(f),(h)
21,889
25,578
3
Month
USD
LIBOR
+
11.76%
Lloyds
Banking
Group
PLC
3.87%,
07/09/2025
(h)
5,000
5,499
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1
Year
+
3.50%
6.41%,
12/31/2049
(f),(g),(h)
12,674
14,417
3
Month
USD
LIBOR
+
1.50%
6.66%,
12/31/2049
(a),(f),(h)
3,000
3,495
3
Month
USD
LIBOR
+
1.27%
6.66%,
12/31/2049
(a),(f),(g),(h)
51,385
59,864
3
Month
USD
LIBOR
+
1.27%
7.50%,
12/31/2049
(f),(h),(
i
)
47,496
51,414
USD
Swap
Semi-Annual
5
Year
+
4.76%
7.50%,
12/31/2049
(f),(h),(
i
)
22,500
24,755
USD
Swap
Semi-Annual
5
Year
+
4.50%
M&T
Bank
Corp
5.00%,
12/31/2049
(f),(h)
4,378
4,545
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.17%
5.12%,
12/31/2049
(f),(h)
14,020
14,769
3
Month
USD
LIBOR
+
3.52%
6.45%,
12/31/2049
(f),(h)
6,615
7,177
3
Month
USD
LIBOR
+
3.61%
Morgan
Stanley
4.08%,
12/31/2049
(f)
6,802
6,706
3
Month
USD
LIBOR
+
3.81%
Natwest
Group
PLC
2.63%,
12/31/2049
(f)
1,900
1,799
3
Month
USD
LIBOR
+
2.32%
6.00%,
12/31/2049
(a),(f),(h),(
i
)
35,000
36,871
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.63%
7.65%,
12/31/2049
(f),(h)
28,946
43,708
3
Month
USD
LIBOR
+
2.50%
8.00%,
12/31/2049
(f),(h),(
i
)
22,825
26,024
USD
Swap
Semi-Annual
5
Year
+
5.72%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Natwest
Group
PLC
(continued)
8.62%,
12/31/2049
(f),(h),(
i
)
$
35,275
$
37,080
USD
Swap
Semi-Annual
5
Year
+
7.60%
Nordea
Bank
Abp
6.13%,
12/31/2049
(f),(g),(h),(
i
)
42,131
44,659
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.13%,
12/31/2049
(a),(f),(h),(
i
)
13,735
14,559
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.63%,
12/31/2099
(f),(g),(h),(
i
)
32,520
36,260
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.11%
Northern
Trust
Corp
4.60%,
12/31/2049
(f),(h)
2,200
2,276
3
Month
USD
LIBOR
+
3.20%
NTC
Capital
I
0.79%,
01/15/2027
5,500
5,147
3
Month
USD
LIBOR
+
0.52%
NTC
Capital
II
0.87%,
04/15/2027
6,500
5,938
3
Month
USD
LIBOR
+
0.59%
PNC
Financial
Services
Group
Inc
/The
6.75%,
12/31/2049
(f),(h)
7,589
7,846
3
Month
USD
LIBOR
+
3.68%
RBS
Capital
Trust
II
6.43%,
12/31/2049
(f),(h)
2,750
4,159
3
Month
USD
LIBOR
+
1.94%
Regions
Financial
Corp
5.75%,
12/31/2049
(f),(h)
16,750
18,174
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.43%
Skandinaviska
Enskilda
Banken
AB
5.63%,
12/31/2049
(f),(h),(
i
)
11,800
12,204
USD
Swap
Semi-Annual
5
Year
+
3.49%
Societe
Generale
SA
7.37%,
12/31/2049
(f),(h),(
i
)
14,120
14,626
USD
Swap
Semi-Annual
5
Year
+
6.24%
7.38%,
12/31/2049
(f),(g),(h),(
i
)
16,800
17,514
USD
Swap
Semi-Annual
5
Year
+
4.30%
7.38%,
12/31/2049
(f),(g),(h),(
i
)
25,326
26,234
USD
Swap
Semi-Annual
5
Year
+
6.24%
7.88%,
12/31/2049
(a),(f),(g),(h),(
i
)
4,900
5,298
USD
Swap
Semi-Annual
5
Year
+
4.98%
7.88%,
12/31/2049
(f),(h),(
i
)
14,000
15,138
USD
Swap
Semi-Annual
5
Year
+
4.98%
8.00%,
12/31/2049
(f),(g),(h),(
i
)
26,660
30,326
USD
Swap
Rate
NY
5
Year
+
5.87%
8.00%,
12/31/2049
(f),(h),(
i
)
19,000
21,613
USD
Swap
Rate
NY
5
Year
+
5.87%
Standard
Chartered
PLC
4.87%,
03/15/2033
(h)
1,026
1,126
USD
Swap
Rate
NY
5
Year
+
1.97%
6.00%,
12/31/2049
(f),(h),(
i
)
1,000
1,047
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.66%
6.00%,
12/31/2099
(a),(f),(g),(h),(
i
)
15,000
15,709
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.66%
7.01%,
12/31/2049
(f),(g),(h)
42,900
49,969
3
Month
USD
LIBOR
+
1.46%
7.01%,
12/31/2049
(f),(h)
19,800
23,062
3
Month
USD
LIBOR
+
1.46%
7.50%,
12/31/2049
(f),(g),(h),(
i
)
17,700
18,607
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.50%,
12/31/2049
(f),(h),(
i
)
23,500
24,704
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.75%,
12/31/2049
(f),(g),(h),(
i
)
25,000
27,108
USD
Swap
Semi-Annual
5
Year
+
5.72%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
204
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
State
Street
Corp
5.25%,
12/31/2049
(f),(h)
$
4,000
$
4,020
3
Month
USD
LIBOR
+
3.60%
Svenska
Handelsbanken
AB
5.25%,
12/31/2049
(f),(h),(
i
)
29,400
29,731
USD
Swap
Semi-Annual
5
Year
+
3.34%
6.25%,
12/31/2049
(f),(h),(
i
)
13,800
15,066
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.69%
Swedbank
AB
6.00%,
12/31/2049
(f),(h),(
i
)
5,200
5,401
USD
Swap
Semi-Annual
5
Year
+
4.11%
Truist
Bank
0.95%,
05/15/2027
10,900
10,153
3
Month
USD
LIBOR
+
0.67%
0.96%,
03/15/2028
9,022
8,224
3
Month
USD
LIBOR
+
0.65%
1.28%,
04/01/2027
7,000
6,442
3
Month
USD
LIBOR
+
0.98%
Truist
Financial
Corp
4.80%,
12/31/2099
(f),(h)
99,300
103,025
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.00%
4.95%,
12/31/2099
(f),(h)
43,690
47,289
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.61%
UBS
Group
AG
6.88%,
12/31/2049
(f),(h),(
i
)
68,834
70,148
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
5.50%
6.88%,
12/31/2049
(f),(h),(
i
)
11,933
13,203
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.59%
7.00%,
12/31/2049
(f),(g),(h),(
i
)
19,500
21,133
USD
Swap
Semi-Annual
5
Year
+
4.34%
7.00%,
12/31/2049
(f),(h),(
i
)
10,800
11,705
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.34%
7.00%,
12/31/2049
(f),(h),(
i
)
20,700
23,391
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.87%
7.13%,
12/31/2049
(f),(h),(
i
)
20,426
21,126
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
5.88%
UniCredit
SpA
8.00%,
12/31/2049
(f),(h),(
i
)
21,000
22,694
USD
Swap
Semi-Annual
5
Year
+
5.18%
US
Bancorp
5.12%,
12/31/2049
(f),(h)
2,850
2,859
3
Month
USD
LIBOR
+
3.49%
USB
Realty
Corp
1.42%,
12/31/2049
(f),(g)
1,500
1,196
3
Month
USD
LIBOR
+
1.15%
Wachovia
Capital
Trust
II
0.78%,
01/15/2027
6,345
5,849
3
Month
USD
LIBOR
+
0.50%
Wachovia
Capital
Trust
III
5.57%,
12/31/2049
(f)
6,500
6,534
3
Month
USD
LIBOR
+
0.93%
Wells
Fargo
&
Co
5.87%,
12/31/2049
(f),(h)
50,300
55,519
3
Month
USD
LIBOR
+
3.99%
7.95%,
11/15/2029
3,700
4,985
$
3,671,676
Diversified
Financial
Services
-
2.80%
Capital
One
Financial
Corp
4.15%,
12/31/2049
(f)
20,430
18,438
3
Month
USD
LIBOR
+
3.80%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Diversified
Financial
Services
(continued)
Charles
Schwab
Corp/The
5.38%,
12/31/2049
(f),(h)
$
106,742
$
117,149
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.97%
7.00%,
12/31/2049
(f),(h)
28,358
30,275
3
Month
USD
LIBOR
+
4.82%
Depository
Trust
&
Clearing
Corp/The
3.48%,
12/31/2049
(f),(g)
27,000
26,313
3
Month
USD
LIBOR
+
3.17%
Discover
Financial
Services
6.13%,
12/31/2049
(f),(h)
17,150
18,495
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.78%
$
210,670
Electric
-
4.21%
Dominion
Energy
Inc
4.65%,
12/31/2099
(f),(h)
104,799
106,546
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.99%
Duke
Energy
Corp
4.88%,
12/31/2099
(f),(h)
46,700
49,269
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.39%
Emera
Inc
6.75%,
06/15/2076
(h)
57,795
64,730
3
Month
USD
LIBOR
+
5.44%
Enel
SpA
8.75%,
09/24/2073
(g),(h)
12,991
15,236
USD
Swap
Semi-Annual
5
Year
+
5.88%
National
Rural
Utilities
Cooperative
Finance
Corp
5.25%,
04/20/2046
(h)
22,969
25,036
3
Month
USD
LIBOR
+
3.63%
NextEra
Energy
Capital
Holdings
Inc
2.36%,
10/01/2066
23,474
19,249
3
Month
USD
LIBOR
+
2.07%
2.44%,
06/15/2067
8,920
7,311
3
Month
USD
LIBOR
+
2.13%
4.80%,
12/01/2077
(h)
2,300
2,475
3
Month
USD
LIBOR
+
2.41%
5.65%,
05/01/2079
(h)
800
918
3
Month
USD
LIBOR
+
3.16%
PPL
Capital
Funding
Inc
2.97%,
03/30/2067
15,700
12,708
3
Month
USD
LIBOR
+
2.67%
Southern
Co/The
5.50%,
03/15/2057
(h)
13,050
13,469
3
Month
USD
LIBOR
+
3.63%
$
316,947
Food
-
0.11%
Dairy
Farmers
of
America
Inc
7.13%,
12/31/2049
(f),(g)
8,700
8,004
Gas
-
0.82%
NiSource
Inc
5.65%,
12/31/2049
(f),(h)
61,800
61,491
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.84%
Hand
&
Machine
Tools
-
0.18%
Stanley
Black
&
Decker
Inc
4.00%,
03/15/2060
(h)
12,900
13,550
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.66%
Insurance
-
18.63%
ACE
Capital
Trust
II
9.70%,
04/01/2030
15,505
23,254
AIG
Life
Holdings
Inc
8.50%,
07/01/2030
31,200
39,076
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
205
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Allstate
Corp/The
5.75%,
08/15/2053
(h)
$
11,754
$
12,607
3
Month
USD
LIBOR
+
2.94%
6.50%,
05/15/2067
(h)
11,905
15,435
3
Month
USD
LIBOR
+
2.12%
American
International
Group
Inc
5.75%,
04/01/2048
(h)
46,701
51,535
3
Month
USD
LIBOR
+
2.87%
8.18%,
05/15/2068
(h)
29,013
41,601
3
Month
USD
LIBOR
+
4.20%
Aon
Corp
8.21%,
01/01/2027
4,750
6,133
Argentum
Netherlands
BV
for
Swiss
Re
Ltd
5.63%,
08/15/2052
(h)
54,000
60,641
3
Month
USD
LIBOR
+
3.78%
5.75%,
08/15/2050
(h)
34,400
38,241
3
Month
USD
LIBOR
+
3.59%
Argentum
Netherlands
BV
for
Zurich
Insurance
Co
Ltd
5.13%,
06/01/2048
(h)
6,290
7,198
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.27%
AXA
SA
6.38%,
12/31/2049
(f),(g),(h)
27,793
36,843
3
Month
USD
LIBOR
+
2.26%
8.60%,
12/15/2030
13,874
21,019
Cloverie
PLC
for
Swiss
Re
Corporate
Solutions
Ltd
4.50%,
09/11/2044
(h)
20,000
21,168
USD
Swap
Semi-Annual
10
Year
+
2.91%
Cloverie
PLC
for
Zurich
Insurance
Co
Ltd
5.63%,
06/24/2046
(h)
5,000
5,837
3
Month
USD
LIBOR
+
4.92%
Dai-ichi
Life
Insurance
Co
Ltd/The
7.25%,
12/31/2049
(f),(g),(h)
13,250
13,909
3
Month
USD
LIBOR
+
4.56%
Everest
Reinsurance
Holdings
Inc
2.67%,
05/01/2067
27,820
23,647
3
Month
USD
LIBOR
+
2.39%
Hartford
Financial
Services
Group
Inc
/The
2.41%,
02/12/2067
(g)
5,685
4,789
3
Month
USD
LIBOR
+
2.13%
Legal
&
General
Group
PLC
5.25%,
03/21/2047
(h)
37,104
40,814
USD
Swap
Semi-Annual
5
Year
+
3.69%
Liberty
Mutual
Group
Inc
7.80%,
03/07/2087
(g)
76,240
94,517
3
Month
USD
LIBOR
+
3.58%
Liberty
Mutual
Insurance
Co
7.70%,
10/15/2097
(g)
20,025
31,911
Lincoln
National
Corp
2.31%,
04/20/2067
60,769
43,118
3
Month
USD
LIBOR
+
2.04%
2.64%,
05/17/2066
916
687
3
Month
USD
LIBOR
+
2.36%
M&G
PLC
6.50%,
10/20/2048
(h)
16,188
20,093
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.41%
Meiji
Yasuda
Life
Insurance
Co
5.10%,
04/26/2048
(g),(h)
4,600
5,714
USD
Swap
Rate
NY
5
Year
+
3.15%
5.20%,
10/20/2045
(g),(h)
9,545
11,029
USD
Swap
Semi-Annual
5
Year
+
4.23%
MetLife
Capital
Trust
IV
7.88%,
12/15/2067
(g)
24,540
33,904
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
MetLife
Inc
6.40%,
12/15/2066
$
20,770
$
26,182
3
Month
USD
LIBOR
+
2.21%
9.25%,
04/08/2068
(g)
51,775
77,877
3
Month
USD
LIBOR
+
5.54%
10.75%,
08/01/2069
50,439
82,053
3
Month
USD
LIBOR
+
7.55%
Mitsui
Sumitomo
Insurance
Co
Ltd
4.95%,
12/31/2049
(f),(h)
520
629
USD
Swap
Semi-Annual
5
Year
+
3.26%
4.95%,
12/31/2099
(f),(g),(h)
1,800
2,178
USD
Swap
Semi-Annual
5
Year
+
3.26%
7.00%,
03/15/2072
(g),(h)
10,700
11,556
3
Month
USD
LIBOR
+
5.90%
MMI
Capital
Trust
I
7.63%,
12/15/2027
1,073
1,384
Nationwide
Financial
Services
Inc
6.75%,
05/15/2087
79,015
92,853
Nippon
Life
Insurance
Co
4.70%,
01/20/2046
(g),(h)
5,000
5,650
USD
Swap
Rate
NY
5
Year
+
3.75%
5.10%,
10/16/2044
(g),(h)
26,700
29,971
USD
Swap
Rate
NY
5
Year
+
3.65%
Prudential
Financial
Inc
3.70%,
10/01/2050
(h)
11,400
11,770
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.04%
5.20%,
03/15/2044
(h)
3,945
4,179
3
Month
USD
LIBOR
+
3.04%
5.63%,
06/15/2043
(h)
79,130
84,707
3
Month
USD
LIBOR
+
3.92%
5.88%,
09/15/2042
(h)
45,255
48,337
3
Month
USD
LIBOR
+
4.18%
QBE
Capital
Funding
III
Ltd
7.25%,
05/24/2041
(g),(h)
5,000
5,169
USD
Swap
Semi-Annual
10
Year
+
4.05%
QBE
Insurance
Group
Ltd
5.88%,
06/17/2046
(h)
3,100
3,411
USD
Swap
Rate
NY
10
Year
+
4.40%
5.88%,
12/31/2049
(a),(f),(g),(h)
17,200
18,297
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.51%
6.75%,
12/02/2044
(h)
5,533
6,238
USD
Swap
Semi-Annual
10
Year
+
4.30%
Sompo
Japan
Insurance
Inc
5.33%,
03/28/2073
(g),(h)
60,300
65,426
3
Month
USD
LIBOR
+
4.27%
Sumitomo
Life
Insurance
Co
6.50%,
09/20/2073
(g),(h)
15,500
17,631
3
Month
USD
LIBOR
+
4.44%
Voya
Financial
Inc
4.70%,
01/23/2048
(h)
8,055
8,095
3
Month
USD
LIBOR
+
2.08%
5.65%,
05/15/2053
(h)
77,926
81,433
3
Month
USD
LIBOR
+
3.58%
6.13%,
12/31/2049
(f),(h)
11,706
12,174
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.36%
$
1,401,920
Oil
&
Gas
-
0.20%
BP
Capital
Markets
PLC
4.38%,
12/31/2049
(f),(h)
14,600
15,330
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.04%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
206
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pipelines
-
3.38%
Enbridge
Inc
5.75%,
07/15/2080
(h)
$
52,375
$
55,242
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.31%
6.00%,
01/15/2077
(h)
27,975
28,535
3
Month
USD
LIBOR
+
3.89%
6.25%,
03/01/2078
(h)
31,558
32,416
3
Month
USD
LIBOR
+
3.64%
Enterprise
Products
Operating
LLC
5.25%,
08/16/2077
(h)
48,200
46,272
3
Month
USD
LIBOR
+
3.03%
5.38%,
02/15/2078
(h)
5,000
4,558
3
Month
USD
LIBOR
+
2.57%
Transcanada
Trust
5.50%,
09/15/2079
(h)
51,000
54,315
3
Month
USD
LIBOR
+
4.15%
5.87%,
08/15/2076
(h)
30,081
32,866
3
Month
USD
LIBOR
+
4.64%
$
254,204
Sovereign
-
0.47%
CoBank
ACB
6.25%,
12/31/2049
(f),(h)
16,400
17,220
3
Month
USD
LIBOR
+
4.66%
Farm
Credit
Bank
of
Texas
5.70%,
12/31/2049
(f),(g),(h)
17,000
18,190
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.42%
$
35,410
Telecommunications
-
0.30%
Koninklijke
KPN
NV
7.00%,
03/28/2073
(a),(g),(h)
13,126
14,279
USD
Swap
Semi-Annual
10
Year
+
5.21%
7.00%,
03/28/2073
(h)
8,000
8,703
USD
Swap
Semi-Annual
10
Year
+
5.21%
$
22,982
Transportation
-
0.54%
BNSF
Funding
Trust
I
6.61%,
12/15/2055
(h)
35,709
40,399
3
Month
USD
LIBOR
+
2.35%
TOTAL
BONDS
$
6,052,583
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
2.25%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
2.25%
0.13%,
08/31/2022
$
45,000
$
44,991
0.13%,
08/15/2023
22,500
22,482
0.25%,
04/15/2023
35,000
35,097
0.25%,
07/31/2025
55,000
54,966
0.38%,
03/31/2022
12,000
12,043
$
169,579
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
169,579
TOTAL
PURCHASED
OPTIONS
-
0.00%
$
383
Total
Investments
$
7,505,982
Other
Assets
and
Liabilities
- 0.26%
19,348
TOTAL
NET
ASSETS
-
100.00%
$
7,525,330
(a)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(b)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(c)
Non-income
producing
security
(d)
Current
yield
shown
is
as
of
period
end.
(e)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$16,720
or
0.22%
of
net
assets.
(f)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(g)
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
$1,564,631
or
20.79%
of
net
assets.
(h)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(
i
)
Security
is
a
contingent
convertible
security,
("
CoCo
").
CoCo's
are
hybrid
debt
securities
that
may
convert
to
equity
or
have
their
principal
written
down
upon
occurrence
of
certain
"triggers".
See
notes
for
additional
information.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$1,787,036
or
23.75%
of
net
assets.
Portfolio
Summary (unaudited)
Sector
Percent
Financial
78.03%
Utilities
7.42%
Government
3.62%
Energy
3.58%
Money
Market
Funds
3.26%
Communications
1.69%
Industrial
1.05%
Investment
Companies
0.68%
Consumer,
Non-cyclical
0.41%
Purchased
Options
0.00%
Other
Assets
and
Liabilities
0.26%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
207
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Centaur
Funding
Corp
9.08%
4/21/2020
$
99,772
$
—
$
96,051
$
—
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
98,550
2,554,399
2,407,930
245,019
$
198,322
$
2,554,399
$
2,503,981
$
245,019
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Centaur
Funding
Corp
9.08%
04/21/2020
$
5,344
$
(19,445)
$
—
$
15,724
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
1,670
—
—
—
$
7,014
$
(19,445)
$
—
$
15,724
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
US
10
Year
Note
Future;
December
2020
N/A
1,000
$
1,000
$
143.50
09/28/2020
$
18
$
—
$
(18)
Call
-
US
Long
Bond
Future;
December
2020
N/A
500
500
$
178.00
09/28/2020
876
328
(548)
Call
-
US
Long
Bond
Future;
December
2020
N/A
500
500
$
182.00
09/28/2020
228
55
(173)
Total
$
1,122
$
383
$
(739)
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
US
Long
Bond
Future;
December
2020
N/A
1,000
$
1,000
$
180.00
09/28/2020
$
(928)
$
(250)
$
678
Total
$
(928)
$
(250)
$
678
Amounts
in
thousands
except
contracts/shares.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
US
10
Year
Note;
December
2020
Short
1,000
$
139,250
$
(159)
Total
$
(159)
Amounts
in
thousands
except
contracts.
Glossary
to
the
Schedule
of
Investments
August
31,
2020
See
accompanying
notes.
208
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
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
PLN
Polish
Zloty
RUB
Russian
Ruble
SEK
Swedish
Krona
THB
Thai
Baht
TRY
Turkish
Lira
USD/$
United
States
Dollar
ZAR
South
African
Rand
See
accompanying
notes.
210
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
BLUE
CHIP
FUND
Class
J
shares
2020
$
25.86
(
$
0.04)
$
9.64
$
9.60
(
$
0.0
1
)
(
$
1.1
6
)
(
$
1.17)
$
34.29
2019
24.74
(
0.02)
2.73
2.71
–
(
1.59)
(
1.59)
25.86
2018
(e)
20.16
(
0.05)
5.22
5.17
–
(
0.59)
(
0.59)
24.74
Institutional
shares
2020
26.00
(
0.01)
9.72
9.71
(
0.0
5
)
(
1.1
9
)
(
1.24)
34.47
2019
24.81
0.09
2.69
2.78
–
(
1.59)
(
1.59)
26.00
2018
20.10
0.01
5.29
5.30
–
(
0.59)
(
0.59)
24.81
2017
17.00
0.10
3.17
3.27
(
0.08)
(
0.09)
(
0.17)
20.10
2016
15.63
0.05
1.70
1.75
(
0.07)
(
0.31)
(
0.38)
17.00
R-3
shares
2020
25.59
(
0.12)
9.53
9.41
–
(
1.15)
(
1.15)
33.85
2019
24.55
(
0.07)
2.70
2.63
–
(
1.59)
(
1.59)
25.59
2018
20.00
(
0.10)
5.24
5.14
–
(
0.59)
(
0.59)
24.55
2017
16.96
0.21
2.95
3.16
(
0.03)
(
0.09)
(
0.12)
20.00
2016
(
i
)
15.64
(
0.01)
1.33
1.32
–
–
–
16.96��
R-4
shares
2020
25.76
(
0.06)
9.58
9.52
(
0.0
3
)
(
1.1
7
)
(
1.20)
34.08
2019
24.66
(
0.01)
2.70
2.69
–
(
1.59)
(
1.59)
25.76
2018
20.05
(
0.06)
5.26
5.20
–
(
0.59)
(
0.59)
24.66
2017
16.98
0.09
3.11
3.20
(
0.04)
(
0.09)
(
0.13)
20.05
2016
(
i
)
15.64
–
1.34
1.34
–
–
–
16.98
R-5
shares
2020
25.86
(
0.04)
9.66
9.62
(
0.0
3
)
(
1.1
6
)
(
1.19)
34.29
2019
24.72
0.02
2.71
2.73
–
(
1.59)
(
1.59)
25.86
2018
20.07
(
0.03)
5.27
5.24
–
(
0.59)
(
0.59)
24.72
2017
16.99
0.18
3.04
3.22
(
0.05)
(
0.09)
(
0.14)
20.07
2016
(
i
)
15.64
0.01
1.34
1.35
–
–
–
16.99
R-6
shares
2020
26.04
0.04
9.72
9.76
(
0.
07
)
(
1.1
9
)
(
1.26)
34.54
2019
24.82
0.07
2.74
2.81
–
(
1.59)
(
1.59)
26.04
2018
20.10
0.03
5.28
5.31
–
(
0.59)
(
0.59)
24.82
2017
(j)
17.03
0.23
2.84
3.07
–
–
–
20.10
See
accompanying
notes.
211
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
38.58
%
(b)
$
153,325
0.82
%
(c)
0.91
%
(d)
(0.14)
%
30.0
%
12.82
(b)
80,050
0.96
(c)
1.08
(d)
(0.06)
15.9
26.12
(b),(f)
59,232
1.01
(c),(g)
1.04
(d),(g)
(0.21)
(g)
34.0
(g)
38.88
2,638,389
0.66
(h)
–
(0.02)
30.0
13.09
725,718
0.67
(h)
–
0.39
15.9
26.88
175,887
0.75
(h)
–
0.03
34.0
19.42
63,268
0.69
(h)
–
0.57
27.1
11.39
1,257,265
0.69
(h)
–
0.33
36.4
38.20
8,764
1.12
(h)
–
(0.43)
30.0
12.58
5,913
1.15
(h)
–
(0.32)
15.9
26.18
8,402
1.24
–
(0.45)
34.0
18.77
337
1.25
–
1.08
27.1
8.44
(f)
11
1.26
(g)
–
(0.13)
(g)
36.4
(g)
38.45
5,230
0.93
(h)
–
(0.23)
30.0
12.78
3,989
0.96
(h)
–
(0.05)
15.9
26.42
1,300
1.05
–
(0.27)
34.0
19.02
27
1.06
–
0.51
27.1
8.57
(f)
11
1.07
(g)
–
0.05
(g)
36.4
(g)
38.66
12,060
0.81
(h)
–
(0.15)
30.0
12.92
6,380
0.84
(h)
–
0.07
15.9
26.59
5,279
0.93
–
(0.15)
34.0
19.11
83
0.94
–
0.95
27.1
8.63
(f)
11
0.95
(g)
–
0.19
(g)
36.4
(g)
39.01
4,051,190
0.55
(h)
–
0.15
30.0
13.22
3,052,936
0.58
(h)
–
0.29
15.9
26.93
2,709,836
0.67
(h)
–
0.12
34.0
18.03
(f)
1,582,450
0.68
(g),(h)
–
1.74
(g)
27.1
(g)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Total
return
is
calculated
without
the contingent
deferred
sales
charge.
(c)
Reflects
Manager's
contractual
expense
limit
and/or
Distributor's
voluntary
distribution
fee
limit.
(d)
Excludes
expense
reimbursement
from
Manager
and/or
Distributor.
(e)
Period
from
September
11,
2017,
date operations
commenced,
through
August
31,
2018.
(f)
Total
return
amounts
have
not
been
annualized.
(g)
Computed
on
an
annualized
basis.
(h)
Reflects
Manager's
contractual
expense
limit.
(
i
)
Period
from
March
29,
2016,
date operations
commenced,
through
August
31,
2016.
(j)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
See
accompanying
notes.
212
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
BOND
MARKET
INDEX
FUND
Class
J
shares
2020
$
11.36
$
0.21
$
0.43
$
0.64
(
$
0.21)
$
–
(
$
0.21)
$
11.79
2019
10.60
0.23
0.74
0.97
(
0.21)
–
(
0.21)
11.36
2018
11.01
0.20
(
0.39)
(
0.19)
(
0.22)
–
(
0.22)
10.60
2017
11.17
0.17
(
0.20)
(
0.03)
(
0.13)
–
(
0.13)
11.01
2016
10.82
0.13
0.40
0.53
(
0.17)
(
0.01)
(
0.18)
11.17
Institutional
shares
2020
11.59
0.26
0.45
0.71
(
0.27)
–
(
0.27)
12.03
2019
10.81
0.29
0.76
1.05
(
0.27)
–
(
0.27)
11.59
2018
11.21
0.25
(
0.39)
(
0.14)
(
0.26)
–
(
0.26)
10.81
2017
11.39
0.21
(
0.20)
0.01
(
0.19)
–
(
0.19)
11.21
2016
11.02
0.20
0.39
0.59
(
0.21)
(
0.01)
(
0.22)
11.39
R-1
shares
2020
11.36
0.16
0.43
0.59
(
0.13)
–
(
0.13)
11.82
2019
10.58
0.19
0.75
0.94
(
0.16)
–
(
0.16)
11.36
2018
10.97
0.15
(
0.38)
(
0.23)
(
0.16)
–
(
0.16)
10.58
2017
11.16
0.12
(
0.20)
(
0.08)
(
0.11)
–
(
0.11)
10.97
2016
10.80
0.10
0.39
0.49
(
0.12)
(
0.01)
(
0.13)
11.16
R-2
shares
2020
11.37
0.17
0.44
0.61
(
0.20)
–
(
0.20)
11.78
2019
10.61
0.20
0.76
0.96
(
0.20)
–
(
0.20)
11.37
2018
11.00
0.17
(
0.39)
(
0.22)
(
0.17)
–
(
0.17)
10.61
2017
11.18
0.13
(
0.20)
(
0.07)
(
0.11)
–
(
0.11)
11.00
2016
10.80
0.11
0.39
0.50
(
0.11)
(
0.01)
(
0.12)
11.18
R-3
shares
2020
11.35
0.19
0.44
0.63
(
0.20)
–
(
0.20)
11.78
2019
10.57
0.22
0.76
0.98
(
0.20)
–
(
0.20)
11.35
2018
10.97
0.19
(
0.39)
(
0.20)
(
0.20)
–
(
0.20)
10.57
2017
11.16
0.15
(
0.20)
(
0.05)
(
0.14)
–
(
0.14)
10.97
2016
10.79
0.13
0.40
0.53
(
0.15)
(
0.01)
(
0.16)
11.16
R-4
shares
2020
11.39
0.22
0.43
0.65
(
0.16)
–
(
0.16)
11.88
2019
10.60
0.24
0.78
1.02
(
0.23)
–
(
0.23)
11.39
2018
11.00
0.21
(
0.39)
(
0.18)
(
0.22)
–
(
0.22)
10.60
2017
11.18
0.17
(
0.20)
(
0.03)
(
0.15)
–
(
0.15)
11.00
2016
10.84
0.15
0.39
0.54
(
0.19)
(
0.01)
(
0.20)
11.18
R-5
shares
2020
11.42
0.23
0.44
0.67
(
0.24)
–
(
0.24)
11.85
2019
10.65
0.26
0.75
1.01
(
0.24)
–
(
0.24)
11.42
2018
11.05
0.22
(
0.39)
(
0.17)
(
0.23)
–
(
0.23)
10.65
2017
11.23
0.18
(
0.19)
(
0.01)
(
0.17)
–
(
0.17)
11.05
2016
10.85
0.16
0.41
0.57
(
0.18)
(
0.01)
(
0.19)
11.23
See
accompanying
notes.
213
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
5.75
%
(b)
$
44,200
0.57
%
(c)
0.62
%
(d)
1.79
%
94.1
%
9.38
(b)
29,025
0.71
(c)
0.91
(d)
2.10
107.7
(1.79)
(b)
27,466
0.62
(c)
0.75
(d)
1.86
102.7
(0.20)
(b)
30,315
0.64
(c)
0.70
(d)
1.53
117.8
4.98
(b)
33,765
0.76
(c)
0.83
(d)
1.23
151.8
6.29
2,290,008
0.14
(e)
–
2.25
94.1
9.92
2,056,135
0.16
(e)
–
2.65
107.7
(1.29)
1,472,817
0.16
(e)
–
2.32
102.7
0.19
1,795,872
0.23
(e)
–
1.94
117.8
5.52
1,648,408
0.23
(e)
–
1.75
151.8
5.27
1,412
1.02
(e)
–
1.36
94.1
8.99
1,169
1.04
(e)
–
1.78
107.7
(2.10)
1,391
1.04
(e)
–
1.44
102.7
(0.70)
2,158
1.11
(e)
–
1.07
117.8
4.60
1,913
1.11
(e)
–
0.88
151.8
5.46
7,324
0.89
(e)
–
1.46
94.1
9.18
3,546
0.91
(e)
–
1.91
107.7
(2.03)
2,151
0.91
(e)
–
1.58
102.7
(0.59)
2,936
0.98
(e)
–
1.19
117.8
4.76
2,940
0.98
(e)
–
1.01
151.8
5.66
13,196
0.71
(e)
–
1.67
94.1
9.41
11,337
0.73
(e)
–
2.09
107.7
(1.87)
13,934
0.73
(e)
–
1.75
102.7
(0.42)
17,123
0.80
(e)
–
1.38
117.8
5.00
16,998
0.80
(e)
–
1.19
151.8
5.84
6,523
0.52
(e)
–
1.87
94.1
9.82
5,521
0.54
(e)
–
2.29
107.7
(1.67)
44,422
0.54
(e)
–
1.95
102.7
(0.18)
42,411
0.61
(e)
–
1.57
117.8
5.10
36,951
0.61
(e)
–
1.38
151.8
6.01
18,279
0.40
(e)
–
1.98
94.1
9.67
16,552
0.42
(e)
–
2.40
107.7
(1.56)
18,775
0.42
(e)
–
2.05
102.7
(0.06)
26,153
0.49
(e)
–
1.67
117.8
5.24
(f)
31,929
0.49
(e)
–
1.50
151.8
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Total
return
is
calculated
without
the contingent
deferred
sales
charge.
(c)
Reflects
Manager's
contractual
expense
limit
and/or
Distributor's
voluntary
distribution
fee
limit.
(d)
Excludes
expense
reimbursement
from
Manager
and/or
Distributor.
(e)
Reflects
Manager's
contractual
expense
limit.
(f)
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.
214
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
DIVERSIFIED
REAL
ASSET
FUND
Institutional
shares
2020
$
11
.25
$
0
.21
(
$
0
.04
)
$
0
.17
(
$
0
.28
)
$
–
(
$
0
.28
)
$
11
.14
2019
11
.74
0
.31
(
0
.44
)
(
0
.13
)
(
0
.36
)
–
(
0
.36
)
11
.25
2018
11
.57
0
.29
0
.14
0
.43
(
0
.26
)
–
(
0
.26
)
11
.74
2017
11
.08
0
.23
0
.54
0
.77
(
0
.28
)
–
(
0
.28
)
11
.57
2016
11
.25
0
.22
(
0
.29
)
(
0
.07
)
(
0
.10
)
–
(
0
.10
)
11
.08
R-3
shares
2020
11
.20
0
.15
(
0
.05
)
0
.10
(
0
.23
)
–
(
0
.23
)
11
.07
2019
11
.69
0
.25
(
0
.43
)
(
0
.18
)
(
0
.31
)
–
(
0
.31
)
11
.20
2018
11
.53
0
.23
0
.13
0
.36
(
0
.20
)
–
(
0
.20
)
11
.69
2017
11
.06
0
.19
0
.52
0
.71
(
0
.24
)
–
(
0
.24
)
11
.53
2016
(c)
10
.45
0
.10
0
.51
0
.61
–
–
–
11
.06
R-4
shares
2020
11
.23
0
.18
(
0
.06
)
0
.12
(
0
.24
)
–
(
0
.24
)
11
.11
2019
11
.72
0
.26
(
0
.42
)
(
0
.16
)
(
0
.33
)
–
(
0
.33
)
11
.23
2018
11
.54
0
.25
0
.15
0
.40
(
0
.22
)
–
(
0
.22
)
11
.72
2017
11
.07
0
.20
0
.53
0
.73
(
0
.26
)
–
(
0
.26
)
11
.54
2016
(c)
10
.45
0
.10
0
.52
0
.62
–
–
–
11
.07
R-5
shares
2020
11
.23
0
.19
(
0
.06
)
0
.13
(
0
.26
)
–
(
0
.26
)
11
.10
2019
11
.73
0
.30
(
0
.44
)
(
0
.14
)
(
0
.36
)
–
(
0
.36
)
11
.23
2018
11
.56
0
.27
0
.14
0
.41
(
0
.24
)
–
(
0
.24
)
11
.73
2017
11
.08
0
.21
0
.54
0
.75
(
0
.27
)
–
(
0
.27
)
11
.56
2016
(c)
10
.45
0
.11
0
.52
0
.63
–
–
–
11
.08
R-6
shares
2020
11
.26
0
.22
(
0
.06
)
0
.16
(
0
.28
)
–
(
0
.28
)
11
.14
2019
11
.74
0
.32
(
0
.43
)
(
0
.11
)
(
0
.37
)
–
(
0
.37
)
11
.26
2018
11
.57
0
.29
0
.14
0
.43
(
0
.26
)
–
(
0
.26
)
11
.74
2017
11
.08
0
.27
0
.50
0
.77
(
0
.28
)
–
(
0
.28
)
11
.57
2016
11
.25
0
.26
(
0
.32
)
(
0
.06
)
(
0
.11
)
–
(
0
.11
)
11
.08
EDGE
MIDCAP
FUND
Institutional
shares
2020
14
.42
0
.11
0
.92
1
.03
(
0
.12
)
(
0
.50
)
(
0
.62
)
14
.83
2019
14
.99
0
.11
0
.09
0
.20
(
0
.15
)
(
0
.62
)
(
0
.77
)
14
.42
2018
12
.60
0
.16
2
.42
2
.58
–
(
0
.19
)
(
0
.19
)
14
.99
2017
12
.24
0
.12
0
.78
0
.90
(
0
.10
)
(
0
.44
)
(
0
.54
)
12
.60
2016
(g)
10
.00
0
.11
2
.17
2
.28
(
0
.03
)
(
0
.01
)
(
0
.04
)
12
.24
R-6
shares
2020
14
.46
0
.13
0
.92
1
.05
(
0
.13
)
(
0
.50
)
(
0
.63
)
14
.88
2019
15
.03
0
.13
0
.09
0
.22
(
0
.17
)
(
0
.62
)
(
0
.79
)
14
.46
2018
12
.68
0
.16
2
.44
2
.60
(
0
.06
)
(
0
.19
)
(
0
.25
)
15
.03
2017
(h)
12
.12
0
.09
0
.47
0
.56
–
–
–
12
.68
See
accompanying
notes.
215
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
1
.36
%
$
1,960,593
0
.84
%
(b)
1
.95
%
85
.4
%
(
0
.83
)
2,388,382
0
.85
(b)
2
.74
71
.5
3
.72
2,518,033
0
.85
(b)
2
.45
84
.1
7
.16
2,591,713
0
.88
(b)
2
.08
65
.1
(
0
.53
)
3,294,419
0
.87
(b)
2
.02
77
.6
0
.78
138
1
.36
(b)
1
.39
85
.4
(
1
.27
)
113
1
.36
(b)
2
.22
71
.5
3
.15
81
1
.35
(b)
1
.99
84
.1
6
.60
17
1
.38
1
.71
65
.1
5
.84
(d)
11
1
.39
(e)
2
.08
(e)
77
.6
(e)
0
.95
12
1
.17
(b)
1
.61
85
.4
(
1
.13
)
12
1
.17
(b)
2
.36
71
.5
3
.41
(f)
15
1
.16
(b)
2
.17
84
.1
6
.82
(f)
11
1
.19
1
.76
65
.1
5
.93
(d)
11
1
.20
(e)
2
.25
(e)
77
.6
(e)
1
.01
32
1
.05
(b)
1
.71
85
.4
(
0
.92
)
74
1
.05
(b)
2
.71
71
.5
3
.53
12
1
.04
(b)
2
.35
84
.1
6
.93
11
1
.07
1
.90
65
.1
6
.03
(d)
11
1
.08
(e)
2
.39
(e)
77
.6
(e)
1
.32
1,162,658
0
.79
(b)
1
.99
85
.4
(
0
.68
)
1,330,773
0
.79
(b)
2
.82
71
.5
3
.78
1,523,846
0
.79
(b)
2
.50
84
.1
7
.17
1,568,988
0
.83
(b)
2
.42
65
.1
(
0
.50
)
29,601
0
.88
(b)
2
.43
77
.6
6
.97
82,198
0
.77
(b)
0
.79
27
.9
2
.47
34,358
0
.82
(b)
0
.81
19
.8
20
.58
14,470
0
.90
(b)
1
.17
17
.4
7
.51
1,289
0
.78
(b)
1
.00
11
.9
22
.89
(d)
292,615
0
.79
(b)
,(e)
1
.04
(e)
22
.4
(e)
7
.11
758,215
0
.66
(b)
0
.90
27
.9
2
.56
653,991
0
.71
(b)
0
.90
19
.8
20
.69
657,980
0
.76
(b)
1
.15
17
.4
4
.62
(d)
286,832
0
.77
(b)
,(e)
1
.06
(e)
11
.9
(e)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Reflects
Manager's
contractual
expense
limit.
(c)
Period
from
March
29,
2016,
date operations
commenced,
through
August
31,
2016.
(d)
Total
return
amounts
have
not
been
annualized.
(e)
Computed
on
an
annualized
basis.
(f)
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.
(g)
Period
from
September
28,
2015,
date operations
commenced,
through
August
31,
2016.
(h)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
See
accompanying
notes.
216
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Tax
Return
of
Capital
Distribution
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
GLOBAL
MULTI-STRATEGY
FUND
Institutional
shares
2020
$
10.76
$
0.21
$
0.15
$
0.36
$
–
$
–
$
–
$
–
$
11.12
2019
11.21
0.23
(
0.02)
0.21
(
0.16)
(
0.47)
(
0.03)
(
0.66)
10.76
2018
11.39
0.15
–
0.15
(
0.09)
(
0.24)
–
(
0.33)
11.21
2017
10.86
0.11
0.44
0.55
(
0.02)
–
–
(
0.02)
11.39
2016
10.99
0.05
0.14
0.19
(
0.09)
(
0.23)
–
(
0.32)
10.86
R-6
shares
2020
10.75
0.29
0.08
0.37
–
–
–
–
11.12
2019
11.21
0.23
(
0.02)
0.21
(
0.17)
(
0.47)
(
0.03)
(
0.67)
10.75
2018
11.39
0.16
(
0.01)
0.15
(
0.09)
(
0.24)
–
(
0.33)
11.21
2017
(f)
11.28
0.04
0.07
0.11
–
–
–
–
11.39
See
accompanying
notes.
217
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Expenses
to
Average
Net
Assets
(Excluding
Dividends
and
Interest
Expense
on
Short
Sales,
Short
Sale
Fees
and
Reverse
Repurchase
Agreement
Expense)
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
3.44
%
(b)
$
591,298
3.
2
1
%
(c),(d)
1.64
%
(c),(d),(e)
1.98
%
439.7
%
2.24
453,013
2.99
(c),(d)
1.64
(c),(d),(e)
2.11
387.8
1.29
749,738
2.16
(c)
1.63
(c),(e)
1.35
378.0
5.04
1,156,731
2.18
(c)
1.60
(c),(e)
1.03
317.6
1.80
2,265,206
2.08
(c)
1.61
(c),(e)
0.46
233.9
3.44
166,448
3.
15
(c),(d)
1.5
8
(c),(d),(e)
2.74
439.7
2.28
818,258
2.91
(c),(d)
1.56
(c),(d),(e)
2.19
387.8
1.25
(b)
1,780,595
2.08
(c)
1.55
(c),(e)
1.43
378.0
1.06
(b),(g)
1,532,177
2.10
(c),(h)
1.54
(c),(e),(h)
1.51
(h)
317.6
(h)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
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.
(c)
Reflects
Manager's
contractual
expense
limit.
(d)
Includes
0.01%
of
expenses
associated
with
fund
investments.
The
expense
is
not
subject
to
the
Manager's
contractual
expense
limit.
(e)
Excludes
dividends
and
interest
expense
on
short
sales
and
short
sale
fees.
See
"Operating
Policies"
in
notes
to
financial
statements.
(f)
Period
from
June
12,
2017,
date operations
commenced,
through
August
31,
2017.
(g)
Total
return
amounts
have
not
been
annualized.
(h)
Computed
on
an
annualized
basis.
See
accompanying
notes.
218
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
INTERNATIONAL
EQUITY
INDEX
FUND
Institutional
shares
2020
$
9
.83
$
0
.21
$
0
.37
$
0
.58
(
$
0
.32
)
(
$
0
.03
)
(
$
0
.35
)
$
10
.06
2019
10
.57
0
.30
(
0
.69
)
(
0
.39
)
(
0
.26
)
(
0
.09
)
(
0
.35
)
9
.83
2018
10
.55
0
.28
0
.12
0
.40
(
0
.30
)
(
0
.08
)
(
0
.38
)
10
.57
2017
9
.24
0
.27
1
.29
1
.56
(
0
.25
)
–
(
0
.25
)
10
.55
2016
9
.58
0
.26
(
0
.26
)
–
(
0
.23
)
(
0
.11
)
(
0
.34
)
9
.24
R-1
shares
2020
9
.50
0
.12
0
.35
0
.47
(
0
.21
)
(
0
.03
)
(
0
.24
)
9
.73
2019
10
.20
0
.20
(
0
.65
)
(
0
.45
)
(
0
.16
)
(
0
.09
)
(
0
.25
)
9
.50
2018
10
.20
0
.18
0
.11
0
.29
(
0
.21
)
(
0
.08
)
(
0
.29
)
10
.20
2017
8
.93
0
.18
1
.26
1
.44
(
0
.17
)
–
(
0
.17
)
10
.20
2016
9
.28
0
.17
(
0
.25
)
(
0
.08
)
(
0
.16
)
(
0
.11
)
(
0
.27
)
8
.93
R-2
shares
2020
9
.79
0
.15
0
.35
0
.50
(
0
.21
)
(
0
.03
)
(
0
.24
)
10
.05
2019
10
.51
0
.22
(
0
.68
)
(
0
.46
)
(
0
.17
)
(
0
.09
)
(
0
.26
)
9
.79
2018
10
.49
0
.21
0
.11
0
.32
(
0
.22
)
(
0
.08
)
(
0
.30
)
10
.51
2017
9
.18
0
.19
1
.30
1
.49
(
0
.18
)
–
(
0
.18
)
10
.49
2016
9
.52
0
.19
(
0
.26
)
(
0
.07
)
(
0
.16
)
(
0
.11
)
(
0
.27
)
9
.18
R-3
shares
2020
9
.64
0
.16
0
.35
0
.51
(
0
.27
)
(
0
.03
)
(
0
.30
)
9
.85
2019
10
.35
0
.23
(
0
.65
)
(
0
.42
)
(
0
.20
)
(
0
.09
)
(
0
.29
)
9
.64
2018
10
.35
0
.22
0
.10
0
.32
(
0
.24
)
(
0
.08
)
(
0
.32
)
10
.35
2017
9
.07
0
.20
1
.28
1
.48
(
0
.20
)
–
(
0
.20
)
10
.35
2016
9
.40
0
.20
(
0
.25
)
(
0
.05
)
(
0
.17
)
(
0
.11
)
(
0
.28
)
9
.07
R-4
shares
2020
9
.75
0
.18
0
.36
0
.54
(
0
.29
)
(
0
.03
)
(
0
.32
)
9
.97
2019
10
.48
0
.25
(
0
.67
)
(
0
.42
)
(
0
.22
)
(
0
.09
)
(
0
.31
)
9
.75
2018
10
.46
0
.24
0
.12
0
.36
(
0
.26
)
(
0
.08
)
(
0
.34
)
10
.48
2017
9
.17
0
.20
1
.31
1
.51
(
0
.22
)
–
(
0
.22
)
10
.46
2016
9
.50
0
.21
(
0
.24
)
(
0
.03
)
(
0
.19
)
(
0
.11
)
(
0
.30
)
9
.17
R-5
shares
2020
9
.78
0
.19
0
.36
0
.55
(
0
.30
)
(
0
.03
)
(
0
.33
)
10
.00
2019
10
.50
0
.27
(
0
.67
)
(
0
.40
)
(
0
.23
)
(
0
.09
)
(
0
.32
)
9
.78
2018
10
.49
0
.24
0
.12
0
.36
(
0
.27
)
(
0
.08
)
(
0
.35
)
10
.50
2017
9
.18
0
.23
1
.31
1
.54
(
0
.23
)
–
(
0
.23
)
10
.49
2016
9
.52
0
.22
(
0
.25
)
(
0
.03
)
(
0
.20
)
(
0
.11
)
(
0
.31
)
9
.18
R-6
shares
2020
9
.83
0
.22
0
.36
0
.58
(
0
.32
)
(
0
.03
)
(
0
.35
)
10
.06
2019
10
.57
0
.30
(
0
.69
)
(
0
.39
)
(
0
.26
)
(
0
.09
)
(
0
.35
)
9
.83
2018
10
.54
0
.29
0
.12
0
.41
(
0
.30
)
(
0
.08
)
(
0
.38
)
10
.57
2017
(d)
9
.01
0
.14
1
.39
1
.53
–
–
–
10
.54
See
accompanying
notes.
219
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
5
.77
%
$
35,803
0
.31
%
(b)
2
.11
%
31
.1
%
(
3
.33
)
50,221
0
.31
(b)
3
.09
23
.4
3
.69
46,042
0
.34
(b)
2
.54
27
.2
17
.42
67,784
0
.32
(b)
2
.83
24
.7
(
0
.02
)
831,719
0
.34
(b)
2
.83
31
.3
4
.86
491
1
.19
1
.31
31
.1
(
4
.19
)
588
1
.20
2
.09
23
.4
2
.78
722
1
.19
1
.71
27
.2
16
.43
1,000
1
.19
1
.93
24
.7
(
0
.90
)
586
1
.21
1
.93
31
.3
5
.02
548
1
.06
1
.50
31
.1
(
4
.09
)
745
1
.07
2
.28
23
.4
2
.90
(c)
907
1
.06
1
.94
27
.2
16
.66
(c)
874
1
.06
1
.96
24
.7
(
0
.75
)
903
1
.08
2
.12
31
.3
5
.11
15,706
0
.88
1
.65
31
.1
(
3
.82
)
16,499
0
.89
2
.41
23
.4
3
.03
17,816
0
.88
2
.04
27
.2
16
.77
18,585
0
.88
2
.14
24
.7
(
0
.49
)
15,789
0
.90
2
.26
31
.3
5
.34
9,023
0
.69
1
.84
31
.1
(
3
.72
)
7,466
0
.70
2
.51
23
.4
3
.37
11,977
0
.69
2
.22
27
.2
16
.93
13,372
0
.69
2
.14
24
.7
(
0
.30
)
11,997
0
.71
2
.32
31
.3
5
.45
16,208
0
.57
1
.95
31
.1
(
3
.50
)
16,948
0
.58
2
.80
23
.4
3
.38
18,479
0
.57
2
.26
27
.2
17
.23
29,429
0
.57
2
.35
24
.7
(
0
.30
)
29,179
0
.59
2
.49
31
.3
5
.66
(c)
1,020,094
0
.29
(b)
2
.25
31
.1
(
3
.23
)
(c)
1,003,550
0
.28
(b)
3
.04
23
.4
3
.80
997,061
0
.27
(b)
2
.67
27
.2
16
.98
(e)
924,600
0
.27
(b)
,(f)
2
.02
(f)
24
.7
(f)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Reflects
Manager's
contractual
expense
limit.
(c)
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.
(d)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
(e)
Total
return
amounts
have
not
been
annualized.
(f)
Computed
on
an
annualized
basis.
See
accompanying
notes.
220
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
INTERNATIONAL
SMALL
COMPANY
FUND
Institutional
shares
2020
$
10.46
$
0.09
$
0.40
$
0.49
(
$
0.32)
$
–
(
$
0.32)
$
10.63
2019
12.36
0.14
(
1.17)
(
1.03)
(
0.14)
(
0.73)
(
0.87)
10.46
2018
12.17
0.15
0.67
0.82
(
0.26)
(
0.37)
(
0.63)
12.36
2017
9.87
0.18
2.15
2.33
(
0.03)
–
(
0.03)
12.17
2016
9.61
0.08
0.30
0.38
(
0.12)
–
(
0.12)
9.87
R-6
shares
2020
10.52
0.09
0.42
0.51
(
0.33)
–
(
0.33)
10.70
2019
12.42
0.14
(
1.16)
(
1.02)
(
0.15)
(
0.73)
(
0.88)
10.52
2018
12.21
0.13
0.71
0.84
(
0.26)
(
0.37)
(
0.63)
12.42
2017
(c)
9.83
0.02
2.36
2.38
–
–
–
12.21
OPPORTUNISTIC
MUNICIPAL
FUND
Institutional
shares
2020
11.26
0.40
(
0.30)
0.10
(
0.39)
–
(
0.39)
10.97
2019
10.61
0.46
0.63
1.09
(
0.44)
–
(
0.44)
11.26
2018
10.66
0.45
(
0.07)
0.38
(
0.43)
–
(
0.43)
10.61
2017
11.03
0.43
(
0.39)
0.04
(
0.41)
–
(
0.41)
10.66
2016
10.20
0.39
0.84
1.23
(
0.40)
–
(
0.40)
11.03
ORIGIN
EMERGING
MARKETS
FUND
Institutional
shares
2020
10.47
0.16
1.74
1.90
(
0.20)
–
(
0.20)
12.17
2019
11.16
0.18
(
0.71)
(
0.53)
(
0.16)
–
(
0.16)
10.47
2018
11.61
0.07
(
0.41)
(
0.34)
(
0.11)
–
(
0.11)
11.16
2017
8.97
0.05
2.66
2.71
(
0.07)
–
(
0.07)
11.61
2016
8.42
0.07
0.56
0.63
(
0.08)
–
(
0.08)
8.97
R-6
shares
2020
10.48
0.16
1.75
1.91
(
0.21)
–
(
0.21)
12.18
2019
11.16
0.25
(
0.76)
(
0.51)
(
0.17)
–
(
0.17)
10.48
2018
11.61
0.15
(
0.49)
(
0.34)
(
0.11)
–
(
0.11)
11.16
2017
8.97
0.50
2.21
2.71
(
0.07)
–
(
0.07)
11.61
2016
8.42
0.07
0.56
0.63
(
0.08)
–
(
0.08)
8.97
See
accompanying
notes.
221
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Expenses
to
Average
Net
Assets
(Excluding
Interest
Expense
Fees)
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
4.49
%
$
72,515
1.20
%
(b)
N/A
–
%
0.88
%
44.1
%
(7.31)
34,866
1.20
(b)
N/A
–
1.36
46.8
6.63
18,212
1.20
(b)
N/A
–
1.19
45.9
23.66
1,991
1.08
(b)
N/A
–
1.72
58.8
3.99
168,786
1.20
(b)
N/A
–
0.82
49.9
4.67
966,964
1.08
(b)
N/A
–
0.91
44.1
(7.20)
855,932
1.07
(b)
N/A
–
1.36
46.8
6.79
976,593
1.06
(b)
N/A
–
1.06
45.9
24.21
(d)
1,002,985
1.06
(b),(e)
N/A
–
0.24
(e)
58.8
(e)
0.99
82,465
0.63
%
(b)
0.5
6%
(b),(f)
–
3.64
76.6
10.55
82,132
0.70
(b)
0.58
(b),(f)
–
4.27
66.1
3.66
55,466
0.72
(b)
0.62
(b),(f)
–
4.21
76.0
0.48
61,797
0.69
(b)
0.63
(b),(f)
–
4.10
67.9
12.23
3,606
0.70
(b)
0.65
(b),(f)
–
3.57
53.5
18.21
26,478
1.20
(b)
N/A
–
1.44
72.9
(4.55)
11,710
1.22
(b)
N/A
–
1.78
59.4
(2.98)
12,032
1.25
(b)
N/A
–
0.58
52.3
30.58
35,584
1.24
(b)
N/A
–
0.51
66.3
7.50
778,143
1.24
(b)
N/A
1.24
(g)
0.86
69.0
18.30
1,827,389
1.07
(b)
N/A
–
1.43
72.9
(4.42)
1,082,059
1.12
(b)
N/A
–
2.40
59.4
(2.97)
622,846
1.21
(b)
N/A
–
1.21
52.3
30.54
662,808
1.21
(b)
N/A
–
4.54
66.3
7.50
90
1.26
(b)
N/A
–
0.87
69.0
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Reflects
Manager's
contractual
expense
limit.
(c)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
(d)
Total
return
amounts
have
not
been
annualized.
(e)
Computed
on
an
annualized
basis.
(f)
Excludes
interest
expense
and
fees
paid
through
inverse
floater
agreements.
See
"Operating
Policies"
in
notes
to
financial
statements.
(g)
Excludes
expense
reimbursement
from
Manager
and/or
Distributor.
See
accompanying
notes.
222
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
SMALL-MIDCAP
DIVIDEND
INCOME
FUND
Institutional
shares
2020
$
14
.04
$
0
.19
(
$
1
.89
)
(
$
1
.70
)
(
$
0
.27
)
(
$
0
.10
)
(
$
0
.37
)
$
11
.97
2019
17
.92
0
.32
(
1
.91
)
(
1
.59
)
(
0
.40
)
(
1
.89
)
(
2
.29
)
14
.04
2018
16
.65
0
.39
1
.92
2
.31
(
0
.26
)
(
0
.78
)
(
1
.04
)
17
.92
2017
15
.01
0
.41
1
.61
2
.02
(
0
.38
)
–
(
0
.38
)
16
.65
2016
12
.79
0
.39
2
.43
2
.82
(
0
.34
)
(
0
.26
)
(
0
.60
)
15
.01
R-6
shares
2020
14
.10
0
.20
(
1
.89
)
(
1
.69
)
(
0
.28
)
(
0
.10
)
(
0
.38
)
12
.03
2019
17
.98
0
.33
(
1
.93
)
(
1
.60
)
(
0
.39
)
(
1
.89
)
(
2
.28
)
14
.10
2018
16
.66
0
.40
1
.94
2
.34
(
0
.24
)
(
0
.78
)
(
1
.02
)
17
.98
2017
(c)
16
.17
0
.33
0
.22
0
.55
(
0
.06
)
–
(
0
.06
)
16
.66
SMALL-MIDCAP
GROWTH
FUND
Institutional
shares
2020
10
.26
(
0
.06
)
4
.13
4
.07
–
–
–
14
.33
2019
(g)
10
.00
(
0
.01
)
0
.27
0
.26
–
–
–
10
.26
See
accompanying
notes.
223
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
(
12
.36
)
%
$
1,408,105
0
.85
%
(b)
1
.47
%
28
.9
%
(
7
.54
)
1,892,406
0
.86
(b)
2
.19
21
.9
14
.20
2,453,527
0
.86
(b)
2
.25
31
.5
13
.56
2,179,792
0
.86
(b)
2
.51
25
.5
22
.94
1,142,465
0
.82
(b)
2
.90
25
.8
(
12
.24
)
9,135
0
.79
(b)
1
.52
28
.9
(
7
.54
)
8,589
0
.79
(b)
2
.27
21
.9
14
.39
7,737
0
.78
(b)
2
.28
31
.5
3
.43
(d)
610,070
0
.77
(b)
,(e)
2
.96
(e)
25
.5
(e)
39
.77
(f)
7,626
0
.83
(b)
(
0
.59
)
134
.3
2
.60
(d)
5,131
0
.83
(b)
,(e)
(
0
.48
)
(e)
175
.8
(e)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Reflects
Manager's
contractual
expense
limit.
(c)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
(d)
Total
return
amounts
have
not
been
annualized.
(e)
Computed
on
an
annualized
basis.
(f)
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.
(g)
Period
from
June
12,
2019,
date operations
commenced,
through
August
31,
2019.
See
accompanying
notes.
224
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
SPECTRUM
PREFERRED
AND
CAPITAL
SECURITIES
INCOME
FUND
Class
J
shares
2020
$
10.01
$
0.41
$
0.04
$
0.45
(
$
0.45)
$
–
(
$
0.45)
$
10.01
2019
9.79
0.47
0.26
0.73
(
0.51)
–
(
0.51)
10.01
2018
10.26
0.49
(
0.45)
0.04
(
0.49)
(
0.02)
(
0.51)
9.79
2017
10.11
0.49
0.22
0.71
(
0.47)
(
0.09)
(
0.56)
10.26
2016
10.01
0.48
0.18
0.66
(
0.47)
(
0.09)
(
0.56)
10.11
Institutional
shares
2020
10.23
0.45
0.04
0.49
(
0.48)
–
(
0.48)
10.24
2019
9.99
0.52
0.26
0.78
(
0.54)
–
(
0.54)
10.23
2018
10.46
0.52
(
0.46)
0.06
(
0.51)
(
0.02)
(
0.53)
9.99
2017
10.30
0.52
0.23
0.75
(
0.50)
(
0.09)
(
0.59)
10.46
2016
10.18
0.52
0.19
0.71
(
0.50)
(
0.09)
(
0.59)
10.30
R-1
shares
2020
10.17
0.36
0.06
0.42
(
0.40)
–
(
0.40)
10.19
2019
9.94
0.44
0.25
0.69
(
0.46)
–
(
0.46)
10.17
2018
10.41
0.44
(
0.46)
(
0.02)
(
0.43)
(
0.02)
(
0.45)
9.94
2017
10.25
0.44
0.22
0.66
(
0.41)
(
0.09)
(
0.50)
10.41
2016
10.14
0.43
0.19
0.62
(
0.42)
(
0.09)
(
0.51)
10.25
R-2
shares
2020
10.11
0.38
0.03
0.41
(
0.41)
–
(
0.41)
10.11
2019
9.88
0.45
0.25
0.70
(
0.47)
–
(
0.47)
10.11
2018
10.35
0.45
(
0.45)
–
(
0.45)
(
0.02)
(
0.47)
9.88
2017
10.20
0.45
0.22
0.67
(
0.43)
(
0.09)
(
0.52)
10.35
2016
10.09
0.45
0.18
0.63
(
0.43)
(
0.09)
(
0.52)
10.20
R-3
shares
2020
10.15
0.40
0.04
0.44
(
0.43)
–
(
0.43)
10.16
2019
9.92
0.47
0.25
0.72
(
0.49)
–
(
0.49)
10.15
2018
10.39
0.47
(
0.46)
0.01
(
0.46)
(
0.02)
(
0.48)
9.92
2017
10.23
0.47
0.22
0.69
(
0.44)
(
0.09)
(
0.53)
10.39
2016
10.12
0.47
0.18
0.65
(
0.45)
(
0.09)
(
0.54)
10.23
R-4
shares
2020
10.13
0.42
0.04
0.46
(
0.45)
–
(
0.45)
10.14
2019
9.90
0.48
0.26
0.74
(
0.51)
–
(
0.51)
10.13
2018
10.37
0.49
(
0.46)
0.03
(
0.48)
(
0.02)
(
0.50)
9.90
2017
10.21
0.48
0.23
0.71
(
0.46)
(
0.09)
(
0.55)
10.37
2016
10.10
0.49
0.18
0.67
(
0.47)
(
0.09)
(
0.56)
10.21
R-5
shares
2020
10.18
0.43
0.04
0.47
(
0.46)
–
(
0.46)
10.19
2019
9.95
0.50
0.25
0.75
(
0.52)
–
(
0.52)
10.18
2018
10.42
0.50
(
0.45)
0.05
(
0.50)
(
0.02)
(
0.52)
9.95
2017
10.26
0.50
0.23
0.73
(
0.48)
(
0.09)
(
0.57)
10.42
2016
10.15
0.50
0.18
0.68
(
0.48)
(
0.09)
(
0.57)
10.26
R-6
shares
2020
10.23
0.46
0.04
0.50
(
0.49)
–
(
0.49)
10.24
2019
9.99
0.53
0.25
0.78
(
0.54)
–
(
0.54)
10.23
2018
10.46
0.53
(
0.46)
0.07
(
0.52)
(
0.02)
(
0.54)
9.99
2017
(g)
9.91
0.35
0.53
0.88
(
0.33)
–
(
0.33)
10.46
See
accompanying
notes.
225
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
4.67
%
(b)
$
42,554
1.07
%
(c)
1.10
%
(d)
4.17
%
18.1
%
7.75
(b)
45,660
1.13
(c)
1.16
(d)
4.89
19.8
0.38
(b)
45,458
1.02
(c)
1.05
(d)
4.87
12.3
7.37
(b)
51,417
1.00
(c)
1.03
(d)
4.88
16.1
6.87
(b)
50,135
1.06
(c)
1.10
(d)
4.84
13.9
4.96
4,746,270
0.81
(e)
–
4.42
18.1
8.12
3,591,388
0.81
(e)
–
5.21
19.8
0.59
3,306,108
0.80
(e)
–
5.09
12.3
7.58
3,817,309
0.77
(e)
–
5.11
16.1
7.26
2,444,823
0.76
–
5.14
13.9
4.24
613
1.58
–
3.62
18.1
7.23
1,024
1.58
–
4.44
19.8
(0.20)
987
1.58
–
4.29
12.3
6.75
1,315
1.58
–
4.31
16.1
6.32
1,572
1.58
–
4.32
13.9
4.24
1,565
1.45
–
3.79
18.1
7.42
1,514
1.45
–
4.58
19.8
(0.06)
1,788
1.45
–
4.45
12.3
6.84
1,760
1.45
–
4.44
16.1
6.49
1,234
1.45
–
4.45
13.9
4.49
1,328
1.27
–
3.98
18.1
7.58
2,101
1.27
–
4.77
19.8
0.11
2,319
1.27
–
4.62
12.3
7.09
2,676
1.27
–
4.62
16.1
6.66
3,311
1.27
–
4.63
13.9
4.71
1,031
1.08
–
4.16
18.1
7.80
1,397
1.08
–
4.93
19.8
0.31
1,284
1.08
–
4.82
12.3
7.30
1,304
1.08
–
4.78
16.1
6.86
1,395
1.08
–
4.89
13.9
4.82
3,526
0.96
–
4.29
18.1
7.89
3,200
0.96
–
5.05
19.8
0.43
3,023
0.96
–
4.92
12.3
7.40
3,506
0.96
–
4.92
16.1
7.07
(f)
4,216
0.96
–
4.93
13.9
5.17
(f)
1,518,101
0.71
(e)
–
4.52
18.1
8.12
(f)
910,863
0.71
(e)
–
5.32
19.8
0.69
1,010,227
0.71
(e)
–
5.21
12.3
8.98
(h)
520,462
0.71
(e),(
i
)
–
5.08
(
i
)
16.1
(
i
)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Total
return
is
calculated
without
the contingent
deferred
sales
charge.
(c)
Reflects
Manager's
contractual
expense
limit
and/or
Distributor's
voluntary
distribution
fee
limit.
(d)
Excludes
expense
reimbursement
from
Manager
and/or
Distributor.
(e)
Reflects
Manager's
contractual
expense
limit.
(f)
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.
(g)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
(h)
Total
return
amounts
have
not
been
annualized.
(
i
)
Computed
on
an
annualized
basis.
Report
of
Independent
Registered
Public
Accounting
Firm
226
To
the
Shareholders
of
Class
J,
Institutional,
R-1,
R-2,
R-3,
R-4,
R-5,
and
R-6
shares
of
Blue
Chip
Fund,
Bond
Market
Index
Fund,
Diversified
Real
Asset
Fund
(consolidated),
Edge
MidCap
Fund,
Global
Multi-Strategy
Fund
(consolidated),
International
Equity
Index
Fund,
International
Small
Company
Fund,
Opportunistic
Municipal
Fund,
Origin
Emerging
Markets
Fund,
Small-MidCap
Dividend
Income
Fund,
Small-MidCap
Growth
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
and
the
Board
of
Directors
of
Principal
Funds,
Inc.
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statements
of
assets
and
liabilities
of
Blue
Chip
Fund,
Bond
Market
Index
Fund,
Diversified
Real
Asset
Fund
(consolidated),
Edge
MidCap
Fund,
Global
Multi-Strategy
Fund
(consolidated),
International
Equity
Index
Fund,
International
Small
Company
Fund,
Opportunistic
Municipal
Fund,
Origin
Emerging
Markets
Fund,
Small-MidCap
Dividend
Income
Fund,
Small-MidCap
Growth
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
(collectively
referred
to
as
the
“Funds”),
(12
of
the
portfolios
constituting
Principal
Funds,
Inc.
(the
“Fund”)),
including
the
schedules
of
investments,
as
of
August
31,
2020,
and
the
related
statements
of
operations,
cash
flows,
and
changes
in
net
assets,
and
the
financial
highlights
for
each
of
the
periods
indicated
in
the
table
below
and
the
related
notes
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
each
of
the
Funds
(12
of
the
portfolios
constituting
the
Fund)
at
August
31,
2020,
and
the
results
of
their
operations,
cash
flows,
changes
in
net
assets
and
financial
highlights
for
each
of
the
periods
indicated
in
the
table
below,
in
conformity
with
U.S.
generally
accepted
accounting
principles.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Fund’s
management.
Our
responsibility
is
to
express
an
opinion
on
each
of
the
Funds’
financial
statements
based
on
our
audits.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(“PCAOB”)
and
are
required
to
be
independent
with
respect
to
the
Fund
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
Individual
portfolio
constituting
the
Fund
Statement
of
operations
Statement
of
cash
flows
Statements
of
changes
in
net
assets
Financial
highlights
Blue
Chip
Fund
Bond
Market
Index
Fund
Diversified
Real
Asset
Fund
(consolidated)
International
Equity
Index
Fund
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Origin
Emerging
Markets
Fund
Small-MidCap
Dividend
Income
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
For
the
year
ended
August
31,
2020
N/A
For
each
of
the
two
years
in
the
period
ended
August
31,
2020
For
each
of
the
five
years
in
the
period
ended
August
31,
2020
Global
Multi-Strategy
Fund
(consolidated)
For
the
year
ended
August
31,
2020
For
each
of
the
two
years
in
the
period
ended
August
31
2020
For
each
of
the
five
years
in
the
period
ended
August
31,
2020
Edge
MidCap
Fund
For
the
year
ended
August
31,
2020
N/A
For
each
of
the
two
years
in
the
period
ended
August
31,
2020
For
each
of
the
four
years
in
the
period
ended
August
31,
2020
and
the
period
from
September
28,
2015,
date
operations
commenced,
through
August
31,
2016
Small-MidCap
Growth
Fund
For
the
year
ended
August
31,
2020
N/A
For
the
year
ended
August
31,
2020
and
the
period
from
June
12,
2019,
date
operations
commenced,
through
August
31,
2019
Report
of
Independent
Registered
Public
Accounting
Firm
227
We
conducted
our
audits
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
The
Fund
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
the
Fund’s
internal
control
over
financial
reporting.
As
part
of
our
audits,
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting
but
not
for
the
purpose
of
expressing
an
opinion
on
the
effectiveness
of
the
Fund’s
internal
control
over
financial
reporting.
Accordingly,
we
express
no
such
opinion.
Our
audits
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
August
31,
2020,
by
correspondence
with
the
custodian,
agent
banks,
and
brokers
or
by
other
appropriate
auditing
procedures
where
replies
from
brokers
or
agent
banks
were
not
received.
Our
audits
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
We
believe
that
our
audits
provide
a
reasonable
basis
for
our
opinion.
We
have
served
as
the
auditor
of
one
or
more
Principal
investment
companies
since
1969.
Minneapolis,
Minnesota
October
23
,
2020
Shareholder
Expense
Example
Principal
Funds,
Inc.
August
31,
2020
(unaudited)
228
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
(
March
1,
2020
to
August
31,
2020
),
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
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
the
first
section
under
the
heading
entitled
“Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
R-1,
R-2,
R-3,
R-4,
and
R-5
classes
of
shares
may
be
purchased
only
through
retirement
plans.
Such
plans
may
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,
such
as
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
Beginning
Account
Value
March
1,
2020
Ending
Account
Value
August
31,
2020
Expenses
Paid
During
Period
March
1,
2020
to
August
31,
2020
(a)
Beginning
Account
Value
March
1,
2020
Ending
Account
Value
August
31,
2020
Expenses
Paid
Annualized
Expense
Ratio
Blue
Chip
Fund
Class
J
$
1,000.00
$
1,313.29
$
4.59
$
1,000.00
$
1,021.17
$
4.01
0.79
%
Institutional
1,000.00
1,314.14
3.90
1,000.00
1,021.77
3.40
0.67
R-3
1,000.00
1,311.00
6.51
1,000.00
1,019.51
5.69
1.12
R-4
1,000.00
1,312.28
5.41
1,000.00
1,020.46
4.72
0.93
R-5
1,000.00
1,313.29
4.71
1,000.00
1,021.06
4.12
0.81
R-6
1,000.00
1,314.81
3.20
1,000.00
1,022.37
2.80
0.55
Bond
Market
Index
Fund
Class
J
1,000.00
1,027.00
2.45
1,000.00
1,022.72
2.44
0.48
Institutional
1,000.00
1,029.08
0.71
1,000.00
1,024.43
0.71
0.14
R-1
1,000.00
1,024.26
5.14
1,000.00
1,020.06
5.13
1.01
R-2
1,000.00
1,025.24
4.48
1,000.00
1,020.71
4.47
0.88
R-3
1,000.00
1,027.03
3.57
1,000.00
1,021.62
3.56
0.70
R-4
1,000.00
1,026.79
2.60
1,000.00
1,022.57
2.59
0.51
R-5
1,000.00
1,027.75
1.99
1,000.00
1,023.18
1.98
0.39
Diversified
Real
Asset
Fund
Institutional
1,000.00
1,018.28
4.21
1,000.00
1,020.96
4.22
0.83
R-3
1,000.00
1,015.60
6.84
1,000.00
1,018.35
6.85
1.35
R-4
1,000.00
1,016.47
5.88
1,000.00
1,019.30
5.89
1.16
R-5
1,000.00
1,016.48
5.27
1,000.00
1,019.91
5.28
1.04
R-6
1,000.00
1,019.21
3.96
1,000.00
1,021.22
3.96
0.78
Edge
MidCap
Fund
Institutional
1,000.00
1,092.85
4.05
1,000.00
1,021.27
3.91
0.77
R-6
1,000.00
1,093.31
3.47
1,000.00
1,021.82
3.35
0.66
Shareholder
Expense
Example
Principal
Funds,
Inc.
August
31,
2020
(unaudited)
229
(a)
Expenses
are
equal
to
a
fund's
annualized
expense
ratio
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
184/366
(to
reflect
the
one-half
year
period).
Actual
Hypothetical
Beginning
Account
Value
March
1,
2020
Ending
Account
Value
August
31,
2020
Expenses
Paid
During
Period
March
1,
2020
to
August
31,
2020
(a)
Beginning
Account
Value
March
1,
2020
Ending
Account
Value
August
31,
2020
Expenses
Paid
Annualized
Expense
Ratio
Global
Multi-Strategy
Fund
Institutional
$
1,000.00
$
1,032.47
$
14.05
$
1,000.00
$
1,011.31
$
13.90
2.75
%
R-6
1,000.00
1,032.50
13.74
1,000.00
1,011.61
13.60
2.69
Global
Multi-Strategy
Fund
(Excluding
Dividend
and
Interest
Expense
on
Shorts
and
Short
Sale
Fees
and
Reverse
Repurchases
Agreement
Expense)
Institutional
1,000.00
1,032.50
8.43
1,000.00
1,016.74
8.40
1.65
R-6
1,000.00
1,032.50
8.12
1,000.00
1,017.04
8.09
1.59
International
Equity
Index
Fund
Institutional
1,000.00
1,058.95
1.60
1,000.00
1,023.58
1.58
0.31
R-1
1,000.00
1,054.17
6.14
1,000.00
1,019.15
6.04
1.19
R-2
1,000.00
1,054.56
5.47
1,000.00
1,019.81
5.38
1.06
R-3
1,000.00
1,054.60
4.54
1,000.00
1,020.71
4.47
0.88
R-4
1,000.00
1,056.14
3.57
1,000.00
1,021.67
3.51
0.69
R-5
1,000.00
1,057.08
2.95
1,000.00
1,022.27
2.90
0.57
R-6
1,000.00
1,057.83
1.50
1,000.00
1,023.68
1.48
0.29
International
Small
Company
Fund
Institutional
1,000.00
1,056.66
6.20
1,000.00
1,019.10
6.09
1.20
R-6
1,000.00
1,058.36
5.64
1,000.00
1,019.66
5.53
1.09
Opportunistic
Municipal
Fund
Institutional
1,000.00
965.10
3.06
1,000.00
1,022.02
3.15
0.62
Opportunistic
Municipal
Fund
(Excluding
Interest
Expense
and
Fees)
Institutional
1,000.00
965.10
2.77
1,000.00
1,022.29
2.85
0.56
Origin
Emerging
Markets
Fund
Institutional
1,000.00
1,127.90
6.42
1,000.00
1,019.10
6.09
1.20
R-6
1,000.00
1,127.78
5.72
1,000.00
1,019.76
5.43
1.07
Small-MidCap
Dividend
Income
Fund
Institutional
1,000.00
916.13
4.09
1,000.00
1,020.86
4.32
0.85
R-6
1,000.00
916.87
3.81
1,000.00
1,021.17
4.01
0.79
Small-MidCap
Growth
Fund
Institutional
1,000.00
1,404.51
5.02
1,000.00
1,020.96
4.22
0.83
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Class
J
1,000.00
1,013.65
5.16
1,000.00
1,020.01
5.18
1.02
Institutional
1,000.00
1,014.50
4.15
1,000.00
1,021.01
4.17
0.82
R-1
1,000.00
1,010.66
7.99
1,000.00
1,017.19
8.01
1.58
R-2
1,000.00
1,011.36
7.33
1,000.00
1,017.85
7.35
1.45
R-3
1,000.00
1,012.05
6.42
1,000.00
1,018.75
6.44
1.27
R-4
1,000.00
1,013.26
5.47
1,000.00
1,019.71
5.48
1.08
R-5
1,000.00
1,013.78
4.86
1,000.00
1,020.31
4.88
0.96
R-6
1,000.00
1,016.04
3.60
1,000.00
1,021.57
3.61
0.71
230
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.,
Principal
Exchange-Traded
Funds,
and
Principal
Diversified
Select
Real
Asset
Fund
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
Company
Act
of
1940,
as
shown
below
are
considered
to
be
interested
because
of
an
affiliation
with
the
Manager
and
Principal
Life
Insurance
Company.
The
following
directors
are
considered
not
to
be
“interested
persons”
as
defined
in
the
1940
Act
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Elizabeth
Ballantine
Director
since
2004
Member,
Nominating
and
Governance
Committee
1948
Principal,
EBA
Associates
125
Durango
Herald,
Inc.;
McClatchy
Newspapers,
Inc.
Leroy
T.
Barnes,
Jr.
Director
since
2012
Member,
Audit
Committee
Member,
Nominating
and
Governance
Committee
1951
Retired.
125
McClatchy
Newspapers,
Inc.;
Frontier
Communications,
Inc.;
formerly,
Herbalife
Ltd.
Craig
Damos
Lead
Independent
Director
since
2020
Director
since
2008
Member,
Nominating
and
Governance
Committee
Member,15(c)
Committee
Member,
Executive
Committee
1954
President,
C.P.
Damos
Consulting
LLC
125
None
Mark
A.
Grimmett
Director
since
2004
Member,
Audit
Committee
Member,
15(c)
Committee
1960
Formerly,
Executive
Vice
President
and
CFO,
Merle
Norman
Cosmetics,
Inc.
125
None
Fritz
S.
Hirsch
Director
since
2005
Member,
Nominating
and
Governance
Committee
Member,
Operations
Committee
Member,
15(c)
Committee
1951
Formerly,
CEO,
MAM
USA
125
MAM
USA
Tao
Huang
Director
since
2012
Member,
Operations
Committee
Member,
15(c)
Committee
1962
Retired.
125
Armstrong
World
Industries,
Inc.
and
Equity
Lifestyle
Properties,
Inc.
John
D.
Kenney
Director
since
2020
Member,
Operations
Committee
1965
Formerly,
Legg
Mason
Global
Asset
Management
125
Formerly:
Legg
Mason
Investment
Management
Affiliates:
Brandywine
Global;
Clarion
Partners;
ClearBridge
Investments;
Entrust
Global;
Legg
Mason
Poland;
Martin
Currie
Investment
Management;
Permal
Group
(merged
into
Entrust);
QS
Investors;
RARE
Infrastructure;
Royce
and
Associates;
and
Western
Asset
Management
Karen
(“Karrie”)
McMillan
Director
since
2014
Member,
Operations
Committee
1961
Managing
Director,
Patomak
Global
Partners,
LLC
125
None
231
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.
Correspondence
intended
for
each
Director
who
is
other
than
an
Interested
Director
may
be
sent
to
655
9th
Street,
Des
Moines,
IA
50392.
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Elizabeth
A.
Nickels
Director
since
2015
Member,
Audit
Committee
1962
Retired.
125
SpartanNash;
formerly:
Charlotte
Russe;
Follet
Corporation;
PetSmart;
Spectrum
Health
Systems
Mary
M.
(“Meg”)
VanDeWeghe
Director
since
2018
Member,
Operations
Committee
1959
CEO
and
President,
Forte
Consulting,
Inc.
125
Helmerich
&
Payne;
Formerly:
B/E
Aerospace;
Brown
Advisory;
Denbury
Resources
Inc.;
Nalco
(and
its
successor
Ecolab);
and
WP
Carey
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Timothy
M.
Dunbar
Chair
and
Director
since
2019
Member,
Executive
Committee
1957
Director,
PGI
since
2018
President,
Principal
Global
Asset
Management,
PGI,
Principal
Life
Insurance
Company
(“PLIC”),
Principal
Financial
Services,
Inc.
(“PFSI”),
and
Principal
Financial
Group
(“PFG”)
since
2018
Chair/Executive
Vice
President,
RobustWealth,
Inc.
since
2018
Director,
Post
Advisory
Group,
LLC
(“Post”)
since
2018
Executive
Vice
President/Chief
Investment
Officer,
PLIC,
PFSI
and
PFG
(2014-2018)
125
None
Patrick
Halter
Member,
Executive
Committee
Director
since
2017
1959
Chief
Executive
Officer
and
President,
PGI
since
2018
Chief
Operating
Officer,
PGI
(2017-2018)
Chair,
PGI
since
2018
Director,
PGI
(2003-2018)
Director,
Finisterre
Capital
LLP
since
2018
Director,
Origin
Asset
Management
LLP
since
2018
Chair,
Post
since
2017
Chief
Executive
Officer,
Principal
Real
Estate
Investors,
LLC
(“PREI”)
since
2005
Chair,
PREI
since
2004
Chair,
Spectrum
Asset
Management,
Inc.
since
2017
Director,
CCIP,
LLC
since
2017
125
None
232
The
following
table
presents
officers
of
the
Funds.
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Kamal
Bhatia
President,
Chief
Executive
Officer
Des
Moines,
IA
50392
1972
President,
PFG,
PFSI,
and
PLIC
since
2019
Principal
Executive
Officer,
OC
Private
Capital
(2017-2019)
Senior
Vice
President,
OppenheimerFunds
(2011-
2019)
Randy
D.
Bolin
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1961
Vice
President/Associate
General
Counsel,
PFSI
since
2013
Vice
President/Associate
General
Counsel,
PGI
since
2016
Assistant
General
Counsel,
PGI
(2007–2016)
Vice
President/Associate
General
Counsel,
PLIC
since
2013
Tracy
W.
Bollin
Chief
Financial
Officer
Des
Moines,
IA
50392
1970
Managing
Director,
PGI
since
2016
Chief
Operating
Officer,
PMC
(2015-2017)
Chief
Financial
Officer,
PFA
(2010-2015)
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)
President,
PSS
since
2015
Chief
Financial
Officer,
PSS
(2010-2015)
Gina
L.
Graham
Treasurer
Des
Moines,
IA
50392
1965
Vice
President/Treasurer,
PFA
since
2016
Vice
President/Treasurer,
PFD
since
2016
Vice
President/Treasurer,
PGI
since
2016
Vice
President/Treasurer,
PLIC
since
2016
Vice
President/Treasurer,
PMC
(2016-2017)
Vice
President/Treasurer,
PREI
since
2016
Vice
President/Treasurer,
PSI
since
2016
Vice
President/Treasurer,
PSS
since
2016
Laura
B.
Latham
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1986
Counsel,
PGI
since
2018
Prior
thereto,
Attorney
in
Private
Practice
Diane
K.
Nelson
AML
Officer
Des
Moines,
IA
50392
1965
Chief
Compliance
Officer/AML
Officer,
PSS
since
2015
Compliance
Advisor,
PMC
(2013-2015)
Sara
L.
Reece
Vice
President
and
Controller
Des
Moines,
IA
50392
1975
Director
-
Accounting,
PLIC
since
2015
Assistant
Financial
Controller,
PLIC
prior
to
2015
Teri
R.
Root
Chief
Compliance
Officer
Des
Moines,
IA
50392
1979
Chief
Compliance
Officer
–
Funds,
PGI
since
2018
Interim
Chief
Compliance
Officer
(2018)
Deputy
Chief
Compliance
Officer
(2015-2018)
Deputy
Chief
Compliance
Officer,
PGI
since
2017
Vice
President
and
Chief
Compliance
Officer,
PMC
(2015–2017)
Vice
President,
PSS
since
2015
Britney
L.
Schnathorst
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1981
Counsel,
PLIC
since
2013
Adam
U.
Shaikh
Assistant
Counsel
Des
Moines,
IA
50392
1972
Assistant
General
Counsel,
PGI
since
2018
Counsel,
PGI
(2017-2018)
Counsel,
PLIC
since
2006
Counsel,
PMC
(2014-2017)
233
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
public
accountants.
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
committees
established
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
candidates
who
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
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
and
able
to
commit
the
time
necessary
for
attendance
at
meetings
and
the
performance
of
the
duties
of
an
independent
director.
The
Committee
also
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
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
John
L.
Sullivan
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1970
Counsel,
PGI
since
2019
Prior
thereto,
Attorney
in
Private
Practice
Dan
L.
Westholm
Assistant
Treasurer
Des
Moines,
IA
50392
1966
Assistant
Vice
President/Treasurer,
PGI
since
2017
Assistant
Vice
President/Treasury,
PFA
since
2013
Assistant
Vice
President/Treasury,
PFD
since
2013
Assistant
Vice
President/Treasury,
PLIC
since
2014
Assistant
Vice
President/Treasury,
PMC
(2013-
2017)
Assistant
Vice
President/Treasury,
PSI
since
2013
Assistant
Vice
President/Treasury,
PSS
since
2013
Beth
C.
Wilson
Vice
President
and
Secretary
Des
Moines,
IA
50392
1956
Director
and
Secretary
–
Funds,
PLIC
Clint
L.
Woods
Counsel,
Vice
President,
and
Assistant
Secretary
Des
Moines,
IA
50392
1961
Of
Counsel
(2017-2018)
Vice
President
(2016-2017)
Counsel
(2015-2017)
Vice
President,
PLIC
since
2015
Associate
General
Counsel,
Governance
Officer,
and
Assistant
Corporate
Secretary,
PLIC
since
2013
Jared
Yepsen
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1981
Counsel,
PGI
since
2017
Counsel,
PLIC
since
2015
Senior
Attorney,
Transamerica
Life
Insurance
Company
(2013-2015)
234
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
potential
candidates
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,
2019
and
as
supplemented,
and
the
Statement
of
Additional
Information
dated
December
31,
2019
and
as
supplemented.
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
each
year
as
a
part
of
Form
N-PORT.
The
Fund’s
Form
N-PORT
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.
STATEMENT
REGARDING
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
The
Board
of
Directors
of
Principal
Funds,
Inc.
(the
“Board”)
met
on
March
10,
2020
to
review
the
liquidity
risk
management
program
(the
“Program”)
applicable
to
all
series
of
the
Principal
Funds,
Inc.,
(each,
a
“Fund”),
pursuant
to
Rule
22e-4
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Liquidity
Rule”)
for
the
period
from
December
1,
2018
through
December
31,
2019
(the
“Reporting
Period”).
At
the
meeting,
the
committee
designated
by
the
Board
to
administer
the
Program,
the
Liquidity
Risk
Management
Committee
(the
“Committee”),
addressed
the
operation,
adequacy
and
effectiveness
of
the
Program,
the
operation
of
each
Fund’s
highly
liquid
investment
minimum,
where
applicable,
and
any
material
changes
made
to
the
Program
during
the
Reporting
Period.
The
Committee
noted
key
factors
it
considered
when
assessing,
managing
and
reviewing
each
Fund’s
liquidity
risk.
Such
factors
included
each
Fund’s
investment
strategy
and
liquidity
of
portfolio
investments
during
both
normal
and
reasonably
foreseeable
stressed
conditions,
including
(a)
whether
the
Fund’s
investment
strategy
is
appropriate
for
an
open-end
fund,
(b)
the
extent
to
which
the
strategy
involves
a
relatively
concentrated
portfolio
or
large
positions
in
particular
issuers,
and
(c)
the
use
of
borrowings
for
investment
purposes
and
use
of
leveraged
derivatives
and
financial
commitment
obligations;
short-term
and
long-term
cash
flow
projections
during
both
normal
and
reasonably
foreseeable
stressed
conditions;
holdings
of
cash
and
cash
equivalents,
as
well
as
borrowing
arrangements
and
other
funding
sources;
and
each
Fund’s
shareholder
ownership
concentration.
There
were
no
material
changes
to
the
Program
during
the
Reporting
Period.
The
Committee
concluded,
based
on
the
operation
of
the
functions
as
described
in
the
Report
that
the
Program
is
operating
as
intended
and
is
effective
in
implementing
the
requirements
of
the
Liquidity
Rule.
235
BOARD
CONSIDERATION
OF
INVESTMENT
ADVISORY
CONTRACTS
During
the
period
covered
by
this
report,
the
Board
of
Directors
of
Principal
Funds,
Inc.
(“PFI”)
approved:
(1)
an
amended
subadvisory
agreement
between
Principal
Global
Investors,
LLC
(“PGI”
or
the
“Manager”)
and
Finisterre
Capital
LLP
for
the
Global
Multi-Strategy
Fund;
(2)
an
amended
subadvisory
agreement
between
the
Manager
and
Graham
Capital
Management,
L.P.
for
the
Global
Multi-Strategy
Fund;
(3)
an
amended
subadvisory
agreement
between
the
Manager
and
KLS
Diversified
Asset
Management
LP
for
the
Global
Multi-Strategy
Fund;
(4)
an
amended
subadvisory
agreement
between
the
Manager
and
Loomis,
Sayles
&
Company,
L.P.
for
the
Global
Multi-Strategy
Fund;
(5)
an
amended
subadvisory
agreement
between
the
Manager
and
York
Registered
Holdings,
L.P.
for
the
Global
Multi-Strategy
Fund;
(6)
an
amended
subadvisory
agreement
between
the
Manager
and
Los
Angeles
Capital
Management
and
Equity
Research,
Inc.
for
the
Global
Multi-Strategy
Fund;
(7)
an
amended
subadvisory
agreement
between
the
Manager
and
BlackRock
Financial
Management,
Inc.
for
the
Diversified
Real
Asset
Fund;
(8)
an
amended
subadvisory
agreement
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
for
the
Diversified
Real
Asset
Fund;
(9)
an
amended
subadvisory
agreement
between
the
Manager
and
Mellon
Investments
Corporation
for
the
Diversified
Real
Asset
Fund;
(10)
an
amended
subadvisory
agreement
between
the
Manager
and
Symphony
Asset
Management
LLC
for
the
Diversified
Real
Asset
Fund;
and
(11)
a
new
subadvisory
agreement
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
with
respect
to
the
public
global
infrastructure
investment
sleeve
of
the
Diversified
Real
Asset
Fund.
Finisterre
Amended
Subadvisory
Agreement
–
Global
Multi-Strategy
Fund
On
March
10,
2020,
the
Board
considered
whether
to
approve
an
amended
subadvisory
agreement
(the
“Subadvisory
Agreement”)
between
the
Manager
and
Finisterre
Capital
LLP
(the
“Subadvisor”)
with
respect
to
the
Fund
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
that
would
result
in
a
reduction
in
the
subadvisory
fee
rate
payable
at
all
asset
levels.
The
Board
reviewed
materials
received
from
the
Manager
regarding
the
proposed
amendment
to
the
Subadvisory
Agreement
and
noted
that
because
the
Fund’s
subadvisory
fee
was
paid
by
the
Manager,
the
amendment
of
the
subadvisory
fee
schedule
would
not
change
the
management
fee
rate
paid
by
the
Fund.
The
Board
considered
the
Manager’s
representation
that
the
amendment
would
not
reduce
the
quality
or
quantity
of
the
services
the
Subadvisor
provides
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
methodology
for
calculating
the
subadvisory
fee
and
the
amendment
of
the
subadvisory
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
2019
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.
Approval
of
Amended
Subadvisory
Agreements
for
Global
Multi-Strategy
Fund
and
Diversified
Real
Asset
Fund
On
June 9,
2020,
the
Board
considered
whether
to
approve
the
following
amended
subadvisory
agreements:
For
PFI
Global
Multi-Strategy
Fund
(a
“Fund”):
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Graham
Capital
Management,
L.P.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
KLS
Diversified
Asset
Management
LP
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Loomis,
Sayles
&
Company,
L.P.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
York
Registered
Holdings,
L.P.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
and
236
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Los
Angeles
Capital
Management
and
Equity
Research,
Inc.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
and
For
PFI
Diversified
Real
Asset
Fund
(a
“Fund”):
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
BlackRock
Financial
Management,
Inc.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Mellon
Investments
Corporation
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels;
and
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Symphony
Asset
Management
LLC
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
sub--advisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels.
The
Board
reviewed
materials
received
from
the
Manager
regarding
the
proposed
amendments
to
the
Funds’
respective
Subadvisory
Agreements
and
noted
that
because
the
subadvisory
fees
were
paid
by
the
Manager,
the
amendments
would
not
change
the
management
fee
rates
paid
by
the
Funds.
The
Board
considered
the
Manager’s
representation
that
the
amendments
would
not
reduce
the
quality
or
quantity
of
the
services
each
Subadvisor
provides
to
the
applicable
Fund
and
that
each
Subadvisor’s
obligations
under
the
applicable
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
any
Subadvisory
Agreement
other
than
to
the
methodology
for
calculating
the
subadvisory
fee
and
the
subadvisory
fee
schedule.
The
Board
considered
that
they
had
last
approved
each
Subadvisory
Agreement
for
each
applicable
Fund
during
the
annual
contract
renewal
process
that
concluded
at
the
Board
of
Directors’
September
2019
meeting.
They
noted
that
during
the
annual
contract
renewal
process,
they
had
considered
the
nature,
quality
and
extent
of
the
services
provided
by
each
Subadvisor
under
the
applicable
Subadvisory
Agreement
and
had
concluded,
based
upon
the
information
provided,
that
the
terms
of
each
Subadvisory
Agreement
were
reasonable
and
that
approval
of
each
Subadvisory
Agreement
was
in
the
best
interests
of
the
applicable
Fund.
Based
upon
all
of
the
information
considered,
the
Board
concluded
that
it
was
in
the
best
interests
of
each
Fund
to
approve
the
applicable
amended
Subadvisory
Agreements.
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
Subadvisory
Agreement
–
Diversified
Real
Asset
Fund
On
June
9,
2020,
the
Board
considered
whether
to
approve
a
subadvisory
agreement
(the
“Subadvisory
Agreement”)
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
(the
“Subadvisor”)
with
respect
to
the
public
global
infrastructure
investment
sleeve
of
the
Fund.
The
New
Subadvisory
Agreement
was
proposed
in
light
of
an
anticipated
change
in
control
transaction
with
respect
to
the
Subadvisor
that
is
expected
to
be
effective
in
the
third
quarter
of
2020.
This
transaction,
if
completed,
would
result
in
the
“assignment”
(as
defined
in
the
Investment
Company
Act
of
1940)
of
the
current
subadvisory
agreement
between
the
Manager
and
the
Subadvisor
(the
“Current
Subadvisory
Agreement”),
causing
the
Current
Subadvisory
Agreement
to
terminate
automatically.
The
Manager
proposed
that
the
Board
approve
the
New
Subadvisory
Agreement
to
take
effect
upon
the
termination
of
the
Current
Subadvisory
Agreement
in
order
to
allow
the
Subadvisor
to
continue
to
provide
portfolio
management
services
to
the
Fund
following
the
change
in
control.
The
Board
reviewed
materials
received
from
the
Manager
regarding
the
proposed
change
in
control
transaction.
The
Board
considered
that
they
had
last
approved
the
annual
renewal
of
the
Current
Subadvisory
Agreement
for
the
Fund
during
the
annual
contract
renewal
process
that
concluded
at
the
Board
of
Directors’
September
2019
meeting,
and
that
they
had
subsequently
approved
an
amendment
to
the
Current
Subadvisory
Agreement
at
the
Board
of
Directors’
June
2020
meeting
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels.
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
237
the
Current
Subadvisory
Agreement
and
had
concluded,
based
upon
the
information
provided,
that
the
terms
of
the
Current
Subadvisory
Agreement
were
reasonable
and
that
approval
of
the
Current
Subadvisory
Agreement
was
in
the
best
interests
of
the
Fund.
The
Board
considered
the
Manager’s
statement
that
there
were
no
anticipated
changes
to
the
current
portfolio
management
team,
investment
philosophy
or
process
at
the
Subadvisor,
that
the
change
in
ownership
was
not
expected
to
impact
the
nature,
quality
or
extent
of
services
that
the
Subadvisor
provides
to
the
Fund
and
that
the
Manager,
after
considering
the
assignment,
continued
to
believe
that
the
Subadvisor
is
an
appropriate
subadvisor
for
the
Fund.
The
Board
also
noted
the
Manager’s
statement
that
the
New
Subadvisory
Agreement
for
the
Fund
would
be
identical
to
the
Current
Subadvisory
Agreement
in
all
material
respects
(including
the
subadvisory
fee
schedule).
Based
upon
all
of
the
information
considered,
the
Board
concluded
that
it
was
in
the
best
interests
of
the
Fund
to
approve
the
New
Subadvisory
Agreement
to
take
effect
following
the
change
in
control
of
the
Subadvisor.
238
Special
Meeting
of
Shareholders
Principal
Funds,
Inc.
Held
June
23,
2020
1.
Approval
of
a
Plan
of
Acquisition
providing
for
the
reorganization
of
the
SystematEx
International
Fund
into
the
Diversified
International
Fund.
For
Against
Abstain
SystematEx
International
Fund
22,860,968.411
0.000
0.000
Federal
Income
Tax
Information
Principal
Funds,
Inc.
August
31,
2020
(unaudited)
239
Long-Term
Capital
Gain
Dividends.
Certain
funds
distributed
long-term
capital
gain
dividends
during
the
fiscal
year
ended
August
31,
2020
.
Details
of
designated
long-term
capital
gain
dividends
for
federal
income
tax
purposes
are
shown
in
the
Notes
to
Financial
Statements.
To
the
extent
necessary
to
distribute
such
capital
gains,
certain
funds
may
also
utilize,
and
hereby
designate,
earnings
and
profits
distributed
to
shareholders
on
redemptions
of
shares
as
part
of
the
Dividends
Paid
Deduction.
Dividends
Received
Deduction
(“DRD”).
For
corporate
shareholders,
the
percentage
of
ordinary
income
distributions
(dividend
income
and
short-term
gains,
if
any)
for
the
year
ended
August
31,
2020
,
that
qualifies
for
the
DRD
are
as
follows:
Qualified
Dividend
Income
(“QDI”).
Certain
dividends
paid
by
the
funds
may
be
subject
to
a
maximum
tax
rate
of
20%.
The
QDI
percentages
of
ordinary
income
distributions
are
as
follows:
Foreign
Taxes
Paid.
The
following
funds
elect
under
the
Internal
Revenue
Code
Section
853
to
pass
through
foreign
taxes
paid
to
their
shareholders.
The
total
amounts
of
foreign
taxes
passed
through
to
shareholders
on
a
per
share
basis
for
the
year
ended
August
31,
2020
,
are
as
follows:
DRD
Blue
Chip
Fund
96.03%
Bond
Market
Index
Fund
0.09
Diversified
Real
Asset
Fund
24.33
Edge
MidCap
Fund
82.31
Global
Multi-Strategy
Fund
N/A
International
Equity
Index
Fund
0.00
International
Small
Company
Fund
0.00
Opportunistic
Municipal
Fund
0.00
Origin
Emerging
Markets
Fund
0.00
Small-MidCap
Dividend
Income
Fund
91.42
Small-MidCap
Growth
Fund
0.00
Spectrum
Preferred
and
Capital
Securities
Income
Fund
36.86
QDI
Blue
Chip
Fund
100.00%
Bond
Market
Index
Fund
0.09
Diversified
Real
Asset
Fund
77.30
Edge
MidCap
Fund
87.41
Global
Multi-Strategy
Fund
N/A
International
Equity
Index
Fund
93.88
International
Small
Company
Fund
88.85
Opportunistic
Municipal
Fund
0.00
Origin
Emerging
Markets
Fund
81.70
Small-MidCap
Dividend
Income
Fund
100.00
Small-MidCap
Growth
Fund
0.00
Spectrum
Preferred
and
Capital
Securities
Income
Fund
74.00
Foreign
Taxes
Per
Share
International
Equity
Index
Fund
$
0.0186
International
Small
Company
Fund
0.0163
Origin
Emerging
Markets
Fund
0.0242
Federal
Income
Tax
Information
Principal
Funds,
Inc.
August
31,
2020
(unaudited)
240
Section
163(j)
Interest
Dividends.
The
fund
intends
to
pass
through
the
maximum
amount
allowable
as
Section
163(j)
Interest
Dividends
as
defined
in
Proposed
Treasury
Regulation
§1.163(j)-1(b).
The
163(j)
percentage
of
ordinary
income
distributions
is
as
follows:
This
information
is
given
to
meet
certain
requirements
of
the
Internal
Revenue
Code
and
should
not
be
used
by
shareholders
for
preparing
their
income
tax
returns.
For
tax
return
preparation
purposes,
please
refer
to
the
information
supplied
with
the
1099-DIV
form
you
will
receive
from
the
fund's
transfer
agent.
The
latest
tax
reporting
supplement
is
available
on
Principal's
Tax
Center.
Website:
https://www.principalfunds.com/individual-investor/customer-support/tax-center
Please
consult
your
tax
advisor
if
you
have
any
questions.
163(j)
Interest
Dividends
Spectrum
Preferred
and
Capital
Securities
Income
Fund
26.91%
Principal
Funds
Distributor,
Inc.
711
High
Street
Des
Moines,
IA
50392-6370
Do
not
use
this
address
for
business
correspondence
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Investing
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including
possible
loss
of
principal.
This
shareholder
report
is
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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
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or
summary
prospectus,
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professional
or
call
800-222-5852.
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by
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Funds
Distributor,
Inc.
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and
symbol
design,
and
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Financial
Group
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©
2020
Principal
Financial
Services,
Inc.
|
FV690-10
|
08/2020
|
921179
Principal
Funds:
Equity
&
Fixed-Income
Funds
Class
A
&
C
Shares
Annual
Report
August
31,
2020
Beginning
on
January
1,
2021,
as
permitted
by
regulations
adopted
by
the
Securities
and
Exchange
Commission,
paper
copies
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
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affected
by
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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
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for
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on
enrolling
in
eDelivery
or
calling
800-222-5852.
If
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own
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shares
through
a
financial
intermediary,
you
may
contact
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financial
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continue
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you
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If
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financial
intermediary,
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financial
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Note:
If
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directly
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but
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please
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your
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for
electronic
delivery
options
available.
Table
of
Contents
Not
FDIC
or
NCUA
insured
May
lose
value
•
Not
a
deposit
•
No
bank
or
credit
union
guarantee
Not
insured
by
any
Federal
government
agency
Economic
&
Financial
Market
Review
3
Important
Fund
Information
4
Blue
Chip
Fund
(unaudited)
5
Diversified
Real
Asset
Fund
(unaudited)
6
Edge
MidCap
Fund
(unaudited)
7
Global
Multi-Strategy
Fund
(unaudited)
8
International
Small
Company
Fund
(unaudited)
9
Opportunistic
Municipal
Fund
(unaudited)
10
Origin
Emerging
Markets
Fund
(unaudited)
11
Small-MidCap
Dividend
Income
Fund
(unaudited)
12
Spectrum
Preferred
and
Capital
Securities
Income
Fund
(unaudited)
13
Financial
Statements
14
Notes
to
Financial
Statements
36
Schedules
of
Investments
63
Financial
Highlights
(includes
performance
information)
154
Report
of
Independent
Registered
Public
Accounting
Firm
164
Shareholder
Expense
Example
166
Supplemental
Information
168
3
Economic
&
Financial
Market
Review
The
August
drop
in
new
COVID-19
cases
in
the
United
States
allowed
the
recovery
to
broaden.
The
rise
in
new
cases
in
Europe
and
a
second
wave
in
Japan
is
dampening
their
nascent
rebounds.
China’s
upturn
marches
on.
It
was
a
risk-on
month
for
financial
markets,
but
long-term
yields
edged
higher,
handing
losses
to
holders
of
safe-haven
government
bonds.
Stock
markets
may
have
more
upside
as
economic
activity
resumes
and
people
get
back
to
work.
Long-term
equity
returns
will
likely
be
limited
given
current
valuations.
In
the
U.S.,
housing
activity
is
booming.
Sales
of
existing
and
new
homes
are
soaring,
with
the
latter
the
best
since
late
2006.
Business
orders
for
durable
goods
jumped
11.2%
in
July,
far
above
expectations—this
after
a
7.7%
surge
in
June.
Orders
and
shipments
for
non-defense
capital
goods
ex
aircraft,
a
measure
of
business’
capital
spending,
are
both
essentially
flat
with
July
last
year.
Retail
sales
are
back
to
new
highs.
July
household
income
and
spending
kept
rising.
Steel
production
is
up
for
the
11th
straight
week
(but
still
well
below
last
year).
Absent
another
outbreak
of
COVID-19
activity,
the
U.S.
economic
revival
should
stay
on
track.
Despite
a
series
of
setbacks,
a
mild
recovery
from
the
economic
lockdowns
in
Japan
is
underway.
Support
for
the
ruling
party
was
strong
and
an
election
doesn’t
have
to
be
held
until
October
2021,
so
policy
will
likely
not
change
much
after
Prime
Minister
Shinzo
Abe’s
resignation.
With
the
second
wave
of
infections
diminishing,
we
expect
Japan’s
revival
to
gradually
strengthen.
We
expect
the
moderate
Eurozone
rebound
to
persist.
China
was
the
first
to
succumb
to
recession
and
is
leading
the
way
out.
*Commentary
taken
from
September
2020
Economic
Insights
by
Robert
F.
Baur,
Ph.D.,
executive
director,
chief
global
economist.
All
data
from
Bloomberg,
unless
otherwise
stated.
4
Important
Fund
Information
The
following
information
applies
to
all
funds
shown
in
the
annual
report:
Securities
described
in
the
fund
commentary
may
no
longer
be
held
in
the
fund.
Investment
results
shown
represent
historical
performance
and
do
not
guarantee
future
results.
Your
investment’s
returns
and
principal
values
will
fluctuate
with
changes
in
interest
rates
and
other
market
conditions
so
the
value,
when
redeemed,
may
be
worth
more
or
less
than
original
costs.
Current
performance
may
be
lower
or
higher
than
the
performance
shown.
For
more
information,
including
the
most
recent
month-end
performance,
visit
principalfunds.com,
call
your
financial
professional,
or
call
800-222-5852.
A
sales
charge
may
apply
as
follows:
Class
A
shares:
maximum
up-front
sales
charges
on
sales
based
on
declining
rates
which
begin
at
3.75%
for
Diversified
Real
Asset
Fund,
Global
Multi-Strategy
Fund,
Opportunistic
Municipal
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
and
5.50%
for
Blue
Chip
Fund,
Edge
MidCap
Fund,
International
Small
Company
Fund,
Origin
Emerging
Markets
Fund,
and
Small-MidCap
Dividend
Income
Fund;
Class
C
shares:
contingent
deferred
sales
charge
of
1%
on
redemptions
made
during
the
first
12
months.
See
the
prospectus
for
details.
Performance
listed
with
sales
charge
reflects
the
maximum
sales
charge.
*
Performance
assumes
reinvestment
of
all
dividends
and
capital
gains.
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
fund’s
oldest
share
class,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
Performance
does
not
reflect
the
impact
of
federal,
state,
or
municipal
taxes.
If
it
did,
performance
would
be
lower.
**
Net
asset
value
is
not
adjusted
for
sales
charge.
***
Performance
shown
for
the
benchmark
assumes
reinvestment
of
all
dividends
and
distributions.
Indices
are
unmanaged,
and
individuals
cannot
invest
directly
in
an
index.
5
Blue
Chip
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Blue
Chip
Fund seeks
long-term
growth
of
capital.
The
Fund
normally
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
equity
securities
of
companies
with
large
market
capitalizations
at
the
time
of
purchase
that,
in
the
Fund's
investment
advisor's
opinion,
display
characteristics
of
a
"blue
chip"
company.
The
advisor
tends
to
focus
on
securities
of
companies
that
show
potential
for
growth
of
capital
as
well
as
an
expectation
for
above
average
earnings.
The
Fund
invests
in
securities
of
foreign
companies.
Amazon,
an
e-commerce
and
cloud
computing
company
started
by
Jeff
Bezos
in
1994,
contributed
this
year
as
many
people
are
limiting
how
often
they
leave
the
house,
and
Amazon
has
been
the
go-to
option
for
online
shopping
amid
the
COVID-19
crisis.
PayPal,
which
started
as
a
payment
service
for
merchants
on
eBay.com
and
since
grown
to
become
the
leading
platform
in
digital
and
mobile
payments,
contributed.
Microsoft,
whose
CEO
Satya
Nadella
has
positioned
Microsoft
for
the
future,
with
key
investments
in
its
fast-growing
commercial
cloud
business
and
the
transition
of
its
Office
suite
to
a
subscription
service
delivered
over
the
internet,
contributed.
Adobe,
the
market
leader
in
software
for
creative
professionals
worldwide,
was
a
contributor.
Alphabet,
whose
core
Google
business
has significant
advantages
and
will
continue
to
benefit
as
advertising
budgets
move
from
traditional
media
to
where
people
increasingly
spend
their
time,
contributed.
Restaurant
Brands
International,
a
holding
company
with
an
owner-operator
culture
that
manages
Burger
King,
Tim
Hortons,
and
Popeye's,
detracted.
Automatic
Data
Processing,
the
leading
provider
of
human
capital
management
solutions
that
helps
businesses
manage
payrolls,
taxes,
benefits,
and
other
aspects
of
human
resources,
detracted.
YUM!
Brands,
the
second-largest
global
quick-service
restaurant
company,
consisting
of
four
primary
brands:
Taco
Bell,
KFC,
Pizza
Hut,
and
the
newly
acquired
Habit
Burger,
detracted
as
it
has
been
impacted
alongside
the
rest
of
the
restaurant
industry
during
the
COVID-19
crisis.
Markel,
a
specialty
insurance
underwriter,
focusing
on
non-standard
and
hard
to
place
risks
with
disciplined
underwriting
that
has
resulted
in attractive
returns
on
capital
compared
to
competitors,
detracted.
Berkshire
Hathaway,
a
diversified
company
that
has
been
built
over
decades
by
owner-operators
Warren
Buffett
and
Charlie
Munger,
detracted.
Value
of
a
$10,000
Investment*
June
14,
2012
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Extended
Performance
Inception
Date
*
Class
A
Shares
Excluding
Sales
Charge
38.51%
21.05%
18.89%
9/30/13
6/14/12
Including
Sales
Charge
30.88%
19.69%
18.08%
Class
C
Shares
Excluding
Sales
Charge
37.43%
20.12%
18.00%
9/30/13
6/14/12
Including
Sales
Charge
36.43%
20.12%
18.00%
*Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
6
Diversified
Real
Asset
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Sub-Advisors:
BlackRock
Financial
Management,
Inc..;
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited;
Credit
Suisse
Asset
Management,
LLC;
Delaware
Investments
Fund
Advisers;
Mellon
Investments
Corporation;
Pictet
Asset
Management
SA;
Principal
Real
Estate
Investors,
LLC;
Symphony
Asset
Management
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Diversified
Real
Asset
Fund
seeks
a
long-term
total
return
in
excess
of
inflation.
Under
normal
circumstances,
the
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
investments
related
to
real
assets
and
real
asset
companies. The
Fund seeks
to
achieve
its
investment
objective
by
allocating
its
assets
among
general
investment
categories
related
to
real
assets
and
real
asset
companies
(which
include
tangible
assets
and
investments
that
are
expected
to
perform
well
in
periods
of
rising
or
high
inflation).
Manager
performance
and
style
selection
within
infrastructure
contributed
as
both
infrastructure
managers
(RARE
and
Macquarie)
outperformed
their
individual
benchmarks.
Both
managers
had strong
security
selection
vs
their
respective
benchmarks
and
RARE’s
utility
focus
led
them
to
outperform
broader
global
infrastructure
and
have
a
strong
style
selection
contribution.
The
standalone
allocation
to
water
contributed
to
positive
style
selection
as
the
global
water
industry
significantly
outperformed
broader
infrastructure
stocks.
Style
selection
and
manager
performance
contributed
within
natural
resources.
The
standalone
allocation
to
timber
contributed
to
positive
style
selection
as
the
global
timber
industry
outperformed
broader
natural
resource
stocks.
Manager
performance
was
positive
for
Mellon,
which
had
good
stock
selection
across
energy,
agriculture,
and
metals
&
mining.
Pictet
also
outperformed
their
benchmark,
primarily
through
good
stock
selection
in
paper,
wood
products,
and
timberland.
Manager
performance
and
positive
asset
allocation
effect
within
commodities;
the
underweight
allocation
to
commodities
contributed,
as
did
Credit
Suisse’s
outperformance
vs.
their
benchmark.
Style
selection
effect
and
manager
performance
within
real
return;
the
allocation
to
floating
rate,
and
to
a
lesser
extent
to
commercial
mortgage-backed
securities,
both
underperformed
Treasury
Inflation
Protected
Securities;
additionally,
within
the
floating
rate
notes
sleeve,
Symphony
underperformed
their
benchmark.
Asset
allocation
effect
within
infrastructure
and
natural
resources;
the
portfolio’s
overweight
position
in
infrastructure
and
the
timing
of
the
portfolio’s
underweight
position
in
natural
resources
detracted
from
relative
performance.
Value
of
a
$10,000
Investment*
August
31,
2010
-
August
31,
2020
1-Year
5-Year
10-Year
Inception
Date
Class
A
Shares
Excluding
Sales
Charge
0.89%
1.74%
2.91%
3/16/10
Including
Sales
Charge
-2.92%
0.96%
2.52%
Class
C
Shares
Excluding
Sales
Charge
0.16%
1.00%
2.15%
3/16/10
Including
Sales
Charge
-0.83%
1.00%
2.15%
7
Edge
MidCap
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Edge
MidCap
Fund
seeks
long-term
growth
of
capital.
Under
normal
circumstances,
the
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
equity
securities
of
companies
with
medium
market
capitalizations
at
the
time
of
purchase. The
Fund invests
in
real
estate
investment
trust
securities.
The
Fund
invests
in
equity
securities
with
value
and/or
growth
characteristics
and
constructs
an
investment
portfolio
that
has
a
"blend"
of
equity
securities
with
these
characteristics.
YETI
Holdings,
Inc.
outperformed
as
investors
became
more
enthused
that
outdoor
activities
would
benefit
as
people
shifted
travel
habits
in
light
of
COVID-19.
Varian
Medical
Systems,
Inc.
contributed
as
it
was
announced
that
Siemens
Healthineers
would
acquire
Varian.
Teradyne,
Inc.
boosted
results
as
the
company
beat
expectations
and
raised
guidance
due
to
stronger-than-expected
results
in
semiconductor
testing
as
5G
infrastructure,
networking,
and
memory
test
spending
grew.
Washington
Federal,
Inc.
detracted
from
relative
performance
due
to
concerns
about
net
interest
margins
compressing
and
their
ability
to
grow
their
commercial
loan
portfolio.
Fidelity
National
Financial,
Inc.
-
FNF
Group,
a
title
insurance
company,
has
seen
strong
refinance
strength
within
residential,
but
shares
have
trailed
the
broader
markets
as
investors
have
reacted
negatively
to
the
acquisition
announcement
of
FGL
Holdings.
Universal
Health
Services,
Inc.
Class
B
underperformed
after
first
quarter
results
came
in
at
the
low
end
of
estimates
and
investors
worried
about
the
impact
of
COVID-19
on
elective
surgeries
which
are
more
profitable
for
the
company.
Value
of
a
$10,000
Investment*
September
28,
2015
-
August
31,
2020
1-Year
Since
Inception
Inception
Date
Extended
Performance
Inception
Date
*
Class
A
Shares
Excluding
Sales
Charge
6.54%
11.59%
12/31/18
9/28/15
Including
Sales
Charge
0.67%
10.32%
*
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
8
Global
Multi-Strategy
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Sub-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.;
Sound
Point
Capital
Management,
LP;
Wellington
Management
Company
LLP;
York
Registered
Holdings,
L.P.
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Global
Multi-Strategy
Fund seeks
to
achieve
long-term
capital
appreciation
with
an
emphasis
on
positive
total
returns
and
managing
volatility.
The
Fund
invests
in
a
broad
range
of
instruments
including,
but
not
limited
to,
equities,
bonds,
currencies,
commodities,
convertible
securities,
and
bank
loans.
Under
normal
market
conditions, the
Fund invests
in
securities
of
issuers
located
throughout
the
world,
including
the
U.S.,
invests
at
least
30%
of
its
net
assets
in
foreign
and
emerging
market
securities,
and
holds
investments
tied
economically
to
at
least
twenty
countries.
Six
of
the
nine
sleeves
in
the
GMS
portfolio
were
positive.
The
equity
long/short
sleeve
sub-advised
by
LA
Capital
was
the
top
contributor
with
gains
driven
by
an
overweight
to
companies
with
strong
management
success
and
earnings
quality
and
an
underweight
to
companies
with
high
pension
risk.
The
event-driven
sleeve
sub-advised
by
York
gained
as
positions
in
Asian
special
situation
equities
contributed
to
performance.
The
emerging
markets
credit
sleeve
sub-advised
by
Finisterre
contributed
with
gains
driven
by
positions
in
Sri
Lankan
sovereign
credit,
U.S.
rates,
and
Indonesian
local
rates. The
equity
long/short
sleeve
sub-advised
by
Wellington
was
also
a
strong
contributor
with
positive
results
driven
by
the
U.S.
all-cap,
U.S.
small-cap
and
Europe
total
return
strategies.
The
equity
long/short
sleeve
sub-advised
by
Gotham
contributed
with
gains
driven
by
long
positions
in
the
information
technology
sector.
The
credit
sleeve
sub-advised
by
Loomis
Sayles
profited
from
exposures
to
investment-grade
and
high
yield
corporate
bonds.
Securitized
assets
were
the
primary
detractors
for
the
period.
The
market
neutral
sleeve
sub-advised
by
KLS
was
the
top
detractor
with
losses
coming
from
positions
in
commercial
mortgage-backed
securities,
GSE
credit,
and
Intelsat.
The
macro
sleeve
sub-advised
by
Graham
also
detracted
as
long
exposure
equities
in
Europe
and
Asia
and
various
currency
positions
weighed
on
performance.
The
credit
sleeve
sub-advised
by
Sound
Point
detracted
as
core
positions
in
Southcross
Energy
and
Ecobat
weighed
on
performance.
In
addition,
a
bank
loan
position
in
Valtris
Specialty
Chemical
detracted.
Value
of
a
$10,000
Investment*
October
24,
2011
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Extended
Performance
Inception
Date
*
Class
A
Shares
Excluding
Sales
Charge
3.01%
2.36%
2.83%
10/24/11
–
Including
Sales
Charge
-0.81%
1.58%
2.39%
Class
C
Shares
Excluding
Sales
Charge
2.23%
1.59%
2.07%
6/14/12
10/24/11
Including
Sales
Charge
1.23%
1.59%
2.07%
*
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
9
International
Small
Company
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
International
Small
Company
Fund seeks
long-term
growth
of
capital.
Under
normal
circumstances,
the
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
equity
securities
of
companies
with
small
market
capitalizations
at
the
time
of
purchase. The
Fund invests
primarily
in
foreign
equity
securities.
The
Fund
typically
invests
in
foreign
securities
of
more
than
10
countries
but
has
no
limitation
on
the
percentage
of
assets
that
is
invested
in
each
country
or
denominated
in
any
currency.
Allocation
to
the
United
Kingdom
contributed.
In
the
U.K.,
stock
selection
amongst
British
real
estate
and
consumer
durables
contributed
to
relative
performance.
Overall,
the
consumer
discretionary,
information
technology,
and
consumer
staples
sectors
were
notable
contributors
to
relative
performance.
Stars
Group,
ASM
International,
COSMOS
Pharmaceutical,
Saracen
Mineral,
and
GVC
Holdings
were
the
biggest
individual
contributors
to
performance.
Underperformance
was
highly
concentrated
within
continental
Europe
over
the
past
year.
Stock
selection
amongst
Swedish
industrials
and
health
care
companies
detracted
from
relative
performance
the
most
while
an
absence
of
exposure
from
Swiss
pharmaceuticals
and
biotech
companies
also
detracted
from
performance
as
the
race
for
a
COVID-19
vaccine
has
driven
positive
absolute
performance
in
those
types
of
companies.
Industrials,
health
care,
and
utilities
sectors
were
the
most
notable
detractors.
Stock
selection
in
the
industrials
sector
significantly
detracted
from
relative
performance.
Capital
goods
and
transportation
companies
significantly
underperformed
given
their
particularly
high
sensitivity
to
economic
activity
and
our
holdings’
higher
exposure
to
the
aircraft
and
travel
end
markets,
which
were
most
impacted
from
the
COVID-19
pandemic
by
related
economic
lockdown
measures.
Enerplus,
AerCap,
Cineworld,
William
Hill,
and
Air
Canada
were
the
biggest
individual
detractors
from
relative
performance.
Value
of
a
$10,000
Investment*
June
11,
2014
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Class
A
Shares
Excluding
Sales
Charge
4.11%
5.46%
3.75%
6/11/14
Including
Sales
Charge
-1.66%
4.27%
2.82%
10
Opportunistic
Municipal
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Opportunistic
Municipal
Fund seeks
to
provide
a
high
level
of
income
that
is
exempt
from
federal
income
tax
while
protecting
investors'
capital.
The
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
municipal
obligations
(securities
issued
by
or
on
behalf
of
state
or
local
governments
and
other
public
authorities). The
Fund invests
in
other
debt
obligations,
including
(but
not
limited
to)
taxable
municipal
obligations,
U.S.
Treasury
securities,
obligations
of
the
U.S.
government,
its
agencies
and
instrumentalities
("Agency
Securities")
and
exchange-traded
funds
(ETFs)
to
gain
exposure
to
the
municipal
market.
Allocation
to
Nustar
Logistics,
Texas
State
Municipal
Gas
Acquisition
&
Supply,
and
Delta
Air
Lines
–
LaGuardia
Airport
Terminals
contributed.
Allocation
to
Metropolitan
Washington
Airport
Authority,
New
York
State
Environmental
Facilities
Solid
Waste
Disposal,
and
Buckeye
Ohio
Tobacco
Settlement
Finance
Authority
detracted.
Value
of
a
$10,000
Investment*
June
14,
2012
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Class
A
Shares
Excluding
Sales
Charge
0.62%
5.17%
5.06%
6/14/12
Including
Sales
Charge
-3.16%
4.36%
4.58%
11
Origin
Emerging
Markets
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Sub-Advisor:
Origin
Asset
Management
LLP
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Origin
Emerging
Markets
Fund
seeks
long-term
growth
of
capital.
Under
normal
circumstances,
the
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
equity
securities
of
emerging
market
companies
at
the
time
of
purchase.
The
advisor
considers
a
security
to
be
tied
economically
to
an
emerging
market
country
(an
"emerging
market
security")
if
the
issuer
of
the
security
has
its
principal
place
of
business
or
principal
office
in
an
emerging
market
country,
has
its
principal
securities
trading
market
in
an
emerging
market
country,
or
derives
a
majority
of
its
revenue
from
emerging
market
countries.
The
underweight
allocation
to
financials
was
the
leading
contributor
to
outperformance,
with
Indian
Financials
the
leading
holdings
in
terms
of
positive
effect.
Stock
selection
in
the
communication
services
sector
provided
the
second
biggest
beneficial
effect
on
relative
performance.
At
a
country
level,
Taiwan
was
the
outright
leader
in
terms
of
additive
performance,
but
the
overweight
China
was
also
beneficial.
Some
sectors
detracted
from
the
positive
result.
The
main
drag
at
sector
level
proved
to
be
health
care.
Stock
selection
within
Industrials
was
also
marginally
detracting.
At
a
geographic
level,
Korea
proved
the
most
significant
detractor
from
overall
performance.
Value
of
a
$10,000
Investment*
January
23,
2015
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Class
A
Shares
Excluding
Sales
Charge
17.73%
8.48%
4.56%
1/23/15
Including
Sales
Charge
11.25%
7.25%
3.52%
12
Small-MidCap
Dividend
Income
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Small-MidCap
Dividend
Income
Fund seeks
to
provide
current
income
and
long-term
growth
of
income
and
capital.
The
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
dividend-paying
equity
securities
of
companies
with
small
to
medium
market
capitalizations
at
the
time
of
purchase. The
Fund's investments
include
the
securities
of
foreign
issuers
and
real
estate
investment
trusts.
MKS
Instruments,
Inc.
outperformed
due
to
improving
sentiment
for
semiconductor
capital
equipment
stocks,
which
had
been
very
negative
the
prior
year.
Acushnet
Holdings
Corp.
reported
solid
results
due
to
strength
in
its
Titleist
Clubs
and
higher
volumes
in
irons,
hybrids,
and
putters.
The
company
also
expanded
margins
and
announced
a
mid-tier
golf
ball
product
in
2020.
CyrusOne,
Inc.
outperformed
as
management
raised
guidance
during
the
period,
raised
the
dividend,
and
affirmed
that
it
would
not
need
to
raise
capital
to
fund
its
European
expansion.
Additionally,
rumors
of
private
equity
interest
in
the
company impacted
the
stock.
EPR
Properties
underperformed
as
the
entertainment
real
estate
investment
trust
(REIT)
suffered
from
concerns
about
the
financial
health
of
its
largest
tenants
in
light
of
stay-at-home
mandates
across
the
nation.
NFI
Group
Inc.
detracted
as
concerns
developed
that
new
competition
in
the
growing
electric
bus
market
might
pressure
margins.
These
concerns
were
then
followed
by
apprehension
about
the
impact
that
COVID-19
would
have
on
bus
ridership,
likely
leading
municipalities
to
cut
back
on
spending
at
a
time
when
municipal
budgets
are
shrinking.
PacWest
Bancorp
detracted
due
to
concerns
about
net
interest
margins
compressing
due
to
its
commercial
loan
portfolio,
which
is
levered
to
short
term
rates,
and
the
level
of
provisions
that
may
be
needed
in
a
sharp
economic
slowdown.
Value
of
a
$10,000
Investment*
June
6,
2011
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Extended
Performance
Inception
Date
*
Class
A
Shares
Excluding
Sales
Charge
-12.55%
4.96%
7.14%
6/6/11
–
Including
Sales
Charge
-17.35%
3.79%
6.49%
Class
C
Shares
Excluding
Sales
Charge
-13.25%
4.16%
6.30%
6/14/12
6/6/11
Including
Sales
Charge
-14.10%
4.16%
6.30%
*
Extended
performance
is
calculated
based
on
the
historical
performance
of
the
Fund’s
Institutional
Shares,
adjusted
for
the
fees
and
expenses
of
the
share
class
shown.
13
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Sub-Advisor:
Spectrum
Asset
Management,
Inc.
Performance
of
other
share
classes
will
differ.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Spectrum
Preferred
and
Capital
Securities
Income
Fund seeks
to
provide
current
income.
The
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowing
for
investment
purposes,
in
preferred
securities
and
capital
securities
at
the
time
of
purchase.
Preferred
securities
typically
include
preferred
stock
and
various
types
of
junior
subordinated
debt
and
trust
preferred
securities.
It
concentrates
its
investments
(invests
more
than
25%
of
its
net
assets)
in
securities
in
one
or
more
industries
(i.e.,
banking,
insurance
and
commercial
finance)
within
the
financial
services
sector.
AT1
Coco’s
were
the
best
performing
asset
class
this
period
as
investors
sought
the
additional
yield
pickup
this
asset
offers
relative
to
other
Preferred
securities.
European
Central
Bank
actions
to
ease
capital
rules
and
positive
comments
on
AT1
coupons
also
were
supportive.
This
was
a
strong
period
of
performance
for
assets
with
duration
as
rates
trended
lower
significantly
and
we
got
extraordinary
fiscal
and
monetary
support.
The
Insurance
hybrids,
given
their
longer
duration,
performed
strongly.
Legacy
Tier1
bonds
in
the
portfolio
performed
strongly
due
to
a
combination
of
decreasing
rates
and
increasing
liability
management
activity
as
we
approach
the
point
at
which
these
bonds
will
lose
all
Tier1
credit.
The
$1000
par
Preferreds
in
the
portfolio
lagged
relative
to
Jr.
subordinated
debt
given
supply
and
non-call/extension
on
a
number
of
bonds
as
a
result
of
the
low
rate
environment.
The
Insurance
hybrid
floaters
detracted
from
performance
given
falling
LIBOR
rates.
Outflows
that
hit
the
portfolio
in
March
of
2020
necessitated
selling
which
affected
performance
given
the
strong
rebound
that
we
have
had
since
then
due
to
fiscal
and
monetary
support.
Value
of
a
$10,000
Investment*
August
31,
2010
-
August
31,
2020
1-Year
5-Year
10-Year
Inception
Date
Class
A
Shares
Excluding
Sales
Charge
4.77%
5.38%
6.47%
6/28/05
Including
Sales
Charge
0.85%
4.58%
6.07%
Class
C
Shares
Excluding
Sales
Charge
3.95%
4.59%
5.68%
1/16/07
Including
Sales
Charge
2.95%
4.59%
5.68%
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
14
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Blue
Chip
Fund
Diversified
Real
Asset
Fund
(a)
Edge
MidCap
Fund
Investment
in
securities--at
cost
..........................................................
$
4,853,455
$
3,051,154
$
728,825
Investment
in
affiliated
Funds--at
cost
...................................................
$
11,250
$
69,408
$
26,003
Foreign
currency--at
cost
..................................................................
$
–
$
–
$
44
Assets
Investment
in
securities--at
value
..........................................................
$
7,824,838
$
3,096,518
(b)
$
826,801
Investment
in
affiliated
Funds--at
value
....................................................
11,250
69,408
26,003
Foreign
currency--at
value
..................................................................
–
–
45
Cash
.........................................................................................
–
15,979
–
Deposits
with
counterparty
..................................................................
–
8,997
–
Receivables:
Dividends
and
interest
.................................................................
3,016
8,348
1,173
Expense
reimbursement
from
Manager
...............................................
345
200
44
Expense
reimbursement
from
Distributor
.............................................
4
–
–
Foreign
currency
contracts
...........................................................
–
492
–
Fund
shares
sold
.......................................................................
20,007
4,631
207
Investment
securities
sold
.............................................................
47,085
17,363
–
OTC
swap
agreements--at
value
(premiums
paid
$
0
,
$
0
and
$
0
)
.....................
–
2,930
–
Unrealized
gain
on
unfunded
loan
commitments
.....................................
–
1,707
–
Variation
margin
on
futures
...........................................................
–
6,972
–
Variation
margin
on
swaps
............................................................
–
264
–
Total
Assets
7,906,545
3,233,809
854,273
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
3,740
2,185
482
Accrued
administrative
service
fees
........................................................
1
–
–
Accrued
distribution
fees
....................................................................
405
18
3
Accrued
service
fees
........................................................................
5
–
–
Accrued
transfer
agent
fees
.................................................................
505
461
21
Accrued
chief
compliance
officer
fees
......................................................
1
–
–
Accrued
directors'
expenses
.................................................................
31
9
5
Accrued
professional
fees
...................................................................
27
120
22
Accrued
other
expenses
.....................................................................
243
138
11
Cash
overdraft
...............................................................................
–
1,467
–
Deposits
from
counterparty
.................................................................
–
170
–
Payables:
Foreign
currency
contracts
............................................................
–
590
–
Fund
shares
redeemed
.................................................................
5,758
2,592
222
Investment
securities
purchased
......................................................
58,275
30,785
547
Options
and
swaptions
contracts
written
(premiums
received
$
0
,
$
3,716
and
$
0
)
...
–
3,609
–
OTC
swap
agreements--at
value
(premiums
received
$
0
,
$
0
and
$
0
)
................
–
49
–
Unrealized
loss
on
unfunded
loan
commitments
......................................
–
21
–
Variation
margin
on
futures
...........................................................
–
1,964
–
Variation
margin
on
swaps
............................................................
–
323
–
Collateral
obligation
on
securities
loaned,
at
value
.........................................
–
11,380
–
Total
Liabilities
68,991
55,881
1,313
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
7,837,554
$
3,177,928
$
852,960
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
4,679,566
$
3,406,786
$
710,746
Total
distributable
earnings
(accumulated
loss)
.............................................
3,157,988
(
228,858
)
142,214
Total
Net
Assets
$
7,837,554
$
3,177,928
$
852,960
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
15
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Blue
Chip
Fund
Diversified
Real
Asset
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
..........................................................................
$
646,386
$
43,485
$
12,547
Shares
Issued
and
Outstanding
........................................................
19,097
3,906
850
Net
Asset
Value
per
share
.............................................................
$
33
.85
(c)
$
11
.13
(c)
$
14
.76
(c)
Maximum
Offering
Price
.............................................................
$
35
.82
$
11
.56
$
15
.62
Class
C
:
Net
Assets
..........................................................................
$
322,210
$
11,010
N/A
Shares
Issued
and
Outstanding
........................................................
10,065
1,010
Net
Asset
Value
per
share
.............................................................
$
32
.01
(c)
$
10
.90
(c)
Class
J
:
Net
Assets
..........................................................................
$
153,325
N/A
N/A
Shares
Issued
and
Outstanding
........................................................
4,471
Net
Asset
Value
per
share
.............................................................
$
34
.29
(c)
Institutional
:
Net
Assets
.....................................................................
$
2,638,389
$
1,960,593
$
82,198
Shares
Issued
and
Outstanding
........................................................
76,551
176,073
5,543
Net
Asset
Value
per
share
.............................................................
$
34
.47
$
11
.14
$
14
.83
R-3
:
Net
Assets
..............................................................................
$
8,764
$
138
N/A
Shares
Issued
and
Outstanding
........................................................
259
13
Net
Asset
Value
per
share
.............................................................
$
33
.85
$
11
.07
R-4
:
Net
Assets
..............................................................................
$
5,230
$
12
N/A
Shares
Issued
and
Outstanding
........................................................
153
1
Net
Asset
Value
per
share
.............................................................
$
34
.08
$
11
.11
R-5
:
Net
Assets
..............................................................................
$
12,060
$
32
N/A
Shares
Issued
and
Outstanding
........................................................
352
3
Net
Asset
Value
per
share
.............................................................
$
34
.29
$
11
.10
R-6
:
Net
Assets
..............................................................................
$
4,051,190
$
1,162,658
$
758,215
Shares
Issued
and
Outstanding
........................................................
117,302
104,397
50,952
Net
Asset
Value
per
share
.............................................................
$
34
.54
$
11
.14
$
14
.88
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
(b)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
(c)
Redemption
price
per
share
is
equal
to
net
asset
value
per
share
less
any
applicable
contingent
deferred
sales
charge.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
16
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Global
Multi-Strategy
Fund
(a)
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Investment
in
securities--at
cost
..........................................................
$
1,075,403
$
923,837
$
133,709
Investment
in
affiliated
Funds--at
cost
...................................................
$
89,036
$
34,884
$
–
Repurchase
agreements--at
cost
..........................................................
$
277,661
$
–
$
–
Foreign
currency--at
cost
..................................................................
$
3,380
$
–
$
–
Assets
Investment
in
securities--at
value
..........................................................
$
1,120,784
$
1,029,843
(b)
$
137,868
Investment
in
affiliated
Funds--at
value
....................................................
89,036
34,884
–
Repurchase
agreements--at
value
...........................................................
277,661
–
–
Foreign
currency--at
value
..................................................................
3,413
–
–
Cash
.........................................................................................
119
–
316
Deposits
with
counterparty
..................................................................
139,476
–
–
Receivables:
Dividends
and
interest
.................................................................
5,986
3,578
1,684
Expense
reimbursement
from
Manager
...............................................
84
2
11
Foreign
currency
contracts
...........................................................
7,444
–
–
Fund
shares
sold
.......................................................................
500
249
365
Investment
securities
sold
.............................................................
36,766
4,741
–
OTC
swap
agreements--at
value
(premiums
paid
$
1,263
,
$
0
and
$
0
)
................
4,309
–
–
Variation
margin
on
futures
...........................................................
957
–
–
Variation
margin
on
swaps
............................................................
294
–
–
Total
Assets
1,686,829
1,073,297
140,244
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
1,079
848
57
Accrued
distribution
fees
....................................................................
20
1
11
Accrued
transfer
agent
fees
.................................................................
76
10
27
Accrued
directors'
expenses
.................................................................
3
4
3
Accrued
professional
fees
...................................................................
168
41
37
Accrued
other
expenses
.....................................................................
146
79
6
Cash
overdraft
...............................................................................
–
1,471
–
Deposits
from
counterparty
.................................................................
220
–
–
Payables:
Dividends
payable
.....................................................................
–
–
364
Dividends
and
interest
on
securities
sold
short
.......................................
553
–
–
Expense
reimbursement
to
Manager
..................................................
–
10
–
Foreign
currency
contracts
............................................................
8,598
–
–
Fund
shares
redeemed
.................................................................
649
1,105
164
Interest
expense
and
fees
payable
.....................................................
–
–
22
Investment
securities
purchased
......................................................
29,128
1,525
606
Options
and
swaptions
contracts
written
(premiums
received
$
665
,
$
0
and
$
0
)
.....
596
–
–
Reverse
repurchase
agreements
.......................................................
412,677
–
–
Short
sales
(proceeds
received
$
412,070
,
$
0
and
$
0
)
.................................
427,175
–
–
OTC
swap
agreements--at
value
(premiums
received
$
48
,
$
0
and
$
0
)
...............
3,258
–
–
Unrealized
loss
on
unfunded
loan
commitments
......................................
5
–
–
Variation
margin
on
futures
...........................................................
934
–
–
Variation
margin
on
swaps
............................................................
121
–
–
Collateral
obligation
on
securities
loaned,
at
value
.........................................
–
23,940
–
Floating
rate
notes
issued
...................................................................
–
–
6,023
Total
Liabilities
885,406
29,034
7,320
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
801,423
$
1,044,263
$
132,924
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
810,590
$
995,929
$
130,668
Total
distributable
earnings
(accumulated
loss)
.............................................
(
9,167
)
48,334
2,256
Total
Net
Assets
$
801,423
$
1,044,263
$
132,924
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
17
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Global
Multi-Strategy
Fund
(a)
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
1,750,000
400,000
300,000
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
27,072
$
4,784
$
50,459
Shares
Issued
and
Outstanding
........................................................
2,472
452
4,603
Net
Asset
Value
per
share
.............................................................
$
10
.95
(c)
$
10
.58
(c)
$
10
.96
(c)
Maximum
Offering
Price
.............................................................
$
11
.38
$
11
.20
$
11
.39
Class
C
:
Net
Assets
..........................................................................
$
16,605
N/A
N/A
Shares
Issued
and
Outstanding
........................................................
1,576
Net
Asset
Value
per
share
.............................................................
$
10
.54
(c)
Institutional
:
Net
Assets
.....................................................................
$
591,298
$
72,515
$
82,465
Shares
Issued
and
Outstanding
........................................................
53,167
6,819
7,518
Net
Asset
Value
per
share
.............................................................
$
11
.12
$
10
.63
$
10
.97
R-6
:
Net
Assets
..............................................................................
$
166,448
$
966,964
N/A
Shares
Issued
and
Outstanding
........................................................
14,973
90,404
Net
Asset
Value
per
share
.............................................................
$
11
.12
$
10
.70
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
(b)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
(c)
Redemption
price
per
share
is
equal
to
net
asset
value
per
share
less
any
applicable
contingent
deferred
sales
charge.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
18
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Origin
Emerging
Markets
Fund
Small-MidCap
Dividend
Income
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Investment
in
securities--at
cost
..........................................................
$
1,531,854
$
1,514,462
$
6,841,517
Investment
in
affiliated
Funds--at
cost
...................................................
$
77,485
$
15,508
$
245,017
Foreign
currency--at
cost
..................................................................
$
17,462
$
–
$
–
Assets
Investment
in
securities--at
value
..........................................................
$
1,783,854
(a)
$
1,574,561
$
7,260,963
(a)
Investment
in
affiliated
Funds--at
value
....................................................
77,485
15,508
245,019
Foreign
currency--at
value
..................................................................
17,452
–
–
Cash
.........................................................................................
15
–
282
Deposits
with
counterparty
..................................................................
–
–
2,837
Receivables:
Dividends
and
interest
.................................................................
2,270
3,268
94,314
Expense
reimbursement
from
Manager
...............................................
3
5
–
Expense
reimbursement
from
Distributor
.............................................
–
–
1
Fund
shares
sold
.......................................................................
76
2,553
25,051
Investment
securities
sold
.............................................................
26,877
–
21,601
Variation
margin
on
futures
...........................................................
–
–
50
Total
Assets
1,908,032
1,595,895
7,650,118
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
1,589
1,055
4,251
Accrued
distribution
fees
....................................................................
1
85
496
Accrued
service
fees
........................................................................
–
–
2
Accrued
transfer
agent
fees
.................................................................
5
315
928
Accrued
chief
compliance
officer
fees
......................................................
–
–
1
Accrued
directors'
expenses
.................................................................
8
5
24
Accrued
professional
fees
...................................................................
33
28
44
Accrued
other
expenses
.....................................................................
111
57
257
Payables:
Deferred
foreign
tax
...................................................................
1,603
–
–
Fund
shares
redeemed
.................................................................
1,150
2,068
6,137
Investment
securities
purchased
......................................................
40,769
–
95,236
Options
and
swaptions
contracts
written
(premiums
received
$
0
,
$
0
and
$
928
)
.....
–
–
250
Variation
margin
on
futures
...........................................................
–
–
442
Collateral
obligation
on
securities
loaned,
at
value
.........................................
4,893
–
16,720
Total
Liabilities
50,162
3,613
124,788
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
1,857,870
$
1,592,282
$
7,525,330
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
1,661,785
$
1,794,474
$
7,194,795
Total
distributable
earnings
(accumulated
loss)
.............................................
196,085
(
202,192
)
330,535
Total
Net
Assets
$
1,857,870
$
1,592,282
$
7,525,330
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
19
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Origin
Emerging
Markets
Fund
Small-MidCap
Dividend
Income
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
550,000
1,700,000
2,500,000
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
4,003
$
103,382
$
844,525
Shares
Issued
and
Outstanding
........................................................
324
8,683
81,842
Net
Asset
Value
per
share
.............................................................
$
12
.36
(b)
$
11
.91
(b)
$
10
.32
(b)
Maximum
Offering
Price
.............................................................
$
13
.08
$
12
.60
$
10
.72
Class
C
:
Net
Assets
..........................................................................
N/A
$
71,660
$
365,817
Shares
Issued
and
Outstanding
........................................................
6,083
35,480
Net
Asset
Value
per
share
.............................................................
$
11
.78
(b)
$
10
.31
(b)
Class
J
:
Net
Assets
..........................................................................
N/A
N/A
$
42,554
Shares
Issued
and
Outstanding
........................................................
4,250
Net
Asset
Value
per
share
.............................................................
$
10
.01
(b)
Institutional
:
Net
Assets
.....................................................................
$
26,478
$
1,408,105
$
4,746,270
Shares
Issued
and
Outstanding
........................................................
2,176
117,605
463,515
Net
Asset
Value
per
share
.............................................................
$
12
.17
$
11
.97
$
10
.24
R-1
:
Net
Assets
..............................................................................
N/A
N/A
$
613
Shares
Issued
and
Outstanding
........................................................
60
Net
Asset
Value
per
share
.............................................................
$
10
.19
R-2
:
Net
Assets
..............................................................................
N/A
N/A
$
1,565
Shares
Issued
and
Outstanding
........................................................
155
Net
Asset
Value
per
share
.............................................................
$
10
.11
R-3
:
Net
Assets
..............................................................................
N/A
N/A
$
1,328
Shares
Issued
and
Outstanding
........................................................
131
Net
Asset
Value
per
share
.............................................................
$
10
.16
R-4
:
Net
Assets
..............................................................................
N/A
N/A
$
1,031
Shares
Issued
and
Outstanding
........................................................
102
Net
Asset
Value
per
share
.............................................................
$
10
.14
R-5
:
Net
Assets
..............................................................................
N/A
N/A
$
3,526
Shares
Issued
and
Outstanding
........................................................
346
Net
Asset
Value
per
share
.............................................................
$
10
.19
R-6
:
Net
Assets
..............................................................................
$
1,827,389
$
9,135
$
1,518,101
Shares
Issued
and
Outstanding
........................................................
149,984
759
148,315
Net
Asset
Value
per
share
.............................................................
$
12
.18
$
12
.03
$
10
.24
(a)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
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.
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
20
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Diversified
Real
Asset
Fund
(a)
Edge
MidCap
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
116
$
1,133
$
156
Dividends
.........................................................................................
38,040
58,909
10,452
Withholding
tax
..................................................................................
(
727
)
(
4,107
)
(
17
)
Interest
............................................................................................
–
43,516
4
Securities
lending
-
net
...........................................................................
86
175
366
Total
Income
37,515
99,626
10,961
Expenses:
Management
and
investment
advisory
fees
......................................................
33,554
28,838
5,017
Distribution
f
ees
-
Class
A
.......................................................................
1,066
120
24
Distribution
f
ees
-
Class
C
.......................................................................
2,140
134
N/A
Distribution
f
ees
-
Class
J
........................................................................
152
N/A
N/A
Distribution
f
ees
-
R-3
...........................................................................
17
–
N/A
Distribution
f
ees
-
R-4
...........................................................................
4
–
N/A
Administrative
service
fees
-
R-3
................................................................
5
–
N/A
Administrative
service
fees
-
R-4
................................................................
1
–
N/A
Administrative
service
fees
-
R-5
................................................................
1
–
N/A
Registration
fees
-
Class
A
.......................................................................
84
17
17
Registration
fees
-
Class
C
.......................................................................
37
16
N/A
Registration
fees
-
Class
J
........................................................................
24
N/A
N/A
Registration
fees
-
Institutional
..................................................................
280
41
27
Registration
fees
-
R-6
...........................................................................
38
23
18
Service
fees
-
R-3
................................................................................
16
1
N/A
Service
fees
-
R-4
................................................................................
11
–
N/A
Service
fees
-
R-5
................................................................................
21
–
N/A
Shareholder
reports
-
Class
A
....................................................................
43
15
2
Shareholder
reports
-
Class
C
....................................................................
19
5
N/A
Shareholder
reports
-
Class
J
.....................................................................
54
N/A
N/A
Shareholder
reports
-
Institutional
...............................................................
97
141
3
Shareholder
reports
-
R-6
........................................................................
29
123
2
Transfer agent
fees
-
Class
A
.....................................................................
422
78
27
Transfer agent
fees
-
Class
C
.....................................................................
186
32
N/A
Transfer agent
fees
-
Class
J
.....................................................................
72
N/A
N/A
Transfer agent
fees
-
Institutional
................................................................
1,267
2,072
60
Chief
compliance
officer
expenses
...............................................................
5
4
1
Custodian
fees
....................................................................................
6
270
2
Directors'
expenses
...............................................................................
116
79
17
Professional fees
.................................................................................
35
180
24
Other
expenses
...................................................................................
61
49
7
Total
Gross
Expenses
39,863
32,238
5,248
Less: Reimbursement
from
Manager
............................................................
3,492
1,337
473
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
–
34
28
Less:
Reimbursement
from
Manager
-
Class
C
..................................................
–
30
N/A
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
30
994
29
Less:
Reimbursement
from
Manager
-
R-6
......................................................
–
91
–
Less:
Reimbursement
from
Distributor
-
Class
J
................................................
30
N/A
N/A
Total
Net
Expenses
36,311
29,752
4,718
Net
Investment
Income
(Loss)
1,204
69,874
6,243
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
21
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Diversified
Real
Asset
Fund
(a)
Edge
MidCap
Fund
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions
and
swap
agreements
Net
realized
gain
(loss)
from:
Investment
transactions
..........................................................................
316,866
(
86,662
)
46,450
Foreign
currency
contracts
.......................................................................
–
(
2,406
)
–
Foreign
currency
transactions
....................................................................
–
(
1,471
)
5
Futures
contracts
.................................................................................
–
(
10,917
)
–
Options
and
swaptions
...........................................................................
–
2,266
–
Swap
agreements
.................................................................................
–
(
18,841
)
–
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
.......................................................................................
1,825,862
30,629
6,586
Foreign
currency
contracts
.......................................................................
–
200
–
Futures
contracts
.................................................................................
–
12,427
–
Options
and
swaptions
...........................................................................
–
1,673
–
Swap
agreements
.................................................................................
–
6,244
–
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
–
231
1
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions
and
swap
agreements
2,142,728
(
66,627
)
53,042
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
2,143,932
$
3,247
$
59,285
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
22
See
accompanying
notes.
Amounts
in
thousands
Global
Multi-Strategy
Fund
(a)
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
1,047
$
129
$
–
Dividends
.........................................................................................
11,315
19,488
17
Withholding
tax
..................................................................................
(
418
)
(
1,906
)
–
Interest
............................................................................................
36,362
1
5,789
Securities
lending
-
net
...........................................................................
–
330
–
Total
Income
48,306
18,042
5,806
Expenses:
Management
and
investment
advisory
fees
......................................................
14,279
9,399
681
Distribution
f
ees
-
Class
A
.......................................................................
79
11
130
Distribution
f
ees
-
Class
C
.......................................................................
219
N/A
N/A
Registration
fees
-
Class
A
.......................................................................
19
17
19
Registration
fees
-
Class
C
.......................................................................
17
N/A
N/A
Registration
fees
-
Institutional
..................................................................
72
18
22
Registration
fees
-
R-6
...........................................................................
18
19
N/A
Shareholder
reports
-
Class
A
....................................................................
7
3
2
Shareholder
reports
-
Class
C
....................................................................
4
N/A
N/A
Shareholder
reports
-
Institutional
...............................................................
149
3
2
Shareholder
reports
-
R-6
........................................................................
–
1
N/A
Transfer agent
fees
-
Class
A
.....................................................................
44
21
46
Transfer agent
fees
-
Class
C
.....................................................................
35
N/A
N/A
Transfer agent
fees
-
Institutional
................................................................
475
36
79
Chief
compliance
officer
expenses
...............................................................
1
1
–
Custodian
fees
....................................................................................
357
250
2
Directors'
expenses
...............................................................................
24
21
6
Dividends
and
interest
on
securities
sold
short
..................................................
7,302
–
–
Interest
expense
and
fees
.........................................................................
–
–
94
Professional fees
.................................................................................
243
56
44
Short
sale
fees
....................................................................................
1,597
–
–
Other
expenses
...................................................................................
135
13
3
Reverse
repurchase
agreement
interest
expense
.................................................
5,198
–
–
Total
Gross
Expenses
30,274
9,869
1,130
Less: Reimbursement
from
Manager
............................................................
359
–
82
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
–
29
10
Less:
Reimbursement
from
Manager
-
Class
C
..................................................
29
N/A
N/A
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
665
1
36
Less:
Reimbursement
from
Manager
-
R-6
......................................................
131
1
N/A
Total
Net
Expenses
29,090
9,838
1,002
Net
Investment
Income
(Loss)
19,216
8,204
4,804
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
..........................................................................
(
7,466
)
(
27,983
)
(
1,272
)
Foreign
currency
contracts
.......................................................................
1,190
–
–
Foreign
currency
transactions
....................................................................
(
1,024
)
(
116
)
–
Futures
contracts
.................................................................................
(
2,636
)
–
–
Options
and
swaptions
...........................................................................
1,420
–
–
Short
sales
........................................................................................
(
14,737
)
–
–
Swap
agreements
.................................................................................
1,872
–
–
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
.......................................................................................
48,799
66,246
(
3,908
)
Foreign
currency
contracts
.......................................................................
(
6,292
)
–
–
Futures
contracts
.................................................................................
(
8,377
)
–
–
Options
and
swaptions
...........................................................................
875
–
–
Short
sales
........................................................................................
(
14,366
)
–
–
Swap
agreements
.................................................................................
630
–
–
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
(
328
)
113
–
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions,
short
sales
and
swap
agreements
(
440
)
38,260
(
5,180
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
18,776
$
46,464
$
(
376
)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
24
See
accompanying
notes.
Amounts
in
thousands
Origin
Emerging
Markets
Fund
Small-MidCap
Dividend
Income
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
213
$
279
$
1,670
Dividends
from
affiliated
securities
..............................................................
–
–
5,344
Dividends
.........................................................................................
36,434
45,122
52,570
Withholding
tax
..................................................................................
(3,738)
(704)
–
Interest
............................................................................................
1
1
270,889
Securities
lending
-
net
...........................................................................
15
91
553
Total
Income
32,925
44,789
331,026
Expenses:
Management
and
investment
advisory
fees
......................................................
14,183
14,816
44,021
Distribution
fees
-
Class
A
.......................................................................
7
319
1,943
Distribution
fees
-
Class
C
.......................................................................
N/A
987
4,359
Distribution
fees
-
Class
J
........................................................................
N/A
N/A
67
Distribution
fees
-
R-1
...........................................................................
N/A
N/A
2
Distribution
fees
-
R-2
...........................................................................
N/A
N/A
5
Distribution
fees
-
R-3
...........................................................................
N/A
N/A
5
Distribution
fees
-
R-4
...........................................................................
N/A
N/A
1
Administrative
service
fees
-
R-1
................................................................
N/A
N/A
2
Administrative
service
fees
-
R-2
................................................................
N/A
N/A
3
Administrative
service
fees
-
R-3
................................................................
N/A
N/A
2
Registration
fees
-
Class
A
.......................................................................
17
24
61
Registration
fees
-
Class
C
.......................................................................
N/A
18
27
Registration
fees
-
Class
J
........................................................................
N/A
N/A
21
Registration
fees
-
Institutional
..................................................................
23
38
279
Registration
fees
-
R-6
...........................................................................
31
19
22
Service
fees
-
R-1
................................................................................
N/A
N/A
1
Service
fees
-
R-2
................................................................................
N/A
N/A
4
Service
fees
-
R-3
................................................................................
N/A
N/A
5
Service
fees
-
R-4
................................................................................
N/A
N/A
3
Service
fees
-
R-5
................................................................................
N/A
N/A
8
Shareholder
reports
-
Class
A
....................................................................
2
14
45
Shareholder
reports
-
Class
C
....................................................................
N/A
11
23
Shareholder
reports
-
Class
J
.....................................................................
N/A
N/A
37
Shareholder
reports
-
Institutional
...............................................................
1
155
204
Shareholder
reports
-
R-6
........................................................................
1
–
10
Transfer agent
fees
-
Class
A
.....................................................................
17
160
647
Transfer agent
fees
-
Class
C
.....................................................................
N/A
122
402
Transfer agent
fees
-
Class
J
.....................................................................
N/A
N/A
54
Transfer agent
fees
-
Institutional
................................................................
14
2,016
3,831
Chief
compliance
officer
expenses
...............................................................
1
2
6
Custodian
fees
....................................................................................
337
13
49
Directors'
expenses
...............................................................................
27
43
138
Professional fees
.................................................................................
53
28
55
Other
expenses
...................................................................................
40
19
129
Total
Gross
Expenses
14,754
18,804
56,471
Less: Reimbursement
from
Manager
............................................................
569
–
–
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
28
71
–
Less:
Reimbursement
from
Manager
-
Class
C
..................................................
N/A
54
–
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
16
836
–
Less:
Reimbursement
from
Manager
-
R-6
......................................................
–
18
–
Less:
Reimbursement
from
Distributor
-
Class
J
................................................
N/A
N/A
13
Total
Net
Expenses
14,141
17,825
56,458
Net
Investment
Income
(Loss)
18,784
26,964
274,568
Statements
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
25
See
accompanying
notes.
Amounts
in
thousands
Origin
Emerging
Markets
Fund
Small-MidCap
Dividend
Income
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures
and
options
and
swaptions
Net
realized
gain
(loss)
from:
Investment
transactions
..........................................................................
41,800
(234,399)
(69,814)
Investment
transactions
in
affiliated
securities
...................................................
–
–
(19,445)
Foreign
currency
transactions
....................................................................
(1,455)
(55)
–
Futures
contracts
.................................................................................
–
–
(812)
Options
and
swaptions
...........................................................................
–
–
31,206
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
(net
of
foreign
taxes
of
$1,603
,
$0
and
$0,
respectively)
...........................
183,264
(65,840)
103,582
Investment
in
affiliated
securities
................................................................
–
–
15,724
Futures
contracts
.................................................................................
–
–
(159)
Options
and
swaptions
...........................................................................
–
–
493
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
(85)
2
–
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures
and
options
and
swaptions
223,524
(300,292)
60,775
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
242,308
$
(273,328)
$
335,343
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
26
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
1,204
$
8,402
Net
realized
gain
(loss)
on
investments
.............................................................................................
316,866
185,238
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
1,825,862
289,451
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
2,143,932
483,091
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
218,915
)
(
218,921
)
Total
Dividends
and
Distributions
(
218,915
)
(
218,921
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
1,577,913
854,548
Total
Increase
(Decrease)
in
Net
Assets
3,502,930
1,118,718
Net
Assets
Beginning
of
period
.................................................................................................................
4,334,624
3,215,906
End
of
period
.......................................................................................................................
$
7,837,554
$
4,334,624
Class
A
Class
C
Class
J
Institutional
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.......................................
$
330,206
$
123,814
$
80,027
$
1,979,502
$
3,089
$
1,473
$
6,893
$
765,698
Reinvested
..................................
15,360
8,054
3,750
42,915
259
187
298
144,416
Redeemed
...................................
(
153,829
)
(
40,458
)
(
45,104
)
(
755,174
)
(
2,485
)
(
1,782
)
(
4,409
)
(
924,787
)
Net
Increase
(Decrease)
.........................
$
191,737
$
91,410
$
38,673
$
1,267,243
$
863
$
(
122
)
$
2,782
$
(
14,673
)
Shares:
Sold
.......................................
12,395
4,890
2,934
74,141
115
57
254
27,502
Reinvested
..................................
601
332
145
1,644
10
7
12
5,521
Redeemed
...................................
(
5,751
)
(
1,583
)
(
1,704
)
(
27,142
)
(
97
)
(
66
)
(
161
)
(
32,947
)
Net
Increase
(Decrease)
.........................
7,245
3,639
1,375
48,643
28
(
2
)
105
76
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................
$
157,102
$
74,792
$
28,869
$
618,371
$
1,190
$
3,111
$
4,724
$
429,587
Reinvested
..................................
12,122
7,033
4,005
13,102
439
98
387
181,564
Redeemed
...................................
(
51,856
)
(
25,956
)
(
16,953
)
(
140,947
)
(
4,369
)
(
611
)
(
4,419
)
(
436,837
)
Net
Increase
(Decrease)
.........................
$
117,368
$
55,869
$
15,921
$
490,526
$
(
2,740
)
$
2,598
$
692
$
174,314
Shares:
Sold
.......................................
6,769
3,351
1,215
26,194
51
124
194
17,439
Reinvested
..................................
613
371
201
653
22
5
19
9,042
Redeemed
...................................
(
2,240
)
(
1,177
)
(
714
)
(
6,029
)
(
184
)
(
27
)
(
180
)
(
18,419
)
Net
Increase
(Decrease)
.........................
5,142
2,545
702
20,818
(
111
)
102
33
8,062
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
..................................
$
(
15,698
)
$
(
8,184
)
$
(
3,753
)
$
(
44,715
)
$
(
259
)
$
(
187
)
$
(
298
)
$
(
145,821
)
Total
Dividends
and
Distributions
$
(
15,698
)
$
(
8,184
)
$
(
3,753
)
$
(
44,715
)
$
(
259
)
$
(
187
)
$
(
298
)
$
(
145,821
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
..................................
$
(
12,167
)
$
(
7,048
)
$
(
4,005
)
$
(
13,213
)
$
(
439
)
$
(
98
)
$
(
387
)
$
(
181,564
)
Total
Dividends
and
Distributions
$
(
12,167
)
$
(
7,048
)
$
(
4,005
)
$
(
13,213
)
$
(
439
)
$
(
98
)
$
(
387
)
$
(
181,564
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
27
See
accompanying
notes.
Amounts
in
thousands
Diversified
Real
Asset
Fund
(a)
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
69,874
$
109,172
Net
realized
gain
(loss)
on
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
and
swap
agreements
...............
(
118,031
)
(
101,079
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
,
swap
agreements
and
translation
of
assets
&
liabilities
in
foreign
currencies
......................................................
51,404
(
44,411
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
3,247
(
36,318
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
96,919
)
(
126,294
)
Total
Dividends
and
Distributions
(
96,919
)
(
126,294
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
518,671
)
(
219,389
)
Total
Increase
(Decrease)
in
Net
Assets
(
612,343
)
(
382,001
)
Net
Assets
Beginning
of
period
.................................................................................................................
3,790,271
4,172,272
End
of
period
.......................................................................................................................
$
3,177,928
$
3,790,271
Class
A
Class
C
Institutional
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
................................................
$
9,246
$
478
$
581,088
$
37
$
–
$
25
$
293,360
Reinvested
...........................................
940
143
59,146
3
–
2
34,843
Redeemed
............................................
(
20,412
)
(
5,378
)
(
995,309
)
(
11
)
–
(
66
)
(
476,806
)
Net
Increase
(Decrease)
..................................
$
(
10,226
)
$
(
4,757
)
$
(
355,075
)
$
29
$
–
$
(
39
)
$
(
148,603
)
Shares:
Sold
................................................
856
44
52,290
4
–
2
26,766
Reinvested
...........................................
81
12
5,077
–
–
–
2,991
Redeemed
............................................
(
1,918
)
(
504
)
(
93,511
)
(
1
)
–
(
6
)
(
43,586
)
Net
Increase
(Decrease)
..................................
(
981
)
(
448
)
(
36,144
)
3
–
(
4
)
(
13,829
)
Year
Ended
August
31,
2019
Dollars:
Sold
................................................
$
23,589
$
1,617
$
889,501
$
33
$
1
$
73
$
178,573
Reinvested
...........................................
2,486
359
74,020
3
–
3
46,729
Redeemed
............................................
(
74,540
)
(
8,139
)
(
995,483
)
–
(
4
)
(
12
)
(
358,198
)
Net
Increase
(Decrease)
..................................
$
(
48,465
)
$
(
6,163
)
$
(
31,962
)
$
36
$
(
3
)
$
64
$
(
132,896
)
Shares:
Sold
................................................
2,109
150
79,524
3
–
7
15,969
Reinvested
...........................................
241
35
7,172
–
–
–
4,528
Redeemed
............................................
(
6,622
)
(
745
)
(
89,030
)
–
–
(
1
)
(
32,081
)
Net
Increase
(Decrease)
..................................
(
4,272
)
(
560
)
(
2,334
)
3
–
6
(
11,584
)
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
961
)
$
(
162
)
$
(
60,790
)
$
(
3
)
$
–
$
(
2
)
$
(
35,001
)
Total
Dividends
and
Distributions
$
(
961
)
$
(
162
)
$
(
60,790
)
$
(
3
)
$
–
$
(
2
)
$
(
35,001
)
Year
Ended
August
31,
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
)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
28
See
accompanying
notes.
Amounts
in
thousands
Edge
MidCap
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
6,243
$
5,775
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
46,455
23,950
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
6,587
(
13,123
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
59,285
16,602
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
29,654
)
(
35,525
)
Total
Dividends
and
Distributions
(
29,654
)
(
35,525
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
129,393
40,409
Total
Increase
(Decrease)
in
Net
Assets
159,024
21,486
Net
Assets
Beginning
of
period
.................................................................................................................
693,936
672,450
End
of
period
.......................................................................................................................
$
852,960
$
693,936
Class
A
Institutional
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.......................................................................................
$
9,975
$
66,971
$
133,178
Reinvested
..................................................................................
364
1,564
27,287
Redeemed
...................................................................................
(
3,584
)
(
29,934
)
(
76,428
)
Net
Increase
(Decrease)
.........................................................................
$
6,755
$
38,601
$
84,037
Shares:
Sold
.......................................................................................
699
5,413
9,273
Reinvested
..................................................................................
24
101
1,759
Redeemed
...................................................................................
(
261
)
(
2,354
)
(
5,303
)
Net
Increase
(Decrease)
.........................................................................
462
3,160
5,729
Year
Ended
August
31,
2019
(a)
Dollars:
Sold
.......................................................................................
$
5,716
$
28,623
$
59,856
Reinvested
..................................................................................
–
838
34,677
Redeemed
...................................................................................
(
231
)
(
9,696
)
(
79,374
)
Net
Increase
(Decrease)
.........................................................................
$
5,485
$
19,765
$
15,159
Shares:
Sold
.......................................................................................
404
2,041
4,222
Reinvested
..................................................................................
–
70
2,882
Redeemed
...................................................................................
(
16
)
(
693
)
(
5,670
)
Net
Increase
(Decrease)
.........................................................................
388
1,418
1,434
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
364
)
$
(
1,569
)
$
(
27,721
)
Total
Dividends
and
Distributions
$
(
364
)
$
(
1,569
)
$
(
27,721
)
Year
Ended
August
31,
2019
(a)
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
–
$
(
848
)
$
(
34,677
)
Total
Dividends
and
Distributions
$
–
$
(
848
)
$
(
34,677
)
(a)
Period
from
December
31,
2018,
date
operations
commenced,
through
August
31,
2019
for
Class
A
shares.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
29
See
accompanying
notes.
Amounts
in
thousands
Global
Multi-Strategy
Fund
(a)
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
19,216
$
43,879
Net
realized
gain
(loss)
on
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
,
short
sales
and
swap
agreements
...
(
21,381
)
18,329
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
.........................................
20,941
(
35,874
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
18,776
26,334
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
–
(
133,695
)
From
tax
return
of
capital
...........................................................................................................
–
(
6,481
)
Total
Dividends
and
Distributions
–
(
140,176
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
556,309
)
(
1,182,738
)
Total
Increase
(Decrease)
in
Net
Assets
(
537,533
)
(
1,296,580
)
Net
Assets
Beginning
of
period
.................................................................................................................
1,338,956
2,635,536
End
of
period
.......................................................................................................................
$
801,423
$
1,338,956
Class
A
Class
C
Institutional
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.............................................................................
$
6,523
$
828
$
341,435
$
32,821
Redeemed
.........................................................................
(
21,346
)
(
11,049
)
(
218,027
)
(
687,494
)
Net
Increase
(Decrease)
...............................................................
$
(
14,823
)
$
(
10,221
)
$
123,408
$
(
654,673
)
Shares:
Sold
.............................................................................
615
81
31,837
3,070
Redeemed
.........................................................................
(
2,005
)
(
1,084
)
(
20,773
)
(
64,199
)
Net
Increase
(Decrease)
...............................................................
(
1,390
)
(
1,003
)
11,064
(
61,129
)
Year
Ended
August
31,
2019
Dollars:
Sold
.............................................................................
$
7,989
$
1,840
$
218,661
$
144,584
Reinvested
........................................................................
2,674
1,564
30,856
76,963
Redeemed
.........................................................................
(
30,774
)
(
16,484
)
(
514,828
)
(
1,105,783
)
Net
Increase
(Decrease)
...............................................................
$
(
20,111
)
$
(
13,080
)
$
(
265,311
)
$
(
884,236
)
Shares:
Sold
.............................................................................
765
184
20,784
13,702
Reinvested
........................................................................
263
159
3,002
7,494
Redeemed
.........................................................................
(
2,925
)
(
1,611
)
(
48,573
)
(
103,991
)
Net
Increase
(Decrease)
...............................................................
(
1,897
)
(
1,268
)
(
24,787
)
(
82,795
)
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
–
$
–
$
–
$
–
Total
Dividends
and
Distributions
$
–
$
–
$
–
$
–
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
2,794
)
$
(
1,679
)
$
(
35,416
)
$
(
93,806
)
From
tax
return
of
capital
..............................................................
(
150
)
(
104
)
(
1,732
)
(
4,495
)
Total
Dividends
and
Distributions
$
(
2,944
)
$
(
1,783
)
$
(
37,148
)
$
(
98,301
)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
30
See
accompanying
notes.
Amounts
in
thousands
International
Small
Company
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
8,204
$
11,883
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
(
28,099
)
(
12,951
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
66,359
(
71,249
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
46,464
(
72,317
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
27,587
)
(
68,970
)
Total
Dividends
and
Distributions
(
27,587
)
(
68,970
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
129,849
36,815
Total
Increase
(Decrease)
in
Net
Assets
148,726
(
104,472
)
Net
Assets
Beginning
of
period
.................................................................................................................
895,537
1,000,009
End
of
period
.......................................................................................................................
$
1,044,263
$
895,537
Class
A
Institutional
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.......................................................................................
$
1,253
$
53,224
$
200,386
Reinvested
..................................................................................
119
1,106
26,362
Redeemed
...................................................................................
(
1,499
)
(
22,071
)
(
129,031
)
Net
Increase
(Decrease)
.........................................................................
$
(
127
)
$
32,259
$
97,717
Shares:
Sold
.......................................................................................
137
5,628
18,791
Reinvested
..................................................................................
10
97
2,306
Redeemed
...................................................................................
(
150
)
(
2,238
)
(
12,064
)
Net
Increase
(Decrease)
.........................................................................
(
3
)
3,487
9,033
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................................................................
$
1,204
$
29,069
$
119,409
Reinvested
..................................................................................
345
1,694
66,930
Redeemed
...................................................................................
(
1,244
)
(
11,622
)
(
168,970
)
Net
Increase
(Decrease)
.........................................................................
$
305
$
19,141
$
17,369
Shares:
Sold
.......................................................................................
114
2,786
11,482
Reinvested
..................................................................................
38
183
7,182
Redeemed
...................................................................................
(
120
)
(
1,110
)
(
15,927
)
Net
Increase
(Decrease)
.........................................................................
32
1,859
2,737
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
119
)
$
(
1,106
)
$
(
26,362
)
Total
Dividends
and
Distributions
$
(
119
)
$
(
1,106
)
$
(
26,362
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
346
)
$
(
1,694
)
$
(
66,930
)
Total
Dividends
and
Distributions
$
(
346
)
$
(
1,694
)
$
(
66,930
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
31
See
accompanying
notes.
Amounts
in
thousands
Opportunistic
Municipal
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
4,804
$
4,766
Net
realized
gain
(loss)
on
investments
.............................................................................................
(
1,272
)
988
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
(
3,908
)
6,188
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
376
)
11,942
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
4,773
)
(
4,560
)
Total
Dividends
and
Distributions
(
4,773
)
(
4,560
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
2,185
19,255
Total
Increase
(Decrease)
in
Net
Assets
(
2,964
)
26,637
Net
Assets
Beginning
of
period
.................................................................................................................
135,888
109,251
End
of
period
.......................................................................................................................
$
132,924
$
135,888
Class
A
Class
C
Institutional
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.......................................................................................
$
18,916
N/A
$
26,901
Reinvested
..................................................................................
1,699
N/A
3,025
Redeemed
...................................................................................
(
21,795
)
N/A
(
26,561
)
Net
Increase
(Decrease)
.........................................................................
$
(
1,180
)
N/A
$
3,365
Shares:
Sold
.......................................................................................
1,732
N/A
2,476
Reinvested
..................................................................................
156
N/A
278
Redeemed
...................................................................................
(
2,060
)
N/A
(
2,528
)
Net
Increase
(Decrease)
.........................................................................
(
172
)
N/A
226
Year
Ended
August
31,
2019
(a)
Dollars:
Sold
.......................................................................................
$
24,545
$
883
$
37,477
Reinvested
..................................................................................
1,776
75
2,655
Redeemed
...................................................................................
(
22,216
)
(
8,001
)
(
17,939
)
Net
Increase
(Decrease)
.........................................................................
$
4,105
$
(
7,043
)
$
22,193
Shares:
Sold
.......................................................................................
2,304
85
3,501
Reinvested
..................................................................................
165
7
247
Redeemed
...................................................................................
(
2,096
)
(
764
)
(
1,686
)
Net
Increase
(Decrease)
.........................................................................
373
(
672
)
2,062
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
1,736
)
N/A
$
(
3,037
)
Total
Dividends
and
Distributions
$
(
1,736
)
N/A
$
(
3,037
)
Year
Ended
August
31,
2019
(a)
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
1,815
)
$
(
86
)
$
(
2,659
)
Total
Dividends
and
Distributions
$
(
1,815
)
$
(
86
)
$
(
2,659
)
(a)
Class
C
shares
discontinued
operations
and
converted
to
Class
A
shares
on
January
11,
2019.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
32
See
accompanying
notes.
Amounts
in
thousands
Origin
Emerging
Markets
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
18,784
$
16,401
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
40,345
(
10,377
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
183,179
(
29,387
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
242,308
(
23,363
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
21,257
)
(
8,633
)
Total
Dividends
and
Distributions
(
21,257
)
(
8,633
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
540,595
488,958
Total
Increase
(Decrease)
in
Net
Assets
761,646
456,962
Net
Assets
Beginning
of
period
.................................................................................................................
1,096,224
639,262
End
of
period
.......................................................................................................................
$
1,857,870
$
1,096,224
Class
A
Institutional
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.......................................................................................
$
5,736
$
14,587
$
661,748
Reinvested
..................................................................................
34
268
20,953
Redeemed
...................................................................................
(
4,644
)
(
3,310
)
(
154,777
)
Net
Increase
(Decrease)
.........................................................................
$
1,126
$
11,545
$
527,924
Shares:
Sold
.......................................................................................
523
1,335
58,724
Reinvested
..................................................................................
3
23
1,813
Redeemed
...................................................................................
(
433
)
(
301
)
(
13,852
)
Net
Increase
(Decrease)
.........................................................................
93
1,057
46,685
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................................................................
$
2,340
$
3,112
$
633,844
Reinvested
..................................................................................
23
163
8,447
Redeemed
...................................................................................
(
3,889
)
(
2,846
)
(
152,236
)
Net
Increase
(Decrease)
.........................................................................
$
(
1,526
)
$
429
$
490,055
Shares:
Sold
.......................................................................................
218
302
61,048
Reinvested
..................................................................................
2
18
913
Redeemed
...................................................................................
(
378
)
(
279
)
(
14,468
)
Net
Increase
(Decrease)
.........................................................................
(
158
)
41
47,493
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
35
)
$
(
269
)
$
(
20,953
)
Total
Dividends
and
Distributions
$
(
35
)
$
(
269
)
$
(
20,953
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
23
)
$
(
163
)
$
(
8,447
)
Total
Dividends
and
Distributions
$
(
23
)
$
(
163
)
$
(
8,447
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
33
See
accompanying
notes.
Amounts
in
thousands
Small-MidCap
Dividend
Income
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
26,964
$
49,488
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
(
234,454
)
28,853
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
(
65,838
)
(
315,957
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
273,328
)
(
237,616
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
54,509
)
(
339,924
)
Total
Dividends
and
Distributions
(
54,509
)
(
339,924
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
246,413
)
(
102,705
)
Total
Increase
(Decrease)
in
Net
Assets
(
574,250
)
(
680,245
)
Net
Assets
Beginning
of
period
.................................................................................................................
2,166,532
2,846,777
End
of
period
.......................................................................................................................
$
1,592,282
$
2,166,532
Class
A
Class
C
Institutional
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
.............................................................................
$
24,533
$
5,431
$
408,894
$
4,595
Reinvested
........................................................................
3,179
1,809
46,420
243
Redeemed
.........................................................................
(
49,634
)
(
36,833
)
(
651,935
)
(
3,115
)
Net
Increase
(Decrease)
...............................................................
$
(
21,922
)
$
(
29,593
)
$
(
196,621
)
$
1,723
Shares:
Sold
.............................................................................
1,879
414
32,943
364
Reinvested
........................................................................
236
131
3,472
18
Redeemed
.........................................................................
(
3,991
)
(
3,012
)
(
53,606
)
(
232
)
Net
Increase
(Decrease)
...............................................................
(
1,876
)
(
2,467
)
(
17,191
)
150
Year
Ended
August
31,
2019
Dollars:
Sold
.............................................................................
$
24,473
$
4,750
$
537,749
$
3,442
Reinvested
........................................................................
23,194
18,221
278,193
1,262
Redeemed
.........................................................................
(
72,982
)
(
40,777
)
(
878,313
)
(
1,917
)
Net
Increase
(Decrease)
...............................................................
$
(
25,315
)
$
(
17,806
)
$
(
62,371
)
$
2,787
Shares:
Sold
.............................................................................
1,718
342
37,161
216
Reinvested
........................................................................
1,793
1,433
21,335
97
Redeemed
.........................................................................
(
4,985
)
(
2,893
)
(
60,592
)
(
134
)
Net
Increase
(Decrease)
...............................................................
(
1,474
)
(
1,118
)
(
2,096
)
179
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
3,378
)
$
(
1,955
)
$
(
48,933
)
$
(
243
)
Total
Dividends
and
Distributions
$
(
3,378
)
$
(
1,955
)
$
(
48,933
)
$
(
243
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
24,423
)
$
(
19,618
)
$
(
294,621
)
$
(
1,262
)
Total
Dividends
and
Distributions
$
(
24,423
)
$
(
19,618
)
$
(
294,621
)
$
(
1,262
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
34
See
accompanying
notes.
Amounts
in
thousands
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
274,568
$
271,781
Net
realized
gain
(loss)
on
investments,
futures
and
options
and
swaptions
.......................................................
(58,865)
6,927
Net
change
in
unrealized
appreciation/depreciation
of
investments,
futures
and
options
and
swaptions
..........................
119,640
119,944
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
335,343
398,652
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(294,361)
(280,911)
From
tax
return
of
capital
...........................................................................................................
(404)
–
Total
Dividends
and
Distributions
(294,765)
(280,911)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
1,725,510
(16,517)
Total
Increase
(Decrease)
in
Net
Assets
1,766,088
101,224
Net
Assets
Beginning
of
period
.................................................................................................................
5,759,242
5,658,018
End
of
period
.......................................................................................................................
$
7,525,330
$
5,759,242
Class
A
Class
C
Class
J
Institutional
R-1
R-2
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
...................
$
347,464
$
66,453
$
8,581
$
2,770,700
$
300
$
603
$
426
$
166
$
1,576
$
759,895
Reinvested
..............
29,399
12,743
1,992
145,879
21
40
82
47
154
27,727
Redeemed
...............
(268,600)
(180,666)
(13,241)
(1,796,262)
(742)
(558)
(1,203)
(574)
(1,350)
(185,542)
Net
Increase
(Decrease)
.....
$
108,263
$
(101,470)
$
(2,668)
$
1,120,317
$
(421)
$
85
$
(695)
$
(361)
$
380
$
602,080
Shares:
Sold
...................
34,368
6,543
864
280,348
29
60
42
17
158
75,629
Reinvested
..............
2,905
1,260
203
14,521
2
4
8
5
16
2,761
Redeemed
...............
(26,508)
(17,952)
(1,378)
(182,431)
(72)
(59)
(126)
(58)
(142)
(19,155)
Net
Increase
(Decrease)
.....
10,765
(10,149)
(311)
112,438
(41)
5
(76)
(36)
32
59,235
Year
Ended
August
31,
2019
Dollars:
Sold
...................
$
312,376
$
54,286
$
5,965
$
1,551,771
$
146
$
227
$
1,045
$
1,005
$
1,250
$
220,416
Reinvested
..............
28,123
19,068
2,182
128,732
46
46
119
64
138
28,982
Redeemed
...............
(278,909)
(245,106)
(8,847)
(1,470,234)
(177)
(577)
(1,440)
(982)
(1,254)
(364,978)
Net
Increase
(Decrease)
.....
$
61,590
$
(171,752)
$
(700)
$
210,269
$
15
$
(304)
$
(276)
$
87
$
134
$
(115,580)
Shares:
Sold
...................
31,239
5,467
610
157,894
15
23
107
103
125
22,518
Reinvested
..............
2,839
1,935
227
13,084
5
5
12
6
14
2,952
Redeemed
...............
(28,125)
(24,628)
(919)
(150,781)
(18)
(59)
(146)
(101)
(129)
(37,539)
Net
Increase
(Decrease)
.....
5,953
(17,226)
(82)
20,197
2
(31)
(27)
8
10
(12,069)
Dividends
and
Distributions
to
Shareholders:
Year
Ended
August
31,
2020
From
net
investment
income
and
net
realized
gain
on
investments
$
(34,841)
$
(15,830)
$
(2,015)
$
(191,108)
$
(21)
$
(69)
$
(82)
$
(47)
$
(154)
$
(50,194)
From
tax
return
of
capital
....
(47)
(20)
(3)
(265)
–
–
–
–
–
(69)
Total
Dividends
and
Distributions
$
(34,888)
$
(15,850)
$
(2,018)
$
(191,373)
$
(21)
$
(69)
$
(82)
$
(47)
$
(154)
$
(50,263)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
$
(32,317)
$
(23,836)
$
(2,215)
$
(171,598)
$
(46)
$
(77)
$
(119)
$
(64)
$
(139)
$
(50,500)
Total
Dividends
and
Distributions
$
(32,317)
$
(23,836)
$
(2,215)
$
(171,598)
$
(46)
$
(77)
$
(119)
$
(64)
$
(139)
$
(50,500)
Statement
of
Cash
Flows
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
35
See
accompanying
notes.
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Amounts
in
thousands
Global
Multi-
Strategy
Fund
(a)
Cash
Flows
from
Operating
Activities:
Net increase
in
net
assets
from
operations
..............................................................................
$
18,776
Adjustments
to
reconcile
net
increase
in
net
assets
from
operations
to
net
cash
provided
by
operating
activities:
Purchase
of
investment
securities
...............................................................................
(5,528,897)
Proceeds
from
sale
of
investment
securities
........................................................................
6,322,364
Net
sales
or
(purchases)
of
short
term
securities
.....................................................................
209,717
Proceeds
from
(
p
ayments
on)
p
urchased
o
ptions,
net
..................................................................
1,489
Proceeds
from
(
p
ayments
on)
short
sales
transactions,
net
..............................................................
(265,130)
Net
accretion
of
bond
discounts
and
amortization
of
premiums
..........................................................
663
Proceeds
from
(payments
on)
OTC
swaps,
net
......................................................................
5,146
Proceeds
from
(
p
ayments
on)
option
and
swaption
contracts
written
,
net
....................................................
(1,462)
Change
in
unrealized
ap
preciation
on
investments
....................................................................
(48,799)
Change
in
unrealized
ap
preciation
on
OTC
swaps
....................................................................
(630)
Change
in
unrealized
depreciation
on
options
and
swaptions
............................................................
(875)
Change
in
unrealized
appreciation
on
shorts
........................................................................
14,366
Net
realized
gain
(loss)
from
investments
..........................................................................
7,466
Net
realized
gain
(loss)
from
OTC
swaps
..........................................................................
(1,872)
Net
realized
gain
(loss)
from
options
and
swaptions
..................................................................
(1,420)
Net
realized
gain
(loss)
from
shorts
..............................................................................
14,737
(Increase)
decrease in
dividends
and
interest
receivable
...............................................................
6,312
(Increase)
decrease in
fund
shares
sold
...........................................................................
93
(Increase)
decrease in
deposits
with
counterparty
....................................................................
83,513
(Increase)
decrease in
investment
securities
sold
....................................................................
235,699
(Increase)
decrease in
variation
margin
on
futures,
net
................................................................
70
(Increase)
decrease in
variation
margin
on
swaps,
net
.................................................................
(271)
Increase
(decrease)
in
accrued
fees,
expenses,
and
expense
reimbursement
from
Manager
.......................................
(930)
Increase
(decrease)
in
dividends
and
interest
on
securities
sold
short
......................................................
(1,793)
Increase
(decrease)
in
fund
shares
redeemed
........................................................................
(2,261)
Increase
(decrease)
in
deposits
from
counterparty
....................................................................
(988)
Increase (decrease)
in
investment
securities
purchased
................................................................
(281,275)
Increase (decrease)
in
foreign
currency
contracts,
net
.................................................................
6,292
Increase (decrease)
in
unrealized
loss
on
unfunded
loan
commitments
.....................................................
(1)
Net
cash
provided
by
operating
activities
790,099
Cash
Flows
from
Financing
Activities:
Net
payments
from
reverse
repurchase
agreements
...................................................................
(241,421)
Proceeds
from
shares
sold
.....................................................................................
381,607
Payment
on
shares
redeemed
...................................................................................
(937,916)
Net
cash
used
in
financing
activities
(797,730)
Net
increase
(decrease) in
cash
and
foreign
currency
..................................................................
(7,631)
Cash
and
Foreign
Currency:
Beginning
of
period
.........................................................................................
$
11,163
End
of
period
..............................................................................................
$
3,532
Supplemental
disclosure
of
cash
flow
information:
Reverse
repurchase
agreement
interest
paid
........................................................................
$
5,198
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
36
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,
Diversified
Real
Asset
Fund,
Edge
MidCap
Fund,
Global
Multi-Strategy
Fund,
International
Small
Company
Fund,
Opportunistic
Municipal
Fund,
Origin
Emerging
Markets
Fund,
Small-MidCap
Dividend
Income
Fund,
and
Spectrum
Preferred
and
Capital
Securities
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
Codification
(“ASC”)
Topic
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
December
31,
2018,
the
initial
purchase
of
$10,000
of
Class
A
shares
of
Edge
MidCap
Fund
was
made
by
Principal
Global
Investors,
LLC
(the
“Manager”).
Effective
January
11,
2019,
Class
C
shares
discontinued
and
converted
into
Class
A
shares
for
Opportunistic
Municipal
Fund.
Effective
July
1,
2019,
Preferred
Securities
Fund
changed
its
name
to
Spectrum
Preferred
and
Capital
Securities
Income
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.
generally
accepted
accounting
principles
(“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
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
Funds:
Security
Valuation.
The
Funds
may
invest
in
other
series
of the
Fund
and
other
publicly
traded
investment
funds.
The
shares
of
the
other
series
of
Principal
Funds,
Inc.
are
referred
to
as
the
“Affiliated
Underlying
Funds”
and
collectively,
with
other
publicly
traded
investment
funds,
are
referred
to
as
the
“Underlying
Funds”.
Investments
in
the
Underlying
Funds
are
valued
at
the
respective
fund's
closing
net
asset
value
per
share
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
prior
to
the
calculation
of
the
Funds’
net
asset
values
are
reflected
in
the
Funds’
net
asset
values
and
these
securities
are
valued
at
fair
value.
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
in
American
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
net
asset
values,
for
example,
weekends
and
other
customary
national
U.S.
holidays,
the
Funds’
net
asset
values
could
be
significantly
affected
on
days
when
shareholders
cannot
purchase
or
redeem
shares.
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
37
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
Fund
to
value
such
securities
at
prices
at
which
it
is
expected
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
expense
amounts
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
in
the
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
August
31,
2020:
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
used
in
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.
Callable
debt
securities
purchased
at
a
premium
are
amortized
to
the
earliest
call
date
and
to
the
callable
amount,
if
other
than
par.
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
each
class.
Expenses
specifically
attributable
to
a
particular
class
are
charged
directly
to
such
class
and
are
included
separately
in
the
statements
of
operations.
In
addition
to
the
expenses
the
Funds
bear
directly,
each
of
the
Funds
may
indirectly
bear
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
Diversified
Real
Asset
Fund
Euro
7
.4%
Global
Multi-Strategy
Fund
Euro
5
.3%
International
Small
Company
Fund
Japanese
Yen
24
.2%
Euro
23
.7
British
Pound
Sterling
15
.6
Canadian
Dollar
9
.9
Australian
Dollar
5
.8
Origin
Emerging
Markets
Fund
Hong
Kong
Dollar
24
.7%
New
Taiwan
Dollar
13
.8
Indian
Rupee
6
.2
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
38
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.
Dividends
and
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
for
amortization
of
premiums
and
discounts,
net
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
preferred
securities,
swap
agreements,
short
sales,
partnership
investments,
Real
Estate
Investment
Trusts
(“REITs”),
utilization
of
earnings
and
profits
distributed
to
shareholders
on
redemption
of
shares,
and
limitations
imposed
by
Sections
381-384
of
the
Internal
Revenue
Code.
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
tax
purposes,
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
investment
income
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
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
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
current
year.
During
the year
ended
August
31,
2020,
the
Funds
did
not
record
any
such
tax
benefit
or
expense
in
the
accompanying
financial
statements.
The
statute
of
limitations
remains
open
for
the
last
three
years,
once
a
return
is
filed.
No
examinations
are
in
progress
at
this
time.
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.
In
consideration
of
recent
decisions
rendered
by
European
courts,
certain
of
the
Funds
have
filed
additional
tax
reclaims
for
taxes
withheld
in
prior
years.
Due
to
the
uncertainty
and
timing
of
these
reclaims,
a
corresponding
receivable
will
only
be
recorded
when
both
the
amount
is
known
and
there
are
no
significant
uncertainties
regarding
collectability.
Gains
realized
upon
the
disposition
of
certain
foreign
securities
held
by
certain
Funds
may
be
subject
to
capital
gains
tax,
payable
prior
to
the
repatriation
of
sale
proceeds.
The
tax
is
computed
on
certain
net
realized
gains
and,
if
any,
is
shown
on
the
statement
of
operations.
Realized
losses
in
excess
of
gains
may
be
carried
forward
to
offset
future
gains.
In
addition,
the
Funds
accrue
an
estimated
deferred
tax
liability
for
future
gains
on
certain
foreign
securities.
Any
accrued
tax
liability
is
shown
on
the
statement
of
assets
and
liabilities.
At
August
31,
2020,
Origin
Emerging
Markets
Fund
had
a
deferred
tax
liability
of
$1,603,000
relating
to
foreign
securities.
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
respective
Cayman
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
applicable
to
regulated
investment
companies.
Diversified
Real
Asset
Fund’s
investment
portfolio
has
been
consolidated
and
includes
the
portfolio
holdings
of
Diversified
Real
Asset
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
financial
statements
for
Global
Multi-Strategy
Fund
include
the
accounts
of
Global
Multi-Strategy
Fund
and
its
Cayman
subsidiary.
All
intercompany
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
39
transactions
and
balances
have
been
eliminated
in
consolidation.
At
August
31,
2020,
the
net
assets
of
the
Cayman
Subsidiaries
were
as
follows
(amounts
in
thousands):
Recent
Accounting
Pronouncements.
In
March
2020,
the
Financial
Accounting
Standards
Board
("FASB") issued
Accounting
Standards
Update
("ASU")
No.
2020-04
Reference
Rate
Reform
(Topic
848);
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting,
which
provides
optional
guidance
for
a
limited
period
of
time
to
ease
the
potential
burden
in
accounting
for
(or
recognizing
the
effects
of)
reference
rate
reform.
The
guidance
is
applicable
to
contracts
referencing
London
Interbank
Offered
Rate
(“LIBOR”)
or
another
reference
rate
that
is
expected
to
be
discontinued
due
to
reference
rate
reform.
The
ASU
is
effective
as
of
March
12,
2020
and
generally
can
be
applied
through
December
31,
2022.
Management
is
evaluating
the
underlying
securities
referencing
LIBOR
or
another
reference
rate
that
is
expected
to
be
discontinued
as
a
reference
rate
over
the
period
of
time
the
ASU
is
effective.
In
August
2018,
the
FASB
issued
ASU
No.
2018-13,
Fair
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
August
31,
2020,
the
Funds
have
adopted
the
ASU.
In
March
2017,
the
FASB
issued
ASU
No.
2017-08
Premium
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
have
adopted
the
new
amendment
as
of
September
1,
2019.
The
adoption
of
the
ASU
resulted
in
a
cumulative
effective
adjustment
to
components
within
total
distributable
earnings
(accumulated
loss)
on
the
statements
of
assets
and
liabilities
as
of
the
beginning
of
the
fiscal
year.
This
cumulative
effective
adjustment
did
not
have
a
material
impact
on
the
financial
statements
and
did
not
impact
net
assets
of
the
Funds.
3.
Operating
Policies
Borrowings.
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
Funds
and
other
registered
investment
companies
managed
by
the
Manager
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
Federal
Funds
Rate
or
(ii)
the
LIBOR
rate
plus
1.00%).
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.
There
were
no
outstanding
loans
or
borrowings
on
the
Facility
as
of
August
31,
2020
.
During
the year
ended
August
31,
2020,
Funds
lending
to
the
Facility
were
as
follows
(amounts
in
thousands):
Net
Assets
Percent
of
Consolidated
Fund’s
Net
Assets
DRA
Cayman
Corporation
$308,469
9.71%
GMS
Cayman
Corporation
6,191
0.77
Average
Daily
Amount
Loaned
Weighted
Average
Annual
Interest
Rate
Blue
Chip
Fund
$
9
0.88
%
Diversified
Real
Asset
Fund
191
2.14
Edge
MidCap
Fund
182
2.08
Global
Multi-Strategy
Fund
205
1.55
International
Small
Company
Fund
80
2.42
Origin
Emerging
Markets
Fund
73
1.30
Small-
MidCap
Dividend
Income
Fund
80
1.70
Spectrum
Preferred
and
Capital
Securities
Income
Fund
783
2.13
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
40
During
the year
ended
August
31,
2020,
Funds
borrowing
from
the
Facility
were
as
follows
(amounts
in
thousands):
In
addition,
the
Funds,
with
the
exception
of
Diversified
Real
Asset
Fund,
participate
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
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
.20%
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
statements
of
operations.
There
were
no
outstanding
borrowings
against
the
line
of
credit
as
of
August
31,
2020.
During
the
year
ended
August
31,
2020
,
Funds
borrowing
against
the
line
of
credit
were
as
follows
(amounts
in
thousands):
Commodity
Linked
Notes.
Diversified
Real
Asset
Fund
invests
in
structured
notes
whose
market
values
are
primarily
derived
from
changes
in
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
entail
a
greater
degree
of
market
risk
than
other
types
of
debt
securities.
Structured
notes
may
also
be
more
volatile,
less
liquid,
and
more
difficult
to
accurately
price
than
less
complex
securities
or
more
traditional
debt
securities.
Fluctuations
in
the
fair
value
of
the
structured
notes
are
recorded
as
unrealized
gains
and
losses
in
the
accompanying
financial
statements.
Interest
income
is
accrued
daily.
These
notes
are
subject
to
prepayment,
credit,
and
interest
rate
risks.
At
maturity,
or
when
a
note
is
sold,
the
fund
records
a
realized
gain
or
loss.
Contingent
Convertible
Securities.
Contingent
convertible securities
(“
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
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
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
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
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.
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,
as
stated
in
the
counterparties'
master
netting
agreements
("Master
Netting
Agreements"),
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.
Average
Daily
Outstanding
Balance
Weighted
Average
Annual
Interest
Rate
Blue
Chip
Fund
$
1,321
1.46
%
Diversified
Real
Asset
Fund
566
2.13
International
Small
Company
Fund
48
0.86
Opportunistic
Municipal
Fund
47
1.73
Origin
Emerging
Markets
Fund
8
0.65
Small-
MidCap
Dividend
Income
Fund
7
1.00
Spectrum
Preferred
and
Capital
Securities
Income
Fund
5,204
1.25
Average
Daily
Outstanding
Balance
Weighted
Average
Annual
Interest
Rate
Global
Multi-Strategy
Fund
$
60
3.02
%
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
41
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
governed
under
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
and
Global
Multi-Strategy
Fund
have
financial
instruments
that
are
subject
to
Master
Netting
Agreements
or
similar
agreements.
As
of
August
31,
2020,
financial
assets
and
liabilities
subject
to
Master
Netting
Agreements
or
similar
agreements
were
as
follows
(amounts
in
thousands):
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Diversified
Real
Asset
Fund
ANZ
Stockbroking
Foreign
Currency
Contracts
$
3
$
(83)
$
(80)
$
3
$
(83)
$
(80)
$
—
$
(80)
Bank
of
America
NA
Foreign
Currency
Contracts
333
(23)
310
Total
Return
Swaps
**
992
—
992
$
1,325
$
(23)
$
1,302
$
—
$
1,302
Barclays
Bank
PLC
Purchased
Capped
Options
206
—
206
Purchased
Interest
Rate
Swaptions
1,786
—
1,786
Written
Capped
Options
—
(118)
(118)
Written
Interest
Rate
Swaptions
—
(2,004)
(2,004)
$
1,992
$
(2,122)
$
(130)
$
—
$
(130)
BNP
Paribas
Foreign
Currency
Contracts
22
(79)
(57)
$
22
$
(79)
$
(57)
$
—
$
(57)
Citigroup
Inc
Foreign
Currency
Contracts
10
(99)
(89)
Purchased
Options
27
—
27
$
37
$
(99)
$
(62)
$
—
$
(62)
Deutsche
Bank
AG
Purchased
Interest
Rate
Swaptions
287
—
287
Written
Interest
Rate
Swaptions
—
(723)
(723)
$
287
$
(723)
$
(436)
$
—
$
(436)
Goldman
Sachs
&
Co
Foreign
Currency
Contracts
2
—
2
$
2
$
—
$
2
$
—
$
2
HSBC
Securities
Inc
Foreign
Currency
Contracts
—
(6)
(6)
$
—
$
(6)
$
(6)
$
—
$
(6)
JPMorgan
Chase
Foreign
Currency
Contracts
15
(19)
(4)
Purchased
Interest
Rate
Swaptions
280
—
280
Written
Interest
Rate
Swaptions
—
(132)
(132)
$
295
$
(151)
$
144
$
(140)
^
$
4
M3
Capital
Partners
Total
Return
Swaps
**
1,492
(49)
1,443
$
1,492
$
(49)
$
1,443
$
—
$
1,443
Morgan
Stanley
&
Co
Foreign
Currency
Contracts
10
—
10
Purchased
Interest
Rate
Swaptions
142
—
142
Written
Interest
Rate
Swaptions
—
(516)
(516)
$
152
$
(516)
$
(364)
$
—
$
(364)
Royal
Bank
of
Scotland
Foreign
Currency
Contracts
—
(4)
(4)
$
—
$
(4)
$
(4)
$
—
$
(4)
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
42
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Societe
Generale
Total
Return
Swaps
**
446
—
446
$
446
$
—
$
446
$
—
$
446
Standard
Chartered
Bank,
Hong
Kong
Foreign
Currency
Contracts
—
(202)
(202)
$
—
$
(202)
$
(202)
$
—
$
(202)
UBS
AG
Foreign
Currency
Contracts
15
(14)
1
$
15
$
(14)
$
1
$
—
$
1
Westpac
Banking
Corporation
Foreign
Currency
Contracts
82
(61)
21
$
82
$
(61)
$
21
$
—
$
21
Total
OTC
$
6,150
$
(4,132)
$
2,018
$
(140)
$
1,878
Global
Multi-Strategy
Fund
Bank
of
America
NA
Credit
Default
Swaps
11
—
11
Foreign
Currency
Contracts
6,276
(
5,417
)
859
Purchased
Interest
Rate
Swaptions
128
—
128
Purchased
Options
2
—
2
Total
Return
Swaps
7
(2)
5
Written
Interest
Rate
Swaptions
—
(17)
(17)
$
6,424
$
(
5,436
)
$
988
$
—
$
988
Bank
of
New
York
Mellon
Credit
Default
Swaps
78
—
78
Foreign
Currency
Contracts
573
(1,514)
(941)
$
651
$
(1,514)
$
(863)
$
—
$
(863)
Barclays
Bank
PLC
Credit
Default
Swaps
295
—
295
Foreign
Currency
Contracts
77
(
18
)
59
Interest
Rate
Swaps
—
(164)
(164)
$
372
$
(
182
)
$
190
$
—
$
190
BMO
Capital
Markets
Foreign
Currency
Contracts
—
(40)
(40)
$
—
$
(40)
$
(40)
$
—
$
(40)
BNP
Paribas
Foreign
Currency
Contracts
—
(222)
(222)
Purchased
Options
5
—
5
Written
Options
—
(17)
(17)
$
5
$
(239)
$
(234)
$
—
$
(234)
Citigroup
Inc
Credit
Default
Swaps
74
—
74
Foreign
Currency
Contracts
1
—
1
Written
Options
—
(18)
(18)
$
75
$
(18)
$
57
$
—
$
57
Deutsche
Bank
AG
Foreign
Currency
Contracts
—
(11)
(11)
Purchased
Options
124
—
124
Written
Options
—
(5)
(5)
$
124
$
(16)
$
108
$
—
$
108
Goldman
Sachs
&
Co
Credit
Default
Swaps
117
—
117
Equity
Basket
Swaps
—
(955)
(955)
Purchased
Options
189
—
189
Total
Return
Swaps
—
(13)
(13)
Written
Options
—
(65)
(65)
$
306
$
(1,033)
$
(727)
$
727
^^
$
—
HSBC
Securities
Inc
Foreign
Currency
Contracts
75
(115)
(40)
Total
Return
Swaps
82
—
82
$
157
$
(115)
$
42
$
—
$
42
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
43
Financial
Instrument:
Repurchase
Agreements
and
Reverse
Repurchase
Agreements
Global
Multi-Strategy
Fund
*
The
fund
has
pledged
cash
and
securities
to
the
counterparty
as
collateral
which
may
be
in
excess
of
the
amount
owed
to
the
counterparty.
Cross
Trades.
The
Funds
may
engage
in
cross
trades.
A
cross
trade
is
a
purchase
or
sale
transaction
between
affiliated
portfolios
executed
directly
or
through
an
intermediary.
Mutual
funds
and
other
managed
portfolios
may
be
considered
affiliated
if
they
have
a
common
investment
advisor,
so
a
fund
may
be
considered
affiliated
with
any
portfolio
for
which
the
fund's
sub-advisor
acts
as
an
investment
advisor.
Such
transactions
are
permissible
provided
that
the
conditions
of
Rule
17a-7
under
the
Investment
Company
Act
of
1940
are
satisfied.
For
the
year ended
August
31,
2020,
none
of
the
Funds
had
material
cross
trades.
Deposits
with
Counterparty.
Cash
pledged
as
collateral
is
reflected
as
an
asset
on
the
statements
of
assets
and
liabilities
as
deposits
with
counterparty.
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
margin
as
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
over-the-counter
("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.
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
JPMorgan
Chase
Credit
Default
Swaps
101
—
101
Equity
Basket
Swaps
886
(356)
530
Foreign
Currency
Contracts
22
7
(895)
(66
8
)
Interest
Rate
Swaps
—
(252)
(252)
Purchased
Options
30
—
30
Written
Options
—
(22)
(22)
$
1,24
4
$
(1,525)
$
(2
81
)
$
2
81
^^
$
—
Merrill
Lynch
Credit
Default
Swaps
9
—
9
Foreign
Currency
Contracts
—
(21)
(21)
$
9
$
(21)
$
(12)
$
—
$
(12)
Morgan
Stanley
&
Co
Credit
Default
Swaps
—
(97)
(97)
Equity
Basket
Swaps
1,985
(1,173)
812
Foreign
Currency
Contracts
18
(105)
(87)
Interest
Rate
Swaps
43
—
43
Purchased
Options
16
—
16
$
2,062
$
(1,375)
$
687
$
—
$
687
Standard
Chartered
Bank,
Hong
Kong
Purchased
Options
30
—
30
Foreign
Currency
Contracts
—
(43)
(43)
Written
Options
—
(5)
(5)
$
30
$
(48)
$
(18)
$
—
$
(18)
State
Street
Financial
Global
Markets
Foreign
Currency
Contracts
5
8
(58)
—
$
5
8
$
(58)
$
—
$
—
$
—
Toronto
Dominion
Bank
Foreign
Currency
Contracts
35
(35)
—
$
35
$
(35)
$
—
$
—
$
—
UBS
AG
Equity
Basket
Swaps
621
(246)
375
$
621
$
(246)
$
375
$
—
$
375
Total
OTC
$
12,173
$
(
11,901
)
$
272
$
1,280
*
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
to
the
fund
as
collateral
in
a
segregated
account
which
is
not
included
in
the
assets
of
the
fund.
^^
The
fund
has
pledged
cash
to
the
counterparty
as
collateral
which
may
be
in
excess
of
the
amount
owed
to
the
counterparty.
Counterparty
Repurchase
Agreement
Proceeds
to
be
Received
Payable
for
Reverse
Repurchase
Agreements
Net
Receivable/(Payable)
Collateral
(Received)/Pledged
Net
Exposure
Merrill
Lynch
$
277,661
$
(412,677)
$
(135,016)
$
135,016*
$
—
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
44
As
of
August
31,
2020,
deposits
with
counterparty
were
as
follows
(amounts
in
thousands):
,
Deposits
from
Counterparty.
Cash
received
from
a
counterparty
as
collateral
is
reflected
as
a
liability
on
the
statements
of
assets
and
liabilities
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
August
31,
2020,
deposits
from
counterparty
were
as
follows
(amounts
in
thousands):
Floating
Rate
Notes
Issued
in
Conjunction
with
Securities
Held.
Opportunistic
Municipal
Fund
has
entered
into
transactions
in
which
the
fund
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.
The
fund
enters
into
shortfall
and
forbearance
agreements
with
the
trusts,
which
commit
the
fund
to
pay
the
trusts,
in
certain
circumstances,
the
difference
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
statement
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
year
end
,
the
“floating
rate
notes
issued”
payable
is
categorized
as
Level
2
within
the
disclosure
hierarchy.
The
balance
of
the
"floating
rate
notes
issued"
as
of
August
31,
2020
was
$6,023,000.
The
average
outstanding
balance
for
the
liability
during
the
year
ended
August
31,
2020
was
$5,420,000
at
a weighted
average
annual
interest
rate
of
1.73%.
The
notes
issued
by
the
trusts
have
interest
rates
that
reset
weekly,
and
the
floating
r
ate
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
value
of
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
fair
value
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,
but
it
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
or
other
respective
currency.
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,
change
in
the
value
of
equities,
interest
rates
and
foreign
currencies.
Initial
margin
deposits
are
made
by
cash
deposits
or
segregation
of
specific
securities
as
may
be
required
by
the
exchange
on
which
the
transaction
was
conducted.
Pursuant
to
the
contracts,
typically
a
fund
agrees
to
receive
from
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.
For
those
contracts
where
daily
variation
margin
payments
are
not
received
from
or
paid
to
the
broker,
the
cumulative
unrealized
gains
or
losses
are
included
in
variation
margin
receivable
or
payable
on
financial
derivative
instruments.
Futures
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
Repurchase
Agreements
FCM
(Futures
and
Cleared
Swaps)
ISDA
(OTC
Derivatives)
Shorts
Total
Deposits
with
Counterparty
Diversified
Real
Asset
Fund
$
—
$
3,917
$
5,080
$
—
$
8,997
Global
Multi-Strategy
Fund
1,921
16,406
25,014
96,135
139,476
Spectrum
Preferred
and
Capital
Securities
Income
Fund
—
2,837
—
—
2,837
ISDA
(OTC
Derivatives)
Diversified
Real
Asset
Fund
$
170
Global
Multi-Strategy
Fund
220
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
45
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
liabilities
arising
out
of
the
performance
of
their
duties.
In
addition,
in
the
normal
course
of
business,
the
Fund
may
enter
into
a
variety
of
contracts
that
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.
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
on
the
statements
of
operations,
even
though
the
Funds
would
not
receive
the
principal
until
maturity.
Options
Contracts.
During
the
year, Diversified
Real
Asset
Fund,
Global
Multi-Strategy
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
wrote
call
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
recorded
as
a
liability
and
subsequently
marked
to
market
to
reflect
the
current
value
of
the
option
written.
These
liabilities
are
reflected
as
options
contracts
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
premium
which
is
included
on
the
fund’s
statements
of
assets
and
liabilities
as
an
investment
and
subsequently
marked
to
market
to
reflect
the
current
value
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 year
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
rebate
a
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
Fund's
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
agreements
is
maintained
in
a
segregated
account
at
the
counterparty’s
custodian.
After
entering
into
the
repurchase
agreement,
the
fund
may
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
46
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
these
securities
may
involve
time-consuming
negotiations
and
expense,
and
prompt
sale
at
an
acceptable
price
may
be
difficult.
Reverse
Repurchase
Agreements.
Global
Multi-Strategy
Fund
has
entered
into
reverse
repurchase
agreements.
Under
a
reverse
repurchase
agreement,
a
fund
sells
securities
and
agrees
to
repurchase
them
at
a
specified
date
and
price.
Reverse
repurchase
agreements
are
considered
to
be
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
the
carrying
value,
including
accrued
interest,
approximates
fair
value
for
financial
statement
purposes.
The
average
amount
of
borrowings
outstanding
during
the
year
ended
August
31,
2020
was
$443,198,000
at
a
weighted
average
interest
rate
of
1.173%.
The
following
table
shows
a
breakdown
of
the
obligations
owed
by
fund,
security
type
sold
and
remaining
maturity
for
the
reverse
repurchase
agreements.
Securities
Lending.
To
earn
additional
income,
certain
of
the
Funds
may
lend
portfolio
securities
to
approved
brokerage
firms.
The
Funds
receive
collateral,
in
the
form
of
cash,
against
the
loaned
securities.
During
the
period
of
the
loan,
the
borrower
must
maintain
collateral
in
an
amount
not
less
than
102%
of
the
market
value
of
the
domestic
and
foreign
fixed
income
loaned
securities
and
105%
of
the
market
value
of
the
foreign
equity
loaned
securities.
The
market
value
of
the
loaned
securities
is
determined
at
the
close
of
business
of
the
Funds
and
any
additional
required
collateral
is
delivered
to
the
Funds
on
the
next
business
day.
The
cash
collateral
received
is
usually
invested
in
a
SEC-
registered
money
market
mutual
fund
and
the
Funds
could
realize
a
loss
on
such
investments.
Further,
the
Funds
could
experience
a
delay
in
recovering
its
securities
and
possible
loss
of
income
or
value
if
the
borrower
fails
to
return
them.
Security
lending
income,
net
of
related
fees,
is
shown
on
the
statements
of
operations.
As
of
August
31,
2020
,
the
Funds
had
securities
on
loan
as
follows
(amounts
in
thousands):
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
claim
on
the
assets
and/or
stock
of
the
Borrower
that
is
senior
to
that
held
by
subordinated
debtholders
and
stockholders
of
the
Borrower.
Senior
floating
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
they
are
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.
Fund
Security
Type
Remaining
Contractual
Tenor
Payable
for
Reverse
Repurchase
Agreement
Global
Multi-Strategy
Fund
Corporate
Bonds
Overnight
and
Continuous
$
3,157
U.S.
Treasury
and
Agency
Securities
Overnight
and
Continuous
408,095
Corporate
Bonds
Greater
than
90
Days
1,425
Gross
amount
of
recognized
liabilities
for
reverse
repurchase
agreements
$
412,677
Market
Value
Collateral
Value
Diversified
Real
Asset
Fund
$
10,443
$
11,380
International
Small
Company
Fund
21,956
23,940
Origin
Emerging
Markets
Fund
4,431
4,893
Spectrum
Preferred
and
Capital
Securities
Income
Fund
15,591
16,720
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
47
Senior
floating
rate
interests
pay
interest
at
rates
which
are
periodically
reset
by
reference
to
a
base
lending
rate
plus
a
spread.
These
base
lending
rates
are
generally
the
prime
rate
offered
by
a
designated
U.S.
bank
or
the
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
shown
in
the
schedules
of
investments.
In
connection
with
the
senior
floating
rate
interests,
the
Funds
may
also
enter
into
unfunded
loan
commitments
(“commitments”).
All
or
a
portion
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
loss
is
shown
as
a
separate
line
item
called
unrealized
gain
or
loss
on
commitments
on
the
statements
of
assets
and
liabilities
and
included
in
the
net
change
in
unrealized
appreciation/(depreciation)
of
investments
on
the
statements
of
operations,
as
applicable.
As
of
year
end,
the
commitments
are
categorized
as
Level
2
within
the
disclosure
hierarchy.
As
of
August
31,
2020,
the
commitments
were
as
follows
(amounts
in
thousands):
Short
Sales.
Global
Multi-Strategy
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
dealer
which
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
as
a
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
of
the
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
and
Global
Multi-Strategy
Fund
invested
in
swap
agreements
during
the
period.
Swap
agreements
are
negotiated
agreements
between
a
fund
and
a
counterparty
to
exchange
a
series
of
cash
flows
at
specified
intervals
based
upon,
or
calculated
by
reference
to,
changes
in
specified
prices
or
rates
for
a
specified
amount
of
an
underlying
asset.
A
fund
may
enter
into
credit
default,
currency,
interest
rate,
or
total
return
swap
agreements
to
manage
its
exposure
to
credit,
currency,
interest
rate,
or
market
risk.
In
connection
with
these
agreements,
securities
may
be
identified
as
collateral
in
accordance
with
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.
Centrally
cleared
swaps
are
valued
using
the
last
traded
price
from
the
preliminary
trading
exchange.
OTC
swaps
are
modeled
taking
into
account
the
counterparties’
creditworthiness
and
using
a
series
of
techniques,
including
simulation
models.
Changes
in
value
are
recorded
as
unrealized
gain
or
loss
which
is
included
as
a
component
of
total
distributable
earnings
(accumulated
loss)
on
the
statements
of
assets
and
liabilities.
Equity
basket
swaps
are
valued
using
the
closing
price
of
each
of
the
underlying
securities
multiplied
by
the
holdings
of
each
equity
security.
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
and
represent
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.
Unfunded
Loan
Commitment
Unrealized
Gain/(Loss)
Diversified
Real
Asset
Fund
Global
Multi-Strategy
Fund
$
19,181
663
$
1,686
(5)
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
48
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
rate
fluctuation,
that
the
counterparty
to
the
agreements
may
default
on
its
obligation
to
perform
or
disagree
as
to
the
meaning
of
contractual
terms
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
of
such
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
financial
statements
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
of
an
issuer
upon
the
occurrence
of
a
credit
event.
The
“seller”
of
the
protection
receives
periodic
payments
and
agrees
to
assume
the
credit
risk
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
comprising
the
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
to
receive
a
specified
return
in
the
event
of
a
write-down,
principal
shortfall,
interest
shortfall
or
default
of
all
or
part
of
the
referenced
entities
comprising
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.
Credit
indices
are
traded
using
credit
default
swaps
with
standardized
terms
including
a
fixed
spread
and
standard
maturity
dates.
An
index
credit
default
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
in
exchange
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
other
obligations
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
of
default
or
other
credit
event
occurring
as
defined
under
the
terms
of
the
agreement.
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
49
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
August
31,
2020
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
to
receive
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
reference
rate.
Certain
collateral
amounts
relate
to
exchange
cleared
swaps
which
are
not
subject
to
master
netting
agreements
with
counterparties.
To
Be
Announced
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
purchased
on
a
TBA
or
when-issued
basis
are
not
settled
until
they
are
delivered
to
the
Funds,
normally
15
to
30
days
later.
These
transactions
are
subject
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
portfolio
securities
result
in
gains
and
could
increase
transaction
costs.
In
addition,
when
a
fund
of
funds
reallocates
or
redeems
significant
assets
away
from
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
Contracts
Funds,
Inc.,
and each
of
the
Affiliated
Underlying
Funds.
The
Manager is
committed
to
minimizing
the
potential
impact
of
underlying
fund
risk
on
Affiliated
Underlying
Funds
to
the
extent
consistent
with
pursuing
the
investment
objectives
of
the
fund
of
funds
which
it
manages.
Each
may
face
conflicts
of
interest
in
fulfilling
its
responsibilities
to
all
such
funds.
Shareholder
reports
for
the
Affiliated
Underlying
Funds
can
be
found
at
www.principalfunds.com.
As
of
August
31,
2020,
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:
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
as
treasury
bills,
notes
and
bonds,
and
securities
guaranteed
by
the
Government
National
Mortgage
Association
(“GNMA”)
are
supported
by
the
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
Mortgage
Association
(“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
the FNMA
and
the
Federal
Home
Loan
Mortgage
Corporation
(“FHLMC”).
The
FNMA
is
a
government
sponsored
corporation,
the
common
stock
of
which
is
owned
Fund
Total
Percentage
of
Outstanding
Shares
Owned
Blue
Chip
Fund
32.44%
Diversified
Real
Asset
Fund
12.35
Edge
MidCap
Fund
85.03
International
Small
Company
Fund
86.74
Origin
Emerging
Markets
Fund
49.79
Spectrum
Preferred
and
Capital
Securities
Income
Fund
9.81
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
50
entirely
by
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
backed
by
the
full
faith
and
credit
of
the
U.S.
Government.
The
FHLMC
issues
participation
certificates,
which
are
pass-through
securities,
each
representing
an
undivided
interest
in
a
pool
of
residential
mortgages.
The
FHLMC
guarantees
the
timely
payment
of
interest
and
ultimate
collection
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
August
31,
2020
Liability
Derivatives
August
31,
2020
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
loss)
$
18,906
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
2,056
*
Foreign
exchange
contracts
Receivables
$
519
Payables
$
590
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
10,149
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
10,038
*
Total
$
29,574
$
12,684
Global
Multi-Strategy
Fund
Commodity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
355
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
911
*
Credit
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
1,698
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
97
Equity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
5,681
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
7,160
*
Foreign
exchange
contracts
Receivables
$
7,888
*
Payables
$
8,730
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
4,212
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
8,305
*
Total
$
19,834
$
25,203
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
383
Payables,
Total
distributable
earnings
(accumulated
loss)
$
409
*
*
Includes
cumulative
unrealized
appreciation/depreciation
of
exchange
traded
swaps
and
futures
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.
Derivatives
not
accounted
for
as
hedging
instruments
Location
of
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Realized
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Change
in
Unrealized
Appreciation/
(Depreciation)
of
Derivatives
Recognized
in
Statement
of
Operations
Diversified
Real
Asset
Fund
Commodity
contracts
Net
realized
gain
(loss)
from
Futures
contracts
and
Swap
agreements/Net
change
in
unrealized
appreciation/(depreciation)
of
Futures
contracts
and
Swap
agreements
$
(25,271)
$
12,434
Foreign
exchange
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Foreign
currency
contracts,
and
Options
and
swaptions
/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Foreign
currency
contracts,
and
Options
and
swaptions
.
$
(1,955)
$
281
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
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
$
(3,811)
$
6,450
Total
$
(31,037)
$
19,165
Global
Multi-Strategy
Fund
Commodity
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
and
Swap
agreements/Net
change
in
unrealized
appreciation/
(depreciation)
of
Investments
and
Futures
contracts
$
2,017
$
(2,981)
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
51
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
futures
contracts
are
used
to
obtain
interest
rate
exposure
in
order
to
manage
duration
of
Diversified
Real
Asset
Fund
and
Global
Multi-Strategy
Fund.
The
Spectrum
Preferred
and
Capital
Securities
Income
Fund
uses
long
and
short
U.S.
Treasury
futures
and
options
on
those
listed
U.S.
Treasury
future
contracts
to
mitigate
interest
rate
volatility
and
for
income
generation.
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
year
ended
August
31,
2020
(amounts
in
thousands):
Derivatives
not
accounted
for
as
hedging
instruments
Location
of
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Realized
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Change
in
Unrealized
Appreciation/
(Depreciation)
of
Derivatives
Recognized
in
Statement
of
Operations
Credit
contracts
Net
realized
gain
(loss)
from
Swap
agreements/
Net
change
in
unrealized
appreciation/
(depreciation)
of
Swap
agreements
$
(375)
$
361
Equity
contracts
Net
realized
gain
(loss)
from
Investment
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
$
(4,618)
$
(6,031)
Foreign
exchange
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Foreign
currency
contracts,
Future
contracts,
and
Options
and
swaptions
/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Foreign
currency
contracts,
Futures
contracts,
and
Options
and
swaptions
.
$
946
$
(6,119)
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
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
$
(27)
$
1,040
Total
$
(2,057)
$
(13,730)
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
and
Options
and
swaptions
/Net
change
in
unrealized
appreciation/
(depreciation)
of
Investments,
Futures
contracts,
and
Options
and
swaptions
$
(5,420)
$
(153)
Contract
Type
Derivative
Type
Average
Notional
Diversified
Real
Asset
Fund
Commodity
Contracts
Futures
-
Long
$316,497
Futures
-
Short
212,614
Total
Return
Swaps
-
Receive
Positive
Return
209,919
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
-
Contracts
to
Accept
275,514
Foreign
Currency
Contracts
-
Contracts
to
Deliver
309,103
Purchased
Options
10,295
Written
Options
5,865
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps
-
Pay
Floating
Rate
269,293
Exchange
Cleared
Interest
Rate
Swaps
-
Receive
Floating
Rate
337,280
Futures
-
Long
131,345
Futures
-
Short
80,583
Purchased
Capped
Options
45,236
Purchased
Interest
Rate
Swaptions
128,801
Purchased
Options
751
Written
Capped
Options
47,154
Written
Interest
Rate
Swaptions
579,163
Written
Options
405
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
52
4.
Fair
Valuation
Fair
value
is
defined
as
the
price
that
the
Funds
would
receive
upon
selling
a
security
or
transferring
a
liability in
a
timely
transaction
to
an
independent
buyer
in
the
principal
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
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.
Investments
which
are
generally
included
in
this
category
include 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,
OTC
derivatives,
senior
floating
rate
interests,
municipal
bonds,
reverse
repurchase
agreements,
and
U.S.
Government
and
Government
Agency
Obligations.
Contract
Type
Derivative
Type
Average
Notional
Global
Multi-Strategy
Fund
Commodity
Contracts
Futures
-
Long
$22,520
Futures
-
Short
26,301
Purchased
Options
3
Credit
Contracts
Credit
Default
Swaps
–
Buy
Protection
11,565
Credit
Default
Swaps
–
Sell
Protection
5,459
Exchange
Cleared
Credit
Default
Swaps
–
Buy
Protection
10,854
Exchange
Cleared
Credit
Default
Swaps
–
Sell
Protection
8,461
Equity
Contracts
Futures
-
Long
44,126
Futures
-
Short
57,899
Purchased
Options
43
Total
Return
Equity
Basket
Swaps
69,742
Total
Return
Swaps
-
Pay
Positive
Return
218
Written
Options
33
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
-
Contracts
to
Accept
302,040
Foreign
Currency
Contracts
-
Contracts
to
Deliver
392,614
Futures
-
Long
1,244
Futures
-
Short
2,611
Purchased
Options
74,676
Written
Options
29,273
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps
-
Pay
Floating
Rate
61,235,530
Exchange
Cleared
Interest
Rate
Swaps
-
Receive
Floating
Rate
15,795,799
Futures
-
Long
415,761
Futures
-
Short
252,523
Interest
Rate
Swaps
-
Pay
Floating
Rate
12,088
Interest
Rate
Swaps
-
Receive
Floating
Rate
25,416
Purchased
Interest
Rate
Swaptions
85,404
Purchased
Options
3,147
Total
Return
Swaps
-
Pay
Positive
Return
5,287
Total
Return
Swaps
-
Receive
Positive
Return
5,950
Written
Interest
Rate
Swaptions
25,908
Written
Options
2,963
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
Rate
Contracts
Futures
-
Long
53,513
Futures
-
Short
59,852
Purchased
Options
783
Written
Options
1,000
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
53
●
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
floating
rate
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
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
Funds'
own
assumptions
are
set
to
reflect
those
that
market
participants
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
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
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
be
affected
by
significant
changes
in
the
economic
conditions,
changes
in
government
policies,
and
other
factors
(e.g.,
natural
disasters,
pandemics,
accidents,
conflicts,
etc.).
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 August
31,
2020
in
valuing
the
Funds'
securities
carried
at
fair
value
(amounts
in
thousands):
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Blue
Chip
Fund
Common
Stocks*
$
7,824,838
$
—
$
—
$
7,824,838
Investment
Companies
11,250
—
—
11,250
Total
investments
in
securities
$
7,836,088
$
—
$
—
$
7,836,088
Diversified
Real
Asset
Fund
Bonds*
—
415,289
—
415,289
Commodity
Indexed
Structured
Notes*
—
21,607
—
21,607
Common
Stocks
Basic
Materials
169,980
135,459
—
305,439
Communications
3,343
1,205
—
4,548
Consumer,
Cyclical
8,191
8,162
33
16,386
Consumer,
Non-cyclical
47,927
48,918
42
96,887
Energy
207,039
64,550
—
271,589
Financial
223,092
126,182
—
349,274
Industrial
77,628
92,079
—
169,707
Technology
621
—
—
621
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
54
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Diversified
Real
Asset
Fund
Utilities
$
181,989
$
202,723
$
—
$
384,712
Investment
Companies
76,204
—
—
76,204
Preferred
Stocks
Industrial
111
131
—
242
Utilities
5,880
—
—
5,880
Senior
Floating
Rate
Interests*
—
479,702
—
479,702
U.S.
Government
&
Government
Agency
Obligations*
—
565,054
—
565,054
Purchased
Options
57
27
—
84
Purchased
Interest
Rate
Swaptions
—
2,495
—
2,495
Purchased
Capped
Options
—
206
—
206
Total
investments
in
securities
$
1,002,062
$
2,163,789
$
75
$
3,165,926
Assets
Commodity
Contracts
Futures**
15,976
—
—
15,976
Total
Return
Swaps
—
2,930
—
2,930
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
492
—
492
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
7,309
—
7,309
Futures**
82
—
—
82
Liabilities
Commodity
Contracts
Futures**
(2,007)
—
—
(2,007)
Total
Return
Swaps
—
(49)
—
(49)
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
(590)
—
(590)
Interest
Rate
Contracts
Capped
Options
—
(118)
—
(118)
Exchange
Cleared
Interest
Rate
Swaps**
—
(6,263)
—
(6,263)
Futures**
(166)
—
—
(166)
Interest
Rate
Swaptions
—
(3,375)
—
(3,375)
Written
Options
(116)
—
—
(116)
Edge
MidCap
Fund
Common
Stocks
Basic
Materials
22,756
—
—
22,756
Communications
18,596
15,780
—
34,376
Consumer,
Cyclical
81,056
—
—
81,056
Consumer,
Non-cyclical
148,738
—
—
148,738
Energy
19,371
—
—
19,371
Financial
149,812
—
—
149,812
Industrial
183,067
—
—
183,067
Technology
137,345
—
—
137,345
Utilities
50,280
—
—
50,280
Investment
Companies
26,003
—
—
26,003
Total
investments
in
securities
$
837,024
$
15,780
$
—
$
852,804
Global
Multi-Strategy
Fund
Bonds*
—
308,849
1,381
310,230
Common
Stocks
Basic
Materials
10,353
8,056
—
18,409
Communications
29,142
7,566
—
36,708
Consumer,
Cyclical
35,503
10,688
38
46,229
Consumer,
Non-cyclical
59,946
13,568
—
73,514
Diversified
196
—
—
196
Energy
7,933
689
39
8,661
Financial
32,634
9,
268
424
42,3
26
Industrial
35,181
13,647
—
48,828
Technology
44,058
5,732
337
50,127
Utilities
5,174
4,499
—
9,673
Convertible
Bonds*
—
3,059
—
3,059
Convertible
Preferred
Stocks
Communications
—
—
137
137
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
55
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Global
Multi-Strategy
Fund
Consumer,
Cyclical
$
—
$
—
$
86
$
86
Consumer,
Non-cyclical
658
—
—
658
Energy
22
—
—
22
Financial
657
—
—
657
Utilities
73
—
—
73
Investment
Companies
98,143
—
—
98,143
Preferred
Stocks
Basic
Materials
—
118
—
118
Communications
—
—
3
3
Consumer,
Cyclical
—
179
—
179
Energy
—
—
2,606
2,606
Financial
—
—
367
367
Technology
—
—
129
129
Repurchase
Agreements*
—
277,661
—
277,661
Senior
Floating
Rate
Interests*
—
6,301
590
6
,
891
U.S.
Government
&
Government
Agency
Obligations*
—
450,200
—
450,200
Purchased
Options
1,067
396
—
1,463
Purchased
Interest
Rate
Swaptions
—
128
—
128
Total
investments
in
securities
$
360,740
$
1,12
0
,6
04
$
6
,
137
$
1,487,
481
Short
Sales
Bonds
—
(5,883)
—
(5,883)
Common
Stocks
Basic
Materials
(3,584)
(3,764)
—
(7,348)
Communications
(8,056)
(2,234)
—
(10,290)
Consumer,
Cyclical
(14,345)
(5,324)
—
(19,669)
Consumer,
Non-cyclical
(17,070)
(4,677)
—
(21,747)
Diversified
—
(80)
—
(80)
Energy
(6,887)
(837)
—
(7,724)
Financial
(14,162)
(4,802)
—
(18,964)
Industrial
(13,582)
(7,591)
—
(21,173)
Technology
(13,093)
(2,439)
—
(15,532)
Utilities
(7,596)
(1,392)
—
(8,988)
Preferred
Stocks
Consumer,
Non-cyclical
—
(228)
—
(228)
Industrial
—
(96)
—
(96)
U.S.
Government
&
Government
Agency
Obligations
—
(289,453)
—
(289,453)
Total
Short
Sales
$
(98,375)
$
(328,800)
$
—
$
(427,175)
Reverse
Repurchase
Agreements
—
(412,677)
—
(412,677)
Assets
Credit
Contracts
Credit
Default
Swaps
—
685
—
685
Exchange
Cleared
Credit
Default
Swaps**
—
1,013
—
1,013
Commodity
Contracts
Futures**
324
—
—
324
Total
Return
Swaps
—
—
—
—
Equity
Contracts
Futures**
1,264
—
—
1,264
Total
Return
Equity
Basket
Swaps
—
3,492
—
3,492
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
7
,
444
—
7
,
444
Futures**
48
—
—
48
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
3,664
—
3,664
Futures**
177
—
—
177
Interest
Rate
Swaps
—
43
—
43
Total
Return
Swaps
—
89
—
89
Liabilities
Credit
Contracts
Credit
Default
Swaps
—
(97)
—
(97)
Commodity
Contracts
Futures**
(911)
—
��
(911)
Equity
Contracts
Futures**
(3,999)
—
—
(3,999)
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
56
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Global
Multi-Strategy
Fund
Written
Options
$
(418)
$
—
$
—
$
(418)
Total
Return
Equity
Basket
Swaps
—
(2,730)
—
(2,730)
Total
Return
Swaps
—
(13)
—
(13)
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
(
8
,
598
)
—
(
8
,
598
)
Written
Options
—
(132)
—
(132)
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
(7,424)
—
(7,424)
Futures**
(417)
—
—
(417)
Interest
Rate
Swaps
—
(416)
—
(416)
Interest
Rate
Swaptions
—
(17)
—
(17)
Total
Return
Swaps
—
(2)
—
(2)
Written
Options
(29)
—
—
(29)
International
Small
Company
Fund
Common
Stocks
Basic
Materials
28,621
58,071
—
86,692
Communications
—
54,302
—
54,302
Consumer,
Cyclical
5,269
149,719
—
154,988
Consumer,
Non-cyclical
13,055
146,182
—
159,237
Energy
11,105
22,617
—
33,722
Financial
12,282
208,080
—
220,362
Industrial
13,942
175,787
—
189,729
Technology
18,401
81,145
—
99,546
Utilities
13,679
17,586
—
31,265
Investment
Companies
34,884
—
—
34,884
Total
investments
in
securities
$
151,238
$
913,489
$
—
$
1,064,727
Opportunistic
Municipal
Fund
Investment
Companies
49
—
—
49
Municipal
Bonds*
—
137,819
—
137,819
Total
investments
in
securities
$
49
$
137,819
$
—
$
137,868
Origin
Emerging
Markets
Fund
Common
Stocks
Basic
Materials
13,620
53,512
—
67,132
Communications
183,053
208,745
—
391,798
Consumer,
Cyclical
11,680
71,662
—
83,342
Consumer,
Non-cyclical
43,318
125,980
—
169,298
Energy
—
48,778
—
48,778
Financial
48,308
211,170
—
259,478
Industrial
—
273,145
—
273,145
Technology
178,729
234,173
—
412,902
Utilities
—
45,091
—
45,091
Investment
Companies
82,378
—
—
82,378
Preferred
Stocks
27,997
—
—
27,997
Total
investments
in
securities
$
589,083
$
1,272,256
$
—
$
1,861,339
Small-
MidCap
Dividend
Income
Fund
Common
Stocks*
1,574,561
—
—
1,574,561
Investment
Companies
15,508
—
—
15,508
Total
investments
in
securities
$
1,590,069
$
—
$
—
$
1,590,069
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Bonds*
—
6,052,583
—
6,052,583
Convertible
Preferred
Stocks
Financial
91,167
—
—
91,167
Industrial
—
24,890
—
24,890
Investment
Companies
296,207
—
—
296,207
Preferred
Stocks
Communications
104,426
—
—
104,426
Consumer,
Non-cyclical
—
22,833
—
22,833
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
57
*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.
During
the
period,
there
were
no
significant
purchases,
sales,
or
transfers
into
or
out
of
Level
3.
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
of
the Funds'
average
daily
net
assets.
A
portion
of
the
management
fee
is
paid
by
the
Manager
to
the
sub-advisor
of
each
of
the
Funds,
some
of
which
are
affiliates
of
the
Manager.
The
annual
rates
used
in
this
calculation
for
each
of
the
Funds
are
as
follows:
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 pay
Principal
Shareholder
Services,
Inc.
(the
“Transfer
Agent”)
(wholly
owned
by
the
Manager)
for
transfer
agent
services.
Class
J
shares
pay
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
expenses
borne
by
the
Manager
are
subject
to
reimbursement
by
the
Funds
through
the
fiscal
year
end,
provided
no
reimbursement
will
be
made
if
it
would
result
in
the
Funds
exceeding
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Energy
$
50
$
—
$
—
$
50
Financial
490,421
6,509
—
496,930
Government
7,664
59,780
—
67,444
Utilities
177,300
2,190
—
179,490
U.S.
Government
&
Government
Agency
Obligations*
—
169,579
—
169,579
Purchased
Options
383
—
—
383
Total
investments
in
securities
$
1,167,618
$
6,338,364
$
—
$
7,505,982
Liabilities
Interest
Rate
Contracts
Futures**
(159)
—
—
(159)
Written
Options
(250)
—
—
(250)
Net
Assets
of
Fund
First
$500
million
Next
$500
million
Next
$500
million
Over
$1.5
billion
Edge
MidCap
Fund
(Effective
December
31,
2019)
.70%
.68%
.66%
.65%
Edge
MidCap
Fund
(Prior
to
December
31,
2019)
.75
.73
.71
.70
International
Small
Company
Fund
1.05
1.03
1.01
1.00
Opportunistic
Municipal
Fund
.50
.48
.46
.45
Origin
Emerging
Markets
Fund
(Effective
December
31,
2019)
1.05
1.03
1.01
1.00
Origin
Emerging
Markets
Fund
(Prior
to
December
31,
2019)
1.20
1.18
1.16
1.15
Net
Assets
of
Fund
First
$500
million
Next
$500
million
Next
$500
million
Next
$500
million
Next
$1
billion
Over
$3
billion
Blue
Chip
Fund
(Effective
December
31,
2019)
.65%
.63%
.61%
.60%
.59%
.58%
Blue
Chip
Fund
(Prior
to
December
31,
2019)
.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
Small-
MidCap
Dividend
Income
Fund
(Effective
December
31,
2019)
.79
.77
.75
.74
.73
.72
Small-
MidCap
Dividend
Income
Fund
(Prior
to
December
31,
2019)
.80
.78
.76
.75
.74
.73
Spectrum
Preferred
and
Capital
Securities
Income
Fund
.75
.73
.71
.70
.69
.68
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
58
the
total
operating
expense
limits.
Any
amounts
outstanding
at
the
end
of
the
year
are
shown
as
an
expense
reimbursement
from
Manager or
expense
reimbursement
to
Manager
on
the
statements
of
assets
and
liabilities.
The
operating
expense
limits are
as
follows:
#
Prior
to
December
31,
2019,
the
contractual
limit
was
1.13%,
1.88%,
and
.86%
for
Class
A,
Class
C,
and
Institutional,
respectively.
^
Prior
to
April
1,
2020,
the
contractual
limit
was
1.22%,
1.97%,
and
.85%
for
Class
A,
Class
C,
and
Institutional,
respectively.
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,
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:
In
addition,
the
Manager
has
contractually
agreed
to
limit
certain
of
the
Funds'
management
and
investment
advisory
fees.
The
expense
limit
will
reduce
the
Funds'
management
and
investment
advisory
fees.
The
limits
are
expressed
as
a
percentage
of
average
daily
net
assets on
an
annualized
basis
during
the
reporting
period.
The
limits
are
as
follows:
#Prior
to
December
31,
2019,
the
contractual
limit
was
.10%.
^Prior
to
April
1,
2020,
the
contractual
limit
was
.03%.
Amounts
owed
to
the
Funds
under
the
terms
of
the
expense
limitation
agreements
are
reflected
in
the
statements
of
assets
and
liabilities
as
expense
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
Funds
Distributor,
Inc.
(“the
Distributor”)
(an
affiliate
of
the
Manager),
the
principal
distributor
of
the
Funds.
A
portion
of
the
distribution
fees
may
Period
from
September
1,
2019
through
August
31,
2020
Class
A
Class
C
Institutional
Expiration
Blue
Chip
Fund
N/A
N/A
.66%
December
30,
2020
Diversified
Real
Asset
Fund
1.20%^
1.95%^
.83^
December
30
,
2021
Edge
MidCap
Fund
1.10
N/A
.77
December
30,
2020
Global
Multi-Strategy
Fund
N/A
2.75
1.63
December
30,
2020
International
Small
Company
Fund
1.60
N/A
1.20
December
30,
2020
Opportunistic
Municipal
Fund
.84
N/A
.56
December
30,
2020
Origin
Emerging
Markets
Fund
1.60
N/A
1.20
December
30,
2020
Small-MidCap
Dividend
Income
Fund
1.12#
1.87#
.85#
December
30,
2020
Spectrum
Preferred
and
Capital
Securities
Income
Fund
N/A
N/A
.81
December
30,
2020
Period
from
September
1,
2019
through
August
31,
2020
R-6
Expiration
Blue
Chip
Fund
.01%
December
30,
2020
Diversified
Real
Asset
Fund
.02
December
30,
2020
Edge
MidCap
Fund
.02
December
30,
2020
Global
Multi-Strategy
Fund
.02
December
30,
2020
International
Small
Company
Fund
.04
December
30,
2020
Origin
Emerging
Markets
Fund
.04
December
30,
2020
Small-
MidCap
Dividend
Income
Fund
.02
December
30,
2020
Spectrum
Preferred
and
Capital
Securities
Income
Fund
.02
December
30,
2020
Period
from
September
1,
2019
through
August
31,
2020
Expiration
Blue
Chip
Fund
.050%#
December
30,
2020
Diversified
Real
Asset
Fund
.050^
December
30,
2021
Edge
MidCap
Fund
.050#
December
30,
2020
Global
Multi-Strategy
Fund
.040
December
30,
2020
Opportunistic
Municipal
Fund
.060
December
30,
2020
Origin
Emerging
Markets
Fund
.150
December
30,
2019
5.
Management
Agreement
and
Transactions
with
Affiliates
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
59
be
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
as
expense
reimbursement
from
Distributor
and
are
settled
monthly.
Chief
Compliance
Officer
Expenses.
The
Funds
pay
certain
expenses
associated
with
the
Chief
Compliance
Officer
(“CCO”).
This
expense
is
allocated
among
the
registered
investment
companies
managed
by
the
Manager
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
Class
J
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
shares
based
on
declining
rates
which
begin
at
3.75%
for
Diversified
Real
Asset
Fund,
Global
Multi-Strategy
Fund,
Opportunistic
Municipal
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
and
5.50%
for
Blue
Chip
Fund,
Edge
MidCap
Fund,
International
Small
Company
Fund,
Origin
Emerging
Markets
Fund,
and
Small-MidCap
Dividend
Income
Fund.
The
aggregate
amounts
of
these
charges
retained
by
the
Distributor
for
the
year
ended
August
31,
2020,
were
as
follows
(amounts
in
thousands):
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
August
31,
2020,
Principal
Life
Insurance
Company
(an
affiliate
of
the
Manager),
the
Manager,
the
Distributor,
Principal
Securities,
Inc.
(an
affiliate
of
the
Manager),
collective
investment
trusts
sponsored
by
Principal
Global
Investors
Trust
Company
(an
affiliate
of
the
Manager),
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):
Affiliated
Brokerage
Commissions.
With
respect
to
Spectrum
Preferred
and
Capital
Securities
Income
Fund,
$156,000
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
year
ended
August
31,
2020
.
Class
A
Class
C
Class
J
Blue
Chip
Fund
$
940
$
41
$
9
Diversified
Real
Asset
Fund
6
1
N/A
Edge
MidCap
Fund
35
N/A
N/A
Global
Multi-Strategy
Fund
2
—
N/A
International
Small
Company
Fund
5
N/A
N/A
Opportunistic
Municipal
Fund
13
N/A
N/A
Origin
Emerging
Markets
Fund
6
N/A
N/A
Small-
MidCap
Dividend
Income
Fund
43
3
N/A
Spectrum
Preferred
and
Capital
Securities
Income
Fund
244
39
1
Institutional
R-4
R-5
R-6
Blue
Chip
Fund
517
–
–
32,086
Diversified
Real
Asset
Fund
100
1
1
15,420
Edge
MidCap
Fund
92
N/A
N/A
—
Global
Multi-Strategy
Fund
46
N/A
N/A
1,278
International
Small
Company
Fund
175
N/A
N/A
596
Opportunistic
Municipal
Fund
70
N/A
N/A
N/A
Origin
Emerging
Markets
Fund
58
N/A
N/A
74,072
Small-
MidCap
Dividend
Income
Fund
74
N/A
N/A
505
Spectrum
Preferred
and
Capital
Securities
Income
Fund
–
–
–
4,701
5.
Management
Agreement
and
Transactions
with
Affiliates
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
60
6.
Investment
Transactions
For
the
year
ended
August
31,
2020,
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):
For
the year
ended
August
31,
2020,
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):
Blue
Chip
Fund
had
in-kind
redemptions
during
the
year
ended
August
31,
2020.
The
in-kind
redemptions
resulted
in
distributions
of
securities
with
a
value
of
$161,339,000
and
realized
gains
of
$81,315,000.
The
realized
gain
is
included
in
net
realized
gain
(loss)
from
investment
transactions
on
the
statement
of
operations.
7.
Federal
Tax
Information
Distributions
to
Shareholders.
The
federal
income
tax
character
of
distributions
paid
for
the years
ended August
31,
2020 and
August
31,
2019 were
as
follows
(amounts
in
thousands):
^
The
Funds
designate
these
distributions
as
exempt
interest
per
Internal
Revenue
Code
(“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
paid
deduction.
For
U.S.
federal
income
tax
purposes,
short-term
capital
gain
distributions
are
considered
ordinary
income
distributions.
Purchases
Sales
Covers
on
Securities
Sold
Short
Securities
Sold
Short
Blue
Chip
Fund
$
3,014,704
$
1,649,276
$
—
$
—
Diversified
Real
Asset
Fund
2,224,849
2,538,095
—
—
Edge
MidCap
Fund
292,649
192,317
—
—
Global
Multi-Strategy
Fund
1,780,628
2,293,758
733,323
603,525
International
Small
Company
Fund
512,479
393,716
—
—
Opportunistic
Municipal
Fund
107,487
104,190
—
—
Origin
Emerging
Markets
Fund
1,431,038
933,180
—
—
Small-
MidCap
Dividend
Income
Fund
547,066
794,246
—
—
Spectrum
Preferred
and
Capital
Securities
Income
Fund
2,516,648
1,053,945
—
—
Purchases
Sales
Covers
on
Securities
Sold
Short
Securities
Sold
Short
Diversified
Real
Asset
Fund
$
636,649
$
631,592
$
—
$
—
Global
Multi-Strategy
Fund
3,725,583
4,004,606
2,518,875
2,383,672
Spectrum
Preferred
and
Capital
Securities
Income
Fund
223,431
53,809
—
—
Ordinary
Income
Tax-Exempt
Income^
Long-Term
Capital
Gain*
Return
of
Capital
2020
2019
2020
2019
2020
2019
2020
2019
Blue
Chip
Fund
$
35,653
$
344
$
—
$
—
$
183,262
$
218,577
$
—
$
—
Diversified
Real
Asset
Fund
96,919
126,294
—
—
—
—
—
—
Edge
MidCap
Fund
7,567
9,632
—
—
22,087
25,893
—
—
Global
Multi-Strategy
Fund
—
94,178
—
—
—
39,517
—
6,481
International
Small
Company
Fund
27,587
24,796
—
—
—
44,174
—
—
Opportunistic
Municipal
Fund
7
4
4,766
4,556
—
—
—
—
Origin
Emerging
Markets
Fund
21,257
8,633
—
—
—
—
—
—
Small-
MidCap
Dividend
Income
Fund
39,231
72,210
—
—
15,278
267,714
—
—
Spectrum
Preferred
and
Capital
Securities
Income
Fund
294,361
280,911
—
—
—
—
404
—
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
61
Distributable
Earnings.
As
of August
31,
2020,
the
components
of
total
distributable
earnings
(accumulated
loss)
on
a
federal
tax
basis
were
as
follows
(amounts
in
thousands):
*Represents
book-to-tax
accounting
differences
related
to
straddle
loss
deferrals,
constructive
sale
gain
recognition,
defaulted
securities,
inverse
floating
rate
securities,
contingent
convertible
bonds,
foreign
capital
gain
taxes,
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.
As
of
August
31,
2020,
the
Funds
had
approximate
net
capital
loss
carryforwards
as
follows
(amounts
in
thousands):
All
of
these
capital
losses
were
generated
in
taxable
years
beginning
after
the
enactment
date
of
the
Regulated
Investment
Company
Modernization
Act
of
2010
on
December
22,
2010,
and
will
be
carried
forward
with
no
expiration
and
with
the
character
of
the
loss
retained.
For
the
year
ended
August
31,
2020,
the
Funds
utilized
capital
loss
carryforwards
as
follows
(amounts
in
thousands):
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
taxable
year
subsequent
to
October
31
and
December
31,
respectively. As
of
Augus
t
31,
2020,
the
Funds
had
late-year
capital
and
ordinary
losses
as
follows
(amounts
in
thousands):
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.
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
Funds’
distributions
may
be
shown
in
the
accompanying
statements
of
changes
in
net
assets
as
from
net
investment
income
and net
realized
gain
on
investments
or
from
tax
return
of
capital
depending
on
the
type
of
book
and
tax
differences
that
exist.
For
the
year
ended August
31,
2020,
the
Funds
recorded
reclassifications
as
follows
(amounts
in
thousands):
Undistributed
Ordinary
Income
Undistributed
Tax-Exempt
Income
Undistributed
Long-Term
Capital
Gains
Accumulated
Losses
Net
Unrealized
Appreciation
(Depreciation)
Other
Temporary
Differences
*
Total
Accumulated
Earnings
(Deficit)
Blue
Chip
Fund
$
16,859
$
—
$
180,691
$
—
$
2,960,438
$
—
$
3,157,988
Diversified
Real
Asset
Fund
3,859
—
—
(211,409
)
(20,486
)
(822
)
(228,858
)
Edge
MidCap
Fund
10,154
—
34,843
—
97,217
—
142,214
Global
Multi-Strategy
Fund
9,764
—
—
(18,879
)
5,104
(5,156
)
(9,167
)
International
Small
Company
Fund
3,190
—
—
(48,656
)
93,800
—
48,334
Opportunistic
Municipal
Fund
—
124
—
(2,121
)
4,329
(76
)
2,256
Origin
Emerging
Markets
Fund
12,750
—
—
(63,076
)
246,455
(44
)
196,085
Small-
MidCap
Dividend
Income
Fund
2,786
—
—
(257,934
)
52,956
—
(202,192
)
Spectrum
Preferred
and
Capital
Securities
Income
Fund
—
—
—
(79,870
)
353,523
56,882
330,535
Short-Term
Long-Term
Total
Diversified
Real
Asset
Fund
$
173,672
$
37,737
$
211,409
Global
Multi-Strategy
Fund
—
18,879
18,879
International
Small
Company
Fund
38,774
9,882
48,656
Opportunistic
Municipal
Fund
1,812
309
2,121
Origin
Emerging
Markets
Fund
63,076
—
63,076
Spectrum
Preferred
and
Capital
Securities
Income
Fund
9,542
70,328
79,870
Utilized
Origin
Emerging
Markets
Fund
$
44,424
Post
October
Capital
Loss
Small-
MidCap
Dividend
Income
Fund
$
257,934
Total
Distributable
Earnings
(Accumulated
Loss)
Capital
Shares
and
Additional
Paid-in-Capital
Blue
Chip
Fund
$
(32,705
)
$
32,705
Diversified
Real
Asset
Fund
19,989
(19,989
)
Edge
MidCap
Fund
(3,194
)
3,194
Global
Multi-Strategy
Fund
(1,580
)
1,580
Small-
MidCap
Dividend
Income
Fund
(12,395
)
12,395
Spectrum
Preferred
and
Capital
Securities
Income
Fund
404
(404
)
7.
Federal
Tax
Information
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
62
Federal
Income
Tax
Basis.
As
of August
31,
2020,
the
net
federal
income
tax
unrealized
appreciation
(depreciation)
and
federal
tax
cost
of
investments
held
by
the
Funds
were
as
follows
(amounts
in
thousands):
8.
Other
Matters
As
of
the
date
these
financial
statements
were
available
to
be
issued,
the
outbreak
of
the
novel
coronavirus
(“COVID-19”)
in
many
countries
continues
to
adversely
impact
global
commercial
activity
and
has
contributed
to
significant
volatility
in
financial
markets.
The
global
impact
of
the
outbreak
has
been
rapidly
evolving
and
many
countries
have
reacted
by
instituting
quarantines
and
restriction
on
travel.
Such
measures,
as
well
as
the
general
uncertainty
surrounding
the
dangers
and
impact
of
COVID-19,
are
creating
significant
disruption
in
supply
chains
and
economic
activity.
As
COVID-19
continues
to
spread,
the
potential
impacts,
including
a
global,
regional
or
other
economic
recession,
are
increasingly
difficult
to
assess.
These
events,
or
fear
of
such
an
event,
present
material
uncertainty
and
risk
with
respect
to
the
Funds'
performance
and
financial
results.
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.
On
September
15,
2020,
the
Fund’s
Board
of
Directors
approved
the
conversion
of
Class
R-2
shares
into
Class
R-3
shares.
Following
the
close
of
business
on
March
1,
2021,
Class
R-2
shares
will
automatically
convert
into
Class
R-3
shares
of
the
same
fund
on
the
basis
of
the
share
classes’
relative
net
asset
values
on
such
date
without
the
imposition
of
a
sales
charge
or
any
other
charge.
The
Fund
expects
these
share
class
conversions
will
not
constitute
taxable
sales
or
exchanges
to
shareholders.
There
were
no
other
items
requiring
adjustment
of
the
financial
statements
or
additional
disclosure.
Unrealized
Appreciation
Unrealized
(Depreciation)
Net
Unrealized
Appreciation/
(Depreciation)
Cost
for
Federal
Income
Tax
Purposes
Blue
Chip
Fund
$
2,993,477
$
(33,039)
$
2,960,438
$
4,875,650
Diversified
Real
Asset
Fund
260,658
(332,488)
(71,830)
3,263,308
Edge
MidCap
Fund
164,618
(67,402)
97,216
755,588
Global
Multi-Strategy
Fund
110,847
(104,298)
6,549
1,048,799
International
Small
Company
Fund
160,022
(66,317)
93,705
971,022
Opportunistic
Municipal
Fund
*
6,648
(2,332)
4,316
127,51
6
Origin
Emerging
Markets
Fund
315,578
(69,035)
246,543
1,614,796
Small-
MidCap
Dividend
Income
Fund
253,480
(200,524)
52,956
1,537,113
Spectrum
Preferred
and
Capital
Securities
Income
Fund
414,923
(61,400)
353,523
7,152,050
*
The
Fund
holds
floating
rate
securities
which
are
accounted
for
differently
for
U.S.
GAAP
vs.
federal
income
tax
purposes.
This
may
cause
a
difference
in
cost
basis
and
fair
market
value
of
investments
for
tax
and
U.S.
GAAP
purposes.
7.
Federal
Tax
Information
(continued)
Schedule
of
Investments
Blue
Chip
Fund
August
31,
2020
See
accompanying
notes.
63
INVESTMENT
COMPANIES
-
0.14%
Shares
Held
Value
(000's)
Money
Market
Funds
-
0.14%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c)
11,249,970
$
11,250
TOTAL
INVESTMENT
COMPANIES
$
11,250
COMMON
STOCKS
-
99.84%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
4.39%
TransDigm
Group
Inc
689,078
$
344,311
Biotechnology
-
0.82%
Illumina
Inc
(b)
179,952
64,282
Chemicals
-
2.78%
Ecolab
Inc
118,325
23,319
Linde
PLC
657,614
164,233
Sherwin-Williams
Co/The
45,067
30,242
$
217,794
Commercial
Services
-
8.85%
CoStar
Group
Inc
(b)
95,679
81,193
Moody's
Corp
309,806
91,281
PayPal
Holdings
Inc
(b)
1,964,626
401,059
S&P
Global
Inc
326,825
119,755
$
693,288
Diversified
Financial
Services
-
11.02%
Charles
Schwab
Corp/The
2,663,373
94,630
Credit
Acceptance
Corp
(b)
93,970
36,348
Mastercard
Inc
1,070,280
383,363
Visa
Inc
1,648,379
349,440
$
863,781
Electronics
-
1.32%
Roper
Technologies
Inc
241,377
103,114
Healthcare
-
Products
-
3.01%
Danaher
Corp
856,045
176,748
IDEXX
Laboratories
Inc
(b)
151,601
59,285
$
236,033
Insurance
-
5.84%
Aon
PLC
416,836
83,363
Berkshire
Hathaway
Inc
-
Class
B
(b)
1,173,578
255,887
Markel
Corp
(b)
52,749
57,329
Progressive
Corp/The
640,876
60,909
$
457,488
Internet
-
22.45%
Alphabet
Inc
-
A
Shares
(b)
49,989
81,458
Alphabet
Inc
-
C
Shares
(b)
309,860
506,367
Amazon.com
Inc
(b)
228,086
787,116
Facebook
Inc
(b)
994,628
291,625
Netflix
Inc
(b)
175,640
93,012
$
1,759,578
Lodging
-
1.70%
Hilton
Worldwide
Holdings
Inc
1,472,119
133,021
Media
-
3.99%
Charter
Communications
Inc
(b)
508,349
312,945
Private
Equity
-
5.18%
Brookfield
Asset
Management
Inc
10,895,560
367,616
KKR
&
Co
Inc
1,064,829
38,142
$
405,758
REITs
-
3.57%
American
Tower
Corp
1,121,921
279,527
Retail
-
3.78%
CarMax
Inc
(b)
592,015
63,304
Costco
Wholesale
Corp
175,718
61,090
O'Reilly
Automotive
Inc
(b)
111,568
51,950
Starbucks
Corp
1,424,496
120,327
$
296,671
Semiconductors
-
1.70%
NVIDIA
Corp
249,065
133,245
Software
-
19.44%
Adobe
Inc
(b)
735,993
377,852
Autodesk
Inc
(b)
440,749
108,292
Intuit
Inc
1,027,167
354,773
Microsoft
Corp
1,646,420
371,317
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
(continued)
salesforce.com
Inc
(b)
1,143,473
$
311,768
$
1,524,002
TOTAL
COMMON
STOCKS
$
7,824,838
Total
Investments
$
7,836,088
Other
Assets
and
Liabilities
- 0.02%
1,466
TOTAL
NET
ASSETS
-
100.00%
$
7,837,554
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
Portfolio
Summary (unaudited)
Sector
Percent
Communications
26.44%
Financial
25.61%
Technology
21.14%
Consumer,
Non-cyclical
12.68%
Industrial
5.71%
Consumer,
Cyclical
5.48%
Basic
Materials
2.78%
Money
Market
Funds
0.14%
Other
Assets
and
Liabilities
0.02%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Blue
Chip
Fund
August
31,
2020
See
accompanying
notes.
64
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
14,510
$
1,266,195
$
1,269,455
$
11,250
$
14,510
$
1,266,195
$
1,269,455
$
11,250
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
116
$
—
$
—
$
—
$
116
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
65
INVESTMENT
COMPANIES
-
2.40%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.21%
Invesco
S&P
Global
Water
Index
ETF
(a)
26,902
$
1,100
SPDR
S&P
Global
Natural
Resources
ETF
144,450
5,696
$
6,796
Money
Market
Funds
-
2.19%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(b),(c),(d),(e)
69,408,153
69,408
TOTAL
INVESTMENT
COMPANIES
$
76,204
COMMON
STOCKS
-
50.32%
Shares
Held
Value
(000's)
Advertising
-
0.02%
Clear
Channel
Outdoor
Holdings
Inc
(c)
596,711
$
698
Agriculture
-
0.92%
Archer-Daniels-Midland
Co
384,136
17,194
Bunge
Ltd
266,199
12,144
$
29,338
Automobile
Parts
&
Equipment
-
0.03%
Georg
Fischer
AG
1,063
1,058
Biotechnology
-
0.08%
Advanz
Pharma
Corp
Ltd
(c),(f)
15,259
51
Corteva
Inc
88,252
2,520
$
2,571
Building
Materials
-
0.73%
American
Woodmark
Corp
(c)
9,101
796
Builders
FirstSource
Inc
(c)
37,752
1,156
Fortune
Brands
Home
&
Security
Inc
12,216
1,027
Geberit
AG
5,596
3,221
Louisiana-Pacific
Corp
276,983
9,124
Norbord
Inc
182,827
6,252
Pinnacle
Renewable
Energy
Inc
84,404
423
UFP
Industries
Inc
21,982
1,305
$
23,304
Chemicals
-
1.88%
Air
Liquide
SA
48,933
8,114
CF
Industries
Holdings
Inc
254,744
8,312
FMC
Corp
95,986
10,257
ICL
Group
Ltd
696,100
2,586
Ingevity
Corp
(c)
12,731
715
K+S
AG
(a)
379,013
2,643
Lenzing
AG
(c)
2,999
155
Mosaic
Co/The
573,979
10,464
Nutrien
Ltd
70,900
2,626
OCI
NV
(c)
213,292
2,891
Olin
Corp
41,342
465
Sociedad
Quimica
y
Minera
de
Chile
SA
ADR
98,887
3,101
Yara
International
ASA
175,285
7,344
$
59,673
Commercial
Services
-
1.50%
ALEATICA
SAB
de
CV
7,085,204
6,119
Atlantia
SpA
(c)
654,331
10,389
Atlas
Arteria
Ltd
1,603,052
7,691
Cengage
Learning
Holdings
II
Inc
(c)
2,772
10
Sembcorp
Industries
Ltd
217,100
298
Transurban
Group
2,350,164
23,246
$
47,753
Consumer
Products
-
0.13%
Avery
Dennison
Corp
21,780
2,513
Kimberly-Clark
Corp
10,828
1,708
$
4,221
Cosmetics
&
Personal
Care
-
0.10%
Essity
AB
(c)
42,675
1,469
Kao
Corp
5,300
404
Unicharm
Corp
30,600
1,333
$
3,206
Electric
-
8.38%
ACEA
SpA
10,665
219
Algonquin
Power
&
Utilities
Corp
125,000
1,733
American
Electric
Power
Co
Inc
172,599
13,606
AusNet
Services
10,060,489
13,494
Brookfield
Renewable
Corp
268,174
13,655
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Electric
(continued)
China
Longyuan
Power
Group
Corp
Ltd
2,532,000
$
1,596
Clearway
Energy
Inc
-
Class
C
558,425
14,246
CLP
Holdings
Ltd
578,500
5,680
CMS
Energy
Corp
72,560
4,389
Dominion
Energy
Inc
52,182
4,093
DTE
Energy
Co
26,131
3,101
Duke
Energy
Corp
116,109
9,328
Edison
International
136,778
7,178
EDP
-
Energias
de
Portugal
SA
2,374,517
12,071
Emera
Inc
265,411
10,835
Hera
SpA
188,249
719
Hydro
One
Ltd
(g)
215,060
4,452
Iberdrola
SA
693,815
8,754
Infraestructura
Energetica
Nova
SAB
de
CV
1,952,426
5,676
NextEra
Energy
Inc
70,932
19,802
Orsted
A/S
(g)
29,286
4,146
PPL
Corp
107,959
2,983
Public
Service
Enterprise
Group
Inc
144,951
7,572
Red
Electrica
Corp
SA
906,632
17,351
Sempra
Energy
144,982
17,927
Southern
Co/The
209,724
10,944
Spark
Infrastructure
Group
9,356,339
15,363
SSE
PLC
683,913
11,527
Terna
Rete
Elettrica
Nazionale
SpA
2,089,730
15,118
Transmissora
Alianca
de
Energia
Eletrica
SA
1,681,600
8,677
$
266,235
Electronics
-
0.21%
Badger
Meter
Inc
7,540
465
Halma
PLC
97,839
2,901
Itron
Inc
(c)
41,131
2,450
Watts
Water
Technologies
Inc
7,149
685
$
6,501
Energy
-
Alternate
Sources
-
0.98%
First
Solar
Inc
(c)
61,498
4,710
NEL
ASA
(c)
621,007
1,511
NextEra
Energy
Partners
LP
(a)
301,662
18,196
Vestas
Wind
Systems
A/S
43,624
6,596
$
31,013
Engineering
&
Construction
-
2.23%
Aegion
Corp
(c)
7,337
119
Aena
SME
SA
(c),(g)
96,799
14,451
Aeroports
de
Paris
25,233
2,634
Auckland
International
Airport
Ltd
1,715,327
7,634
Enav
SpA
(g)
2,174,295
9,148
Flughafen
Zurich
AG
(c)
52,088
7,849
Fomento
de
Construcciones
y
Contratas
SA
12,112
119
Grupo
Aeroportuario
del
Pacifico
SAB
de
CV
465,600
3,621
Sacyr
SA
624,507
1,420
Sydney
Airport
3,962,335
16,648
Vinci
SA
78,361
7,342
$
70,985
Environmental
Control
-
0.55%
Casella
Waste
Systems
Inc
(c)
129,930
7,295
China
Water
Affairs
Group
Ltd
202,000
166
Clean
Harbors
Inc
(c)
46,652
2,850
Covanta
Holding
Corp
260,588
2,460
Energy
Recovery
Inc
(c)
8,564
73
Evoqua
Water
Technologies
Corp
(c)
18,661
382
Kurita
Water
Industries
Ltd
27,700
867
METAWATER
Co
Ltd
2,800
118
Pentair
PLC
43,523
1,965
Tetra
Tech
Inc
13,020
1,202
$
17,378
Food
-
0.16%
Ingredion
Inc
28,616
2,302
Wilmar
International
Ltd
856,000
2,739
$
5,041
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
66
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Forest
Products
&
Paper
-
1.99%
Acadian
Timber
Corp
115,817
$
1,475
BillerudKorsnas
AB
57,387
967
Canfor
Corp
(c)
315,522
4,115
Clearwater
Paper
Corp
(c)
15,826
533
Domtar
Corp
26,295
750
Empresas
CMPC
SA
471,739
980
Holmen
AB
52,982
1,890
Interfor
Corp
(c)
321,508
4,215
International
Paper
Co
116,064
4,209
Mercer
International
Inc
67,785
568
Mondi
PLC
212,046
4,173
Nine
Dragons
Paper
Holdings
Ltd
3,596,000
3,984
Oji
Holdings
Corp
775,100
3,502
Sappi
Ltd
(c)
301,883
397
Smurfit
Kappa
Group
PLC
124,243
4,399
Stora
Enso
Oyj
424,920
6,266
Sumitomo
Forestry
Co
Ltd
103,800
1,657
Suzano
SA
(c)
232,500
2,143
Svenska
Cellulosa
AB
SCA
(c)
405,949
5,242
UPM-
Kymmene
Oyj
146,052
4,433
West
Fraser
Timber
Co
Ltd
101,574
5,447
Western
Forest
Products
Inc
1,928,967
1,745
$
63,090
Gas
-
1.92%
Atmos
Energy
Corp
30,066
3,001
Enagas
SA
361,352
8,849
Italgas
SpA
1,060,804
6,832
National
Grid
PLC
1,372,138
15,368
NiSource
Inc
191,219
4,237
Snam
SpA
3,580,937
18,339
Southwest
Gas
Holdings
Inc
68,758
4,323
$
60,949
Hand
&
Machine
Tools
-
0.02%
Franklin
Electric
Co
Inc
9,965
592
Healthcare
-
Products
-
0.15%
Danaher
Corp
16,351
3,376
Hengan
International
Group
Co
Ltd
170,095
1,339
$
4,715
Healthcare
-
Services
-
0.00%
Millennium
Health
LLC
(c),(f),(h),(
i
)
20,580
23
Millennium
Health
LLC
(c),(f),(h),(
i
)
19,318
19
$
42
Home
Builders
-
0.24%
DR
Horton
Inc
23,277
1,661
Lennar
Corp
-
A
Shares
20,646
1,545
PulteGroup
Inc
38,051
1,697
Toll
Brothers
Inc
38,925
1,643
TRI
Pointe
Group
Inc
(c)
63,323
1,069
$
7,615
Internet
-
0.00%
Catalina
Marketing
Corp
(c),(h),(
i
)
3,965
—
Iron
&
Steel
-
1.21%
ArcelorMittal
SA
(c)
742,805
9,357
Evraz
PLC
690,130
2,953
Fortescue
Metals
Group
Ltd
261,212
3,339
JFE
Holdings
Inc
327,600
2,478
Nippon
Steel
Corp
261,500
2,574
Novolipetsk
Steel
PJSC
125,397
2,613
Nucor
Corp
57,033
2,593
POSCO
16,491
2,553
Steel
Dynamics
Inc
155,337
4,585
thyssenkrupp
AG
(c)
357,278
2,573
Vale
SA
ADR
246,941
2,716
$
38,334
Lodging
-
0.11%
City
Developments
Ltd
598,300
3,526
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Diversified
-
0.38%
ANDRITZ
AG
40,185
$
1,344
Gorman-Rupp
Co/The
4,535
145
Husqvarna
AB
116,151
1,265
IDEX
Corp
15,716
2,832
Kadant
Inc
6,666
776
Lindsay
Corp
2,805
280
Mueller
Water
Products
Inc
-
Class
A
40,811
441
Organo
Corp
1,600
85
Valmet
Oyj
46,224
1,265
Xylem
Inc
/NY
46,628
3,739
$
12,172
Media
-
0.08%
Cumulus
Media
Inc
(c)
61,334
305
iHeartMedia
Inc
(a),(c)
253,758
2,340
$
2,645
Metal
Fabrication
&
Hardware
-
0.07%
Advanced
Drainage
Systems
Inc
13,431
745
Reliance
Worldwide
Corp
Ltd
204,581
576
Rexnord
Corp
31,578
914
$
2,235
Mining
-
4.54%
Agnico
Eagle
Mines
Ltd
37,800
3,117
Alamos
Gold
Inc
306,125
3,202
Anglo
American
PLC
784,215
19,272
Antofagasta
PLC
222,443
3,189
Barrick
Gold
Corp
555,910
16,468
BHP
Group
Ltd
104,817
2,894
Coeur
Mining
Inc
(c)
363,353
3,074
First
Quantum
Minerals
Ltd
315,307
3,121
Franco-Nevada
Corp
17,200
2,587
Freeport-McMoRan
Inc
1,164,963
18,185
Glencore
PLC
(c)
1,300,451
3,198
Kinross
Gold
Corp
(c)
1,118,623
9,931
Kirkland
Lake
Gold
Ltd
62,800
3,346
Korea
Zinc
Co
Ltd
7,896
2,645
Lundin
Mining
Corp
949,371
5,947
MMC
Norilsk
Nickel
PJSC
ADR
76,929
2,007
Newcrest
Mining
Ltd
118,732
2,796
Newmont
Corp
221,080
14,874
Norsk
Hydro
ASA
(c)
949,166
3,027
Rio
Tinto
Ltd
38,877
2,798
South32
Ltd
1,900,727
2,938
Southern
Copper
Corp
148,724
7,154
Sumitomo
Metal
Mining
Co
Ltd
86,500
2,639
Teck
Resources
Ltd
254,700
2,937
Wheaton
Precious
Metals
Corp
56,100
2,996
$
144,342
Miscellaneous
Manufacturers
-
0.09%
Aalberts
NV
24,910
938
Alfa
Laval
AB
(c)
77,585
1,896
$
2,834
Oil
&
Gas
-
4.55%
BP
PLC
637,223
2,223
Cabot
Oil
&
Gas
Corp
120,212
2,280
Canadian
Natural
Resources
Ltd
132,300
2,609
Chevron
Corp
26,285
2,206
CNOOC
Ltd
2,163,000
2,451
Comstock
Resources
Inc
(c)
388,945
2,240
Concho
Resources
Inc
155,932
8,105
ConocoPhillips
396,533
15,025
Ecopetrol
SA
ADR
231,258
2,634
Empresas
COPEC
SA
151,337
1,110
Eni
SpA
266,569
2,477
EOG
Resources
Inc
47,268
2,143
EQT
Corp
223,724
3,551
Equinor
ASA
966,839
15,645
Exxon
Mobil
Corp
52,999
2,117
Fieldwood
Energy
Inc
(c)
2,556
—
Fieldwood
Energy
LLC
(c),(f),(
i
)
12,648
—
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
67
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Oil
&
Gas
(continued)
Gazprom
PJSC
ADR
433,946
$
2,114
Hess
Corp
182,625
8,408
Imperial
Oil
Ltd
(a)
154,800
2,553
LUKOIL
PJSC
ADR
32,459
2,216
Marathon
Petroleum
Corp
314,336
11,147
Neste
Oyj
59,658
3,194
Novatek
PJSC
16,658
2,487
Occidental
Petroleum
Corp
185,962
2,369
Petroleo
Brasileiro
SA
ADR
315,560
2,578
Petroleo
Brasileiro
SA
ADR
980,430
7,853
Phillips
66
30,798
1,801
Pioneer
Natural
Resources
Co
124,512
12,940
Repsol
SA
258,791
2,044
Rosneft
Oil
Co
PJSC
463,036
2,370
Royal
Dutch
Shell
PLC
-
A
Shares
154,720
2,277
Suncor
Energy
Inc
140,500
2,255
Tatneft
PJSC
ADR
53,529
2,402
TOTAL
SE
64,432
2,556
Transocean
Ltd
(a),(c)
54,446
66
Valero
Energy
Corp
36,169
1,902
Vantage
Drilling
International
(c)
4,456
27
Woodside
Petroleum
Ltd
160,113
2,308
$
144,683
Oil
&
Gas
Services
-
0.19%
Halliburton
Co
204,958
3,316
Schlumberger
NV
130,382
2,479
Select
Energy
Services
Inc
(c)
14,988
71
$
5,866
Packaging
&
Containers
-
0.85%
Amcor
PLC
236,058
2,611
Ball
Corp
79,824
6,415
DS
Smith
PLC
693,901
2,387
Graphic
Packaging
Holding
Co
70,500
986
Greif
Inc
-
Class
A
9,311
343
Klabin
SA
200,400
942
Lee
&
Man
Paper
Manufacturing
Ltd
816,000
488
Packaging
Corp
of
America
39,096
3,958
Sealed
Air
Corp
75,084
2,951
SIG
Combibloc
Group
AG
(c)
40,920
803
Sonoco
Products
Co
19,368
1,027
Westrock
Co
139,708
4,237
$
27,148
Pipelines
-
2.83%
APA
Group
1,113,400
8,542
Cheniere
Energy
Inc
(c)
342,484
17,826
Enbridge
Inc
537,761
17,205
Enterprise
Products
Partners
LP
131,229
2,304
Gibson
Energy
Inc
483,177
8,798
Kinder
Morgan
Inc
416,013
5,749
Magellan
Midstream
Partners
LP
50,652
1,925
Pembina
Pipeline
Corp
65,922
1,633
TC
Energy
Corp
336,088
15,715
Williams
Cos
Inc
/The
497,588
10,330
$
90,027
Real
Estate
-
1.27%
Entra
ASA
(g)
312,089
4,260
Fabege
AB
312,275
3,813
Mitsubishi
Estate
Co
Ltd
469,300
7,344
Mitsui
Fudosan
Co
Ltd
128,470
2,324
New
World
Development
Co
Ltd
984,060
5,103
Sun
Hung
Kai
Properties
Ltd
135,100
1,813
Vonovia
SE
193,413
13,842
Zhongliang
Holdings
Group
Co
Ltd
2,886,100
1,860
$
40,359
REITs
-
9.72%
Alexandria
Real
Estate
Equities
Inc
74,108
12,478
Allied
Properties
Real
Estate
Investment
Trust
100,600
2,838
American
Homes
4
Rent
160,511
4,597
American
Tower
Corp
22,632
5,639
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Americold
Realty
Trust
109,343
$
4,193
Ascendas
Real
Estate
Investment
Trust
1,473,500
3,590
AvalonBay
Communities
Inc
58,966
9,320
Boston
Properties
Inc
16,807
1,460
CatchMark
Timber
Trust
Inc
194,466
1,931
CFE
Capital
S
de
RL
de
CV
5,527,451
6,232
Cousins
Properties
Inc
148,093
4,421
Crown
Castle
International
Corp
45,375
7,407
CubeSmart
99,232
3,138
Daiwa
Office
Investment
Corp
716
4,148
Dexus
708,077
4,604
Equinix
Inc
15,091
11,919
Essential
Properties
Realty
Trust
Inc
241,154
4,092
Essex
Property
Trust
Inc
46,228
10,009
Federal
Realty
Investment
Trust
34,400
2,726
Frasers
Logistics
&
Commercial
Trust
2,689,251
2,644
Gecina
SA
35,413
4,869
Goodman
Group
1,111,492
14,963
Inmobiliaria
Colonial
Socimi
SA
823,442
7,253
InterRent
Real
Estate
Investment
Trust
270,860
2,585
Invitation
Homes
Inc
404,918
11,593
Japan
Retail
Fund
Investment
Corp
1,446
2,176
Kilroy
Realty
Corp
48,191
2,820
Klepierre
SA
77,400
1,274
Link
REIT
980,770
7,802
MCUBS
MidCity
Investment
Corp
4,981
3,850
Minto
Apartment
Real
Estate
Investment
Trust
344,042
4,613
Nippon
Prologis
REIT
Inc
(c)
2,467
8,080
Park
Hotels
&
Resorts
Inc
327,500
3,108
Physicians
Realty
Trust
129,448
2,350
PotlatchDeltic
Corp
127,027
5,848
Prologis
Inc
189,893
19,343
Rayonier
Inc
284,633
8,334
Regency
Centers
Corp
104,952
4,168
Rexford
Industrial
Realty
Inc
272,113
13,056
Segro
PLC
686,071
8,723
STORE
Capital
Corp
454,120
12,279
Summit
Industrial
Income
REIT
316,247
2,878
Sun
Communities
Inc
41,900
6,246
Sunstone
Hotel
Investors
Inc
212,480
1,770
UNITE
Group
PLC/The
337,880
4,354
United
Urban
Investment
Corp
2,813
3,127
VICI
Properties
Inc
162,618
3,633
Vicinity
Centres
810,816
865
Warehouses
De
Pauw
CVA
99,000
3,501
Welltower
Inc
244,912
14,087
Weyerhaeuser
Co
395,290
11,981
$
308,915
Retail
-
0.02%
Gymboree
Corp/The
(c),(h),(
i
)
17,842
9
Gymboree
Holding
Corp
(c),(h),(
i
)
48,577
24
Home
Depot
Inc
/The
2,021
576
$
609
Software
-
0.02%
Avaya
Holdings
Corp
(c)
40,023
621
Storage
&
Warehousing
-
0.11%
Safestore
Holdings
PLC
341,743
3,578
Telecommunications
-
0.04%
Eutelsat
Communications
SA
95,902
961
Windstream
Holding
Stock
(c),(
i
)
243,644
244
$
1,205
Transportation
-
0.21%
American
Commercial
Lines
Inc
(c)
573
22
American
Commercial
Lines
Inc
-
Warrants
(c)
603
22
East
Japan
Railway
Co
74,700
4,863
West
Japan
Railway
Co
31,400
1,651
$
6,558
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
68
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Water
-
1.81%
Aguas
Andinas
SA
24,302,934
$
7,283
American
States
Water
Co
8,788
669
American
Water
Works
Co
Inc
37,855
5,350
Beijing
Enterprises
Water
Group
Ltd
(c)
1,432,000
563
California
Water
Service
Group
11,483
521
Cia
de
Saneamento
Basico
do
Estado
de
Sao
Paulo
ADR
81,494
709
Essential
Utilities
Inc
51,470
2,188
Guangdong
Investment
Ltd
686,000
1,070
Middlesex
Water
Co
4,160
267
Pennon
Group
PLC
100,381
1,341
Severn
Trent
PLC
470,489
14,592
SJW
Group
6,178
386
Suez
SA
101,077
1,746
United
Utilities
Group
PLC
1,627,257
17,880
Veolia
Environnement
SA
116,983
2,822
York
Water
Co/The
3,099
141
$
57,528
TOTAL
COMMON
STOCKS
$
1,599,163
PREFERRED
STOCKS
-
0.19%
Shares
Held
Value
(000's)
Electric
-
0.18%
Cia
de
Transmissao
de
Energia
Eletrica
Paulista
0.15%
1,500,500
$
5,880
Transportation
-
0.01%
American
Commercial
Lines
Inc
Preferred
A
0.00%
(c)
2,133
54
American
Commercial
Lines
Inc
Preferred
A
-
Warrants
0.00%,
04/30/2045
(c)
2,243
57
American
Commercial
Lines
Inc
Preferred
B
0.00%
(c)
2,428
77
American
Commercial
Lines
Inc
Preferred
B
-
Warrants
0.00%,
04/30/2045
(c)
1,706
54
$
242
TOTAL
PREFERRED
STOCKS
$
6,122
BONDS
-
13.07%
Principal
Amount
(000's)
Value
(000's)
Commercial
Mortgage
Backed
Securities
-
4.14%
BBCMS
2018-TALL
Mortgage
Trust
0.88%,
03/15/2037
(g)
$
11,000
$
10,594
1.00
x
1
Month
USD
LIBOR
+
0.72%
BBCMS
2019-BWAY
Mortgage
Trust
1.12%,
11/25/2034
(g)
12,670
12,324
1.00
x
1
Month
USD
LIBOR
+
0.96%
Benchmark
2019-B12
Mortgage
Trust
1.20%,
08/15/2052
(j),(k)
94,735
6,428
2.26%,
08/15/2052
2,515
2,563
Benchmark
2019-B15
Mortgage
Trust
0.95%,
12/15/2072
(j),(k)
16,088
956
2.00%,
12/15/2072
2,888
2,933
BF
2019-NYT
Mortgage
Trust
1.36%,
12/15/2035
(g)
6,950
6,937
1.00
x
1
Month
USD
LIBOR
+
1.20%
BHP
Trust
2019-BXHP
1.14%,
08/15/2036
(g)
8,000
7,660
1.00
x
1
Month
USD
LIBOR
+
0.98%
BX
Commercial
Mortgage
Trust
2018-IND
0.91%,
11/15/2035
(g)
2,841
2,831
1.00
x
1
Month
USD
LIBOR
+
0.75%
BX
Commercial
Mortgage
Trust
2019-XL
1.08%,
10/15/2036
(g)
2,069
2,067
1.00
x
1
Month
USD
LIBOR
+
0.92%
BX
Commercial
Mortgage
Trust
2020-BXLP
0.96%,
12/15/2036
(g)
8,992
8,961
1.00
x
1
Month
USD
LIBOR
+
0.80%
BX
Trust
2018-EXCL
1.25%,
09/15/2037
(g)
5,762
5,261
1.00
x
1
Month
USD
LIBOR
+
1.09%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
BX
Trust
2019-CALM
1.04%,
11/15/2032
(g)
$
2,500
$
2,478
1.00
x
1
Month
USD
LIBOR
+
0.88%
CAMB
Commercial
Mortgage
Trust
2019-LIFE
1.23%,
12/15/2037
(g)
4,562
4,559
1.00
x
1
Month
USD
LIBOR
+
1.07%
CGDB
Commercial
Mortgage
Trust
2019-MOB
1.11%,
11/15/2036
(g)
6,500
6,435
1.00
x
1
Month
USD
LIBOR
+
0.95%
Citigroup
Commercial
Mortgage
Trust
2019-GC41
1.19%,
08/10/2056
(j),(k)
80,550
5,939
1.95%,
08/10/2056
1,268
1,286
Citigroup
Commercial
Mortgage
Trust
2020-GC46
1.11%,
02/15/2053
(j),(k)
6,244
465
COMM
2018-HCLV
Mortgage
Trust
1.16%,
09/15/2033
(g)
10,120
9,765
1.00
x
1
Month
USD
LIBOR
+
1.00%
CORE
2019-CORE
Mortgage
Trust
1.04%,
12/15/2031
(g)
6,100
6,052
1.00
x
1
Month
USD
LIBOR
+
0.88%
DBCG
2017-BBG
Mortgage
Trust
0.86%,
06/15/2034
(g)
3,840
3,797
1.00
x
1
Month
USD
LIBOR
+
0.70%
Freddie
Mac
Multifamily
Structured
Pass
Through
Certificates
1.10%,
05/25/2026
(j),(k)
73,673
3,578
1.44%,
07/25/2026
(j),(k)
12,097
777
GS
Mortgage
Securities
Corp
Trust
2019-SMP
1.31%,
08/15/2032
(g)
4,000
3,855
1.00
x
1
Month
USD
LIBOR
+
1.15%
GS
Mortgage
Securities
Corp
Trust
2019-SOHO
1.06%,
06/15/2036
(g)
3,000
2,966
1.00
x
1
Month
USD
LIBOR
+
0.90%
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-BKWD
1.16%,
09/15/2029
(g)
5,000
4,876
1.00
x
1
Month
USD
LIBOR
+
1.00%
Merit
2020-Hill
1.31%,
08/15/2037
(g)
4,250
4,253
1.00
x
1
Month
USD
LIBOR
+
1.15%
UBS-Barclays
Commercial
Mortgage
Trust
2012-C3
3.09%,
08/10/2049
979
1,013
$
131,609
Electric
-
0.04%
Pacific
Gas
and
Electric
Co
3.15%,
01/01/2026
492
509
4.50%,
07/01/2040
(a)
537
559
$
1,068
Federal
&
Federally
Sponsored
Credit
-
1.99%
Federal
Farm
Credit
Banks
Funding
Corp
0.17%,
06/28/2021
(l)
3,800
3,800
1
Month
USD
LIBOR
+
0.01%
0.19%,
12/27/2021
(l)
11,000
11,010
1
Month
USD
LIBOR
+
0.02%
0.25%,
12/13/2021
2,100
2,101
1
Month
USD
LIBOR
+
0.09%
0.28%,
05/27/2022
(l)
12,000
12,006
Federal
Reserve
Bank
Prime
Loan
Rate
US
+
(2.97)%
0.29%,
11/05/2021
(l)
15,000
15,022
1
Month
USD
LIBOR
+
0.13%
0.39%,
01/18/2022
(l)
1,500
1,504
1
Month
USD
LIBOR
+
0.24%
0.95%,
04/08/2022
(l)
17,700
17,714
$
63,157
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
69
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Finance
-
Mortgage
Loan/Banker
-
5.34%
Fannie
Mae
0.18%,
03/04/2022
(l)
$
17,000
$
16,980
United
States
Secured
Overnight
Financing
Rate
+
0.22%
0.25%,
05/13/2022
(l)
7,000
7,011
United
States
Secured
Overnight
Financing
Rate
+
0.18%
0.30%,
05/06/2022
(l)
14,000
14,002
United
States
Secured
Overnight
Financing
Rate
+
0.23%
0.39%,
10/22/2021
1,000
1,002
United
States
Secured
Overnight
Financing
Rate
+
0.32%
0.42%,
04/07/2022
(l),(m)
40,000
40,097
United
States
Secured
Overnight
Financing
Rate
+
0.35%
0.46%,
04/15/2022
(l)
10,000
10,035
United
States
Secured
Overnight
Financing
Rate
+
0.39%
Federal
Home
Loan
Bank
Discount
Notes
0.07%,
09/02/2020
(n)
4,100
4,100
Federal
Home
Loan
Banks
0.15%,
04/05/2021
(l)
7,500
7,501
1
Month
USD
LIBOR
+
(0.01)%
0.15%,
05/03/2021
(l)
20,500
20,504
1
Month
USD
LIBOR
+
(0.01)%
0.16%,
10/15/2021
(l)
14,000
13,991
1
Month
USD
LIBOR
+
0.00%
Freddie
Mac
0.21%,
12/09/2021
(l)
6,000
6,005
United
States
Secured
Overnight
Financing
Rate
+
0.15%
0.22%,
03/04/2022
2,000
2,002
United
States
Secured
Overnight
Financing
Rate
+
0.15%
0.26%,
06/02/2022
(l)
15,000
15,023
United
States
Secured
Overnight
Financing
Rate
+
0.19%
0.39%,
09/23/2021
(l)
10,000
10,026
United
States
Secured
Overnight
Financing
Rate
+
0.32%
3.08%,
11/09/2021
(l)
1,500
1,508
$
169,787
Media
-
0.00%
iHeartCommunications
Inc
8.38%,
05/01/2027
1
1
Sovereign
-
1.56%
Colombia
Government
International
Bond
3.00%,
01/30/2030
675
695
Italy
Buoni
Poliennali
Del
Tesoro
0.40%,
05/15/2030
(g)
EUR
1,078
1,269
1.30%,
05/15/2028
(g)
2,929
3,714
Japanese
Government
CPI
Linked
Bond
0.10%,
03/10/2028
JPY
624,332
5,920
0.10%,
03/10/2029
1,661,266
15,782
Mexico
Government
International
Bond
3.25%,
04/16/2030
$
620
643
4.50%,
04/22/2029
290
327
New
Zealand
Government
Bond
1.75%,
05/15/2041
NZD
1,175
852
New
Zealand
Government
Inflation
Linked
Bond
2.00%,
09/20/2025
8,490
6,453
2.50%,
09/20/2035
3,057
2,996
2.50%,
09/20/2040
918
951
3.00%,
09/20/2030
1,053
962
Spain
Government
Bond
0.50%,
04/30/2030
(g)
EUR
4,620
5,596
1.00%,
10/31/2050
(g)
655
735
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
United
Kingdom
Gilt
1.75%,
01/22/2049
GBP
1,705
$
2,772
$
49,667
TOTAL
BONDS
$
415,289
COMMODITY
INDEXED
STRUCTURED
NOTES
-
0.68%
Principal
Amount
(000's)
Value
(000's)
Banks
-
0.68%
Royal
Bank
of
Canada;
Dow
Jones
-
UBS
Commodity
Index
Linked
Note
0.09%,
04/26/2021
(g),(k)
$
16,700
$
21,607
TOTAL
COMMODITY
INDEXED
STRUCTURED
NOTES
$
21,607
SENIOR
FLOATING
RATE
INTERESTS
-
15.09%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.31%
Advantage
Sales
&
Marketing
Inc
4.25%,
07/23/2021
(o)
$
1,256
$
1,193
3
Month
USD
LIBOR
+
3.25%
4.25%,
07/23/2021
(o)
427
405
3
Month
USD
LIBOR
+
3.25%
Affinion
Group
Inc
5.00%,
PIK
1.75%,
04/10/2024
(o),(p)
604
414
1
Month
USD
LIBOR
+
4.00%
Checkout
Holding
Corp
2.00%,
PIK
9.50%,
08/15/2023
(o),(p)
257
56
3
Month
USD
LIBOR
+
1.00%
8.50%,
02/15/2023
(o)
170
102
3
Month
USD
LIBOR
+
7.50%
Clear
Channel
Outdoor
Holdings
Inc
3.76%,
08/07/2026
(o)
5,826
5,282
1
Month
USD
LIBOR
+
3.50%
Outfront
Media
Capital
LLC
1.91%,
11/18/2026
(o)
1,157
1,117
1
Month
USD
LIBOR
+
1.75%
Red
Ventures
LLC
2.66%,
11/08/2024
(o)
628
601
1
Month
USD
LIBOR
+
2.50%
Terrier
Media
Buyer
Inc
4.41%,
12/17/2026
(o)
649
635
1
Month
USD
LIBOR
+
4.25%
$
9,805
Aerospace
&
Defense
-
0.28%
Dynasty
Acquisition
Co
Inc
3.81%,
04/06/2026
(o)
1,141
1,007
1
Month
USD
LIBOR
+
3.50%
Sequa
Mezzanine
Holdings
LLC
7.75%,
11/28/2023
(o)
2,584
2,445
1
Month
USD
LIBOR
+
6.75%
11.75%,
04/28/2024
(o)
1,174
879
3
Month
USD
LIBOR
+
9.00%
Standard
Aero
Ltd
3.81%,
04/06/2026
(o)
613
542
1
Month
USD
LIBOR
+
3.50%
TransDigm
Inc
2.41%,
05/30/2025
(o)
978
926
1
Month
USD
LIBOR
+
2.25%
2.41%,
12/24/2025
(o)
3,203
3,033
1
Month
USD
LIBOR
+
2.25%
$
8,832
Airlines
-
0.16%
Allegiant
Travel
Co
3.25%,
02/05/2024
(o)
591
547
1
Month
USD
LIBOR
+
3.00%
American
Airlines
Inc
2.16%,
04/28/2023
(o)
392
309
3
Month
USD
LIBOR
+
2.00%
2.16%,
12/14/2023
(o)
910
708
3
Month
USD
LIBOR
+
2.00%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
70
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Airlines
(continued)
Delta
Air
Lines
Inc
5.75%,
04/27/2023
(o)
$
593
$
591
1
Month
USD
LIBOR
+
4.75%
WestJet
Airlines
Ltd
4.00%,
12/11/2026
(o)
3,686
3,053
3
Month
USD
LIBOR
+
3.00%
$
5,208
Apparel
-
0.03%
Champ
Acquisition
Corp
6.57%,
12/17/2025
(o)
970
929
3
Month
USD
LIBOR
+
5.50%
Automobile
Parts
&
Equipment
-
0.13%
Clarios
Global
LP
3.64%,
04/30/2026
(o)
4,367
4,276
3
Month
USD
LIBOR
+
3.50%
Beverages
-
0.04%
Jacobs
Douwe
Egberts
International
BV
2.19%,
10/23/2025
(o)
1,400
1,377
3
Month
USD
LIBOR
+
2.00%
Biotechnology
-
0.20%
Concordia
International
Corp
6.57%,
09/06/2024
(o)
6,506
6,205
1
Week
USD
LIBOR
+
5.50%
RPI
Intermediate
Finance
Trust
1.91%,
02/05/2027
(o)
198
197
1
Month
USD
LIBOR
+
1.75%
$
6,402
Building
Materials
-
0.10%
Quikrete
Holdings
Inc
2.64%,
02/01/2027
(o)
3,293
3,205
1
Month
USD
LIBOR
+
2.50%
Casino
Hotels
-
0.03%
Golden
Nugget
LLC
3.25%,
10/04/2023
(o)
921
821
1
Month
USD
LIBOR
+
2.50%
Chemicals
-
0.11%
ASP
Unifrax
Holdings
Inc
4.82%,
12/12/2025
(o)
1,578
1,350
3
Month
USD
LIBOR
+
3.75%
Illuminate
Buyer
LLC
4.31%,
06/16/2027
(o)
750
745
1
Month
USD
LIBOR
+
4.00%
INEOS
US
Finance
LLC
2.21%,
03/31/2024
(o)
234
228
3
Month
USD
LIBOR
+
2.00%
Innophos
Holdings
Inc
3.91%,
02/04/2027
(o)
1,215
1,200
1
Month
USD
LIBOR
+
3.75%
Tronox
Finance
LLC
3.22%,
09/13/2024
(o)
33
32
3
Month
USD
LIBOR
+
3.00%
$
3,555
Coal
-
0.01%
Peabody
Energy
Corp
2.91%,
03/31/2025
(o)
949
331
3
Month
USD
LIBOR
+
2.75%
Commercial
Services
-
0.73%
Belron
Finance
2.77%,
10/25/2026
(o)
995
978
1
Month
USD
LIBOR
+
2.50%
Fly
Funding
1.99%,
08/09/2025
(o)
1,414
1,269
3
Month
USD
LIBOR
+
1.75%
Garda
World
Security
4.93%,
10/23/2026
(o)
606
603
1
Month
USD
LIBOR
+
4.75%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Services
(continued)
HGIM
Corp
7.00%,
07/02/2023
(o)
$
1,282
$
601
3
Month
USD
LIBOR
+
6.00%
North
American
Lifting
Holdings
Inc
0.00%,
11/27/2020
(c),(o)
540
361
3
Month
USD
LIBOR
+
4.50%
10.00%,
02/24/2021
(o)
55
53
1
Month
USD
LIBOR
+
9.00%
PAREXEL
International
Corp
2.89%,
09/27/2024
(o)
2,870
2,770
3
Month
USD
LIBOR
+
2.75%
Refinitiv
US
Holdings
Inc
3.40%,
10/01/2025
(o)
4,135
4,096
1
Month
USD
LIBOR
+
3.25%
Sabert
Corp
5.50%,
11/26/2026
(o)
995
984
1
Month
USD
LIBOR
+
4.50%
Sabre
GLBL
Inc
2.13%,
02/22/2024
(o)
951
882
3
Month
USD
LIBOR
+
2.00%
Syniverse
Holdings
Inc
6.00%,
02/09/2023
(o)
2,794
2,184
3
Month
USD
LIBOR
+
5.00%
10.00%,
02/09/2024
(o)
2,350
1,238
3
Month
USD
LIBOR
+
9.00%
Team
Health
Holdings
Inc
3.75%,
02/06/2024
(o)
2,180
1,810
3
Month
USD
LIBOR
+
2.75%
Trans
Union
LLC
1.91%,
11/13/2026
(o)
740
722
1
Month
USD
LIBOR
+
1.75%
Verscend
Holding
Corp
4.66%,
08/08/2025
(o)
2,003
1,986
3
Month
USD
LIBOR
+
4.50%
Wand
NewCo
3
Inc
4.07%,
02/05/2026
(o)
1,991
1,913
1
Month
USD
LIBOR
+
3.00%
WEX
Inc
2.41%,
05/14/2026
(o)
709
684
3
Month
USD
LIBOR
+
2.25%
$
23,134
Computers
-
0.47%
Dell
International
LLC
2.75%,
09/12/2025
(o)
1,667
1,655
1
Month
USD
LIBOR
+
2.00%
iQor
US
Inc
0.00%,
04/01/2021
(c),(o)
916
589
3
Month
USD
LIBOR
+
5.00%
11.95%,
09/09/2020
(o)
87
81
1
Month
USD
LIBOR
+
10.00%
McAfee
LLC
3.92%,
09/30/2024
(o)
6,819
6,748
3
Month
USD
LIBOR
+
3.75%
9.50%,
09/29/2025
(o)
656
661
3
Month
USD
LIBOR
+
8.50%
NCR
Corp
2.66%,
08/07/2026
(o)
993
961
1
Month
USD
LIBOR
+
2.50%
NeuStar
Inc
4.57%,
08/08/2024
(o)
712
666
3
Month
USD
LIBOR
+
3.50%
Perforce
Software
Inc
3.91%,
07/01/2026
(o)
993
964
1
Month
USD
LIBOR
+
3.75%
Tempo
Acquisition
LLC
4.77%,
11/02/2026
(o)
1,933
1,891
1
Month
USD
LIBOR
+
3.25%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
71
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Computers
(continued)
Western
Digital
Corp
1.91%,
04/29/2023
(o)
$
604
$
599
1
Month
USD
LIBOR
+
1.75%
$
14,815
Consumer
Products
-
0.13%
KIK
Custom
Products
Inc
5.00%,
05/15/2023
(o)
4,026
3,985
3
Month
USD
LIBOR
+
4.00%
Cosmetics
&
Personal
Care
-
0.10%
Coty
Inc
1.91%,
04/05/2023
(o)
2,320
2,086
1
Month
USD
LIBOR
+
1.50%
Revlon
Consumer
Products
Corp
4.25%,
07/21/2023
(o)
3,765
951
1
Month
USD
LIBOR
+
3.50%
$
3,037
Distribution
&
Wholesale
-
0.10%
Core
&
Main
LP
3.75%,
08/01/2024
(o)
1,458
1,424
3
Month
USD
LIBOR
+
3.00%
IAA
Inc
2.44%,
06
/28/2026
(o)
209
206
3
Month
USD
LIBOR
+
2.25%
KAR
Auction
Services
Inc
2.44%,
09/11/2026
(o)
278
269
1
Month
USD
LIBOR
+
2.25%
Univar
Solutions
USA
Inc
/Washington
2.41%,
07/01/2024
(o)
1,138
1,114
3
Month
USD
LIBOR
+
2.25%
$
3,013
Diversified
Financial
Services
-
0.05%
Avolon
TLB
Borrower
1
US
LLC
2.25%,
02/05/2027
(o)
407
383
1
Month
USD
LIBOR
+
1.50%
2.50%,
01/15/2025
(o)
942
907
3
Month
USD
LIBOR
+
1.75%
Walter
Invest
(
Ditech
)
0.00%,
06/30/2022
(c),(o)
1,225
269
3
Month
USD
LIBOR
+
7.00%
$
1,559
Electric
-
0.17%
Calpine
Corp
2.16%,
08/12/2026
(o)
1,935
1,877
1
Month
USD
LIBOR
+
2.00%
2.41%,
01/15/2024
(o)
826
808
1
Month
USD
LIBOR
+
2.25%
Exgen
Renewables
IV
LLC
4.00%,
11/28/2024
(o)
881
873
3
Month
USD
LIBOR
+
3.00%
PG&E
Corp
5.50%,
06/18/2025
(o)
1,000
983
1
Month
USD
LIBOR
+
4.50%
Vistra
Operations
Co
LLC
1.91%,
12/31/2025
(o)
1,031
1,013
1
Month
USD
LIBOR
+
1.75%
$
5,554
Electronics
-
0.03%
Tech
Data
Corp
3.63%,
06/26/2025
(o)
325
325
1
Month
USD
LIBOR
+
3.50%
TTM
Technologies
Inc
2.66%,
09/13/2024
(o)
658
644
3
Month
USD
LIBOR
+
2.50%
$
969
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Engineering
&
Construction
-
0.03%
Atlantic
Aviation
FBO
Inc
3.92%,
11/28/2025
(o)
$
739
$
723
3
Month
USD
LIBOR
+
3.75%
Brand
Industrial
Services
Inc
5.25%,
06/21/2024
(o)
378
348
3
Month
USD
LIBOR
+
4.25%
$
1,071
Entertainment
-
0.92%
AMC
Entertainment
Holdings
Inc
4.08%,
03/20/2026
(o)
2,204
1,673
3
Month
USD
LIBOR
+
3.00%
CCM
Merger
Inc
3.00%,
08/08/2021
(o)
3,152
3,106
3
Month
USD
LIBOR
+
2.25%
Crown
Finance
US
Inc
0.00%,
09/30/2026
(o),(q)
154
118
1
Month
USD
LIBOR
+
2.50%
3.32%,
02/07/2025
(o)
472
369
3
Month
USD
LIBOR
+
2.25%
Delta
2
Lux
Sarl
3.50%,
02/01/2024
(o)
6,627
6,415
3
Month
USD
LIBOR
+
2.50%
Lions
Gate
Capital
Holdings
LLC
2.41%,
03/24/2025
(o)
473
458
3
Month
USD
LIBOR
+
2.25%
Merlin
Entertainment
4.32%,
10/16/2026
(o)
1,407
1,300
3
Month
USD
LIBOR
+
3.25%
4.32%,
11/12/2026
(o)
185
171
3
Month
USD
LIBOR
+
3.25%
Metro-Goldwyn-Mayer
Inc
2.66%,
07/03/2025
(o)
3,062
2,911
3
Month
USD
LIBOR
+
2.50%
5.50%,
07/03/2026
(o)
1,000
960
3
Month
USD
LIBOR
+
4.50%
Nascar
Holdings
LLC
2.92%,
10/19/2026
(o)
1,647
1,615
3
Month
USD
LIBOR
+
2.75%
PCI
Gaming
Authority
2.66%,
05/29/2026
(o)
1,757
1,699
1
Month
USD
LIBOR
+
2.50%
Penn
National
Gaming
Inc
3.00%,
10/15/2025
(o)
1,476
1,423
3
Month
USD
LIBOR
+
2.25%
Scientific
Games
International
Inc
3.47%,
08/14/2024
(o)
2,389
2,229
1
Month
USD
LIBOR
+
2.75%
SeaWorld
Parks
&
Entertainment
Inc
3.75%,
04/01/2024
(o)
832
776
3
Month
USD
LIBOR
+
3.00%
Stars
Group
Holdings
BV
3.81%,
06/27/2025
(o)
2,037
2,038
3
Month
USD
LIBOR
+
3.50%
William
Morris
Endeavor
Entertainment
LLC
2.91%,
05/16/2025
(o)
2,302
1,859
3
Month
USD
LIBOR
+
2.75%
$
29,120
Environmental
Control
-
0.16%
Advanced
Disposal
Services
Inc
3.00%,
11/10/2023
(o)
390
389
3
Month
USD
LIBOR
+
2.25%
GFL
Environmental
Inc
4.00%,
05/09/2025
(o)
4,857
4,826
3
Month
USD
LIBOR
+
3.00%
$
5,215
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
72
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Food
-
0.20%
Atkins
Nutritionals
Holdings
Inc
4.75%,
07/07/2024
(o)
$
1,289
$
1,292
1
Month
USD
LIBOR
+
3.75%
Bellring
Brands
LLC
6.00%,
10/10/2024
(o)
1,550
1,548
1
Month
USD
LIBOR
+
5.00%
CHG
PPC
Parent
LLC
2.91%,
03/30/2025
(o)
241
233
3
Month
USD
LIBOR
+
2.75%
Froneri
US
Inc
2.41%,
01/29/2027
(o)
175
168
1
Month
USD
LIBOR
+
2.25%
5.91%,
01/28/2028
(o)
500
492
1
Month
USD
LIBOR
+
5.75%
US
Foods
Inc
1.91%,
06/27/2023
(o)
2,697
2,592
1
Month
USD
LIBOR
+
1.75%
$
6,325
Food
Service
-
0.03%
8th
Avenue
Food
&
Provisions
Inc
3.66%,
09/19/2025
(o)
887
877
3
Month
USD
LIBOR
+
3.50%
Forest
Products
&
Paper
-
0.05%
Asplundh
Tree
0.00%,
08/19/2027
(o),(q)
1,635
1,635
Hand
&
Machine
Tools
-
0.04%
Apex
Tool
Group
LLC
6.50%,
08/01/2024
(o)
1,275
1,224
3
Month
USD
LIBOR
+
5.50%
Healthcare
-
Products
-
0.28%
Carestream
Health
Inc
5.57%,
PIK
8.00%,
08/08/2023
(o),(p)
591
467
1
Month
USD
LIBOR
+
4.50%
7.82%,
05/08/2023
(o)
1,932
1,836
1
Month
USD
LIBOR
+
6.75%
CPI
Holdco
LLC
4.41%,
10/28/2026
(o)
1,701
1,679
1
Month
USD
LIBOR
+
4.25%
LifeScan
Global
Corp
7.18%,
10/01/2024
(o)
1,029
969
3
Month
USD
LIBOR
+
6.00%
Viant
Medical
Holdings
Inc
3.91%,
07/02/2025
(o)
2,192
1,951
3
Month
USD
LIBOR
+
3.75%
VVC
Holding
Corp
4.82%,
02/07/2026
(o)
945
936
3
Month
USD
LIBOR
+
4.50%
Vyaire
Medical
Inc
5.75%,
04/11/2025
(o)
1,429
1,107
3
Month
USD
LIBOR
+
4.75%
$
8,945
Healthcare
-
Services
-
1.48%
AHP
Health
Partners
Inc
5.50%,
06/16/2025
(o)
2,653
2,653
3
Month
USD
LIBOR
+
4.50%
Air
Methods
Corp
4.50%,
04/12/2024
(o)
823
721
3
Month
USD
LIBOR
+
3.50%
ATI
Holdings
Acquisition
Inc
4.57%,
05/10/2023
(o)
897
828
3
Month
USD
LIBOR
+
3.50%
BW
NHHC
Holdco
Inc
5.27%,
05/15/2025
(o)
745
626
3
Month
USD
LIBOR
+
5.00%
Catalent
Pharma
Solutions
Inc
3.25%,
05/08/2026
(o)
988
981
3
Month
USD
LIBOR
+
2.25%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Services
(continued)
Envision
Healthcare
Corp
3.91%,
10/10/2025
(o)
$
5,760
$
4,157
3
Month
USD
LIBOR
+
3.75%
Eyecare
Partners
LLC
4.82%,
02/05/2027
(o)
890
827
1
Month
USD
LIBOR
+
3.75%
Gentiva
Health
Services
Inc
3.44%,
07/02/2025
(o)
4,115
4,074
1
Month
USD
LIBOR
+
3.25%
Global
Medical
Response
Inc
4.25%,
04/28/2022
(o)
6,979
6,906
3
Month
USD
LIBOR
+
3.25%
HCA
Inc
1.91%,
03/13/2025
(o)
543
539
1
Month
USD
LIBOR
+
1.75%
1.91%,
03/17/2026
(o)
1,587
1,573
1
Month
USD
LIBOR
+
1.75%
Heartland
Dental
LLC
3.66%,
04/18/2025
(o)
121
110
3
Month
USD
LIBOR
+
3.75%
Jaguar
Holding
Co
II
3.50%,
08/18/2022
(o)
6,147
6,131
3
Month
USD
LIBOR
+
2.50%
LifePoint
Health
Inc
3.91%,
11/14/2025
(o)
7,076
6,930
1
Month
USD
LIBOR
+
3.75%
MMM
Holdings
LLC
6.75%,
10/30/2026
(o)
1,219
1,194
1
Month
USD
LIBOR
+
5.75%
Phoenix
Guarantor
Inc
3.41%,
03/05/2026
(o)
3,006
2,952
1
Month
USD
LIBOR
+
3.25%
Quorum
Health
Corp
9.25%,
04/29/2025
(o)
342
317
1
Month
USD
LIBOR
+
8.25%
Select
Medical
Corp
2.68%,
03/06/2025
(o)
3,202
3,109
3
Month
USD
LIBOR
+
2.50%
Surgery
Center
Holdings
Inc
4.25%,
06/20/2024
(o)
1,208
1,138
3
Month
USD
LIBOR
+
3.25%
Syneos
Health
Inc
1.89%,
08/01/2024
(o)
1,256
1,223
3
Month
USD
LIBOR
+
2.00%
$
46,989
Insurance
-
0.26%
Acrisure
LLC
3.66%,
02/12/2027
(o)
2,555
2,447
1
Month
USD
LIBOR
+
3.50%
Alliant
Holdings
Intermediate
LLC
2.91%,
05/09/2025
(o)
2,170
2,097
3
Month
USD
LIBOR
+
3.00%
BroadStreet
Partners
Inc
3.41%,
01/22/2027
(o)
1,119
1,081
1
Month
USD
LIBOR
+
3.25%
4.75%,
01/27/2027
(o)
236
233
1
Month
USD
LIBOR
+
3.75%
HUB
International
Ltd
3.26%,
04/25/2025
(o)
2,028
1,973
1
Month
USD
LIBOR
+
2.75%
5.00%,
04/25/2025
(o)
572
572
1
Month
USD
LIBOR
+
4.00%
$
8,403
Internet
-
0.15%
Ancestry.com
Operations
Inc
4.75%,
10/19/2023
(o)
2,318
2,314
1
Month
USD
LIBOR
+
3.75%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
73
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Internet
(continued)
Uber
Technologies
Inc
3.66%,
07/13/2023
(o)
$
1,892
$
1,856
3
Month
USD
LIBOR
+
3.50%
5.00%,
04/04/2025
(o)
578
571
3
Month
USD
LIBOR
+
4.00%
$
4,741
Leisure
Products
&
Services
-
0.25%
Alterra
Mountain
Co
2.91%,
07/31/2024
(o)
3,024
2,900
1
Month
USD
LIBOR
+
2.75%
Callaway
Golf
Co
4.66%,
12/17/2025
(o)
686
685
3
Month
USD
LIBOR
+
4.50%
Carnival
Corp
8.50%,
06/26/2025
(o)
685
671
1
Month
USD
LIBOR
+
7.50%
ClubCorp
Holdings
Inc
3.06%,
08/16/2024
(o)
1,730
1,499
3
Month
USD
LIBOR
+
2.75%
Equinox
Holdings
Inc
4.07%,
03/08/2024
(o)
1,757
1,305
3
Month
USD
LIBOR
+
3.00%
Fitness
International
LLC
4.32%,
01/08/2025
(o)
1,598
895
1
Month
USD
LIBOR
+
2.25%
$
7,955
Lodging
-
0.48%
Boyd
Gaming
Corp
2.36%,
09/15/2023
(o)
4,208
4,083
3
Month
USD
LIBOR
+
2.25%
Caesars
Resort
Collection
LLC
2.91%,
12/22/2024
(o)
5,807
5,448
3
Month
USD
LIBOR
+
2.75%
4.73%,
06/19/2025
(o)
1,500
1,452
1
Month
USD
LIBOR
+
4.50%
CityCenter
Holdings
LLC
3.00%,
04/18/2024
(o)
2,487
2,355
3
Month
USD
LIBOR
+
2.25%
Hilton
Worldwide
Finance
LLC
1.93%,
06/18/2026
(o)
649
624
3
Month
USD
LIBOR
+
1.75%
Wyndham
Hotels
&
Resorts
Inc
1.91%,
05/30/2025
(o)
1,471
1,413
3
Month
USD
LIBOR
+
1.75%
$
15,375
Machinery
-
Construction
&
Mining
-
0.04%
Vertiv
Group
Corp
3.16%,
02/11/2027
(o)
1,247
1,220
1
Month
USD
LIBOR
+
3.00%
Machinery
-
Diversified
-
0.21%
Altra
Industrial
Motion
Corp
2.16%,
09/26/2025
(o)
410
401
3
Month
USD
LIBOR
+
2.00%
Columbus
McKinnon
Corp/NY
3.50%,
01/31/2024
(o)
989
979
3
Month
USD
LIBOR
+
2.50%
Gardner
Denver
Inc
1.91%,
02/05/2027
(o)
621
601
1
Month
USD
LIBOR
+
1.75%
2.92%,
03/01/2027
(o)
265
261
1
Month
USD
LIBOR
+
2.75%
NN
Inc
5.91%,
10/19/2022
(o)
992
972
1
Month
USD
LIBOR
+
5.75%
6.50%,
10/19/2022
(o)
655
641
1
Month
USD
LIBOR
+
5.75%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Machinery
-
Diversified
(continued)
Star
US
Bidco
LLC
5.25%,
03/03/2027
(o)
$
960
$
905
1
Month
USD
LIBOR
+
4.25%
Vertical
US
Newco
4.57%,
06/30/2027
(o)
2,000
1,981
$
6,741
Media
-
1.21%
Altice
Financing
SA
2.91%,
07/15/2025
(o)
2,312
2,201
3
Month
USD
LIBOR
+
2.75%
Charter
Communications
Operating
LLC
1.91%,
02/01/2027
(o)
2,496
2,448
1
Month
USD
LIBOR
+
1.75%
CSC
Holdings
LLC
2.41%,
07/17/2025
(o)
495
477
3
Month
USD
LIBOR
+
2.25%
2.66%,
04/27/2027
(o)
1,474
1,424
1
Month
USD
LIBOR
+
2.50%
Cumulus
Media
New
Holdings
Inc
4.82%,
03/18/2026
(o)
448
423
1
Month
USD
LIBOR
+
3.75%
Entercom
Media
Corp
2.67%,
11/18/2024
(o)
766
721
1
Month
USD
LIBOR
+
2.50%
EW
Scripps
Co/The
2.66%,
05/01/2026
(o)
2,469
2,401
1
Month
USD
LIBOR
+
2.50%
Gray
Television
Inc
2.41%,
02/02/2024
(o)
2,053
2,006
3
Month
USD
LIBOR
+
2.25%
2.66%,
01/02/2026
(o)
637
623
3
Month
USD
LIBOR
+
2.50%
Houghton
Mifflin
Harcourt
Publishers
Inc
7.25%,
11/19/2024
(o)
1,842
1,695
1
Month
USD
LIBOR
+
6.25%
iHeartCommunications
Inc
3.16%,
05/01/2026
(o)
5,202
4,927
1
Month
USD
LIBOR
+
3.00%
LCPR
Loan
Financing
LLC
5.16%,
10/22/2026
(o)
1,815
1,823
1
Month
USD
LIBOR
+
5.00%
McGraw
Hill
LLC
5.00%,
05/04/2022
(o)
2,426
2,089
3
Month
USD
LIBOR
+
4.00%
Meredith
Corp
0.00%,
07/23/2027
(o),(q)
900
896
2.67%,
01/31/2025
(o)
2,091
2,009
1
Month
USD
LIBOR
+
2.50%
5.25%,
01/31/2025
(o)
435
428
1
Month
USD
LIBOR
+
4.25%
Mission
Broadcasting
Inc
2.41%,
01/17/2024
(o)
399
389
3
Month
USD
LIBOR
+
2.25%
Nexstar
Broadcasting
Inc
2.41%,
01/17/2024
(o)
1,553
1,516
3
Month
USD
LIBOR
+
2.25%
2.91%,
09/21/2026
(o)
1,825
1,789
1
Month
USD
LIBOR
+
2.75%
Nielsen
Finance
LLC
2.16%,
10/04/2023
(o)
1,920
1,874
3
Month
USD
LIBOR
+
2.00%
Sinclair
Television
Group
Inc
2.41%,
01/03/2024
(o)
2,462
2,393
3
Month
USD
LIBOR
+
2.25%
2.66%,
07/17/2026
(o)
993
965
1
Month
USD
LIBOR
+
2.50%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
74
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
(continued)
Univision
Communications
Inc
3.75%,
03/15/2024
(o)
$
307
$
297
3
Month
USD
LIBOR
+
2.75%
WideOpenWest
Finance
LLC
4.25%,
08/18/2023
(o)
640
629
3
Month
USD
LIBOR
+
3.25%
Ziggo
Financing
Partnership
2.66%,
04/17/2028
(o)
2,125
2,052
1
Month
USD
LIBOR
+
2.50%
$
38,495
Miscellaneous
Manufacturers
-
0.05%
Gates
Global
LLC
3.75%,
03/31/2024
(o)
1,730
1,708
3
Month
USD
LIBOR
+
2.75%
Office
&
Business
Equipment
-
0.03%
Pitney
Bowes
Inc
5.63%,
01/17/2025
(o)
868
836
1
Month
USD
LIBOR
+
5.50%
Oil
&
Gas
-
0.43%
California
Resources
10.00%,
01/15/2021
(
i
),(o)
3,185
3,153
1
Month
USD
LIBOR
+
9.00%
California
Resources
Corp
0.00%,
12/31/2021
(c),(o)
764
17
1
Month
USD
LIBOR
+
10.37%
0.00%,
11/14/2022
(c),(o)
4,974
1,798
1
Month
USD
LIBOR
+
4.75%
CITGO
Petroleum
Corp
6.00%,
03/28/2024
(o)
1,465
1,390
3
Month
USD
LIBOR
+
5.00%
Delek
US
Holdings
Inc
2.41%,
03/14/2025
(o)
1,198
1,128
3
Month
USD
LIBOR
+
2.25%
6.50%,
03/30/2025
(o)
1,415
1,381
1
Month
USD
LIBOR
+
5.50%
Fieldwood
Energy
LLC
0.00%,
08/04/2021
(
i
),(o),(q)
1,323
1,284
0.00%,
04/11/2022
(c),(o)
8,736
2,097
3
Month
USD
LIBOR
+
5.25%
0.00%,
04/11/2023
(c),(o)
3,648
1
3
Month
USD
LIBOR
+
7.25%
Gulf
Finance
LLC
6.25%,
08/17/2023
(o)
1,827
1,255
3
Month
USD
LIBOR
+
5.25%
$
13,504
Oil
&
Gas
Services
-
0.03%
PGS
ASA
7.75%,
03/19/2024
(o)
1,553
1,087
3
Month
USD
LIBOR
+
5.50%
Packaging
&
Containers
-
0.35%
Berry
Global
Inc
2.16%,
01/19/2024
(o)
1,435
1,412
1
Month
USD
LIBOR
+
2.00%
2.16%,
07/01/2026
(o)
1,798
1,742
1
Month
USD
LIBOR
+
2.00%
Graham
Packaging
Co
Inc
4.50%,
08/06/2027
(o)
1,445
1,442
1
Month
USD
LIBOR
+
3.75%
Kloeckner
Pentaplast
of
America
Inc
5.25%,
06/29/2022
(o)
2,363
2,290
3
Month
USD
LIBOR
+
4.25%
Plaze
Inc
0.00%,
08/03/2026
(o),(q)
1,375
1,358
Reynolds
Group
Holdings
Inc
2.89%,
02/05/2023
(o)
3,044
2,997
3
Month
USD
LIBOR
+
2.75%
$
11,241
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
-
0.60%
Amneal
Pharmaceuticals
LLC
3.69%,
05/04/2025
(o)
$
943
$
883
3
Month
USD
LIBOR
+
3.50%
Bausch
Health
Americas
Inc
2.93%,
11/14/2025
(o)
3,618
3,541
3
Month
USD
LIBOR
+
2.75%
3.18%,
05/19/2025
(o)
4,452
4,376
3
Month
USD
LIBOR
+
3.00%
Change
Healthcare
Holdings
LLC
3.50%,
03/01/2024
(o)
2,966
2,908
1
Month
USD
LIBOR
+
2.50%
Grifols
Worldwide
Operations
USA
Inc
2.11%,
11/08/2027
(o)
2,842
2,782
1
Month
USD
LIBOR
+
2.00%
Mallinckrodt
International
Finance
SA
3.50%,
09/24/2024
(o)
1,662
1,445
3
Month
USD
LIBOR
+
2.75%
3.75%,
02/24/2025
(o)
1,261
1,095
3
Month
USD
LIBOR
+
3.00%
Milano
Acquisition
0.00%,
08/17/2027
(o),(q)
1,900
1,884
$
18,914
Pipelines
-
0.19%
BCP
Renaissance
Parent
LLC
4.50%,
10/31/2024
(o)
964
900
3
Month
USD
LIBOR
+
3.50%
Blackstone
CQP
Holdco
LP
3.81%,
09/30/2024
(o)
2,477
2,430
3
Month
USD
LIBOR
+
3.50%
Buckeye
Partners
LP
2.91%,
11/15/2026
(o)
1,344
1,320
1
Month
USD
LIBOR
+
2.75%
Traverse
Midstream
Partners
LLC
5.00%,
09/21/2024
(o)
1,458
1,330
3
Month
USD
LIBOR
+
4.00%
$
5,980
Real
Estate
-
0.16%
Brookfield
Retail
Holdings
VII
Sub
3
LLC
3.16%,
08/28/2023
(o)
4,016
3,444
3
Month
USD
LIBOR
+
2.25%
Realogy
Group
LLC
2.42%,
02/08/2023
(o)
725
696
3
Month
USD
LIBOR
+
2.25%
3.00%,
02/08/2025
(o)
961
915
3
Month
USD
LIBOR
+
2.25%
$
5,055
REITs
-
0.04%
Blackstone
Mortgage
Trust
Inc
2.41%,
04/23/2026
(o)
1,485
1,418
1
Month
USD
LIBOR
+
2.25%
Retail
-
0.60%
1011778
BC
ULC
1.91%,
11/14/2026
(o)
2,102
2,021
1
Month
USD
LIBOR
+
1.75%
Academy
Ltd
5.00%,
07/01/2022
(o)
1,956
1,836
3
Month
USD
LIBOR
+
4.00%
Belk
Inc
7.75%,
07/31/2025
(o)
1,649
614
1
Month
USD
LIBOR
+
6.75%
BJ's
Wholesale
Club
Inc
2.16%,
02/03/2024
(o)
958
949
1
Month
USD
LIBOR
+
2.25%
CWGS
Group
LLC
3.50%,
11/08/2023
(o)
2,980
2,884
3
Month
USD
LIBOR
+
2.75%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
75
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Retail
(continued)
EG
America
LLC
5.07%,
02/07/2025
(o)
$
1,222
$
1,182
3
Month
USD
LIBOR
+
4.00%
Petco
Animal
Supplies
Inc
4.25%,
01/26/2023
(o)
423
360
3
Month
USD
LIBOR
+
3.25%
PetSmart
Inc
5.00%,
03/11/2022
(o)
6,928
6,909
1
Month
USD
LIBOR
+
4.00%
Serta
Simmons
Bedding
LLC
8.50%,
08/10/2023
(o)
61
60
1
Month
USD
LIBOR
+
7.50%
8.50%,
08/10/2023
(o)
384
304
1
Month
USD
LIBOR
+
7.50%
SRS
Distribution
Inc
4.07%,
05/19/2025
(o)
1,147
1,113
3
Month
USD
LIBOR
+
3.25%
Whatabrands
LLC
2.91%,
08/02/2026
(o)
843
821
1
Month
USD
LIBOR
+
2.75%
$
19,053
Semiconductors
-
0.08%
Bright
Bidco
BV
4.57%,
06/30/2024
(o)
2,920
1,294
3
Month
USD
LIBOR
+
3.50%
MACOM
Technology
Solutions
Holdings
Inc
2.41%,
05/17/2024
(o)
627
605
3
Month
USD
LIBOR
+
2.25%
Microchip
Technology
Inc
2.17%,
05/29/2025
(o)
569
558
3
Month
USD
LIBOR
+
2.00%
$
2,457
Software
-
1.91%
Blackboard
Inc
7.00%,
06/30/2024
(o)
2,978
2,843
1
Month
USD
LIBOR
+
6.00%
Boxer
Parent
Co
Inc
4.41%,
10/02/2025
(o)
573
562
3
Month
USD
LIBOR
+
4.25%
BY
Crown
Parent
LLC
4.00%,
01/31/2026
(o)
1,099
1,090
1
Month
USD
LIBOR
+
3.00%
Camelot
Finance
SA
3.16%,
10/28/2026
(o)
1,205
1,182
1
Month
USD
LIBOR
+
3.25%
Cengage
Learning
Inc
5.25%,
06/07/2023
(o)
3,217
2,642
3
Month
USD
LIBOR
+
4.25%
Ceridian
HCM
Holding
Inc
2.61%,
04/04/2025
(o)
1,522
1,484
3
Month
USD
LIBOR
+
3.00%
DiscoverOrg
LLC
3.91%,
02/02/2026
(o)
1,449
1,434
3
Month
USD
LIBOR
+
4.50%
DTI
Holdco
Inc
5.75%,
10/02/2023
(o)
921
759
3
Month
USD
LIBOR
+
4.75%
Dun
&
Bradstreet
Corp/The
3.92%,
02/06/2026
(o)
1,548
1,543
1
Month
USD
LIBOR
+
3.75%
Dynatrace
LLC
2.41%,
08/08/2025
(o)
572
562
1
Month
USD
LIBOR
+
2.75%
Epicor
Software
Corp
5.25%,
07/30/2027
(o)
6,824
6,823
1
Month
USD
LIBOR
+
4.25%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
(continued)
Evergreen
Skills
Lux
Sarl
0.00%,
04/28/2021
(c),(o)
$
5,015
$
3,275
3
Month
USD
LIBOR
+
4.75%
0.00%,
04/28/2022
(c),(o)
804
23
3
Month
USD
LIBOR
+
8.25%
Finastra
USA
Inc
4.83%,
06/13/2024
(o)
2,336
2,196
3
Month
USD
LIBOR
+
3.50%
Greeneden
US
Holdings
II
LLC
3.41%,
12/01/2023
(o)
4,011
3,942
3
Month
USD
LIBOR
+
3.25%
Greenway
Health
LLC
4.82%,
02/16/2024
(o)
266
225
3
Month
USD
LIBOR
+
4.25%
Informatica
LLC
3.41%,
02/14/2027
(o)
2,021
1,975
1
Month
USD
LIBOR
+
3.25%
MA
FinanceCo
LLC
2.66%,
06/21/2024
(o)
566
539
3
Month
USD
LIBOR
+
2.50%
5.25%,
05/29/2025
(o)
261
260
1
Month
USD
LIBOR
+
4.25%
Project
Boost
Purchaser
LLC
3.66%,
05/22/2026
(o)
991
953
3
Month
USD
LIBOR
+
3.50%
Rackspace
Hosting
Inc
4.00%,
11/03/2023
(o)
5,709
5,641
3
Month
USD
LIBOR
+
3.00%
Riverbed
Technology
Inc
4.25%,
04/24/2022
(o)
2,164
1,911
3
Month
USD
LIBOR
+
3.25%
Seattle
SpinCo
Inc
2.66%,
06/21/2024
(o)
3,821
3,640
3
Month
USD
LIBOR
+
2.50%
Skillsoft
0.00%,
12/27/2024
(c),(o)
242
241
3
Month
USD
LIBOR
+
7.50%
8.50%,
09/17/2020
(o)
248
243
1
Month
USD
LIBOR
+
7.50%
Sophia
LP
4.25%,
09/30/2022
(o)
3,462
3,448
3
Month
USD
LIBOR
+
3.25%
SS&C
Technologies
Inc
1.89%,
04/16/2025
(o)
1,106
1,073
1
Month
USD
LIBOR
+
1.75%
1.89%,
04/16/2025
(o)
777
754
1
Month
USD
LIBOR
+
1.75%
1.89%,
04/16/2025
(o)
2,292
2,224
1
Month
USD
LIBOR
+
1.75%
TIBCO
Software
Inc
3.91%,
06/30/2026
(o)
1,770
1,707
1
Month
USD
LIBOR
+
3.75%
Ultimate
Software
Group
Inc
/The
3.91%,
05/03/2026
(o)
2,233
2,215
3
Month
USD
LIBOR
+
3.75%
4.75%,
05/04/2026
(o)
943
941
1
Month
USD
LIBOR
+
4.00%
Xperi
Holding
Corp
4.14%,
06/01/2025
(o)
750
732
1
Month
USD
LIBOR
+
4.00%
Zelis
Payments
Buyer
Inc
4.91%,
09/25/2026
(o)
1,531
1,529
1
Month
USD
LIBOR
+
4.75%
$
60,611
Telecommunications
-
1.59%
Altice
France
SA/France
4.75%,
08/14/2026
(o)
3,930
3,871
3
Month
USD
LIBOR
+
4.00%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
76
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
Avaya
Inc
4.41%,
12/16/2024
(o)
$
5,352
$
5,194
3
Month
USD
LIBOR
+
4.25%
CenturyLink
Inc
2.41%,
03/15/2027
(o)
4,114
3,969
1
Month
USD
LIBOR
+
2.25%
CommScope
Inc
3.41%,
04/06/2026
(o)
2,771
2,708
3
Month
USD
LIBOR
+
3.25%
Connect
Finco
SARL
5.50%,
09/23/2026
(o)
1,870
1,818
1
Month
USD
LIBOR
+
4.50%
Consolidated
Communications
Inc
4.00%,
10/05/2023
(o)
1,146
1,116
3
Month
USD
LIBOR
+
3.00%
Frontier
Communications
Corp
5.35%,
06/15/2024
(o)
5,657
5,700
3
Month
USD
LIBOR
+
3.75%
Intelsat
Jackson
Holdings
SA
6.50%,
07/13/2022
(o)
1,748
1,777
1
Month
USD
LIBOR
+
5.50%
8.00%,
11/27/2023
(o)
9,816
9,876
1
Month
USD
LIBOR
+
3.75%
8.62%,
01/15/2024
(o)
2,425
2,448
Intrado
Corp
4.50%,
10/10/2024
(o)
544
482
3
Month
USD
LIBOR
+
3.50%
5.00%,
10/10/2024
(o)
2,584
2,306
3
Month
USD
LIBOR
+
4.00%
Iridium
Satellite
LLC
4.75%,
10/16/2026
(o)
2,600
2,605
1
Month
USD
LIBOR
+
3.75%
Maxar
Technologies
Ltd
2.91%,
10/05/2024
(o)
1,395
1,345
3
Month
USD
LIBOR
+
2.75%
MLN
US
Holdco
LLC
4.66%,
11/30/2025
(o)
744
629
3
Month
USD
LIBOR
+
4.50%
Plantronics
Inc
2.76%,
07/02/2025
(o)
1,392
1,298
3
Month
USD
LIBOR
+
2.50%
T-Mobile
USA
Inc
3.14%,
04/01/2027
(o)
1,500
1,503
1
Month
USD
LIBOR
+
3.00%
Windstream
Services
LLC
0.00%,
08/11/2027
(o),(q)
1,140
1,110
6.15%,
09/30/2020
(o)
1,150
673
3
Month
USD
LIBOR
+
2.00%
Zayo
Group
Holdings
Inc
3.16%,
02/19/2027
(o)
219
213
1
Month
USD
LIBOR
+
3.00%
$
50,641
Transportation
-
0.06%
CEVA
Logistics
Finance
BV
5.31%,
08/04/2025
(o)
733
645
3
Month
USD
LIBOR
+
5.00%
Genesee
&
Wyoming
Inc
2.31%,
11/06/2026
(o)
797
783
1
Month
USD
LIBOR
+
2.00%
XPO
Logistics
Inc
2.16%,
02/24/2025
(o)
644
631
3
Month
USD
LIBOR
+
2.00%
$
2,059
TOTAL
SENIOR
FLOATING
RATE
INTERESTS
$
479,702
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
17.78%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
1.79%
0.16%,
07/31/2022
(l)
$
8,000
$
7,999
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.06%
0.21%,
04/30/2022
(l)
17,000
17,018
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.11%
0.40%,
10/31/2021
(l),(r)
30,000
30,097
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.30%
1.13%,
08/15/2040
800
786
1.38%,
08/15/2050
1,045
1,025
$
56,925
U.S.
Treasury
Bill
-
0.22%
0.13%,
10/08/2020
(l),(n)
7,000
6,999
U.S.
Treasury
Inflation-Indexed
Obligations
-
15.77%
0.13%,
01/15/2022
4,514
4,608
0.13%,
04/15/2022
17,191
17,588
0.13%,
07/15/2022
23,092
23,834
0.13%,
01/15/2023
19,058
19,764
0.13%,
07/15/2024
9,289
9,911
0.13%,
10/15/2024
2,658
2,847
0.13%,
04/15/2025
14,811
15,927
0.13%,
07/15/2026
13,032
14,276
0.13%,
01/15/2030
(r)
17,285
19,333
0.13%,
07/15/2030
8,496
9,571
0.25%,
01/15/2025
1,734
1,867
0.25%,
07/15/2029
13,142
14,869
0.25%,
02/15/2050
5,831
6,932
0.38%,
07/15/2023
18,590
19,655
0.38%,
07/15/2025
(r)
21,675
23,751
0.38%,
01/15/2027
(r)
25,885
28,786
0.38%,
07/15/2027
20,529
23,047
0.50%,
01/15/2028
19,660
22,271
0.63%,
04/15/2023
18,611
19,605
0.63%,
01/15/2024
13,115
14,051
0.63%,
01/15/2026
(r)
19,423
21,613
0.63%,
02/15/2043
6,515
7,968
0.75%,
07/15/2028
(r)
20,964
24,412
0.75%,
02/15/2042
9,032
11,274
0.75%,
02/15/2045
10,090
12,804
0.88%,
01/15/2029
(r)
10,364
12,200
0.88%,
02/15/2047
6,701
8,914
1.00%,
02/15/2046
5,833
7,857
1.00%,
02/15/2048
5,698
7,933
1.00%,
02/15/2049
5,583
7,851
1.38%,
02/15/2044
8,141
11,521
1.75%,
01/15/2028
3,149
3,871
2.00%,
01/15/2026
7,852
9,345
2.13%,
02/15/2040
3,377
5,157
2.13%,
02/15/2041
5,446
8,407
2.38%,
01/15/2025
2,343
2,750
2.38%,
01/15/2027
7,365
9,181
2.50%,
01/15/2029
4,228
5,583
3.38%,
04/15/2032
3,262
5,014
3.63%,
04/15/2028
3,597
4,982
$
501,130
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
565,054
TOTAL
PURCHASED
OPTIONS
-
0.00%
$
84
TOTAL
PURCHASED
INTEREST
RATE
SWAPTIONS
-
0.08%
$
2,495
TOTAL
PURCHASED
CAPPED
OPTIONS
-
0.01%
$
206
Total
Investments
$
3,165,926
Other
Assets
and
Liabilities
- 0.38%
12,002
TOTAL
NET
ASSETS
-
100.00%
$
3,177,928
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
77
(a)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(b)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(c)
Non-income
producing
security
(d)
Current
yield
shown
is
as
of
period
end.
(e)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$11,380
or
0.36%
of
net
assets.
(f)
Restricted
Security.
Please
see
Restricted
Security
sub-schedule
for
additional
information.
(g)
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
$175,049
or
5.51%
of
net
assets.
(h)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(
i
)
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
$4,756
or
0.15%
of
net
assets.
(j)
Security
is
an
Interest
Only
Strip.
(k)
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.
(l)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
(m)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
futures
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$22,555
or
0.71%
of
net
assets.
(n)
Rate
shown
is
the
discount
rate
of
the
original
purchase.
(o)
Rate
information
disclosed
is
based
on
an
average
weighted
rate
of
the
underlying
tranches
as
of
period
end.
(p)
Payment
in
kind;
the
issuer
has
the
option
of
paying
additional
securities
in
lieu
of
cash.
(q)
This
Senior
Floating
Rate
Note
will
settle
after
August
31,
2020,
at
which
time
the
interest
rate
will
be
determined.
(r)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
swap
and/or
swaption
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$4,198
or
0.13%
of
net
assets.
Portfolio
Summary (unaudited)
Sector
Percent
Government
26.67%
Utilities
12.50%
Financial
12.18%
Basic
Materials
9.78%
Energy
9.21%
Consumer,
Non-cyclical
6.80%
Industrial
6.70%
Mortgage
Securities
4.14%
Communications
3.40%
Consumer,
Cyclical
3.24%
Technology
2.51%
Money
Market
Funds
2.19%
Investment
Companies
0.21%
Purchased
Interest
Rate
Swaptions
0.08%
Purchased
Capped
Options
0.01%
Purchased
Options
0.00%
Other
Assets
and
Liabilities
0.38%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
115,751
$
2,544,812
$
2,591,155
$
69,408
$
115,751
$
2,544,812
$
2,591,155
$
69,408
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
1,133
$
—
$
—
$
—
$
1,133
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Restricted
Securities
Security
Name
Acquisition
Date
Cost
Value
Percent
of
Net
Assets
Advanz
Pharma
Corp
Ltd
08/08/2018
$
209
$
51
0.00%
Fieldwood
Energy
LLC
04/05/2018
273
—
0.00%
Millennium
Health
LLC
03/15/2016
—
23
0.00%
Millennium
Health
LLC
03/15/2016
—
19
0.00%
Total
$
93
0.00%
Amounts
in
thousands.
Purchased
Capped
Options
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.30%)
Receive
$
38,200
0.30%
02/15/2022
$
68
$
188
$
120
Call
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.30%)
Receive
3,630
0.30%
02/15/2022
15
18
3
Total
$
83
$
206
$
123
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
78
Written
Capped
Options
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.55%)
Receive
$
19,100
0.55%
02/15/2022
$
(16)
$
(59)
$
(43)
Put
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.55%)
Receive
19,100
0.55%
02/15/2022
(19)
(59)
(40)
Total
$
(35)
$
(118)
$
(83)
Amounts
in
thousands.
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
EUR
versus
GBP
Citigroup
Inc
1
EUR
2,545
EUR
0.90
11/03/2020
$
41
$
27
$
(14)
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
204
$
510
$
99.75
12/14/2021
40
56
16
Put
-
US
10
Year
Note
Future;
December
2020
N/A
14
14
$
138.50
09/08/2020
3
1
(2)
Total
$
84
$
84
$
—
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
51
$
128
$
100.00
12/14/2021
$
(8)
$
(6)
$
2
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
102
255
$
99.38
12/14/2021
(5
2
)
(110)
(5
8
)
Total
$
(
60
)
$
(116)
$
(5
6
)
Amounts
in
thousands
except
contracts/shares.
Interest
Rate
Swaptions
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
880
1.77%
11/06/2024
$
10
$
11
$
1
Call
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
6,310
0.39%
05/23/2023
19
19
—
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
9,290
1.77%
11/06/2024
50
115
65
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,760
1.46%
08/17/2021
63
124
61
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,120
1.50%
02/26/2025
59
75
16
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560
3.08%
01/30/2029
32
98
66
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,490
3.09%
12/07/2038
69
273
204
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,956
2.98%
03/08/2024
90
365
275
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,330
2.95%
03/13/2024
60
245
185
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560
3.05%
01/11/2029
32
97
65
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
280
1.42%
06/06/2025
20
18
(2)
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
505
1.42%
06/06/2025
27
32
5
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
505
1.28%
06/05/2025
27
28
1
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
740
0.89%
05/01/2025
40
28
(12)
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
410
2.99%
04/28/2038
19
72
53
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
130
2.86%
02/23/2039
7
22
15
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
79
Interest
Rate
Swaptions
(continued)
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
$
560
3.04%
01/12/2029
$
32
$
96
$
64
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
16,130
1.20%
09/24/2020
50
318
268
Call
-
20
Year
Interest
Rate
Swap
Deutsche
Bank
AG
6
Month
JPY
LIBOR
Pay
JPY
3,760
0.78%
04/19/2021
2
3
1
Call
-
20
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
JPY
LIBOR
Receive
39,560
0.78%
04/19/2021
12
35
23
Call
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
$
50
0.83%
11/24/2020
2
1
(1)
Call
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
550
0.83%
11/24/2020
38
12
(26)
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
880
1.77%
11/06/2024
1
1
—
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
9,290
1.77%
11/06/2024
51
11
(40)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,760
1.46%
08/17/2021
63
10
(53)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
JPY
LIBOR
Pay
JPY
758,545
1.10%
06/30/2022
103
1
(102)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
1,490
3.09%
12/07/2038
70
45
(25)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
560
3.05%
01/11/2029
32
11
(21)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
560
3.08%
01/30/2029
32
11
(21)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,120
1.50%
02/26/2025
59
43
(16)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,956
2.98%
03/08/2024
89
10
(79)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,330
2.95%
03/13/2024
60
7
(53)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,390
2.25%
08/09/2022
33
6
(27)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
280
1.42%
06/06/2025
12
12
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
505
1.42%
06/06/2025
27
22
(5)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
740
0.89%
05/01/2025
40
50
10
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
320
2.50%
06/21/2024
3
3
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
505
1.28%
06/05/2025
28
25
(3)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
2,010
2.25%
08/03/2022
54
8
(46)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
410
2.99%
04/28/2038
19
13
(6)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
130
2.86%
02/23/2039
6
4
(2)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,960
2.50%
06/14/2024
89
21
(68)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,330
2.50%
06/21/2024
54
14
(40)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
560
3.04%
01/12/2029
32
11
(21)
Put
-
20
Year
Interest
Rate
Swap
Deutsche
Bank
AG
6
Month
JPY
LIBOR
Receive
JPY
3,760
0.78%
04/19/2021
2
—
(2)
Put
-
20
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
JPY
LIBOR
Receive
39,560
0.78%
04/19/2021
12
—
(12)
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
2,210
2.85%
05/10/2022
128
15
(113)
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,390
3.80%
06/08/2021
55
1
(54)
Put
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
50
0.83%
11/24/2020
4
4
—
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
80
Interest
Rate
Swaptions
(continued)
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
$
550
0.83%
11/24/2020
$
38
$
49
$
11
Put
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
465
1.35%
09/08/2020
19
—
(19)
Put
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
40
1.35%
09/08/2020
1
—
(1)
Total
$
1,976
$
2,495
$
519
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
880
0.37%
03/18/2021
$
(2)
$
(2)
$
—
Call
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
610
0.69%
04/12/2023
(3)
(3)
—
Call
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
6,310
0.69%
04/12/2023
(25)
(32)
(7)
Call
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
3,230
0.61%
04/07/2023
(12)
(14)
(2)
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
9,290
1.58%
11/06/2020
(22)
(126)
(104)
Call
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
9,290
0.41%
03/18/2021
(15)
(20)
(5)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,110
0.71%
04/07/2021
(31)
(19)
12
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
550
0.69%
04/07/2021
(15)
(9)
6
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
550
0.88%
04/15/2021
(14)
(14)
—
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,420
1.74%
11/20/2020
(58)
(244)
(186)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,590
3.05%
03/13/2029
(85)
(274)
(189)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,464
2.79%
03/09/2021
(74)
(494)
(420)
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
525
0.72%
04/19/2021
(14)
(9)
5
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
550
0.69%
04/07/2021
(15)
(9)
6
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
610
0.79%
04/16/2021
(16)
(13)
3
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
110
0.74%
05/03/2022
(3)
(3)
—
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,190
0.67%
07/15/2021
(30)
(21)
9
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,190
0.72%
06/30/2021
(31)
(23)
8
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,030
0.82%
06/17/2021
(26)
(25)
1
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,140
0.74%
05/03/2022
(39)
(29)
10
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,100
0.69%
05/14/2021
(28)
(19)
9
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
2,170
0.75%
06/03/2021
(54)
(44)
10
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,190
0.74%
06/28/2021
(32)
(25)
7
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
525
0.77%
04/16/2021
(15)
(11)
4
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,680
0.74%
04/20/2021
(46)
(32)
14
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,110
0.87%
04/12/2021
(31)
(29)
2
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
445
0.85%
04/08/2021
(12)
(11)
1
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
81
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
$
660
0.73%
04/07/2021
$
(17)
$
(12)
$
5
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,105
0.71%
04/02/2021
(31)
(19)
12
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
32,250
0.70%
09/24/2020
(36)
(314)
(278)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
5,728
1.53%
12/14/2020
(27)
(151)
(124)
Call
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
5,725
1.51%
12/15/2020
(27)
(148)
(121)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
290
0.65%
06/17/2022
(5)
(5)
—
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
EUR
2,400
0.12%
04/05/2022
(31)
(41)
(10)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
2,780
0.02%
04/08/2022
(35)
(58)
(23)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
1,020
0.04%
09/14/2022
(16)
(21)
(5)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
1,023
0.14%
09/13/2022
(15)
(17)
(2)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
690
0.02%
04/08/2022
(13)
(14)
(1)
Call
-
5
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
$
10,710
0.25%
06/30/2021
(68)
(51)
17
Call
-
5
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,660
0.15%
10/14/2020
(2)
—
2
Call
-
5
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
2,680
0.15%
10/20/2020
(2)
(1)
1
Call
-
5
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
3,030
0.61%
06/16/2022
(45)
(44)
1
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
610
0.69%
04/12/2023
(1)
(1)
—
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
880
0.37%
03/18/2021
—
—
—
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
20,360
2.35%
05/18/2021
(41)
—
41
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
27,720
2.15%
05/28/2021
(78)
—
78
Put
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
6,310
0.69%
04/12/2023
(25)
(8)
17
Put
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
3,230
0.61%
04/07/2023
(12)
(4)
8
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
9,290
1.58%
11/06/2020
(22)
—
22
Put
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
34,330
2.40%
06/02/2021
(62)
—
62
Put
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
9,290
0.41%
03/18/2021
(16)
(1)
15
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,040
1.64%
11/03/2020
(25)
—
25
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,390
3.25%
08/09/2022
(8)
(1)
7
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
550
0.69%
04/07/2021
(16)
(13)
3
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
730
1.10%
07/15/2021
(7)
(8)
(1)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
4,670
1.00%
06/02/2021
(71)
(60)
11
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
750
1.10%
07/19/2021
(8)
(9)
(1)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,464
2.79%
03/09/2021
(73)
—
73
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,010
1.62%
09/15/2020
(25)
—
25
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,216
1.60%
03/07/2022
(20)
(10)
10
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
82
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
1,050
1.62%
11/03/2020
$
(26)
$
—
$
26
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,000
1.76%
09/17/2020
(50)
—
50
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,110
0.71%
04/07/2021
(31)
(24)
7
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,930
3.87%
06/08/2021
(57)
—
57
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,420
1.74%
11/20/2020
(58)
—
58
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,590
3.05%
03/13/2029
(84)
(31)
53
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,390
2.75%
08/09/2022
(17)
(3)
14
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,950
2.10%
01/07/2022
(44)
(5)
39
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,950
2.15%
01/11/2022
(45)
(5)
40
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
4,810
2.75%
05/10/2022
(140)
(7)
133
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,070
1.05%
06/14/2021
(16)
(13)
3
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
550
0.88%
04/15/2021
(15)
(8)
7
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,300
1.85%
02/23/2022
(23)
(7)
16
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,300
1.85%
02/23/2022
(23)
(7)
16
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,000
0.95%
08/05/2021
(11)
(17)
(6)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,140
0.74%
05/03/2022
(40)
(44)
(4)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,100
0.69%
05/14/2021
(28)
(28)
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,790
1.60%
03/07/2022
(19)
(15)
4
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
525
0.77%
04/16/2021
(14)
(10)
4
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,190
0.67%
07/15/2021
(30)
(35)
(5)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
110
0.74%
05/03/2022
(4)
(4)
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,030
0.82%
06/17/2021
(25)
(21)
4
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
440
1.00%
06/02/2021
(8)
(6)
2
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,190
0.72%
06/30/2021
(31)
(31)
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
2,170
0.75%
06/03/2021
(54)
(50)
4
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,090
0.95%
08/06/2021
(13)
(19)
(6)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
160
2.25%
08/21/2024
(2)
(2)
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,230
1.60%
03/01/2022
(22)
(10)
12
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
610
0.79%
04/16/2021
(16)
(11)
5
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,230
1.60%
03/04/2022
(22)
(10)
12
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,190
0.74%
06/28/2021
(31)
(29)
2
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
100
1.05%
06/14/2021
(1)
(1)
—
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,935
1.60%
03/07/2022
(33)
(16)
17
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
83
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
$
550
0.69%
04/07/2021
$
(15)
$
(13)
$
2
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
680
1.15%
01/11/2022
(10)
(11)
(1)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
525
0.72%
04/19/2021
(15)
(12)
3
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,010
2.75%
08/03/2022
(28)
(4)
24
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,010
3.25%
08/03/2022
(13)
(2)
11
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,105
0.71%
04/02/2021
(31)
(24)
7
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
660
0.73%
04/07/2021
(17)
(14)
3
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,330
3.50%
06/21/2024
(20)
(5)
15
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,960
3.00%
06/14/2024
(54)
(12)
42
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
445
0.85%
04/08/2021
(12)
(7)
5
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,730
2.25%
08/21/2024
(51)
(26)
25
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,110
0.87%
04/12/2021
(31)
(17)
14
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,960
3.50%
06/14/2024
(33)
(7)
26
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,760
1.95%
01/31/2022
(41)
(7)
34
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,680
0.74%
04/20/2021
(46)
(35)
11
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,330
3.00%
06/21/2024
(32)
(8)
24
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,400
0.00%
06/28/2021
(6)
(1)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,190
0.00%
06/15/2021
(6)
—
6
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
3,330
0.15%
08/10/2021
(5)
(2)
3
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
11,740
2.00%
11/30/2020
(16)
—
16
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
5,880
0.15%
08/10/2021
(8)
(3)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
5,220
1.05%
10/05/2020
(9)
—
9
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,400
3.25%
12/30/2020
(9)
—
9
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,200
0.00%
06/21/2021
(5)
—
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
7,830
0.16%
04/13/2021
(26)
—
26
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
7,830
0.10%
04/13/2021
(27)
(1)
26
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
5,728
1.53%
12/14/2020
(27)
—
27
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
7,920
0.25%
09/06/2021
(12)
(7)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,130
0.00%
06/15/2021
(5)
—
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,570
0.00%
06/22/2021
(7)
(1)
6
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
4,870
0.05%
06/11/2021
(13)
(1)
12
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,630
0.00%
07/20/2021
(5)
(1)
4
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
4,950
0.11%
05/18/2021
(17)
(1)
16
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
84
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,500
0.05%
07/06/2021
$
(6)
$
(1)
$
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,570
0.00%
07/02/2021
(6)
(1)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
8,490
0.25%
09/07/2021
(14)
(8)
6
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
10,110
0.10%
03/30/2021
(36)
(1)
35
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
$
5,220
1.05%
10/05/2020
(7)
—
7
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
4,845
1.00%
10/06/2020
(5)
—
5
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
9,710
0.60%
09/25/2020
(11)
—
11
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
7,790
0.15%
04/20/2021
(28)
(1)
27
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
$
5,725
1.51%
12/15/2020
(27)
—
27
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
3,140
0.08%
06/01/2021
(9)
—
9
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,400
0.12%
04/05/2022
(30)
(19)
11
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
1,023
0.14%
09/13/2022
(15)
(12)
3
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,780
0.02%
04/08/2022
(36)
(18)
18
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
690
0.02%
04/08/2022
(5)
(4)
1
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
1,020
0.04%
09/14/2022
(16)
(10)
6
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
290
0.65%
06/17/2022
(4)
(3)
1
Put
-
5
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
3,320
0.45%
10/14/2020
(5)
(2)
3
Put
-
5
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
2,680
0.45%
10/20/2020
(2)
(2)
—
Put
-
5
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
3,030
0.61%
06/16/2022
(46)
(37)
9
Total
$
(3,621)
$
(3,375)
$
246
Amounts
in
thousands.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
Brent
Crude;
November
2020
(a)
Long
142
$
6,430
$
262
Canada
10
Year
Bond;
December
2020
Long
19
2,199
(14)
Cocoa;
December
2020
(a)
Long
409
10,855
562
Coffee
'C';
December
2020
(a)
Long
328
15,873
1,221
Copper;
December
2020
(a)
Long
310
23,727
1,126
Corn;
December
2020
(a)
Long
729
13,040
(46)
Cotton
No.2;
December
2020
(a)
Long
260
8,471
106
Euro
Bond
10
Year
Bond;
September
2020
Short
38
7,961
(14)
Euro
Buxl
30
Year
Bond;
December
2020
Short
6
1,542
(4)
Euro
Buxl
30
Year
Bond;
September
2020
Short
3
777
—
Euro-BTP;
September
2020
Short
11
1,919
(82)
Feeder
Cattle;
October
2020
(a)
Short
137
9,633
311
Gasoline
RBOB;
November
2020
(a)
Long
49
2,445
(22)
Gold
100
oz
;
December
2020
(a)
Long
84
16,620
1,289
Japan
10
Year
Bond
TSE;
September
2020
Short
10
14,312
33
KC
HRW
Wheat;
December
2020
(a)
Long
583
13,853
664
Lean
Hogs;
December
2020
(a)
Short
101
2,227
(48)
Lean
Hogs;
October
2020
(a)
Short
307
6,582
(178)
Live
Cattle;
December
2020
(a)
Short
33
1,439
2
Live
Cattle;
October
2020
(a)
Short
89
3,749
(23)
LME
Copper;
November
2020
(a)
Short
—
—
(71)
LME
Copper;
September
2020
(a)
Short
—
—
70
LME
Lead;
December
2020
(a)
Short
106
5,238
(6)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
85
Futures
Contracts
(continued)
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
LME
Lead;
November
2020
(a)
Short
2
$
98
$
(255)
LME
Lead;
September
2020
(a)
Short
—
—
662
LME
Nickel;
December
2020
(a)
Short
91
8,399
(462)
LME
Nickel;
June
2021
(a)
Long
8
743
52
LME
Nickel;
September
2020
(a)
Short
—
—
146
LME
PRI
Alum;
December
2020
(a)
Long
16
723
394
LME
PRI
Alum;
June
2021
(a)
Long
256
11,793
205
LME
PRI
Alum;
September
2020
(a)
Short
—
—
(469)
LME
Zinc;
December
2020
(a)
Long
229
14,426
1,461
LME
Zinc;
September
2020
(a)
Short
—
—
2,099
Low
Sulphur
Gasoline;
November
2020
(a)
Short
160
5,984
65
Natural
Gas;
January
2021
(a)
Long
89
2,986
132
Natural
Gas;
November
2020
(a)
Short
187
5,460
(257)
NY
Harb
ULSD;
November
2020
(a)
Short
189
9,846
345
Palladium;
December
2020
(a)
Short
14
3,191
(129)
Platinum;
January
2021
(a)
Short
13
616
10
Platinum;
October
2020
(a)
Short
83
3,892
(19)
Silver;
December
2020
(a)
Long
95
13,582
3,077
Soybean
Meal;
December
2020
(a)
Long
234
7,312
399
Soybean
Oil;
December
2020
(a)
Long
489
9,641
704
Soybean;
November
2020
(a)
Long
138
6,579
307
Sugar
#11;
March
2021
(a)
Long
106
1,577
(13)
Sugar
#11;
October
2020
(a)
Long
10
142
(6)
US
10
Year
Note;
December
2020
Short
46
6,406
(13)
US
10
Year
Ultra
Note;
December
2020
Short
138
22,002
(31)
US
2
Year
Note;
December
2020
Long
262
57,888
26
US
5
Year
Note;
December
2020
Long
130
16,384
22
US
Long
Bond;
December
2020
Short
3
527
1
US
Ultra
Bond;
December
2020
Long
5
1,104
(8)
Wheat;
December
2020
(a)
Long
107
2,955
251
WTI
Crude;
March
2021
(a)
Long
390
17,183
54
WTI
Crude;
November
2020
(a)
Short
277
11,883
(3)
Total
$
13,885
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
ANZ
Stockbroking
09/03/2020
GBP
109
$
143
$
3
$
—
ANZ
Stockbroking
09/03/2020
$
11,530
EUR
9,731
—
(83)
ANZ
Stockbroking
11/02/2020
$
36
EUR
30
—
—
Bank
of
America
NA
09/03/2020
$
21,853
JPY
2,296,462
17
2
—
Bank
of
America
NA
09/03/2020
NZD
18,017
$
12,109
27
—
Bank
of
America
NA
09/16/2020
CAD
4,668
$
3,445
134
—
Bank
of
America
NA
10/05/2020
$
12,109
NZD
18,017
—
(23)
BNP
Paribas
09/03/2020
$
2,321
AUD
3,251
—
(77)
BNP
Paribas
09/03/2020
$
42
GBP
32
—
(1)
BNP
Paribas
09/03/2020
NZD
1,606
$
1,060
22
—
BNP
Paribas
09/16/2020
$
849
CAD
1,109
—
(1)
Citigroup
Inc
09/03/2020
$
2,716
GBP
2,059
—
(36)
Citigroup
Inc
09/03/2020
GBP
1,982
$
2,639
10
—
Citigroup
Inc
09/03/2020
CAD
157
$
120
—
—
Citigroup
Inc
09/03/2020
$
310
NZD
475
—
(10)
Citigroup
Inc
09/16/2020
$
1,760
CAD
2,353
—
(44)
Citigroup
Inc
10/05/2020
$
2,640
GBP
1,982
—
(9)
Citigroup
Inc
10/05/2020
$
120
CAD
157
—
—
Goldman
Sachs
&
Co
09/03/2020
NZD
1,923
$
1,293
2
—
HSBC
Securities
Inc
09/03/2020
$
266
CAD
355
—
(6)
JPMorgan
Chase
09/03/2020
JPY
2,287,697
$
21,585
15
—
JPMorgan
Chase
10/05/2020
$
183
EUR
154
—
—
JPMorgan
Chase
10/05/2020
$
21,763
JPY
2,305,586
—
(19)
Morgan
Stanley
&
Co
09/03/2020
AUD
3,318
$
2,437
10
—
Royal
Bank
of
Scotland
09/03/2020
$
276
NZD
415
—
(4)
Standard
Chartered
Bank,
Hong
Kong
09/03/2020
$
251
EUR
213
—
(3)
Standard
Chartered
Bank,
Hong
Kong
09/03/2020
$
13,716
NZD
20,656
—
(19
9
)
UBS
AG
09/03/2020
EUR
9,155
$
10,939
—
(14)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
86
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
UBS
AG
10/05/2020
$
10,947
EUR
9,155
$
15
$
—
Westpac
Banking
Corporation
11/02/2020
GBP
963
$
1,205
82
—
Westpac
Banking
Corporation
11/02/2020
$
1,205
EUR
1,060
—
(61)
Total
$
49
2
$
(5
90
)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
1.08%
Semiannual
Quarterly
N/A
09/16/2030
NZD
8,540
$
(241)
$
(26)
$
(267)
3
Month
USD
LIBOR
Receive
0.75%
Semiannual
Quarterly
N/A
09/02/2030
$
970
(3)
—
(3)
3
Month
USD
LIBOR
Pay
0.76%
Quarterly
Semiannual
N/A
09/08/2025
576
12
—
12
3
Month
USD
LIBOR
Receive
0.65%
Semiannual
Quarterly
N/A
11/04/2030
1,060
8
—
8
3
Month
USD
LIBOR
Pay
1.25%
Quarterly
Semiannual
N/A
09/08/2050
190
8
—
8
3
Month
USD
LIBOR
Receive
0.82%
Semiannual
Quarterly
N/A
09/08/2025
1,110
(27)
—
(27)
3
Month
USD
LIBOR
Pay
0.68%
Quarterly
Semiannual
N/A
03/06/2022
1,720
12
—
12
3
Month
USD
LIBOR
Receive
1.11%
Semiannual
Quarterly
N/A
03/08/2032
545
(12)
—
(12)
3
Month
USD
LIBOR
Pay
0.64%
Quarterly
Semiannual
N/A
07/02/2030
620
(4)
—
(4)
3
Month
USD
LIBOR
Pay
1.02%
Quarterly
Semiannual
N/A
09/08/2030
820
25
—
25
3
Month
USD
LIBOR
Pay
0.25%
Quarterly
Semiannual
N/A
07/08/2023
2,610
(1)
—
(1)
3
Month
USD
LIBOR
Pay
0.73%
Quarterly
Semiannual
N/A
09/04/2022
5,790
60
—
60
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
2,920
39
—
39
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
2,905
39
—
39
3
Month
USD
LIBOR
Receive
0.67%
Semiannual
Quarterly
N/A
10/09/2030
1,070
6
—
6
3
Month
USD
LIBOR
Pay
1.24%
Quarterly
Semiannual
N/A
03/02/2030
600
31
—
31
3
Month
USD
LIBOR
Receive
2.46%
Semiannual
Quarterly
N/A
02/28/2022
9,730
(324)
1
(323)
3
Month
USD
LIBOR
Pay
2.52%
Quarterly
Semiannual
N/A
02/28/2025
700
70
—
70
3
Month
USD
LIBOR
Pay
0.57%
Quarterly
Semiannual
N/A
07/27/2030
290
(4)
—
(4)
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/30/2030
650
55
—
55
3
Month
USD
LIBOR
Pay
0.30%
Quarterly
Semiannual
N/A
05/05/2023
1,810
3
—
3
3
Month
USD
LIBOR
Receive
1.63%
Semiannual
Quarterly
N/A
02/10/2030
600
(53)
—
(53)
3
Month
USD
LIBOR
Pay
1.83%
Quarterly
Semiannual
N/A
02/10/2050
240
47
—
47
3
Month
USD
LIBOR
Receive
0.88%
Semiannual
Quarterly
N/A
07/12/2053
350
27
—
27
3
Month
USD
LIBOR
Pay
0.69%
Quarterly
Semiannual
N/A
03/11/2050
110
(12)
—
(12)
3
Month
USD
LIBOR
Pay
0.65%
Quarterly
Semiannual
N/A
07/12/2028
1,890
(9)
—
(9)
3
Month
USD
LIBOR
Pay
1.43%
Quarterly
Semiannual
N/A
02/25/2030
600
42
—
42
3
Month
USD
LIBOR
Pay
1.32%
Quarterly
Semiannual
N/A
02/26/2030
600
36
—
36
3
Month
USD
LIBOR
Receive
2.40%
Semiannual
Quarterly
N/A
02/26/2022
37,510
(1,219)
1
(1,218)
3
Month
USD
LIBOR
Receive
1.32%
Semiannual
Quarterly
N/A
08/27/2030
1,640
(97)
—
(97)
3
Month
USD
LIBOR
Receive
1.31%
Semiannual
Quarterly
N/A
02/27/2030
1,200
(71)
—
(71)
3
Month
USD
LIBOR
Pay
1.10%
Quarterly
Semiannual
N/A
03/01/2023
5,810
102
—
102
3
Month
USD
LIBOR
Pay
0.63%
Quarterly
Semiannual
N/A
07/10/2030
610
(5)
—
(5)
3
Month
USD
LIBOR
Pay
0.58%
Quarterly
Semiannual
N/A
07/28/2030
930
(12)
—
(12)
3
Month
USD
LIBOR
Receive
0.66%
Semiannual
Quarterly
N/A
03/11/2030
310
1
—
1
3
Month
USD
LIBOR
Pay
0.85%
Quarterly
Semiannual
N/A
03/12/2040
1,190
(59)
—
(59)
3
Month
USD
LIBOR
Receive
0.77%
Semiannual
Quarterly
N/A
05/04/2032
1,790
25
—
25
3
Month
USD
LIBOR
Receive
0.77%
Semiannual
Quarterly
N/A
05/06/2032
1,490
20
—
20
3
Month
USD
LIBOR
Pay
0.79%
Quarterly
Semiannual
N/A
05/09/2032
1,250
(15)
—
(15)
3
Month
USD
LIBOR
Receive
0.76%
Semiannual
Quarterly
N/A
05/03/2032
1,730
25
—
25
3
Month
USD
LIBOR
Receive
0.81%
Semiannual
Quarterly
N/A
05/18/2050
200
15
—
15
3
Month
USD
LIBOR
Receive
0.65%
Semiannual
Quarterly
N/A
04/20/2027
230
(1)
—
(1)
3
Month
USD
LIBOR
Pay
0.92%
Quarterly
Semiannual
N/A
05/16/2035
580
(17)
—
(17)
3
Month
USD
LIBOR
Receive
0.23%
Semiannual
Quarterly
N/A
11/24/2022
5,020
(1)
—
(1)
3
Month
USD
LIBOR
Receive
0.65%
Semiannual
Quarterly
N/A
06/02/2030
880
4
—
4
3
Month
USD
LIBOR
Pay
0.82%
Quarterly
Semiannual
N/A
04/14/2030
1,610
20
—
20
3
Month
USD
LIBOR
Receive
0.63%
Semiannual
Quarterly
N/A
04/14/2025
3,090
(46)
—
(46)
3
Month
USD
LIBOR
Pay
0.64%
Quarterly
Semiannual
N/A
04/07/2030
1,610
(8)
—
(8)
3
Month
USD
LIBOR
Pay
0.35%
Quarterly
Semiannual
N/A
10/02/2022
2,760
8
—
8
3
Month
USD
LIBOR
Pay
0.36%
Quarterly
Semiannual
N/A
06/02/2025
1,720
4
—
4
3
Month
USD
LIBOR
Pay
0.62%
Quarterly
Semiannual
N/A
05/04/2030
700
(5)
—
(5)
3
Month
USD
LIBOR
Receive
1.00%
Semiannual
Quarterly
N/A
06/03/2022
9,766
(134)
—
(134)
3
Month
USD
LIBOR
Receive
0.76%
Semiannual
Quarterly
N/A
06/03/2031
1,596
6
—
6
3
Month
USD
LIBOR
Receive
0.68%
Semiannual
Quarterly
N/A
09/16/2030
1,040
4
—
4
3
Month
USD
LIBOR
Receive
0.76%
Semiannual
Quarterly
N/A
09/02/2030
280
(1)
—
(1)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
87
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Pay
1.10%
Quarterly
Semiannual
N/A
08/21/2050
$
400
$
3
$
—
$
3
3
Month
USD
LIBOR
Pay
0.65%
Quarterly
Semiannual
N/A
06/20/2027
1,705
7
—
7
3
Month
USD
LIBOR
Receive
1.09%
Semiannual
Quarterly
N/A
06/20/2052
310
5
—
5
3
Month
USD
LIBOR
Pay
0.68%
Quarterly
Semiannual
N/A
06/20/2027
1,705
9
—
9
3
Month
USD
LIBOR
Receive
0.55%
Semiannual
Quarterly
N/A
03/12/2021
11,570
(18)
—
(18)
3
Month
USD
LIBOR
Receive
1.14%
Semiannual
Quarterly
N/A
06/20/2052
310
1
—
1
3
Month
USD
LIBOR
Pay
0.31%
Quarterly
Semiannual
N/A
06/14/2023
1,835
3
—
3
3
Month
USD
LIBOR
Pay
0.43%
Quarterly
Semiannual
N/A
09/29/2022
1,270
5
—
5
3
Month
USD
LIBOR
Pay
0.37%
Quarterly
Semiannual
N/A
09/29/2022
1,940
6
—
6
3
Month
USD
LIBOR
Pay
0.67%
Quarterly
Semiannual
N/A
06/03/2030
820
(3)
—
(3)
3
Month
USD
LIBOR
Pay
0.36%
Quarterly
Semiannual
N/A
09/29/2022
1,380
4
—
4
3
Month
USD
LIBOR
Pay
0.34%
Quarterly
Semiannual
N/A
09/29/2022
3,310
9
—
9
3
Month
USD
LIBOR
Pay
0.29%
Quarterly
Semiannual
N/A
06/14/2023
1,835
2
—
2
3
Month
USD
LIBOR
Pay
0.58%
Quarterly
Semiannual
N/A
07/31/2030
930
(12)
—
(12)
3
Month
USD
LIBOR
Pay
1.61%
Quarterly
Semiannual
N/A
01/30/2030
600
52
—
52
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/29/2030
600
50
—
50
3
Month
USD
LIBOR
Receive
2.38%
Semiannual
Quarterly
N/A
07/05/2049
300
(28)
—
(28)
3
Month
USD
LIBOR
Receive
1.77%
Semiannual
Quarterly
N/A
07/12/2023
19,920
(299)
1
(298)
3
Month
USD
LIBOR
Pay
1.71%
Quarterly
Semiannual
N/A
07/13/2022
19,600
297
—
297
3
Month
USD
LIBOR
Receive
0.30%
Semiannual
Quarterly
N/A
02/28/2025
2,110
—
—
—
3
Month
USD
LIBOR
Receive
0.99%
Semiannual
Quarterly
N/A
02/15/2047
660
17
—
17
3
Month
USD
LIBOR
Pay
0.65%
Quarterly
Semiannual
N/A
05/15/2030
4,780
(27)
(2)
(29)
3
Month
USD
LIBOR
Receive
0.64%
Semiannual
Quarterly
N/A
05/15/2030
1,070
6
—
6
3
Month
USD
LIBOR
Receive
1.39%
Semiannual
Quarterly
N/A
08/25/2050
2,350
(189)
—
(189)
3
Month
USD
LIBOR
Receive
1.71%
Semiannual
Quarterly
N/A
08/16/2049
240
(9)
—
(9)
3
Month
USD
LIBOR
Receive
1.67%
Semiannual
Quarterly
N/A
08/17/2049
180
(6)
—
(6)
3
Month
USD
LIBOR
Pay
1.00%
Quarterly
Semiannual
N/A
08/21/2050
90
(2)
—
(2)
3
Month
USD
LIBOR
Pay
1.53%
Quarterly
Semiannual
N/A
11/22/2020
4,970
14
—
14
3
Month
USD
LIBOR
Receive
1.65%
Semiannual
Quarterly
N/A
08/22/2034
535
(25)
—
(25)
3
Month
USD
LIBOR
Pay
0.99%
Quarterly
Semiannual
N/A
08/21/2050
90
(2)
—
(2)
3
Month
USD
LIBOR
Pay
1.57%
Quarterly
Semiannual
N/A
04/29/2030
660
55
—
55
3
Month
USD
LIBOR
Receive
2.33%
Semiannual
Quarterly
N/A
06/24/2034
150
(17)
—
(17)
3
Month
USD
LIBOR
Pay
0.65%
Quarterly
Semiannual
N/A
08/20/2030
120
(1)
—
(1)
3
Month
USD
LIBOR
Pay
2.10%
Quarterly
Semiannual
N/A
06/22/2031
210���
27
—
27
3
Month
USD
LIBOR
Receive
2.37%
Semiannual
Quarterly
N/A
06/15/2050
310
(106)
—
(106)
3
Month
USD
LIBOR
Receive
0.75%
Semiannual
Quarterly
N/A
09/01/2030
280
(1)
—
(1)
3
Month
USD
LIBOR
Receive
0.73%
Semiannual
Quarterly
N/A
09/01/2030
280
(1)
—
(1)
3
Month
USD
LIBOR
Receive
0.75%
Semiannual
Quarterly
N/A
09/01/2030
280
(1)
—
(1)
3
Month
USD
LIBOR
Receive
2.53%
Semiannual
Quarterly
N/A
02/07/2023
390
(18)
—
(18)
3
Month
USD
LIBOR
Receive
2.57%
Semiannual
Quarterly
N/A
02/07/2025
5,220
(531)
5
(526)
3
Month
USD
LIBOR
Pay
2.53%
Semiannual
Semiannual
N/A
02/07/2022
55,240
1,813
(20)
1,793
3
Month
USD
LIBOR
Receive
0.72%
Semiannual
Quarterly
N/A
08/28/2030
280
—
—
—
3
Month
USD
LIBOR
Receive
0.70%
Semiannual
Quarterly
N/A
08/27/2030
280
—
—
—
3
Month
USD
LIBOR
Receive
0.69%
Semiannual
Quarterly
N/A
08/27/2030
280
1
(1)
—
3
Month
USD
LIBOR
Receive
0.69%
Semiannual
Quarterly
N/A
08/27/2030
280
1
—
1
3
Month
USD
LIBOR
Receive
0.35%
Semiannual
Quarterly
N/A
08/27/2025
1,040
(1)
—
(1)
3
Month
USD
LIBOR
Pay
2.60%
Quarterly
Semiannual
N/A
03/26/2029
1,360
229
—
229
3
Month
USD
LIBOR
Pay
2.45%
Quarterly
Semiannual
N/A
05/18/2031
460
75
—
75
3
Month
USD
LIBOR
Receive
1.87%
Semiannual
Quarterly
N/A
06/03/2022
12,690
(212)
—
(212)
3
Month
USD
LIBOR
Receive
1.77%
Semiannual
Quarterly
N/A
06/15/2021
9,380
(113)
—
(113)
3
Month
USD
LIBOR
Receive
0.21%
Semiannual
Quarterly
N/A
09/15/2022
14,230
(2)
—
(2)
3
Month
USD
LIBOR
Receive
1.20%
Semiannual
Quarterly
N/A
08/19/2030
2,180
(105)
—
(105)
3
Month
USD
LIBOR
Pay
1.17%
Quarterly
Semiannual
N/A
09/08/2021
2,650
25
—
25
3
Month
USD
LIBOR
Receive
0.50%
Semiannual
Quarterly
N/A
08/19/2027
360
—
—
—
3
Month
USD
LIBOR
Pay
1.69%
Quarterly
Semiannual
N/A
01/28/2030
600
57
—
57
3
Month
USD
LIBOR
Pay
1.73%
Quarterly
Semiannual
N/A
01/08/2030
660
64
—
64
3
Month
USD
LIBOR
Pay
1.80%
Quarterly
Semiannual
N/A
01/07/2030
660
69
—
69
3
Month
USD
LIBOR
Pay
0.18%
Quarterly
Semiannual
N/A
11/10/2022
6,750
(4)
—
(4)
3
Month
USD
LIBOR
Receive
0.75%
Semiannual
Quarterly
N/A
08/12/2022
4,320
(45)
—
(45)
3
Month
USD
LIBOR
Pay
0.25%
Quarterly
Semiannual
N/A
08/17/2023
1,160
—
—
—
3
Month
USD
LIBOR
Pay
3.09%
Quarterly
Semiannual
N/A
11/29/2024
6,660
792
—
792
3
Month
USD
LIBOR
Pay
1.93%
Quarterly
Semiannual
N/A
12/01/2056
50
9
—
9
3
Month
USD
LIBOR
Receive
1.42%
Semiannual
Quarterly
N/A
08/19/2030
1,760
(122)
—
(122)
3
Month
USD
LIBOR
Receive
2.11%
Semiannual
Quarterly
N/A
11/12/2034
660
(59)
—
(59)
3
Month
USD
LIBOR
Receive
0.50%
Semiannual
Quarterly
N/A
08/17/2027
640
—
—
—
3
Month
USD
LIBOR
Receive
2.00%
Semiannual
Quarterly
N/A
11/07/2034
570
(45)
—
(45)
3
Month
USD
LIBOR
Pay
3.21%
Quarterly
Semiannual
N/A
10/29/2024
4,985
606
—
606
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
88
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Pay
0.70%
Quarterly
Semiannual
N/A
08/17/2030
$
230
$
—
$
—
$
—
3
Month
USD
LIBOR
Receive
2.11%
Semiannual
Quarterly
N/A
11/15/2044
800
(51)
—
(51)
3
Month
USD
LIBOR
Receive
1.98%
Semiannual
Quarterly
N/A
10/23/2034
240
(18)
—
(18)
3
Month
USD
LIBOR
Receive
1.91%
Semiannual
Quarterly
N/A
10/21/2034
480
(34)
—
(34)
3
Month
USD
LIBOR
Receive
0.97%
Semiannual
Quarterly
N/A
08/17/2040
300
4
—
4
3
Month
USD
LIBOR
Receive
0.35%
Semiannual
Quarterly
N/A
08/18/2025
520
(1)
—
(1)
3
Month
USD
LIBOR
Receive
1.93%
Semiannual
Quarterly
N/A
10/22/2034
540
(39)
—
(39)
3
Month
USD
LIBOR
Receive
2.10%
Semiannual
Quarterly
N/A
10/23/2039
310
(20)
—
(20)
3
Month
USD
LIBOR
Pay
1.02%
Quarterly
Semiannual
N/A
08/17/2050
210
(4)
—
(4)
3
Month
USD
LIBOR
Receive
1.98%
Semiannual
Quarterly
N/A
10/23/2034
240
(19)
—
(19)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.41)%
Semiannual
Annual
N/A
07/27/2023
EUR
1,280
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.43)%
Semiannual
Annual
N/A
08/05/2023
1,020
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.43)%
Semiannual
Annual
N/A
08/09/2023
810
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.40)%
Annual
Semiannual
N/A
07/21/2022
2,610
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.34)%
Semiannual
Annual
N/A
07/20/2026
1,030
(2)
—
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.41)%
Semiannual
Annual
N/A
07/20/2023
2,700
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.01)%
Annual
Semiannual
N/A
07/14/2050
870
39
1
40
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.19)%
Semiannual
Annual
N/A
07/14/2030
2,580
(14)
—
(14)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.44)%
Semiannual
Annual
N/A
08/24/2023
1,130
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.41)%
Annual
Semiannual
N/A
02/16/2023
2,420
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.25)%
Semiannual
Annual
N/A
08/16/2027
1,880
(3)
—
(3)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.26)%
Annual
Semiannual
N/A
08/16/2027
470
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.40)%
Annual
Semiannual
N/A
02/16/2023
2,370
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.40)%
Semiannual
Annual
N/A
07/08/2023
1,250
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.40)%
Semiannual
Annual
N/A
06/25/2023
1,310
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.42)%
Semiannual
Annual
N/A
06/24/2023
1,320
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
0.06%
Annual
Semiannual
N/A
06/23/2050
890
19
—
19
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.15)%
Semiannual
Annual
N/A
06/23/2030
2,735
(1)
1
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.42)%
Semiannual
Annual
N/A
07/02/2023
1,870
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.37)%
Semiannual
Annual
N/A
05/06/2023
470
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.35)%
Annual
Semiannual
N/A
03/20/2022
1,210
(2)
—
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.45)%
Semiannual
Annual
N/A
08/11/2023
830
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/18/2025
120
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.48)%
Semiannual
Annual
N/A
03/06/2022
950
—
(1)
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.48)%
Semiannual
Annual
N/A
03/05/2022
2,560
(2)
—
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.47)%
Semiannual
Annual
N/A
03/04/2023
1,290
(1)
(1)
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.41)%
Semiannual
Annual
N/A
03/02/2023
2,340
1
(1)
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.33)%
Semiannual
Annual
N/A
02/12/2023
1,390
3
—
3
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.50)%
Semiannual
Annual
N/A
09/14/2023
1,800
(4)
—
(4)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.43)%
Semiannual
Annual
N/A
09/14/2023
530
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.58)%
Semiannual
Annual
N/A
08/17/2023
700
(3)
—
(3)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.45)%
Semiannual
Annual
N/A
09/28/2023
430
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.30)%
Annual
Semiannual
N/A
07/25/2023
5,450
(14)
(1)
(15)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
11/11/2024
460
(4)
(1)
(5)
6
Month
Euro
Interbank
Offered
Rate
Receive
0.19%
Annual
Semiannual
N/A
01/16/2030
1,020
(39)
(3)
(42)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
01/16/2022
4,940
9
—
9
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.05)%
Annual
Semiannual
N/A
01/03/2024
1,335
(10)
(1)
(11)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
12/13/2023
2,370
(12)
(1)
(13)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.06)%
Annual
Semiannual
N/A
01/03/2024
1,335
(10)
(1)
(11)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.29)%
Annual
Semiannual
N/A
07/26/2023
7,870
(22)
(1)
(23)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.44)%
Semiannual
Annual
N/A
10/06/2023
540
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.38)%
Annual
Semiannual
N/A
06/19/2022
1,720
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.49)%
Semiannual
Annual
N/A
03/09/2022
1,730
(1)
(1)
(2)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.30)%
Annual
Semiannual
N/A
03/23/2022
4,410
(11)
—
(11)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.38)%
Semiannual
Annual
N/A
05/04/2023
1,410
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.35)%
Semiannual
Annual
N/A
11/02/2022
1,420
3
—
3
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.34)%
Semiannual
Annual
N/A
05/03/2023
1,410
2
1
3
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.31)%
Semiannual
Annual
N/A
04/29/2023
670
2
—
2
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
07/20/2022
2,550
6
—
6
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
07/20/2022
2,200
5
1
6
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
07/16/2022
1,830
4
1
5
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.33)%
Semiannual
Annual
N/A
10/02/2022
1,980
5
—
5
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.34)%
Annual
Semiannual
N/A
03/20/2022
1,220
(2)
—
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.34)%
Semiannual
Annual
N/A
10/02/2022
2,120
4
1
5
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.45)%
Annual
Semiannual
N/A
12/16/2021
2,045
2
—
2
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.28)%
Semiannual
Annual
N/A
06/30/2022
436
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.28)%
Semiannual
Annual
N/A
06/26/2022
436
1
—
1
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
89
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.29)%
Semiannual
Annual
N/A
06/25/2022
EUR
436
$
1
$
—
$
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.25)%
Semiannual
Annual
N/A
06/24/2022
1,162
4
—
4
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/24/2023
4,700
(26)
(1)
(27)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/24/2023
4,695
(26)
(2)
(28)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
03/24/2023
4,695
(27)
(2)
(29)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.26)%
Annual
Semiannual
N/A
09/22/2022
2,360
(10)
—
(10)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.32)%
Semiannual
Annual
N/A
09/29/2022
1,080
3
—
3
6
Month
JPY
LIBOR
Receive
0.17%
Semiannual
Semiannual
N/A
08/08/2039
JPY
8,330
1
1
2
6
Month
JPY
LIBOR
Receive
0.72%
Semiannual
Semiannual
N/A
03/21/2044
8,220
(5)
—
(5)
6
Month
JPY
LIBOR
Receive
0.30%
Semiannual
Semiannual
N/A
06/17/2039
11,470
(1)
—
(1)
6
Month
JPY
LIBOR
Receive
0.20%
Semiannual
Semiannual
N/A
08/28/2044
1,270
—
—
—
6
Month
JPY
LIBOR
Receive
0.34%
Semiannual
Semiannual
N/A
02/08/2034
8,650
(2)
—
(2)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.71%
Annual
Annual
N/A
08/12/2024
$
5,460
(27)
—
(27)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
08/01/2024
5,860
(78)
—
(78)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.82%
Annual
Annual
N/A
02/03/2030
5,375
29
—
29
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.85%
Annual
Annual
N/A
08/10/2030
2,855
(69)
—
(69)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.33%
Annual
Annual
N/A
05/04/2030
5,730
348
1
349
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.90%
Annual
Annual
N/A
02/12/2024
3,930
(57)
—
(57)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
2.25%
Annual
Annual
N/A
10/30/2028
2,195
(104)
—
(104)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.75%
Annual
Annual
N/A
08/21/2022
11,990
37
—
37
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.96%
Annual
Annual
N/A
08/31/2030
4,940
(43)
1
(42)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.25%
Annual
Annual
N/A
03/11/2030
2,675
182
—
182
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.96%
Annual
Annual
N/A
12/12/2049
1,540
43
—
43
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.29%
Annual
Annual
N/A
05/05/2030
5,115
338
—
338
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.29%
Annual
Annual
N/A
03/15/2029
EUR
4,285
(203)
(16)
(219)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.13%
Annual
Annual
N/A
02/15/2030
605
(15)
(1)
(16)
United
Kingdom
Retail
Prices
Index
Pay
3.49%
Annual
Annual
N/A
03/15/2029
GBP
3,035
85
(5)
80
United
Kingdom
Retail
Prices
Index
Pay
3.61%
Annual
Annual
N/A
01/15/2029
1,145
69
(1)
68
United
Kingdom
Retail
Prices
Index
Pay
3.51%
Annual
Annual
N/A
10/15/2028
3,095
153
(5)
148
United
Kingdom
Retail
Prices
Index
Receive
3.13%
Annual
Annual
N/A
01/15/2050
1,300
(131)
9
(122)
United
Kingdom
Retail
Prices
Index
Pay
3.36%
Annual
Annual
N/A
10/15/2039
3,555
188
(25)
163
United
Kingdom
Retail
Prices
Index
Receive
3.16%
Annual
Annual
N/A
10/15/2049
2,725
(340)
(12)
(352)
United
Kingdom
Retail
Prices
Index
Pay
3.27%
Annual
Annual
N/A
10/15/2044
2,725
248
(10)
238
United
Kingdom
Retail
Prices
Index
Receive
3.46%
Annual
Annual
N/A
12/15/2029
1,065
(11)
1
(10)
United
Kingdom
Retail
Prices
Index
Receive
3.47%
Annual
Annual
N/A
08/15/2030
1,805
40
1
41
United
Kingdom
Retail
Prices
Index
Pay
3.24%
Annual
Annual
N/A
01/15/2045
1,300
79
(7)
72
United
Kingdom
Retail
Prices
Index
Pay
3.34%
Annual
Annual
N/A
01/15/2040
1,700
49
(10)
39
United
Kingdom
Retail
Prices
Index
Receive
3.39%
Annual
Annual
N/A
01/15/2035
1,700
(23)
7
(16)
United
Kingdom
Retail
Prices
Index
Pay
3.31%
Annual
Annual
N/A
01/15/2040
1,700
25
(10)
15
United
Kingdom
Retail
Prices
Index
Receive
3.36%
Annual
Annual
N/A
01/15/2035
1,700
(8)
7
(1)
United
Kingdom
Retail
Prices
Index
Pay
3.22%
Annual
Annual
N/A
01/15/2045
1,300
64
(8)
56
United
Kingdom
Retail
Prices
Index
Receive
3.11%
Annual
Annual
N/A
01/15/2050
1,300
(108)
10
(98)
United
Kingdom
Retail
Prices
Index
Pay
3.45%
Annual
Annual
N/A
02/15/2030
530
1
(1)
—
United
Kingdom
Retail
Prices
Index
Pay
3.29%
Annual
Annual
N/A
03/15/2030
3,310
(79)
(6)
(85)
United
Kingdom
Retail
Prices
Index
Receive
3.42%
Annual
Annual
N/A
10/15/2034
3,555
(135)
24
(111)
United
Kingdom
Retail
Prices
Index
Pay
3.40%
Annual
Annual
N/A
08/15/2028
5,285
141
(13)
128
Total
$
1,046
$
(121)
$
925
Amounts
in
thousands.
(a)
Forward
swap.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
August
31,
2020
See
accompanying
notes.
90
Total
Return
Swaps
Counterparty
Reference
Entity
Contracts
Pay/Receive
Positive
Return
Financing
Rate
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/
(Depreciation)
Asset
----
Liability
Bank
of
America
NA
Bloomberg
Commodity
Index
Total
Return
(a)
340,958
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.11%
Monthly
09/23/2020
$
52,401
$
—
$
944
$
—
Bank
of
America
NA
BofA
Merrill
Lynch
Commodity
MLBXCS3T
Total
Return
Strategy
(a)
127,663
Receive
0.17%
Annual
09/08/2020
11,523
—
48
—
M3
Capital
Partners
Bloomberg
Commodity
Index
Total
Return
(a)
538,621
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.09%
Monthly
09/23/2020
82,780
—
1,49
2
—
M3
Capital
Partners
Macquarie
Commodity
Product
251E
(a)
98,735
Receive
0.33%
Annual
09/08/2020
8,582
—
—
(49)
Societe
Generale
Bloomberg
Commodity
Index
Total
Return
(a)
146,250
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.11%
Monthly
09/23/2020
22,477
—
405
—
Societe
Generale
Societe
Generale
Commodities
Custom
Alpha
(a)
149,053
Receive
0.35%
Annual
09/08/2020
12,491
—
41
—
Total
$
—
$
2,93
0
$
(49)
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.
Schedule
of
Investments
Edge
MidCap
Fund
August
31,
2020
See
accompanying
notes.
91
INVESTMENT
COMPANIES
-
3.05%
Shares
Held
Value
(000's)
Money
Market
Funds
-
3.05%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c)
26,003,370
$
26,003
TOTAL
INVESTMENT
COMPANIES
$
26,003
COMMON
STOCKS
-
96.93%
Shares
Held
Value
(000's)
Advertising
-
1.92%
Interpublic
Group
of
Cos
Inc/The
920,573
$
16,349
Airlines
-
0.33%
Alaska
Air
Group
Inc
73,031
2,845
Automobile
Parts
&
Equipment
-
1.20%
Autoliv
Inc
131,190
10,277
Banks
-
2.33%
Bank
OZK
301,201
6,940
Cullen/Frost
Bankers
Inc
185,667
12,896
$
19,836
Building
Materials
-
1.04%
Lennox
International
Inc
31,497
8,830
Chemicals
-
2.67%
FMC
Corp
212,950
22,756
Commercial
Services
-
3.52%
Aaron's
Inc
345,660
19,319
Morningstar
Inc
67,308
10,779
$
30,098
Computers
-
1.14%
Amdocs
Ltd
158,505
9,705
Consumer
Products
-
2.36%
Avery
Dennison
Corp
174,441
20,129
Electric
-
3.97%
Alliant
Energy
Corp
479,577
25,970
Eversource
Energy
93,049
7,975
$
33,945
Electrical
Components
&
Equipment
-
5.32%
Energizer
Holdings
Inc
487,824
22,581
Littelfuse
Inc
126,013
22,788
$
45,369
Electronics
-
1.73%
Arrow
Electronics
Inc
(b)
188,167
14,782
Environmental
Control
-
2.09%
Waste
Connections
Inc
178,012
17,807
Gas
-
0.73%
ONE
Gas
Inc
83,543
6,192
Hand
&
Machine
Tools
-
5.01%
Lincoln
Electric
Holdings
Inc
277,415
26,829
Snap-on
Inc
107,130
15,884
$
42,713
Healthcare
-
Products
-
8.68%
STERIS
PLC
156,885
25,045
Teleflex
Inc
84,051
33,028
Varian
Medical
Systems
Inc
(b)
91,162
15,832
$
73,905
Healthcare
-
Services
-
2.88%
Universal
Health
Services
Inc
222,978
24,606
Insurance
-
4.72%
Fidelity
National
Financial
Inc
589,646
19,358
Markel
Corp
(b)
19,235
20,905
$
40,263
Internet
-
1.85%
Rightmove
PLC
1,880,326
15,780
Leisure
Products
&
Services
-
4.41%
Brunswick
Corp/DE
138,006
8,541
YETI
Holdings
Inc
(b)
565,336
29,047
$
37,588
Machinery
-
Diversified
-
2.14%
Nordson
Corp
97,828
18,244
Media
-
0.26%
Cable
One
Inc
1,221
2,247
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Oil
&
Gas
-
2.27%
Cimarex
Energy
Co
320,309
$
8,898
Helmerich
&
Payne
Inc
215,146
3,546
HollyFrontier
Corp
290,211
6,927
$
19,371
REITs
-
8.38%
Alexandria
Real
Estate
Equities
Inc
148,614
25,024
CyrusOne
Inc
386,378
32,274
STORE
Capital
Corp
526,448
14,235
$
71,533
Retail
-
1.11%
Tractor
Supply
Co
63,675
9,477
Savings
&
Loans
-
2.13%
Washington
Federal
Inc
775,250
18,180
Semiconductors
-
4.69%
Microchip
Technology
Inc
78,966
8,663
Teradyne
Inc
368,234
31,289
$
39,952
Software
-
10.27%
Black
Knight
Inc
(b)
440,154
37,017
Fair
Isaac
Corp
(b)
86,632
36,454
Tyler
Technologies
Inc
(b)
41,173
14,217
$
87,688
Toys,
Games
&
Hobbies
-
2.45%
Hasbro
Inc
264,368
20,869
Transportation
-
4.14%
Expeditors
International
of
Washington
Inc
375,732
33,211
Kirby
Corp
(b)
49,731
2,111
$
35,322
Water
-
1.19%
Essential
Utilities
Inc
238,668
10,143
TOTAL
COMMON
STOCKS
$
826,801
Total
Investments
$
852,804
Other
Assets
and
Liabilities
- 0.02%
156
TOTAL
NET
ASSETS
-
100.00%
$
852,960
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
Portfolio
Summary (unaudited)
Sector
Percent
Industrial
21.47%
Financial
17.56%
Consumer,
Non-cyclical
17.44%
Technology
16.10%
Consumer,
Cyclical
9.50%
Utilities
5.89%
Communications
4.03%
Money
Market
Funds
3.05%
Basic
Materials
2.67%
Energy
2.27%
Other
Assets
and
Liabilities
0.02%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Edge
MidCap
Fund
August
31,
2020
See
accompanying
notes.
92
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
19,943
$
271,121
$
265,061
$
26,003
$
19,9
43
$
271,121
$
265,061
$
26,003
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
156
$
—
$
—
$
—
$
156
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
93
INVESTMENT
COMPANIES
-
12.24%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.10%
iShares
Russell
1000
Growth
ETF
2,105
$
480
iShares
Russell
2000
Value
ETF
226
24
SPDR
Gold
Shares
ETP
798
147
VanEck
Vectors
Gold
Miners
ETF
2,460
104
VanEck
Vectors
Junior
Gold
Miners
ETF
1,381
83
$
838
Money
Market
Funds
-
12.14%
First
American
Government
Obligations
Fund
-
Institutional
Class
0.05%
(a)
3,500,116
3,500
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
-
Institutional
Class
0.02%
(a),(b)
4,768,680
4,769
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
89,035,833
89,036
$
97,305
TOTAL
INVESTMENT
COMPANIES
$
98,143
COMMON
STOCKS
-
41.74%
Shares
Held
Value
(000's)
Advertising
-
0.07%
Clear
Channel
Outdoor
Holdings
Inc
(d)
94,859
$
111
Interpublic
Group
of
Cos
Inc/The
(e)
5,943
105
Omnicom
Group
Inc
(e)
2,237
121
WPP
PLC
21,705
184
$
521
Aerospace
&
Defense
-
0.61%
Airbus
SE
(d)
488
40
General
Dynamics
Corp
(e)
2,481
371
HEICO
Corp
-
Class
A
(e)
1,428
128
Howmet
Aerospace
Inc
(e)
42,881
751
Lockheed
Martin
Corp
(e)
3,630
1,416
Moog
Inc
1,073
65
MTU
Aero
Engines
AG
600
111
Northrop
Grumman
Corp
1,289
442
Raytheon
Technologies
Corp
1,584
97
Thales
SA
2,680
209
TransDigm
Group
Inc
(e)
2,312
1,155
Ultra
Electronics
Holdings
PLC
4,061
125
$
4,910
Agriculture
-
0.26%
Altria
Group
Inc
(e)
9,281
406
Archer-Daniels-Midland
Co
(e)
5,641
252
Philip
Morris
International
Inc
(e)
13,035
1,040
Swedish
Match
AB
5,513
419
$
2,117
Airlines
-
0.03%
Southwest
Airlines
Co
5,624
211
Apparel
-
0.43%
Carter's
Inc
1,839
146
Hanesbrands
Inc
(e)
14,870
227
Kontoor
Brands
Inc
3,961
88
LVMH
Moet
Hennessy
Louis
Vuitton
SE
1,048
492
NIKE
Inc
(e)
6,854
767
Puma
SE
(d)
2,411
200
PVH
Corp
(e)
19,493
1,087
Steven
Madden
Ltd
9,201
195
VF
Corp
1,970
129
Wolverine
World
Wide
Inc
5,833
146
$
3,477
Automobile
Manufacturers
-
0.36%
Cummins
Inc
(e)
2,560
531
Ferrari
NV
2,630
513
General
Motors
Co
(e)
6,318
187
PACCAR
Inc
7,615
654
REV
Group
Inc
10,687
83
Tesla
Inc
(d),(e)
165
82
Volvo
AB
-
B
Shares
(d)
43,303
829
$
2,879
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Automobile
Parts
&
Equipment
-
0.16%
BorgWarner
Inc
(e)
12,830
$
521
Cooper
Tire
&
Rubber
Co
2,902
100
Gentherm
Inc
(d)
2,600
118
Magna
International
Inc
5,900
287
Rheinmetall
AG
2,384
221
$
1,247
Banks
-
1.32%
Allegiance
Bancshares
Inc
2,302
59
Ameris
Bancorp
2,362
58
Aozora
Bank
Ltd
13,600
244
Atlantic
Union
Bankshares
Corp
1,577
37
Banca
Generali
SpA
5,367
163
Bank
of
America
Corp
(e)
19,486
502
Bank
OZK
5,611
129
Cadence
BanCorp
9,121
87
Citigroup
Inc
415
21
Concordia
Financial
Group
Ltd
75,300
250
DBS
Group
Holdings
Ltd
16,600
254
DNB
ASA
(d)
14,997
240
Fifth
Third
Bancorp
(e)
23,444
484
FinecoBank
Banca
Fineco
SpA
(d)
8,628
131
First
Citizens
BancShares
Inc/NC
188
74
First
Hawaiian
Inc
3,826
63
First
Interstate
BancSystem
Inc
2,259
74
First
Midwest
Bancorp
Inc/IL
4,849
60
First
Republic
Bank/CA
1,662
188
FNB
Corp/PA
9,187
69
Fukuoka
Financial
Group
Inc
13,700
226
Goldman
Sachs
Group
Inc/The
(e)
2,163
443
Great
Western
Bancorp
Inc
4,929
69
Heritage
Commerce
Corp
8,296
57
Hilltop
Holdings
Inc
3,871
80
Home
BancShares
Inc/AR
5,453
88
ING
Groep
NV
102,199
834
Intesa
Sanpaolo
SpA
(d)
47,218
102
JPMorgan
Chase
&
Co
(e)
2,340
234
KBC
Group
NV
1,438
82
M&T
Bank
Corp
5,749
594
Macquarie
Group
Ltd
2,228
209
Morgan
Stanley
(e)
8,991
470
Natixis
SA
(d)
108,841
300
PNC
Financial
Services
Group
Inc/The
(e)
4,453
496
Seven
Bank
Ltd
100,100
251
Shinsei
Bank
Ltd
17,800
208
Sumitomo
Mitsui
Financial
Group
Inc
8,800
259
Sumitomo
Mitsui
Trust
Holdings
Inc
12,900
372
SVB
Financial
Group
(d),(e)
2,047
523
Swedbank
AB
(d)
8,588
146
Truist
Financial
Corp
553
21
UBS
Group
AG
(d)
21,132
257
Umpqua
Holdings
Corp
5,597
63
United
Community
Banks
Inc/GA
3,496
63
US
Bancorp
(e)
2,605
95
Veritex
Holdings
Inc
3,601
65
Wells
Fargo
&
Co
(e)
16,878
408
Western
Alliance
Bancorp
5,134
181
Zions
Bancorp
NA
(e)
6,361
204
$
10,587
Beverages
-
0.64%
Boston
Beer
Co
Inc/The
(d)
137
121
Carlsberg
AS
196
28
Coca-Cola
Co/The
(e)
23,916
1,185
Coca-Cola
HBC
AG
(d)
4,884
130
Constellation
Brands
Inc
(e)
5,477
1,010
Diageo
PLC
12,018
401
Keurig
Dr
Pepper
Inc
5,735
171
Molson
Coors
Beverage
Co
3,377
127
Monster
Beverage
Corp
(d),(e)
13,140
1,102
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
94
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Beverages
(continued)
PepsiCo
Inc
(e)
6,077
$
851
$
5,126
Biotechnology
-
0.42%
Abcam
PLC
7,767
129
Alexion
Pharmaceuticals
Inc
(d),(e)
1,907
218
Amgen
Inc
1,140
289
Apellis
Pharmaceuticals
Inc
(d)
3,415
105
Arena
Pharmaceuticals
Inc
(d)
1,235
86
Ascendis
Pharma
A/S
ADR
(d)
334
50
Biogen
Inc
(d),(e)
2,530
728
ChemoCentryx
Inc
(d)
1,050
56
Constellation
Pharmaceuticals
Inc
(d)
1,682
35
Emergent
BioSolutions
Inc
(d)
1,041
119
Exact
Sciences
Corp
(d)
1,789
135
Genmab
A/S
(d)
625
236
Gilead
Sciences
Inc
6,792
453
Illumina
Inc
(d)
209
75
Incyte
Corp
(d)
311
30
Ionis
Pharmaceuticals
Inc
(d),(e)
2,183
119
Regeneron
Pharmaceuticals
Inc
(d)
503
312
Sage
Therapeutics
Inc
(d)
900
47
Y-mAbs
Therapeutics
Inc
(d)
4,048
174
$
3,396
Building
Materials
-
0.81%
American
Woodmark
Corp
(d)
1,388
121
Boise
Cascade
Co
3,457
158
Carrier
Global
Corp
(e)
11,493
343
Cemex
SAB
de
CV
ADR
88,953
286
Cie
de
Saint-Gobain
(d)
9,264
374
CRH
PLC
1,616
60
CRH
PLC
4,956
185
Daikin
Industries
Ltd
2,000
377
Fortune
Brands
Home
&
Security
Inc
(e)
5,293
445
Geberit
AG
780
449
JELD-WEN
Holding
Inc
(d)
6,900
145
Johnson
Controls
International
plc
(e)
8,541
348
Lennox
International
Inc
1,954
547
LIXIL
Group
Corp
13,900
255
Marshalls
PLC
15,542
131
Martin
Marietta
Materials
Inc
(e)
2,366
480
Masco
Corp
(e)
10,837
632
Rinnai
Corp
2,300
213
ROCKWOOL
International
A/S
425
161
Sanwa
Holdings
Corp
6,100
61
TOTO
Ltd
7,200
316
Vulcan
Materials
Co
1,964
236
Wienerberger
AG
7,585
205
$
6,528
Chemicals
-
1.42%
Akzo
Nobel
NV
1,685
166
Asahi
Kasei
Corp
12,400
104
Borregaard
ASA
6,024
88
Brenntag
AG
3,228
202
Celanese
Corp
(e)
5,895
596
CF
Industries
Holdings
Inc
(e)
26,344
860
Dow
Inc
4,879
220
DuPont
de
Nemours
Inc
(e)
21,084
1,176
Eastman
Chemical
Co
(e)
2,097
153
Ecolab
Inc
4,362
860
FMC
Corp
1,330
142
Hexion
Holdings
Corp
(d)
22,049
189
IMCD
NV
1,244
132
Ingevity
Corp
(d)
1,588
89
Kansai
Paint
Co
Ltd
6,400
152
Linde
PLC
(e)
4,529
1,131
LyondellBasell
Industries
NV
(e)
5,323
349
Mosaic
Co/The
42,580
776
Nissan
Chemical
Corp
12,400
656
Nitto
Denko
Corp
9,500
577
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Chemicals
(continued)
Novozymes
A/S
5,261
$
311
Nutrien
Ltd
874
32
PPG
Industries
Inc
(e)
5,343
643
Sherwin-Williams
Co/The
(e)
1,217
817
Shin-Etsu
Chemical
Co
Ltd
5,800
705
Toray
Industries
Inc
29,700
141
Victrex
PLC
(d)
3,395
87
$
11,354
Commercial
Services
-
2.14%
2U
Inc
(d)
2,333
97
Adtalem
Global
Education
Inc
(d)
2,315
77
AMERCO
659
234
AMN
Healthcare
Services
Inc
(d)
1,800
97
Aramark
4,025
111
Automatic
Data
Processing
Inc
(e)
2,938
409
Babcock
International
Group
PLC
35,884
130
Badger
Daylighting
Ltd
4,852
139
Bright
Horizons
Family
Solutions
Inc
(d)
3,990
531
BrightView
Holdings
Inc
(d)
6,653
82
Bureau
Veritas
SA
40,308
915
Carriage
Services
Inc
3,149
70
Chegg
Inc
(d)
1,876
138
Cintas
Corp
(e)
5,035
1,678
CoreLogic
Inc/United
States
34,968
2,322
CoStar
Group
Inc
(d)
297
252
Deluxe
Corp
2,128
60
Elis
SA
(d)
6,974
90
EVERTEC
Inc
2,782
97
FleetCor
Technologies
Inc
(d)
463
116
Gartner
Inc
(d),(e)
5,183
673
Global
Payments
Inc
3,303
584
H&R
Block
Inc
274
4
Hypoport
SE
(d)
231
139
ICF
International
Inc
1,707
117
IHS
Markit
Ltd
(e)
2,220
177
Kforce
Inc
2,243
77
LiveRamp
Holdings
Inc
(d)
3,007
168
Loomis
AB
(d)
5,994
151
Medifast
Inc
524
85
Moody's
Corp
(e)
2,984
879
Paylocity
Holding
Corp
(d)
436
64
PayPal
Holdings
Inc
(d),(e)
6,274
1,281
Persol
Holdings
Co
Ltd
26,400
411
Quanta
Services
Inc
(e)
17,347
889
Recruit
Holdings
Co
Ltd
2,200
83
Robert
Half
International
Inc
(e)
8,728
465
S&P
Global
Inc
(e)
3,410
1,249
Square
Inc
(d)
3,095
494
TransUnion
8,613
747
TriNet
Group
Inc
(d)
2,319
157
United
Rentals
Inc
(d),(e)
3,578
633
$
17,172
Computers
-
1.80%
Accenture
PLC
-
Class
A
(e)
3,458
829
Amdocs
Ltd
964
59
Apple
Inc
(e)
57,820
7,461
Cognizant
Technology
Solutions
Corp
2,782
186
Endava
PLC
ADR
(d)
1,744
95
Fortinet
Inc
(d),(e)
1,841
243
Genpact
Ltd
2,103
89
Hewlett
Packard
Enterprise
Co
6,076
59
HP
Inc
(e)
28,416
556
International
Business
Machines
Corp
(e)
5,239
646
Itochu
Techno-Solutions
Corp
9,800
355
Leidos
Holdings
Inc
1,576
143
Logitech
International
SA
3,720
275
Lumentum
Holdings
Inc
(d)
2,443
210
NetApp
Inc
(e)
11,597
550
Nomura
Research
Institute
Ltd
5,500
146
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
95
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
(continued)
NTT
Data
Corp
85,742
$
979
Obic
Co
Ltd
400
71
Otsuka
Corp
19,000
932
Rapid7
Inc
(d)
2,675
173
Seagate
Technology
PLC
5,665
272
Softcat
PLC
4,462
83
Western
Digital
Corp
865
33
$
14,445
Consumer
Products
-
0.12%
Church
&
Dwight
Co
Inc
1,446
138
Clorox
Co/The
1,188
266
Kimberly-Clark
Corp
(e)
3,747
591
$
995
Cosmetics
&
Personal
Care
-
0.42%
Colgate-Palmolive
Co
(e)
14,768
1,170
Edgewell
Personal
Care
Co
(d)
2,571
74
Estee
Lauder
Cos
Inc/The
(e)
1,029
229
Procter
&
Gamble
Co/The
(e)
13,651
1,888
$
3,361
Distribution
&
Wholesale
-
0.41%
Bunzl
PLC
3,729
120
Copart
Inc
(d)
4,126
426
Diploma
PLC
5,086
131
Fastenal
Co
6,770
331
HD
Supply
Holdings
Inc
(d)
28,488
1,130
LKQ
Corp
(d),(e)
20,886
663
Toyota
Tsusho
Corp
4,100
119
WW
Grainger
Inc
(e)
1,031
377
$
3,297
Diversified
Financial
Services
-
1.57%
4L
Technologies
(d),(f),(g)
24,306
12
4L
Technologies
-
Rights
(d),(f),(g)
869
90
American
Express
Co
4,593
467
Ares
Management
Corp
2,578
104
B
Riley
Financial
Inc
4,309
115
BlackRock
Inc
(e)
1,344
799
Cboe
Global
Markets
Inc
(e)
5,572
511
Charles
Schwab
Corp/The
9,971
354
CI
Financial
Corp
13,400
190
Credit
Acceptance
Corp
(d)
742
287
Discover
Financial
Services
(e)
8,316
441
ECN
Capital
Corp
35,390
140
Element
Comm
Aviation
(d),(f),(g),(h)
280
315
Euronext
NV
(i)
977
119
Federal
Agricultural
Mortgage
Corp
1,110
76
Franklin
Resources
Inc
(e)
23,397
493
Greenhill
&
Co
Inc
6,047
68
Hamilton
Lane
Inc
1,495
109
Hannon
Armstrong
Sustainable
Infrastructure
Capital
Inc
2,273
97
Hargreaves
Lansdown
PLC
4,047
87
Intercontinental
Exchange
Inc
(e)
3,542
376
Invesco
Ltd
(e)
59,237
604
LPL
Financial
Holdings
Inc
726
60
Magellan
Financial
Group
Ltd
7,945
347
Mastercard
Inc
(e)
1,499
537
Moelis
&
Co
3,149
101
Nasdaq
Inc
(e)
4,867
654
Navient
Corp
10,722
97
PRA
Group
Inc
(d)
7,017
328
Raymond
James
Financial
Inc
1,977
150
Sanne
Group
PLC
9,334
87
SEI
Investments
Co
(e)
14,476
758
Singapore
Exchange
Ltd
59,100
374
SLM
Corp
8,676
66
Synchrony
Financial
(e)
25,337
629
T
Rowe
Price
Group
Inc
(e)
3,441
479
Visa
Inc
(e)
6,549
1,388
VZ
Holding
AG
1,661
149
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Diversified
Financial
Services
(continued)
Western
Union
Co/The
(e)
22,180
$
523
$
12,5
81
Electric
-
1.05%
AES
Corp/The
(e)
950
17
Canadian
Utilities
Ltd
11,300
284
Consolidated
Edison
Inc
840
60
Dominion
Energy
Inc
(e)
7,821
613
Duke
Energy
Corp
735
59
Endesa
SA
16,780
466
Enel
SpA
16,212
147
Exelon
Corp
3,521
130
FirstEnergy
Corp
6,919
198
Fortum
Oyj
11,257
238
Iberdrola
SA
7,177
91
Meridian
Energy
Ltd
63,632
217
NextEra
Energy
Inc
4,996
1,395
NRG
Energy
Inc
(e)
29,786
1,025
Pinnacle
West
Capital
Corp
1,131
83
PPL
Corp
25,222
697
Red
Electrica
Corp
SA
15,822
303
RWE
AG
41,944
1,670
Terna
Rete
Elettrica
Nazionale
SpA
57,149
413
Vistra
Corp
(e)
14,537
279
$
8,385
Electrical
Components
&
Equipment
-
0.45%
AMETEK
Inc
(e)
6,616
666
Belden
Inc
3,000
101
Casio
Computer
Co
Ltd
35,987
580
Emerson
Electric
Co
(e)
11,107
772
Energizer
Holdings
Inc
1,385
64
EnerSys
2,696
194
Legrand
SA
7,172
599
Novanta
Inc
(d)
1,026
110
Schneider
Electric
SE
4,160
514
$
3,600
Electronics
-
0.83%
Agilent
Technologies
Inc
3,720
374
Allegion
plc
4,441
459
Arrow
Electronics
Inc
(d)
2,276
179
Assa
Abloy
AB
15,295
354
Coherent
Inc
(d)
406
46
DiscoverIE
Group
PLC
17,709
141
Electrocomponents
PLC
15,390
139
FARO
Technologies
Inc
(d)
2,014
114
FLIR
Systems
Inc
(e)
17,800
657
Fortive
Corp
(e)
8,876
640
Garmin
Ltd
(e)
3,678
381
GoPro
Inc
(d)
21,817
100
Halma
PLC
5,793
172
Honeywell
International
Inc
(e)
4,441
735
Hoya
Corp
1,000
98
II-VI
Inc
(d)
2,396
107
Keysight
Technologies
Inc
(d),(e)
800
79
LEM
Holding
SA
66
118
MINEBEA
MITSUMI
Inc
7,700
133
nVent
Electric
PLC
3,421
65
PerkinElmer
Inc
(e)
3,215
379
Roper
Technologies
Inc
150
64
Rotork
PLC
32,354
130
TE
Connectivity
Ltd
(e)
5,944
574
Trimble
Inc
(d)
4,373
229
Waters
Corp
(d)
520
112
Yokogawa
Electric
Corp
6,500
106
$
6,685
Energy
-
Alternate
Sources
-
0.14%
First
Solar
Inc
(d)
1,984
152
NextEra
Energy
Partners
LP
15,102
911
Vestas
Wind
Systems
A/S
454
69
$
1,132
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
96
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Engineering
&
Construction
-
0.17%
Alten
SA
(d)
603
$
52
Comfort
Systems
USA
Inc
3,492
177
Dycom
Industries
Inc
(d)
2,918
179
Flughafen
Zurich
AG
(d)
1,360
205
HOCHTIEF
AG
1,780
158
JGC
Holdings
Corp
39,300
433
Obayashi
Corp
13,500
132
Singapore
Technologies
Engineering
Ltd
3,100
8
$
1,344
Entertainment
-
0.24%
Aristocrat
Leisure
Ltd
5,413
113
CTS
Eventim
AG
&
Co
KGaA
(d)
2,177
109
Deluxe
Entertainment
(d)
67,048
28
DraftKings
Pipe
(d),(h)
16,896
597
Genting
Singapore
Ltd
123,200
63
Lions
Gate
Entertainment
Corp
-
B
shares
(d)
10,213
93
Live
Nation
Entertainment
Inc
(d)
11,965
679
Penn
National
Gaming
Inc
(d)
2,086
107
Vail
Resorts
Inc
601
131
$
1,920
Environmental
Control
-
0.19%
Pentair
PLC
(e)
15,585
703
Republic
Services
Inc
(e)
5,238
486
Tetra
Tech
Inc
1,476
136
Waste
Management
Inc
(e)
1,366
156
$
1,481
Food
-
0.89%
a2
Milk
Co
Ltd/The
(d)
20,246
253
Calavo
Growers
Inc
1,477
94
Calbee
Inc
2,100
65
Campbell
Soup
Co
(e)
7,030
370
Colruyt
SA
3,334
210
Cranswick
PLC
3,012
149
General
Mills
Inc
(e)
4,722
302
Hostess
Brands
Inc
(d)
6,785
87
ICA
Gruppen
AB
3,142
154
J
M
Smucker
Co/The
(e)
2,293
276
Just
Eat
Takeaway.com
NV
(d),(i)
6,533
727
Kellogg
Co
4,287
304
Kobe
Bussan
Co
Ltd
2,900
172
Koninklijke
Ahold
Delhaize
NV
15,780
475
Kraft
Heinz
Co/The
13,046
457
Kroger
Co/The
4,529
161
Lamb
Weston
Holdings
Inc
(e)
12,282
772
Nisshin
Seifun
Group
Inc
5,600
92
Seven
&
i
Holdings
Co
Ltd
16,900
545
Simply
Good
Foods
Co/The
(d)
17,086
425
Sysco
Corp
(e)
5,649
340
Tyson
Foods
Inc
(e)
9,060
569
Viscofan
SA
1,596
118
$
7,117
Food
Service
-
0.05%
Compass
Group
PLC
19,818
321
Elior
Group
SA
(i)
17,142
100
$
421
Forest
Products
&
Paper
-
0.15%
International
Paper
Co
(e)
6,278
228
Mondi
PLC
8,516
167
Schweitzer-Mauduit
International
Inc
2,435
74
Smurfit
Kappa
Group
PLC
7,985
283
UPM-Kymmene
Oyj
14,256
433
$
1,185
Gas
-
0.12%
Enagas
SA
6,416
157
New
Jersey
Resources
Corp
2,900
88
Osaka
Gas
Co
Ltd
24,300
476
UGI
Corp
7,129
246
$
967
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Hand
&
Machine
Tools
-
0.22%
Kennametal
Inc
7,007
$
203
Makita
Corp
8,400
388
Schindler
Holding
AG
-
PC
1,261
337
Snap-on
Inc
(e)
4,558
676
Stanley
Black
&
Decker
Inc
(e)
1,195
193
$
1,797
Healthcare
-
Products
-
1.43%
Abbott
Laboratories
1,568
172
ABIOMED
Inc
(d)
633
195
Align
Technology
Inc
(d),(e)
1,205
358
Avanos
Medical
Inc
(d)
3,000
97
Baxter
International
Inc
3,071
267
Carl
Zeiss
Meditec
AG
811
91
Cellavision
AB
(d)
2,266
83
Danaher
Corp
(e)
3,793
783
DENTSPLY
SIRONA
Inc
(e)
8,908
400
DiaSorin
SpA
662
120
Edwards
Lifesciences
Corp
(d),(e)
2,583
222
Envista
Holdings
Corp
(d)
3,720
89
Fisher
&
Paykel
Healthcare
Corp
Ltd
16,146
400
Globus
Medical
Inc
(d)
1,432
81
Henry
Schein
Inc
(d),(e)
4,212
280
Hill-Rom
Holdings
Inc
746
70
Hologic
Inc
(d),(e)
11,236
671
IDEXX
Laboratories
Inc
(d)
331
129
Insulet
Corp
(d)
1,652
361
Intuitive
Surgical
Inc
(d),(e)
1,132
827
Koninklijke
Philips
NV
(d)
3,712
176
Medtronic
PLC
(e)
10,959
1,178
Natus
Medical
Inc
(d)
2,618
47
Novocure
Ltd
(d)
932
77
NuVasive
Inc
(d)
3,312
173
Olympus
Corp
37,953
751
QIAGEN
NV
(d)
3,222
164
QIAGEN
NV
(d)
6,724
343
ResMed
Inc
2,936
531
Smith
&
Nephew
PLC
14,915
301
STERIS
PLC
1,348
215
Stryker
Corp
(e)
1,956
388
Sysmex
Corp
1,300
114
Tandem
Diabetes
Care
Inc
(d)
1,530
172
Thermo
Fisher
Scientific
Inc
(e)
1,123
481
Varian
Medical
Systems
Inc
(d),(e)
1,471
256
West
Pharmaceutical
Services
Inc
906
257
Zimmer
Biomet
Holdings
Inc
1,066
150
$
11,470
Healthcare
-
Services
-
0.85%
Anthem
Inc
(e)
866
243
Centene
Corp
(d)
2,230
137
DaVita
Inc
(d),(e)
3,319
288
Eurofins
Scientific
SE
(d)
159
128
HCA
Healthcare
Inc
(e)
4,609
625
Humana
Inc
(e)
1,780
739
IQVIA
Holdings
Inc
(d)
8,242
1,350
Laboratory
Corp
of
America
Holdings
(d),(e)
2,138
375
LHC
Group
Inc
(d)
689
144
Orpea
(d)
1,226
147
Quest
Diagnostics
Inc
(e)
4,959
552
UnitedHealth
Group
Inc
(e)
4,198
1,313
Universal
Health
Services
Inc
(e)
7,170
791
$
6,832
Holding
Companies
-
Diversified
-
0.03%
Churchill
Capital
Corp
III
(d)
10,486
121
Churchill
Capital
Corp
IV
(d)
7,522
75
$
196
Home
Builders
-
0.52%
Berkeley
Group
Holdings
PLC
1,919
116
Cairn
Homes
PLC
106,174
99
Cavco
Industries
Inc
(d)
634
121
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
97
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Home
Builders
(continued)
Century
Communities
Inc
(d)
2,700
$
96
DR
Horton
Inc
3,897
278
Glenveagh
Properties
PLC
(d),(i)
151,958
128
Installed
Building
Products
Inc
(d)
1,512
131
Kaufman
&
Broad
SA
2,771
110
Lennar
Corp
-
A
Shares
446
33
NVR
Inc
(d),(e)
230
959
Persimmon
PLC
11,486
399
PulteGroup
Inc
(e)
17,502
781
Skyline
Champion
Corp
(d)
8,245
235
Thor
Industries
Inc
2,318
219
Toll
Brothers
Inc
10,887
460
$
4,165
Home
Furnishings
-
0.14%
Hoshizaki
Corp
3,600
275
Leggett
&
Platt
Inc
(e)
3,176
130
Sony
Corp
5,776
452
Whirlpool
Corp
(e)
1,405
250
$
1,107
Housewares
-
0.02%
Newell
Brands
Inc
(e)
8,255
132
Insurance
-
1.27%
Aflac
Inc
(e)
7,193
262
Alleghany
Corp
131
73
Allstate
Corp/The
217
20
American
International
Group
Inc
(e)
9,259
270
Aon
PLC
2,091
418
Arch
Capital
Group
Ltd
(d)
3,292
104
Arthur
J
Gallagher
&
Co
(e)
196
21
Athene
Holding
Ltd
(d)
2,507
92
Beazley
PLC
23,430
134
Berkshire
Hathaway
Inc
-
Class
B
(d),(e)
5,268
1,148
Chubb
Ltd
(e)
5,743
718
Cincinnati
Financial
Corp
(e)
4,709
374
CNO
Financial
Group
Inc
4,357
71
CNP
Assurances
(d)
6,776
91
Direct
Line
Insurance
Group
PLC
27,649
109
Equitable
Holdings
Inc
2,381
50
Everest
Re
Group
Ltd
297
65
Fairfax
Financial
Holdings
Ltd
200
62
Fidelity
National
Financial
Inc
(e)
13,210
434
First
American
Financial
Corp
20,196
1,062
Gjensidige
Forsikring
ASA
(d)
3,788
81
Globe
Life
Inc
(e)
2,499
206
Hartford
Financial
Services
Group
Inc/The
(e)
471
19
James
River
Group
Holdings
Ltd
1,917
93
Lancashire
Holdings
Ltd
7,898
81
Markel
Corp
(d)
469
510
Marsh
&
McLennan
Cos
Inc
(e)
5,034
578
Medibank
Pvt
Ltd
63,069
127
MetLife
Inc
(e)
11,809
454
MGIC
Investment
Corp
11,200
103
NMI
Holdings
Inc
(d)
5,770
99
Progressive
Corp/The
3,710
353
Prudential
Financial
Inc
(e)
3,001
203
Radian
Group
Inc
5,138
79
RSA
Insurance
Group
PLC
16,325
97
Sampo
Oyj
13,746
554
Third
Point
Reinsurance
Ltd
(d)
10,246
88
Travelers
Cos
Inc/The
(e)
2,451
284
Tryg
A/S
7,112
218
Unum
Group
1,908
35
Voya
Financial
Inc
1,385
72
W
R
Berkley
Corp
(e)
2,033
126
White
Mountains
Insurance
Group
Ltd
156
139
$
10,177
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Internet
-
2.73%
Alibaba
Group
Holding
Ltd
ADR
(d)
1,816
$
521
Alphabet
Inc
-
A
Shares
(d),(e)
1,966
3,204
Amazon.com
Inc
(d),(e)
1,546
5,336
Booking
Holdings
Inc
(d)
189
362
Cardlytics
Inc
(d)
2,383
181
CDW
Corp/DE
452
51
Cerved
Group
SpA
(d)
16,499
141
eBay
Inc
(e)
11,121
610
Expedia
Group
Inc
(e)
5,515
541
F5
Networks
Inc
(d),(e)
2,125
281
Facebook
Inc
(d),(e)
8,735
2,561
GoDaddy
Inc
(d),(e)
8,161
683
Grubhub
Inc
(d)
3,157
228
IAC/InterActiveCorp
(d)
1,220
162
JD.com
Inc
ADR
(d)
8,369
658
JOYY
Inc
ADR
(d)
2,527
216
Kakaku.com
Inc
4,100
109
Limelight
Networks
Inc
(d)
17,920
102
Magnite
Inc
(d)
16,366
120
Match
Group
Inc
(d)
1,849
206
Mercari
Inc
(d)
4,158
189
Mimecast
Ltd
(d)
1,697
84
MonotaRO
Co
Ltd
6,100
241
Netflix
Inc
(d)
624
330
NortonLifeLock
Inc
(e)
6,954
163
Prosus
NV
(d)
15,052
1,509
Q2
Holdings
Inc
(d)
1,185
115
Snap
Inc
Class
A
(d)
5,288
119
Spotify
Technology
SA
(d)
835
236
TD
Ameritrade
Holding
Corp
2,787
107
Trend
Micro
Inc/Japan
5,400
334
Twitter
Inc
(d),(e)
27,670
1,123
Uber
Technologies
Inc
(d)
3,062
103
VeriSign
Inc
(d),(e)
827
178
Z
Holdings
Corp
71,914
479
ZOZO
Inc
12,000
338
$
21,921
Investment
Companies
-
0.01%
Melrose
Industries
PLC
42,631
57
Iron
&
Steel
-
0.34%
ArcelorMittal
SA
(d)
4,957
62
Evraz
PLC
82,006
351
Hitachi
Metals
Ltd
110,960
1,661
Nippon
Steel
Corp
25,700
253
Nucor
Corp
3,990
181
Reliance
Steel
&
Aluminum
Co
1,025
108
Steel
Dynamics
Inc
4,835
143
$
2,759
Leisure
Products
&
Services
-
0.21%
BRP
Inc
3,003
163
Fox
Factory
Holding
Corp
(d)
1,233
124
MIPS
AB
3,852
155
Peloton
Interactive
Inc
(d)
2,414
185
Polaris
Inc
2,462
249
Shimano
Inc
1,400
296
Thule
Group
AB
(i)
4,203
133
Yamaha
Corp
6,300
307
YETI
Holdings
Inc
(d)
1,706
88
$
1,700
Lodging
-
0.14%
Choice
Hotels
International
Inc
3,575
355
Hilton
Worldwide
Holdings
Inc
(e)
1,372
124
Las
Vegas
Sands
Corp
1,190
60
Marriott
International
Inc/MD
(e)
343
35
MGM
Resorts
International
(e)
24,746
557
$
1,131
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
98
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Construction
&
Mining
-
0.15%
Argan
Inc
3,752
$
159
Astec
Industries
Inc
2,627
138
Sandvik
AB
(d)
44,282
872
$
1,169
Machinery
-
Diversified
-
0.98%
Curtiss-Wright
Corp
1,986
203
Deere
&
Co
1,677
352
Dover
Corp
(e)
9,254
1,016
FANUC
Corp
1,300
228
Flowserve
Corp
(e)
22,754
675
Hexagon
AB
(d)
5,632
409
Ichor
Holdings
Ltd
(d)
2,827
71
IDEX
Corp
(e)
6,725
1,212
Inficon
Holding
AG
95
82
Ingersoll
Rand
Inc
(d)
2,450
86
Interpump
Group
SpA
3,442
120
Kone
Oyj
5,913
507
Marel
HF
(i)
26,249
136
Middleby
Corp/The
(d)
730
72
Nabtesco
Corp
9,500
300
Otis
Worldwide
Corp
(e)
17,826
1,121
Rockwell
Automation
Inc
(e)
2,791
644
SMC
Corp/Japan
400
220
Spirax-Sarco
Engineering
PLC
640
87
Stabilus
SA
2,156
115
Washtec
AG
(d)
1,618
73
Westinghouse
Air
Brake
Technologies
Corp
1,747
116
$
7,845
Media
-
0.72%
Charter
Communications
Inc
(d),(e)
967
595
Comcast
Corp
-
Class
A
(e)
13,623
610
Discovery
Inc
-
A
Shares
(d),(e)
8,670
191
Discovery
Inc
-
C
Shares
(d),(e)
14,896
298
DISH
Network
Corp
(d),(e)
6,668
237
Fox
Corp
-
A
Shares
(e)
15,595
435
iHeartMedia
Inc
(d)
18,582
171
Nexstar
Media
Group
Inc
224
22
Schibsted
ASA
-
B
Shares
(d)
1,278
51
Shaw
Communications
Inc
10,400
194
Sirius
XM
Holdings
Inc
97,035
570
TEGNA
Inc
6,818
85
Telenet
Group
Holding
NV
2,588
100
Thomson
Reuters
Corp
14,149
1,081
Walt
Disney
Co/The
(e)
6,730
887
Wolters
Kluwer
NV
3,052
250
$
5,777
Metal
Fabrication
&
Hardware
-
0.06%
Advanced
Drainage
Systems
Inc
2,509
139
Rexnord
Corp
7,866
228
Tenaris
SA
ADR
2,145
25
Troax
Group
AB
4,826
94
$
486
Mining
-
0.63%
BHP
Group
Ltd
22,216
613
BHP
Group
PLC
20,737
472
Compass
Minerals
International
Inc
1,356
77
Ecobat
Holdings,
Inc
-
Class
B
(d)
2,998
1,926
Kirkland
Lake
Gold
Ltd
11,100
592
Livent
Corp
(d)
13,500
115
Newmont
Corp
13,942
938
Rio
Tinto
PLC
4,033
251
Wheaton
Precious
Metals
Corp
1,000
53
$
5,037
Miscellaneous
Manufacturers
-
0.45%
3M
Co
(e)
3,326
542
A
O
Smith
Corp
772
38
Alstom
SA
(d)
2,624
147
Enerpac
Tool
Group
Corp
4,589
95
Illinois
Tool
Works
Inc
(e)
6,940
1,371
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Miscellaneous
Manufacturers
(continued)
ITT
Inc
2,519
$
158
JSR
Corp
5,309
113
Knorr-Bremse
AG
4,274
543
Sturm
Ruger
&
Co
Inc
1,017
72
Toshiba
Corp
4,916
142
Trane
Technologies
PLC
(e)
3,278
388
$
3,609
Office
Furnishings
-
0.01%
Knoll
Inc
6,423
83
Oil
&
Gas
-
0.59%
Apache
Corp
(e)
59,707
884
Bellatrix
Exploration
Ltd
(d),(f),(g)
94,641
—
Canadian
Natural
Resources
Ltd
5,041
99
Chevron
Corp
(e)
12,258
1,029
Concho
Resources
Inc
1,155
60
ConocoPhillips
(e)
18,475
700
Diamondback
Energy
Inc
1,233
48
Dommo
Energia
SA
ADR
(d),(g)
269
1
EOG
Resources
Inc
(e)
23,191
1,052
Exxon
Mobil
Corp
(e)
3,719
148
Lundin
Energy
AB
6,955
170
Marathon
Petroleum
Corp
(e)
3,902
138
Royal
Dutch
Shell
PLC
-
A
Shares
3,068
45
Santos
Ltd
68,268
285
Valero
Energy
Corp
(e)
968
51
$
4,710
Oil
&
Gas
Services
-
0.19%
Halliburton
Co
(e)
42,951
695
Schlumberger
NV
(e)
29,230
556
TechnipFMC
PLC
(e)
33,236
256
TGS
NOPEC
Geophysical
Co
ASA
3,066
40
$
1,547
Packaging
&
Containers
-
0.41%
Amcor
PLC
(e)
66,647
737
Ball
Corp
14,605
1,174
CCL
Industries
Inc
6,800
251
Sealed
Air
Corp
(e)
26,145
1,028
Vidrala
SA
1,216
127
$
3,317
Pharmaceuticals
-
1.75%
AbbVie
Inc
(e)
714
69
AstraZeneca
PLC
ADR
3,117
175
AstraZeneca
PLC
1,343
149
Bayer
AG
4,776
318
Bristol-Myers
Squibb
Co
(e)
13,466
837
Cardinal
Health
Inc
(e)
2,810
143
China
Biologic
Products
Holdings
Inc
(d)
11,636
1,228
Chugai
Pharmaceutical
Co
Ltd
8,700
388
Cigna
Corp
(e)
1,451
257
CVS
Health
Corp
(e)
15,985
993
DexCom
Inc
(d)
374
159
Elanco
Animal
Health
Inc
(d)
4,104
119
Eli
Lilly
and
Co
350
52
Galapagos
NV
(d)
1,036
139
Global
Blood
Therapeutics
Inc
(d)
1,848
116
Ipsen
SA
898
93
Jazz
Pharmaceuticals
PLC
(d),(e)
2,762
371
Johnson
&
Johnson
(e)
15,517
2,380
KalVista
Pharmaceuticals
Inc
(d)
4,259
56
Kyowa
Kirin
Co
Ltd
9,210
238
McKesson
Corp
840
129
Merck
&
Co
Inc
(e)
6,795
580
MyoKardia
Inc
(d)
715
78
Neurocrine
Biosciences
Inc
(d),(e)
3,441
401
Nippon
Shinyaku
Co
Ltd
2,900
240
Novartis
AG
3,391
292
Novo
Nordisk
A/S
6,840
452
Odonate
Therapeutics
Inc
(d)
1,989
32
Otsuka
Holdings
Co
Ltd
2,400
105
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
99
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Pharmaceuticals
(continued)
Pfizer
Inc
(e)
19,449
$
735
Rhythm
Pharmaceuticals
Inc
(d)
3,510
104
Roche
Holding
AG
4,945
1,730
Santen
Pharmaceutical
Co
Ltd
8,400
160
Sarepta
Therapeutics
Inc
(d),(e)
800
117
Shionogi
&
Co
Ltd
2,700
150
Sumitomo
Dainippon
Pharma
Co
Ltd
20,990
265
UCB
SA
1,281
152
$
14,002
Pipelines
-
0.16%
AltaGas
Ltd
11,000
142
Enterprise
Products
Partners
LP
1,139
20
Gaztransport
Et
Technigaz
SA
841
79
Kinder
Morgan
Inc
(e)
49,100
679
Southcross
Holdings
(d),(f),(g)
388,623
39
Williams
Cos
Inc/The
(e)
15,076
313
$
1,272
Private
Equity
-
0.03%
Blackstone
Group
Inc/The
1,997
106
Intermediate
Capital
Group
PLC
7,233
131
$
237
Real
Estate
-
0.15%
Catena
AB
3,390
139
CBRE
Group
Inc
(d),(e)
557
26
CK
Asset
Holdings
Ltd
23,500
128
Daito
Trust
Construction
Co
Ltd
1,900
168
Hill
Street
(d),(f),(g)
222
5
Hill
Street
-
Warrants
(d),(f),(g)
377
—
Kojamo
Oyj
3,643
88
LEG
Immobilien
AG
1,256
185
REA
Group
Ltd
3,488
293
Redfin
Corp
(d)
1,132
54
Shurgard
Self
Storage
SA
2,375
104
WE
Company
Common
Class
A
(d),(f),(g),(h)
356
2
$
1,192
REITs
-
0.90%
Agree
Realty
Corp
1,407
94
Alexandria
Real
Estate
Equities
Inc
(e)
1,879
316
American
Tower
Corp
2,179
543
Americold
Realty
Trust
3,091
119
Annaly
Capital
Management
Inc
16,117
118
Apartment
Investment
and
Management
Co
(e)
5,320
192
AvalonBay
Communities
Inc
1,965
311
Big
Yellow
Group
PLC
6,270
89
Boston
Properties
Inc
2,839
247
Camden
Property
Trust
785
71
CoreCivic
Inc
8,210
76
Crown
Castle
International
Corp
596
97
Digital
Realty
Trust
Inc
336
52
Easterly
Government
Properties
Inc
3,580
87
Equinix
Inc
79
62
Essential
Properties
Realty
Trust
Inc
4,727
80
Federal
Realty
Investment
Trust
(e)
582
46
Goodman
Group
16,147
217
Hibernia
REIT
plc
94,006
134
Iron
Mountain
Inc
679
20
Japan
Retail
Fund
Investment
Corp
120
181
Kimco
Realty
Corp
(e)
11,979
144
Mid-America
Apartment
Communities
Inc
(e)
2,492
292
Monmouth
Real
Estate
Investment
Corp
7,246
105
Pebblebrook
Hotel
Trust
7,492
95
Piedmont
Office
Realty
Trust
Inc
4,122
63
Prologis
Inc
(e)
831
85
Public
Storage
(e)
2,738
582
Realty
Income
Corp
(e)
880
55
SBA
Communications
Corp
160
49
Segro
PLC
8,252
105
Simon
Property
Group
Inc
(e)
2,969
201
Unibail-Rodamco-Westfield
1,425
66
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Ventas
Inc
(e)
14,208
$
585
VICI
Properties
Inc
5,314
119
Welltower
Inc
1,197
69
Weyerhaeuser
Co
(e)
48,076
1,457
$
7,224
Retail
-
2.89%
ABC-Mart
Inc
6,500
342
Advance
Auto
Parts
Inc
(e)
4,264
666
AutoZone
Inc
(d),(e)
1,190
1,424
Best
Buy
Co
Inc
(e)
1,867
208
BMC
Stock
Holdings
Inc
(d)
4,091
163
Burlington
Stores
Inc
(d)
655
129
CarMax
Inc
(d)
2,885
308
Casey's
General
Stores
Inc
5,484
975
Cheesecake
Factory
Inc/The
3,342
99
Children's
Place
Inc/The
4,903
98
Costco
Wholesale
Corp
(e)
1,084
377
Darden
Restaurants
Inc
(e)
9,844
853
Dollar
General
Corp
1,768
357
Dollar
Tree
Inc
(d)
4,033
388
Domino's
Pizza
Inc
(e)
539
220
Fast
Retailing
Co
Ltd
300
179
Five
Below
Inc
(d)
7,507
822
Floor
&
Decor
Holdings
Inc
(d)
1,757
129
Gap
Inc/The
(e)
44,213
769
Genuine
Parts
Co
(e)
1,717
162
Hennes
&
Mauritz
AB
7,831
125
Home
Depot
Inc/The
(e)
6,187
1,764
Industria
de
Diseno
Textil
SA
22,808
641
Jand
Inc
(d),(f),(g),(h)
1,693
38
Kohl's
Corp
(e)
3,089
66
L
Brands
Inc
28,830
848
Lawson
Inc
2,500
124
Lowe's
Cos
Inc
(e)
5,675
935
Marui
Group
Co
Ltd
11,600
212
McDonald's
Corp
(e)
6,019
1,285
McDonald's
Holdings
Co
Japan
Ltd
8,900
437
Michaels
Cos
Inc/The
(d)
7,267
82
Moncler
SpA
(d)
2,437
94
Movado
Group
Inc
4,684
51
Next
PLC
3,912
313
Nitori
Holdings
Co
Ltd
2,200
461
Ollie's
Bargain
Outlet
Holdings
Inc
(d)
738
70
O'Reilly
Automotive
Inc
(d)
1,167
544
Pandora
A/S
6,386
466
Panera
Bread
Co
(d),(f),(g)
1,664
—
Regis
Corp
(d)
3,155
23
Starbucks
Corp
767
65
Sundrug
Co
Ltd
9,400
350
Target
Corp
(e)
4,633
700
TJX
Cos
Inc/The
12,872
705
Tractor
Supply
Co
3,232
481
Ulta
Beauty
Inc
(d),(e)
3,180
738
USS
Co
Ltd
11,900
201
Walgreens
Boots
Alliance
Inc
(e)
3,352
127
Walmart
Inc
(e)
10,011
1,390
WH
Smith
PLC
5,974
94
Yum!
Brands
Inc
(e)
11,450
1,098
$
23,196
Savings
&
Loans
-
0.03%
OceanFirst
Financial
Corp
4,314
67
Pacific
Premier
Bancorp
Inc
3,249
73
Sterling
Bancorp/DE
6,413
75
WSFS
Financial
Corp
1,900
56
$
271
Semiconductors
-
1.58%
ACM
Research
Inc
(d)
1,219
108
Advanced
Micro
Devices
Inc
(d)
5,401
491
Analog
Devices
Inc
(e)
2,322
271
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
100
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Semiconductors
(continued)
Applied
Materials
Inc
(e)
7,240
$
446
ASML
Holding
NV
1,812
677
BE
Semiconductor
Industries
NV
2,645
126
Broadcom
Inc
(e)
2,244
779
Entegris
Inc
1,443
97
FormFactor
Inc
(d)
3,605
94
Infineon
Technologies
AG
8,224
229
Intel
Corp
(e)
26,932
1,372
KLA
Corp
991
204
Kulicke
&
Soffa
Industries
Inc
4,100
98
Lam
Research
Corp
(e)
1,299
437
Marvell
Technology
Group
Ltd
4,857
188
Maxim
Integrated
Products
Inc
(e)
2,996
205
Microchip
Technology
Inc
(e)
3,913
429
Micron
Technology
Inc
(d),(e)
2,708
123
MKS
Instruments
Inc
918
110
NVIDIA
Corp
(e)
3,344
1,789
Qorvo
Inc
(d),(e)
3,830
491
QUALCOMM
Inc
(e)
6,200
739
Renesas
Electronics
Corp
(d)
82,125
517
Samsung
Electronics
Co
Ltd
1,957
89
Silicon
Motion
Technology
Corp
ADR
1,456
55
Skyworks
Solutions
Inc
(e)
1,457
211
SOITEC
(d)
1,289
172
STMicroelectronics
NV
14,020
424
Teradyne
Inc
5,271
448
Texas
Instruments
Inc
(e)
4,795
681
Tokyo
Electron
Ltd
1,000
257
Tower
Semiconductor
Ltd
(d)
15,480
301
$
12,658
Shipbuilding
-
0.01%
Yangzijiang
Shipbuilding
Holdings
Ltd
165,200
111
Software
-
2.87%
Activision
Blizzard
Inc
(e)
1,349
113
Adobe
Inc
(d),(e)
1,711
878
Agilysys
Inc
(d)
5,100
129
ANSYS
Inc
(d)
123
42
Autodesk
Inc
(d),(e)
1,983
487
Avid
Technology
Inc
(d)
10,341
84
Bandwidth
Inc
(d)
1,016
160
Black
Knight
Inc
(d)
3,719
313
Broadridge
Financial
Solutions
Inc
4,164
572
Cadence
Design
Systems
Inc
(d)
413
46
Cerner
Corp
(e)
5,064
371
Citrix
Systems
Inc
(e)
5,458
792
Cloudera
Inc
(d)
14,371
190
Constellation
Software
Inc/Canada
357
413
CSG
Systems
International
Inc
1,649
70
Dropbox
Inc
-
A
Shares
(d),(e)
10,735
227
Electronic
Arts
Inc
(d)
997
139
Envestnet
Inc
(d)
14,552
1,208
Fair
Isaac
Corp
(d)
1,644
692
Fidelity
National
Information
Services
Inc
145
22
Five9
Inc
(d)
806
103
Guidewire
Software
Inc
(d)
1,426
160
Health
Catalyst
Inc
(d)
2,649
83
HubSpot
Inc
(d)
502
150
Intuit
Inc
524
181
J2
Global
Inc
(d)
1,110
78
Manhattan
Associates
Inc
(d)
1,220
119
Microsoft
Corp
(e)
27,403
6,180
MINDBODY
Inc
(d),(f),(g)
9,229
337
MongoDB
Inc
(d)
4,733
1,107
MSCI
Inc
(e)
717
268
NextGen
Healthcare
Inc
(d)
5,271
70
Omnicell
Inc
(d)
2,058
137
Oracle
Corp
(e)
25,319
1,449
Oracle
Corp
Japan
900
105
Paychex
Inc
(e)
15,594
1,192
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
(continued)
Paycom
Software
Inc
(d)
64
$
19
PROS
Holdings
Inc
(d)
2,504
98
RingCentral
Inc
(d)
195
57
salesforce.com
Inc
(d),(e)
5,498
1,499
ServiceNow
Inc
(d)
1,085
523
SimCorp
A/S
823
105
Splunk
Inc
(d)
1,567
344
Synopsys
Inc
(d)
584
129
Take-Two
Interactive
Software
Inc
(d)
164
28
VMware
Inc
(d)
496
72
WiseTech
Global
Ltd
9,176
190
Workday
Inc
(d)
3,793
909
Xperi
Holding
Corp
5,374
67
Zoom
Video
Communications
Inc
(d)
976
317
$
23,024
Telecommunications
-
1.06%
AT&T
Inc
(e)
25,613
764
CenturyLink
Inc
4,345
47
Cisco
Systems
Inc
(e)
38,664
1,633
Corning
Inc
10,163
330
Deutsche
Telekom
AG
87,887
1,549
Harmonic
Inc
(d)
17,371
103
Hellenic
Telecommunications
Organization
SA
10,260
167
HMS
Networks
AB
(d)
2,545
65
InterDigital
Inc
1,087
66
Juniper
Networks
Inc
(e)
12,998
325
Koninklijke
KPN
NV
242,346
636
Motorola
Solutions
Inc
(e)
3,140
486
NTT
DOCOMO
Inc
3,100
86
Ooma
Inc
(d)
6,229
85
PagerDuty
Inc
(d)
3,176
104
Plantronics
Inc
8,526
106
Proximus
SADP
4,821
95
Sectra
AB
-
B
Shares
(d)
1,089
81
SoftBank
Group
Corp
14,800
915
Telefonica
SA
12,029
47
T-Mobile
US
Inc
(d),(e)
2,039
237
Verizon
Communications
Inc
(e)
9,471
562
$
8,489
Textiles
-
0.04%
Mohawk
Industries
Inc
(d),(e)
3,552
328
Toys,
Games
&
Hobbies
-
0.12%
Games
Workshop
Group
PLC
1,207
148
Hasbro
Inc
(e)
1,106
87
Nintendo
Co
Ltd
1,300
700
$
935
Transportation
-
0.74%
Canadian
National
Railway
Co
5,528
581
Canadian
Pacific
Railway
Ltd
400
118
Central
Japan
Railway
Co
1,600
240
CH
Robinson
Worldwide
Inc
(e)
3,901
383
CSX
Corp
(e)
6,363
486
Deutsche
Post
AG
17,905
816
Expeditors
International
of
Washington
Inc
(e)
16,147
1,427
FedEx
Corp
612
135
Hub
Group
Inc
(d)
2,129
115
JB
Hunt
Transport
Services
Inc
2,992
421
Kuehne
+
Nagel
International
AG
495
96
Norfolk
Southern
Corp
1,652
351
Old
Dominion
Freight
Line
Inc
902
182
Union
Pacific
Corp
2,857
550
United
Parcel
Service
Inc
274
45
$
5,946
Water
-
0.04%
Severn
Trent
PLC
4,917
152
Veolia
Environnement
SA
6,990
169
$
321
TOTAL
COMMON
STOCKS
$
334,6
71
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
101
CONVERTIBLE
PREFERRED
STOCKS
-
0.20%
Shares
Held
Value
(000's)
Agriculture
-
0.08%
Bunge
Ltd
4.88%
(j)
6,930
$
658
Banks
-
0.08%
Bank
of
America
Corp
7.25%
(j)
215
321
Wells
Fargo
&
Co
7.50%
(j)
243
336
$
657
Electric
-
0.01%
NextEra
Energy
Inc
5.28%,
03/01/2023
1,526
73
Internet
-
0.02%
Airbnb
Inc
-
Series
E
0.00%
(d),(f),(g),(h)
1,685
137
Oil
&
Gas
-
0.00%
Chesapeake
Energy
Corp
5.75%
(j)
355
—
Pipelines
-
0.00%
El
Paso
Energy
Capital
Trust
I
4.75%,
03/31/2028
452
22
Retail
-
0.01%
Jand
Inc
0.00%
(d),(f),(g),(h)
3,781
86
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
1,633
PREFERRED
STOCKS
-
0.43%
Shares
Held
Value
(000's)
Automobile
Manufacturers
-
0.02%
Volkswagen
AG
4.86%
1,068
$
179
Chemicals
-
0.01%
FUCHS
PETROLUB
SE
0.97%
2,500
118
Internet
-
0.00%
Veracode
Inc
0.00%
(d),(f),(g),(h)
6,031
3
Pipelines
-
0.33%
Southcross
Energy
Series
A
0.00%
(d),(f),(g)
2,399,339
1,656
Southcross
Energy
Series
B
0.00%
(d),(f),(g)
703,849
950
$
2,606
Private
Equity
-
0.04%
Forward
Venture
Services
LLC
0.00%
(d),(f),(g),(h)
32,815
299
Real
Estate
-
0.01%
WE
Company
Preferred
D-1
0.00%
(d),(f),(g),(h)
4,867
38
WE
Company
Preferred
D-2
0.00%
(d),(f),(g),(h)
3,824
30
$
68
Software
-
0.02%
Marklogic
Corp
0.00%
(d),(f),(g),(h)
14,832
129
TOTAL
PREFERRED
STOCKS
$
3,402
BONDS
-
38.69%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.04%
Lamar
Media
Corp
3.75%,
02/15/2028
(i)
$
50
$
50
4.00%,
02/15/2030
(i)
100
102
5.00%,
05/01/2023
50
51
Outfront
Media
Capital
LLC
/
Outfront
Media
Capital
Corp
4.63%,
03/15/2030
(i)
120
116
$
319
Aerospace
&
Defense
-
0.44%
Boeing
Co/The
2.25%,
06/15/2026
195
191
2.95%,
02/01/2030
85
83
3.10%,
05/01/2026
10
10
3.25%,
02/01/2035
25
23
3.38%,
06/15/2046
105
89
3.50%,
03/01/2039
65
59
3.55%,
03/01/2038
30
27
3.63%,
03/01/2048
35
31
3.65%,
03/01/2047
30
26
3.75%,
02/01/2050
90
81
3.85%,
11/01/2048
50
45
3.95%,
08/01/2059
60
56
5.15%,
05/01/2030
380
426
5.81%,
05/01/2050
380
456
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Aerospace
&
Defense
(continued)
Embraer
Netherlands
Finance
BV
5.05%,
06/15/2025
$
230
$
219
5.40%,
02/01/2027
130
120
Leonardo
US
Holdings
Inc
6.25%,
01/15/2040
(i)
716
816
Spirit
AeroSystems
Inc
4.60%,
06/15/2028
35
27
7.50%,
04/15/2025
(i)
310
313
TransDigm
Inc
6.25%,
03/15/2026
(i)
408
431
$
3,529
Agriculture
-
0.16%
JBS
Investments
II
GmbH
7.00%,
01/15/2026
(i)
1,200
1,297
Airlines
-
0.16%
American
Airlines
Inc
11.75%,
07/15/2025
(i)
253
243
Latam
Airlines
2015-1
Pass
Through
Trust
B
4.50%,
08/15/2025
158
89
Mileage
Plus
Holdings
LLC
/
Mileage
Plus
Intellectual
Property
Assets
Ltd
6.50%,
06/20/2027
(i)
316
329
United
Airlines
2019-2
Class
B
Pass
Through
Trust
3.50%,
11/01/2029
925
655
$
1,316
Apparel
-
0.03%
Levi
Strauss
&
Co
5.00%,
05/01/2025
245
250
Automobile
Asset
Backed
Securities
-
1.07%
American
Credit
Acceptance
Receivables
Trust
2020-3
2.40%,
06/15/2026
(i)
305
306
Americredit
Automobile
Receivables
Trust
2018-2
4.01%,
07/18/2024
550
580
Americredit
Automobile
Receivables
Trust
2018-3
4.04%,
11/18/2024
670
712
AmeriCredit
Automobile
Receivables
Trust
2020-2
2.13%,
03/18/2026
100
101
Avid
Automobile
Receivables
Trust
2019-1
3.14%,
07/15/2026
(i)
150
153
Avis
Budget
Rental
Car
Funding
AESOP
LLC
2.96%,
02/20/2027
(i)
100
103
CarMax
Auto
Owner
Trust
2018-1
3.37%,
07/15/2024
25
26
CarMax
Auto
Owner
Trust
2018-2
3.99%,
04/15/2025
320
331
Carmax
Auto
Owner
Trust
2018-4
4.15%,
04/15/2025
205
213
Carmax
Auto
Owner
Trust
2020-1
2.64%,
07/15/2026
175
177
Chesapeake
Funding
II
LLC
3.57%,
04/15/2030
(i)
175
179
3.71%,
05/15/2029
(i)
130
131
3.92%,
04/15/2030
(i)
455
460
CIG
AUTO
RECEIVABLES
TRUST
2017-1
2.71%,
05/15/2023
(i)
2
2
CPS
Auto
Receivables
Trust
2018-A
3.05%,
12/15/2023
(i)
81
81
CPS
Auto
Receivables
Trust
2018-D
3.83%,
09/15/2023
(i)
330
336
Drive
Auto
Receivables
Trust
2018-5
4.30%,
04/15/2026
420
444
Drive
Auto
Receivables
Trust
2019-1
4.09%,
06/15/2026
260
272
DT
Auto
Owner
Trust
2018-2
4.15%,
03/15/2024
(i)
290
297
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
102
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Automobile
Asset
Backed
Securities
(continued)
First
Investors
Auto
Owner
Trust
2019-2
2.80%,
12/15/2025
(i)
$
75
$
77
3.88%,
01/15/2026
(i)
175
176
Flagship
Credit
Auto
Trust
2019-2
3.53%,
05/15/2025
(i)
520
536
GLS
Auto
Receivables
Issuer
Trust
2019-2
3.54%,
02/18/2025
(i)
785
812
Motor
2017-1
PLC
0.71%,
09/25/2024
(i)
9
9
1.00
x
1
Month
USD
LIBOR
+
0.53%
Prestige
Auto
Receivables
Trust
2016-1
5.15%,
11/15/2021
(i)
608
610
Prestige
Auto
Receivables
Trust
2019-1
3.90%,
05/15/2026
(i)
145
143
Santander
Drive
Auto
Receivables
Trust
2019-2
3.22%,
07/15/2025
655
675
Santander
Drive
Auto
Receivables
Trust
2020-1
5.35%,
03/15/2028
380
408
Santander
Drive
Auto
Receivables
Trust
2020-2
2.22%,
09/15/2026
135
137
Tidewater
Auto
Receivables
Trust
2018-A
4.30%,
11/15/2024
(i)
100
103
$
8,590
Automobile
Floor
Plan
Asset
Backed
Securities
-
0.03%
Navistar
Financial
Dealer
Note
Master
Owner
Trust
II
0.81%,
09/25/2023
(i)
205
205
1.00
x
1
Month
USD
LIBOR
+
0.63%
Automobile
Manufacturers
-
0.23%
FCE
Bank
PLC
0.87%,
09/13/2021
EUR
395
465
1.88%,
06/24/2021
280
332
Ford
Motor
Co
8.50%,
04/21/2023
$
185
205
9.00%,
04/22/2025
220
257
9.63%,
04/22/2030
50
66
General
Motors
Co
5.20%,
04/01/2045
40
43
5.40%,
04/01/2048
65
71
6.80%,
10/01/2027
320
391
$
1,830
Banks
-
0.85%
Banco
Hipotecario
SA
33.75%,
11/07/2022
(i)
ARS
10,245
142
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.00%
Banco
Macro
SA
17.50%,
05/08/2022
(i)
5,115
45
Danske
Bank
A/S
3.24%,
12/20/2025
(i),(k)
$
200
215
3
Month
USD
LIBOR
+
1.59%
Financiera
de
Desarrollo
Territorial
SA
Findeter
7.88%,
08/12/2024
(i)
COP
3,380,000
958
International
Bank
of
Azerbaijan
OJSC
3.50%,
09/01/2024
$
2,000
1,843
JPMorgan
Chase
&
Co
4.49%,
03/24/2031
(k)
780
961
United
States
Secured
Overnight
Financing
Rate
+
3.79%
Kreditanstalt
fuer
Wiederaufbau
0.38%,
07/18/2025
116
116
1.38%,
08/05/2024
1,387
1,446
MUFG
Union
Bank
NA
0.81%,
12/09/2022
750
751
United
States
Secured
Overnight
Financing
Rate
+
0.71%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Standard
Chartered
PLC
4.64%,
04/01/2031
(i),(k)
$
295
$
346
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.85%
$
6,823
Beverages
-
0.05%
Fomento
Economico
Mexicano
SAB
de
CV
3.50%,
01/16/2050
386
414
Building
Materials
-
0.14%
Builders
FirstSource
Inc
6.75%,
06/01/2027
(i)
225
245
Carrier
Global
Corp
2.72%,
02/15/2030
(i)
310
325
3.58%,
04/05/2050
(i)
220
233
Standard
Industries
Inc/NJ
4.38%,
07/15/2030
(i)
230
244
Vulcan
Materials
Co
3.50%,
06/01/2030
95
108
$
1,155
Chemicals
-
0.39%
Braskem
Netherlands
Finance
BV
4.50%,
01/31/2030
(i)
200
190
Equate
Petrochemical
BV
4.25%,
11/03/2026
1,025
1,097
MEGlobal
Canada
ULC
5.00%,
05/18/2025
(i)
1,700
1,857
$
3,144
Commercial
Mortgage
Backed
Securities
-
3.66%
Banc
of
America
Commercial
Mortgage
Trust
2015-UBS7
3.17%,
09/15/2048
531
357
COMM
2012-LC4
Mortgage
Trust
5.72%,
12/10/2044
(l)
10
8
COMM
2014-CCRE18
Mortgage
Trust
3.60%,
07/15/2047
(i)
1,925
1,280
COMM
2015-CCRE25
Mortgage
Trust
3.94%,
08/10/2048
(l)
2,280
1,587
COMM
2015-CCRE27
Mortgage
Trust
3.25%,
10/10/2048
(i)
2,800
1,797
COMM
2015-LC21
Mortgage
Trust
1.23%,
07/10/2048
(i),(l),(m)
10,000
467
1.23%,
07/10/2048
(i),(l),(m)
3,125
143
3.25%,
07/10/2048
(i)
1,012
517
COMM
2016-CR28
Mortgage
Trust
3.25%,
02/10/2049
(i)
850
425
Credit
Suisse
Commercial
Mortgage
Securities
Corp
2019-SLKZ
3.76%,
01/15/2034
(i)
155
144
1.00
x
1
Month
USD
LIBOR
+
3.60%
Csail
2015-C2
Commercial
Mortgage
Trust
4.33%,
06/15/2057
(l)
960
741
4.33%,
06/15/2057
(l)
2,184
1,427
CSAIL
2015-C3
Commercial
Mortgage
Trust
3.49%,
08/15/2048
(l)
1,690
1,136
CSMC
2014-USA
OA
LLC
4.37%,
09/15/2037
(i)
1,055
634
GS
Mortgage
Securities
Corp
II
4.56%,
07/10/2051
(i),(l)
635
277
GS
Mortgage
Securities
Trust
2014-GC20
5.13%,
04/10/2047
(i),(l)
1,820
948
HPLY
Trust
2019-HIT
1.76%,
11/15/2036
(i)
254
236
1.00
x
1
Month
USD
LIBOR
+
1.60%
JPMBB
Commercial
Mortgage
Securities
Trust
2013-C12
4.24%,
07/15/2045
(i),(l)
932
659
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
103
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C21
3.90%,
08/15/2047
(i),(l)
$
1,120
$
699
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C29
3.85%,
05/15/2048
(l),(n)
2,735
1,884
3.90%,
05/15/2048
(i),(l)
2,160
1,157
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C12
3.71%,
10/15/2046
(i)
1,275
470
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C25
4.68%,
10/15/2048
(i),(l)
350
215
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2017-C34
1.02%,
11/15/2052
(i),(l),(m)
3,150
156
Morgan
Stanley
Capital
I
Trust
2011-C2
5.66%,
06/15/2044
(i),(l)
475
339
5.66%,
06/15/2044
(i),(l)
160
98
Motel
6
Trust
2017-M6MZ
7.09%,
08/15/2024
(i)
881
718
1.00
x
1
Month
USD
LIBOR
+
6.93%
SG
Commercial
Mortgage
Securities
Trust
2016-C5
2.54%,
10/10/2048
(i)
1,665
853
Starwood
Retail
Property
Trust
2014-STAR
2.91%,
11/15/2027
(f),(g),(i)
170
117
1.00
x
1
Month
USD
LIBOR
+
2.75%
4.56%,
11/15/2027
(f),(g),(i)
645
213
1.00
x
1
Month
USD
LIBOR
+
4.40%
Wells
Fargo
Commercial
Mortgage
Trust
2015-C26
3.25%,
02/15/2048
(i)
1,981
1,122
Wells
Fargo
Commercial
Mortgage
Trust
2015-C28
3.00%,
05/15/2048
(i)
1,794
713
Wells
Fargo
Commercial
Mortgage
Trust
2015-LC22
3.36%,
09/15/2058
(i)
260
144
Wells
Fargo
Commercial
Mortgage
Trust
2015-NXS1
2.88%,
05/15/2048
(i),(l)
1,485
919
Wells
Fargo
Commercial
Mortgage
Trust
2016-NXS6
2.00%,
11/15/2049
(i),(l),(m)
7,575
650
Wells
Fargo
Commercial
Mortgage
Trust
2019-JWDR
3.14%,
09/15/2031
(i),(l)
650
613
WF-RBS
Commercial
Mortgage
Trust
2011-C2
5.85%,
02/15/2044
(i),(l)
115
114
WFRBS
Commercial
Mortgage
Trust
2011-C3
5.85%,
03/15/2044
(i),(l)
350
165
WFRBS
Commercial
Mortgage
Trust
2011-C4
5.39%,
06/15/2044
(i),(l)
845
702
WFRBS
Commercial
Mortgage
Trust
2012-C6
5.77%,
04/15/2045
(i),(l)
500
491
WFRBS
Commercial
Mortgage
Trust
2012-C7
4.97%,
06/15/2045
(l)
80
57
4.97%,
06/15/2045
(i),(l)
225
92
WFRBS
Commercial
Mortgage
Trust
2014-C20
3.99%,
05/15/2047
(i)
267
157
WFRBS
Commercial
Mortgage
Trust
2014-C21
3.49%,
08/15/2047
(i)
1,030
588
3.50%,
08/15/2047
(i),(n)
4,515
3,146
$
29,375
Commercial
Services
-
0.42%
Adani
Ports
&
Special
Economic
Zone
Ltd
4.20%,
08/04/2027
(i)
1,620
1,662
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Services
(continued)
APX
Group
Inc
6.75%,
02/15/2027
(i)
$
1,000
$
1,050
Sabre
GLBL
Inc
9.25%,
04/15/2025
(i)
30
33
United
Rentals
North
America
Inc
4.00%,
07/15/2030
630
658
$
3,403
Computers
-
0.04%
Diebold
Nixdorf
Inc
9.38%,
07/15/2025
(i)
191
206
Seagate
HDD
Cayman
4.13%,
01/15/2031
(i)
95
103
$
309
Consumer
Products
-
0.03%
Kimberly-Clark
de
Mexico
SAB
de
CV
2.43%,
07/01/2031
(i)
200
204
Credit
Card
Asset
Backed
Securities
-
0.03%
Genesis
Sales
Finance
Master
Trust
Series
2019-A
4.68%,
08/20/2023
(i)
255
256
Diversified
Financial
Services
-
0.86%
AerCap
Ireland
Capital
DAC
/
AerCap
Global
Aviation
Trust
3.65%,
07/21/2027
150
140
3.88%,
01/23/2028
150
138
4.50%,
09/15/2023
380
390
6.50%,
07/15/2025
150
163
Air
Lease
Corp
3.38%,
07/01/2025
330
336
Aircastle
Ltd
4.25%,
06/15/2026
695
649
Ally
Financial
Inc
3.88%,
05/21/2024
35
37
4.63%,
03/30/2025
40
44
5.75%,
11/20/2025
240
269
5.80%,
05/01/2025
285
329
Navient
Corp
5.00%,
03/15/2027
370
356
5.88%,
10/25/2024
15
16
6.13%,
03/25/2024
5
5
6.50%,
06/15/2022
5
5
6.75%,
06/15/2026
15
16
7.25%,
01/25/2022
20
21
7.25%,
09/25/2023
50
53
OneMain
Finance
Corp
5.38%,
11/15/2029
130
138
6.63%,
01/15/2028
30
34
6.88%,
03/15/2025
5
6
7.13%,
03/15/2026
425
488
8.88%,
06/01/2025
85
96
Power
Finance
Corp
Ltd
5.25%,
08/10/2028
2,140
2,295
Quicken
Loans
LLC
5.25%,
01/15/2028
(i)
685
731
5.75%,
05/01/2025
(i)
105
108
$
6,863
Electric
-
0.85%
Adani
Electricity
Mumbai
Ltd
3.95%,
02/12/2030
(i)
1,600
1,596
3.95%,
02/12/2030
500
499
AES
Corp/The
3.95%,
07/15/2030
(i)
115
123
5.13%,
09/01/2027
115
124
5.50%,
04/15/2025
40
41
6.00%,
05/15/2026
15
16
Enel
SpA
8.75%,
09/24/2073
(i),(k)
320
375
USD
Swap
Semi-Annual
5
Year
+
5.88%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
104
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
FirstEnergy
Corp
4.85%,
07/15/2047
$
57
$
70
GenOn
Energy
Inc
-
Escrow
0.00%,
10/15/2018
(d),(f),(g)
6,993
—
0.00%,
10/15/2020
(d),(f),(g)
6,143
—
IPALCO
Enterprises
Inc
4.25%,
05/01/2030
(i)
30
34
NRG
Energy
Inc
4.45%,
06/15/2029
(i)
130
144
5.25%,
06/15/2029
(i)
60
65
5.75%,
01/15/2028
130
141
Pacific
Gas
and
Electric
Co
3.50%,
08/01/2050
210
196
4.55%,
07/01/2030
875
968
4.95%,
07/01/2050
875
964
Vistra
Operations
Co
LLC
3.70%,
01/30/2027
(i)
1,285
1,351
4.30%,
07/15/2029
(i)
125
136
$
6,843
Engineering
&
Construction
-
0.03%
GMR
Hyderabad
International
Airport
Ltd
5.38%,
04/10/2024
270
263
Entertainment
-
0.03%
Colt
Merger
Sub
Inc
5.75%,
07/01/2025
(i)
188
197
Finance
-
Mortgage
Loan/Banker
-
0.13%
Fannie
Mae
0.88%,
08/05/2030
286
281
Freddie
Mac
0.25%,
08/24/2023
717
717
$
998
Food
-
0.52%
Albertsons
Cos
Inc
/
Safeway
Inc
/
New
Albertsons
LP
/
Albertsons
LLC
5.75%,
03/15/2025
290
298
Kraft
Heinz
Foods
Co
4.38%,
06/01/2046
170
174
4.88%,
10/01/2049
(i)
570
629
5.00%,
06/04/2042
85
94
5.20%,
07/15/2045
175
199
Lamb
Weston
Holdings
Inc
4.88%,
05/15/2028
(i)
80
88
MARB
BondCo
PLC
7.00%,
03/15/2024
2,300
2,375
NBM
US
Holdings
Inc
7.00%,
05/14/2026
(i)
320
341
$
4,198
Healthcare
-
Services
-
0.26%
Centene
Corp
4.63%,
12/15/2029
35
38
Encompass
Health
Corp
4.75%,
02/01/2030
45
47
Hadrian
Merger
Sub
Inc
8.50%,
05/01/2026
(i)
971
933
HCA
Inc
3.50%,
09/01/2030
190
200
IQVIA
Inc
5.00%,
05/15/2027
(i)
200
211
Tenet
Healthcare
Corp
4.63%,
06/15/2028
(i)
5
5
5.13%,
05/01/2025
620
632
$
2,066
Home
Builders
-
0.04%
Lennar
Corp
4.75%,
11/29/2027
160
182
4.88%,
12/15/2023
35
38
5.00%,
06/15/2027
5
6
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Home
Builders
(continued)
PulteGroup
Inc
4.25%,
03/01/2021
$
100
$
101
$
327
Insurance
-
0.10%
American
International
Group
Inc
4.38%,
06/30/2050
625
743
Global
Atlantic
Fin
Co
4.40%,
10/15/2029
(i)
60
63
$
806
Internet
-
0.45%
Booking
Holdings
Inc
4.50%,
04/13/2027
245
289
4.63%,
04/13/2030
400
483
eBay
Inc
4.00%,
07/15/2042
35
39
Expedia
Group
Inc
3.25%,
02/15/2030
525
497
4.63%,
08/01/2027
(i)
165
172
6.25%,
05/01/2025
(i)
520
572
7.00%,
05/01/2025
(i)
265
288
Uber
Technologies
Inc
7.50%,
05/15/2025
(i)
40
42
7.50%,
09/15/2027
(i)
600
629
8.00%,
11/01/2026
(i)
575
609
$
3,620
Investment
Companies
-
0.09%
Icahn
Enterprises
LP
/
Icahn
Enterprises
Finance
Corp
4.75%,
09/15/2024
90
93
5.25%,
05/15/2027
235
250
6.25%,
05/15/2026
325
347
$
690
Iron
&
Steel
-
0.11%
ABJA
Investment
Co
Pte
Ltd
5.45%,
01/24/2028
210
202
Metinvest
BV
8.50%,
04/23/2026
200
202
Reliance
Steel
&
Aluminum
Co
2.15%,
08/15/2030
40
40
Steel
Dynamics
Inc
3.45%,
04/15/2030
370
407
$
851
Leisure
Products
&
Services
-
0.32%
Constellation
Merger
Sub
Inc
8.50%,
09/15/2025
(i)
2,449
2,082
Royal
Caribbean
Cruises
Ltd
11.50%,
06/01/2025
(i)
442
512
$
2,594
Lodging
-
0.15%
Hyatt
Hotels
Corp
5.38%,
04/23/2025
45
49
5.75%,
04/23/2030
80
92
Marriott
International
Inc/MD
0.97%,
03/08/2021
845
841
3
Month
USD
LIBOR
+
0.65%
4.63%,
06/15/2030
85
93
5.75%,
05/01/2025
5
6
Wyndham
Destinations
Inc
6.63%,
07/31/2026
(i)
85
90
$
1,171
Media
-
0.75%
Block
Communications
Inc
4.88%,
03/01/2028
(i)
95
97
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp
4.25%,
02/01/2031
(i)
675
706
4.50%,
08/15/2030
(i)
190
202
4.50%,
05/01/2032
(i)
20
21
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
105
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
(continued)
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp
(continued)
5.38%,
06/01/2029
(i)
$
35
$
38
Cengage
Learning
Inc
9.50%,
06/15/2024
(i)
1,161
778
Clear
Channel
Worldwide
Holdings
Inc
5.13%,
08/15/2027
(i)
295
298
CSC
Holdings
LLC
4.63%,
12/01/2030
(i)
200
205
6.50%,
02/01/2029
(i)
200
225
iHeartCommunications
Inc
4.75%,
01/15/2028
(i)
320
305
5.25%,
08/15/2027
(i)
260
259
6.38%,
05/01/2026
100
104
8.38%,
05/01/2027
285
289
NBCUniversal
Enterprise
Inc
5.25%,
12/31/2099
(i),(j)
1,205
1,223
Sirius
XM
Radio
Inc
4.63%,
07/15/2024
(i)
30
31
5.00%,
08/01/2027
(i)
160
170
5.38%,
07/15/2026
(i)
60
63
5.50%,
07/01/2029
(i)
15
16
ViacomCBS
Inc
4.95%,
05/19/2050
173
202
Virgin
Media
Finance
PLC
5.00%,
07/15/2030
(i)
200
206
Virgin
Media
Secured
Finance
PLC
5.50%,
08/15/2026
(i)
200
211
Ziggo
BV
4.88%,
01/15/2030
(i)
215
228
5.50%,
01/15/2027
(i)
150
158
$
6,035
Metal
Fabrication
&
Hardware
-
0.25%
HTA
Group
Ltd/Mauritius
7.00%,
12/18/2025
(i)
1,865
1,988
Mining
-
0.50%
First
Quantum
Minerals
Ltd
6.88%,
03/01/2026
(i)
405
405
7.50%,
04/01/2025
(i)
200
204
Freeport-McMoRan
Inc
4.13%,
03/01/2028
140
146
4.25%,
03/01/2030
105
110
4.38%,
08/01/2028
55
58
4.63%,
08/01/2030
35
38
5.00%,
09/01/2027
20
21
Indonesia
Asahan
Aluminium
Persero
PT
4.75%,
05/15/2025
(i)
1,800
1,972
4.75%,
05/15/2025
800
876
Newcrest
Finance
Pty
Ltd
3.25%,
05/13/2030
(i)
135
149
$
3,979
Miscellaneous
Manufacturers
-
0.14%
FXI
Holdings
Inc
7.88%,
11/01/2024
(i),(n)
1,162
1,127
Mortgage
Backed
Securities
-
3.63%
Alternative
Loan
Trust
2003-22CB
5.75%,
12/25/2033
86
89
Alternative
Loan
Trust
2004-16CB
5.50%,
07/25/2034
65
67
5.50%,
08/25/2034
70
72
Alternative
Loan
Trust
2004-J10
6.00%,
09/25/2034
152
159
Alternative
Loan
Trust
2005-J1
5.50%,
02/25/2025
67
69
Banc
of
America
Alternative
Loan
Trust
2003-8
5.50%,
10/25/2033
65
65
Banc
of
America
Funding
2005-7
Trust
5.75%,
11/25/2035
62
67
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
(continued)
Banc
of
America
Funding
2007-4
Trust
5.50%,
11/25/2034
$
82
$
82
Banc
of
America
Mortgage
2005-A
Trust
3.71%,
02/25/2035
(l)
23
23
CHL
Mortgage
Pass-Through
Trust
2004-HYB4
2.92%,
09/20/2034
(l)
26
25
Citigroup
Mortgage
Loan
Trust
2018-A
4.00%,
01/25/2068
(i),(l)
222
223
Citigroup
Mortgage
Loan
Trust
2018-C
4.13%,
03/25/2059
(i),(l)
495
499
Citigroup
Mortgage
Loan
Trust
2019-B
3.26%,
04/25/2066
(i),(l)
324
326
Connecticut
Avenue
Securities
Trust
2019-R04
5.43%,
06/25/2039
(i)
280
246
1.00
x
1
Month
USD
LIBOR
+
5.25%
Connecticut
Avenue
Securities
Trust
2019-R07
3.58%,
10/25/2039
(i)
2,000
1,630
1.00
x
1
Month
USD
LIBOR
+
3.40%
Connecticut
Avenue
Securities
Trust
2020-R01
2.23%,
01/25/2040
(i)
155
149
1.00
x
1
Month
USD
LIBOR
+
2.05%
3.43%,
01/25/2040
(i)
260
180
1.00
x
1
Month
USD
LIBOR
+
3.25%
Connecticut
Avenue
Securities
Trust
2020-SBT1
3.83%,
02/25/2040
(i)
295
277
1.00
x
1
Month
USD
LIBOR
+
3.65%
3.83%,
02/25/2040
(i)
365
341
1.00
x
1
Month
USD
LIBOR
+
3.65%
CSFB
Mortgage-Backed
Pass-Through
Certificates
Series
2003-27
5.75%,
11/25/2033
36
38
CSMC
2018-RPL2
Trust
4.31%,
08/25/2062
(i),(l)
532
535
CSMC
2019-RP10
Trust
3.12%,
12/26/2059
(i),(l)
288
290
DSLA
Mortgage
Loan
Trust
2005-AR5
0.49%,
09/19/2045
124
92
1.00
x
1
Month
USD
LIBOR
+
0.33%
Dukinfield
II
PLC
1.43%,
12/20/2052
GBP
269
361
1.00
x
3
Month
GBP
LIBOR
+
1.25%
Fannie
Mae
Connecticut
Avenue
Securities
2.38%,
01/25/2030
$
31
31
1.00
x
1
Month
USD
LIBOR
+
2.20%
4.43%,
01/25/2031
4,451
4,095
1.00
x
1
Month
USD
LIBOR
+
4.25%
5.03%,
10/25/2029
1,320
1,303
1.00
x
1
Month
USD
LIBOR
+
4.85%
5.93%,
07/25/2029
1,215
1,252
1.00
x
1
Month
USD
LIBOR
+
5.75%
Fannie
Mae
REMICS
5.92%,
05/25/2047
(m)
1,777
405
(1.00)
x
1
Month
USD
LIBOR
+
6.10%
6.02%,
12/25/2045
(m)
1,069
248
(1.00)
x
1
Month
USD
LIBOR
+
6.20%
Freddie
Mac
STACR
2019-HQA3
7.68%,
09/25/2049
(i)
240
172
1.00
x
1
Month
USD
LIBOR
+
7.50%
Freddie
Mac
Stacr
Remic
Trust
2019-Hqa4
6.78%,
11/25/2049
(i)
530
306
1.00
x
1
Month
USD
LIBOR
+
6.60%
Freddie
Mac
Stacr
Remic
Trust
2020-DNA1
5.43%,
01/25/2050
(i)
350
200
1.00
x
1
Month
USD
LIBOR
+
5.25%
Freddie
Mac
STACR
Remic
Trust
2020-DNA2
4.98%,
02/25/2050
(i)
470
240
1.00
x
1
Month
USD
LIBOR
+
4.80%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
106
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
(continued)
Freddie
Mac
STACR
REMIC
Trust
2020-HQA1
5.28%,
01/25/2050
(i)
$
220
$
110
1.00
x
1
Month
USD
LIBOR
+
5.10%
Freddie
Mac
Stacr
Remic
Trust
2020-HQA2
3.28%,
03/25/2050
(i)
660
651
1.00
x
1
Month
USD
LIBOR
+
3.10%
4.28%,
03/25/2050
(i)
660
564
1.00
x
1
Month
USD
LIBOR
+
4.10%
Freddie
Mac
STACR
Trust
2019-DNA4
6.43%,
10/25/2049
(i)
300
204
1.00
x
1
Month
USD
LIBOR
+
6.25%
Freddie
Mac
STACR
Trust
2019-HRP1
4.23%,
02/25/2049
(i)
270
246
1.00
x
1
Month
USD
LIBOR
+
4.05%
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes
1.98%,
07/25/2030
22
21
1.00
x
1
Month
USD
LIBOR
+
1.80%
2.03%,
10/25/2027
31
31
1.00
x
1
Month
USD
LIBOR
+
1.85%
5.13%,
07/25/2029
2,689
2,709
1.00
x
1
Month
USD
LIBOR
+
4.95%
8.98%,
03/25/2028
4,455
4,289
1.00
x
1
Month
USD
LIBOR
+
8.80%
Grand
Avenue
Mortgage
Loan
Trust
2017-RPL1
3.25%,
08/25/2064
(i)
123
120
GSR
Mortgage
Loan
Trust
2005-4F
6.50%,
02/25/2035
38
39
IndyMac
INDX
Mortgage
Loan
Trust
2004-AR7
1.40%,
09/25/2034
118
108
1.00
x
1
Month
USD
LIBOR
+
1.22%
IndyMac
INDX
Mortgage
Loan
Trust
2005-AR11
3.24%,
08/25/2035
(l)
485
426
Lehman
XS
Trust
Series
2006-2N
0.44%,
02/25/2046
88
77
1.00
x
1
Month
USD
LIBOR
+
0.26%
MASTR
Alternative
Loan
Trust
2003-9
5.25%,
11/25/2033
36
38
MASTR
Alternative
Loan
Trust
2004-5
5.50%,
06/25/2034
32
33
6.00%,
06/25/2034
39
41
MASTR
Alternative
Loan
Trust
2004-8
6.00%,
09/25/2034
207
214
Merrill
Lynch
Mortgage
Investors
Trust
Series
MLCC
2006-2
3.01%,
05/25/2036
(l)
12
12
RCO
V
Mortgage
LLC
2019-1
3.72%,
05/24/2024
(i),(l)
483
486
STACR
Trust
2018-HRP2
2.58%,
02/25/2047
(i)
2,390
2,255
1.00
x
1
Month
USD
LIBOR
+
2.40%
Structured
Adjustable
Rate
Mortgage
Loan
Trust
0.49%,
07/25/2035
555
400
1.00
x
1
Month
USD
LIBOR
+
0.31%
Toorak
Mortgage
Corp
2018-1
Ltd
4.34%,
08/25/2021
(i),(l)
1,880
1,898
$
29,129
Office
&
Business
Equipment
-
0.03%
CDW
LLC
/
CDW
Finance
Corp
4.13%,
05/01/2025
195
203
Oil
&
Gas
-
2.54%
Aker
BP
ASA
3.75%,
01/15/2030
(i)
505
503
Bellatrix
Exploration
Ltd
0.00%,
09/11/2023
(d),(f),(g)
236
—
0.00%,
PIK
0.00%,
12/15/2023
(d),(f),(g),(o)
257
—
Cobalt
International
Energy
Inc
0.00%,
12/01/2023
(d)
4,635
97
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Oil
&
Gas
(continued)
Diamond
Offshore
Drilling
Inc
0.00%,
10/15/2039
(d)
$
327
$
33
Diamondback
Energy
Inc
3.50%,
12/01/2029
105
107
Hess
Corp
5.60%,
02/15/2041
155
179
Leviathan
Bond
Ltd
5.75%,
06/30/2023
(i)
600
621
6.13%,
06/30/2025
(i)
485
504
6.50%,
06/30/2027
(i)
880
916
Occidental
Petroleum
Corp
2.70%,
08/15/2022
75
74
2.70%,
02/15/2023
20
19
2.90%,
08/15/2024
105
97
3.50%,
06/15/2025
35
32
5.55%,
03/15/2026
10
10
Odebrecht
Drilling
Norbe
VIII/IX
Ltd
6.35%,
12/01/2021
1,019
927
Odebrecht
Offshore
Drilling
Finance
Ltd
6.72%,
12/01/2022
555
483
OGX
Austria
GmbH
0.00%,
06/01/2018
(d),(i)
600
—
0.00%,
04/01/2022
(d),(i)
1,100
—
Petrobras
Global
Finance
BV
5.09%,
01/15/2030
975
1,016
6.00%,
01/27/2028
1,700
1,885
7.25%,
03/17/2044
125
147
Petroleos
Mexicanos
5.95%,
01/28/2031
(i)
1,435
1,296
6.50%,
03/13/2027
1,925
1,897
6.63%,
06/15/2035
630
556
6.84%,
01/23/2030
(i)
1,450
1,398
6.95%,
01/28/2060
1,500
1,249
Petronas
Capital
Ltd
3.50%,
04/21/2030
(i)
1,050
1,190
Tengizchevroil
Finance
Co
International
Ltd
2.63%,
08/15/2025
(i)
1,850
1,880
3.25%,
08/15/2030
(i)
1,175
1,210
Tullow
Oil
PLC
6.25%,
04/15/2022
950
594
7.00%,
03/01/2025
2,100
1,197
Whiting
Petroleum
Corp
0.00%,
01/15/2026
(d)
175
41
YPF
SA
6.95%,
07/21/2027
(i)
240
176
$
20,334
Other
Asset
Backed
Securities
-
5.41%
Accelerated
Assets
2018-1
LLC
4.51%,
12/02/2033
(i)
144
144
Adams
Outdoor
Advertising
LP
4.81%,
11/15/2048
(i)
749
779
AIG
CLO
2018-1
Ltd
6.72%,
01/20/2032
(i)
2,640
2,422
1.00
x
3
Month
USD
LIBOR
+
6.45%
AIM
Aviation
Finance
Ltd
5.07%,
02/15/2040
(i),(l)
675
211
Ajax
Mortgage
Loan
Trust
2017-B
3.16%,
09/25/2056
(i),(l)
251
249
Allegro
CLO
VI
Ltd
3.02%,
01/17/2031
(i)
250
226
1.00
x
3
Month
USD
LIBOR
+
2.75%
ALM
VII
R
Ltd
7.41%,
10/15/2028
(i)
2,000
1,784
1.00
x
3
Month
USD
LIBOR
+
7.14%
American
Homes
4
Rent
2014-SFR2
Trust
5.15%,
10/17/2036
(i)
280
309
6.23%,
10/17/2036
(i)
695
771
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
107
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
American
Homes
4
Rent
2014-SFR3
Trust
6.42%,
12/17/2036
(i)
$
900
$
1,003
American
Homes
4
Rent
2015-SFR1
5.64%,
04/17/2052
(i)
1,045
1,149
Anchorage
Capital
CLO
9
Ltd
4.28%,
07/15/2032
(i)
250
244
1.00
x
3
Month
USD
LIBOR
+
4.00%
Apidos
CLO
XXIII
3.60%,
04/15/2033
(i)
370
360
1.00
x
3
Month
USD
LIBOR
+
2.00%
Arbys
Funding
LLC
3.24%,
07/30/2050
(i)
115
118
ArrowMark
Colorado
Holdings
2.98%,
07/15/2029
(i)
250
249
1.00
x
3
Month
USD
LIBOR
+
2.70%
Ascentium
Equipment
Receivables
2017-2
Trust
2.87%,
08/10/2022
(i)
80
81
Avery
Point
VII
CLO
Ltd
6.87%,
01/15/2028
(i)
1,400
1,129
1.00
x
3
Month
USD
LIBOR
+
6.60%
Barings
Clo
Ltd
2019-IV
3.08%,
01/15/2033
(i)
250
251
1.00
x
3
Month
USD
LIBOR
+
2.80%
BCC
Funding
XIV
LLC
6.00%,
04/21/2025
(i)
250
250
Blackbird
Capital
Aircraft
Lease
Securitization
Ltd
2016-1
4.21%,
12/16/2041
(i),(l)
198
168
5.68%,
12/16/2041
(i),(l)
547
340
BlueMountain
CLO
XXIV
Ltd
2.97%,
04/20/2031
(i)
250
250
1.00
x
3
Month
USD
LIBOR
+
2.70%
Bowman
Park
CLO
Ltd
5.66%,
11/23/2025
(i)
1,000
832
1.00
x
3
Month
USD
LIBOR
+
5.40%
Cairn
CLO
XI
DAC
6.77%,
07/15/2035
(i)
EUR
360
415
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
6.77%
Canyon
Capital
CLO
2019-2
Ltd
7.43%,
10/15/2032
(i)
$
250
229
1.00
x
3
Month
USD
LIBOR
+
7.15%
Carlyle
Global
Market
Strategies
Euro
CLO
2015-1
Ltd
3.40%,
01/16/2033
(i)
EUR
2,205
2,451
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
3.40%
5.50%,
01/16/2033
(i)
882
883
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
5.50%
CCG
Receivables
Trust
2018-1
3.42%,
06/16/2025
(i)
$
100
101
Coinstar
Funding
LLC
Series
2017-1
5.22%,
04/25/2047
(i)
672
638
Cole
Park
CLO
Ltd
2015-1
3.42%,
10/20/2028
(i)
255
248
1.00
x
3
Month
USD
LIBOR
+
3.15%
Colony
American
Finance
2015-1
Ltd
5.65%,
10/15/2047
(i)
550
553
Colony
American
Finance
2016-1
Ltd
4.64%,
06/15/2048
(i),(l)
260
260
DB
Master
Finance
LLC
4.35%,
05/20/2049
(i)
208
227
Diamond
Resorts
Owner
Trust
6.07%,
10/22/2029
(i)
68
68
Diamond
Resorts
Owner
Trust
2018-1
4.53%,
01/21/2031
(i)
238
236
BONDS
(continued)
Principal
Amount
(000��s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
Diamond
Resorts
Owner
Trust
2019-1
3.53%,
02/20/2032
(i)
$
236
$
235
Domino's
Pizza
Master
Issuer
LLC
4.12%,
07/25/2047
(i)
326
354
Dryden
33
Senior
Loan
Fund
7.25%,
04/15/2029
(i)
700
604
1.00
x
3
Month
USD
LIBOR
+
6.97%
Dryden
63
GBP
CLO
2018
BV
2.98%,
10/15/2032
(i)
GBP
2,060
2,672
1.00
x
3
Month
GBP
LIBOR
+
2.90%
4.58%,
10/15/2032
(i)
1,052
1,347
1.00
x
3
Month
GBP
LIBOR
+
4.50%
Fairstone
Financial
Issuance
Trust
I
3.95%,
03/21/2033
(i)
CAD
515
397
GCA2014
Holdings
Ltd
-
Class
C
6.00%,
01/05/2030
(f),(g),(i)
$
678
215
GCA2014
Holdings
Ltd
-
Class
D
7.50%,
01/05/2030
(f),(g),(i)
307
33
GCA2014
Holdings
Ltd
-
Class
E
0.00%,
01/05/2030
(d),(f),(g),(i)
1,030
—
Global
Container
Assets
Ltd
4.50%,
02/05/2030
(i)
201
199
Harbour
Aircraft
Investments
Ltd
8.00%,
11/15/2037
553
266
Hilton
Grand
Vacations
Trust
2018-A
4.00%,
02/25/2032
(i)
64
65
HPEFS
Equipment
Trust
2.79%,
07/22/2030
500
507
HPEFS
Equipment
Trust
2020-1
2.26%,
02/20/2030
(i)
115
114
Invitation
Homes
2018-SFR1
Trust
2.16%,
03/17/2037
(i)
470
468
1.00
x
1
Month
USD
LIBOR
+
2.00%
Invitation
Homes
2018-SFR2
Trust
2.16%,
06/17/2037
(i)
835
830
1.00
x
1
Month
USD
LIBOR
+
2.00%
Invitation
Homes
2018-SFR4
Trust
1.81%,
01/17/2038
(i)
210
209
1.00
x
1
Month
USD
LIBOR
+
1.65%
Kestrel
Aircraft
Funding
Ltd
4.25%,
12/15/2038
(i)
345
291
KKR
Clo
25
Ltd
6.82%,
04/15/2032
(i)
640
554
1.00
x
3
Month
USD
LIBOR
+
6.54%
Legacy
Mortgage
Asset
Trust
2019-GS3
3.75%,
04/25/2059
(i),(l)
348
353
MAPS
2018-1
Ltd
4.21%,
05/15/2043
(i)
636
559
Marlette
Funding
Trust
2019-1
3.44%,
04/16/2029
(i)
89
90
Marlette
Funding
Trust
2019-3
2.69%,
09/17/2029
(i)
102
103
Neuberger
Berman
CLO
XIV
Ltd
2.15%,
01/28/2030
(i)
365
350
1.00
x
3
Month
USD
LIBOR
+
1.90%
OCP
CLO
2015-8
Ltd
3.07%,
04/17/2027
(i)
260
256
1.00
x
3
Month
USD
LIBOR
+
2.80%
Octagon
Investment
Partners
40
Ltd
4.07%,
04/20/2031
(i)
250
249
1.00
x
3
Month
USD
LIBOR
+
3.80%
Octagon
Investment
Partners
XVI
Ltd
6.02%,
07/17/2030
(i)
500
412
1.00
x
3
Month
USD
LIBOR
+
5.75%
Octagon
Investment
Partners
XXII
Ltd
2.16%,
01/22/2030
(i)
250
241
1.00
x
3
Month
USD
LIBOR
+
1.90%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
108
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
OHA
Credit
Funding
5
Ltd
3.31%,
04/18/2033
(i)
$
420
$
416
1.00
x
3
Month
USD
LIBOR
+
2.00%
OHA
Loan
Funding
2013-1
Ltd
3.31%,
07/23/2031
(i)
275
263
1.00
x
3
Month
USD
LIBOR
+
3.05%
OHA
Loan
Funding
2016-1
Ltd
2.22%,
01/20/2033
(i)
345
341
1.00
x
3
Month
USD
LIBOR
+
1.95%
OneMain
Financial
Issuance
Trust
2015-3
4.16%,
11/20/2028
(i)
790
799
OneMain
Financial
Issuance
Trust
2019-1
4.22%,
02/14/2031
(i)
620
634
OneMain
Financial
Issuance
Trust
2020-2
2.76%,
09/14/2035
(i)
120
121
Oxford
Finance
Funding
2019-1
LLC
4.46%,
02/15/2027
(i)
145
149
Parallel
2017-1
Ltd
2.27%,
07/20/2029
(i)
305
294
1.00
x
3
Month
USD
LIBOR
+
2.00%
Parallel
2018-2
Ltd
2.42%,
10/20/2031
(i)
480
462
1.00
x
3
Month
USD
LIBOR
+
2.15%
Planet
Fitness
Master
Issuer
LLC
3.86%,
12/05/2049
(i)
274
257
Progress
Residential
2017-SFR2
Trust
4.14%,
12/17/2034
(i)
100
101
Progress
Residential
2018-SFR2
Trust
4.66%,
08/17/2035
(i)
100
102
Progress
Residential
2019-SFR1
Trust
4.47%,
08/17/2035
(i)
420
432
Prosper
Pass-Thru
Trust
II
Series
2019-St2
0.00%,
11/15/2025
(d),(f),(g),(i)
1,190
535
0.00%,
11/15/2025
(d),(f),(g),(i)
595
268
PRPM
2018-1
LLC
5.00%,
04/25/2023
(i),(l)
200
193
PRPM
2019-4
LLC
3.35%,
11/25/2024
(i),(l)
192
193
PRPM
2020-1
LLC
2.98%,
02/25/2025
(i),(l)
431
429
Republic
FInance
Issuance
Trust
2019-A
3.43%,
11/22/2027
(i)
490
491
Rockford
Tower
CLO
2017-2
Ltd
2.18%,
10/15/2029
(i)
295
288
1.00
x
3
Month
USD
LIBOR
+
1.90%
SCF
Equipment
Leasing
2018-1
LLC
4.21%,
04/20/2027
(i)
795
811
Sierra
Timeshare
2020-2
Receivables
Funding
LLC
3.51%,
07/20/2037
(i)
100
101
S-Jets
2017-1
Ltd
3.97%,
08/15/2042
(i)
753
673
Sound
Point
Clo
XV
Ltd
6.22%,
01/23/2029
(i)
1,500
1,112
1.00
x
3
Month
USD
LIBOR
+
5.96%
Sprite
2017-1
Ltd
5.75%,
12/15/2037
(i)
240
139
TAL
Advantage
V
LLC
3.55%,
11/20/2038
(i)
171
172
Thunderbolt
Aircraft
Lease
Ltd
5.75%,
05/17/2032
(i),(l)
163
114
Towd
Point
Mortgage
Trust
2015-2
2.50%,
11/25/2060
(i),(l)
153
154
Towd
Point
Mortgage
Trust
2019-4
2.90%,
10/25/2059
(i),(l)
406
432
VERDE
CLO
Ltd
7.18%,
04/15/2032
(i)
555
502
1.00
x
3
Month
USD
LIBOR
+
6.90%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
WAVE
2017-1
Trust
5.68%,
11/15/2042
(i)
$
243
$
168
Wendy's
Funding
LLC
4.08%,
06/15/2049
(i)
83
89
York
CLO-2
Ltd
2.11%,
01/22/2031
(i)
250
241
1.00
x
3
Month
USD
LIBOR
+
1.85%
York
CLO-7
Ltd
4.06%,
01/22/2033
(i)
295
295
1.00
x
3
Month
USD
LIBOR
+
3.80%
$
43,372
Packaging
&
Containers
-
0.00%
Intelligent
Packaging
Ltd
Finco
Inc
/
Intelligent
Packaging
Ltd
Co-Issuer
LLC
6.00%,
09/15/2028
(i),(p)
34
35
Pharmaceuticals
-
0.34%
Bausch
Health
Cos
Inc
4.50%,
05/15/2023
EUR
640
761
Teva
Pharmaceutical
Finance
Netherlands
II
BV
6.00%,
01/31/2025
(i)
190
241
Teva
Pharmaceutical
Finance
Netherlands
III
BV
4.10%,
10/01/2046
$
1,420
1,214
7.13%,
01/31/2025
(i)
210
227
Upjohn
Inc
4.00%,
06/22/2050
(i)
290
316
$
2,759
Pipelines
-
0.20%
Cheniere
Corpus
Christi
Holdings
LLC
3.70%,
11/15/2029
(i)
630
665
Energy
Transfer
Operating
LP
3.75%,
05/15/2030
65
64
5.00%,
05/15/2050
245
234
Kinder
Morgan
Inc
5.05%,
02/15/2046
75
89
Sabine
Pass
Liquefaction
LLC
4.50%,
05/15/2030
(i)
445
509
$
1,561
Real
Estate
-
0.92%
Arabian
Centres
Sukuk
Ltd
5.38%,
11/26/2024
(i)
1,210
1,073
Country
Garden
Holdings
Co
Ltd
4.75%,
07/25/2022
700
716
4.75%,
09/28/2023
650
665
Kaisa
Group
Holdings
Ltd
8.50%,
06/30/2022
1,350
1,358
Sunac
China
Holdings
Ltd
7.25%,
06/14/2022
200
205
7.88%,
02/15/2022
1,531
1,577
Yuzhou
Group
Holdings
Co
Ltd
6.00%,
01/25/2022
420
425
8.50%,
02/04/2023
1,275
1,355
$
7,374
Regional
Authority
-
0.11%
Provincia
de
Buenos
Aires/Government
Bonds
33.35%,
04/12/2025
(i)
ARS
11,045
138
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
3.75%
33.48%,
05/31/2022
51,665
710
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
3.83%
$
848
REITs
-
0.31%
American
Tower
Corp
2.10%,
06/15/2030
$
280
286
Crown
Castle
International
Corp
2.25%,
01/15/2031
635
650
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
109
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
REITs
(continued)
Equinix
Inc
2.15%,
07/15/2030
$
425
$
436
3.20%,
11/18/2029
45
50
Iron
Mountain
Inc
5.00%,
07/15/2028
(i)
165
171
5.25%,
07/15/2030
(i)
165
175
Ladder
Capital
Finance
Holdings
LLLP
/
Ladder
Capital
Finance
Corp
4.25%,
02/01/2027
(i)
620
569
5.25%,
03/15/2022
(i)
50
49
5.25%,
10/01/2025
(i)
130
124
$
2,510
Retail
-
0.36%
1011778
BC
ULC
/
New
Red
Finance
Inc
3.88%,
01/15/2028
(i)
50
51
4.38%,
01/15/2028
(i)
660
678
AutoNation
Inc
4.75%,
06/01/2030
60
70
FirstCash
Inc
4.63%,
09/01/2028
(i)
171
176
McDonald's
Corp
3.63%,
09/01/2049
230
260
Staples
Inc
10.75%,
04/15/2027
(i),(n)
2,048
1,423
Yum!
Brands
Inc
4.75%,
01/15/2030
(i)
230
254
$
2,912
Semiconductors
-
0.37%
Broadcom
Corp
/
Broadcom
Cayman
Finance
Ltd
3.50%,
01/15/2028
10
11
3.88%,
01/15/2027
40
44
Broadcom
Inc
4.15%,
11/15/2030
20
23
4.30%,
11/15/2032
740
852
4.75%,
04/15/2029
710
833
5.00%,
04/15/2030
225
268
Micron
Technology
Inc
4.66%,
02/15/2030
30
35
5.33%,
02/06/2029
670
801
NXP
BV
/
NXP
Funding
LLC
/
NXP
USA
Inc
3.15%,
05/01/2027
(i)
70
77
3.40%,
05/01/2030
(i)
40
44
$
2,988
Software
-
0.06%
MSCI
Inc
3.63%,
09/01/2030
(i)
265
278
Open
Text
Corp
3.88%,
02/15/2028
(i)
70
72
Open
Text
Holdings
Inc
4.13%,
02/15/2030
(i)
65
67
SS&C
Technologies
Inc
5.50%,
09/30/2027
(i)
65
70
$
487
Sovereign
-
8.75%
1MDB
Global
Investments
Ltd
4.40%,
03/09/2023
900
904
Abu
Dhabi
Government
International
Bond
0.75%,
09/02/2023
(i),(p)
1,825
1,823
1.70%,
03/02/2031
(i),(p)
1,825
1,814
2.50%,
04/16/2025
(i)
850
901
3.13%,
04/16/2030
(i)
1,175
1,315
Argentine
Republic
Government
International
Bond
0.00%,
04/22/2026
(d)
825
375
0.00%,
07/06/2036
(d)
1,460
646
0.00%,
04/22/2046
(d)
1,100
481
3.88%,
01/15/2022
EUR
66
37
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Brazilian
Government
International
Bond
2.88%,
06/06/2025
$
1,742
$
1,763
Colombia
Government
International
Bond
3.88%,
04/25/2027
2,225
2,423
4.50%,
03/15/2029
375
423
Dominican
Republic
International
Bond
5.50%,
01/27/2025
1,325
1,389
5.95%,
01/25/2027
700
750
Export-Import
Bank
of
Korea
0.82%,
06/25/2022
650
652
3
Month
USD
LIBOR
+
0.53%
Ghana
Government
International
Bond
8.13%,
01/18/2026
1,275
1,301
Indonesia
Treasury
Bond
7.00%,
09/15/2030
IDR
64,500,000
4,469
Israel
Government
International
Bond
2.75%,
07/03/2030
$
2,300
2,529
3.88%,
07/03/2050
1,275
1,520
4.50%,
04/03/2120
825
1,133
Ivory
Coast
Government
International
Bond
5.25%,
03/22/2030
EUR
1,125
1,273
Malaysia
Government
Bond
4.07%,
06/15/2050
MYR
8,100
2,072
Mexican
Bonos
5.75%,
03/05/2026
MXN
28,300
1,323
7.75%,
11/13/2042
27,400
1,369
Mexico
Government
International
Bond
4.75%,
04/27/2032
$
1,650
1,891
Montenegro
Government
International
Bond
5.75%,
03/10/2021
EUR
2,282
2,767
Peru
Government
Bond
6.15%,
08/12/2032
PEN
9,125
3,038
Peruvian
Government
International
Bond
6.35%,
08/12/2028
10,000
3,450
Qatar
Government
International
Bond
3.40%,
04/16/2025
(i)
$
1,250
1,371
3.75%,
04/16/2030
(i)
1,175
1,368
4.40%,
04/16/2050
(i)
1,000
1,298
Republic
of
Belarus
Ministry
of
Finance
5.88%,
02/24/2026
(i)
700
654
Republic
of
South
Africa
Government
Bond
6.25%,
03/31/2036
ZAR
39,717
1,549
8.88%,
02/28/2035
73,000
3,681
Romanian
Government
International
Bond
2.00%,
01/28/2032
EUR
1,725
1,941
3.62%,
05/26/2030
(i)
750
980
Russian
Federal
Bond
-
OFZ
7.25%,
05/10/2034
RUB
225,000
3,311
Serbia
International
Bond
3.13%,
05/15/2027
(i)
EUR
2,025
2,583
Turkey
Government
International
Bond
5.60%,
11/14/2024
$
592
578
6.25%,
09/26/2022
358
363
6.35%,
08/10/2024
359
360
Ukraine
Government
International
Bond
0.00%,
05/31/2040
(d),(l)
1,970
1,876
4.38%,
01/27/2030
(i)
EUR
675
692
7.75%,
09/01/2023
$
1,675
1,780
Zambia
Government
International
Bond
5.38%,
09/20/2022
900
471
8.50%,
04/14/2024
1,900
986
8.97%,
07/30/2027
875
458
$
70,131
Student
Loan
Asset
Backed
Securities
-
0.32%
Education
Funding
Trust
Trust
2.79%,
07/25/2041
(i)
320
323
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
110
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Student
Loan
Asset
Backed
Securities
(continued)
Navient
Private
Education
Refi
Loan
Trust
2018-A
3.68%,
02/18/2042
(i)
$
140
$
143
Navient
Private
Education
Refi
Loan
Trust
2019-F
3.12%,
08/15/2068
(i)
445
451
Navient
Private
Education
Refi
Loan
Trust
2019-G
3.08%,
10/15/2068
(i)
105
104
Navient
Private
Education
Refi
Loan
Trust
2020-F
2.69%,
07/15/2069
(i)
100
100
SLM
Private
Credit
Student
Loan
Trust
2003-A
3.68%,
06/15/2032
189
184
1.00
x
US
28
Day
Auction
Rate
+
0.00%
SLM
Private
Credit
Student
Loan
Trust
2003-B
3.66%,
03/15/2033
50
48
1.00
x
US
28
Day
Auction
Rate
+
0.00%
3.67%,
03/15/2033
450
436
1.00
x
US
28
Day
Auction
Rate
+
0.00%
SMB
Private
Education
Loan
Trust
2015-C
3.50%,
09/15/2043
(i)
100
105
SMB
Private
Education
Loan
Trust
2017-B
0.91%,
10/15/2035
(i)
227
225
1.00
x
1
Month
USD
LIBOR
+
0.75%
SMB
Private
Education
Loan
Trust
2018-C
4.00%,
11/17/2042
(i)
100
101
SoFi
Professional
Loan
Program
2015-C
LLC
3.58%,
08/25/2036
(i)
31
31
Sofi
Professional
Loan
Program
2016-A
LLC
3.57%,
01/26/2038
(i)
173
176
SoFi
Professional
Loan
Program
2020-ATrust
3.12%,
05/15/2046
(i)
160
166
$
2,593
Supranational
Bank
-
0.80%
Eastern
&
Southern
African
Trade
&
Development
Bank
4.88%,
05/23/2024
875
887
European
Investment
Bank
0.63%,
07/25/2025
139
141
1.63%,
03/14/2025
2,220
2,345
International
Bank
for
Reconstruction
&
Development
0.63%,
04/22/2025
694
701
1.63%,
01/15/2025
2,220
2,340
$
6,414
Telecommunications
-
1.15%
AT&T
Inc
3.65%,
06/01/2051
325
343
C&W
Senior
Financing
DAC
7.50%,
10/15/2026
(i)
1,850
1,975
CommScope
Inc
6.00%,
03/01/2026
(i)
250
266
7.13%,
07/01/2028
(i)
455
485
CommScope
Technologies
LLC
5.00%,
03/15/2027
(i)
95
94
Gogo
Intermediate
Holdings
LLC
/
Gogo
Finance
Co
Inc
9.88%,
05/01/2024
(i)
1,064
1,106
Intrado
Corp
8.50%,
10/15/2025
(i)
1,912
1,693
Kenbourne
Invest
SA
6.88%,
11/26/2024
(i)
355
369
Level
3
Financing
Inc
4.63%,
09/15/2027
(i)
55
58
Millicom
International
Cellular
SA
5.13%,
01/15/2028
(i)
200
209
MTN
Mauritius
Investments
Ltd
5.37%,
02/13/2022
2,410
2,481
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
Sprint
Capital
Corp
6.88%,
11/15/2028
$
40
$
51
T-Mobile
USA
Inc
4.50%,
02/01/2026
65
67
$
9,197
Transportation
-
0.02%
FedEx
Corp
4.05%,
02/15/2048
5
6
4.10%,
02/01/2045
55
62
5.25%,
05/15/2050
75
100
$
168
Trucking
&
Leasing
-
0.02%
Aviation
Capital
Group
LLC
5.50%,
12/15/2024
(i)
175
180
TOTAL
BONDS
$
310,230
CONVERTIBLE
BONDS
-
0.38%
Principal
Amount
(000's)
Value
(000's)
Biotechnology
-
0.10%
BioMarin
Pharmaceutical
Inc
0.60%,
08/01/2024
$
315
$
336
1.25%,
05/15/2027
(i)
475
471
$
807
Commercial
Services
-
0.01%
Chegg
Inc
0.00%,
09/01/2026
(d),(i)
60
61
Media
-
0.26%
DISH
Network
Corp
2.38%,
03/15/2024
555
522
3.38%,
08/15/2026
1,573
1,551
$
2,073
Oil
&
Gas
-
0.00%
Chesapeake
Energy
Corp
0.00%,
09/15/2026
(d)
190
8
Telecommunications
-
0.00%
CalAmp
Corp
2.00%,
08/01/2025
45
37
Trucking
&
Leasing
-
0.01%
Greenbrier
Cos
Inc/The
2.88%,
02/01/2024
80
73
TOTAL
CONVERTIBLE
BONDS
$
3,059
SENIOR
FLOATING
RATE
INTERESTS
-
0.91%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.08%
Clear
Channel
Outdoor
Holdings
Inc
3.76%,
08/07/2026
(q)
$
720
$
653
1
Month
USD
LIBOR
+
3.50%
Airlines
-
0.04%
JetBlue
Airways
Corp
6.24%,
06/12/2024
(q)
12
12
1
Month
USD
LIBOR
+
5.25%
Mileage
Plus
Holdings
LLC
6.25%,
06/25/2027
(q)
318
321
1
Month
USD
LIBOR
+
5.25%
$
333
Automobile
Parts
&
Equipment
-
0.15%
American
Axle
&
Manufacturing
Inc
3.00%,
03/08/2024
(q)
403
391
3
Month
USD
LIBOR
+
2.25%
GC
EOS
Buyer
Inc
5.58%,
06/27/2025
(q)
975
835
3
Month
USD
LIBOR
+
4.50%
$
1,226
Commercial
Services
-
0.06%
Employbridge
LLC
5.50%,
04/18/2025
(q)
125
112
3
Month
USD
LIBOR
+
4.50%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
111
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Services
(continued)
Kingpin
Intermediate
Holdings
LLC
4.50%,
07/03/2024
(q)
$
401
$
330
3
Month
USD
LIBOR
+
3.50%
$
442
Computers
-
0.05%
Electronics
For
Imaging
Inc
5.18%,
07/02/2026
(q)
372
294
3
Month
USD
LIBOR
+
5.00%
Genuine
Financial
Holdings
LLC
3.90%,
06/27/2025
(q)
110
100
3
Month
USD
LIBOR
+
3.75%
Redstone
Buyer
LLC
0.00%,
06/29/2027
(q),(r)
31
31
1
Month
USD
LIBOR
+
5.00%
$
425
Diversified
Financial
Services
-
0.03%
4L
Technologies
8.50%,
02/05/2024
(q)
199
173
1
Month
USD
LIBOR
+
7.50%
Hudson
River
Trading
LLC
0.00%,
02/18/2027
(q),(r)
50
49
1
Month
USD
LIBOR
+
3.00%
$
222
Electric
-
0.01%
PG&E
Corp
5.50%,
06/18/2025
(q)
57
56
1
Month
USD
LIBOR
+
4.50%
Electronics
-
0.00%
Tech
Data
Corp
3.63%,
06/26/2025
(q)
37
37
1
Month
USD
LIBOR
+
3.50%
Engineering
&
Construction
-
0.01%
Tutor
Perini
Corp
0.00%,
08/13/2027
(q),(r)
44
43
Entertainment
-
0.12%
Deluxe
Entertainment
Services
Group
Inc
6.00%,
PIK
1.50%,
03/25/2024
(f),(g),(o),(q)
382
3
50
1
Month
USD
LIBOR
+
6.50%
7.00%,
PIK
2.50%,
09/25/2024
(f),(g),(o),(q)
801
240
1
Month
USD
LIBOR
+
8.50%
$
590
Healthcare
-
Services
-
0.04%
Air
Methods
Corp
4.50%,
04/12/2024
(q)
374
328
3
Month
USD
LIBOR
+
3.50%
Household
Products
&
Wares
-
0.03%
Acuity
Specialty
Products
Inc
5.07%,
08/09/2024
(q)
236
217
3
Month
USD
LIBOR
+
4.00%
Insurance
-
0.03%
Sedgwick
Claims
Management
Services
Inc
5.25%,
09/03/2026
(q)
225
224
1
Month
USD
LIBOR
+
4.25%
Internet
-
0.02%
Airbnb
Inc
8.50%,
04/14/2025
(q)
169
178
1
Month
USD
LIBOR
+
7.50%
Go
Daddy
Operating
Co
LLC
0.00%,
08/07/2027
(q),(r)
14
14
1
Month
USD
LIBOR
+
2.50%
$
192
Leisure
Products
&
Services
-
0.01%
Carnival
Corp
8.50%,
06/26/2025
(q)
40
39
1
Month
USD
LIBOR
+
7.50%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Machinery
-
Diversified
-
0.01%
Vertical
US
Newco
0.00%,
06/30/2027
(q),(r)
$
60
$
59
Media
-
0.09%
Meredith
Corp
0.00%,
07/23/2027
(q),(r)
92
92
NEP
Group
Inc
3.41%,
10/20/2025
(q)
346
290
3
Month
USD
LIBOR
+
3.25%
UPC
Financing
Partners
0.00%,
01/20/2029
(q),(r)
40
39
0.00%,
01/20/2029
(q),(r)
40
39
Ziggo
BV
3.00%,
01/17/2029
(q)
EUR
235
275
3
Month
Euro
Interbank
Offered
Rate
+
3.00%
$
735
Oil
&
Gas
-
0.01%
California
Resources
Corp
0.00%,
11/14/2022
(d),(q)
$
184
67
1
Month
USD
LIBOR
+
4.75%
Gavilan
Resources
LLC
0.00%,
03/01/2024
(d),(q)
680
3
3
Month
USD
LIBOR
+
6.00%
$
70
Oil
&
Gas
Services
-
0.01%
ChampionX
Holding
Inc
5.99%,
05/28/2027
(q)
14
14
1
Month
USD
LIBOR
+
5.00%
Lealand
Finance
Co
BV
3.15%,
06/28/2024
(q)
44
39
1
Month
USD
LIBOR
+
3.00%
$
53
Packaging
&
Containers
-
0.01%
Graham
Packaging
Co
Inc
4.50%,
08/06/2027
(q)
50
50
1
Month
USD
LIBOR
+
3.75%
Pharmaceuticals
-
0.01%
Milano
Acquisition
0.00%,
08/17/2027
(q),(r)
106
10
4
Real
Estate
-
0.00%
Toys
R
Us
Property
Co
I
LLC
0.00%,
PIK
12.50%,
02/04/2024
(d),(o),(q)
7
7
Software
-
0.03%
GlobalLogic
Holdings
Inc
0.00%,
08/23/2027
(q),(r)
82
81
1
Month
USD
LIBOR
+
3.75%
Mitchell
International
Inc
4.75%,
12/01/2024
(q)
90
88
1
Month
USD
LIBOR
+
4.25%
Riverbed
Technology
Inc
4.25%,
04/24/2022
(q)
66
58
3
Month
USD
LIBOR
+
3.25%
Ultimate
Software
Group
Inc/The
4.75%,
05/04/2026
(q)
45
45
1
Month
USD
LIBOR
+
4.00%
$
272
Telecommunications
-
0.06%
GTT
Communications
Inc
2.91%,
05/31/2025
(q)
368
290
3
Month
USD
LIBOR
+
2.75%
LogMeIn
Inc
0.00%,
08/14/2027
(q),(r)
230
224
1
Month
USD
LIBOR
+
4.75%
$
514
TOTAL
SENIOR
FLOATING
RATE
INTERESTS
$
6,891
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
112
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
56.1
8
%
Principal
Amount
(000's)
Value
(000's)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
2.62%
2.00%,
10/01/2050
(s)
$
5,314
$
5,468
3.00%,
07/01/2050
(n)
14,531
15,529
$
20,997
U.S.
Treasury
-
50.4
4
%
0.13%,
06/30/2022
(n)
2,773
2,772
0.25%,
06/15/2023
(n)
17,829
17,882
0.63%,
03/31/2027
(n)
15,384
15,564
0.63%,
08/15/2030
(n)
4,928
4,895
1.13%,
02/28/2022
7,000
7,102
1.25%,
10/31/2021
(n)
20,120
20,370
1.38%,
08/31/2026
(n)
32,741
34,667
1.63%,
10/31/2026
(n)
18,321
19,686
1.63%,
11/30/2026
(n)
28,604
30,750
1.88%,
03/31/2022
(n)
18,234
18,732
2.13%,
05/15/2022
(n)
23,265
24,047
2.13%,
11/30/2024
(n)
48,717
52,633
2.25%,
03/31/2021
(n)
13,602
13,764
2.50%,
01/15/2022
(n)
26,693
27,550
2.50%,
02/15/2022
(n)
18,234
18,857
2.50%,
03/31/2023
(n)
20,137
21,361
2.63%,
06/30/2023
(n)
17,799
19,044
2.63%,
12/31/2023
(n)
36,039
38,974
3.00%,
02/15/2047
(n)
7,172
9,688
3.75%,
11/15/2043
(n)
3,940
5,839
$
404,177
U.S.
Treasury
Bill
-
1.29%
0.10%,
11/27/2020
(t),(u)
1,285
1,285
0.12%,
06/17/2021
(t)
2,640
2,637
0.13%,
07/15/2021
(t)
1,320
1,318
0.14%,
10/13/2020
(t)
1,900
1,900
0.14%,
11/19/2020
(t)
1,275
1,275
1.50%,
11/05/2020
(t)
1,895
1,895
$
10,310
U.S.
Treasury
Inflation-Indexed
Obligations
-
1.83%
0.13%,
10/15/2024
(n)
1,391
1,489
0.13%,
04/15/2025
(n)
7,610
8,184
0.50%,
04/15/2024
(n)
4,709
5,043
$
14,716
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
450,200
REPURCHASE
AGREEMENTS
-
34.63%
Maturity
Amount
(000's)
Value
(000's)
Banks
-
34.63%
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.00%
traded
03/18/2020
(collateralized
by
Turkey
Government
International
Bond;
$668,626;
11.88%;
dated
01/15/30)
(d),(v)
$
631
$
631
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.01%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$11,076,483;
0.25%;
dated
07/31/25)
11,067
11,067
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
(0.01)%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/
Bond;
$23,376,898;
0.38%;
dated
07/31/27)
23,325
23,325
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$26,862,939;
2.25%;
dated
02/15/37)
26,844
26,844
REPURCHASE
AGREEMENTS
(continued)
Maturity
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Inflation
Indexed
Bonds;
$3,301,905;
0.25%;
dated
07/15/29)
$
3,300
$
3,300
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$40,104,946;
1.75%;
dated
12/31/24)
40,111
40,111
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$34,017,408;
1.38%;
dated
02/15/23)
34,026
34,026
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$20,987,236;
1.13%;
dated
02/28/22)
20,996
20,996
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$23,349,119;
0.50%;
dated
03/31/25)
23,346
23,346
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$13,848,553;
0.13%;
dated
05/15/23)
13,851
13,851
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$38,096,157;
0.25%;
dated
05/31/25)
38,069
38,069
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$36,153,291;
0.13%;
dated
07/15/23)
36,170
36,170
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
(0.08)%
traded
08/31/2020
maturing
09/02/2020
(collateralized
by
United
States
Treasury
Note/
Bond;
$3,015,607;
1.25%;
dated
05/15/50)
2,968
2,969
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
(0.30)%
traded
03/18/2020
(collateralized
by
Republic
of
South
Africa
Government
International
Bond;
$3,150,070;
4.85%;
dated
09/27/27)
(v)
2,952
2,95
6
$
277,66
1
TOTAL
REPURCHASE
AGREEMENTS
$
277,66
1
TOTAL
PURCHASED
OPTIONS
-
0.18%
$
1,463
TOTAL
PURCHASED
INTEREST
RATE
SWAPTIONS
-
0.02%
$
128
Total
Investments
$
1,487,481
Other
Assets
and
Liabilities
- (85.60)%
(686,058)
TOTAL
NET
ASSETS
-
100.00%
$
801,
423
(a)
Current
yield
shown
is
as
of
period
end.
(b)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
113
(e)
Security
or
a
portion
of
the
security
was
pledged
as
collateral
for
short
sales.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$102,729
or
12.81%
of
net
assets.
(f)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(g)
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
$6,138
or
0.77%
of
net
assets.
(h)
Restricted
Security.
Please
see
Restricted
Security
sub-schedule
for
additional
information.
(i)
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
$159,276
or
19.87%
of
net
assets.
(j)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(k)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(l)
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.
(m)
Security
is
an
Interest
Only
Strip.
(n)
Security
or
portion
of
the
security
was
pledged
as
collateral
for
reverse
repurchase
agreements.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$414,047
or
51.66%
of
net
assets.
(o)
Payment
in
kind;
the
issuer
has
the
option
of
paying
additional
securities
in
lieu
of
cash.
(p)
Security
purchased
on
a
when-issued
basis.
(q)
Rate
information
disclosed
is
based
on
an
average
weighted
rate
of
the
underlying
tranches
as
of
period
end.
(r)
This
Senior
Floating
Rate
Note
will
settle
after
August
31,
2020,
at
which
time
the
interest
rate
will
be
determined.
(s)
Security
was
purchased
in
a
"to-be-announced"
("TBA")
transaction. See
Notes
to
Financial
Statements
for
additional
information.
(t)
Rate
shown
is
the
discount
rate
of
the
original
purchase.
(u)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
futures
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$440
or
0.05%
of
net
assets.
(v)
Although
the
maturity
date
of
the
repurchase
agreement
is
open-ended
through
the
maturity
date
of
the
collateral,
the
Fund
has
a
right
to
terminate
the
repurchase
agreement
and
demand
repayment
from
the
counterparty
at
any
time
with
two
days'
notice
or
less.
During
periods
of
high
demand
for
the
collateral
security,
the
fund
may
also
pay
the
counterparty
a
fee.
Portfolio
Summary (unaudited)
Sector
Percent
Government
63.32%
Financial
43.23%
Money
Market
Funds
12.14%
Consumer,
Non-cyclical
11.27%
Mortgage
Securities
9.91%
Communications
7.50%
Consumer,
Cyclical
7.44%
Industrial
7.16%
Asset
Backed
Securities
6.86%
Technology
6.85%
Energy
4.17%
Basic
Materials
3.31%
Utilities
2.08%
Purchased
Options
0.18%
Investment
Companies
0.10%
Diversified
0.03%
Purchased
Interest
Rate
Swaptions
0.02%
Investments
Sold
Short
(53.
30
)%
Other
Assets
and
Liabilities
(32.
30
)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
151,384
$
1,072,757
$
1,135,105
$
89,036
$
151,384
$
1,072,757
$
1,135,105
$
89,036
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
1,047
$
—
$
—
$
—
$
1,047
$
—
$
—
$
—
Amounts
in
thousands.
Restricted
Securities
Security
Name
Acquisition
Date
Cost
Value
Percent
of
Net
Assets
Airbnb
Inc
-
Series
E
0.00%
06/24/2015
$
157
$
137
0.02%
DraftKings
Pipe
12/04/2014-08/14/2020
79
597
0.08%
Element
Comm
Aviation
06/15/2015
2,800
315
0.04%
Forward
Venture
Services
LLC
0.00%
11/20/2014
102
299
0.04%
Jand
Inc
04/23/2015
19
38
0.00%
Jand
Inc
0.00%
04/23/2015
43
86
0.01%
Marklogic
Corp
0.00%
04/27/2015
172
129
0.02%
Veracode
Inc
0.00%
04/18/2017
2
4
3
0.00%
WE
Company
Common
Class
A
12/08/2014
6
2
0.00%
WE
Company
Preferred
D-1
0.00%
12/08/2014
81
38
0.01%
WE
Company
Preferred
D-2
0.00%
12/08/2014
64
30
0.00%
Total
$
1,674
0.22%
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
114
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
SPDR
Gold
Shares
ETP
N/A
22
$
2
$
200.00
01/24/2022
$
28
$
31
$
3
Call
-
Bayer
AG
N/A
228
EUR
23
EUR
60.00
10/19/2020
49
36
(13)
Call
-
Coca-Cola
Co/The
N/A
127
$
13
$
47.50
12/21/2020
35
44
9
Call
-
SPDR
S&P
Oil
&
Gas
Exploration
&
Production
ETF
N/A
69
7
$
60.00
01/18/2021
35
20
(15)
Put
-
iShares
Russell
2000
ETF
N/A
62
6
$
137.00
12/21/2020
29
30
1
Put
-
iShares
Russell
2000
ETF
N/A
62
6
$
145.00
12/21/2020
40
43
3
Put
-
MAXIS
Nikkei
225
Index
N/A
10
JPY
10
JPY
22,500.00
09/14/2020
49
11
(38)
Put
-
S&P
500
Index
N/A
48
$
5
$
3,100.00
12/21/2020
385
426
41
Put
-
S&P
500
Index
N/A
17
2
$
3,150.00
03/22/2021
277
259
(18)
Put
-
S&P
500
Index
N/A
48
5
$
2,950.00
09/21/2020
411
21
(390)
Put
-
SPDR
S&P
500
ETF
Trust
N/A
21
2
$
296.00
12/21/2020
16
15
(1)
Put
-
SPDR
S&P
500
ETF
Trust
N/A
21
2
$
313.00
12/21/2020
23
20
(3)
Call
-
EUR
versus
USD
Goldman
Sachs
&
Co
1
EUR
2,775
EUR
1.18
09/10/2020
27
43
16
Call
-
USD
versus
IDR
Standard
Chartered
Bank,
Hong
Kong
1
$
1,158
$
15,500.00
11/04/2020
14
6
(8)
Call
-
USD
versus
KRW
Goldman
Sachs
&
Co
1
1,665
$
1,250.00
12/18/2020
19
8
(11)
Call
-
USD
versus
KRW
Goldman
Sachs
&
Co
1
1,388
$
1,260.00
12/08/2020
15
5
(10)
Call
-
USD
versus
THB
Standard
Chartered
Bank,
Hong
Kong
1
3,474
$
32.15
11/17/2020
22
8
(14)
Call
-
USD
versus
THB
Standard
Chartered
Bank,
Hong
Kong
1
4,163
$
31.50
10/16/2020
34
16
(18)
Put
-
EUR
versus
JPY
Goldman
Sachs
&
Co
1
EUR
2,775
EUR
124.00
10/30/2020
21
20
(1)
Put
-
USD
versus
BRL
Morgan
Stanley
&
Co
1
$
1,981
$
5.15
10/16/2020
57
16
(41)
Put
-
USD
versus
BRL
Goldman
Sachs
&
Co
1
1,698
$
5.15
10/16/2020
45
13
(32)
Put
-
USD
versus
BRL
BNP
Paribas
1
3,962
$
4.82
10/16/2020
117
5
(112)
Put
-
USD
versus
CLP
Deutsche
Bank
AG
1
4,170
$
795.00
10/02/2020
108
124
16
Put
-
USD
versus
CNH
Goldman
Sachs
&
Co
1
4,290
$
6.89
12/14/2020
32
53
21
Put
-
USD
versus
CNH
JPMorgan
Chase
1
2,027
$
6.90
01/06/2021
14
28
14
Put
-
USD
versus
MXN
Goldman
Sachs
&
Co
1
463
$
21.50
12/24/2020
9
8
(1)
Put
-
USD
versus
MXN
Goldman
Sachs
&
Co
1
2,316
$
21.50
12/24/2020
42
39
(3)
Put
-
USD
versus
THB
JPMorgan
Chase
1
2,895
$
30.75
09/15/2020
5
2
(3)
Put
-
USD
versus
THB
Bank
of
America
NA
1
2,775
$
30.75
09/15/2020
5
2
(3)
Call
-
US
10
Year
Note
Future;
December
2020
N/A
342
342
$
140.50
09/28/2020
131
21
(110)
Call
-
US
10
Year
Note
Future;
December
2020
N/A
29
29
$
140.00
09/28/2020
4
4
—
Call
-
US
10
Year
Note
Future;
December
2020
N/A
116
116
$
142.00
09/28/2020
20
2
(18)
Put
-
90
Day
Eurodollar
Future;
December
2022
N/A
279
698
$
99.63
12/14/2020
41
28
(13)
Put
-
90
Day
Eurodollar
Future;
September
2021
N/A
155
388
$
99.75
09/14/2020
8
1
(7)
Put
-
90
Day
Eurodollar
Future;
September
2022
N/A
55
138
$
99.63
09/14/2020
7
—
(7)
Put
-
US
10
Year
Note
Future;
December
2020
N/A
58
58
$
140.00
09/28/2020
38
52
14
Put
-
US
5
Year
Note
Future;
December
2020
N/A
135
135
$
125.25
09/28/2020
9
3
(6)
Put
-
US
5
Year
Note
Future;
December
2020
N/A
7
7
$
123.00
11/23/2020
—
—
—
Total
$
2,221
$
1,463
$
(758)
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
Allstate
Corp/The
N/A
1
$
—
$
100.00
10/19/2020
$
—
$
—
$
—
Call
-
Altria
Group
Inc
N/A
1
—
$
45.00
10/19/2020
—
—
—
Call
-
Applied
Materials
Inc
N/A
2
—
$
70.00
10/19/2020
—
—
—
Call
-
AT&T
Inc
N/A
3
—
$
31.00
10/19/2020
—
—
—
Call
-
Bayer
AG
N/A
228
EUR
23
EUR
65.00
10/19/2020
(17)
(15)
2
Call
-
Best
Buy
Co
Inc
N/A
1
$
—
$
130.00
10/19/2020
—
—
—
Call
-
Bristol-Myers
Squibb
Co
N/A
2
—
$
65.00
10/19/2020
—
—
—
Call
-
Chevron
Corp
N/A
1
—
$
97.50
10/19/2020
—
—
—
Call
-
Citigroup
Inc
N/A
1
—
$
55.00
10/19/2020
—
—
—
Call
-
Coca-Cola
Co/The
N/A
127
13
$
57.50
12/21/2020
(4)
(4)
—
Call
-
Comcast
Corp
N/A
3
—
$
45.00
10/19/2020
(1)
(1)
—
Call
-
CSX
Corp
N/A
1
—
$
77.50
10/19/2020
—
—
—
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
115
Options
(continued)
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
DR
Horton
Inc
N/A
1
$
—
$
82.50
10/19/2020
$
—
$
—
$
—
Call
-
eBay
Inc
N/A
2
—
$
65.00
10/19/2020
—
—
—
Call
-
Enterprise
Products
Partners
LP
N/A
6
1
$
20.00
10/19/2020
—
—
—
Call
-
HP
Inc
N/A
4
—
$
20.00
10/19/2020
—
—
—
Call
-
Kroger
Co/The
N/A
3
—
$
39.00
10/19/2020
—
—
—
Call
-
Merck
&
Co
Inc
N/A
1
—
$
90.00
10/19/2020
—
—
—
Call
-
MetLife
Inc
N/A
2
—
$
42.50
10/19/2020
—
—
—
Call
-
Newmont
Corp
N/A
1
—
$
75.00
10/19/2020
—
—
—
Call
-
Nexstar
Media
Group
Inc
N/A
1
—
$
105.00
10/19/2020
—
—
—
Call
-
NortonLifeLock
Inc
N/A
4
—
$
25.00
10/19/2020
—
—
—
Call
-
Oracle
Corp
N/A
1
—
$
60.00
10/19/2020
—
—
—
Call
-
Philip
Morris
International
Inc
N/A
1
—
$
82.50
10/19/2020
—
—
—
Call
-
Procter
&
Gamble
Co/The
N/A
1
—
$
145.00
10/19/2020
—
—
—
Call
-
Progressive
Corp/The
N/A
1
—
$
95.00
10/19/2020
(1)
(1)
—
Call
-
PulteGroup
Inc
N/A
2
—
$
50.00
10/19/2020
—
—
—
Call
-
QUALCOMM
Inc
N/A
1
—
$
125.00
10/19/2020
(1)
(1)
—
Call
-
Truist
Financial
Corp
N/A
2
—
$
42.50
10/19/2020
—
—
—
Call
-
Williams
Cos
Inc/The
N/A
3
—
$
23.00
10/19/2020
—
—
—
Put
-
Coca-Cola
Co/The
N/A
127
13
$
37.50
12/21/2020
(10)
(4)
6
Put
-
S&P
500
Index
N/A
17
2
$
2,875.00
03/22/2021
(178)
(171)
7
Put
-
S&P
500
Index
N/A
48
5
$
2,775.00
12/21/2020
(191)
(221)
(30)
Call
-
EUR
versus
HUF
JPMorgan
Chase
1
EUR
1,415
EUR
360.00
10/29/2020
(13)
(12)
1
Call
-
EUR
versus
USD
Goldman
Sachs
&
Co
1
1,388
EUR
1.22
11/11/2020
(9)
(11)
(2)
Call
-
USD
versus
CLP
Deutsche
Bank
AG
1
$
1,430
$
815.00
10/02/2020
(16)
(5)
11
Call
-
USD
versus
CNH
Goldman
Sachs
&
Co
1
1,737
$
7.16
01/06/2021
(22)
(9)
13
Call
-
USD
versus
COP
Citigroup
Inc
1
1,430
$
4,000.00
12/16/2020
(26)
(18)
8
Call
-
USD
versus
MXN
Goldman
Sachs
&
Co
1
1,448
$
23.00
12/24/2020
(41)
(30)
11
Call
-
USD
versus
THB
Standard
Chartered
Bank,
Hong
Kong
1
4,163
$
32.50
10/16/2020
(11)
(2)
9
Call
-
USD
versus
THB
Standard
Chartered
Bank,
Hong
Kong
1
3,474
$
33.00
11/17/2020
(10)
(3)
7
Put
-
USD
versus
CLP
Goldman
Sachs
&
Co
1
3,892
$
755.00
10/02/2020
(13)
(15)
(2)
Put
-
USD
versus
INR
BNP
Paribas
1
1,687
$
73.50
12/16/2020
(18)
(17)
1
Put
-
USD
versus
INR
JPMorgan
Chase
1
1,019
$
73.50
12/16/2020
(8)
(10)
(2)
Call
-
90
Day
Eurodollar
Future;
September
2023
N/A
55
138
$
99.63
09/14/2020
(12)
(8)
4
Put
-
90
Day
Eurodollar
Future;
December
2022
N/A
279
698
$
99.38
12/14/2020
(16)
(7)
9
Put
-
90
Day
Eurodollar
Future;
September
2021
N/A
100
250
$
99.63
09/14/2020
(2)
(1)
1
Put
-
US
10
Year
Note
Future;
December
2020
N/A
116
116
$
138.00
09/28/2020
(18)
(13)
5
Put
-
US
5
Year
Note
Future;
December
2020
N/A
21
21
$
116.00
11/23/2020
—
—
—
Total
$
(638)
$
(579)
$
59
Amounts
in
thousands
except
contracts/shares.
Interest
Rate
Swaptions
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
ZAR
27,750
7.59%
11/12/2020
$
47
$
71
$
24
Call
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Pay
PLN
9,435
0.82%
11/05/2020
20
13
(7)
Call
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
ZAR
48,724
5.50%
11/10/2020
23
39
16
Put
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Pay
PLN
9,435
0.88%
11/11/2020
21
5
(16)
Total
$
111
$
128
$
17
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
116
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
ZAR
27,750
6.75%
11/12/2020
$
(12)
$
(17)
$
(5)
Put
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Receive
PLN
9,435
1.43%
11/11/2020
(8)
—
8
Put
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Receive
9,435
1.37%
11/05/2020
(7)
—
7
Total
$
(27)
$
(17)
$
10
Amounts
in
thousands.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
1
Month
SOFR;
December
2020
Long
69
$
28,729
$
2
1
Month
SOFR;
January
2021
Short
69
28,731
(2)
30
Day
Federal
Funds;
September
2020
Long
166
69,115
(8)
90
Day
Eurodollar;
December
2021
Long
299
74,586
7
90
Day
Eurodollar;
December
2021
Long
100
24,945
6
90
Day
Eurodollar;
December
2022
Short
100
24,935
(10)
90
Day
Eurodollar;
September
2020
Short
277
69,089
(33)
90
Day
Eurodollar;
September
2021
Long
342
85,333
13
90
Day
Eurodollar;
September
2022
Short
342
85,308
(54)
90
Day
Eurodollar;
September
2023
Short
2
498
(4)
90
Day
Short
Sterling;
December
2021
Long
227
37,923
11
Australia
10
Year
Bond;
September
2020
Long
32
3,480
(24)
Brent
Crude;
November
2020
(a)
Short
11
498
1
CAC40
Index;
September
2020
Long
29
1,710
(7)
Canada
10
Year
Bond;
December
2020
Long
109
12,613
(49)
Cocoa;
December
2020
(a)
Short
13
306
(13)
Coffee
'C';
December
2020
(a)
Short
3
145
(15)
Corn;
December
2020
(a)
Short
74
1,324
(64)
Cotton
No.2;
December
2020
(a)
Long
14
456
9
DAX
Index;
September
2020
Long
9
3,471
58
DJ
Euro
Stoxx
50;
September
2020
Short
46
1,792
(75)
DJ
Euro
Stoxx
50;
September
2020
Long
79
3,078
3
DJ
Euro
Stoxx
50;
September
2020
Short
267
10,403
(664)
Dollar
Index;
September
2020
Short
14
1,290
48
E-Mini
DJIA
Index;
September
2020
Long
33
4,689
239
eMini
MSCI
Emerging
Markets;
September
2020
Short
17
935
(113)
Euribor;
December
2021
Long
24
7,194
(1)
Euro
Bond
10
Year
Bond;
September
2020
Short
3
629
—
Euro
Schatz;
September
2020
Long
111
14,838
(8)
Euro-Bobl
5
Year;
September
2020
Long
19
3,053
(5)
FTSE
China
A50
Index;
September
2020
Short
6
93
—
FTSE100
Index;
September
2020
Short
45
3,586
(11)
Gasoline
RBOB;
October
2020
(a)
Long
14
714
8
Gold
100
oz;
December
2020
(a)
Long
11
2,176
(8)
Hang
Seng
Index;
September
2020
Short
12
1,941
27
Hang
Seng
Index;
September
2020
Long
10
1,618
(18)
HSCEI
China
Index;
September
2020
Short
27
1,739
52
Japan
10
Year
Bond
TSE;
September
2020
Short
10
14,312
39
Japan
Topix
Index;
September
2020
Short
20
3,052
8
Japan
Topix
Index;
September
2020
Long
15
2,289
50
KC
HRW
Wheat;
December
2020
(a)
Short
29
689
(70)
LME
Copper;
December
2020
(a)
Long
20
3,333
97
LME
Copper;
September
2020
(a)
Short
—
—
(156)
LME
PRI
Alum;
December
2020
(a)
Long
19
857
(2)
LME
PRI
Alum;
September
2020
(a)
Short
—
—
(123)
LME
Zinc;
December
2020
(a)
Long
14
882
69
LME
Zinc;
September
2020
(a)
Short
—
—
(87)
Low
Sulphur
Gasoline;
October
2020
(a)
Short
21
773
30
Mini
Japan
10
Year
Bond;
September
2020
Short
12
1,717
4
Nasdaq
100
E-Mini;
September
2020
Long
12
2,907
248
Natural
Gas;
October
2020
(a)
Short
44
1,157
(132)
Nikkei
225
OSE;
September
2020
Short
13
2,843
(57)
Nikkei
225
OSE;
September
2020
Long
18
3,936
79
NY
Harb
ULSD;
October
2020
(a)
Short
16
818
36
Russell
2000
Emini;
September
2020
Short
205
16,003
(1,394)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
117
Futures
Contracts
(continued)
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
Russell
2000
Emini;
September
2020
Long
30
$
2,342
$
71
S&P
500
Emini;
September
2020
Short
46
8,048
(1,063)
S&P
500
Emini;
September
2020
Short
9
1,575
(82)
S&P
500
Emini;
September
2020
Long
30
5,248
429
S&P
Mid
400
Emini;
September
2020
Short
21
4,044
(393)
S&P/TSX
60
Index;
September
2020
Short
10
1,516
(114)
Silver;
December
2020
(a)
Long
9
1,287
72
Soybean
Meal;
December
2020
(a)
Short
18
563
(30)
Soybean
Oil;
December
2020
(a)
Long
12
237
2
Soybean;
November
2020
(a)
Short
33
1,573
(129)
SPI
200
Index;
September
2020
Short
2
222
(8)
Sugar
#11;
March
2021
(a)
Long
36
535
—
UK
10
Year
Gilt;
December
2020
Long
35
6,317
(34)
US
10
Year
Note;
December
2020
Short
73
10,165
(25)
US
10
Year
Note;
December
2020
Long
97
13,507
3
US
10
Year
Note;
December
2020
Short
22
3,064
(3)
US
10
Year
Ultra
Note;
September
2020
Short
87
13,686
45
US
2
Year
Note;
December
2020
Short
102
22,536
(1)
US
2
Year
Note;
December
2020
Long
177
39,107
14
US
2
Year
Note;
September
2020
Short
121
26,723
(2)
US
5
Year
Note;
December
2020
Short
41
5,167
(5)
US
5
Year
Note;
December
2020
Long
216
27,223
29
US
Long
Bond;
December
2020
Short
89
15,639
(23)
US
Long
Bond;
December
2020
Long
6
1,054
4
US
Long
Bond;
December
2020
Long
19
3,339
(25)
US
Ultra
Bond;
December
2020
Short
40
8,836
(101)
US
Ultra
Bond;
December
2020
Short
18
3,976
—
Wheat;
December
2020
(a)
Short
30
828
(75)
WTI
Crude;
October
2020
(a)
Short
18
767
(7)
Total
$
(3,514)
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
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
Bank
of
America
NA
09/01/2020
$
340
EUR
286
$
—
$
(1)
Bank
of
America
NA
09/01/2020
EUR
972
$
1,158
2
—
Bank
of
America
NA
09/01/2020
$
820
EUR
686
1
—
Bank
of
America
NA
09/01/2020
$
822
HUF
244,475
1
—
Bank
of
America
NA
09/01/2020
HUF
244,475
$
821
—
—
Bank
of
America
NA
09/01/2020
$
840
JPY
88,861
1
—
Bank
of
America
NA
09/01/2020
JPY
88,861
$
833
6
—
Bank
of
America
NA
09/01/2020
$
2
MXN
41
—
—
Bank
of
America
NA
09/01/2020
$
172
MXN
3,738
1
—
Bank
of
America
NA
09/01/2020
MXN
3,779
$
172
1
—
Bank
of
America
NA
09/01/2020
PLN
4
$
1
—
—
Bank
of
America
NA
09/01/2020
PLN
1,254
$
341
—
—
Bank
of
America
NA
09/01/2020
$
342
PLN
1,259
—
—
Bank
of
America
NA
09/02/2020
$
911
EUR
763
—
—
Bank
of
America
NA
09/02/2020
EUR
763
$
911
—
—
Bank
of
America
NA
09/02/2020
$
910
JPY
96,512
—
(1)
Bank
of
America
NA
09/02/2020
JPY
96,493
$
911
—
—
Bank
of
America
NA
09/08/2020
$
2,631
COP
9,953,429
—
(29)
Bank
of
America
NA
09/08/2020
$
278
KRW
332,015
—
(2)
Bank
of
America
NA
09/10/2020
$
429
CLP
341,055
—
(10)
Bank
of
America
NA
09/10/2020
CLP
885,957
$
1,144
—
(4)
Bank
of
America
NA
09/14/2020
AUD
1,110
$
807
12
—
Bank
of
America
NA
09/14/2020
$
2,786
AUD
3,885
—
(79)
Bank
of
America
NA
09/14/2020
GBP
1,665
$
2,185
41
—
Bank
of
America
NA
09/14/2020
$
2,918
GBP
2,220
—
(50)
Bank
of
America
NA
09/14/2020
$
6,390
EUR
5,392
—
(46)
Bank
of
America
NA
09/14/2020
$
1,990
EUR
1,665
3
—
Bank
of
America
NA
09/14/2020
EUR
10,026
$
11,827
140
—
Bank
of
America
NA
09/14/2020
JPY
88,100
$
833
—
(1)
Bank
of
America
NA
09/14/2020
JPY
324,089
$
3,053
8
—
Bank
of
America
NA
09/14/2020
$
1,110
NZD
1,665
—
(11)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
118
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
America
NA
09/14/2020
NZD
1,665
$
1,092
$
29
$
—
Bank
of
America
NA
09/14/2020
$
1,648
NOK
14,564
—
(20)
Bank
of
America
NA
09/14/2020
NOK
14,753
$
1,637
52
—
Bank
of
America
NA
09/14/2020
SEK
5,723
$
662
—
—
Bank
of
America
NA
09/14/2020
$
2,934
SEK
25,677
—
(35)
Bank
of
America
NA
09/14/2020
$
2,220
CHF
2,019
—
(14)
Bank
of
America
NA
09/14/2020
CHF
1,012
$
1,110
10
—
Bank
of
America
NA
09/16/2020
$
463
CNH
3,256
—
(12)
Bank
of
America
NA
09/16/2020
CNH
3,243
$
463
10
—
Bank
of
America
NA
09/16/2020
EUR
3,737
$
4,268
192
—
Bank
of
America
NA
09/16/2020
$
4,317
EUR
3,737
—
(143)
Bank
of
America
NA
09/16/2020
$
312
INR
23,294
—
(5)
Bank
of
America
NA
09/16/2020
INR
47,382
$
623
21
—
Bank
of
America
NA
09/16/2020
JPY
60,511
$
572
—
(1)
Bank
of
America
NA
09/16/2020
$
3,098
JPY
331,447
—
(32)
Bank
of
America
NA
09/16/2020
JPY
364,068
$
3,395
43
—
Bank
of
America
NA
09/16/2020
$
869
JPY
91,360
6
—
Bank
of
America
NA
09/16/2020
$
7,832
THB
246,252
—
(81)
Bank
of
America
NA
09/16/2020
THB
79,039
$
2,553
—
(13)
Bank
of
America
NA
09/16/2020
THB
91,695
$
2,918
28
—
Bank
of
America
NA
09/18/2020
$
8,602
AUD
12,114
—
(332)
Bank
of
America
NA
09/18/2020
AUD
23,663
$
15,617
835
—
Bank
of
America
NA
09/18/2020
$
9,332
GBP
7,376
—
(528)
Bank
of
America
NA
09/18/2020
GBP
13,514
$
15,401
664
—
Bank
of
America
NA
09/18/2020
$
9,381
CAD
13,992
—
(348)
Bank
of
America
NA
09/18/2020
CAD
13,863
$
10,464
166
—
Bank
of
America
NA
09/18/2020
$
10,096
EUR
9,488
—
(230)
Bank
of
America
NA
09/18/2020
EUR
19,205
$
22,077
848
—
Bank
of
America
NA
09/18/2020
$
3,659
JPY
384,183
31
—
Bank
of
America
NA
09/18/2020
JPY
1,483,180
$
13,116
—
(108)
Bank
of
America
NA
09/18/2020
$
30,030
JPY
3,419,581
—
(266)
Bank
of
America
NA
09/18/2020
JPY
2,714,469
$
25,376
261
—
Bank
of
America
NA
09/18/2020
MXN
83
$
4
—
—
Bank
of
America
NA
09/18/2020
$
2,460
MXN
55,574
—
(75)
Bank
of
America
NA
09/18/2020
MXN
111,603
$
5,010
81
—
Bank
of
America
NA
09/18/2020
NZD
11,492
$
7,585
155
—
Bank
of
America
NA
09/18/2020
$
6,767
NZD
10,357
—
(208)
Bank
of
America
NA
09/18/2020
$
1
CHF
1
—
—
Bank
of
America
NA
09/18/2020
CHF
7,458
$
7,931
325
—
Bank
of
America
NA
09/18/2020
$
384
CHF
353
—
(7)
Bank
of
America
NA
09/18/2020
CHF
5
$
6
—
—
Bank
of
America
NA
09/18/2020
JPY
382,110
$
3,576
33
—
Bank
of
America
NA
09/18/2020
NOK
4,995
$
563
9
—
Bank
of
America
NA
09/21/2020
$
1,110
KRW
1,316,516
1
—
Bank
of
America
NA
09/25/2020
INR
308,013
$
4,107
80
—
Bank
of
America
NA
09/25/2020
$
1,731
INR
128,869
—
(21)
Bank
of
America
NA
09/28/2020
$
5,565
EUR
4,687
—
(31)
Bank
of
America
NA
09/28/2020
EUR
1,698
HUF
598,474
18
—
Bank
of
America
NA
09/28/2020
EUR
4,267
$
5,009
86
—
Bank
of
America
NA
09/28/2020
$
343
EUR
288
—
—
Bank
of
America
NA
09/28/2020
HUF
201,458
$
674
2
—
Bank
of
America
NA
09/28/2020
$
2,178
HUF
639,853
29
—
Bank
of
America
NA
09/28/2020
HUF
1,529,868
$
5,233
—
(96)
Bank
of
America
NA
09/28/2020
$
2,832
HUF
850,377
—
(24
)
Bank
of
America
NA
09/28/2020
$
1,388
KRW
1,646,654
1
—
Bank
of
America
NA
09/30/2020
EUR
5,630
HUF
2,015,315
—
(4
5
)
Bank
of
America
NA
09/30/2020
$
12
0
HUF
38,692
—
(10
)
Bank
of
America
NA
09/30/2020
HUF
2,054,007
EUR
5,630
176
—
Bank
of
America
NA
09/30/2020
ZAR
63,839
$
3,493
263
—
Bank
of
America
NA
09/30/2020
$
3,493
ZAR
64,307
—
(291)
Bank
of
America
NA
10/02/2020
EUR
1,990
$
2,326
50
—
Bank
of
America
NA
10/02/2020
EUR
1,132
HUF
402,123
1
—
Bank
of
America
NA
10/02/2020
$
543
HUF
161,136
2
—
Bank
of
America
NA
10/02/2020
$
1,783
HUF
546,806
—
(53
)
Bank
of
America
NA
10/05/2020
$
4,917
CLP
3,955,677
—
(172)
Bank
of
America
NA
10/05/2020
CLP
1,592,189
$
2,057
—
(9)
Bank
of
America
NA
10/05/2020
CLP
2,320,533
$
2,861
125
—
Bank
of
America
NA
10/07/2020
$
306
CLP
249,248
—
(15)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
119
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
America
NA
10/07/2020
CLP
245,175
$
305
$
10
$
—
Bank
of
America
NA
10/08/2020
CLP
1,176,600
$
1,413
101
—
Bank
of
America
NA
10/08/2020
$
1,388
CLP
1,176,600
—
(126)
Bank
of
America
NA
10/09/2020
CLP
5,838,253
$
7,248
264
—
Bank
of
America
NA
10/09/2020
$
6,938
CLP
5,838,253
—
(574)
Bank
of
America
NA
10/13/2020
$
5,832
CNH
40,564
—
(72)
Bank
of
America
NA
10/13/2020
$
50
IDR
745,150
—
(1)
Bank
of
America
NA
10/13/2020
IDR
753,250
$
50
2
—
Bank
of
America
NA
10/14/2020
$
1,388
CLP
1,159,118
—
(104)
Bank
of
America
NA
10/14/2020
CLP
1,159,117
$
1,388
103
—
Bank
of
America
NA
10/14/2020
IDR
24,563,412
$
1,498
182
—
Bank
of
America
NA
10/14/2020
$
1,499
IDR
24,494,481
—
(177)
Bank
of
America
NA
10/16/2020
CLP
1,641,626
$
2,042
70
—
Bank
of
America
NA
10/16/2020
$
1,942
CLP
1,641,626
—
(170)
Bank
of
America
NA
10/19/2020
BRL
8,257
$
1,613
—
(108)
Bank
of
America
NA
10/19/2020
$
1,613
BRL
8,203
118
—
Bank
of
America
NA
10/19/2020
CLP
1,182,774
$
1,418
104
—
Bank
of
America
NA
10/19/2020
$
1,387
CLP
1,182,774
—
(135)
Bank
of
America
NA
10/26/2020
$
343
EUR
286
1
—
Bank
of
America
NA
10/26/2020
$
1,151
EUR
984
—
(25)
Bank
of
America
NA
10/26/2020
PLN
5,619
$
1,493
34
—
Bank
of
America
NA
10/27/2020
COP
15,369,266
$
4,053
45
—
Bank
of
America
NA
10/27/2020
$
4,053
COP
14,988,781
57
—
Bank
of
America
NA
10/27/2020
$
98
COP
380,484
—
(3)
Bank
of
America
NA
11/03/2020
$
2,288
MXN
50,528
—
(4)
Bank
of
America
NA
11/03/2020
$
2,860
MXN
62,863
8
—
Bank
of
America
NA
11/03/2020
$
869
ZAR
14,921
—
(6)
Bank
of
America
NA
11/03/2020
ZAR
14,849
$
869
2
—
Bank
of
America
NA
11/04/2020
IDR
8,647,944
$
579
11
—
Bank
of
America
NA
11/04/2020
$
579
IDR
8,658,945
—
(12)
Bank
of
America
NA
11/05/2020
BRL
2,210
$
401
2
—
Bank
of
America
NA
11/05/2020
BRL
7,424
$
1,373
—
(20)
Bank
of
America
NA
11/09/2020
$
286
THB
8,938
—
(1)
Bank
of
America
NA
11/09/2020
$
286
THB
8,889
—
—
Bank
of
America
NA
11/12/2020
CLP
1,143,508
$
1,395
77
—
Bank
of
America
NA
11/12/2020
$
1,388
CLP
1,143,508
—
(84)
Bank
of
America
NA
11/18/2020
THB
83,170
$
2,632
40
—
Bank
of
America
NA
11/18/2020
$
2,632
THB
83,055
—
(36)
Bank
of
America
NA
11/20/2020
$
4,290
CNH
29,901
—
(52)
Bank
of
America
NA
11/23/2020
$
858
TRY
6,511
—
(3)
Bank
of
America
NA
11/25/2020
$
1,424
MXN
31,634
—
(7)
Bank
of
America
NA
12/15/2020
$
1,945
CNH
13,624
—
(30)
Bank
of
America
NA
12/16/2020
EUR
850
$
1,008
8
—
Bank
of
America
NA
12/16/2020
INR
86,976
$
1,158
16
—
Bank
of
America
NA
12/16/2020
IDR
10,638,914
$
715
7
—
Bank
of
America
NA
12/16/2020
JPY
90,276
$
850
4
—
Bank
of
America
NA
12/17/2020
EUR
753
$
890
10
—
Bank
of
America
NA
12/17/2020
JPY
60,724
$
579
—
(5)
Bank
of
America
NA
12/17/2020
JPY
98,604
$
927
6
—
Bank
of
America
NA
12/17/2020
$
579
JPY
61,009
2
—
Bank
of
America
NA
12/28/2020
EUR
829
$
982
10
—
Bank
of
America
NA
12/28/2020
$
982
TRY
7,646
—
(14)
Bank
of
America
NA
01/06/2021
$
1,221
CNH
8,688
—
(37)
Bank
of
America
NA
01/06/2021
INR
67,640
$
890
21
—
Bank
of
America
NA
01/07/2021
$
1,476
CNH
10,482
—
(41)
Bank
of
America
NA
01/07/2021
CNH
4,102
$
580
14
—
Bank
of
America
NA
03/31/2021
EUR
1,408
HUF
503,702
—
(
4
)
Bank
of
America
NA
03/31/2021
$
36
HUF
12,147
—
(
5
)
Bank
of
America
NA
03/31/2021
HUF
515,849
EUR
1,408
44
—
Bank
of
America
NA
04/27/2021
COP
362,422
$
92
3
—
Bank
of
America
NA
04/27/2021
$
4,053
COP
15,551,057
—
(43)
Bank
of
America
NA
04/27/2021
COP
15,188,635
$
4,053
—
(52)
Bank
of
America
NA
06/01/2021
MXN
32,249
$
1,430
—
(3)
Bank
of
America
NA
08/20/2021
CNH
30,388
$
4,290
45
—
Bank
of
America
NA
09/01/2021
MXN
52,371
$
2,288
5
—
Bank
of
America
NA
09/01/2021
MXN
32,556
$
1,430
—
(4)
Bank
of
New
York
Mellon
09/02/2020
$
3,214
EUR
2,850
—
(187)
Bank
of
New
York
Mellon
09/16/2020
$
1,149
GBP
900
—
(54)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
120
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
New
York
Mellon
09/16/2020
GBP
3,400
$
4,316
$
229
$
—
Bank
of
New
York
Mellon
09/16/2020
DKK
2,500
$
384
17
—
Bank
of
New
York
Mellon
09/16/2020
$
578
DKK
3,800
—
(31)
Bank
of
New
York
Mellon
09/16/2020
EUR
6,344
$
7,300
273
—
Bank
of
New
York
Mellon
09/16/2020
$
13,053
EUR
11,425
—
(584)
Bank
of
New
York
Mellon
09/16/2020
$
739
HKD
5,725
—
—
Bank
of
New
York
Mellon
09/16/2020
HKD
2,200
$
284
—
—
Bank
of
New
York
Mellon
09/16/2020
$
179
JPY
19,000
—
—
Bank
of
New
York
Mellon
09/16/2020
JPY
70,000
$
655
6
—
Bank
of
New
York
Mellon
09/16/2020
$
6,946
JPY
745,600
—
(96)
Bank
of
New
York
Mellon
09/16/2020
NOK
2,400
$
266
9
—
Bank
of
New
York
Mellon
09/16/2020
$
518
NOK
4,850
—
(37)
Bank
of
New
York
Mellon
09/16/2020
$
2,449
ZAR
41,032
32
—
Bank
of
New
York
Mellon
09/16/2020
ZAR
22,138
$
1,340
—
(36)
Bank
of
New
York
Mellon
09/16/2020
$
470
ZAR
8,196
—
(13)
Bank
of
New
York
Mellon
09/16/2020
SEK
1,400
$
160
2
—
Bank
of
New
York
Mellon
09/16/2020
$
973
SEK
8,750
—
(39)
Bank
of
New
York
Mellon
09/16/2020
$
790
CHF
750
—
(40)
Bank
of
New
York
Mellon
09/16/2020
CHF
325
$
355
5
—
Bank
of
New
York
Mellon
09/17/2020
$
2,650
EUR
2,350
—
(155)
Bank
of
New
York
Mellon
10/16/2020
$
3,902
GBP
3,100
—
(242)
Barclays
Bank
PLC
09/17/2020
$
1,684
MYR
7,027
—
(6)
Barclays
Bank
PLC
09/17/2020
MYR
7,217
$
1,684
51
—
Barclays
Bank
PLC
10/23/2020
$
281
EUR
245
—
(12)
Barclays
Bank
PLC
11/09/2020
MYR
4,796
$
1,144
13
—
Barclays
Bank
PLC
12/16/2020
MYR
7,042
$
1,684
13
—
BMO
Capital
Markets
09/16/2020
$
1,125
CAD
1,520
—
(40)
BNP
Paribas
09/16/2020
$
4,030
GBP
3,181
—
(222)
Citigroup
Inc
09/18/2020
EUR
571
$
680
1
—
Deutsche
Bank
AG
10/30/2020
$
378
GBP
291
—
(11)
HSBC
Securities
Inc
09/16/2020
$
463
CAD
610
—
(5)
HSBC
Securities
Inc
09/18/2020
BRL
18,250
$
3,344
—
(14)
HSBC
Securities
Inc
09/18/2020
$
2,707
MXN
60,650
—
(60)
HSBC
Securities
Inc
09/18/2020
$
6,080
RUB
447,200
63
—
HSBC
Securities
Inc
09/18/2020
RUB
196,000
$
2,653
—
(16)
HSBC
Securities
Inc
09/18/2020
$
1,916
RUB
143,800
—
(19)
HSBC
Securities
Inc
09/18/2020
RUB
250,000
$
3,352
12
—
HSBC
Securities
Inc
11/13/2020
$
83
EUR
70
—
(1)
JPMorgan
Chase
09/16/2020
$
7,081
EUR
6,276
—
(410)
JPMorgan
Chase
09/18/2020
BRL
11,200
$
2,011
32
—
JPMorgan
Chase
09/18/2020
$
3,227
BRL
18,250
—
(103)
JPMorgan
Chase
09/18/2020
CNH
36,950
$
5,310
7
6
—
JPMorgan
Chase
09/18/2020
CZK
30,700
$
1,377
18
—
JPMorgan
Chase
09/18/2020
$
7,415
EUR
6,274
—
(75)
JPMorgan
Chase
09/18/2020
EUR
1,835
$
2,191
—
(1)
JPMorgan
Chase
09/18/2020
MXN
72,500
$
3,293
14
—
JPMorgan
Chase
09/18/2020
PEN
11,300
$
3,202
—
(12)
JPMorgan
Chase
09/18/2020
$
3,152
PEN
11,300
—
(38)
JPMorgan
Chase
09/18/2020
PLN
5,100
$
1,360
25
—
JPMorgan
Chase
09/18/2020
RUB
145,000
$
1,974
—
(23)
JPMorgan
Chase
09/18/2020
$
7,805
ZAR
136,347
—
(226)
JPMorgan
Chase
09/18/2020
ZAR
35,900
$
2,057
5
7
—
JPMorgan
Chase
09/18/2020
ZAR
38,200
$
2,257
—
(7)
JPMorgan
Chase
09/18/2020
$
2,657
TRY
19,550
5
—
Merrill
Lynch
10/23/2020
$
394
CAD
530
—
(12)
Merrill
Lynch
10/23/2020
$
218
EUR
190
—
(9)
Morgan
Stanley
&
Co
09/16/2020
CNH
4,845
$
689
17
—
Morgan
Stanley
&
Co
09/16/2020
$
2,034
CNH
14,414
—
(68)
Morgan
Stanley
&
Co
09/16/2020
$
685
EUR
605
—
(37)
Morgan
Stanley
&
Co
10/08/2020
$
890
COP
3,330,000
1
—
Standard
Chartered
Bank,
Hong
Kong
10/02/2020
$
691
EUR
615
—
(43)
State
Street
Financial
Global
Markets
09/16/2020
$
1,200
GBP
941
—
(58)
State
Street
Financial
Global
Markets
09/16/2020
GBP
941
$
1,199
5
8
—
Toronto
Dominion
Bank
09/16/2020
$
1,130
CAD
1,520
—
(35)
Toronto
Dominion
Bank
09/16/2020
CAD
1,520
$
1,130
35
—
Total
$
7,340
$
(8,4
9
4
)
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
121
Credit
Default
Swaps
Buy
Protection
Counterparty
Reference
Entity
Implied
Credit
Spread
as
of
August
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
Asset
----
Liability
Bank
of
America
NA
Mexico
Government
International
Bond,
4.15%,
03/28/2027
1.17%
(1.00)%
Quarterly
06/20/2025
$
230
$
20
$
(18)
$
2
$
—
Bank
of
America
NA
Mexico
Government
International
Bond,
4.15%,
03/28/2027
1.17%
(1.00)%
Quarterly
06/20/2025
1,150
96
(87)
9
—
Bank
of
New
York
Mellon
Royal
Caribbean
Cruises
Ltd,
5.25%,
11/15/2022
10.32%
(5.00)%
Quarterly
06/20/2025
450
97
(19)
78
—
Barclays
Bank
PLC
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
2,565
187
(100)
87
—
Barclays
Bank
PLC
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
95
9
(6)
3
—
Barclays
Bank
PLC
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
475
46
(30)
16
—
Barclays
Bank
PLC
Republic
of
South
Africa,
5.87%,
09/16/2025
2.87%
(1.00)%
Quarterly
06/20/2025
2,250
183
6
189
—
Citigroup
Inc
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
2,185
216
(142)
74
—
Goldman
Sachs
&
Co
American
Airlines
Group,
5.00%,
06/01/2022
32.83%
(5.00)%
Quarterly
06/22/2022
200
85
(14)
71
—
Goldman
Sachs
&
Co
Kohl's
Corp,
4.25%,
07/17/2025
3.17%
(1.00)%
Quarterly
06/20/2025
250
24
(1)
23
—
Goldman
Sachs
&
Co
Pitney
Bowes
Inc,
4.70%,
04/01/2023
3.93%
(1.00)%
Quarterly
06/20/2023
300
90
(67)
23
—
JPMorgan
Chase
Republic
of
South
Africa,
5.87%,
09/16/2025
2.87%
(1.00)%
Quarterly
06/20/2025
200
19
(2)
17
—
JPMorgan
Chase
Republic
of
South
Africa,
5.87%,
09/16/2025
2.87%
(1.00)%
Quarterly
06/20/2025
1,000
82
2
84
—
Merrill
Lynch
Mexico
Government
International
Bond,
4.15%,
03/28/2027
1.17%
(1.00)%
Quarterly
06/20/2025
1,170
106
(97)
9
—
Morgan
Stanley
&
Co
China
Government
International
Bond,
7.50%,
10/28/2027
0.35%
(1.00)%
Quarterly
06/20/2025
1,275
(20)
(19)
—
(39)
Morgan
Stanley
&
Co
China
Government
International
Bond,
7.50%,
10/28/2027
0.35%
(1.00)%
Quarterly
06/20/2025
1,250
(28)
(11)
—
(39)
Morgan
Stanley
&
Co
Enel
Spa,
5.25%,
05/20/2024
0.36%
(1.00)%
Quarterly
12/20/2023
EUR
750
3
(22)
—
(19)
Total
$
1,215
$
(627)
$
685
$
(97)
Amounts
in
thousands.
Exchange
Cleared
Credit
Default
Swaps
Buy
Protection
Reference
Entity
Implied
Credit
Spread
as
of
August
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
Turkey
Government
International
Bond,
11.88%,
01/15/2030
5.52%
(1.00)%
Quarterly
06/20/2025
$
5,593
$
838
$
143
$
981
Total
$
838
$
143
$
981
Sell
Protection
Reference
Entity
Implied
Credit
Spread
as
of
August
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
(b)
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
(c)
CDX.34.HY
N/A
5.00%
Quarterly
06/20/2025
$
8,240
$
(394)
$
870
$
476
Total
$
(394)
$
870
$
476
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.
(b)
The
maximum
potential
payment
amount
that
the
seller
of
credit
protection
could
be
required
to
make
if
a
credit
event
occurs
as
defined
under
the
terms
of
that
particular
swap
agreement
is
$8,240.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
122
Exchange
Cleared
Credit
Default
Swaps
(continued)
(c)
The
market
price
and
resulting
market
value
for
credit
default
swap
agreements
on
an
issuer
serve
as
an
indicator
of
the
current
status
of
the
payment/performance
risk
and
represent
the
likelihood
of
an
expected
liability
(or
profit)
for
the
credit
default
swap
as
of
the
period
end.
Increasing
market
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
of
default
or
other
credit
event
occurring
as
defined
under
the
terms
of
the
agreement.
Interest
Rate
Swaps
Counterparty
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
Asset
Liability
Barclays
Bank
PLC
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.20%
Annual
Semiannual
N/A
12/12/2023
PLN
10,712
$
(164)
$
—
$
—
$
(164)
JPMorgan
Chase
Brazil
Cetip
DI
Interbank
Deposit
Rate
Receive
3.00%
Annual
Annual
N/A
01/03/2022
BRL
190,000
(97)
—
—
(97)
JPMorgan
Chase
Brazil
Cetip
DI
Interbank
Deposit
Rate
Pay
5.46%
Annual
Annual
N/A
01/02/2025
76,000
(155)
—
—
(155)
Morgan
Stanley
&
Co
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.09%
Quarterly
Quarterly
N/A
11/08/2024
CNY
18,894
43
—
43
—
Total
$
(373)
$
—
$
43
$
(416)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
5.29%
Quarterly
Quarterly
N/A
11/06/2025
ZAR
17,449
$
2
$
—
$
2
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
5.20%
Quarterly
Quarterly
N/A
11/06/2025
5,350
2
—
2
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
6.59%
Quarterly
Quarterly
N/A
11/11/2022
105,000
(342)
(8)
(350)
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
7.00%
Quarterly
Quarterly
N/A
07/13/2030
32,550
(7)
1
(6)
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
7.20%
Quarterly
Quarterly
N/A
11/11/2022
105,000
434
(4)
430
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
5.39%
Quarterly
Quarterly
N/A
11/06/2025
8,866
(1)
—
(1)
3
Month
KRW
Certificate
of
Deposit
Receive
1.31%
Quarterly
Quarterly
N/A
11/22/2029
$
1,391,000
(22)
—
(22)
3
Month
KRW
Certificate
of
Deposit
Pay
0.95%
Annual
Annual
N/A
08/07/2022
72,500,000
160
—
160
3
Month
KRW
Certificate
of
Deposit
Receive
1.39%
Quarterly
Quarterly
N/A
12/18/2029
1,690,489
(39)
—
(39)
3
Month
KRW
Certificate
of
Deposit
Receive
1.41%
Quarterly
Quarterly
N/A
01/28/2022
8,790,000
(69)
—
(69)
3
Month
KRW
Certificate
of
Deposit
Pay
2.00%
Annual
Annual
N/A
03/17/2022
85,700,000
1,214
—
1,214
3
Month
KRW
Certificate
of
Deposit
Receive
1.75%
Annual
Annual
N/A
03/17/2030
12,855,000
(609)
—
(609)
3
Month
USD
LIBOR
Receive
3.04%
Semiannual
Quarterly
N/A
05/22/2025
3,180
(410)
—
(410)
3
Month
USD
LIBOR
Receive
3.09%
Semiannual
Quarterly
N/A
10/01/2024
4,584
(528)
—
(528)
3
Month
USD
LIBOR
Pay
2.98%
Quarterly
Semiannual
N/A
08/07/2023
4,428
357
—
357
3
Month
USD
LIBOR
Receive
2.75%
Semiannual
Quarterly
N/A
03/29/2025
1,575
(177)
—
(177)
3
Month
USD
LIBOR
Receive
2.77%
Semiannual
Quarterly
N/A
03/07/2025
3,938
(440)
—
(440)
3
Month
USD
LIBOR
Receive
3.04%
Semiannual
Quarterly
N/A
08/07/2028
2,362
(462)
—
(462)
3
Month
USD
LIBOR
Receive
0.41%
Semiannual
Quarterly
N/A
05/07/2025
1,197
(6)
—
(6)
3
Month
USD
LIBOR
Receive
0.26%
Semiannual
Quarterly
N/A
06/29/2023
5,875
(5)
—
(5)
3
Month
USD
LIBOR
Receive
0.23%
Semiannual
Quarterly
N/A
07/03/2023
5,875
(1)
—
(1)
3
Month
USD
LIBOR
Receive
2.93%
Semiannual
Quarterly
N/A
06/11/2025
3,963
(496)
—
(496)
3
Month
USD
LIBOR
Receive
2.97%
Semiannual
Quarterly
N/A
05/04/2025
2,381
(297)
1
(296)
3
Month
USD
LIBOR
Receive
2.97%
Semiannual
Quarterly
N/A
04/25/2025
2,700
(335)
1
(334)
3
Month
USD
LIBOR
Receive
2.88%
Semiannual
Quarterly
N/A
08/21/2025
6,337
(804)
—
(804)
3
Month
USD
LIBOR
Receive
0.26%
Semiannual
Quarterly
N/A
06/30/2023
5,875
(5)
—
(5)
3
Month
USD
LIBOR
Receive
0.41%
Semiannual
Quarterly
N/A
05/07/2025
686
(4)
1
(3)
6
Month
Budapest
Interbank
Offered
Rate
Receive
2.09%
Annual
Semiannual
N/A
07/11/2023
HUF
482,425
(55)
7
(48)
6
Month
Budapest
Interbank
Offered
Rate
Receive
1.13%
Annual
Semiannual
N/A
08/31/2024
526,240
2
—
2
6
Month
Budapest
Interbank
Offered
Rate
Receive
0.92%
Annual
Semiannual
N/A
07/09/2025
478,833
26
—
26
6
Month
Budapest
Interbank
Offered
Rate
Receive
1.32%
Annual
Semiannual
N/A
07/01/2030
187,912
24
—
24
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
123
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
6
Month
Budapest
Interbank
Offered
Rate
Pay
0.81%
Semiannual
Annual
N/A
12/16/2023
HUF
871,350
$
(28)
$
1
$
(27)
6
Month
Budapest
Interbank
Offered
Rate
Receive
1.27%
Annual
Semiannual
N/A
12/16/2027
382,950
23
—
23
6
Month
Budapest
Interbank
Offered
Rate
Pay
1.00%
Semiannual
Annual
N/A
12/16/2023
568,568
(7)
—
(7)
6
Month
Budapest
Interbank
Offered
Rate
Receive
1.43%
Annual
Semiannual
N/A
12/16/2027
251,108
6
—
6
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.19)%
Semiannual
Annual
N/A
08/27/2029
EUR
1,305
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
0.06%
Annual
Semiannual
N/A
04/18/2024
1,487
(29)
(1)
(30)
6
Month
Euro
Interbank
Offered
Rate
Receive
0.05%
Annual
Semiannual
N/A
08/27/2034
870
(5)
—
(5)
6
Month
Prague
Interbank
Offered
Rate
Pay
1.59%
Semiannual
Annual
N/A
08/16/2021
CZK
85,188
40
4
44
6
Month
Thai
Baht
Interest
Rate
Fixing
Pay
0.71%
Annual
Annual
N/A
09/16/2023
$
57,720
—
1
1
6
Month
Thai
Baht
Interest
Rate
Fixing
Pay
0.73%
Semiannual
Semiannual
N/A
09/16/2023
90,465
3
—
3
6
Month
Thai
Baht
Interest
Rate
Fixing
Pay
1.00%
Annual
Annual
N/A
12/16/2023
88,800
67
—
67
6
Month
Warsaw
Interbank
Offered
Rate
Receive
1.07%
Annual
Semiannual
N/A
06/09/2030
PLN
2,773
5
(1)
4
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.85%
Semiannual
Annual
N/A
01/28/2022
146,200
789
79
868
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.48%
Annual
Semiannual
N/A
03/23/2023
4,152
(56)
(3)
(59)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.55%
Annual
Semiannual
N/A
03/10/2022
6,420
(55)
(4)
(59)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.02%
Annual
Semiannual
N/A
01/28/2030
31,050
(627)
(78)
(705)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
1.85%
Annual
Semiannual
N/A
01/28/2022
77,000
(429)
(28)
(457)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
2.02%
Semiannual
Annual
N/A
01/28/2030
16,500
388
(13)
375
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.52%
Annual
Semiannual
N/A
03/09/2022
3,605
(31)
(2)
(33)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.54%
Annual
Semiannual
N/A
05/17/2023
5,873
(85)
(6)
(91)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.51%
Semiannual
Annual
N/A
02/19/2022
27,840
122
14
136
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.37%
Annual
Semiannual
N/A
04/26/2022
6,600
(57)
(3)
(60)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.02%
Annual
Semiannual
N/A
05/27/2024
11,140
(148)
(14)
(162)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.10%
Annual
Annual
N/A
06/08/2023
$
21,112
(36)
—
(36)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.00%
Annual
Annual
N/A
06/11/2025
91,500
(248)
—
(248)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.51%
Annual
Annual
N/A
07/10/2023
16,675
(2)
—
(2)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.00%
Quarterly
Quarterly
N/A
05/13/2023
13,455
(45)
—
(45)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.26%
Annual
Annual
N/A
06/11/2025
42,500
(24)
(97)
(121)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
1.99%
Annual
Annual
N/A
06/16/2023
13,584
(30)
1
(29)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.32%
Annual
Annual
N/A
07/20/2021
41,109
(41)
—
(41)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.35%
Annual
Annual
N/A
07/13/2021
40,530
(3)
—
(3)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.04%
Annual
Annual
N/A
06/12/2023
13,714
(28)
1
(27)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.10%
Annual
Annual
N/A
06/12/2023
13,641
(24)
—
(24)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.33%
Annual
Annual
N/A
07/07/2023
17,370
(13)
—
(13)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.00%
Annual
Annual
N/A
04/13/2023
19,980
(65)
1
(64)
Sinacofi
Chile
Interbank
Rate
Avg
Receive
1.30%
Annual
Annual
N/A
07/20/2025
CLP
1,360,650
(11)
1
(10)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.40%
Annual
Annual
N/A
03/31/2021
$
13,602
(183)
1
(182)
Total
$
(3,760)
$
(147)
$
(3,907)
Amounts
in
thousands.
(a)
Forward
swap.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
124
Total
Return
Equity
Basket
Swaps
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
Goldman
Sachs
&
Co
(a)
Floating
rate
based
on
the
Federal
Funds
Rate
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
05/15/2030-
06/05/2030
$
16,027
$
—
$
—
$
(955)
JPMorgan
Chase
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
11/30/2020
1,209
—
151
—
JPMorgan
Chase
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
ZAR
Monthly
11/04/2020
132
—
—
(6)
JPMorgan
Chase
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
12/04/2020-
05/24/2021
1,564
—
206
—
JPMorgan
Chase
Floating
rate
based
on
Norway
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
NOK
Monthly
11/02/2020-
11/04/2020
687
—
257
—
JPMorgan
Chase
Floating
rate
based
on
1
Month
JPY
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
03/25/2021
98
—
3
—
JPMorgan
Chase
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CNY
Monthly
12/04/2020
1,398
—
149
—
JPMorgan
Chase
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
11/03/2020-
12/04/2020
7,109
—
120
—
JPMorgan
Chase
Floating
rate
based
on
1
Month
GBP
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
11/02/2020-
12/07/2020
2,180
—
—
(350)
Morgan
Stanley
&
Co
(b)
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
10/13/2020-
08/24/2021
23,132
—
1,696
—
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
01/21/2021-
11/30/2021
2,271
—
180
—
Morgan
Stanley
&
Co
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
01/28/2021
624
—
109
—
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
05/20/2021
2,996
—
—
(832)
Morgan
Stanley
&
Co
(c)
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
10/09/2020-
02/10/2021
15,329
—
—
(341)
UBS
AG
Floating
rate
based
on
1
Day
Reserve
Bank
of
Australia
Cash
Rate
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
AUD
Monthly
11/28/2022
736
—
8
—
UBS
AG
Floating
rate
based
on
1
Month
EUR
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
02/01/2022
6,345
—
577
—
UBS
AG
Floating
rate
based
on
1
Month
GBP
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
02/01/2022
2,174
—
—
(192)
UBS
AG
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
03/01/2022
770
—
36
—
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
125
Total
Return
Equity
Basket
Swaps
(continued)
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
UBS
AG
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
03/01/2022
$
7,268
$
—
$
—
$
(54)
Total
$
92,049
$
—
$
3,492
$
(2,730)
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.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
126
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Adobe
Inc
(446)
$
(229
)
(1.43)%
salesforce.com
Inc
(817)
(223
)
(1.39)%
PayPal
Holdings
Inc
(1,082)
(221
)
(1.38)%
Walt
Disney
Co/The
(1,660)
(219
)
(1.37)%
Netflix
Inc
(404)
(214
)
(1.33)%
Merck
&
Co
Inc
(2,344)
(200
)
(1.25)%
Bank
of
America
Corp
(7,451)
(192
)
(1.20)%
Comcast
Corp
(4,180)
(187
)
(1.17)%
PepsiCo
Inc
(1,285)
(180
)
(1.12)%
Abbott
Laboratories
(1,627)
(178
)
(1.11)%
Cisco
Systems
Inc
(3,907)
(165
)
(1.03)%
Thermo
Fisher
Scientific
Inc
(369)
(158
)
(0.99)%
Exxon
Mobil
Corp
(3,897)
(156
)
(0.97)%
McDonald's
Corp
(693)
(148
)
(0.92)%
Chevron
Corp
(1,742)
(146
)
(0.91)%
Costco
Wholesale
Corp
(407)
(141
)
(0.88)%
Accenture
PLC
(585)
(140
)
(0.88)%
Amgen
Inc
(547)
(139
)
(0.86)%
Bristol-Myers
Squibb
Co
(2,159)
(134
)
(0.84)%
Medtronic
PLC
(1,234)
(133
)
(0.83)%
AbbVie
Inc
(1,362)
(130
)
(0.81)%
NIKE
Inc
(1,147)
(128
)
(0.80)%
Broadcom
Inc
(365)
(127
)
(0.79)%
NextEra
Energy
Inc
(450)
(126
)
(0.78)%
QUALCOMM
Inc
(1,052)
(125
)
(0.78)%
Linde
PLC
(494)
(123
)
(0.77)%
Union
Pacific
Corp
(640)
(123
)
(0.77)%
Texas
Instruments
Inc
(861)
(122
)
(0.76)%
Danaher
Corp
(589)
(122
)
(0.76)%
Lowe's
Cos
Inc
(705)
(116
)
(0.72)%
Eli
Lilly
and
Co
(778)
(115
)
(0.72)%
Philip
Morris
International
Inc
(1,433)
(114
)
(0.71)%
Oracle
Corp
(1,994)
(114
)
(0.71)%
Honeywell
International
Inc
(658)
(109
)
(0.68)%
United
Parcel
Service
Inc
(645)
(106
)
(0.66)%
Citigroup
Inc
(2,010)
(103
)
(0.64)%
American
Tower
Corp
(408)
(102
)
(0.63)%
International
Business
Machines
Corp
(815)
(100
)
(0.63)%
Advanced
Micro
Devices
Inc
(1,076)
(98
)
(0.61)%
Starbucks
Corp
(1,086)
(92
)
(0.57)%
Lockheed
Martin
Corp
(228)
(89
)
(0.56)%
Charter
Communications
Inc
(144)
(89
)
(0.55)%
3M
Co
(529)
(86
)
(0.54)%
Wells
Fargo
&
Co
(3,546)
(86
)
(0.53)%
Fidelity
National
Information
Services
Inc
(566)
(85
)
(0.53)%
Boeing
Co/The
(493)
(85
)
(0.53)%
ServiceNow
Inc
(174)
(84
)
(0.52)%
Intuit
Inc
(240)
(83
)
(0.52)%
S&P
Global
Inc
(225)
(83
)
(0.51)%
Raytheon
Technologies
Corp
(1,352)
(82
)
(0.51)%
(a)
Top
Underlying
Securities
YRKGSUSD
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
127
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Fidelity
National
Information
Services
Inc
13,221
$
1,994
8.62%
Mastercard
Inc
5,221
1,870
8.09%
Aon
PLC
(8,491)
(1,698
)
(7.34)%
Willis
Towers
Watson
PLC
7,862
1,616
6.98%
Coca-Cola
Co/The
28,754
1,424
6.16%
Aramark
50,540
1,393
6.02%
Boston
Scientific
Corp
33,286
1,365
5.90%
Tiffany
&
Co
9,962
1,220
5.28%
Alphabet
Inc
-
C
Shares
703
1,149
4.97%
TJX
Cos
Inc/The
20,817
1,141
4.93%
Tencent
Holdings
Ltd
(16,079)
(1,099
)
(4.75)%
iShares
iBoxx
High
Yield
Corporate
Bond
ETF
(10,527)
(895
)
(3.87)%
Amazon.com
Inc
237
818
3.53%
Adobe
Inc
1,566
804
3.48%
Kroger
Co/The
(18,261)
(652
)
(2.82)%
Exxon
Mobil
Corp
(15,778)
(630
)
(2.72)%
3M
Co
(3,233)
(527
)
(2.28)%
Verizon
Communications
Inc
(6,128)
(363
)
(1.57)%
Advanced
Disposal
Services
Inc
(11,489)
(346
)
(1.50)%
Cerner
Corp
(4,668)
(342
)
(1.48)%
AT&T
Inc
(11,341)
(338
)
(1.46)%
AvalonBay
Communities
Inc
(2,077)
(328
)
(1.42)%
ONEOK
Inc
(11,713)
(322
)
(1.39)%
J
M
Smucker
Co/The
(2,067)
(248
)
(1.07)%
Grand
Canyon
Education
Inc
(2,234)
(210
)
(0.91)%
Campbell
Soup
Co
(3,604)
(190
)
(0.82)%
Bristol-Myers
Squibb
Co
55,365
148
0.64%
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Stoxx
Europe
600
Index
(26,526)
$
(11,602
)
(75.68)%
Getlink
SE
99,460
1,524
9.94%
Eiffage
SA
10,792
994
6.49%
Grifols
SA
(15,047)
(408
)
(2.66)%
Grifols
SA
24,875
402
2.62%
Aena
SME
SA
2,675
399
2.60%
(b)
Top
Underlying
Securities
YORKEBS
(c)
Top
Underlying
Securities
YRKEBSEUR
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
128
Reverse
Repurchase
Agreements
Counterparty
Coupon
Rate
Maturity
Date
Principal
Amount
Payable
for
Reverse
Repurchase
Agreements
Merrill
Lynch
(1.75)%
Open
ended
$
825
$
(832)
Merrill
Lynch
(1.75)%
Open
ended
590
(593)
Merrill
Lynch
(2.25)%
09/04/2020
1,067
(1,069)
Merrill
Lynch
(2.30)%
09/04/2020
2,084
(2,088)
Merrill
Lynch
(0.26)%
09/14/2020
14,906
(14,908)
Merrill
Lynch
(0.15)%
09/02/2020
21,572
(21,572)
Merrill
Lynch
(0.15)%
09/02/2020
9,575
(9,575)
Merrill
Lynch
(0.15)%
09/02/2020
4,700
(4,700)
Merrill
Lynch
(0.15)%
09/02/2020
52,858
(52,858)
Merrill
Lynch
(0.15)%
09/02/2020
5,861
(5,861)
Merrill
Lynch
(0.15)%
09/02/2020
5,050
(5,050)
Merrill
Lynch
(0.15)%
09/02/2020
24,196
(24,196)
Merrill
Lynch
(0.15)%
09/02/2020
18,872
(18,872)
Merrill
Lynch
(0.15)%
09/02/2020
27,627
(27,627)
Merrill
Lynch
(0.15)%
09/02/2020
19,112
(19,112)
Merrill
Lynch
(0.15)%
09/02/2020
39,147
(39,147)
Merrill
Lynch
(0.15)%
09/02/2020
34,665
(34,665)
Merrill
Lynch
(0.15)%
09/02/2020
20,472
(20,472)
Merrill
Lynch
(0.15)%
09/02/2020
8,976
(8,976)
Merrill
Lynch
(0.15)%
09/02/2020
1,490
(1,490)
Merrill
Lynch
(0.15)%
09/02/2020
30,821
(30,821)
Merrill
Lynch
(0.15)%
09/02/2020
18,872
(18,872)
Merrill
Lynch
(0.15)%
09/02/2020
15,596
(15,596)
Merrill
Lynch
(0.12)%
09/02/2020
955
(954)
Merrill
Lynch
(0.12)%
09/02/2020
7,223
(7,223)
Merrill
Lynch
(0.15)%
09/02/2020
17,896
(17,896)
Merrill
Lynch
(0.15)%
09/02/2020
2,773
(2,773)
Merrill
Lynch
0.00%
09/02/2020
4,879
(4,879)
Total
$
(412,677)
Amounts
in
thousands.
Total
Return
Swaps
Counterparty
Reference
Entity
Contracts
Pay/Receive
Positive
Return
Financing
Rate
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/
(Depreciation)
Asset
----
Liability
Bank
of
America
NA
Indonesia
Government,
6.50%,
06/15/2025
3,962,000,000
Receive
3
Month
USD
LIBOR
+
1.00%
Semiannual
06/21/2021
$
279
$
—
$
7
$
—
Bank
of
America
NA
Indonesia
Treasury
Bond,
7.25%,
02/15/2026
4,725,500,000
Receive
3
Month
USD
LIBOR
+
1.00%
Semiannual
07/14/2021
339
—
—
(2)
Goldman
Sachs
&
Co
GS
US
Global
Health
Risk
Exposure
2,538
Pay
US
Federal
Funds
Effective
Rate
(continuous
series)
Monthly
06/14/2023
218
—
—
(13)
HSBC
Securities
Inc
Egypt
Treasury
Bills,
0.00%,
10/06/2020
19,700,000
Receive
3
Month
USD
LIBOR
+
0.90%
Annual
10/07/2020
1,200
—
25
—
HSBC
Securities
Inc
Egypt
Treasury
Bills,
0.00%,
10/13/2020
19,700,000
Receive
3
Month
USD
LIBOR
+
0.90%
Quarterly
10/14/2020
1,197
—
24
—
HSBC
Securities
Inc
Egypt
Treasury
Bills,
0.00%,
10/13/2020
29,500,000
Receive
3
Month
USD
LIBOR
+
0.80%
Quarterly
10/14/2020
1,797
—
33
—
Total
$
—
$
89
$
(15)
Amounts
in
thousands
except
contracts.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
129
Short
Sales
Outstanding
COMMON
STOCKS
-
(16.40)%
Shares
Value
(000's)
Advertising
-
(0.04)%
Hakuhodo
DY
Holdings
Inc
5,400
$
67
JCDecaux
SA
7,715
147
Trade
Desk
Inc/The
225
108
$
322
Aerospace
&
Defense
-
(0.32)%
Boeing
Co/The
3,640
625
Dassault
Aviation
SA
258
234
General
Dynamics
Corp
1,671
250
Kawasaki
Heavy
Industries
Ltd
14,100
199
L3Harris
Technologies
Inc
3,371
609
Raytheon
Technologies
Corp
7,202
439
Teledyne
Technologies
Inc
36
11
Thales
SA
2,287
179
$
2,546
Agriculture
-
(0.08)%
Archer-Daniels-Midland
Co
15,100
676
Airlines
-
(0.20)%
Air
Canada
12,590
170
Alaska
Air
Group
Inc
4,188
163
American
Airlines
Group
Inc
16,368
214
Delta
Air
Lines
Inc
13,776
425
Japan
Airlines
Co
Ltd
10,300
204
Southwest
Airlines
Co
4,364
164
United
Airlines
Holdings
Inc
4,850
175
$
1,515
Apparel
-
(0.23)%
Ralph
Lauren
Corp
8,039
553
Tapestry
Inc
18,652
275
Under
Armour
Inc
-
Class
C
66,517
589
VF
Corp
7,897
519
$
1,936
Automobile
Manufacturers
-
(0.23)%
Ford
Motor
Co
51,858
354
General
Motors
Co
8,633
256
Honda
Motor
Co
Ltd
5,300
135
Mazda
Motor
Corp
8,000
51
PACCAR
Inc
1,679
144
Subaru
Corp
4,500
94
Suzuki
Motor
Corp
7,900
323
Toyota
Motor
Corp
2,300
152
Volkswagen
AG
1,648
297
$
1,806
Automobile
Parts
&
Equipment
-
(0.26)%
Aisin
Seiki
Co
Ltd
5,100
175
Aptiv
PLC
5,545
478
Autoliv
Inc
3,977
312
Cie
Generale
des
Etablissements
Michelin
SCA
2,822
320
Lear
Corp
727
83
NGK
Insulators
Ltd
11,300
161
Sumitomo
Electric
Industries
Ltd
20,600
242
Toyoda
Gosei
Co
Ltd
7,300
159
Toyota
Industries
Corp
2,900
168
$
2,098
Banks
-
(0.52)%
Bank
of
New
York
Mellon
Corp/The
6,032
223
Canadian
Imperial
Bank
of
Commerce
2,600
206
Citigroup
Inc
431
22
Citizens
Financial
Group
Inc
2,120
55
Comerica
Inc
1,601
63
Commonwealth
Bank
of
Australia
6,491
326
Danske
Bank
A/S
1,957
30
FinecoBank
Banca
Fineco
SpA
9,629
146
First
Republic
Bank/CA
2,365
267
Huntington
Bancshares
Inc/OH
31,285
294
Japan
Post
Bank
Co
Ltd
17,300
139
KeyCorp
4,344
54
Northern
Trust
Corp
6,987
572
PNC
Financial
Services
Group
Inc/The
2,003
223
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Banks
(continued)
Regions
Financial
Corp
14,903
$
172
State
Street
Corp
8,557
583
SVB
Financial
Group
1,262
322
Toronto-Dominion
Bank/The
3,200
160
Truist
Financial
Corp
5,170
201
$
4,058
Beverages
-
(0.22)%
Asahi
Group
Holdings
Ltd
2,000
70
Brown-Forman
Corp
-
B
Shares
9,550
699
Coca-Cola
Amatil
Ltd
660
4
Coca-Cola
Bottlers
Japan
Holdings
Inc
3,900
65
Coca-Cola
European
Partners
PLC
5,506
227
Monster
Beverage
Corp
3,465
291
Remy
Cointreau
SA
2,078
342
$
1,698
Biotechnology
-
(0.36)%
Alnylam
Pharmaceuticals
Inc
1,306
173
BeiGene
Ltd
ADR
631
152
Bio-Rad
Laboratories
Inc
1,639
834
Corteva
Inc
25,477
727
Exact
Sciences
Corp
1,165
88
Incyte
Corp
2,021
195
Moderna
Inc
1,793
116
Seattle
Genetics
Inc
1,220
193
Vertex
Pharmaceuticals
Inc
1,654
462
$
2,940
Building
Materials
-
(0.12)%
Cie
de
Saint-Gobain
8,005
324
CRH
PLC
9,587
358
Owens
Corning
2,135
144
Vulcan
Materials
Co
1,531
184
$
1,010
Chemicals
-
(0.51)%
Air
Products
and
Chemicals
Inc
1,641
480
Albemarle
Corp
13,731
1,249
BASF
SE
1,249
76
Daicel
Corp
8,100
59
Dow
Inc
1,088
49
FMC
Corp
3,858
412
International
Flavors
&
Fragrances
Inc
5,821
721
Kuraray
Co
Ltd
800
8
LANXESS
AG
4,181
245
Nippon
Paint
Holdings
Co
Ltd
5,100
438
Sherwin-Williams
Co/The
264
177
Umicore
SA
5,948
273
$
4,187
Commercial
Services
-
(0.42)%
AMERCO
332
118
Aramark
3,784
104
Atlantia
SpA
8,847
140
Automatic
Data
Processing
Inc
1,070
149
Equifax
Inc
2,383
401
FleetCor
Technologies
Inc
801
201
Global
Payments
Inc
4,352
769
GMO
Payment
Gateway
Inc
2,300
243
IHS
Markit
Ltd
1,147
92
MarketAxess
Holdings
Inc
815
396
Nielsen
Holdings
PLC
1,639
25
Nihon
M&A
Center
Inc
2,200
110
Park24
Co
Ltd
3,800
68
Rollins
Inc
6,343
350
Verisk
Analytics
Inc
226
42
Worldline
SA/France
1,488
137
$
3,345
Computers
-
(0.50)%
Atos
SE
5,887
510
DXC
Technology
Co
24,401
488
Fortinet
Inc
6,554
865
Hewlett
Packard
Enterprise
Co
44,084
426
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
130
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Computers
(continued)
International
Business
Machines
Corp
1,286
$
159
Leidos
Holdings
Inc
5,589
506
NEC
Corp
3,250
172
Western
Digital
Corp
25,231
969
$
4,095
Consumer
Products
-
(0.04)%
Avery
Dennison
Corp
1,446���
167
Church
&
Dwight
Co
Inc
1,371
131
$
298
Cosmetics
&
Personal
Care
-
(0.10)%
Coty
Inc
56,803
203
Kose
Corp
800
94
Shiseido
Co
Ltd
8,200
477
$
774
Distribution
&
Wholesale
-
(0.21)%
Copart
Inc
5,321
550
Fastenal
Co
9,736
476
ITOCHU
Corp
3,600
92
Jardine
Cycle
&
Carriage
Ltd
12,300
171
Mitsubishi
Corp
17,200
407
$
1,696
Diversified
Financial
Services
-
(0.54)%
Afterpay
Ltd
4,838
326
American
Express
Co
1,644
167
Ameriprise
Financial
Inc
2,981
467
Capital
One
Financial
Corp
3,094
214
Charles
Schwab
Corp/The
9,102
323
CME
Group
Inc
1,070
188
Japan
Exchange
Group
Inc
22,100
573
London
Stock
Exchange
Group
PLC
1,142
135
Raymond
James
Financial
Inc
8,812
667
SBI
Holdings
Inc/Japan
7,500
171
St
James's
Place
PLC
35,459
460
TMX
Group
Ltd
4,200
442
Tokyo
Century
Corp
3,400
174
$
4,307
Electric
-
(0.95)%
Alliant
Energy
Corp
5,796
314
Ameren
Corp
5,116
405
American
Electric
Power
Co
Inc
3,987
314
CenterPoint
Energy
Inc
1,568
31
Chugoku
Electric
Power
Co
Inc/The
44,900
548
CMS
Energy
Corp
4,423
268
Consolidated
Edison
Inc
8,341
595
DTE
Energy
Co
2,737
325
Duke
Energy
Corp
1,024
82
E.ON
SE
33,791
400
Edison
International
8,795
462
Entergy
Corp
6,992
693
Evergy
Inc
2,899
154
Eversource
Energy
4,332
371
Exelon
Corp
1,818
67
Kyushu
Electric
Power
Co
Inc
13,900
123
NextEra
Energy
Inc
631
176
Pinnacle
West
Capital
Corp
5,820
427
Public
Service
Enterprise
Group
Inc
854
45
RWE
AG
8,065
321
Sempra
Energy
1,533
189
Southern
Co/The
4,031
210
WEC
Energy
Group
Inc
2,511
236
Xcel
Energy
Inc
11,058
769
$
7,525
Electrical
Components
&
Equipment
-
(0.04)%
Prysmian
SpA
11,471
321
Electronics
-
(0.26)%
Allegion
plc
4,594
475
Amphenol
Corp
1,524
167
FLIR
Systems
Inc
2,786
103
Keysight
Technologies
Inc
5,138
506
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Electronics
(continued)
Mettler-Toledo
International
Inc
449
$
436
Murata
Manufacturing
Co
Ltd
5,000
296
Waters
Corp
618
134
$
2,117
Energy
-
Alternate
Sources
-
(0.03)%
Siemens
Gamesa
Renewable
Energy
SA
9,719
261
Engineering
&
Construction
-
(0.41)%
ACS
Actividades
de
Construccion
y
Servicios
SA
4,809
118
Ferrovial
SA
26,733
714
Jacobs
Engineering
Group
Inc
17,990
1,624
Japan
Airport
Terminal
Co
Ltd
12,000
539
Kajima
Corp
20,600
256
$
3,251
Entertainment
-
(0.20)%
Flutter
Entertainment
PLC
3,568
600
GVC
Holdings
PLC
6,159
65
Live
Nation
Entertainment
Inc
11,244
638
Oriental
Land
Co
Ltd/Japan
1,750
238
$
1,541
Food
-
(0.39)%
Barry
Callebaut
AG
135
299
Conagra
Brands
Inc
2,956
113
Hershey
Co/The
1,793
267
Hormel
Foods
Corp
6,025
307
J
M
Smucker
Co/The
983
118
Kellogg
Co
993
70
Kraft
Heinz
Co/The
4,373
153
Kroger
Co/The
11,986
428
McCormick
&
Co
Inc/MD
964
199
Mondelez
International
Inc
1,838
107
NH
Foods
Ltd
3,100
140
Ocado
Group
PLC
27,130
904
Yamazaki
Baking
Co
Ltd
7,200
117
$
3,222
Forest
Products
&
Paper
-
(0.12)%
Stora
Enso
Oyj
8,893
131
Svenska
Cellulosa
AB
SCA
60,753
784
$
915
Gas
-
(0.13)%
Atmos
Energy
Corp
9,100
909
NiSource
Inc
9,398
208
$
1,117
Hand
&
Machine
Tools
-
(0.08)%
Stanley
Black
&
Decker
Inc
4,059
655
Healthcare
-
Products
-
(0.47)%
ABIOMED
Inc
1,618
498
Alcon
Inc
1,430
81
Align
Technology
Inc
1,414
420
Ambu
A/S
5,062
149
Baxter
International
Inc
1,946
169
Boston
Scientific
Corp
8,250
338
Cooper
Cos
Inc/The
1,781
560
Edwards
Lifesciences
Corp
5,488
471
IDEXX
Laboratories
Inc
483
189
Insulet
Corp
1,291
282
Intuitive
Surgical
Inc
135
99
Teleflex
Inc
894
351
Zimmer
Biomet
Holdings
Inc
1,726
243
$
3,850
Healthcare
-
Services
-
(0.24)%
BioMerieux
730
110
Catalent
Inc
3,740
346
Centene
Corp
3,341
205
Fresenius
Medical
Care
AG
&
Co
KGaA
3,526
300
Fresenius
SE
&
Co
KGaA
2,086
97
HCA
Healthcare
Inc
525
71
IQVIA
Holdings
Inc
846
139
Laboratory
Corp
of
America
Holdings
1,827
321
Ryman
Healthcare
Ltd
18,860
170
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
131
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Healthcare
-
Services
(continued)
Teladoc
Health
Inc
836
$
180
$
1,939
Holding
Companies
-
Diversified
-
(0.01)%
Jardine
Matheson
Holdings
Ltd
1,900
80
Home
Builders
-
(0.09)%
Daiwa
House
Industry
Co
Ltd
2,700
72
NVR
Inc
146
609
$
681
Home
Furnishings
-
(0.07)%
Electrolux
AB
6,800
148
Sony
Corp
3,900
305
Whirlpool
Corp
493
88
$
541
Insurance
-
(0.60)%
Aflac
Inc
7,100
258
Allstate
Corp/The
853
79
Arthur
J
Gallagher
&
Co
620
65
Assurant
Inc
1,180
143
Berkshire
Hathaway
Inc
-
Class
B
625
136
Chubb
Ltd
2,959
370
Dai-ichi
Life
Holdings
Inc
6,300
95
Japan
Post
Holdings
Co
Ltd
74,600
552
Lincoln
National
Corp
9,912
357
Loews
Corp
4,892
175
Progressive
Corp/The
4,553
433
Prudential
Financial
Inc
4,117
279
Reinsurance
Group
of
America
Inc
1,152
106
Suncorp
Group
Ltd
8,746
60
Swiss
Re
AG
4,455
359
Travelers
Cos
Inc/The
2,520
292
Unum
Group
16,997
314
Voya
Financial
Inc
8,964
465
Willis
Towers
Watson
PLC
1,195
246
$
4,784
Internet
-
(0.49)%
Booking
Holdings
Inc
442
844
E*TRADE
Financial
Corp
4,215
228
Expedia
Group
Inc
5,446
535
Iliad
SA
2,558
546
M3
Inc
4,600
266
Netflix
Inc
478
253
Okta
Inc
744
160
Shopify
Inc
200
214
Twitter
Inc
8,005
325
Z
Holdings
Corp
77,000
513
$
3,884
Investment
Companies
-
(0.02)%
Kinnevik
AB
2,943
2
Kinnevik
AB
-
Class
B
2,943
114
L
E
Lundbergforetagen
AB
1,965
90
$
206
Iron
&
Steel
-
(0.16)%
BlueScope
Steel
Ltd
16,495
154
Hitachi
Metals
Ltd
63,200
946
thyssenkrupp
AG
8,000
58
voestalpine
AG
3,043
76
$
1,234
Leisure
Products
&
Services
-
(0.07)%
Carnival
Corp
10,500
173
Norwegian
Cruise
Line
Holdings
Ltd
11,181
191
Royal
Caribbean
Cruises
Ltd
2,924
201
$
565
Lodging
-
(0.27)%
City
Developments
Ltd
39,300
232
Hilton
Worldwide
Holdings
Inc
2,412
218
Las
Vegas
Sands
Corp
13,858
703
MGM
Resorts
International
7,422
167
Whitbread
PLC
10,737
362
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Lodging
(continued)
Wynn
Resorts
Ltd
5,065
$
443
$
2,125
Machinery
-
Construction
&
Mining
-
(0.07)%
Caterpillar
Inc
694
99
Hitachi
Construction
Machinery
Co
Ltd
10,600
372
Hitachi
Ltd
2,100
70
$
541
Machinery
-
Diversified
-
(0.46)%
ANDRITZ
AG
5,303
177
CNH
Industrial
NV
39,211
311
Daifuku
Co
Ltd
2,000
176
Deere
&
Co
3,258
684
Ingersoll
Rand
Inc
29,632
1,039
Rockwell
Automation
Inc
800
184
Westinghouse
Air
Brake
Technologies
Corp
5,260
350
Xylem
Inc/NY
9,782
784
$
3,705
Media
-
(0.37)%
DISH
Network
Corp
7,729
275
Liberty
Broadband
Corp
-
C
Shares
5,401
757
Liberty
Global
PLC
-
A
Shares
12,098
283
News
Corp
-
A
Shares
28,295
428
Pearson
PLC
45,756
337
ViacomCBS
Inc
-
Class
B
11,265
314
Walt
Disney
Co/The
4,866
642
$
3,036
Metal
Fabrication
&
Hardware
-
(0.03)%
SKF
AB
12,299
246
Mining
-
(0.12)%
Anglo
American
PLC
6,749
166
Freeport-McMoRan
Inc
19,720
308
Lundin
Mining
Corp
30,000
188
Mitsubishi
Materials
Corp
16,700
350
$
1,012
Miscellaneous
Manufacturers
-
(0.34)%
A
O
Smith
Corp
8,368
410
Eaton
Corp
PLC
2,248
230
General
Electric
Co
97,380
617
JSR
Corp
23,100
493
Nikon
Corp
20,900
164
Orica
Ltd
6,711
86
Parker-Hannifin
Corp
623
128
Smiths
Group
PLC
5,686
106
Textron
Inc
12,687
500
$
2,734
Office
&
Business
Equipment
-
(0.17)%
FUJIFILM
Holdings
Corp
8,400
400
Ricoh
Co
Ltd
61,100
456
Xerox
Holdings
Corp
14,373
271
Zebra
Technologies
Corp
890
255
$
1,382
Oil
&
Gas
-
(0.68)%
Cabot
Oil
&
Gas
Corp
38,866
738
Canadian
Natural
Resources
Ltd
6,100
120
Concho
Resources
Inc
4,908
255
Devon
Energy
Corp
35,433
385
Diamondback
Energy
Inc
11,888
463
Equinor
ASA
6,328
102
Exxon
Mobil
Corp
2,865
114
Hess
Corp
14,531
669
HollyFrontier
Corp
4,106
98
Idemitsu
Kosan
Co
Ltd
10,300
227
Marathon
Oil
Corp
58,541
309
Marathon
Petroleum
Corp
2,824
100
Noble
Energy
Inc
44,671
444
Occidental
Petroleum
Corp
44,202
563
Phillips
66
5,882
344
Pioneer
Natural
Resources
Co
3,750
390
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
132
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Oil
&
Gas
(continued)
Valero
Energy
Corp
2,698
$
142
$
5,463
Oil
&
Gas
Services
-
(0.01)%
National
Oilwell
Varco
Inc
9,508
114
Packaging
&
Containers
-
(0.08)%
Ball
Corp
1,889
152
Packaging
Corp
of
America
1,977
200
Westrock
Co
7,098
215
$
567
Pharmaceuticals
-
(0.36)%
Alfresa
Holdings
Corp
10,300
207
AmerisourceBergen
Corp
1,558
151
Becton
Dickinson
and
Co
1,103
267
DexCom
Inc
842
358
Eisai
Co
Ltd
1,500
131
Eli
Lilly
and
Co
1,773
263
Mylan
NV
8,201
134
Perrigo
Co
PLC
16,220
848
Pfizer
Inc
6,135
232
Sumitomo
Dainippon
Pharma
Co
Ltd
8,300
105
Taisho
Pharmaceutical
Holdings
Co
Ltd
1,900
117
Zoetis
Inc
1,198
192
$
3,005
Pipelines
-
(0.25)%
Cheniere
Energy
Inc
2,809
146
Keyera
Corp
7,100
130
Kinder
Morgan
Inc
12,268
170
Koninklijke
Vopak
NV
4,501
247
ONEOK
Inc
35,500
976
Williams
Cos
Inc/The
10,475
217
$
1,886
Private
Equity
-
(0.03)%
Brookfield
Asset
Management
Inc
6,800
229
Real
Estate
-
(0.14)%
Aeon
Mall
Co
Ltd
15,300
202
Deutsche
Wohnen
SE
6,345
338
Hulic
Co
Ltd
7,100
65
Tokyu
Fudosan
Holdings
Corp
33,900
145
UOL
Group
Ltd
14,500
70
Vonovia
SE
3,216
230
$
1,050
REITs
-
(0.48)%
Digital
Realty
Trust
Inc
2,291
357
Duke
Realty
Corp
321
12
Equinix
Inc
891
704
Equity
Residential
6,300
356
Essex
Property
Trust
Inc
553
120
Extra
Space
Storage
Inc
2,868
306
Healthpeak
Properties
Inc
18,107
500
Host
Hotels
&
Resorts
Inc
10,722
120
Iron
Mountain
Inc
8,190
246
Regency
Centers
Corp
8,563
340
SL
Green
Realty
Corp
6,801
318
UDR
Inc
7,220
251
Vornado
Realty
Trust
7,507
269
$
3,899
Retail
-
(0.64)%
CarMax
Inc
5,143
550
Chipotle
Mexican
Grill
Inc
325
426
Costco
Wholesale
Corp
223
78
Dollar
Tree
Inc
1,587
153
Domino's
Pizza
Inc
1,010
413
Pan
Pacific
International
Holdings
Corp
6,400
151
Ross
Stores
Inc
7,202
656
Starbucks
Corp
10,399
878
Tiffany
&
Co
6,301
772
TJX
Cos
Inc/The
19,873
1,088
$
5,165
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Savings
&
Loans
-
(0.05)%
People's
United
Financial
Inc
40,705
$
431
Semiconductors
-
(0.37)%
Advanced
Micro
Devices
Inc
2,664
242
Analog
Devices
Inc
1,995
233
IPG
Photonics
Corp
4,843
783
Lasertec
Corp
1,200
91
Marvell
Technology
Group
Ltd
8,625
334
Microchip
Technology
Inc
2,286
251
QUALCOMM
Inc
1,736
207
SUMCO
Corp
25,400
345
Xilinx
Inc
4,325
451
$
2,937
Shipbuilding
-
(0.05)%
Huntington
Ingalls
Industries
Inc
1,658
251
Wartsila
OYJ
Abp
22,284
191
$
442
Software
-
(0.90)%
Akamai
Technologies
Inc
3,224
375
ANSYS
Inc
586
199
Cadence
Design
Systems
Inc
1,748
194
Cerner
Corp
688
50
DocuSign
Inc
2,618
584
Dynatrace
Inc
1,227
54
Fidelity
National
Information
Services
Inc
5,635
850
Fiserv
Inc
5,535
551
Jack
Henry
&
Associates
Inc
2,172
359
Konami
Holdings
Corp
7,900
304
MongoDB
Inc
2,256
527
MSCI
Inc
1,932
721
Nexon
Co
Ltd
6,900
161
Paycom
Software
Inc
2,003
600
salesforce.com
Inc
833
227
Splunk
Inc
2,347
515
Twilio
Inc
1,058
285
Tyler
Technologies
Inc
1,627
562
$
7,118
Telecommunications
-
(0.37)%
Arista
Networks
Inc
2,582
577
CenturyLink
Inc
41,257
444
Corning
Inc
10,685
347
Juniper
Networks
Inc
25,510
638
Motorola
Solutions
Inc
3,288
509
Nippon
Telegraph
&
Telephone
Corp
11,950
272
SES
SA
12,137
86
T-Mobile
US
Inc
1,499
175
$
3,048
Transportation
-
(0.39)%
FedEx
Corp
3,283
722
Getlink
SE
13,789
211
Kansas
City
Southern
1,949
355
Kintetsu
Group
Holdings
Co
Ltd
8,900
392
Knight-Swift
Transportation
Holdings
Inc
2,020
92
MTR
Corp
Ltd
15,000
78
Nagoya
Railroad
Co
Ltd
5,100
142
Nippon
Express
Co
Ltd
3,400
201
Nippon
Yusen
KK
18,300
286
Old
Dominion
Freight
Line
Inc
1,028
208
SG
Holdings
Co
Ltd
1,600
74
Yamato
Holdings
Co
Ltd
10,600
277
$
3,038
Water
-
(0.04)%
American
Water
Works
Co
Inc
2,450
346
TOTAL
COMMON
STOCKS
(proceeds
$119,953)
$
131,515
PREFERRED
STOCKS
-
(0.04)%
Shares
Value
(000's)
Consumer
Products
-
(0.03)%
Henkel
AG
&
Co
KGaA
1.85%
2,234
$
228
Electronics
-
(0.01)%
Sartorius
AG
0.36%
226
96
TOTAL
PREFERRED
STOCKS
(proceeds
$321)
$
324
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
August
31,
2020
See
accompanying
notes.
133
Short
Sales
Outstanding
BONDS
-
(0.74)%
Principal
Amount
(000's)
Value
(000's)
Computers
-
(0.02)%
Diebold
Nixdorf
Inc
8.50%,
04/15/2024
$
190
$
182
Electric
-
(0.18)%
Pacific
Gas
and
Electric
Co
2.50%,
02/01/2031
719
691
3.50%,
08/01/2050
719
670
$
1,361
Entertainment
-
(0.02)%
Caesars
Resort
Collection
LLC
/
CRC
Finco
Inc
5.25%,
10/15/2025
188
180
Media
-
(0.04)%
Clear
Channel
Worldwide
Holdings
Inc
9.25%,
02/15/2024
337
330
Sovereign
-
(0.47)%
Republic
of
South
Africa
Government
International
Bond
4.85%,
09/27/2027
3,071
3,086
Turkey
Government
International
Bond
11.88%,
01/15/2030
497
661
$
3,747
Telecommunications
-
(0.01)%
GTT
Communications
Inc
7.88%,
12/31/2024
225
83
TOTAL
BONDS
(proceeds
$5,756)
$
5,883
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
(36.1
2
)%
Principal
Amount
(000's)
Value
(000's)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
(1.91)%
3.00%,
09/01/2050
$
14,538
$
15,325
U.S.
Treasury
-
(33.78)%
0.13%,
05/15/2023
13,851
13,843
0.13%,
07/15/2023
36,170
36,147
0.25%,
05/31/2025
38,069
38,072
0.25%,
07/31/2025
11,081
11,074
0.38%,
07/31/2027
23,531
23,369
0.50%,
03/31/2025
23,029
23,301
1.13%,
02/28/2022
20,686
20,987
1.25%,
05/15/2050
3,162
3,004
1.38%,
02/15/2023
32,995
33,996
1.50%,
02/15/2030
41
44
1.75%,
12/31/2024
37,531
39,993
2.00%,
02/15/2050
41
47
2.25%,
02/15/2027
24,048
26,838
2.38%,
11/15/2049
92
112
$
270,827
U.S.
Treasury
Inflation-Indexed
Obligations
-
(0.41)%
0.25%,
07/15/2029
2,918
3,301
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(proceeds
$286,040)
$
289,453
TOTAL
SHORT
SALES
(proceeds
$412,070)
$
427,175
Schedule
of
Investments
International
Small
Company
Fund
August
31,
2020
See
accompanying
notes.
134
INVESTMENT
COMPANIES
-
3.34%
Shares
Held
Value
(000's)
Money
Market
Funds
-
3.34%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c),(d)
34,883,655
$
34,88
4
TOTAL
INVESTMENT
COMPANIES
$
34,88
4
COMMON
STOCKS
-
98.62%
Shares
Held
Value
(000's)
Advertising
-
0.54%
Stroeer
SE
&
Co
KGaA
(b),(e)
72,523
$
5,654
Aerospace
&
Defense
-
0.29%
Ultra
Electronics
Holdings
PLC
99,479
3,065
Agriculture
-
0.27%
Genus
PLC
64,518
2,867
Airlines
-
0.27%
Wizz
Air
Holdings
Plc
(b),(f)
55,149
2,861
Apparel
-
1.04%
boohoo
Group
PLC
(b)
1,972,102
7,679
Puma
SE
(b)
38,152
3,161
$
10,840
Automobile
Manufacturers
-
0.22%
Isuzu
Motors
Ltd
234,000
2,312
Automobile
Parts
&
Equipment
-
1.72%
FCC
Co
Ltd
100,000
1,816
Rheinmetall
AG
76,187
7,063
Toyoda
Gosei
Co
Ltd
259,900
5,646
TS
Tech
Co
Ltd
118,900
3,478
$
18,003
Banks
-
3.32%
BAWAG
Group
AG
(b),(f)
97,239
3,663
Cembra
Money
Bank
AG
(e)
43,138
5,147
Chiba
Bank
Ltd/The
934,000
4,838
Israel
Discount
Bank
Ltd
1,435,115
4,590
Mediobanca
Banca
di
Credito
Finanziario
SpA
676,214
5,881
Mizrahi
Tefahot
Bank
Ltd
228,971
4,663
Paragon
Banking
Group
PLC
405,465
1,926
Shinsei
Bank
Ltd
339,300
3,959
$
34,667
Beverages
-
1.09%
Carlsberg
AS
19,527
2,745
Royal
Unibrew
A/S
82,160
8,621
$
11,366
Biotechnology
-
0.24%
Argenx
SE
(b)
10,651
2,468
Building
Materials
-
2.01%
Buzzi
Unicem
SpA
335,462
8,200
Ibstock
PLC
(f)
1,034,247
2,108
ROCKWOOL
International
A/S
24,976
9,437
Wienerberger
AG
46,356
1,250
$
20,995
Chemicals
-
3.16%
Arkema
SA
67,316
7,453
Denka
Co
Ltd
240,600
6,771
Koninklijke
DSM
NV
23,687
3,793
Lintec
Corp
138,400
3,280
Solvay
SA
29,074
2,505
Sumitomo
Bakelite
Co
Ltd
153,500
4,054
Zeon
Corp
489,500
5,138
$
32,994
Commercial
Services
-
2.16%
Aggreko
PLC
357,470
2,252
Loomis
AB
(b)
223,195
5,605
Nishio
Rent
All
Co
Ltd
91,800
2,023
Park24
Co
Ltd
282,900
5,094
QinetiQ
Group
PLC
881,717
3,412
Rentokil
Initial
PLC
582,803
4,150
$
22,536
Computers
-
5.86%
Appen
Ltd
288,948
7,370
Computacenter
PLC
142,395
3,871
CyberArk
Software
Ltd
(b)
51,649
5,707
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
(continued)
Indra
Sistemas
SA
(b)
443,785
$
3,235
Keywords
Studios
PLC
125,283
3,660
Logitech
International
SA
71,327
5,283
MCJ
Co
Ltd
291,400
2,593
NEC
Corp
81,200
4,288
NEC
Networks
&
System
Integration
Corp
170,100
3,163
Nomura
Research
Institute
Ltd
140,700
3,741
NSD
Co
Ltd
134,100
2,337
S&T
AG
(b)
148,410
4,158
Softcat
PLC
182,256
3,375
Sopra
Steria
Group
(b)
25,451
4,133
Teleperformance
13,774
4,247
$
61,161
Distribution
&
Wholesale
-
2.32%
Inchcape
PLC
791,564
5,332
Rexel
SA
(b)
516,980
6,907
Seven
Group
Holdings
Ltd
(e)
474,222
6,664
Toromont
Industries
Ltd
93,104
5,269
$
24,172
Diversified
Financial
Services
-
2.77%
DWS
Group
GmbH
&
Co
KGaA
(b),(f)
70,125
2,764
Euronext
NV
(f)
52,398
6,381
IG
Group
Holdings
PLC
676,637
7,046
Man
Group
PLC/Jersey
1,855,154
3,050
Mitsubishi
UFJ
Lease
&
Finance
Co
Ltd
400,200
1,889
TP
ICAP
PLC
644,893
2,574
Zenkoku
Hosho
Co
Ltd
147,600
5,223
$
28,927
Electric
-
2.43%
Capital
Power
Corp
261,900
5,747
Chubu
Electric
Power
Co
Inc
120,200
1,485
Hera
SpA
1,429,532
5,458
Iren
SpA
1,821,981
4,771
Northland
Power
Inc
283,200
7,932
$
25,393
Electrical
Components
&
Equipment
-
1.35%
Prysmian
SpA
269,315
7,527
Signify
NV
(b),(f)
198,371
6,617
$
14,144
Electronics
-
1.45%
Anritsu
Corp
(e)
336,500
7,368
Halma
PLC
120,940
3,586
Mycronic
AB
184,089
4,193
$
15,147
Energy
-
Alternate
Sources
-
0.54%
Vestas
Wind
Systems
A/S
37,339
5,645
Engineering
&
Construction
-
4.16%
ACS
Actividades
de
Construccion
y
Servicios
SA
68,277
1,671
Balfour
Beatty
PLC
931,945
2,735
Downer
EDI
Ltd
1,377,166
4,553
Hazama
Ando
Corp
795,500
5,404
Kajima
Corp
514,200
6,397
KAWADA
TECHNOLOGIES
Inc
24,900
1,178
Kyowa
Exeo
Corp
305,600
7,688
Penta-Ocean
Construction
Co
Ltd
1,059,500
6,795
SPIE
SA
180,471
3,062
Stantec
Inc
123,000
3,994
$
43,477
Entertainment
-
1.68%
Flutter
Entertainment
PLC
28,908
4,750
GVC
Holdings
PLC
657,703
6,954
Kindred
Group
PLC
(b)
416,256
3,231
Tokyotokeiba
Co
Ltd
56,800
2,624
$
17,559
Food
-
4.00%
AAK
AB
(b)
200,810
3,985
Empire
Co
Ltd
236,300
6,150
HelloFresh
SE
(b)
144,888
7,465
Schedule
of
Investments
International
Small
Company
Fund
August
31,
2020
See
accompanying
notes.
135
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Food
(continued)
J
Sainsbury
PLC
2,350,430
$
5,775
Morinaga
Milk
Industry
Co
Ltd
152,500
7,411
NH
Foods
Ltd
151,000
6,840
Sonae
SGPS
SA
3,034,882
2,166
WH
Group
Ltd
(f)
2,277,500
1,963
$
41,755
Food
Service
-
0.16%
Autogrill
SpA
(b)
329,251
1,686
Forest
Products
&
Paper
-
1.17%
Interfor
Corp
(b)
231,213
3,031
Sumitomo
Forestry
Co
Ltd
219,200
3,500
UPM-
Kymmene
Oyj
119,017
3,613
West
Fraser
Timber
Co
Ltd
38,100
2,043
$
12,187
Gas
-
0.56%
Rubis
SCA
124,727
5,872
Healthcare
-
Products
-
2.20%
Ambu
A/S
153,849
4,528
Carl
Zeiss
Meditec
AG
17,866
2,016
ConvaTec
Group
PLC
(f)
1,671,033
4,267
GN
Store
Nord
A/S
103,125
7,474
Sartorius
Stedim
Biotech
13,206
4,720
$
23,005
Healthcare
-
Services
-
1.74%
Evotec
SE
(b),(e)
125,455
3,359
ICON
PLC
(b)
37,045
6,905
Korian
SA
(b)
88,529
3,429
Orpea
(b)
37,037
4,442
$
18,135
Home
Builders
-
0.51%
Redrow
PLC
886,372
5,365
Insurance
-
2.48%
ASR
Nederland
NV
244,858
8,465
Direct
Line
Insurance
Group
PLC
1,538,108
6,079
Phoenix
Group
Holdings
PLC
851,734
7,877
Swiss
Life
Holding
AG
8,648
3,496
$
25,917
Internet
-
0.78%
Scout24
AG
(f)
87,040
8,097
Investment
Companies
-
0.66%
Kinnevik
AB
–
Class
B
(b),(e)
173,089
6,714
Kinnevik
AB
(b),(e)
156,518
126
$
6,840
Lodging
-
0.13%
NagaCorp
Ltd
1,150,000
1,387
Machinery
-
Diversified
-
2.95%
ATS
Automation
Tooling
Systems
Inc
(b)
155,400
2,190
Bucher
Industries
AG
21,131
7,907
Husqvarna
AB
733,853
7,990
KION
Group
AG
87,119
7,372
Okuma
Holdings
Inc
117,200
5,348
$
30,807
Media
-
1.82%
Future
PLC
137,983
2,704
Nine
Entertainment
Co
Holdings
Ltd
4,282,610
5,247
ProSiebenSat.1
Media
SE
(b)
482,348
5,478
Tokyo
Broadcasting
System
Holdings
Inc
322,100
5,563
$
18,992
Metal
Fabrication
&
Hardware
-
0.31%
SKF
AB
163,610
3,272
Mining
-
3.98%
Alacer
Gold
Corp
(b)
262,500
1,813
Equinox
Gold
Corp
(b)
348,800
4,559
IGO
Ltd
787,324
2,562
Lundin
Mining
Corp
1,099,600
6,888
NRW
Holdings
Ltd
1,519,386
2,457
OZ
Minerals
Ltd
515,926
5,551
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Mining
(continued)
Saracen
Mineral
Holdings
Ltd
(b)
1,922,496
$
7,394
SSR
Mining
Inc
(b)
280,627
6,020
Wesdome
Gold
Mines
Ltd
(b)
386,000
4,267
$
41,511
Miscellaneous
Manufacturers
-
1.03%
Aalberts
NV
109,665
4,127
Trelleborg
AB
(b)
264,846
4,625
Vesuvius
PLC
374,623
2,015
$
10,767
Office
&
Business
Equipment
-
0.63%
Canon
Marketing
Japan
Inc
152,000
2,711
Ricoh
Co
Ltd
290,200
2,166
Sato
Holdings
Corp
86,500
1,648
$
6,525
Oil
&
Gas
-
2.09%
Aker
BP
ASA
98,382
1,957
Beach
Energy
Ltd
4,776,419
5,342
DCC
PLC
72,285
6,422
Parex
Resources
Inc
(b)
444,667
6,085
Tourmaline
Oil
Corp
156,500
1,988
$
21,794
Packaging
&
Containers
-
1.32%
DS
Smith
PLC
1,592,390
5,479
SIG
Combibloc
Group
AG
(b)
420,911
8,260
$
13,739
Pharmaceuticals
-
3.55%
ALK-
Abello
A/S
(b)
8,739
2,953
Almirall
SA
127,413
1,402
Clinigen
Group
Plc
183,276
1,687
Dechra
Pharmaceuticals
PLC
111,039
4,637
Hikma
Pharmaceuticals
PLC
225,835
7,126
Nichi-iko
Pharmaceutical
Co
Ltd
162,800
1,829
Nippon
Shinyaku
Co
Ltd
71,100
5,875
Sawai
Pharmaceutical
Co
Ltd
130,000
6,653
Ship
Healthcare
Holdings
Inc
64,600
2,985
Towa
Pharmaceutical
Co
Ltd
98,600
1,958
$
37,105
Pipelines
-
0.60%
Keyera
Corp
166,000
3,032
Koninklijke
Vopak
NV
59,212
3,251
$
6,283
Private
Equity
-
0.89%
Intermediate
Capital
Group
PLC
400,448
7,249
Jafco
Co
Ltd
50,900
2,049
$
9,298
Real
Estate
-
3.65%
CA
Immobilien
Anlagen
AG
66,497
2,069
Castellum
AB
370,689
7,599
Entra
ASA
(f)
167,213
2,282
Hysan
Development
Co
Ltd
1,013,000
3,199
Kojamo
Oyj
122,290
2,963
LEG
Immobilien
AG
50,956
7,488
PSP
Swiss
Property
AG
62,851
7,498
UOL
Group
Ltd
1,038,100
5,007
$
38,105
REITs
-
7.34%
Allied
Properties
Real
Estate
Investment
Trust
134,859
3,805
alstria
office
REIT-AG
217,904
3,260
Canadian
Apartment
Properties
REIT
65,200
2,249
Charter
Hall
Group
919,657
8,465
Cofinimmo
SA
17,847
2,611
Covivio
61,449
4,545
Frasers
Logistics
&
Commercial
Trust
3,219,100
3,164
GLP
J-
Reit
(b)
3,471
5,360
Granite
Real
Estate
Investment
Trust
60,400
3,593
ICADE
55,088
3,566
Inmobiliaria
Colonial
Socimi
SA
272,310
2,399
Japan
Hotel
REIT
Investment
Corp
8,465
3,920
Schedule
of
Investments
International
Small
Company
Fund
August
31,
2020
See
accompanying
notes.
136
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Kenedix
Office
Investment
Corp
811
$
4,804
Kenedix
Residential
Next
Investment
Corp
1,491
2,656
Keppel
DC
REIT
2,509,700
5,363
Mapletree
Industrial
Trust
2,948,800
6,600
MCUBS
MidCity
Investment
Corp
2,929
2,264
Mitsui
Fudosan
Logistics
Park
Inc
1,070
5,349
Summit
Industrial
Income
REIT
289,600
2,635
$
76,608
Retail
-
6.78%
B&M
European
Value
Retail
SA
1,477,472
9,379
cocokara
fine
Inc
45,400
2,544
Cosmos
Pharmaceutical
Corp
40,000
7,045
Grafton
Group
PLC
364,424
3,760
JD
Sports
Fashion
PLC
593,770
5,714
Man
Wah
Holdings
Ltd
3,155,200
4,406
Moncler
SpA
(b)
66,698
2,586
Ryohin
Keikaku
Co
Ltd
418,200
6,537
Saizeriya
Co
Ltd
(e)
133,800
2,506
Seiko
Holdings
Corp
126,600
1,784
Seria
Co
Ltd
50,800
2,246
Shop
Apotheke
Europe
NV
(b),(e),(f)
20,447
3,892
Super
Retail
Group
Ltd
663,661
5,224
Sushiro
Global
Holdings
Ltd
303,400
7,050
Tsuruha
Holdings
Inc
45,800
6,130
$
70,803
Semiconductors
-
0.92%
ASM
International
NV
64,154
9,632
Shipbuilding
-
0.15%
Mitsui
E&S
Holdings
Co
Ltd
(b)
373,900
1,511
Software
-
2.13%
CompuGroup
Medical
SE
&
Co
KgaA
33,878
3,040
Descartes
Systems
Group
Inc
/The
(b)
76,200
4,650
Kinaxis
Inc
(b)
26,600
4,057
Open
Text
Corp
87,900
3,987
TIS
Inc
325,400
6,494
$
22,228
Telecommunications
-
2.06%
Bezeq
The
Israeli
Telecommunication
Corp
Ltd
(b)
5,875,913
6,70
3
Eutelsat
Communications
SA
278,243
2,790
Proximus
SADP
234,207
4,625
Spark
New
Zealand
Ltd
2,291,873
7,441
$
21,5
59
Transportation
-
3.14%
ComfortDelGro
Corp
Ltd
3,491,100
3,789
Kamigumi
Co
Ltd
313,800
6,476
National
Express
Group
PLC
137,350
233
Nippon
Express
Co
Ltd
87,200
5,150
PostNL
NV
(b)
1,086,851
3,233
Sankyu
Inc
147,800
6,166
TFI
International
Inc
175,500
7,758
$
32,805
TOTAL
COMMON
STOCKS
$
1,029,84
3
Total
Investments
$
1,064,727
Other
Assets
and
Liabilities
- (1.96)%
(20,464)
TOTAL
NET
ASSETS
-
100.00%
$
1,044,263
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
(d)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$23,940
or
2.29%
of
net
assets.
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(f)
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
$44,895
or
4.30%
of
net
assets.
Portfolio
Summary (unaudited)
Location
Percent
Japan
24.26%
United
Kingdom
12.19%
Canada
9.78%
Germany
6.34%
Australia
5.82%
France
5.29%
Netherlands
4.96%
Sweden
4.22%
Denmark
3.96%
Switzerland
3.88%
United
States
3.51%
Italy
3.46%
Ireland
2.44%
Singapore
2.28%
Israel
2.08%
Austria
1.07%
Belgium
0.93%
Hong
Kong
0.91%
Spain
0.83%
New
Zealand
0.71%
Jordan
0.68%
Isle
of
Man
0.67%
Finland
0.63%
Norway
0.41%
Malta
0.31%
Portugal
0.21%
Cambodia
0.13%
Other
Assets
and
Liabilities
(1.96)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
International
Small
Company
Fund
August
31,
2020
See
accompanying
notes.
137
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
29,546
$
568,974
$
563,63
6
$
34,88
4
$
29,546
$
568,974
$
563,63
6
$
34,88
4
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
129
$
—
$
—
$
—
$
129
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Opportunistic
Municipal
Fund
August
31,
2020
See
accompanying
notes.
138
INVESTMENT
COMPANIES
-
0.04%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.04%
SPDR
Nuveen
Bloomberg
Barclays
High
Yield
Municipal
Bond
ETF
435
$
25
VanEck
Vectors
Short
High-Yield
Municipal
Index
ETF
1,000
24
$
49
TOTAL
INVESTMENT
COMPANIES
$
49
MUNICIPAL
BONDS
-
103.68%
Principal
Amount
(000's)
Value
(000's)
Alabama
-
4.00%
Lower
Alabama
Gas
District/The
5.00%,
09/01/2034
$
1,500
$
2,008
Tuscaloosa
County
Industrial
Development
Authority
4.50%,
05/01/2032
(a)
1,000
1,094
5.25%,
05/01/2044
(a)
2,000
2,220
$
5,322
Arizona
-
4.32%
Arizona
Industrial
Development
Authority
5.00%,
01/01/2049
(a)
1,000
792
7.25%,
01/01/2054
(a)
1,000
862
Navajo
Nation
5.50%,
12/01/2030
(a)
2,500
2,768
Salt
Verde
Financial
Corp
5.00%,
12/01/2032
1,000
1,315
$
5,737
Arkansas
-
0.76%
Arkansas
Development
Finance
Authority
4.50%,
09/01/2049
(a)
1,000
1,009
California
-
3.82%
Abag
Finance
Authority
for
Nonprofit
Corps
5.00%,
08/01/2043
500
547
California
Statewide
Communities
Development
Authority
5.25%,
12/01/2048
(a)
1,000
1,087
California
Statewide
Communities
Development
Authority
(credit
support
from
Ginnie
Mae
Collateral
)
4.90%,
07/20/2039
(b)
500
506
California
Statewide
Financing
Authority
6.00%,
05/01/2043
1,000
1,009
La
Verne
Public
Financing
Authority
7.25%,
09/01/2026
490
492
Oakland
Unified
School
District/Alameda
County
5.00%,
08/01/2035
1,225
1,433
$
5,074
Colorado
-
4.97%
Centerra
Metropolitan
District
No
1
5.00%,
12/01/2037
(a)
1,000
1,029
Creekside
Village
Metropolitan
District
5.00%,
12/01/2039
1,255
1,281
Eagle
County
Airport
Terminal
Corp
5.00%,
05/01/2037
1,000
1,131
Elbert
County
Independence
Water
&
Sanitation
District
7.25%,
12/01/2038
1,000
1,093
Painted
Prairie
Public
Improvement
Authority
5.00%,
12/01/2049
500
518
Velocity
Metropolitan
District
No
3
5.50%,
12/01/2048
1,500
1,554
$
6,606
Connecticut
-
1.76%
Mohegan
Tribal
Finance
Authority
7.00%,
02/01/2045
(a)
2,400
2,332
District
of
Columbia
-
0.82%
District
of
Columbia
4.00%,
07/01/2039
1,000
1,085
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Florida
-
4.61%
Florida
Development
Finance
Corp
6.25%,
01/01/2049
(a),(c)
$
1,000
$
881
Greater
Orlando
Aviation
Authority
5.00%,
10/01/2047
(d)
2,999
3,491
Ocean
Highway
&
Port
Authority
5.50%,
12/01/2049
(a)
1,500
1,435
Orange
County
Housing
Finance
Authority
7.00%,
10/01/2025
325
326
$
6,133
Illinois
-
17.40%
City
of
Chicago
IL
5.50%,
01/01/2042
300
324
5.50%,
01/01/2049
1,000
1,132
6.00%,
01/01/2038
1,900
2,189
7.46%,
02/15/2026
1,707
1,219
City
of
Chicago
IL
Wastewater
Transmission
Revenue
5.00%,
01/01/2031
760
877
5.00%,
01/01/2039
1,200
1,359
Illinois
Finance
Authority
0.00%,
12/01/2042
(e)
300
162
4.00%,
10/01/2055
250
271
4.75%,
10/15/2040
(a),(c)
2,500
2,562
5.00%,
10/01/2035
250
312
Illinois
Sports
Facilities
Authority/The
5.00%,
06/15/2028
1,000
1,138
5.00%,
06/15/2029
1,000
1,143
Illinois
State
Toll
Highway
Authority
5.00%,
01/01/2040
(d)
4,991
5,864
Metropolitan
Pier
&
Exposition
Authority
4.00%,
06/15/2050
500
512
5.00%,
06/15/2050
1,000
1,124
5.00%,
06/15/2057
500
548
Metropolitan
Pier
&
Exposition
Authority
(credit
support
from
National
Public
Finance
Guarantee
Corp
)
5.50%,
06/15/2029
(b)
1,000
1,158
State
of
Illinois
5.50%,
07/01/2027
1,150
1,240
$
23,134
Indiana
-
0.95%
Indiana
Finance
Authority
7.00%,
03/01/2039
(a)
1,000
940
Town
of
Shoals
IN
7.25%,
11/01/2043
300
317
$
1,257
Louisiana
-
7.77%
Louisiana
Local
Government
Environmental
Facilities
&
Community
Development
Authority
4.40%,
11/01/2044
(a)
1,000
998
5.50%,
11/01/2039
(a)
800
852
5.65%,
11/01/2037
(a)
1,000
1,098
Louisiana
Public
Facilities
Authority
0.00%,
07/01/2039
(e)
278
—
Parish
of
St
James
LA
6.35%,
10/01/2040
(a)
4,000
4,749
Parish
of
St
John
the
Baptist
LA
2.10%,
06/01/2037
(c)
1,000
1,004
2.37%,
06/01/2037
(c)
1,000
1,012
Port
New
Orleans
Board
of
Commissioners
5.00%,
04/01/2044
(f)
500
614
$
10,327
Maine
-
0.83%
Finance
Authority
of
Maine
5.25%,
01/01/2025
(a)
1,000
1,108
Maryland
-
0.47%
City
of
Westminster
MD
6.25%,
07/01/2044
600
626
Schedule
of
Investments
Opportunistic
Municipal
Fund
August
31,
2020
See
accompanying
notes.
139
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Massachusetts
-
0.19%
Massachusetts
Development
Finance
Agency
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
3.00%,
10/01/2045
(b)
$
250
$
256
Michigan
-
3.23%
Kalamazoo
Economic
Development
Corp
5.00%,
05/15/2032
1,000
1,037
Michigan
Finance
Authority
5.00%,
07/01/2035
1,000
1,172
Michigan
Strategic
Fund
5.00%,
11/15/2043
1,000
1,046
5.00%,
11/15/2049
1,000
1,042
$
4,297
Missouri
-
2.01%
City
of
St
Louis
MO
Airport
Revenue
(credit
support
from
National
Public
Finance
Guarantee
Corp
)
5.50%,
07/01/2028
(b)
400
517
Health
&
Educational
Facilities
Authority
of
the
State
of
Missouri
5.00%,
02/01/2034
1,000
1,093
Kansas
City
Industrial
Development
Authority
5.00%,
04/01/2046
(a)
1,100
1,056
$
2,666
Montana
-
1.06%
City
of
Kalispell
MT
5.25%,
05/15/2037
1,400
1,414
Nevada
-
1.84%
Las
Vegas
Convention
&
Visitors
Authority
5.00%,
07/01/2043
(d)
1,396
1,593
State
of
Nevada
Department
of
Business
&
Industry
5.13%,
12/15/2037
(a)
1,000
851
$
2,444
New
Hampshire
-
1.85%
New
Hampshire
Business
Finance
Authority
2.95%,
04/01/2029
(a),(c)
1,000
989
New
Hampshire
Health
and
Education
Facilities
Authority
Act
5.00%,
08/01/2059
1,000
1,469
$
2,458
New
Jersey
-
6.43%
Casino
Reinvestment
Development
Authority
Inc
5.25%,
11/01/2039
250
255
New
Jersey
Economic
Development
Authority
5.00%,
07/15/2028
500
579
5.00%,
06/15/2047
500
568
5.25%,
06/15/2040
55
68
5.25%,
06/15/2040
945
1,047
5.63%,
11/15/2030
1,500
1,556
5.75%,
09/15/2027
500
494
New
Jersey
Transportation
Trust
Fund
Authority
5.25%,
06/15/2032
2,000
2,238
South
Jersey
Port
Corp
5.00%,
01/01/2048
1,000
1,088
South
Jersey
Transportation
Authority
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
5.00%,
11/01/2029
(b)
500
655
$
8,548
New
York
-
3.56%
Glen
Cove
Local
Economic
Assistance
Corp
5.00%,
01/01/2056
1,000
1,030
New
York
Counties
Tobacco
Trust
VI
5.00%,
06/01/2041
400
443
New
York
State
Thruway
Authority
5.25%,
01/01/2056
1,000
1,149
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
New
York
(continued)
New
York
Transportation
Development
Corp
5.00%,
01/01/2036
$
1,000
$
1,078
5.38%,
08/01/2036
1,000
1,035
$
4,735
North
Carolina
-
1.50%
Charlotte-Mecklenburg
Hospital
Authority/The
0.02%,
01/15/2038
(c)
2,000
2,000
Ohio
-
4.69%
Buckeye
Tobacco
Settlement
Financing
Authority
5.00%,
06/01/2055
3,000
3,295
Cleveland
Department
of
Public
Utilities
Division
of
Public
Power
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
4.00%,
11/15/2037
(b)
500
583
Ohio
Air
Quality
Development
Authority
4.50%,
01/15/2048
(a)
1,000
1,059
5.00%,
07/01/2049
(a)
1,000
1,018
Ohio
State
Air
Quality
Development
Authority
Escrow
0.00%,
12/01/2023
(e),(g)
1,000
273
$
6,228
Oklahoma
-
1.67%
Oklahoma
Development
Finance
Authority
5.25%,
08/15/2043
1,000
1,171
Tulsa
County
Industrial
Authority
5.25%,
11/15/2045
1,000
1,050
$
2,221
Oregon
-
0.49%
Oregon
State
Business
Development
Commission
0.00%,
04/01/2031
(a),(e)
1,000
647
Pennsylvania
-
5.95%
Allegheny
County
Industrial
Development
Authority
4.88%,
11/01/2024
500
476
5.13%,
05/01/2030
1,000
900
Commonwealth
Financing
Authority
5.00%,
06/01/2028
1,000
1,286
5.00%,
06/01/2035
1,000
1,236
Lancaster
County
Hospital
Authority/PA
5.00%,
07/01/2045
1,000
1,024
Pennsylvania
Economic
Development
Financing
Authority
3.25%,
08/01/2039
(a)
1,000
978
5.50%,
11/01/2044
1,000
1,026
5.75%,
06/01/2036
(a)
1,000
981
$
7,907
South
Carolina
-
0.39%
South
Carolina
Jobs-Economic
Development
Authority
5.25%,
11/15/2052
500
517
South
Dakota
-
0.38%
Oglala
Sioux
Tribe
5.75%,
10/01/2025
(a)
500
500
Tennessee
-
2.67%
Chattanooga
Health
Educational
&
Housing
Facility
Board
5.00%,
10/01/2028
1,050
1,095
5.00%,
10/01/2035
500
509
Metropolitan
Government
Nashville
&
Davidson
County
Health
&
Educational
Facilities
Board
5.00%,
07/01/2040
1,000
1,155
Nashville
Metropolitan
Development
&
Housing
Agency
5.13%,
06/01/2036
(a)
750
785
$
3,544
Schedule
of
Investments
Opportunistic
Municipal
Fund
August
31,
2020
See
accompanying
notes.
140
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Texas
-
7.07%
Grand
Parkway
Transportation
Corp
3.00%,
10/01/2050
$
1,250
$
1,282
North
Texas
Tollway
Authority
5.00%,
01/01/2045
615
704
5.00%,
01/01/2048
500
585
Port
Beaumont
Navigation
District
4.00%,
01/01/2050
(a)
3,500
3,501
Texas
Municipal
Gas
Acquisition
and
Supply
Corp
I
6.25%,
12/15/2026
2,100
2,484
Texas
Private
Activity
Bond
Surface
Transportation
Corp
7.00%,
12/31/2038
300
345
7.00%,
06/30/2040
500
502
$
9,403
Utah
-
1.06%
Utah
Infrastructure
Agency
5.25%,
10/15/2033
1,250
1,411
Vermont
-
1.08%
Vermont
Economic
Development
Authority
4.63%,
04/01/2036
(a),(c)
1,300
1,441
Virginia
-
1.14%
Amelia
County
Industrial
Development
Authority
3.00%,
04/01/2027
(c)
1,500
1,521
Wisconsin
-
2.94%
Public
Finance
Authority
5.00%,
01/01/2024
500
552
5.00%,
12/01/2025
1,200
1,387
5.00%,
09/01/2039
(a)
1,000
1,031
Wisconsin
Health
&
Educational
Facilities
Authority
5.50%,
07/01/2023
70
68
6.00%,
07/01/2028
170
158
6.50%,
07/01/2033
300
268
7.00%,
07/01/2043
500
447
$
3,911
TOTAL
MUNICIPAL
BONDS
$
137,819
Total
Investments
$
137,868
Liability
for
Floating
Rate
Notes
Issued
in
Conjunction
with
Securities
Held
-
(4.53)%
Notes
with
interest
rates
of
0.12%
-
0.39%
at
August
31,
2020
and
contractual
maturity
of
collateral
from
2024-2026.
(h)
$
(6,023)
(6,023)
Total
Net
Investments
$
131,845
Other
Assets
and
Liabilities
- 0.81%
1,079
TOTAL
NET
ASSETS
-
100.00%
$
132,924
(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
$42,653
or
32.09%
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
f
und. See
Notes
to
Financial
Statements
for
additional
information.
(e)
Non-income
producing
security
(f)
Security
purchased
on
a
when-issued
basis.
(g)
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
$273
or
0.21%
of
net
assets.
(h)
Floating
rate
securities.
The
interest
rate(s)
shown
reflect
the
rates
in
effect
at
August
31,
2020.
Portfolio
Summary (unaudited)
Sector
Percent
Revenue
Bonds
90.53%
General
Obligation
Unlimited
4.75%
Insured
2.76%
General
Obligation
Limited
2.13%
Tax
Allocation
1.37%
Certificate
Participation
0.92%
Prerefunded
0.84%
Special
Tax
0.38%
Investment
Companies
0.04%
Liability
For
Floating
Rate
Notes
Issued
(4.53)%
Other
Assets
and
Liabilities
0.81%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Origin
Emerging
Markets
Fund
August
31,
2020
See
accompanying
notes.
141
INVESTMENT
COMPANIES
-
4.43%
Shares
Held
Value
(000's)
Money
Market
Funds
-
4.43%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.05%
(a),(b)
4,893,135
$
4,893
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
77,484,899
77,485
$
82,378
TOTAL
INVESTMENT
COMPANIES
$
82,378
COMMON
STOCKS
-
94.25%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
1.65%
Aselsan
Elektronik
Sanayi
Ve
Ticaret
AS
13,814,800
$
30,629
Automobile
Parts
&
Equipment
-
1.31%
Hyundai
Mobis
Co
Ltd
72,600
13,587
Weichai
Power
Co
Ltd
5,338,800
10,716
$
24,303
Banks
-
5.70%
Banco
do
Brasil
SA
1,317,200
7,898
Bangkok
Bank
PCL
3,175,500
10,877
Bank
Mandiri
Persero
Tbk
PT
33,548,900
13,718
China
Merchants
Bank
Co
Ltd
7,939,100
37,877
Grupo
Financiero
Banorte
SAB
de
CV
(d)
3,330,800
11,447
OTP
Bank
Nyrt
(d)
213,600
7,194
Sberbank
of
Russia
PJSC
ADR
(d)
1,404,300
16,874
$
105,885
Beverages
-
0.59%
Kweichow
Moutai
Co
Ltd
41,948
10,925
Building
Materials
-
4.01%
Anhui
Conch
Cement
Co
Ltd
3,437,200
24,883
China
National
Building
Material
Co
Ltd
6,751,900
9,477
China
Resources
Cement
Holdings
Ltd
10,588,200
15,420
Gansu
Qilianshan
Cement
Group
Co
Ltd
3,286,944
9,717
Jiangxi
Wannianqing
Cement
Co
Ltd
1,990,193
5,229
Taiwan
Cement
Corp
6,657,441
9,734
$
74,460
Chemicals
-
0.97%
Coromandel
International
Ltd
877,000
9,069
Soulbrain
Co
Ltd/New
(d)
49,612
9,055
$
18,124
Commercial
Services
-
1.22%
China
Yuhua
Education
Corp
Ltd
(e)
13,150,269
12,606
New
Oriental
Education
&
Technology
Group
Inc
ADR
(d)
69,100
10,132
$
22,738
Computers
-
3.10%
Asustek
Computer
Inc
216,179
1,790
Gigabyte
Technology
Co
Ltd
3,650,400
10,546
Infosys
Ltd
ADR
2,082,818
26,244
Phison
Electronics
Corp
1,158,500
10,913
Wiwynn
Corp
305,300
8,144
$
57,637
Diversified
Financial
Services
-
3.12%
B3
SA
-
Brasil
Bolsa
Balcao
1,658,200
17,843
Chailease
Holding
Co
Ltd
2,330,790
10,295
E.Sun
Financial
Holding
Co
Ltd
11,437,084
10,603
Manappuram
Finance
Ltd
3,413,500
6,872
Muthoot
Finance
Ltd
786,800
12,278
$
57,891
Electric
-
0.20%
Mahanagar
Gas
Ltd
285,791
3,695
Electrical
Components
&
Equipment
-
1.13%
Delta
Electronics
Inc
2,032,106
13,069
LG
Innotek
Co
Ltd
65,500
7,969
$
21,038
Electronics
-
5.57%
BYD
Electronic
International
Co
Ltd
3,420,700
14,466
FLEXium
Interconnect
Inc
2,196,800
9,424
General
Interface
Solution
Holding
Ltd
1,151,998
5,097
Luxshare
Precision
Industry
Co
Ltd
1,537,121
12,376
Micro-Star
International
Co
Ltd
5,911,800
27,293
Radiant
Opto-Electronics
Corp
2,399,800
8,812
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Electronics
(continued)
Simplo
Technology
Co
Ltd
746,900
$
8,516
Tripod
Technology
Corp
1,963,600
7,753
Zhen
Ding
Technology
Holding
Ltd
2,305,300
9,667
$
103,404
Engineering
&
Construction
-
0.67%
Daelim
Industrial
Co
Ltd
170,130
12,422
Environmental
Control
-
0.60%
China
Conch
Venture
Holdings
Ltd
2,557,400
11,073
Food
-
2.73%
BIM
Birlesik
Magazalar
AS
1,233,800
11,407
Dino
Polska
SA
(d),(e)
276,100
16,743
Marfrig
Global
Foods
SA
(d)
4,670,100
15,173
X5
Retail
Group
NV
203,700
7,455
$
50,778
Gas
-
2.23%
China
Gas
Holdings
Ltd
3,707,700
10,150
ENN
Energy
Holdings
Ltd
2,820,000
31,246
$
41,396
Healthcare
-
Products
-
0.27%
China
Medical
System
Holdings
Ltd
4,538,587
5,112
Home
Furnishings
-
0.50%
E
Ink
Holdings
Inc
6,590,600
9,216
Insurance
-
3.09%
BB
Seguridade
Participacoes
SA
2,283,400
11,120
Cathay
Financial
Holding
Co
Ltd
8,377,000
11,378
PICC
Property
&
Casualty
Co
Ltd
12,714,100
9,804
Ping
An
Insurance
Group
Co
of
China
Ltd
2,347,300
25,061
$
57,363
Internet
-
20.61%
Alibaba
Group
Holding
Ltd
ADR
(d)
549,500
157,723
JD.com
Inc
ADR
(d)
322,106
25,330
Meituan
Dianping
(d)
826,000
27,229
Naspers
Ltd
333,900
60,882
NCSoft
Corp
14,400
9,990
Tencent
Holdings
Ltd
1,489,305
101,747
$
382,901
Iron
&
Steel
-
0.49%
Kumba
Iron
Ore
Ltd
(f)
289,600
9,075
Machinery
-
Construction
&
Mining
-
0.47%
Zoomlion
Heavy
Industry
Science
and
Technology
Co
Ltd
(d)
8,712,100
8,714
Mining
-
2.15%
MMC
Norilsk
Nickel
PJSC
ADR
521,946
13,620
Polymetal
International
PLC
969,600
26,313
$
39,933
Miscellaneous
Manufacturers
-
0.61%
Elite
Material
Co
Ltd
1,969,100
11,405
Oil
&
Gas
-
2.62%
LUKOIL
PJSC
ADR
169,100
11,545
Polski
Koncern
Naftowy
ORLEN
SA
715,700
9,844
Reliance
Industries
Ltd
969,700
27,389
$
48,778
Pharmaceuticals
-
4.29%
Alkem
Laboratories
Ltd
53,896
1,991
Aurobindo
Pharma
Ltd
784,500
8,584
Changchun
High
&
New
Technology
Industry
Group
Inc
180,352
12,286
CSPC
Pharmaceutical
Group
Ltd
5,030,680
11,115
Hypera
SA
1,801,900
10,558
Jiangsu
Hengrui
Medicine
Co
Ltd
704,331
9,735
Richter
Gedeon
Nyrt
380,700
9,272
Sino
Biopharmaceutical
Ltd
14,080,850
16,204
$
79,745
Schedule
of
Investments
Origin
Emerging
Markets
Fund
August
31,
2020
See
accompanying
notes.
142
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Real
Estate
-
2.06%
China
Vanke
Co
Ltd
4,496,600
$
13,958
Country
Garden
Services
Holdings
Co
Ltd
2,242,400
15,623
Longfor
Group
Holdings
Ltd
(e)
1,655,400
8,758
$
38,339
Retail
-
2.68%
ANTA
Sports
Products
Ltd
2,565,600
25,290
Wal-Mart
de
Mexico
SAB
de
CV
4,877,400
11,680
Zhongsheng
Group
Holdings
Ltd
2,060,900
12,853
$
49,823
Semiconductors
-
13.63%
Novatek
Microelectronics
Corp
3,152,800
25,795
Parade
Technologies
Ltd
321,200
11,386
Realtek
Semiconductor
Corp
1,587,900
20,574
Samsung
Electronics
Co
Ltd
39,277
47,241
Samsung
Electronics
Co
Ltd
544,100
24,705
Taiwan
Semiconductor
Manufacturing
Co
Ltd
1,056,607
15,400
Taiwan
Semiconductor
Manufacturing
Co
Ltd
ADR
1,363,417
108,051
$
253,152
Software
-
5.50%
G-bits
Network
Technology
Xiamen
Co
Ltd
147,100
13,279
HCL
Technologies
Ltd
4,705,100
44,400
NetEase
Inc
ADR
91,200
44,434
$
102,113
Telecommunications
-
0.48%
Telekomunikasi
Indonesia
Persero
Tbk
PT
45,217,900
8,897
TOTAL
COMMON
STOCKS
$
1,750,964
PREFERRED
STOCKS
-
1.51%
Shares
Held
Value
(000's)
Banks
-
1.51%
Banco
Bradesco
SA
0.02%
7,314,370
$
27,997
TOTAL
PREFERRED
STOCKS
$
27,997
Total
Investments
$
1,861,339
Other
Assets
and
Liabilities
- (0.19)%
(3,469)
TOTAL
NET
ASSETS
-
100.00%
$
1,857,870
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$4,893
or
0.26%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
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
$38,107
or
2.05%
of
net
assets.
(f)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary (unaudited)
Location
Percent
China
39.22%
Taiwan
19.65%
India
7.56%
Korea,
Republic
Of
6.72%
Brazil
4.88%
United
States
4.43%
South
Africa
3.77%
Russian
Federation
2.66%
Turkey
2.26%
Hong
Kong
2.25%
Poland
1.43%
Cyprus
1.42%
Mexico
1.25%
Indonesia
1.22%
Hungary
0.89%
Thailand
0.58%
Other
Assets
and
Liabilities
(0.19)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
40,635
$
1,080,784
$
1,043,934
$
77,485
$
40,635
$
1,080,784
$
1,043,934
$
77,485
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
213
$
—
$
—
$
—
$
213
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Small-MidCap
Dividend
Income
Fund
August
31,
2020
See
accompanying
notes.
143
INVESTMENT
COMPANIES
-
0.97%
Shares
Held
Value
(000's)
Money
Market
Funds
-
0.97%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c)
15,507,591
$
15,508
TOTAL
INVESTMENT
COMPANIES
$
15,508
COMMON
STOCKS
-
98.89%
Shares
Held
Value
(000's)
Advertising
-
0.72%
Interpublic
Group
of
Cos
Inc
/The
644,574
$
11,448
Agriculture
-
1.13%
Phibro
Animal
Health
Corp
836,078
17,942
Automobile
Manufacturers
-
0.40%
NFI
Group
Inc
472,843
6,398
Automobile
Parts
&
Equipment
-
2.11%
Linamar
Corp
1,073,910
33,674
Banks
-
11.69%
Bank
OZK
1,729,742
39,853
Cathay
General
Bancorp
1,069,131
26,397
Cullen/Frost
Bankers
Inc
271,654
18,869
East
West
Bancorp
Inc
1,063,842
39,128
PacWest
Bancorp
539,845
10,300
Preferred
Bank/Los
Angeles
CA
234,634
8,775
ServisFirst
Bancshares
Inc
757,826
27,775
Washington
Trust
Bancorp
Inc
450,171
15,027
$
186,124
Chemicals
-
4.46%
HB
Fuller
Co
221,584
10,673
Huntsman
Corp
1,550,177
33,515
RPM
International
Inc
316,301
26,813
$
71,001
Computers
-
3.11%
Amdocs
Ltd
454,347
27,820
Leidos
Holdings
Inc
239,017
21,628
$
49,448
Consumer
Products
-
1.77%
Avery
Dennison
Corp
243,931
28,147
Diversified
Financial
Services
-
1.92%
Federal
Agricultural
Mortgage
Corp
199,082
13,568
Raymond
James
Financial
Inc
225,692
17,089
$
30,657
Electric
-
3.75%
ALLETE
Inc
581,383
31,372
IDACORP
Inc
72,110
6,483
PNM
Resources
Inc
196,134
8,567
Portland
General
Electric
Co
186,822
7,127
Unitil
Corp
145,049
6,121
$
59,670
Electrical
Components
&
Equipment
-
3.59%
Energizer
Holdings
Inc
589,693
27,297
Littelfuse
Inc
165,262
29,886
$
57,183
Electronics
-
2.99%
Hubbell
Inc
149,505
21,666
nVent
Electric
PLC
1,355,129
25,910
$
47,576
Engineering
&
Construction
-
0.32%
Comfort
Systems
USA
Inc
99,748
5,054
Food
-
2.06%
Ingredion
Inc
408,686
32,875
Gas
-
1.17%
ONE
Gas
Inc
79,248
5,874
Spire
Inc
218,754
12,734
$
18,608
Hand
&
Machine
Tools
-
5.47%
Lincoln
Electric
Holdings
Inc
285,211
27,583
MSA
Safety
Inc
248,994
31,361
Snap-on
Inc
189,617
28,114
$
87,058
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Healthcare
-
Products
-
5.35%
CONMED
Corp
366,279
$
31,614
LeMaitre
Vascular
Inc
193,691
6,252
STERIS
PLC
201,217
32,122
Teleflex
Inc
38,584
15,162
$
85,150
Home
Builders
-
2.23%
LCI
Industries
312,901
35,555
Insurance
-
6.25%
Assured
Guaranty
Ltd
833,629
17,881
Fidelity
National
Financial
Inc
1,291,929
42,414
James
River
Group
Holdings
Ltd
805,316
39,227
$
99,522
Leisure
Products
&
Services
-
4.19%
Acushnet
Holdings
Corp
1,046,748
36,940
Brunswick
Corp/DE
481,577
29,805
$
66,745
Machinery
-
Diversified
-
3.83%
Albany
International
Corp
331,482
17,204
Crane
Co
427,746
24,185
Nordson
Corp
105,325
19,642
$
61,031
Media
-
0.98%
John
Wiley
&
Sons
Inc
492,490
15,587
Metal
Fabrication
&
Hardware
-
0.96%
Timken
Co/The
281,532
15,256
Miscellaneous
Manufacturers
-
1.28%
Donaldson
Co
Inc
165,513
8,335
EnPro
Industries
Inc
207,164
12,123
$
20,458
Oil
&
Gas
-
2.51%
Cimarex
Energy
Co
448,267
12,453
Diamondback
Energy
Inc
313,896
12,230
HollyFrontier
Corp
641,865
15,321
$
40,004
Packaging
&
Containers
-
1.56%
Packaging
Corp
of
America
244,944
24,798
Pipelines
-
0.75%
Targa
Resources
Corp
705,552
12,001
REITs
-
13.85%
Agree
Realty
Corp
351,418
23,517
Camden
Property
Trust
84,359
7,672
CyrusOne
Inc
550,614
45,993
EastGroup
Properties
Inc
169,415
22,559
Four
Corners
Property
Trust
Inc
765,578
19,331
Granite
Real
Estate
Investment
Trust
384,087
22,848
Medical
Properties
Trust
Inc
1,149,148
21,351
National
Health
Investors
Inc
187,348
11,662
STORE
Capital
Corp
1,093,988
29,581
Terreno
Realty
Corp
268,608
16,020
$
220,534
Semiconductors
-
4.62%
Kulicke
&
Soffa
Industries
Inc
662,364
15,884
MKS
Instruments
Inc
374,251
44,734
Monolithic
Power
Systems
Inc
48,214
12,879
$
73,497
Shipbuilding
-
1.24%
Huntington
Ingalls
Industries
Inc
129,945
19,689
Software
-
0.80%
Broadridge
Financial
Solutions
Inc
43,434
5,968
ManTech
International
Corp/VA
90,486
6,773
$
12,741
Toys,
Games
&
Hobbies
-
1.83%
Hasbro
Inc
369,015
29,130
TOTAL
COMMON
STOCKS
$
1,574,561
Total
Investments
$
1,590,069
Other
Assets
and
Liabilities
- 0.14%
2,213
TOTAL
NET
ASSETS
-
100.00%
$
1,592,282
Schedule
of
Investments
Small-MidCap
Dividend
Income
Fund
August
31,
2020
See
accompanying
notes.
144
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
Portfolio
Summary (unaudited)
Sector
Percent
Financial
33.71%
Industrial
21.24%
Consumer,
Cyclical
10.76%
Consumer,
Non-cyclical
10.31%
Technology
8.53%
Utilities
4.92%
Basic
Materials
4.46%
Energy
3.26%
Communications
1.70%
Money
Market
Funds
0.97%
Other
Assets
and
Liabilities
0.14%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
43,288
$
578,226
$
606,006
$
15,508
$
43,288
$
578,226
$
606,006
$
15,508
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
279
$
—
$
—
$
—
$
279
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
145
INVESTMENT
COMPANIES
-
3.94%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.68%
Invesco
Preferred
ETF
565,631
$
8,439
iShares
Preferred
&
Income
Securities
ETF
(a)
1,164,818
42,749
$
51,188
Money
Market
Funds
-
3.26%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(b),(c),(d),(e)
245,019,305
245,019
TOTAL
INVESTMENT
COMPANIES
$
296,207
CONVERTIBLE
PREFERRED
STOCKS
-
1.54%
Shares
Held
Value
(000's)
Banks
-
1.21%
Bank
of
America
Corp
7.25%
(f)
470
$
703
Wells
Fargo
&
Co
7.50%
(f)
65,530
90,464
$
91,167
Hand
&
Machine
Tools
-
0.33%
Stanley
Black
&
Decker
Inc
5.00%,
05/15/2021
(f)
21,000
24,890
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
116,057
PREFERRED
STOCKS
-
11.58%
Shares
Held
Value
(000's)
Banks
-
3.26%
AgriBank
FCB
6.88%,
01/01/2024
(f)
61,700
$
6,509
3
Month
USD
LIBOR
+
4.23%
Associated
Banc-Corp
5.63%,
09/15/2025
(f)
201,000
5,226
Associated
Banc-Corp
5.88%,
12/15/2023
(a),(f)
2,429
66
Bank
of
New
York
Mellon
Corp/The
5.20%,
12/20/2020
(a),(f)
107,448
2,768
Citigroup
Inc
6.88%,
11/15/2023
(a),(f)
414,370
11,718
3
Month
USD
LIBOR
+
4.13%
Citizens
Financial
Group
Inc
6.35%,
04/06/2024
(a),(f)
14,879
401
3
Month
USD
LIBOR
+
3.64%
Goldman
Sachs
Group
Inc
/The
5.50%,
05/10/2023
(f)
742,590
20,109
3
Month
USD
LIBOR
+
3.64%
Huntington
Bancshares
Inc
/OH
5.88%,
10/15/2021
(f)
325,787
8,741
Huntington
Bancshares
Inc
/OH
6.25%,
04/15/2021
(f)
990,264
25,400
JPMorgan
Chase
&
Co
4.75%,
12/01/2024
(a),(f)
277,529
7,388
JPMorgan
Chase
&
Co
5.75%,
12/01/2023
(f)
222,039
6,077
KeyCorp
6.13%,
12/15/2026
(a),(f)
750,031
22,306
3
Month
USD
LIBOR
+
3.89%
Morgan
Stanley
4.88%,
01/15/2025
(a),(f)
7,117
187
Morgan
Stanley
5.85%,
04/15/2027
(a),(f)
649,481
18,341
3
Month
USD
LIBOR
+
3.49%
PNC
Financial
Services
Group
Inc
/The
6.13%,
05/01/2022
(a),(f)
1,239,905
32,907
3
Month
USD
LIBOR
+
4.07%
Regions
Financial
Corp
5.70%,
05/15/2029
(a),(f)
328,950
8,931
3
Month
USD
LIBOR
+
3.15%
State
Street
Corp
5.90%,
03/15/2024
(a),(f)
236,076
6,502
3
Month
USD
LIBOR
+
3.11%
Synovus
Financial
Corp
5.88%,
07/01/2024
(f)
344,000
8,590
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.13%
Truist
Financial
Corp
0.00%,
09/01/2025
(c),(f)
480,000
12,686
Truist
Financial
Corp
5.63%,
06/01/2021
(a),(f)
134,160
3,507
US
Bancorp
3.50%,
09/30/2020
(f)
11,300
250
3
Month
USD
LIBOR
+
0.60%
US
Bancorp
6.50%,
01/15/2022
(a),(f)
239,945
6,462
3
Month
USD
LIBOR
+
4.47%
Valley
National
Bancorp
6.25%,
06/30/2025
(a),(f)
170,096
4,744
3
Month
USD
LIBOR
+
3.85%
Webster
Financial
Corp
5.25%,
12/15/2022
(a),(f)
194,856
5,158
Wells
Fargo
&
Co
4.75%,
03/15/2025
(f)
330,978
8,205
Wells
Fargo
&
Co
5.63%,
06/15/2022
(a),(f)
194,971
5,233
Wells
Fargo
&
Co
5.85%,
09/15/2023
(a),(f)
62,555
1,632
3
Month
USD
LIBOR
+
3.09%
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Banks
(continued)
Wells
Fargo
&
Co
6.63%,
03/15/2024
(a),(f)
207,457
$
5,720
3
Month
USD
LIBOR
+
3.69%
$
245,764
Diversified
Financial
Services
-
0.27%
Affiliated
Managers
Group
Inc
5.88%,
03/30/2059
(a)
146,761
4,029
Capital
One
Financial
Corp
0.00%,
06/01/2025
(a),(c),(f)
160,148
3,887
Capital
One
Financial
Corp
5.00%,
12/01/2024
(a),(f)
355,725
8,957
Charles
Schwab
Corp/The
6.00%,
12/01/2020
(a),(f)
138,263
3,520
$
20,393
Electric
-
2.37%
Alabama
Power
Co
5.00%,
10/01/2022
(a),(f)
572,000
16,016
Algonquin
Power
&
Utilities
Corp
6.20%,
07/01/2079
490,152
13,450
3
Month
USD
LIBOR
+
4.01%
CMS
Energy
Corp
5.88%,
03/01/2079
118,402
3,264
Dominion
Energy
Inc
5.25%,
07/30/2076
(a)
890,372
23,016
DTE
Energy
Co
5.25%,
12/01/2062
306,488
7,809
DTE
Energy
Co
5.25%,
12/01/2077
315,006
8,370
DTE
Energy
Co
5.38%,
06/01/2076
7,539
193
Duke
Energy
Corp
5.13%,
01/15/2073
339,938
8,808
Duke
Energy
Corp
5.75%,
06/15/2024
(f)
68,264
1,926
Entergy
Arkansas
LLC
4.90%,
12/01/2052
(a)
145,002
3,835
Entergy
Louisiana
LLC
4.70%,
06/01/2063
(a)
156,785
4,043
Entergy
Louisiana
LLC
4.88%,
09/01/2066
(a)
24,691
642
Entergy
Louisiana
LLC
5.25%,
07/01/2052
(a)
96,580
2,584
Entergy
Texas
Inc
5.38%,
10/15/2024
(a),(f)
30,000
825
Georgia
Power
Co
5.00%,
10/01/2077
(a)
262,012
7,242
Integrys
Holding
Inc
6.00%,
08/01/2073
81,343
2,190
3
Month
USD
LIBOR
+
3.22%
Interstate
Power
and
Light
Co
5.10%,
09/30/2020
(a),(f)
493,973
12,646
National
Rural
Utilities
Cooperative
Finance
Corp
5.50%,
05/15/2064
225,022
6,132
NextEra
Energy
Capital
Holdings
Inc
5.00%,
01/15/2073
(a)
477,663
12,185
NextEra
Energy
Capital
Holdings
Inc
5.13%,
11/15/2072
(a)
658,383
16,841
NextEra
Energy
Capital
Holdings
Inc
5.65%,
03/01/2079
77,046
2,142
Southern
Co/The
0.00%,
01/30/2080
(c)
239,337
6,419
Southern
Co/The
5.25%,
12/01/2077
555,000
14,946
Southern
Co/The
5.25%,
10/01/2076
(a)
100,061
2,599
$
178,123
Food
-
0.30%
Dairy
Farmers
of
America
Inc
7.88%,
09/30/2020
(f),(g)
16,000
1,448
Dairy
Farmers
of
America
Inc
7.88%,
12/01/2025
(f),(g)
236,300
21,385
$
22,833
Gas
-
0.02%
Entergy
New
Orleans
LLC
5.00%,
12/01/2052
3,299
85
Entergy
New
Orleans
LLC
5.50%,
04/01/2066
46,623
1,282
$
1,367
Insurance
-
1.60%
Allstate
Corp/The
4.75%,
01/15/2025
(a),(f)
153,679
4,162
Allstate
Corp/The
5.10%,
01/15/2053
(a)
537,816
14,467
3
Month
USD
LIBOR
+
3.17%
Allstate
Corp/The
5.10%,
10/15/2024
(a),(f)
439
12
American
Financial
Group
Inc
/OH
5.63%,
06/01/2060
125,706
3,423
American
Financial
Group
Inc
/OH
5.88%,
03/30/2059
(a)
100,515
2,779
American
Financial
Group
Inc
/OH
6.00%,
11/15/2055
12
—
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
146
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Insurance
(continued)
American
International
Group
Inc
5.85%,
03/15/2024
(f)
15,000
$
410
Arch
Capital
Group
Ltd
5.25%,
09/29/2021
(a),(f)
289,942
7,391
Arch
Capital
Group
Ltd
5.45%,
08/17/2022
(f)
53,235
1,401
Equitable
Holdings
Inc
5.25%,
12/15/2024
(a),(f)
475,000
11,927
Hartford
Financial
Services
Group
Inc
/The
7.88%,
04/15/2042
1,042,030
29,344
3
Month
USD
LIBOR
+
5.60%
MetLife
Inc
0.00%,
03/15/2025
(a),(c),(f)
30,000
795
Reinsurance
Group
of
America
Inc
6.20%,
09/15/2042
92,165
2,480
3
Month
USD
LIBOR
+
4.37%
RenaissanceRe
Holdings
Ltd
5.38%,
09/30/2020
(f)
544,287
13,716
RenaissanceRe
Holdings
Ltd
5.75%,
06/30/2023
(f)
29,666
813
Voya
Financial
Inc
5.35%,
09/15/2029
(a),(f)
72,909
2,053
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.21%
W
R
Berkley
Corp
5.63%,
04/30/2053
911,736
23,231
W
R
Berkley
Corp
5.70%,
03/30/2058
(a)
1,933
52
W
R
Berkley
Corp
5.75%,
06/01/2056
(a)
65,882
1,692
$
120,148
Pipelines
-
0.00%
Enbridge
Inc
6.38%,
04/15/2078
1,939
50
3
Month
USD
LIBOR
+
3.59%
REITs
-
1.42%
Digital
Realty
Trust
Inc
5.88%,
09/30/2020
(a),(f)
88,984
2,291
Digital
Realty
Trust
Inc
6.35%,
09/08/2020
(f)
189,212
4,789
Federal
Realty
Investment
Trust
5.00%,
09/29/2022
(f)
47,836
1,261
Kimco
Realty
Corp
5.13%,
08/16/2022
(f)
12,477
329
Kimco
Realty
Corp
5.25%,
12/20/2022
(a),(f)
406,949
10,784
National
Retail
Properties
Inc
5.20%,
10/11/2021
(a),(f)
121,276
3,130
Prologis
Inc
8.54%,
11/13/2026
(f)
162,700
13,667
PS
Business
Parks
Inc
4.88%,
11/04/2024
(f)
3,957
106
PS
Business
Parks
Inc
5.25%,
09/21/2022
(f)
57,755
1,531
Public
Storage
0.00%,
08/14/2025
(c),(f)
316,800
8,401
Public
Storage
4.63%,
06/17/2025
(a),(f)
237,200
6,494
Public
Storage
4.75%,
12/20/2024
(a),(f)
185,477
5,119
Public
Storage
4.90%,
10/14/2021
(f)
6,561
169
Public
Storage
5.05%,
08/09/2022
(f)
177,565
4,679
Public
Storage
5.20%,
09/30/2020
(a),(f)
1,800
46
Public
Storage
5.20%,
09/30/2020
(f)
64,611
1,637
Public
Storage
5.60%,
03/11/2024
(a),(f)
311,855
8,857
Vornado
Realty
Trust
5.25%,
12/13/2022
(f)
382,922
9,719
Vornado
Realty
Trust
5.40%,
09/30/2020
(a),(f)
188,066
4,749
Vornado
Realty
Trust
5.70%,
09/30/2020
(f)
759,672
19,235
$
106,993
Savings
&
Loans
-
0.05%
People's
United
Financial
Inc
5.63%,
12/15/2026
(a),(f)
94,067
2,502
3
Month
USD
LIBOR
+
4.02%
Sterling
Bancorp/DE
6.50%,
10/15/2022
(a),(f)
42,713
1,130
$
3,632
Sovereign
-
0.90%
CoBank
ACB
6.13%,
10/01/2020
(f)
8,000
839
CoBank
ACB
6.20%,
01/01/2025
(f)
65,000
6,825
3
Month
USD
LIBOR
+
3.74%
CoBank
ACB
6.25%,
10/01/2022
(f)
296,500
30,836
3
Month
USD
LIBOR
+
4.56%
Farm
Credit
Bank
of
Texas
6.75%,
09/15/2023
(f),(g)
270,500
28,944
3
Month
USD
LIBOR
+
4.01%
$
67,444
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Telecommunications
-
1.39%
AT&T
Inc
0.00%,
02/18/2025
(c),(f)
2,704,605
$
68,616
AT&T
Inc
5.00%,
12/12/2024
(f)
40,144
1,076
Telephone
and
Data
Systems
Inc
6.63%,
03/31/2045
(a)
72,184
1,878
Telephone
and
Data
Systems
Inc
7.00%,
03/15/2060
(a)
1,071,162
27,497
United
States
Cellular
Corp
6.25%,
09/01/2069
160,000
4,189
United
States
Cellular
Corp
6.95%,
05/15/2060
45,971
1,170
$
104,426
TOTAL
PREFERRED
STOCKS
$
871,173
BONDS
-
80.43%
Principal
Amount
(000's)
Value
(000's)
Banks
-
48.79%
Australia
&
New
Zealand
Banking
Group
Ltd/
United
Kingdom
6.75%,
12/31/2049
(f),(g),(h),(
i
)
$
5,000
$
5,731
USD
Swap
Rate
NY
5
Year
+
5.17%
6.75%,
12/31/2049
(f),(h),(
i
)
2,700
3,095
USD
Swap
Rate
NY
5
Year
+
5.17%
Banco
Bilbao
Vizcaya
Argentaria
SA
6.50%,
12/31/2049
(f),(h),(
i
)
30,600
30,677
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.19%
Banco
Santander
SA
7.50%,
12/31/2049
(f),(h),(
i
)
32,400
34,182
USD
Swap
Semi-Annual
5
Year
+
4.99%
Bank
of
America
Corp
6.10%,
12/31/2049
(f),(h)
5,000
5,610
3
Month
USD
LIBOR
+
3.90%
6.25%,
12/31/2049
(f),(h)
30,599
33,547
3
Month
USD
LIBOR
+
3.71%
6.30%,
12/31/2049
(f),(h)
46,995
54,343
3
Month
USD
LIBOR
+
4.55%
6.50%,
12/31/2049
(f),(h)
97,785
110,473
3
Month
USD
LIBOR
+
4.17%
8.05%,
06/15/2027
6,312
8,434
Bank
of
Montreal
1.85%,
05/01/2025
11,800
12,394
Bank
of
New
York
Mellon
Corp/The
3.73%,
12/31/2049
(f)
73,500
73,299
3
Month
USD
LIBOR
+
3.42%
4.62%,
12/31/2099
(f),(h)
19,688
20,575
3
Month
USD
LIBOR
+
3.13%
4.70%,
12/31/2049
(f),(h)
12,400
13,466
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.36%
Bank
of
Nova
Scotia/The
1.63%,
05/01/2023
9,000
9,265
4.90%,
12/31/2049
(f),(h)
23,000
24,064
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.55%
Barclays
Bank
PLC
6.28%,
12/31/2049
(f),(h)
4,000
4,518
3
Month
USD
LIBOR
+
1.55%
6.86%,
12/31/2049
(f),(h)
517
643
6
Month
USD
LIBOR
+
1.73%
7.63%,
11/21/2022
(
i
)
8,000
8,895
Barclays
PLC
6.13%,
12/31/2049
(f),(h),(
i
)
5,000
5,174
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.87%
7.75%,
12/31/2049
(f),(h),(
i
)
47,300
50,097
USD
Swap
Semi-Annual
5
Year
+
4.84%
7.88%,
12/31/2049
(f),(h),(
i
)
30,065
31,455
USD
Swap
Semi-Annual
5
Year
+
6.77%
8.00%,
12/31/2049
(f),(h),(
i
)
67,803
74,171
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.67%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
147
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
BNP
Paribas
SA
6.63%,
12/31/2049
(f),(g),(h),(
i
)
$
39,300
$
41,904
USD
Swap
Semi-Annual
5
Year
+
4.15%
6.63%,
12/31/2049
(f),(h),(
i
)
8,700
9,276
USD
Swap
Rate
NY
5
Year
+
4.15%
6.75%,
12/31/2049
(f),(h),(
i
)
6,200
6,498
USD
Swap
Semi-Annual
5
Year
+
4.92%
7.00%,
12/31/2049
(f),(g),(h),(
i
)
2,500
2,863
USD
Swap
Semi-Annual
5
Year
+
3.98%
7.20%,
12/31/2049
(f),(g),(h)
10,800
11,761
3
Month
USD
LIBOR
+
1.29%
7.37%,
12/31/2049
(f),(g),(h),(
i
)
100
114
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.37%,
12/31/2049
(f),(h),(
i
)
13,000
14,812
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.63%,
12/31/2049
(f),(g),(h),(
i
)
80,898
83,224
USD
Swap
Semi-Annual
5
Year
+
6.31%
7.63%,
12/31/2049
(f),(h),(
i
)
50,000
51,438
USD
Swap
Semi-Annual
5
Year
+
6.31%
BPCE
SA
5.15%,
07/21/2024
(g)
13,014
14,633
Citigroup
Capital
III
7.63%,
12/01/2036
2,700
3,825
Citigroup
Inc
4.38%,
12/31/2049
(f)
19,000
18,908
3
Month
USD
LIBOR
+
4.10%
5.90%,
12/31/2049
(f),(h)
7,383
7,822
3
Month
USD
LIBOR
+
4.23%
5.95%,
12/31/2049
(f),(h)
27,100
28,387
3
Month
USD
LIBOR
+
4.07%
5.95%,
12/31/2049
(f),(h)
10,770
11,629
3
Month
USD
LIBOR
+
3.91%
6.13%,
12/31/2049
(f),(h)
36,800
37,026
3
Month
USD
LIBOR
+
4.48%
6.25%,
12/31/2049
(f),(h)
86,582
98,271
3
Month
USD
LIBOR
+
4.52%
Citizens
Financial
Group
Inc
4.26%,
12/31/2049
(f)
13,300
12,519
3
Month
USD
LIBOR
+
3.96%
5.65%,
12/31/2049
(f),(h)
53,983
57,897
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.31%
6.00%,
12/31/2049
(f),(h)
7,000
6,843
3
Month
USD
LIBOR
+
3.00%
6.38%,
12/31/2049
(f),(h)
7,000
7,035
3
Month
USD
LIBOR
+
3.16%
Comerica
Inc
5.63%,
12/31/2049
(f),(h)
18,600
20,274
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.29%
Corestates
Capital
III
0.85%,
02/15/2027
(g)
18,621
16,866
3
Month
USD
LIBOR
+
0.57%
Credit
Agricole
SA
7.88%,
12/31/2049
(f),(g),(h),(
i
)
29,540
32,973
USD
Swap
Semi-Annual
5
Year
+
4.90%
7.88%,
12/31/2049
(f),(h),(
i
)
18,100
20,204
USD
Swap
Semi-Annual
5
Year
+
4.90%
8.13%,
12/31/2049
(f),(g),(h),(
i
)
34,368
40,726
USD
Swap
Semi-Annual
5
Year
+
6.19%
Credit
Suisse
AG
6.50%,
08/08/2023
(g),(
i
)
23,254
26,472
6.50%,
08/08/2023
(
i
)
6,000
6,830
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Credit
Suisse
Group
AG
5.10%,
12/31/2049
(f),(g),(h),(
i
)
$
21,300
$
21,207
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.29%
5.25%,
12/31/2049
(f),(g),(h),(
i
)
34,800
35,453
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.89%
6.25%,
12/31/2049
(f),(g),(h),(
i
)
6,000
6,530
USD
Swap
Semi-Annual
5
Year
+
3.46%
6.38%,
12/31/2099
(f),(g),(h),(
i
)
14,400
15,660
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.82%
7.13%,
12/31/2049
(f),(h),(
i
)
24,838
26,173
USD
Swap
Semi-Annual
5
Year
+
5.11%
7.50%,
12/31/2049
(f),(g),(h),(
i
)
6,500
7,011
USD
Swap
Semi-Annual
5
Year
+
4.60%
7.50%,
12/31/2049
(f),(g),(h),(
i
)
77,040
85,512
USD
Swap
Semi-Annual
5
Year
+
4.60%
Danske
Bank
A/S
6.13%,
12/31/2099
(f),(h),(
i
)
2,500
2,594
USD
Swap
Semi-Annual
7
Year
+
3.90%
7.00%,
12/31/2049
(f),(h),(
i
)
19,645
21,193
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
7
Year
+
4.13%
Fifth
Third
Bancorp
4.50%,
12/31/2049
(f),(h)
13,525
13,850
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.22%
First
Maryland
Capital
I
1.28%,
01/15/2027
2,000
1,848
3
Month
USD
LIBOR
+
1.00%
Goldman
Sachs
Group
Inc
/The
4.17%,
12/31/2049
(f)
11,300
11,187
3
Month
USD
LIBOR
+
3.92%
4.95%,
12/31/2049
(f),(h)
23,363
24,172
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.22%
5.50%,
12/31/2049
(a),(f),(h)
13,750
14,882
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.62%
HBOS
Capital
Funding
LP
6.85%,
12/31/2049
(f)
19,106
19,381
HSBC
Capital
Funding
Dollar
1
LP
10.18%,
12/31/2049
(f),(g),(h)
56,967
91,112
3
Month
USD
LIBOR
+
4.98%
10.18%,
12/31/2049
(f),(h)
34,808
55,671
3
Month
USD
LIBOR
+
4.98%
HSBC
Holdings
PLC
6.00%,
12/31/2099
(f),(h),(
i
)
15,900
16,437
USD
Swap
Rate
NY
5
Year
+
3.75%
6.37%,
12/31/2049
(f),(h),(
i
)
14,800
15,732
USD
Swap
Rate
NY
5
Year
+
4.37%
6.38%,
12/31/2049
(f),(h),(
i
)
3,300
3,449
USD
Swap
Rate
NY
5
Year
+
3.71%
6.50%,
12/31/2099
(f),(h),(
i
)
25,600
27,584
USD
Swap
Rate
NY
5
Year
+
3.61%
6.87%,
12/31/2049
(f),(h),(
i
)
54,800
56,291
USD
Swap
Rate
NY
5
Year
+
5.51%
Huntington
Bancshares
Inc
/OH
4.45%,
12/31/2049
(f),(h)
78,528
78,919
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
7
Year
+
4.05%
5.63%,
12/31/2049
(f),(h)
20,520
22,931
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
10
Year
+
4.95%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
148
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
ING
Groep
NV
5.75%,
12/31/2049
(f),(h),(
i
)
$
14,075
$
14,878
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.34%
6.50%,
12/31/2049
(f),(h),(
i
)
35,300
37,559
USD
Swap
Semi-Annual
5
Year
+
4.45%
6.87%,
12/31/2049
(f),(h),(
i
)
62,586
65,896
USD
Swap
Semi-Annual
5
Year
+
5.12%
Intesa
Sanpaolo
SpA
7.70%,
12/31/2049
(f),(g),(h),(
i
)
10,900
11,718
USD
Swap
Semi-Annual
5
Year
+
5.46%
JPMorgan
Chase
&
Co
4.05%,
12/31/2099
(f)
25,318
25,229
3
Month
USD
LIBOR
+
3.80%
4.60%,
12/31/2049
(f),(h)
7,000
7,026
United
States
Secured
Overnight
Financing
Rate
+
3.13%
6.75%,
12/31/2049
(f),(h)
147,336
164,648
3
Month
USD
LIBOR
+
3.78%
KeyCorp
5.00%,
12/31/2049
(f),(h)
16,101
16,458
3
Month
USD
LIBOR
+
3.61%
KeyCorp
Capital
I
1.04%,
07/01/2028
2,825
2,540
3
Month
USD
LIBOR
+
0.74%
KeyCorp
Capital
III
7.75%,
07/15/2029
3,500
4,413
Lloyds
Bank
PLC
12.00%,
12/31/2049
(f),(g),(h)
38,250
44,697
3
Month
USD
LIBOR
+
11.76%
12.00%,
12/31/2049
(f),(h)
21,889
25,578
3
Month
USD
LIBOR
+
11.76%
Lloyds
Banking
Group
PLC
3.87%,
07/09/2025
(h)
5,000
5,499
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1
Year
+
3.50%
6.41%,
12/31/2049
(f),(g),(h)
12,674
14,417
3
Month
USD
LIBOR
+
1.50%
6.66%,
12/31/2049
(a),(f),(h)
3,000
3,495
3
Month
USD
LIBOR
+
1.27%
6.66%,
12/31/2049
(a),(f),(g),(h)
51,385
59,864
3
Month
USD
LIBOR
+
1.27%
7.50%,
12/31/2049
(f),(h),(
i
)
47,496
51,414
USD
Swap
Semi-Annual
5
Year
+
4.76%
7.50%,
12/31/2049
(f),(h),(
i
)
22,500
24,755
USD
Swap
Semi-Annual
5
Year
+
4.50%
M&T
Bank
Corp
5.00%,
12/31/2049
(f),(h)
4,378
4,545
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.17%
5.12%,
12/31/2049
(f),(h)
14,020
14,769
3
Month
USD
LIBOR
+
3.52%
6.45%,
12/31/2049
(f),(h)
6,615
7,177
3
Month
USD
LIBOR
+
3.61%
Morgan
Stanley
4.08%,
12/31/2049
(f)
6,802
6,706
3
Month
USD
LIBOR
+
3.81%
Natwest
Group
PLC
2.63%,
12/31/2049
(f)
1,900
1,799
3
Month
USD
LIBOR
+
2.32%
6.00%,
12/31/2049
(a),(f),(h),(
i
)
35,000
36,871
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.63%
7.65%,
12/31/2049
(f),(h)
28,946
43,708
3
Month
USD
LIBOR
+
2.50%
8.00%,
12/31/2049
(f),(h),(
i
)
22,825
26,024
USD
Swap
Semi-Annual
5
Year
+
5.72%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Natwest
Group
PLC
(continued)
8.62%,
12/31/2049
(f),(h),(
i
)
$
35,275
$
37,080
USD
Swap
Semi-Annual
5
Year
+
7.60%
Nordea
Bank
Abp
6.13%,
12/31/2049
(f),(g),(h),(
i
)
42,131
44,659
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.13%,
12/31/2049
(a),(f),(h),(
i
)
13,735
14,559
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.63%,
12/31/2099
(f),(g),(h),(
i
)
32,520
36,260
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.11%
Northern
Trust
Corp
4.60%,
12/31/2049
(f),(h)
2,200
2,276
3
Month
USD
LIBOR
+
3.20%
NTC
Capital
I
0.79%,
01/15/2027
5,500
5,147
3
Month
USD
LIBOR
+
0.52%
NTC
Capital
II
0.87%,
04/15/2027
6,500
5,938
3
Month
USD
LIBOR
+
0.59%
PNC
Financial
Services
Group
Inc
/The
6.75%,
12/31/2049
(f),(h)
7,589
7,846
3
Month
USD
LIBOR
+
3.68%
RBS
Capital
Trust
II
6.43%,
12/31/2049
(f),(h)
2,750
4,159
3
Month
USD
LIBOR
+
1.94%
Regions
Financial
Corp
5.75%,
12/31/2049
(f),(h)
16,750
18,174
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.43%
Skandinaviska
Enskilda
Banken
AB
5.63%,
12/31/2049
(f),(h),(
i
)
11,800
12,204
USD
Swap
Semi-Annual
5
Year
+
3.49%
Societe
Generale
SA
7.37%,
12/31/2049
(f),(h),(
i
)
14,120
14,626
USD
Swap
Semi-Annual
5
Year
+
6.24%
7.38%,
12/31/2049
(f),(g),(h),(
i
)
16,800
17,514
USD
Swap
Semi-Annual
5
Year
+
4.30%
7.38%,
12/31/2049
(f),(g),(h),(
i
)
25,326
26,234
USD
Swap
Semi-Annual
5
Year
+
6.24%
7.88%,
12/31/2049
(a),(f),(g),(h),(
i
)
4,900
5,298
USD
Swap
Semi-Annual
5
Year
+
4.98%
7.88%,
12/31/2049
(f),(h),(
i
)
14,000
15,138
USD
Swap
Semi-Annual
5
Year
+
4.98%
8.00%,
12/31/2049
(f),(g),(h),(
i
)
26,660
30,326
USD
Swap
Rate
NY
5
Year
+
5.87%
8.00%,
12/31/2049
(f),(h),(
i
)
19,000
21,613
USD
Swap
Rate
NY
5
Year
+
5.87%
Standard
Chartered
PLC
4.87%,
03/15/2033
(h)
1,026
1,126
USD
Swap
Rate
NY
5
Year
+
1.97%
6.00%,
12/31/2049
(f),(h),(
i
)
1,000
1,047
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.66%
6.00%,
12/31/2099
(a),(f),(g),(h),(
i
)
15,000
15,709
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.66%
7.01%,
12/31/2049
(f),(g),(h)
42,900
49,969
3
Month
USD
LIBOR
+
1.46%
7.01%,
12/31/2049
(f),(h)
19,800
23,062
3
Month
USD
LIBOR
+
1.46%
7.50%,
12/31/2049
(f),(g),(h),(
i
)
17,700
18,607
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.50%,
12/31/2049
(f),(h),(
i
)
23,500
24,704
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.75%,
12/31/2049
(f),(g),(h),(
i
)
25,000
27,108
USD
Swap
Semi-Annual
5
Year
+
5.72%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
149
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
State
Street
Corp
5.25%,
12/31/2049
(f),(h)
$
4,000
$
4,020
3
Month
USD
LIBOR
+
3.60%
Svenska
Handelsbanken
AB
5.25%,
12/31/2049
(f),(h),(
i
)
29,400
29,731
USD
Swap
Semi-Annual
5
Year
+
3.34%
6.25%,
12/31/2049
(f),(h),(
i
)
13,800
15,066
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.69%
Swedbank
AB
6.00%,
12/31/2049
(f),(h),(
i
)
5,200
5,401
USD
Swap
Semi-Annual
5
Year
+
4.11%
Truist
Bank
0.95%,
05/15/2027
10,900
10,153
3
Month
USD
LIBOR
+
0.67%
0.96%,
03/15/2028
9,022
8,224
3
Month
USD
LIBOR
+
0.65%
1.28%,
04/01/2027
7,000
6,442
3
Month
USD
LIBOR
+
0.98%
Truist
Financial
Corp
4.80%,
12/31/2099
(f),(h)
99,300
103,025
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.00%
4.95%,
12/31/2099
(f),(h)
43,690
47,289
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.61%
UBS
Group
AG
6.88%,
12/31/2049
(f),(h),(
i
)
68,834
70,148
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
5.50%
6.88%,
12/31/2049
(f),(h),(
i
)
11,933
13,203
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.59%
7.00%,
12/31/2049
(f),(g),(h),(
i
)
19,500
21,133
USD
Swap
Semi-Annual
5
Year
+
4.34%
7.00%,
12/31/2049
(f),(h),(
i
)
10,800
11,705
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.34%
7.00%,
12/31/2049
(f),(h),(
i
)
20,700
23,391
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.87%
7.13%,
12/31/2049
(f),(h),(
i
)
20,426
21,126
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
5.88%
UniCredit
SpA
8.00%,
12/31/2049
(f),(h),(
i
)
21,000
22,694
USD
Swap
Semi-Annual
5
Year
+
5.18%
US
Bancorp
5.12%,
12/31/2049
(f),(h)
2,850
2,859
3
Month
USD
LIBOR
+
3.49%
USB
Realty
Corp
1.42%,
12/31/2049
(f),(g)
1,500
1,196
3
Month
USD
LIBOR
+
1.15%
Wachovia
Capital
Trust
II
0.78%,
01/15/2027
6,345
5,849
3
Month
USD
LIBOR
+
0.50%
Wachovia
Capital
Trust
III
5.57%,
12/31/2049
(f)
6,500
6,534
3
Month
USD
LIBOR
+
0.93%
Wells
Fargo
&
Co
5.87%,
12/31/2049
(f),(h)
50,300
55,519
3
Month
USD
LIBOR
+
3.99%
7.95%,
11/15/2029
3,700
4,985
$
3,671,676
Diversified
Financial
Services
-
2.80%
Capital
One
Financial
Corp
4.15%,
12/31/2049
(f)
20,430
18,438
3
Month
USD
LIBOR
+
3.80%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Diversified
Financial
Services
(continued)
Charles
Schwab
Corp/The
5.38%,
12/31/2049
(f),(h)
$
106,742
$
117,149
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.97%
7.00%,
12/31/2049
(f),(h)
28,358
30,275
3
Month
USD
LIBOR
+
4.82%
Depository
Trust
&
Clearing
Corp/The
3.48%,
12/31/2049
(f),(g)
27,000
26,313
3
Month
USD
LIBOR
+
3.17%
Discover
Financial
Services
6.13%,
12/31/2049
(f),(h)
17,150
18,495
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.78%
$
210,670
Electric
-
4.21%
Dominion
Energy
Inc
4.65%,
12/31/2099
(f),(h)
104,799
106,546
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.99%
Duke
Energy
Corp
4.88%,
12/31/2099
(f),(h)
46,700
49,269
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.39%
Emera
Inc
6.75%,
06/15/2076
(h)
57,795
64,730
3
Month
USD
LIBOR
+
5.44%
Enel
SpA
8.75%,
09/24/2073
(g),(h)
12,991
15,236
USD
Swap
Semi-Annual
5
Year
+
5.88%
National
Rural
Utilities
Cooperative
Finance
Corp
5.25%,
04/20/2046
(h)
22,969
25,036
3
Month
USD
LIBOR
+
3.63%
NextEra
Energy
Capital
Holdings
Inc
2.36%,
10/01/2066
23,474
19,249
3
Month
USD
LIBOR
+
2.07%
2.44%,
06/15/2067
8,920
7,311
3
Month
USD
LIBOR
+
2.13%
4.80%,
12/01/2077
(h)
2,300
2,475
3
Month
USD
LIBOR
+
2.41%
5.65%,
05/01/2079
(h)
800
918
3
Month
USD
LIBOR
+
3.16%
PPL
Capital
Funding
Inc
2.97%,
03/30/2067
15,700
12,708
3
Month
USD
LIBOR
+
2.67%
Southern
Co/The
5.50%,
03/15/2057
(h)
13,050
13,469
3
Month
USD
LIBOR
+
3.63%
$
316,947
Food
-
0.11%
Dairy
Farmers
of
America
Inc
7.13%,
12/31/2049
(f),(g)
8,700
8,004
Gas
-
0.82%
NiSource
Inc
5.65%,
12/31/2049
(f),(h)
61,800
61,491
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.84%
Hand
&
Machine
Tools
-
0.18%
Stanley
Black
&
Decker
Inc
4.00%,
03/15/2060
(h)
12,900
13,550
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.66%
Insurance
-
18.63%
ACE
Capital
Trust
II
9.70%,
04/01/2030
15,505
23,254
AIG
Life
Holdings
Inc
8.50%,
07/01/2030
31,200
39,076
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
150
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Allstate
Corp/The
5.75%,
08/15/2053
(h)
$
11,754
$
12,607
3
Month
USD
LIBOR
+
2.94%
6.50%,
05/15/2067
(h)
11,905
15,435
3
Month
USD
LIBOR
+
2.12%
American
International
Group
Inc
5.75%,
04/01/2048
(h)
46,701
51,535
3
Month
USD
LIBOR
+
2.87%
8.18%,
05/15/2068
(h)
29,013
41,601
3
Month
USD
LIBOR
+
4.20%
Aon
Corp
8.21%,
01/01/2027
4,750
6,133
Argentum
Netherlands
BV
for
Swiss
Re
Ltd
5.63%,
08/15/2052
(h)
54,000
60,641
3
Month
USD
LIBOR
+
3.78%
5.75%,
08/15/2050
(h)
34,400
38,241
3
Month
USD
LIBOR
+
3.59%
Argentum
Netherlands
BV
for
Zurich
Insurance
Co
Ltd
5.13%,
06/01/2048
(h)
6,290
7,198
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.27%
AXA
SA
6.38%,
12/31/2049
(f),(g),(h)
27,793
36,843
3
Month
USD
LIBOR
+
2.26%
8.60%,
12/15/2030
13,874
21,019
Cloverie
PLC
for
Swiss
Re
Corporate
Solutions
Ltd
4.50%,
09/11/2044
(h)
20,000
21,168
USD
Swap
Semi-Annual
10
Year
+
2.91%
Cloverie
PLC
for
Zurich
Insurance
Co
Ltd
5.63%,
06/24/2046
(h)
5,000
5,837
3
Month
USD
LIBOR
+
4.92%
Dai-ichi
Life
Insurance
Co
Ltd/The
7.25%,
12/31/2049
(f),(g),(h)
13,250
13,909
3
Month
USD
LIBOR
+
4.56%
Everest
Reinsurance
Holdings
Inc
2.67%,
05/01/2067
27,820
23,647
3
Month
USD
LIBOR
+
2.39%
Hartford
Financial
Services
Group
Inc
/The
2.41%,
02/12/2067
(g)
5,685
4,789
3
Month
USD
LIBOR
+
2.13%
Legal
&
General
Group
PLC
5.25%,
03/21/2047
(h)
37,104
40,814
USD
Swap
Semi-Annual
5
Year
+
3.69%
Liberty
Mutual
Group
Inc
7.80%,
03/07/2087
(g)
76,240
94,517
3
Month
USD
LIBOR
+
3.58%
Liberty
Mutual
Insurance
Co
7.70%,
10/15/2097
(g)
20,025
31,911
Lincoln
National
Corp
2.31%,
04/20/2067
60,769
43,118
3
Month
USD
LIBOR
+
2.04%
2.64%,
05/17/2066
916
687
3
Month
USD
LIBOR
+
2.36%
M&G
PLC
6.50%,
10/20/2048
(h)
16,188
20,093
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.41%
Meiji
Yasuda
Life
Insurance
Co
5.10%,
04/26/2048
(g),(h)
4,600
5,714
USD
Swap
Rate
NY
5
Year
+
3.15%
5.20%,
10/20/2045
(g),(h)
9,545
11,029
USD
Swap
Semi-Annual
5
Year
+
4.23%
MetLife
Capital
Trust
IV
7.88%,
12/15/2067
(g)
24,540
33,904
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
MetLife
Inc
6.40%,
12/15/2066
$
20,770
$
26,182
3
Month
USD
LIBOR
+
2.21%
9.25%,
04/08/2068
(g)
51,775
77,877
3
Month
USD
LIBOR
+
5.54%
10.75%,
08/01/2069
50,439
82,053
3
Month
USD
LIBOR
+
7.55%
Mitsui
Sumitomo
Insurance
Co
Ltd
4.95%,
12/31/2049
(f),(h)
520
629
USD
Swap
Semi-Annual
5
Year
+
3.26%
4.95%,
12/31/2099
(f),(g),(h)
1,800
2,178
USD
Swap
Semi-Annual
5
Year
+
3.26%
7.00%,
03/15/2072
(g),(h)
10,700
11,556
3
Month
USD
LIBOR
+
5.90%
MMI
Capital
Trust
I
7.63%,
12/15/2027
1,073
1,384
Nationwide
Financial
Services
Inc
6.75%,
05/15/2087
79,015
92,853
Nippon
Life
Insurance
Co
4.70%,
01/20/2046
(g),(h)
5,000
5,650
USD
Swap
Rate
NY
5
Year
+
3.75%
5.10%,
10/16/2044
(g),(h)
26,700
29,971
USD
Swap
Rate
NY
5
Year
+
3.65%
Prudential
Financial
Inc
3.70%,
10/01/2050
(h)
11,400
11,770
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.04%
5.20%,
03/15/2044
(h)
3,945
4,179
3
Month
USD
LIBOR
+
3.04%
5.63%,
06/15/2043
(h)
79,130
84,707
3
Month
USD
LIBOR
+
3.92%
5.88%,
09/15/2042
(h)
45,255
48,337
3
Month
USD
LIBOR
+
4.18%
QBE
Capital
Funding
III
Ltd
7.25%,
05/24/2041
(g),(h)
5,000
5,169
USD
Swap
Semi-Annual
10
Year
+
4.05%
QBE
Insurance
Group
Ltd
5.88%,
06/17/2046
(h)
3,100
3,411
USD
Swap
Rate
NY
10
Year
+
4.40%
5.88%,
12/31/2049
(a),(f),(g),(h)
17,200
18,297
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.51%
6.75%,
12/02/2044
(h)
5,533
6,238
USD
Swap
Semi-Annual
10
Year
+
4.30%
Sompo
Japan
Insurance
Inc
5.33%,
03/28/2073
(g),(h)
60,300
65,426
3
Month
USD
LIBOR
+
4.27%
Sumitomo
Life
Insurance
Co
6.50%,
09/20/2073
(g),(h)
15,500
17,631
3
Month
USD
LIBOR
+
4.44%
Voya
Financial
Inc
4.70%,
01/23/2048
(h)
8,055
8,095
3
Month
USD
LIBOR
+
2.08%
5.65%,
05/15/2053
(h)
77,926
81,433
3
Month
USD
LIBOR
+
3.58%
6.13%,
12/31/2049
(f),(h)
11,706
12,174
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.36%
$
1,401,920
Oil
&
Gas
-
0.20%
BP
Capital
Markets
PLC
4.38%,
12/31/2049
(f),(h)
14,600
15,330
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.04%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
151
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pipelines
-
3.38%
Enbridge
Inc
5.75%,
07/15/2080
(h)
$
52,375
$
55,242
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.31%
6.00%,
01/15/2077
(h)
27,975
28,535
3
Month
USD
LIBOR
+
3.89%
6.25%,
03/01/2078
(h)
31,558
32,416
3
Month
USD
LIBOR
+
3.64%
Enterprise
Products
Operating
LLC
5.25%,
08/16/2077
(h)
48,200
46,272
3
Month
USD
LIBOR
+
3.03%
5.38%,
02/15/2078
(h)
5,000
4,558
3
Month
USD
LIBOR
+
2.57%
Transcanada
Trust
5.50%,
09/15/2079
(h)
51,000
54,315
3
Month
USD
LIBOR
+
4.15%
5.87%,
08/15/2076
(h)
30,081
32,866
3
Month
USD
LIBOR
+
4.64%
$
254,204
Sovereign
-
0.47%
CoBank
ACB
6.25%,
12/31/2049
(f),(h)
16,400
17,220
3
Month
USD
LIBOR
+
4.66%
Farm
Credit
Bank
of
Texas
5.70%,
12/31/2049
(f),(g),(h)
17,000
18,190
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.42%
$
35,410
Telecommunications
-
0.30%
Koninklijke
KPN
NV
7.00%,
03/28/2073
(a),(g),(h)
13,126
14,279
USD
Swap
Semi-Annual
10
Year
+
5.21%
7.00%,
03/28/2073
(h)
8,000
8,703
USD
Swap
Semi-Annual
10
Year
+
5.21%
$
22,982
Transportation
-
0.54%
BNSF
Funding
Trust
I
6.61%,
12/15/2055
(h)
35,709
40,399
3
Month
USD
LIBOR
+
2.35%
TOTAL
BONDS
$
6,052,583
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
2.25%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
2.25%
0.13%,
08/31/2022
$
45,000
$
44,991
0.13%,
08/15/2023
22,500
22,482
0.25%,
04/15/2023
35,000
35,097
0.25%,
07/31/2025
55,000
54,966
0.38%,
03/31/2022
12,000
12,043
$
169,579
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
169,579
TOTAL
PURCHASED
OPTIONS
-
0.00%
$
383
Total
Investments
$
7,505,982
Other
Assets
and
Liabilities
- 0.26%
19,348
TOTAL
NET
ASSETS
-
100.00%
$
7,525,330
(a)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(b)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(c)
Non-income
producing
security
(d)
Current
yield
shown
is
as
of
period
end.
(e)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$16,720
or
0.22%
of
net
assets.
(f)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(g)
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
$1,564,631
or
20.79%
of
net
assets.
(h)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(
i
)
Security
is
a
contingent
convertible
security,
("
CoCo
").
CoCo's
are
hybrid
debt
securities
that
may
convert
to
equity
or
have
their
principal
written
down
upon
occurrence
of
certain
"triggers".
See
notes
for
additional
information.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$1,787,036
or
23.75%
of
net
assets.
Portfolio
Summary (unaudited)
Sector
Percent
Financial
78.03%
Utilities
7.42%
Government
3.62%
Energy
3.58%
Money
Market
Funds
3.26%
Communications
1.69%
Industrial
1.05%
Investment
Companies
0.68%
Consumer,
Non-cyclical
0.41%
Purchased
Options
0.00%
Other
Assets
and
Liabilities
0.26%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
August
31,
2020
See
accompanying
notes.
152
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Centaur
Funding
Corp
9.08%
4/21/2020
$
99,772
$
—
$
96,051
$
—
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
98,550
2,554,399
2,407,930
245,019
$
198,322
$
2,554,399
$
2,503,981
$
245,019
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Centaur
Funding
Corp
9.08%
04/21/2020
$
5,344
$
(19,445)
$
—
$
15,724
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
1,670
—
—
—
$
7,014
$
(19,445)
$
—
$
15,724
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
US
10
Year
Note
Future;
December
2020
N/A
1,000
$
1,000
$
143.50
09/28/2020
$
18
$
—
$
(18)
Call
-
US
Long
Bond
Future;
December
2020
N/A
500
500
$
178.00
09/28/2020
876
328
(548)
Call
-
US
Long
Bond
Future;
December
2020
N/A
500
500
$
182.00
09/28/2020
228
55
(173)
Total
$
1,122
$
383
$
(739)
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
US
Long
Bond
Future;
December
2020
N/A
1,000
$
1,000
$
180.00
09/28/2020
$
(928)
$
(250)
$
678
Total
$
(928)
$
(250)
$
678
Amounts
in
thousands
except
contracts/shares.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
US
10
Year
Note;
December
2020
Short
1,000
$
139,250
$
(159)
Total
$
(159)
Amounts
in
thousands
except
contracts.
Glossary
to
the
Schedule
of
Investments
August
31,
2020
See
accompanying
notes.
153
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
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
PLN
Polish
Zloty
RUB
Russian
Ruble
SEK
Swedish
Krona
THB
Thai
Baht
TRY
Turkish
Lira
USD/$
United
States
Dollar
ZAR
South
African
Rand
See
accompanying
notes.
154
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
BLUE
CHIP
FUND
Class
A
shares
2020
$
25.56
(
$
0.07)
$
9.54
$
9.47
(
$
0.0
2
)
(
$
1.1
6
)
(
$
1.18)
$
33.85
2019
24.49
(
0.01)
2.67
2.66
–
(
1.59)
(
1.59)
25.56
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
Class
C
shares
2020
24.39
(
0.26)
9.03
8.77
–
(
1.15)
(
1.15)
32.01
2019
23.62
(
0.18)
2.54
2.36
–
(
1.59)
(
1.59)
24.39
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
DIVERSIFIED
REAL
ASSET
FUND
Class
A
shares
2020
11.23
0.17
(
0.06)
0.11
(
0.21)
–
(
0.21)
11.13
2019
11.70
0.26
(
0.42)
(
0.16)
(
0.31)
–
(
0.31)
11.23
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
Class
C
shares
2020
11.00
0.08
(
0.06)
0.02
(
0.12)
–
(
0.12)
10.90
2019
11.45
0.17
(
0.40)
(
0.23)
(
0.22)
–
(
0.22)
11.00
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
See
accompanying
notes.
155
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return(b)
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
38.51
%
$
646,386
0.93
%
(c)
(0.25)
%
30.0
%
12.75
302,904
1.00
(c)
(0.06)
15.9
26.45
164,310
1.09
(c)
(0.30)
34.0
18.81
71,738
1.15
(c)
0.41
27.1
10.77
36,575
1.28
(c)
(0.26)
36.4
37.43
322,210
1.66
(c)
(0.99)
30.0
11.91
156,734
1.73
(c)
(0.80)
15.9
25.47
91,660
1.84
(c)
(1.05)
34.0
17.91
40,344
1.94
(c)
(0.41)
27.1
9.93
21,705
2.08
(c)
(1.06)
36.4
0.89
43,485
1.19
(c)
1.57
85.4
(1.11)
54,880
1.22
(c)
2.35
71.5
3.36
107,180
1.22
(c)
2.05
84.1
6.63
118,212
1.25
(c)
1.58
65.1
(0.85)
210,864
1.25
(c)
1.59
77.6
0.16
11,010
1.96
(c)
0.75
85.4
(1.86)
16,037
1.97
(c)
1.51
71.5
2.61
23,105
1.97
(c)
1.24
84.1
5.83
(d)
24,940
2.00
(c)
0.88
65.1
(1.55)
(d)
31,350
2.00
(c)
0.86
77.6
(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)
Reflects
Manager's
contractual
expense
limit.
(d)
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.
156
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Inve
stment
Income
(Loss)(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Tax
Return
of
Capital
Distribution
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
EDGE
MIDCAP
FUND
Class
A
shares
2020
$
14.39
$
0.0
6
$
0.9
2
$
0.98
(
$
0.11)
(
$
0.50)
$
–
(
$
0.61)
$
14.76
2019(e)
11.98
0.06
2.35
2.41
–
–
–
–
14.39
GLOBAL
MULTI-STRATEGY
FUND
Class
A
shares
2020
10.64
0.18
0.13
0.31
–
–
–
–
10.95
2019
11.09
0.18
(
0.02)
0.16
(
0.11)
(
0.47)
(
0.03)
(
0.61)
10.64
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
Class
C
shares
2020
10.31
0.10
0.13
0.23
–
–
–
–
10.54
2019
10.75
0.10
(
0.01)
0.09
(
0.03)
(
0.47)
(
0.03)
(
0.53)
10.31
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
See
accompanying
notes.
157
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return(b)
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Expenses
to
Average
Net
Assets
(Excluding
Dividends
and
Interest
Expense
on
Short
Sales,
Short
Sale
Fees
and
Reverse
Repurchase
Agreement
Expense)
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
6.54
%
(c)
$
12,547
1.10
%
(d)
N/A
0.
46
%
27.9
%
20.20
(c),(f)
5,587
1.10
(d),(g)
N/A
0.59
(g)
19.8
(g)
3.01
(c)
27,072
3.68
%
(d),(h)
2.1
1%
(d),(h),(
i
)
1.68
439.7
1.82
41,100
3.37
(d),(h)
2.02
(d),(h),(
i
)
1.72
387.8
0.90
63,860
2.48
(d)
1.95
(d),(
i
)
1.02
378.0
4.74
112,799
2.50
(d)
1.92
(d),(
i
)
0.72
317.6
1.41
145,370
2.41
(d)
1.94
(d),(
i
)
0.11
233.9
2.23
16,605
4.33
(d),(h)
2.76
(d),(h),(
i
)
0.99
439.7
1.10
26,585
4.11
(d),(h)
2.76
(d),(h),(
i
)
0.99
387.8
0.16
41,343
3.26
(d)
2.73
(d),(
i
)
0.24
378.0
3.88
48,130
3.31
(d)
2.73
(d),(
i
)
(0.08)
317.6
0.61
56,557
3.22
(d)
2.75
(d),(
i
)
(0.68)
233.9
(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)
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.
(d)
Reflects
Manager's
contractual
expense
limit.
(e)
Period
from
December
31,
2018,
date
operations
commenced,
through
August
31,
2019.
(f)
Total
return
amounts
have
not
been
annualized.
(g)
Computed
on
an
annualized
basis.
(h)
Includes
0.01%
of
expenses
associated
with
fund
investments.
The
expense
is
not
subject
to
the
Manager's
contractual
expense
limit.
(
i
)
Excludes
dividends
and
interest
expense
on
short
sales
and
short
sale
fees
and
reverse
repurchase
agreement
expense.
See
"Operating
Policies"
in
notes
to
financial
statements.
See
accompanying
notes.
158
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
INTERNATIONAL
SMALL
COMPANY
FUND
Class
A
shares
2020
$
10.41
$
0.04
$
0.41
$
0.45
(
$
0.28)
$
–
(
$
0.28)
$
10.58
2019
12.29
0.08
(
1.14)
(
1.06)
(
0.09)
(
0.73)
(
0.82)
10.41
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
OPPORTUNISTIC
MUNICIPAL
FUND
Class
A
shares
2020
11.26
0.36
(
0.30)
0.06
(
0.36)
–
(
0.36)
10.96
2019
10.60
0.43
0.64
1.07
(
0.41)
–
(
0.41)
11.26
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
See
accompanying
notes.
159
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return(b)
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Expenses
to
Average
Net
Assets
(Excluding
Interest
Expense
and
Fees)
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
4.11
%
$
4,784
1.60
%
(c)
N/A
0.39
%
44.1
%
(7.70)
4,739
1.60
(c)
N/A
0.80
46.8
6.26
5,204
1.60
(c)
N/A
0.61
45.9
23.48
2,699
1.60
(c)
N/A
0.54
58.8
3.47
2,026
1.60
(c)
N/A
0.61
49.9
0.62
50,459
0.91
%
(c)
0.8
4%
(c),(d)
3.35
76.6
10.36
53,756
0.98
(c)
0.86
(c),(d)
4.01
66.1
3.37
46,667
1.00
(c)
0.90
(c),(d)
3.94
76.0
0.13
40,758
0.95
(c)
0.89
(c),(d)
3.83
67.9
11.94
49,208
0.95
(c)
0.90
(c),(d)
3.52
53.5
(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)
Reflects
Manager's
contractual
expense
limit.
(d)
Excludes
interest
expense
and
fees
paid
through
inverse
floater
agreements.
See
"Operating
Policies"
in
notes
to
financial
statements.
See
accompanying
notes.
160
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
ORIGIN
EMERGING
MARKETS
FUND
Class
A
shares
2020
$
10
.63
$
0
.11
$
1
.77
$
1
.88
(
$
0
.15
)
$
–
(
$
0
.15
)
$
12
.36
2019
11
.28
0
.11
(
0
.68
)
(
0
.57
)
(
0
.08
)
–
(
0
.08
)
10
.63
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
SMALL-MIDCAP
DIVIDEND
INCOME
FUND
Class
A
shares
2020
13
.96
0
.16
(
1
.88
)
(
1
.72
)
(
0
.23
)
(
0
.10
)
(
0
.33
)
11
.91
2019
17
.84
0
.28
(
1
.92
)
(
1
.64
)
(
0
.35
)
(
1
.89
)
(
2
.24
)
13
.96
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
Class
C
shares
2020
13
.82
0
.06
(
1
.86
)
(
1
.80
)
(
0
.14
)
(
0
.10
)
(
0
.24
)
11
.78
2019
17
.68
0
.17
(
1
.90
)
(
1
.73
)
(
0
.24
)
(
1
.89
)
(
2
.13
)
13
.82
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
See
accompanying
notes.
161
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return(b)
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
17
.73
%
$
4,003
1
.60
%
(c)
0
.96
%
72
.9
%
(
4
.94
)
2,455
1
.66
(c)
1
.08
59
.4
(
3
.49
)
4,384
1
.75
(c)
0
.97
52
.3
29
.91
3,003
1
.75
(c)
1
.83
66
.3
7
.03
401
1
.75
(c)
0
.47
69
.0
(
12
.55
)
103,382
1
.12
(c)
1
.20
28
.9
(
7
.83
)
147,402
1
.13
(c)
1
.91
21
.9
13
.93
214,620
1
.13
(c)
1
.98
31
.5
13
.17
232,872
1
.17
2
.15
25
.5
22
.61
207,431
1
.17
2
.56
25
.8
(
13
.25
)
71,660
1
.87
(c)
0
.45
28
.9
(
8
.50
)
118,135
1
.88
(c)
1
.16
21
.9
13
.08
170,893
1
.88
(c)
1
.23
31
.5
12
.37
178,599
1
.92
(c)
1
.41
25
.5
21
.57
165,335
1
.94
(c)
1
.79
25
.8
(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)
Reflects
Manager's
contractual
expense
limit.
See
accompanying
notes.
162
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
SPECTRUM
PREFERRED
AND
CAPITAL
SECURITIES
INCOME
FUND
Class
A
shares
2020
$
10
.30
$
0
.42
$
0
.05
$
0
.47
(
$
0
.45
)
$
–
(
$
0
.45
)
$
10
.32
2019
10
.06
0
.49
0
.26
0
.75
(
0
.51
)
–
(
0
.51
)
10
.30
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
Class
C
shares
2020
10
.29
0
.35
0
.04
0
.39
(
0
.37
)
–
(
0
.37
)
10
.31
2019
10
.05
0
.42
0
.25
0
.67
(
0
.43
)
–
(
0
.43
)
10
.29
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
See
accompanying
notes.
163
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return(b)
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
4
.77
%
$
844,525
1
.05
%
4
.18
%
18
.1
%
7
.80
732,421
1
.06
4
.96
19
.8
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
.95
365,817
1
.81
3
.44
18
.1
6
.97
469,674
1
.81
4
.21
19
.8
(
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
(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.
Report
of
Independent
Registered
Public
Accounting
Firm
164
To
the
Shareholders
of
Class
A
and
C
shares
of
Blue
Chip
Fund,
Diversified
Real
Asset
Fund
(consolidated),
Edge
MidCap
Fund,
Global
Multi-Strategy
Fund
(consolidated),
International
Small
Company
Fund,
Opportunistic
Municipal
Fund,
Origin
Emerging
Markets
Fund,
Small-MidCap
Dividend
Income
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
and
the
Board
of
Directors
of
Principal
Funds,
Inc.
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statements
of
assets
and
liabilities
of
Blue
Chip
Fund,
Diversified
Real
Asset
Fund
(consolidated),
Edge
MidCap
Fund,
Global
Multi-Strategy
Fund
(consolidated),
International
Small
Company
Fund,
Opportunistic
Municipal
Fund,
Origin
Emerging
Markets
Fund,
Small-MidCap
Dividend
Income
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
(collectively
referred
to
as
the
“Funds”),
(9
of
the
portfolios
constituting
Principal
Funds,
Inc.
(the
“Fund”)),
including
the
schedules
of
investments,
as
of
August
31,
2020,
and
the
related
statements
of
operations,
cash
flows,
and
changes
in
net
assets,
and
the
financial
highlights
for
each
of
the
periods
indicated
in
the
table
below
and
the
related
notes
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
each
of
the
Funds
(9
of
the
portfolios
constituting
the
Fund)
at
August
31,
2020,
and
the
results
of
their
operations,
cash
flows,
changes
in
net
assets
and
financial
highlights
for
each
of
the
periods
indicated
in
the
table
below,
in
conformity
with
U.S.
generally
accepted
accounting
principles.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Fund’s
management.
Our
responsibility
is
to
express
an
opinion
on
each
of
the
Funds’
financial
statements
based
on
our
audits.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(“PCAOB”)
and
are
required
to
be
independent
with
respect
to
the
Fund
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audits
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
The
Fund
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
the
Fund’s
internal
control
over
financial
reporting.
As
part
of
our
audits,
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting
but
not
for
the
purpose
of
expressing
an
opinion
on
the
effectiveness
of
the
Fund’s
internal
control
over
financial
reporting.
Accordingly,
we
express
no
such
opinion.
Our
audits
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
August
31,
2020,
by
correspondence
with
the
custodian,
agent
banks,
and
brokers
or
by
other
appropriate
auditing
procedures
where
replies
from
brokers
or
agent
Individual
portfolio
constituting
the
Fund
Statement
of
operations
Statement
of
cash
flows
Statements
of
changes
in
net
assets
Financial
highlights
Blue
Chip
Fund
Diversified
Real
Asset
Fund
(consolidated)
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Origin
Emerging
Markets
Fund
Small-MidCap
Dividend
Income
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
For
the
year
ended
August
31,
2020
N/A
For
each
of
the
two
years
in
the
period
ended
August
31,
2020
For
each
of
the
five
years
in
the
period
ended
August
31,
2020
Global
Multi-Strategy
Fund
(consolidated)
For
the
year
ended
August
31,
2020
For
each
of
the
two
years
in
the
period
ended
August
31,
2020
For
each
of
the
five
years
in
the
period
ended
August
31,
2020
Edge
MidCap
Fund
For
the
year
ended
August
31,
2020
N/A
For
each
of
the
two
years
in
the
period
ended
August
31,
2020
For
the
year
ended
August
31,
2020
and
the
period
from
December
31,
2018,
date
operations
commenced,
through
August
31,
2019
Report
of
Independent
Registered
Public
Accounting
Firm
165
banks
were
not
received.
Our
audits
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
We
believe
that
our
audits
provide
a
reasonable
basis
for
our
opinion.
We
have
served
as
the
auditor
of
one
or
more
Principal
investment
companies
since
1969.
Minneapolis,
Minnesota
October
23,
2020
Shareholder
Expense
Example
Principal
Funds,
Inc.
August
31,
2020
(unaudited)
166
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
(
March
1,
2020
to
August
31,
2020
),
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
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
the
first
section
under
the
heading
entitled
“Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
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,
such
as
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
Beginning
Account
Value
March
1,
2020
Ending
Account
Value
August
31,
2020
Expenses
Paid
During Period
March
1,
2020 to
August
31,
2020
(a)
Beginning
Account
Value
March
1,
2020
Ending
Account
Value
August
31,
2020
Expenses
Paid
During Period
March
1,
2020 to
August
31,
2020
(a)
Annualized
Expense
Ratio
Blue
Chip
Fund
Class
A
$
1,000.00
$
1,313.03
$
5.41
$
1,000.00
$
1,020.46
$
4.72
0.93
%
Class
C
1,000.00
1,307.06
9.63
1,000.00
1,016.79
8.42
1.66
Diversified
Real
Asset
Fund
Class
A
1,000.00
1,016.44
5.88
1,000.00
1,019.30
5.89
1.16
Class
C
1,000.00
1,013.01
9.87
1,000.00
1,015.33
9.88
1.95
Edge
MidCap
Fund
Class
A
1,000.00
1,090.91
5.78
1,000.00
1,019.61
5.58
1.10
Global
Multi-Strategy
Fund
Class
A
1,000.00
1,031.04
16.24
1,000.00
1,009.15
16.06
3.18
Class
C
1,000.00
1,026.29
19.71
1,000.00
1,005.68
19.51
3.87
Global
Multi-Strategy
Fund
(Excluding
Dividend
and
Interest
Expense
on
Shorts
and
Short
Sale
Fees
and
Reverse
Repurchase
Agreement
Expense)
Class
A
1,000.00
1,031.00
10.62
1,000.00
1,014.55
10.59
2.08
Class
C
1,000.00
1,026.30
14.11
1,000.00
1,011.04
14.10
2.77
International
Small
Company
Fund
Class
A
1,000.00
1,054.84
8.26
1,000.00
1,017.09
8.11
1.60
Opportunistic
Municipal
Fund
Class
A
1,000.00
963.72
4.44
1,000.00
1,020.61
4.57
0.90
Opportunistic
Municipal
Fund
(Excluding
Interest
Expense
and
Fees)
Class
A
1,000.00
963.70
4.15
1,000.00
1,020.86
4.28
0.84
Origin
Emerging
Markets
Fund
Class
A
1,000.00
1,124.66
8.55
1,000.00
1,017.09
8.11
1.60
Shareholder
Expense
Example
Principal
Funds,
Inc.
August
31,
2020
(unaudited)
167
Actual
Hypothetical
Beginning
Account
Value
March
1,
2020
Ending
Account
Value
August
31,
2020
Expenses
Paid
During Period
March
1,
2020 to
August
31,
2020
(a)
Beginning
Account
Value
March
1,
2020
Ending
Account
Value
August
31,
2020
Expenses
Paid
During Period
March
1,
2020 to
August
31,
2020
(a)
Annualized
Expense
Ratio
Small-
MidCap
Dividend
Income
Fund
Class
A
$
1,000.00
$
915.62
$
5.39
$
1,000.00
$
1,019.51
$
5.69
1.12
%
Class
C
1,000.00
911.57
8.99
1,000.00
1,015.74
9.48
1.87
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Class
A
1,000.00
1,014.14
5.32
1,000.00
1,019.86
5.33
1.05
Class
C
1,000.00
1,010.14
9.04
1,000.00
1,016.14
9.07
1.79
(a)
Expenses
are
equal
to
a
fund's
annualized
expense
ratio
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
184/366
(to
reflect
the
one-half
year
period).
168
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.,
Principal
Exchange-Traded
Funds,
and
Principal
Diversified
Select
Real
Asset
Fund
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
Company
Act
of
1940,
as
shown
below
are
considered
to
be
interested
because
of
an
affiliation
with
the
Manager
and
Principal
Life
Insurance
Company.
The
following
directors
are
considered
not
to
be
“interested
persons”
as
defined
in
the
1940
Act
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Elizabeth
Ballantine
Director
since
2004
Member,
Nominating
and
Governance
Committee
1948
Principal,
EBA
Associates
125
Durango
Herald,
Inc.;
McClatchy
Newspapers,
Inc.
Leroy
T.
Barnes,
Jr.
Director
since
2012
Member,
Audit
Committee
Member,
Nominating
and
Governance
Committee
1951
Retired.
125
McClatchy
Newspapers,
Inc.;
Frontier
Communications,
Inc.;
formerly,
Herbalife
Ltd.
Craig
Damos
Lead
Independent
Director
since
2020
Director
since
2008
Member,
Nominating
and
Governance
Committee
Member,15(c)
Committee
Member,
Executive
Committee
1954
President,
C.P.
Damos
Consulting
LLC
125
None
Mark
A.
Grimmett
Director
since
2004
Member,
Audit
Committee
Member,
15(c)
Committee
1960
Formerly,
Executive
Vice
President
and
CFO,
Merle
Norman
Cosmetics,
Inc.
125
None
Fritz
S.
Hirsch
Director
since
2005
Member,
Nominating
and
Governance
Committee
Member,
Operations
Committee
Member,
15(c)
Committee
1951
Formerly,
CEO,
MAM
USA
125
MAM
USA
Tao
Huang
Director
since
2012
Member,
Operations
Committee
Member,
15(c)
Committee
1962
Retired.
125
Armstrong
World
Industries,
Inc.
and
Equity
Lifestyle
Properties,
Inc.
John
D.
Kenney
Director
since
2020
Member,
Operations
Committee
1965
Formerly,
Legg
Mason
Global
Asset
Management
125
Formerly:
Legg
Mason
Investment
Management
Affiliates:
Brandywine
Global;
Clarion
Partners;
ClearBridge
Investments;
Entrust
Global;
Legg
Mason
Poland;
Martin
Currie
Investment
Management;
Permal
Group
(merged
into
Entrust);
QS
Investors;
RARE
Infrastructure;
Royce
and
Associates;
and
Western
Asset
Management
Karen
(“Karrie”)
McMillan
Director
since
2014
Member,
Operations
Committee
1961
Managing
Director,
Patomak
Global
Partners,
LLC
125
None
169
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.
Correspondence
intended
for
each
Director
who
is
other
than
an
Interested
Director
may
be
sent
to
655
9th
Street,
Des
Moines,
IA
50392.
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Elizabeth
A.
Nickels
Director
since
2015
Member,
Audit
Committee
1962
Retired.
125
SpartanNash;
formerly:
Charlotte
Russe;
Follet
Corporation;
PetSmart;
Spectrum
Health
Systems
Mary
M.
(“Meg”)
VanDeWeghe
Director
since
2018
Member,
Operations
Committee
1959
CEO
and
President,
Forte
Consulting,
Inc.
125
Helmerich
&
Payne;
Formerly:
B/E
Aerospace;
Brown
Advisory;
Denbury
Resources
Inc.;
Nalco
(and
its
successor
Ecolab);
and
WP
Carey
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Timothy
M.
Dunbar
Chair
and
Director
since
2019
Member,
Executive
Committee
1957
Director,
PGI
since
2018
President,
Principal
Global
Asset
Management,
PGI,
Principal
Life
Insurance
Company
(“PLIC”),
Principal
Financial
Services,
Inc.
(“PFSI”),
and
Principal
Financial
Group
(“PFG”)
since
2018
Chair/Executive
Vice
President,
RobustWealth,
Inc.
since
2018
Director,
Post
Advisory
Group,
LLC
(“Post”)
since
2018
Executive
Vice
President/Chief
Investment
Officer,
PLIC,
PFSI
and
PFG
(2014-2018)
125
None
Patrick
Halter
Member,
Executive
Committee
Director
since
2017
1959
Chief
Executive
Officer
and
President,
PGI
since
2018
Chief
Operating
Officer,
PGI
(2017-2018)
Chair,
PGI
since
2018
Director,
PGI
(2003-2018)
Director,
Finisterre
Capital
LLP
since
2018
Director,
Origin
Asset
Management
LLP
since
2018
Chair,
Post
since
2017
Chief
Executive
Officer,
Principal
Real
Estate
Investors,
LLC
(“PREI”)
since
2005
Chair,
PREI
since
2004
Chair,
Spectrum
Asset
Management,
Inc.
since
2017
Director,
CCIP,
LLC
since
2017
125
None
170
The
following
table
presents
officers
of
the
Funds.
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Kamal
Bhatia
President,
Chief
Executive
Officer
Des
Moines,
IA
50392
1972
President,
PFG,
PFSI,
and
PLIC
since
2019
Principal
Executive
Officer,
OC
Private
Capital
(2017-2019)
Senior
Vice
President,
OppenheimerFunds
(2011-
2019)
Randy
D.
Bolin
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1961
Vice
President/Associate
General
Counsel,
PFSI
since
2013
Vice
President/Associate
General
Counsel,
PGI
since
2016
Assistant
General
Counsel,
PGI
(2007–2016)
Vice
President/Associate
General
Counsel,
PLIC
since
2013
Tracy
W.
Bollin
Chief
Financial
Officer
Des
Moines,
IA
50392
1970
Managing
Director,
PGI
since
2016
Chief
Operating
Officer,
PMC
(2015-2017)
Chief
Financial
Officer,
PFA
(2010-2015)
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)
President,
PSS
since
2015
Chief
Financial
Officer,
PSS
(2010-2015)
Gina
L.
Graham
Treasurer
Des
Moines,
IA
50392
1965
Vice
President/Treasurer,
PFA
since
2016
Vice
President/Treasurer,
PFD
since
2016
Vice
President/Treasurer,
PGI
since
2016
Vice
President/Treasurer,
PLIC
since
2016
Vice
President/Treasurer,
PMC
(2016-2017)
Vice
President/Treasurer,
PREI
since
2016
Vice
President/Treasurer,
PSI
since
2016
Vice
President/Treasurer,
PSS
since
2016
Laura
B.
Latham
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1986
Counsel,
PGI
since
2018
Prior
thereto,
Attorney
in
Private
Practice
Diane
K.
Nelson
AML
Officer
Des
Moines,
IA
50392
1965
Chief
Compliance
Officer/AML
Officer,
PSS
since
2015
Compliance
Advisor,
PMC
(2013-2015)
Sara
L.
Reece
Vice
President
and
Controller
Des
Moines,
IA
50392
1975
Director
-
Accounting,
PLIC
since
2015
Assistant
Financial
Controller,
PLIC
prior
to
2015
Teri
R.
Root
Chief
Compliance
Officer
Des
Moines,
IA
50392
1979
Chief
Compliance
Officer
–
Funds,
PGI
since
2018
Interim
Chief
Compliance
Officer
(2018)
Deputy
Chief
Compliance
Officer
(2015-2018)
Deputy
Chief
Compliance
Officer,
PGI
since
2017
Vice
President
and
Chief
Compliance
Officer,
PMC
(2015–2017)
Vice
President,
PSS
since
2015
Britney
L.
Schnathorst
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1981
Counsel,
PLIC
since
2013
Adam
U.
Shaikh
Assistant
Counsel
Des
Moines,
IA
50392
1972
Assistant
General
Counsel,
PGI
since
2018
Counsel,
PGI
(2017-2018)
Counsel,
PLIC
since
2006
Counsel,
PMC
(2014-2017)
171
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
public
accountants.
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
committees
established
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
candidates
who
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
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
and
able
to
commit
the
time
necessary
for
attendance
at
meetings
and
the
performance
of
the
duties
of
an
independent
director.
The
Committee
also
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
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
John
L.
Sullivan
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1970
Counsel,
PGI
since
2019
Prior
thereto,
Attorney
in
Private
Practice
Dan
L.
Westholm
Assistant
Treasurer
Des
Moines,
IA
50392
1966
Assistant
Vice
President/Treasurer,
PGI
since
2017
Assistant
Vice
President/Treasury,
PFA
since
2013
Assistant
Vice
President/Treasury,
PFD
since
2013
Assistant
Vice
President/Treasury,
PLIC
since
2014
Assistant
Vice
President/Treasury,
PMC
(2013-
2017)
Assistant
Vice
President/Treasury,
PSI
since
2013
Assistant
Vice
President/Treasury,
PSS
since
2013
Beth
C.
Wilson
Vice
President
and
Secretary
Des
Moines,
IA
50392
1956
Director
and
Secretary
–
Funds,
PLIC
Clint
L.
Woods
Counsel,
Vice
President,
and
Assistant
Secretary
Des
Moines,
IA
50392
1961
Of
Counsel
(2017-2018)
Vice
President
(2016-2017)
Counsel
(2015-2017)
Vice
President,
PLIC
since
2015
Associate
General
Counsel,
Governance
Officer,
and
Assistant
Corporate
Secretary,
PLIC
since
2013
Jared
Yepsen
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1981
Counsel,
PGI
since
2017
Counsel,
PLIC
since
2015
Senior
Attorney,
Transamerica
Life
Insurance
Company
(2013-2015)
172
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
potential
candidates
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,
2019
and
as
supplemented,
and
the
Statement
of
Additional
Information
dated
December
31,
2019
and
as
supplemented.
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
each
year
as
a
part
of
Form
N-PORT.
The
Fund’s
Form
N-PORT
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.
STATEMENT
REGARDING
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
The
Board
of
Directors
of
Principal
Funds,
Inc.
(the
“Board”)
met
on
March
10,
2020
to
review
the
liquidity
risk
management
program
(the
“Program”)
applicable
to
all
series
of
the
Principal
Funds,
Inc.,
(each,
a
“Fund”),
pursuant
to
Rule
22e-4
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Liquidity
Rule”)
for
the
period
from
December
1,
2018
through
December
31,
2019
(the
“Reporting
Period”).
At
the
meeting,
the
committee
designated
by
the
Board
to
administer
the
Program,
the
Liquidity
Risk
Management
Committee
(the
“Committee”),
addressed
the
operation,
adequacy
and
effectiveness
of
the
Program,
the
operation
of
each
Fund’s
highly
liquid
investment
minimum,
where
applicable,
and
any
material
changes
made
to
the
Program
during
the
Reporting
Period.
The
Committee
noted
key
factors
it
considered
when
assessing,
managing
and
reviewing
each
Fund’s
liquidity
risk.
Such
factors
included
each
Fund’s
investment
strategy
and
liquidity
of
portfolio
investments
during
both
normal
and
reasonably
foreseeable
stressed
conditions,
including
(a)
whether
the
Fund’s
investment
strategy
is
appropriate
for
an
open-end
fund,
(b)
the
extent
to
which
the
strategy
involves
a
relatively
concentrated
portfolio
or
large
positions
in
particular
issuers,
and
(c)
the
use
of
borrowings
for
investment
purposes
and
use
of
leveraged
derivatives
and
financial
commitment
obligations;
short-term
and
long-term
cash
flow
projections
during
both
normal
and
reasonably
foreseeable
stressed
conditions;
holdings
of
cash
and
cash
equivalents,
as
well
as
borrowing
arrangements
and
other
funding
sources;
and
each
Fund’s
shareholder
ownership
concentration.
There
were
no
material
changes
to
the
Program
during
the
Reporting
Period.
The
Committee
concluded,
based
on
the
operation
of
the
functions
as
described
in
the
Report
that
the
Program
is
operating
as
intended
and
is
effective
in
implementing
the
requirements
of
the
Liquidity
Rule.
173
BOARD
CONSIDERATION
OF
INVESTMENT
ADVISORY
CONTRACTS
During
the
period
covered
by
this
report,
the
Board
of
Directors
of
Principal
Funds,
Inc.
(“PFI”)
approved:
(1)
an
amended
subadvisory
agreement
between
Principal
Global
Investors,
LLC
(“PGI”
or
the
“Manager”)
and
Finisterre
Capital
LLP
for
the
Global
Multi-Strategy
Fund;
(2)
an
amended
subadvisory
agreement
between
the
Manager
and
Graham
Capital
Management,
L.P.
for
the
Global
Multi-Strategy
Fund;
(3)
an
amended
subadvisory
agreement
between
the
Manager
and
KLS
Diversified
Asset
Management
LP
for
the
Global
Multi-Strategy
Fund;
(4)
an
amended
subadvisory
agreement
between
the
Manager
and
Loomis,
Sayles
&
Company,
L.P.
for
the
Global
Multi-Strategy
Fund;
(5)
an
amended
subadvisory
agreement
between
the
Manager
and
York
Registered
Holdings,
L.P.
for
the
Global
Multi-Strategy
Fund;
(6)
an
amended
subadvisory
agreement
between
the
Manager
and
Los
Angeles
Capital
Management
and
Equity
Research,
Inc.
for
the
Global
Multi-Strategy
Fund;
(7)
an
amended
subadvisory
agreement
between
the
Manager
and
BlackRock
Financial
Management,
Inc.
for
the
Diversified
Real
Asset
Fund;
(8)
an
amended
subadvisory
agreement
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
for
the
Diversified
Real
Asset
Fund;
(9)
an
amended
subadvisory
agreement
between
the
Manager
and
Mellon
Investments
Corporation
for
the
Diversified
Real
Asset
Fund;
(10)
an
amended
subadvisory
agreement
between
the
Manager
and
Symphony
Asset
Management
LLC
for
the
Diversified
Real
Asset
Fund;
and
(11)
a
new
subadvisory
agreement
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
with
respect
to
the
public
global
infrastructure
investment
sleeve
of
the
Diversified
Real
Asset
Fund.
Finisterre
Amended
Subadvisory
Agreement
–
Global
Multi-Strategy
Fund
On
March
10,
2020,
the
Board
considered
whether
to
approve
an
amended
subadvisory
agreement
(the
“Subadvisory
Agreement”)
between
the
Manager
and
Finisterre
Capital
LLP
(the
“Subadvisor”)
with
respect
to
the
Fund
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
that
would
result
in
a
reduction
in
the
subadvisory
fee
rate
payable
at
all
asset
levels.
The
Board
reviewed
materials
received
from
the
Manager
regarding
the
proposed
amendment
to
the
Subadvisory
Agreement
and
noted
that
because
the
Fund’s
subadvisory
fee
was
paid
by
the
Manager,
the
amendment
of
the
subadvisory
fee
schedule
would
not
change
the
management
fee
rate
paid
by
the
Fund.
The
Board
considered
the
Manager’s
representation
that
the
amendment
would
not
reduce
the
quality
or
quantity
of
the
services
the
Subadvisor
provides
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
methodology
for
calculating
the
subadvisory
fee
and
the
amendment
of
the
subadvisory
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
2019
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.
Approval
of
Amended
Subadvisory
Agreements
for
Global
Multi-Strategy
Fund
and
Diversified
Real
Asset
Fund
On
June 9,
2020,
the
Board
considered
whether
to
approve
the
following
amended
subadvisory
agreements:
For
PFI
Global
Multi-Strategy
Fund
(a
“Fund”):
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Graham
Capital
Management,
L.P.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
KLS
Diversified
Asset
Management
LP
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Loomis,
Sayles
&
Company,
L.P.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
York
Registered
Holdings,
L.P.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
and
174
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Los
Angeles
Capital
Management
and
Equity
Research,
Inc.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
and
For
PFI
Diversified
Real
Asset
Fund
(a
“Fund”):
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
BlackRock
Financial
Management,
Inc.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Mellon
Investments
Corporation
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels;
and
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Symphony
Asset
Management
LLC
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
sub--advisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels.
The
Board
reviewed
materials
received
from
the
Manager
regarding
the
proposed
amendments
to
the
Funds’
respective
Subadvisory
Agreements
and
noted
that
because
the
subadvisory
fees
were
paid
by
the
Manager,
the
amendments
would
not
change
the
management
fee
rates
paid
by
the
Funds.
The
Board
considered
the
Manager’s
representation
that
the
amendments
would
not
reduce
the
quality
or
quantity
of
the
services
each
Subadvisor
provides
to
the
applicable
Fund
and
that
each
Subadvisor’s
obligations
under
the
applicable
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
any
Subadvisory
Agreement
other
than
to
the
methodology
for
calculating
the
subadvisory
fee
and
the
subadvisory
fee
schedule.
The
Board
considered
that
they
had
last
approved
each
Subadvisory
Agreement
for
each
applicable
Fund
during
the
annual
contract
renewal
process
that
concluded
at
the
Board
of
Directors’
September
2019
meeting.
They
noted
that
during
the
annual
contract
renewal
process,
they
had
considered
the
nature,
quality
and
extent
of
the
services
provided
by
each
Subadvisor
under
the
applicable
Subadvisory
Agreement
and
had
concluded,
based
upon
the
information
provided,
that
the
terms
of
each
Subadvisory
Agreement
were
reasonable
and
that
approval
of
each
Subadvisory
Agreement
was
in
the
best
interests
of
the
applicable
Fund.
Based
upon
all
of
the
information
considered,
the
Board
concluded
that
it
was
in
the
best
interests
of
each
Fund
to
approve
the
applicable
amended
Subadvisory
Agreements.
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
Subadvisory
Agreement
–
Diversified
Real
Asset
Fund
On
June
9,
2020,
the
Board
considered
whether
to
approve
a
subadvisory
agreement
(the
“Subadvisory
Agreement”)
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
(the
“Subadvisor”)
with
respect
to
the
public
global
infrastructure
investment
sleeve
of
the
Fund.
The
New
Subadvisory
Agreement
was
proposed
in
light
of
an
anticipated
change
in
control
transaction
with
respect
to
the
Subadvisor
that
is
expected
to
be
effective
in
the
third
quarter
of
2020.
This
transaction,
if
completed,
would
result
in
the
“assignment”
(as
defined
in
the
Investment
Company
Act
of
1940)
of
the
current
subadvisory
agreement
between
the
Manager
and
the
Subadvisor
(the
“Current
Subadvisory
Agreement”),
causing
the
Current
Subadvisory
Agreement
to
terminate
automatically.
The
Manager
proposed
that
the
Board
approve
the
New
Subadvisory
Agreement
to
take
effect
upon
the
termination
of
the
Current
Subadvisory
Agreement
in
order
to
allow
the
Subadvisor
to
continue
to
provide
portfolio
management
services
to
the
Fund
following
the
change
in
control.
The
Board
reviewed
materials
received
from
the
Manager
regarding
the
proposed
change
in
control
transaction.
The
Board
considered
that
they
had
last
approved
the
annual
renewal
of
the
Current
Subadvisory
Agreement
for
the
Fund
during
the
annual
contract
renewal
process
that
concluded
at
the
Board
of
Directors’
September
2019
meeting,
and
that
they
had
subsequently
approved
an
amendment
to
the
Current
Subadvisory
Agreement
at
the
Board
of
Directors’
June
2020
meeting
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels.
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
175
the
Current
Subadvisory
Agreement
and
had
concluded,
based
upon
the
information
provided,
that
the
terms
of
the
Current
Subadvisory
Agreement
were
reasonable
and
that
approval
of
the
Current
Subadvisory
Agreement
was
in
the
best
interests
of
the
Fund.
The
Board
considered
the
Manager’s
statement
that
there
were
no
anticipated
changes
to
the
current
portfolio
management
team,
investment
philosophy
or
process
at
the
Subadvisor,
that
the
change
in
ownership
was
not
expected
to
impact
the
nature,
quality
or
extent
of
services
that
the
Subadvisor
provides
to
the
Fund
and
that
the
Manager,
after
considering
the
assignment,
continued
to
believe
that
the
Subadvisor
is
an
appropriate
subadvisor
for
the
Fund.
The
Board
also
noted
the
Manager’s
statement
that
the
New
Subadvisory
Agreement
for
the
Fund
would
be
identical
to
the
Current
Subadvisory
Agreement
in
all
material
respects
(including
the
subadvisory
fee
schedule).
Based
upon
all
of
the
information
considered,
the
Board
concluded
that
it
was
in
the
best
interests
of
the
Fund
to
approve
the
New
Subadvisory
Agreement
to
take
effect
following
the
change
in
control
of
the
Subadvisor.
176
Special
Meeting
of
Shareholders
Principal
Funds,
Inc.
Held
June
23,
2020
1.
Approval
of
a
Plan
of
Acquisition
providing
for
the
reorganization
of
the
SystematEx
International
Fund
into
the
Diversified
International
Fund.
For
Against
Abstain
SystematEx
International
Fund
22,860,968.411
0.000
0.000
Federal
Income
Tax
Information
Principal
Funds,
Inc.
August
31,
2020
(unaudited)
177
Long-Term
Capital
Gain
Dividends.
Certain
funds
distributed
long-term
capital
gain
dividends
during
the
fiscal
year
ended
August
31,
2020
.
Details
of
designated
long-term
capital
gain
dividends
for
federal
income
tax
purposes
are
shown
in
the
Notes
to
Financial
Statements.
To
the
extent
necessary
to
distribute
such
capital
gains,
certain
funds
may
also
utilize,
and
hereby
designate,
earnings
and
profits
distributed
to
shareholders
on
redemptions
of
shares
as
part
of
the
Dividends
Paid
Deduction.
Dividends
Received
Deduction
(“DRD”).
For
corporate
shareholders,
the
percentage
of
ordinary
income
distributions
(dividend
income
and
short-term
gains,
if
any)
for
the
year
ended
August
31,
2020
,
that
qualifies
for
the
DRD
are
as
follows:
Qualified
Dividend
Income
(“QDI”).
Certain
dividends
paid
by
the
funds
may
be
subject
to
a
maximum
tax
rate
of
20%.
The
QDI
percentages
of
ordinary
income
distributions
are
as
follows:
Foreign
Taxes
Paid.
The
following
funds
elect
under
the
Internal
Revenue
Code
Section
853
to
pass
through
foreign
taxes
paid
to
their
shareholders.
The
total
amounts
of
foreign
taxes
passed
through
to
shareholders
on
a
per
share
basis
for
the
year
ended
August
31,
2020
,
are
as
follows:
Section
163(j)
Interest
Dividends.
The
fund
intends
to
pass
through
the
maximum
amount
allowable
as
Section
163(j)
Interest
Dividends
as
defined
in
Proposed
Treasury
Regulation
§1.163(j)-1(b).
The
163(j)
percentage
of
ordinary
income
distributions
is
as
follows:
This
information
is
given
to
meet
certain
requirements
of
the
Internal
Revenue
Code
and
should
not
be
used
by
shareholders
for
preparing
their
income
tax
returns.
For
tax
return
preparation
purposes,
please
refer
to
the
information
supplied
with
the
1099-DIV
form
you
will
receive
from
the
fund's
transfer
agent.
The
latest
tax
reporting
supplement
is
available
on
Principal's
Tax
Center
website.
Website:
https://www.principalfunds.com/individual-investor/customer-support/tax-center
Please
consult
your
tax
advisor
if
you
have
any
questions.
DRD
Blue
Chip
Fund
96.03%
Diversified
Real
Asset
Fund
24.33
Edge
MidCap
Fund
82.31
Global
Multi-Strategy
Fund
N/A
International
Small
Company
Fund
0.00
Opportunistic
Municipal
Fund
0.00
Origin
Emerging
Markets
Fund
0.00
Small-MidCap
Dividend
Income
Fund
91.42
Spectrum
Preferred
and
Capital
Securities
Income
Fund
36.86
QDI
Blue
Chip
Fund
100.00%
Diversified
Real
Asset
Fund
77.30
Edge
MidCap
Fund
87.41
Global
Multi-Strategy
Fund
N/A
International
Small
Company
Fund
88.85
Opportunistic
Municipal
Fund
0.00
Origin
Emerging
Markets
Fund
81.70
Small-MidCap
Dividend
Income
Fund
100.00
Spectrum
Preferred
and
Capital
Securities
Income
Fund
74.00
Foreign
Taxes
Per
Share
International
Small
Company
Fund
$
0.0163
Origin
Emerging
Markets
Fund
0.0242
163(j)
Interest
Dividends
Spectrum
Preferred
and
Capital
Securities
Income
Fund
26.91%
Principal
Funds
Distributor,
Inc.
711
High
Street
Des
Moines,
IA
50392-6370
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not
use
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address
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as
general
information
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This
material
is
not
authorized
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distribution
unless
preceded
or
accompanied
by
a
current
prospectus
or
a
summary
prospectus
that
includes
more
information
regarding
the
risk
factors,
expenses,
policies,
and
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Investors
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read
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or
summary
prospectus
carefully
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prospectus,
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Distributor,
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Financial
Group
company.
©
2020
Principal
Financial
Services,
Inc.
|
FV689-10
|
08/2020
|
921108
Principal
Capital
Securities
Fund
Class
S
Shares
Annual
Report
August
31,
2020
Beginning
on
January
1,
2021,
as
permitted
by
regulations
adopted
by
the
Securities
and
Exchange
Commission,
paper
copies
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
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receive
all
future
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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
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instructions
included
with
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disclosure
to
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continue
to
receive
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copies
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election
to
receive
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paper
will
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funds
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the
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complex
or
to
the
shares
you
own
through
your
financial
intermediary.
Table
of
Contents
Not
FDIC
or
NCUA
insured
May
lose
value
•
Not
a
deposit
•
No
bank
or
credit
union
guarantee
Not
insured
by
any
Federal
government
agency
Economic
&
Financial
Market
Review
1
Capital
Securities
Fund
(unaudited)
2
Financial
Statements
3
Notes
to
Financial
Statements
6
Schedule
of
Investments
12
Financial
Highlights
(includes
performance
information)
18
Report
of
Independent
Registered
Public
Accounting
Firm
20
Shareholder
Expense
Example
21
Supplemental
Information
22
1
Economic
&
Financial
Market
Review
The
August
drop
in
new
COVID-19
cases
in
the
United
States
allowed
the
recovery
to
broaden.
The
rise
in
new
cases
in
Europe
and
a
second
wave
in
Japan
is
dampening
their
nascent
rebounds.
China’s
upturn
marches
on.
It
was
a
risk-on
month
for
financial
markets,
but
long-term
yields
edged
higher,
handing
losses
to
holders
of
safe-haven
government
bonds.
Stock
markets
may
have
more
upside
as
economic
activity
resumes
and
people
get
back
to
work.
Long-term
equity
returns
will
likely
be
limited
given
current
valuations.
In
the
U.S.,
housing
activity
is
booming.
Sales
of
existing
and
new
homes
are
soaring,
with
the
latter
the
best
since
late
2006.
Business
orders
for
durable
goods
jumped
11.2%
in
July,
far
above
expectations—this
after
a
7.7%
surge
in
June.
Orders
and
shipments
for
non-defense
capital
goods
ex
aircraft,
a
measure
of
business’
capital
spending,
are
both
essentially
flat
with
July
last
year.
Retail
sales
are
back
to
new
highs.
July
household
income
and
spending
kept
rising.
Steel
production
is
up
for
the
11th
straight
week
(but
still
well
below
last
year).
Absent
another
outbreak
of
COVID-19
activity,
the
U.S.
economic
revival
should
stay
on
track.
Despite
a
series
of
setbacks,
a
mild
recovery
from
the
economic
lockdowns
in
Japan
is
underway.
Support
for
the
ruling
party
was
strong
and
an
election
doesn’t
have
to
be
held
until
October
2021,
so
policy
will
likely
not
change
much
after
Prime
Minister
Shinzo
Abe’s
resignation.
With
the
second
wave
of
infections
diminishing,
we
expect
Japan’s
revival
to
gradually
strengthen.
We
expect
the
moderate
Eurozone
rebound
to
persist.
China
was
the
first
to
succumb
to
recession
and
is
leading
the
way
out.
*Commentary
taken
from
September
2020
Economic
Insights
by
Robert
F.
Baur,
Ph.D.,
executive
director,
chief
global
economist.
All
data
from
Bloomberg,
unless
otherwise
stated.
2
Capital
Securities
Fund
Investment
Advisor:
Principal
Global
Investors,
LLC
Sub-Advisor:
Spectrum
Asset
Management,
Inc.
Investment
results
shown
represent
historical
performance
and
do
not
guarantee
future
results.
Your
investment’s
returns
and
principal
values
will
fluctuate
with
changes
in
interest
rates
and
other
market
conditions
so
the
value,
when
redeemed,
may
be
worth
more
or
less
than
original
costs.
Current
performance
may
be
lower
or
higher
than
the
performance
shown.
For
more
information,
including
the
most
recent
month-end
performance,
visit
principalfunds.com,
call
your
financial
professional,
or
call
800-222-5852
.
Average
Annual
Total
Returns*
as
of
August
31,
2020
What
contributed
to
or
detracted
from
Fund
performance
during
the
fiscal
year?
Capital
Securities
Fund
seeks
to
provide
current
income.
The
Fund
invests
at
least
80%
of
its
net
assets,
plus
any
borrowings
for
investment
purposes,
in
capital
securities
at
the
time
of
purchase.
It
may
invest
up
to
100%
of
its
assets
in
below
investment
grade
(sometimes
called
"junk")
preferred
securities
which
are
rated
at
the
time
of
purchase
Ba1
or
lower
by
Moody's
and
BB+
or
lower
by
S&P
Global,
provided
that
the
issuer
of
such
below
investment
grade
preferred
securities
has
senior
debt
outstanding
that
is
rated
at
the
time
of
purchase
BBB-
or
higher
by
S&P
Global
or
Baa3
or
higher
by
Moody's.
AT1
Coco’s
were
the
best
performing
asset
class
this
period
as
investors
sought
the
additional
yield
pickup
this
asset
offers
relative
to
other
Preferred
securities.
European
Central
Bank
actions
to
ease
capital
rules
and
positive
comments
on
AT1
coupons
also
were
supportive.
This
was
a
strong
period
of
performance
for
assets
with
duration
as
rates
trended
lower
significantly
and
we
got
extraordinary
fiscal
and
monetary
support.
The
Insurance
hybrids,
given
their
longer
duration,
performed
strongly.
Legacy
Tier1
bonds
in
the
portfolio
performed
strongly
due
to
a
combination
of
decreasing
rates
and
increasing
liability
management
activity
as
we
approach
the
point
at
which
these
bonds
will
lose
all
Tier1
credit.
The
$1000
par
Preferreds
in
the
portfolio
lagged
relative
to
Jr.
subordinated
debt
given
supply
and
non-call/extension
on
a
number
of
bonds
as
a
result
of
the
low
rate
environment.
The
Insurance
hybrid
floaters
detracted
from
performance
given
falling
LIBOR
rates.
Value
of
a
$10,000
Investment*
March
14,
2014
-
August
31,
2020
1-Year
5-Year
Since
Inception
Inception
Date
Class
S
Shares
7.42%
6.57%
6.08%
3/14/14
*Performance
assumes
reinvestment
of
all
dividends
and
capital
gains.
Performance
does
not
reflect
the
impact
of
federal,
state,
or
municipal
taxes.
If
it
did,
performance
would
be
lower.
**Performance
shown
for
the
benchmark
is
calculated
from
2/28/2014
and
assumes
reinvestment
of
all
dividends
and
distributions.
Indices
are
unmanaged,
and
individuals
cannot
invest
directly
in
an
index.
***Securities
described
in
the
fund
commentary
may
no
longer
be
held
in
the
fund.
Statement
of
Assets
and
Liabilities
Principal
Funds,
Inc.
August
31,
2020
3
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Capital
Securities
Fund
Investment
in
securities--at
cost
......................................................................................................................
$
779,905
Investment
in
affiliated
Funds--at
cost
...............................................................................................................
$
30,689
Assets
Investment
in
securities--at
value
......................................................................................................................
$
816,163
(a)
Investment
in
affiliated
Funds--at
value
................................................................................................................
30,689
Receivables:
Dividends
and
interest
.............................................................................................................................
10,979
Expense
reimbursement
from
Manager
...........................................................................................................
52
Fund
shares
sold
...................................................................................................................................
3,412
Investment
securities
sold
.........................................................................................................................
7,105
Total
Assets
868,400
Liabilities
Accrued
transfer
agent
fees
.............................................................................................................................
50
Accrued
directors'
expenses
.............................................................................................................................
3
Accrued
professional
fees
...............................................................................................................................
31
Accrued
other
expenses
.................................................................................................................................
17
Payables:
Fund
shares
redeemed
.............................................................................................................................
196
Investment
securities
purchased
..................................................................................................................
12,494
Collateral
obligation
on
securities
loaned,
at
value
.....................................................................................................
8,760
Total
Liabilities
21,551
Net
Assets
Applicable
to
Outstanding
Shares
........................................................................................................
$
846,849
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...........................................................................................................
$
822,693
Total
distributable
earnings
(accumulated
loss)
.........................................................................................................
24,156
Total
Net
Assets
$
846,849
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
........................................................................................................................................
500,000
Net
Asset
Value
Per
Share:
Class
S
:
Net
Assets
......................................................................................................................................
$
846,849
Shares
Issued
and
Outstanding
....................................................................................................................
81,750
Net
Asset
Value
per
share
.........................................................................................................................
$
10
.36
(a)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
Statement
of
Operations
Principal
Funds,
Inc.
Year
Ended
August
31,
2020
4
See
accompanying
notes.
Amounts
in
thousands
Capital
Securities
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
......................................................................................................................
$
204
Dividends
..............................................................................................................................................
1,942
Interest
.................................................................................................................................................
33,431
Securities
lending
-
net
................................................................................................................................
49
Total
Income
35,626
Expenses:
Registration
fees
-
Class
S
............................................................................................................................
47
Shareholder
reports
-
Class
S
.........................................................................................................................
7
Transfer agent
fees
-
Class
S
..........................................................................................................................
274
Chief
compliance
officer
expenses
....................................................................................................................
1
Custodian
fees
.........................................................................................................................................
8
Directors'
expenses
....................................................................................................................................
15
Professional fees
......................................................................................................................................
36
Other
expenses
........................................................................................................................................
6
Total
Gross
Expenses
394
Less:
Reimbursement
from
Manager
-
Class
S
.......................................................................................................
394
Total
Net
Expenses
–
Net
Investment
Income
(Loss)
35,626
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments
Net
realized
gain
(loss)
from:
Investment
transactions
...............................................................................................................................
(
3,951
)
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
............................................................................................................................................
21,252
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments
17,301
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
52,927
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
5
See
accompanying
notes.
Amounts
in
thousands
Capital
Securities
Fund
Year
Ended
August
31,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
35,626
$
33,282
Net
realized
gain
(loss)
on
investments
.............................................................................................
(3,951)
(2,808)
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
21,252
17,274
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
52,927
47,748
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(38,142)
(32,876)
From
tax
return
of
capital
...........................................................................................................
(99)
–
Total
Dividends
and
Distributions
(38,241)
(32,876)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
183,731
89,114
Total
Increase
(Decrease)
in
Net
Assets
198,417
103,986
Net
Assets
Beginning
of
period
.................................................................................................................
648,432
544,446
End
of
period
.......................................................................................................................
$
846,849
$
648,432
Class
S
Capital
Share
Transactions:
Year
Ended
August
31,
2020
Dollars:
Sold
...........................................................................................................
$
332,732
Reinvested
......................................................................................................
23,946
Redeemed
.......................................................................................................
(172,947)
Net
Increase
(Decrease)
.............................................................................................
$
183,731
Shares:
Sold
...........................................................................................................
33,081
Reinvested
......................................................................................................
2,381
Redeemed
.......................................................................................................
(17,461)
Net
Increase
(Decrease)
.............................................................................................
18,001
Year
Ended
August
31,
2019
Dollars:
Sold
...........................................................................................................
$
225,728
Reinvested
......................................................................................................
21,352
Redeemed
.......................................................................................................
(157,966)
Net
Increase
(Decrease)
.............................................................................................
$
89,114
Shares:
Sold
...........................................................................................................
23,051
Reinvested
......................................................................................................
2,184
Redeemed
.......................................................................................................
(16,226)
Net
Increase
(Decrease)
.............................................................................................
9,009
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
6
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
Capital
Securities
Fund
(the
“fund”)
are
presented
herein.
The
fund
is
an
investment
company
and
applies
specialized
accounting
and
reporting
under
Accounting
Standards
Codification
(“ASC”)
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
The
preparation
of
financial
statements
in
conformity
with
U.S.
generally
accepted
accounting
principles
(“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
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
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
Principal
Global
Investors,
LLC
(the
“Manager”)
under
procedures
established
and
periodically
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
been
used
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.
Callable
debt
securities
purchased
at
a
premium
are
amortized
to
the
earliest
call
date
and
to
the
callable
amount,
if
other
than
par.
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.
Dividends
and
Distributions
to
Shareholders.
Dividends
and
distributions
to
shareholders
of
the
fund
are
recorded
on
the
ex-dividend
date.
Dividends
and
distributions
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
tax
purposes,
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
“regulated
investment
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.
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
7
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
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
current
year.
During
the
period
ended
August
31,
2020
,
the
fund
did
not
record
any
such
tax
benefit
or
expense
in
the
accompanying
financial
statements.
The
statute
of
limitations
remains
open
for
the
last
three
years,
once
a
return
is
filed.
No
examinations
are
in
progress
at
this
time.
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.
In
March
2020,
the
Financial
Accounting
Standards
Board
("FASB") issued
Accounting
Standards
Update
("ASU")
No.
2020-04
Reference
Rate
Reform
(Topic
848);
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting,
which
provides
optional
guidance
for
a
limited
period
of
time
to
ease
the
potential
burden
in
accounting
for
(or
recognizing
the
effects
of)
reference
rate
reform.
The
guidance
is
applicable
to
contracts
referencing
London
Interbank
Offered
Rate
(“LIBOR”)
or
another
reference
rate
that
is
expected
to
be
discontinued
due
to
reference
rate
reform.
The
ASU
is
effective
as
of
March
12,
2020
and
generally
can
be
applied
through
December
31,
2022.
Management
is
evaluating
the
underlying
securities
referencing
LIBOR
or
another
reference
rate
that
is
expected
to
be
discontinued
as
a
reference
rate
over
the
period
of
time
the
ASU
is
effective.
In
August
2018,
the
FASB
issued
ASU
No.
2018-13,
Fair
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
August
31,
2020,
the
fund
has
adopted
the
ASU.
In
March
2017,
the
FASB
issued
ASU
No.
2017-08,
Premium
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
fund
adopted
the
new
amendment
as
of
September
1,
2019.
The
adoption
of
the
ASU
resulted
in
a
cumulative
effective
adjustment
to
components
within
total
distributable
earnings
(accumulated
loss)
on
the
statement
of
assets
and
liabilities
as
of
the
beginning
of
the
fiscal
year.
This
cumulative
effective
adjustment
did
not
impact
the
fund’s
net
assets.
3.
Operating
Policies
Borrowings.
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
fund
and
other
registered
investment
companies
managed
by
the
Manager
may
participate
in
an
interfund
lending
facility
(“Facility”).
The
Facility
allows
the
fund
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
Federal
Funds
Rate
or
(ii)
the
One
Month
LIBOR
rate
plus
1.00%).
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
loans
or
borrowings
on
the
Facility
as
of
August
31,
2020.
During
the
period
ended
August
31,
2020,
the
fund
lent
to
the
Facility
as
follows
(amounts
in
thousands):
During
the
year
ended
August
31,
2020,
the
fund
did
not
borrow
from
the
Facility.
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
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
0.20%
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.
The
fund
did
not
borrow
against
the
line
of
credit
during
the
period
ended
August
31,
2020
.
Average
Daily
Amount
Loaned
Weighted
Average
Annual
Interest
Rate
Capital
Securities
Fund
$
96
2.17%
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
8
Contingent
Convertible
Securities.
Contingent
convertible securities
(“
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
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
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
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
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
liabilities
arising
out
of
the
performance
of
their
duties.
In
addition,
in
the
normal
course
of
business,
the
Fund
may
enter
into
a
variety
of
contracts
that
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.
Securities
Lending.
To
earn
additional
income,
the
fund
may
lend
portfolio
securities
to
approved
brokerage
firms.
The
fund
receives
collateral,
in
the
form
of
cash,
against
the
loaned
securities.
During
the
period
of
the
loan,
the
borrower
must
maintain
collateral
in
an
amount
not
less
than
102%
of
the
market
value
of
domestic
and
foreign
fixed
income
loaned
securities
and
105%
of
the
market
value
of
the
foreign
equity
loaned
securities.
The
market
value
of
the
loaned
securities
is
determined
at
the
close
of
business
of
the
fund
and
any
additional
required
collateral
is
delivered
to
the
fund
on
the
next
business
day.
The
cash
collateral
received
is
usually
invested
in
a
SEC-registered
money
market
mutual
fund
and
the
fund
could
realize
a
loss
on
such
investments.
Further,
the
fund
could
experience
a
delay
in
recovering
its
securities
and
possible
loss
of
income
or
value
if
the
borrower
fails
to
return
them.
Security
lending
income,
net
of
related
fees,
is
shown
on
the
statement
of
operations.
As
of
August
31,
2020
,
the
fund
had
securities
on
loan
as
follows
(amounts
in
thousands):
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
the
principal
or
most
advantageous
market
of
the
security
at
the
measurement
date.
In
determining
fair
value,
the
fund
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
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
municipal
bonds.
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.
Market
Value
Collateral
Value
Capital
Securities
Fund
$
8,190
$
8,760
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
9
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
fund
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
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.
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
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
be
affected
by
significant
changes
in
the
economic
conditions,
changes
in
government
policies,
and
other
factors
(e.g.,
natural
disasters,
pandemics,
accidents,
conflicts,
etc.).
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
August
31,
2020
in
valuing
the
fund’s
securities
carried
at
fair
value
(amounts
in
thousands):
*For
additional
detail
regarding
sector
classifications,
please
see
the
schedule
of
investments
During
the
year,
there
were
no
purchases,
sales,
or
transfers
into
or
out
of
Level
3.
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Capital
Securities
Fund
Bonds*
$
—
$
759,215
$
—
$
759,215
Convertible
Preferred
Stocks
Financial
1,495
—
—
1,495
Industrial
—
2,963
—
2,963
Investment
Companies
31,850
—
—
31,850
Preferred
Stocks
Communications
3,044
—
—
3,044
Energy
4,092
—
—
4,092
Financial
14,274
—
—
14,274
Government
1,680
5,105
—
6,785
Utilities
1,130
—
—
1,130
U.S.
Government
&
Government
Agency
Obligations*
—
22,004
—
22,004
Total
investments
in
securities
$
57,565
$
789,287
$
—
$
846,852
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
10
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
fund
fees
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
reporting
period.
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.
Amounts
owed
to
the
fund
under
the
terms
of
the
expense
limitation
agreements
are
reflected
in
the
statement
of
assets
and
liabilities
as
an
expense
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
among
the
registered
investment
companies
managed
by
the
Manager
based
on
the
relative
net
assets
of
each
fund
and
is
shown
on
the
statement
of
operations.
6.
Investment
Transactions
For
the
period
ended
August
31,
2020,
the
cost
of
investment
securities
purchased
and
proceeds
from
investment
securities
sold
(not
including
short-term
investments
and
U.S.
government
securities)
by
the
fund
was
as
follows
(amounts
in
thousands):
For
the year
ended
August
31,
2020,
the
cost
of
U.S.
government
securities
purchased
and
proceeds
from
U.S.
government
securities
sold
(not
including
short-term
investments)
by
the
fund
was
as
follows
(amounts
in
thousands):
7.
Federal
Tax
Information
Distributions
to
Shareholders.
The
federal
income
tax
character
of
distributions
paid
for
the years
ended August
31,
2020 and
August
31,
2019 were
as
follows
(amounts
in
thousands):
For
U.S.
federal
income
tax
purposes,
short-term
capital
gain
distributions
are
considered
ordinary
income
distributions.
Distributable
Earnings.
As
of
August
31,
2020,
the
components
of
distributable
earnings/(deficit)
on
a
federal
tax
basis
were
as
follows
(amounts
in
thousands):
*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.
As
of
August
31,
2020,
the
fund
had
approximate
net
capital
loss
carryforwards
as
follows
(amounts
in
thousands):
Capital
losses
will
be
carried
forward
with
no
expiration
and
with
the
character
of
the
loss
retained.
For
the
year
ended
August
31,
2020
,
the
fund
did
not
utilize
any
capital
loss
carryforwards.
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
taxable
year
sub
sequent
to
October
31
and
December
31,
respectively. As
of
August
31,
2020,
the
fund
does
not
plan
to
defer
any
late
year
losses.
Purchases
Sales
Capital
Securities
Fund
$
238,332
$
84,614
Purchases
Sales
Securities
Sold
Capital
Securities
Fund
$
34,643
$
12,521
$
—
$
—
Ordinary
Income
Return
of
Capital
2020
2019
2020
2019
Capital
Securities
Fund
$
38,142
$
32,876
$
99
$
—
Undistributed
Ordinary
Income
Undistributed
Long-Term
Capital
Gains
Accumulated
Losses
Net
Unrealized
Appreciation
(Depreciation)
Other
Temporary
Differences
*
Total
Accumulated
Earnings
(Deficit)
Capital
Securities
Fund
$
—
$
—
$
(8,956
)
$
26,644
$
6,468
$
24,156
Short-Term
Long-Term
Total
Capital
Securities
Fund
$
619
$
8,337
$
8,956
Notes
to
Financial
Statements
Principal
Funds,
Inc.
August
31,
2020
11
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
net
assets
as
from
net
investment
income
and
net
realized
gain
on
investments
or
from
tax
return
of
capital
depending
on
the
type
of
book
and
tax
differences
that
exist.
For
the
year
ended
August
31,
2020,
the
fund
recorded
reclassifications
as
follows
(amounts
in
thousands):
Federal
Income
Tax
Basis.
At
August
31,
2020,
the
net
federal
income
tax
unrealized
appreciation
(depreciation)
and
federal
tax
cost
of
investments
held
by
the
fund
were
as
follows
(amounts
in
thousands):
8.
Other
Matters
As
of
the
date
these
financial
statements
were
available
to
be
issued,
the
outbreak
of
the
novel
coronavirus
(“COVID-19”)
in
many
countries
continues
to
adversely
impact
global
commercial
activity
and
has
contributed
to
significant
volatility
in
financial
markets.
The
global
impact
of
the
outbreak
has
been
rapidly
evolving
and
many
countries
have
reacted
by
instituting
quarantines
and
restriction
on
travel.
Such
measures,
as
well
as
the
general
uncertainty
surrounding
the
dangers
and
impact
of
COVID-19,
are
creating
significant
disruption
in
supply
chains
and
economic
activity.
As
COVID-19
continues
to
spread,
the
potential
impacts,
including
a
global,
regional
or
other
economic
recession,
are
increasingly
difficult
to
assess.
These
events,
or
fear
of
such
an
event,
present
material
uncertainty
and
risk
with
respect
to
the
fund’s
performance
and
financial
results.
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
additional
disclosure.
Total
Distributable
Earnings
(Accumulated
Loss)
Capital
Shares
and
Additional
Paid-in-Capital
Capital
Securities
Fund
$
99
$
(99
)
Unrealized
Appreciation
Unrealized
(Depreciation)
Net
Unrealized
Appreciation/
(Depreciation)
Cost
for
Federal
Income
Tax
Purposes
Capital
Securities
Fund
$
36,897
$
(10,253)
$
26,644
$
820,208
7.
Federal
Tax
Information
(continued)
Schedule
of
Investments
Capital
Securities
Fund
August
31,
2020
See
accompanying
notes.
12
INVESTMENT
COMPANIES
-
3.76%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.14%
Invesco
Preferred
ETF
28,229
$
421
iShares
Preferred
&
Income
Securities
ETF
20,163
740
$
1,161
Money
Market
Funds
-
3.62%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c),(d)
30,688,659
30,689
TOTAL
INVESTMENT
COMPANIES
$
31,850
CONVERTIBLE
PREFERRED
STOCKS
-
0.53%
Shares
Held
Value
(000's)
Banks
-
0.18%
Bank
of
America
Corp
7.25%
(e)
1,000
$
1,495
Hand
&
Machine
Tools
-
0.35%
Stanley
Black
&
Decker
Inc
5.00%,
05/15/2021
(e)
2,500
2,963
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
4,458
PREFERRED
STOCKS
-
3.46%
Shares
Held
Value
(000's)
Banks
-
0.95%
Fifth
Third
Bancorp
6.63%,
12/31/2023
(e)
88,310
$
2,486
3
Month
USD
LIBOR
+
3.71%
First
Republic
Bank/CA
5.13%,
06/30/2022
(e),(f)
45,549
1,200
Huntington
Bancshares
Inc
/OH
6.25%,
04/15/2021
(e),(f)
78,159
2,005
KeyCorp
6.13%,
12/15/2026
(e)
30,920
920
3
Month
USD
LIBOR
+
3.89%
Valley
National
Bancorp
6.25%,
06/30/2025
(e)
28,980
808
3
Month
USD
LIBOR
+
3.85%
Webster
Financial
Corp
5.25%,
12/15/2022
(e)
24,861
658
$
8,077
Diversified
Financial
Services
-
0.15%
Capital
One
Financial
Corp
5.00%,
12/01/2024
(e)
50,000
1,259
Electric
-
0.12%
Southern
Co/The
0.00%,
01/30/2080
(b)
37,500
1,006
Southern
Co/The
6.25%,
10/15/2075
1,300
33
$
1,039
Gas
-
0.01%
Entergy
New
Orleans
LLC
5.50%,
04/01/2066
900
25
NiSource
Inc
6.50%,
03/15/2024
(e)
2,439
66
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.63%
$
91
Insurance
-
0.36%
American
Financial
Group
Inc
/OH
5.13%,
12/15/2059
425
11
American
International
Group
Inc
5.85%,
03/15/2024
(e)
1,600
44
Arch
Capital
Group
Ltd
5.45%,
08/17/2022
(e)
2,000
53
Equitable
Holdings
Inc
5.25%,
12/15/2024
(e)
40,265
1,011
MetLife
Inc
0.00%,
03/15/2025
(b),(e)
40,000
1,059
Voya
Financial
Inc
5.35%,
09/15/2029
(e)
30,000
845
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.21%
$
3,023
Pipelines
-
0.48%
Enbridge
Inc
6.38%,
04/15/2078
158,468
4,092
3
Month
USD
LIBOR
+
3.59%
REITs
-
0.23%
Digital
Realty
Trust
Inc
5.88%,
09/30/2020
(e)
724
19
Kimco
Realty
Corp
5.25%,
12/20/2022
(e)
14,318
379
PS
Business
Parks
Inc
4.88%,
11/04/2024
(e)
1,447
39
PS
Business
Parks
Inc
5.20%,
12/07/2022
(e),(f)
2,000
53
PS
Business
Parks
Inc
5.25%,
09/21/2022
(e)
500
13
Public
Storage
4.88%,
09/12/2024
(e),(f)
38,279
1,045
Public
Storage
5.13%,
05/17/2021
(e),(f)
8,790
227
Public
Storage
5.40%,
01/20/2021
(e),(f)
2,031
53
Public
Storage
5.60%,
03/11/2024
(e)
500
14
Vornado
Realty
Trust
5.70%,
09/30/2020
(e)
2,867
73
$
1,915
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Sovereign
-
0.80%
CoBank
ACB
6.13%,
10/01/2020
(e)
6,000
$
630
CoBank
ACB
6.20%,
01/01/2025
(e)
10,000
1,050
3
Month
USD
LIBOR
+
3.74%
CoBank
ACB
6.25%,
10/01/2022
(e)
38,800
4,035
3
Month
USD
LIBOR
+
4.56%
Farm
Credit
Bank
of
Texas
6.75%,
09/15/2023
(e),(g)
10,000
1,070
3
Month
USD
LIBOR
+
4.01%
$
6,785
Telecommunications
-
0.36%
AT&T
Inc
0.00%,
02/18/2025
(b),(e)
120,000
3,044
TOTAL
PREFERRED
STOCKS
$
29,325
BONDS
-
89.65%
Principal
Amount
(000's)
Value
(000's)
Banks
-
49.11%
Australia
&
New
Zealand
Banking
Group
Ltd/
United
Kingdom
6.75%,
12/31/2049
(e),(g),(h),(
i
)
$
1,900
$
2,178
USD
Swap
Rate
NY
5
Year
+
5.17%
Banco
Bilbao
Vizcaya
Argentaria
SA
6.50%,
12/31/2049
(e),(h),(
i
)
9,400
9,423
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.19%
Bank
of
America
Corp
6.25%,
12/31/2049
(e),(h)
2,000
2,193
3
Month
USD
LIBOR
+
3.71%
6.30%,
12/31/2049
(e),(h)
2,000
2,313
3
Month
USD
LIBOR
+
4.55%
6.50%,
12/31/2049
(e),(h)
3,000
3,389
3
Month
USD
LIBOR
+
4.17%
Bank
of
New
York
Mellon
Corp/The
3.73%,
12/31/2049
(e)
8,100
8,078
3
Month
USD
LIBOR
+
3.42%
4.62%,
12/31/2099
(e),(h)
7,408
7,742
3
Month
USD
LIBOR
+
3.13%
Bank
of
Nova
Scotia/The
4.90%,
12/31/2049
(e),(h)
9,000
9,416
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.55%
Barclays
Bank
PLC
6.28%,
12/31/2049
(e),(h)
5,450
6,156
3
Month
USD
LIBOR
+
1.55%
10.18%,
06/12/2021
(g)
3,000
3,204
10.18%,
06/12/2021
900
961
Barclays
PLC
8.00%,
12/31/2049
(e),(h),(
i
)
5,000
5,470
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.67%
BNP
Paribas
SA
4.50%,
12/31/2049
(e),(g),(h),(
i
)
3,000
2,895
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.94%
6.63%,
12/31/2049
(e),(h),(
i
)
800
853
USD
Swap
Rate
NY
5
Year
+
4.15%
7.20%,
12/31/2049
(e),(g),(h)
1,300
1,416
3
Month
USD
LIBOR
+
1.29%
7.37%,
12/31/2049
(e),(g),(h),(
i
)
6,103
6,954
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.63%,
12/31/2049
(e),(g),(h),(
i
)
2,242
2,306
USD
Swap
Semi-Annual
5
Year
+
6.31%
7.63%,
12/31/2049
(e),(h),(
i
)
9,942
10,228
USD
Swap
Semi-Annual
5
Year
+
6.31%
Citigroup
Inc
4.38%,
12/31/2049
(e)
1,000
995
3
Month
USD
LIBOR
+
4.10%
6.13%,
12/31/2049
(e),(h)
6,000
6,037
3
Month
USD
LIBOR
+
4.48%
6.25%,
12/31/2049
(e),(h)
1,500
1,702
3
Month
USD
LIBOR
+
4.52%
Schedule
of
Investments
Capital
Securities
Fund
August
31,
2020
See
accompanying
notes.
13
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Citizens
Financial
Group
Inc
4.26%,
12/31/2049
(e)
$
9,490
$
8,932
3
Month
USD
LIBOR
+
3.96%
5.65%,
12/31/2049
(e),(h)
500
536
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.31%
6.38%,
12/31/2049
(e),(f),(h)
3,500
3,518
3
Month
USD
LIBOR
+
3.16%
Comerica
Inc
5.63%,
12/31/2049
(e),(f),(h)
13,000
14,170
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.29%
Corestates
Capital
III
0.85%,
02/15/2027
(g)
22,771
20,625
3
Month
USD
LIBOR
+
0.57%
Credit
Agricole
SA
7.88%,
12/31/2049
(e),(h),(
i
)
2,300
2,567
USD
Swap
Semi-Annual
5
Year
+
4.90%
8.13%,
12/31/2049
(e),(g),(h),(
i
)
7,232
8,570
USD
Swap
Semi-Annual
5
Year
+
6.19%
Credit
Suisse
AG
6.50%,
08/08/2023
(
i
)
600
683
Credit
Suisse
Group
AG
5.10%,
12/31/2049
(e),(h),(
i
)
5,000
4,978
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.29%
6.25%,
12/31/2049
(e),(g),(h),(
i
)
5,490
5,975
USD
Swap
Semi-Annual
5
Year
+
3.46%
6.38%,
12/31/2099
(e),(g),(h),(
i
)
5,000
5,438
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.82%
7.50%,
12/31/2049
(e),(g),(h),(
i
)
6,250
6,937
USD
Swap
Semi-Annual
5
Year
+
4.60%
Danske
Bank
A/S
6.13%,
12/31/2099
(e),(h),(
i
)
6,600
6,848
USD
Swap
Semi-Annual
7
Year
+
3.90%
Fifth
Third
Bancorp
4.50%,
12/31/2049
(e),(h)
2,200
2,253
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.22%
Goldman
Sachs
Group
Inc
/The
4.17%,
12/31/2049
(e)
2,000
1,980
3
Month
USD
LIBOR
+
3.92%
4.95%,
12/31/2049
(e),(h)
1,000
1,035
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.22%
5.50%,
12/31/2049
(e),(f),(h)
2,000
2,165
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.62%
HSBC
Capital
Funding
Dollar
1
LP
10.18%,
12/31/2049
(e),(g),(h)
1,700
2,719
3
Month
USD
LIBOR
+
4.98%
10.18%,
12/31/2049
(e),(h)
4,400
7,037
3
Month
USD
LIBOR
+
4.98%
HSBC
Holdings
PLC
6.00%,
12/31/2099
(e),(h),(
i
)
3,000
3,101
USD
Swap
Rate
NY
5
Year
+
3.75%
6.38%,
12/31/2049
(e),(h),(
i
)
1,300
1,359
USD
Swap
Rate
NY
5
Year
+
3.71%
6.50%,
12/31/2099
(e),(h),(
i
)
500
539
USD
Swap
Rate
NY
5
Year
+
3.61%
6.87%,
12/31/2049
(e),(h),(
i
)
8,100
8,320
USD
Swap
Rate
NY
5
Year
+
5.51%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Huntington
Bancshares
Inc
/OH
4.45%,
12/31/2049
(e),(h)
$
9,500
$
9,547
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
7
Year
+
4.05%
5.63%,
12/31/2049
(e),(h)
4,000
4,470
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
10
Year
+
4.95%
Huntington
Capital
II
0.94%,
06/15/2028
2,400
2,078
3
Month
USD
LIBOR
+
0.63%
ING
Groep
NV
5.75%,
12/31/2049
(e),(h),(
i
)
7,000
7,400
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.34%
6.50%,
12/31/2049
(e),(h),(
i
)
500
532
USD
Swap
Semi-Annual
5
Year
+
4.45%
JPMorgan
Chase
&
Co
4.05%,
12/31/2099
(e)
5,000
4,983
3
Month
USD
LIBOR
+
3.80%
4.60%,
12/31/2049
(e),(h)
4,600
4,617
United
States
Secured
Overnight
Financing
Rate
+
3.13%
6.75%,
12/31/2049
(e),(h)
2,000
2,235
3
Month
USD
LIBOR
+
3.78%
KeyCorp
5.00%,
12/31/2049
(e),(h)
4,000
4,089
3
Month
USD
LIBOR
+
3.61%
KeyCorp
Capital
I
1.04%,
07/01/2028
2,000
1,798
3
Month
USD
LIBOR
+
0.74%
KeyCorp
Capital
III
7.75%,
07/15/2029
1,500
1,891
Lloyds
Bank
PLC
12.00%,
12/31/2049
(e),(g),(h)
3,100
3,622
3
Month
USD
LIBOR
+
11.76%
12.00%,
12/31/2049
(e),(h)
5,500
6,427
3
Month
USD
LIBOR
+
11.76%
Lloyds
Banking
Group
PLC
6.41%,
12/31/2049
(e),(g),(h)
1,200
1,365
3
Month
USD
LIBOR
+
1.50%
7.50%,
12/31/2049
(e),(h),(
i
)
4,300
4,655
USD
Swap
Semi-Annual
5
Year
+
4.76%
7.50%,
12/31/2049
(e),(h),(
i
)
6,600
7,261
USD
Swap
Semi-Annual
5
Year
+
4.50%
M&T
Bank
Corp
5.12%,
12/31/2049
(e),(h)
4,000
4,214
3
Month
USD
LIBOR
+
3.52%
6.45%,
12/31/2049
(e),(h)
1,300
1,411
3
Month
USD
LIBOR
+
3.61%
Natwest
Group
PLC
2.63%,
12/31/2049
(e)
1,000
947
3
Month
USD
LIBOR
+
2.32%
6.00%,
12/31/2049
(e),(f),(h),(
i
)
8,000
8,428
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.63%
7.65%,
12/31/2049
(e),(h)
1,800
2,718
3
Month
USD
LIBOR
+
2.50%
8.00%,
12/31/2049
(e),(h),(
i
)
1,000
1,140
USD
Swap
Semi-Annual
5
Year
+
5.72%
8.62%,
12/31/2049
(e),(h),(
i
)
2,800
2,943
USD
Swap
Semi-Annual
5
Year
+
7.60%
Nordea
Bank
Abp
6.13%,
12/31/2049
(e),(g),(h),(
i
)
4,300
4,558
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.63%,
12/31/2099
(e),(g),(h),(
i
)
13,400
14,941
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.11%
Schedule
of
Investments
Capital
Securities
Fund
August
31,
2020
See
accompanying
notes.
14
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Northern
Trust
Corp
4.60%,
12/31/2049
(e),(h)
$
2,400
$
2,483
3
Month
USD
LIBOR
+
3.20%
NTC
Capital
I
0.79%,
01/15/2027
1,250
1,170
3
Month
USD
LIBOR
+
0.52%
NTC
Capital
II
0.87%,
04/15/2027
1,200
1,096
3
Month
USD
LIBOR
+
0.59%
PNC
Capital
Trust
C
0.92%,
06/01/2028
3,000
2,748
3
Month
USD
LIBOR
+
0.57%
RBS
Capital
Trust
II
6.43%,
12/31/2049
(e),(h)
600
908
3
Month
USD
LIBOR
+
1.94%
Regions
Financial
Corp
5.75%,
12/31/2049
(e),(h)
1,000
1,085
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.43%
Skandinaviska
Enskilda
Banken
AB
5.63%,
12/31/2049
(e),(h),(
i
)
200
207
USD
Swap
Semi-Annual
5
Year
+
3.49%
Societe
Generale
SA
7.38%,
12/31/2049
(e),(g),(h),(
i
)
5,500
5,734
USD
Swap
Semi-Annual
5
Year
+
4.30%
7.38%,
12/31/2049
(e),(g),(h),(
i
)
5,000
5,179
USD
Swap
Semi-Annual
5
Year
+
6.24%
8.00%,
12/31/2049
(e),(g),(h),(
i
)
3,500
3,981
USD
Swap
Rate
NY
5
Year
+
5.87%
Standard
Chartered
PLC
7.01%,
12/31/2049
(e),(g),(h)
7,800
9,085
3
Month
USD
LIBOR
+
1.46%
7.01%,
12/31/2049
(e),(f),(h)
3,600
4,193
3
Month
USD
LIBOR
+
1.46%
7.50%,
12/31/2049
(e),(g),(h),(
i
)
3,300
3,469
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.75%,
12/31/2049
(e),(g),(h),(
i
)
1,000
1,084
USD
Swap
Semi-Annual
5
Year
+
5.72%
Swedbank
AB
6.00%,
12/31/2049
(e),(h),(
i
)
4,400
4,570
USD
Swap
Semi-Annual
5
Year
+
4.11%
TCF
National
Bank
5.50%,
05/06/2030
(h)
2,000
2,071
3
Month
USD
LIBOR
+
5.09%
Truist
Bank
0.95%,
05/15/2027
4,500
4,192
3
Month
USD
LIBOR
+
0.67%
0.96%,
03/15/2028
2,000
1,823
3
Month
USD
LIBOR
+
0.65%
Truist
Financial
Corp
4.80%,
12/31/2099
(e),(h)
21,200
21,995
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.00%
4.95%,
12/31/2099
(e),(h)
2,800
3,031
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.61%
UBS
Group
AG
6.88%,
12/31/2049
(e),(h),(
i
)
1,600
1,631
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
5.50%
6.88%,
12/31/2049
(e),(h),(
i
)
9,200
10,179
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.59%
7.00%,
12/31/2049
(e),(g),(h),(
i
)
1,400
1,517
USD
Swap
Semi-Annual
5
Year
+
4.34%
$
415,895
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Diversified
Financial
Services
-
4.51%
American
Express
Co
3.60%,
12/31/2049
(e)
$
4,500
$
4,174
3
Month
USD
LIBOR
+
3.29%
Capital
One
Financial
Corp
4.15%,
12/31/2049
(e)
4,000
3,610
3
Month
USD
LIBOR
+
3.80%
Charles
Schwab
Corp/The
5.38%,
12/31/2049
(e),(h)
9,700
10,646
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.97%
7.00%,
12/31/2049
(e),(h)
5,813
6,206
3
Month
USD
LIBOR
+
4.82%
Depository
Trust
&
Clearing
Corp/The
3.48%,
12/31/2049
(e),(g)
6,000
5,847
3
Month
USD
LIBOR
+
3.17%
Discover
Financial
Services
6.13%,
12/31/2049
(e),(h)
7,150
7,710
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.78%
$
38,193
Electric
-
4.68%
Dominion
Energy
Inc
4.65%,
12/31/2099
(e),(h)
8,500
8,642
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.99%
5.75%,
10/01/2054
(h)
6,775
7,240
3
Month
USD
LIBOR
+
3.06%
Duke
Energy
Corp
4.88%,
12/31/2099
(e),(h)
5,050
5,328
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.39%
Emera
Inc
6.75%,
06/15/2076
(h)
10,000
11,200
3
Month
USD
LIBOR
+
5.44%
Enel
SpA
8.75%,
09/24/2073
(g),(h)
1,700
1,994
USD
Swap
Semi-Annual
5
Year
+
5.88%
National
Rural
Utilities
Cooperative
Finance
Corp
5.25%,
04/20/2046
(h)
700
763
3
Month
USD
LIBOR
+
3.63%
NextEra
Energy
Capital
Holdings
Inc
2.36%,
10/01/2066
(f)
4,500
3,690
3
Month
USD
LIBOR
+
2.07%
2.44%,
06/15/2067
580
475
3
Month
USD
LIBOR
+
2.13%
4.80%,
12/01/2077
(h)
250
269
3
Month
USD
LIBOR
+
2.41%
$
39,601
Food
-
0.54%
Dairy
Farmers
of
America
Inc
7.13%,
12/31/2049
(e),(g)
5,000
4,600
Gas
-
1.08%
NiSource
Inc
5.65%,
12/31/2049
(e),(h)
9,195
9,149
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.84%
Hand
&
Machine
Tools
-
0.14%
Stanley
Black
&
Decker
Inc
4.00%,
03/15/2060
(h)
1,100
1,155
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.66%
Insurance
-
22.75%
ACE
Capital
Trust
II
9.70%,
04/01/2030
2,570
3,854
Allstate
Corp/The
5.75%,
08/15/2053
(h)
9,900
10,619
3
Month
USD
LIBOR
+
2.94%
Schedule
of
Investments
Capital
Securities
Fund
August
31,
2020
See
accompanying
notes.
15
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
American
International
Group
Inc
5.75%,
04/01/2048
(h)
$
13,077
$
14,431
3
Month
USD
LIBOR
+
2.87%
8.18%,
05/15/2068
(h)
6,700
9,607
3
Month
USD
LIBOR
+
4.20%
Aon
Corp
8.21%,
01/01/2027
1,000
1,291
Argentum
Netherlands
BV
for
Zurich
Insurance
Co
Ltd
5.13%,
06/01/2048
(h)
2,000
2,289
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.27%
AXA
SA
6.38%,
12/31/2049
(e),(g),(h)
4,905
6,502
3
Month
USD
LIBOR
+
2.26%
8.60%,
12/15/2030
2,400
3,636
Cloverie
PLC
for
Zurich
Insurance
Co
Ltd
5.63%,
06/24/2046
(h)
12,100
14,125
3
Month
USD
LIBOR
+
4.92%
Everest
Reinsurance
Holdings
Inc
2.67%,
05/01/2067
1,600
1,360
3
Month
USD
LIBOR
+
2.39%
Hartford
Financial
Services
Group
Inc
/The
2.41%,
02/12/2067
(g)
2,800
2,359
3
Month
USD
LIBOR
+
2.13%
Legal
&
General
Group
PLC
5.25%,
03/21/2047
(h)
4,700
5,170
USD
Swap
Semi-Annual
5
Year
+
3.69%
Liberty
Mutual
Group
Inc
7.80%,
03/07/2087
(g)
6,100
7,562
3
Month
USD
LIBOR
+
3.58%
Liberty
Mutual
Insurance
Co
7.70%,
10/15/2097
(g)
1,100
1,753
Lincoln
National
Corp
2.31%,
04/20/2067
4,200
2,980
3
Month
USD
LIBOR
+
2.04%
Meiji
Yasuda
Life
Insurance
Co
5.10%,
04/26/2048
(f),(g),(h)
1,300
1,615
USD
Swap
Rate
NY
5
Year
+
3.15%
5.20%,
10/20/2045
(g),(h)
1,000
1,155
USD
Swap
Semi-Annual
5
Year
+
4.23%
MetLife
Capital
Trust
IV
7.88%,
12/15/2067
(g)
1,800
2,487
MetLife
Inc
3.89%,
12/31/2049
(e)
3,500
3,452
3
Month
USD
LIBOR
+
3.58%
6.40%,
12/15/2066
700
882
3
Month
USD
LIBOR
+
2.21%
9.25%,
04/08/2068
(g)
6,172
9,284
3
Month
USD
LIBOR
+
5.54%
10.75%,
08/01/2069
4,300
6,995
3
Month
USD
LIBOR
+
7.55%
Mitsui
Sumitomo
Insurance
Co
Ltd
7.00%,
03/15/2072
(g),(h)
3,600
3,888
3
Month
USD
LIBOR
+
5.90%
7.00%,
03/15/2072
(h)
2,500
2,700
3
Month
USD
LIBOR
+
5.90%
Nationwide
Financial
Services
Inc
6.75%,
05/15/2087
500
588
Nippon
Life
Insurance
Co
5.00%,
10/18/2042
(g),(h)
1,525
1,624
3
Month
USD
LIBOR
+
4.24%
5.10%,
10/16/2044
(h)
785
881
USD
Swap
Rate
NY
5
Year
+
3.65%
Progressive
Corp/The
5.38%,
12/31/2049
(e),(h)
5,010
5,060
3
Month
USD
LIBOR
+
2.54%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Prudential
Financial
Inc
3.70%,
10/01/2050
(h)
$
1,300
$
1,342
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.04%
5.63%,
06/15/2043
(h)
9,380
10,041
3
Month
USD
LIBOR
+
3.92%
5.88%,
09/15/2042
(h)
11,000
11,749
3
Month
USD
LIBOR
+
4.18%
QBE
Insurance
Group
Ltd
5.88%,
12/31/2049
(e),(f),(g),(h)
1,900
2,021
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.51%
Sumitomo
Life
Insurance
Co
6.50%,
09/20/2073
(g),(h)
3,000
3,413
3
Month
USD
LIBOR
+
4.44%
Swiss
Re
Finance
Luxembourg
SA
5.00%,
04/02/2049
(g),(h)
17,400
19,878
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.58%
Voya
Financial
Inc
4.70%,
01/23/2048
(h)
3,300
3,317
3
Month
USD
LIBOR
+
2.08%
5.65%,
05/15/2053
(h)
10,800
11,286
3
Month
USD
LIBOR
+
3.58%
6.13%,
12/31/2049
(e),(h)
1,400
1,456
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.36%
$
192,652
Oil
&
Gas
-
0.21%
BP
Capital
Markets
PLC
4.38%,
12/31/2049
(e),(h)
1,700
1,785
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.04%
Pipelines
-
5.40%
Enbridge
Inc
5.75%,
07/15/2080
(h)
3,700
3,903
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.31%
6.00%,
01/15/2077
(h)
1,500
1,530
3
Month
USD
LIBOR
+
3.89%
6.25%,
03/01/2078
(h)
7,000
7,190
3
Month
USD
LIBOR
+
3.64%
Enterprise
Products
Operating
LLC
5.25%,
08/16/2077
(h)
14,212
13,644
3
Month
USD
LIBOR
+
3.03%
5.38%,
02/15/2078
(h)
1,300
1,185
3
Month
USD
LIBOR
+
2.57%
Transcanada
Trust
5.50%,
09/15/2079
(h)
12,500
13,312
3
Month
USD
LIBOR
+
4.15%
5.63%,
05/20/2075
(h)
600
621
3
Month
USD
LIBOR
+
3.53%
5.87%,
08/15/2076
(h)
4,000
4,370
3
Month
USD
LIBOR
+
4.64%
$
45,755
Sovereign
-
0.36%
CoBank
ACB
6.25%,
12/31/2049
(e),(h)
1,000
1,050
3
Month
USD
LIBOR
+
4.66%
Farm
Credit
Bank
of
Texas
5.70%,
12/31/2049
(e),(g),(h)
1,900
2,033
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.42%
$
3,083
Telecommunications
-
0.20%
Koninklijke
KPN
NV
7.00%,
03/28/2073
(h)
1,000
1,088
USD
Swap
Semi-Annual
10
Year
+
5.21%
Schedule
of
Investments
Capital
Securities
Fund
August
31,
2020
See
accompanying
notes.
16
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
Vodafone
Group
PLC
7.00%,
04/04/2079
(h)
$
500
$
602
USD
Swap
Semi-Annual
5
Year
+
4.87%
$
1,690
Transportation
-
0.67%
BNSF
Funding
Trust
I
6.61%,
12/15/2055
(h)
5,000
5,657
3
Month
USD
LIBOR
+
2.35%
TOTAL
BONDS
$
759,215
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
2.60%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
2.60%
0.13%,
08/31/2022
$
5,000
$
4,999
0.13%,
08/15/2023
7,500
7,494
0.25%,
04/15/2023
2,500
2,507
0.25%,
07/31/2025
5,000
4,997
0.38%,
03/31/2022
2,000
2,007
$
22,004
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
22,004
Total
Investments
$
846,852
Other
Assets
and
Liabilities
- 0.00%
(3)
TOTAL
NET
ASSETS
-
100.00%
$
846,849
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.00%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
(d)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$8,760
or
1.03%
of
net
assets.
(e)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(f)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(g)
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
$202,837
or
23.95%
of
net
assets.
(h)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(
i
)
Security
is
a
contingent
convertible
security,
("
CoCo
").
CoCo's
are
hybrid
debt
securities
that
may
convert
to
equity
or
have
their
principal
written
down
upon
occurrence
of
certain
"triggers".
See
notes
for
additional
information.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$185,031
or
21.85%
of
net
assets.
Portfolio
Summary (unaudited)
Sector
Percent
Financial
78.24%
Energy
6.09%
Utilities
5.89%
Government
3.76%
Money
Market
Funds
3.62%
Industrial
1.16%
Communications
0.56%
Consumer,
Non-cyclical
0.54%
Investment
Companies
0.14%
Other
Assets
and
Liabilities
0.00%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
August
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
16,563
$
346,214
$
332,088
$
30,689
$
16,563
$
346,214
$
332,088
$
30,689
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
204
$
—
$
—
$
—
$
204
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Glossary
to
the
Schedule
of
Investments
August
31,
2020
(unaudited)
See
accompanying
notes.
17
Currency
Abbreviations
USD/$
United
States
Dollar
See
accompanying
notes.
18
Financial
Highlights
Principal
Funds,
Inc.
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
:
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Total
Dividends
and
Distributions
Net
Asset
Value
End
of
Period
CAPITAL
SECURITIES
FUND
Class
S
shares
2020
$
10
.17
$
0
.50
$
0
.23
$
0
.73
(
$
0
.54
)
(
$
0
.54
)
$
10
.36
2019
9
.95
0
.58
0
.21
0
.79
(
0
.57
)
(
0
.57
)
10
.17
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
See
accompanying
notes.
19
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
7
.42
%
$
846,849
0
.00
%
(b)
4
.95
%
14
.0
%
8
.39
648,432
0
.00
(b)
5
.89
14
.7
0
.87
544,446
0
.00
(b)
5
.67
9
.1
9
.62
457,089
0
.00
(b)
5
.67
8
.4
6
.77
298,208
0
.00
(b)
5
.89
8
.8
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Reflects
Manager's
contractual
expense
limit.
Report
of
Independent
Registered
Public
Accounting
Firm
20
To
the
Shareholders
and
the
Board
of
Directors
of
Capital
Securities
Fund
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities
of
Capital
Securities
Fund
(the
fund)
(one
of
the
portfolios
constituting
Principal
Funds,
Inc.
(the
Fund)),
including
the
schedule
of
investments
as
of
August
31,
2020,
and
the
related
statement
of
operations
for
the
year
then
ended,
the
statements
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
then
ended,
the
financial
highlights
for
each
of
the
five
years
in
the
period
then
ended
and
the
related
notes
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
fund
(one
of
the
portfolios
constituting
the
Fund)
at
August
31,
2020,
the
results
of
its
operations
for
the
year
then
ended,
the
changes
in
its
net
assets
for
each
of
the
two
years
in
the
period
then
ended
and
its
financial
highlights
for
each
of
the
five
years
in
the
period
then
ended,
in
conformity
with
U.S.
generally
accepted
accounting
principles.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Fund’s
management.
Our
responsibility
is
to
express
an
opinion
on
the
fund’s
financial
statements
based
on
our
audits.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(“PCAOB”)
and
are
required
to
be
independent
with
respect
to
the
Fund
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audits
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
The
Fund
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
the
Fund’s
internal
control
over
financial
reporting.
As
part
of
our
audits,
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting
but
not
for
the
purpose
of
expressing
an
opinion
on
the
effectiveness
of
the
Fund’s
internal
control
over
financial
reporting.
Accordingly,
we
express
no
such
opinion.
Our
audits
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
August
31,
2020,
by
correspondence
with
the
custodian
and
brokers
or
by
other
appropriate
auditing
procedures
where
replies
from
brokers
were
not
received.
Our
audits
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
We
believe
that
our
audits
provide
a
reasonable
basis
for
our
opinion.
We
have
served
as
the
auditor
of
one
or
more
Principal
investment
companies
since
1969.
Minneapolis,
Minnesota
October
23
,
2020
Shareholder
Expense
Example
Principal
Funds,
Inc.
August
31,
2020
(unaudited)
21
As
a
shareholder
of
Capital
Securities
Fund,
you
may
incur
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
(
March
1,
2020
to
August
31,
2020
),
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
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
the
first
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,
such
as
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
Beginning
Account
Value
March
1,
2020
Ending
Account
Value
August
31,
2020
Expenses
Paid
During
Period
March
1,
2020
to
August
31,
2020
(a)
Beginning
Account
Value March
1,
2020
Ending
Account
Value
August
31,
2020
Expenses
Paid
During
Period
March
1,
2020 to
August
31,
2020(a)
Annualized
Expense
Ratio
Capital
Securities
Fund
Class
S
$1,000.00
$1,026.30
$0.00
$1,000.00
$1,025.14
$0.00
0.00%
(a)
Expenses
are
equal
to
a
fund's
annualized
expense
ratio
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
184/366
(to
reflect
the
one-half
year
period).
22
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.,
Principal
Exchange-Traded
Funds,
and
Principal
Diversified
Select
Real
Asset
Fund
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
Company
Act
of
1940,
as
shown
below
are
considered
to
be
interested
because
of
an
affiliation
with
the
Manager
and
Principal
Life
Insurance
Company.
The
following
directors
are
considered
not
to
be
“interested
persons”
as
defined
in
the
1940
Act
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Elizabeth
Ballantine
Director
since
2004
Member,
Nominating
and
Governance
Committee
1948
Principal,
EBA
Associates
125
Durango
Herald,
Inc.;
McClatchy
Newspapers,
Inc.
Leroy
T.
Barnes,
Jr.
Director
since
2012
Member,
Audit
Committee
Member,
Nominating
and
Governance
Committee
1951
Retired.
125
McClatchy
Newspapers,
Inc.;
Frontier
Communications,
Inc.;
formerly,
Herbalife
Ltd.
Craig
Damos
Lead
Independent
Director
since
2020
Director
since
2008
Member,
Nominating
and
Governance
Committee
Member,15(c)
Committee
Member,
Executive
Committee
1954
President,
C.P.
Damos
Consulting
LLC
125
None
Mark
A.
Grimmett
Director
since
2004
Member,
Audit
Committee
Member,
15(c)
Committee
1960
Formerly,
Executive
Vice
President
and
CFO,
Merle
Norman
Cosmetics,
Inc.
125
None
Fritz
S.
Hirsch
Director
since
2005
Member,
Nominating
and
Governance
Committee
Member,
Operations
Committee
Member,
15(c)
Committee
1951
Formerly,
CEO,
MAM
USA
125
MAM
USA
Tao
Huang
Director
since
2012
Member,
Operations
Committee
Member,
15(c)
Committee
1962
Retired.
125
Armstrong
World
Industries,
Inc.
and
Equity
Lifestyle
Properties,
Inc.
John
D.
Kenney
Director
since
2020
Member,
Operations
Committee
1965
Formerly,
Legg
Mason
Global
Asset
Management
125
Formerly:
Legg
Mason
Investment
Management
Affiliates:
Brandywine
Global;
Clarion
Partners;
ClearBridge
Investments;
Entrust
Global;
Legg
Mason
Poland;
Martin
Currie
Investment
Management;
Permal
Group
(merged
into
Entrust);
QS
Investors;
RARE
Infrastructure;
Royce
and
Associates;
and
Western
Asset
Management
Karen
(“Karrie”)
McMillan
Director
since
2014
Member,
Operations
Committee
1961
Managing
Director,
Patomak
Global
Partners,
LLC
125
None
23
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.
Correspondence
intended
for
each
Director
who
is
other
than
an
Interested
Director
may
be
sent
to
655
9th
Street,
Des
Moines,
IA
50392.
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Elizabeth
A.
Nickels
Director
since
2015
Member,
Audit
Committee
1962
Retired.
125
SpartanNash;
formerly:
Charlotte
Russe;
Follet
Corporation;
PetSmart;
Spectrum
Health
Systems
Mary
M.
(“Meg”)
VanDeWeghe
Director
since
2018
Member,
Operations
Committee
1959
CEO
and
President,
Forte
Consulting,
Inc.
125
Helmerich
&
Payne;
Formerly:
B/E
Aerospace;
Brown
Advisory;
Denbury
Resources
Inc.;
Nalco
(and
its
successor
Ecolab);
and
WP
Carey
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Timothy
M.
Dunbar
Chair
and
Director
since
2019
Member,
Executive
Committee
1957
Director,
PGI
since
2018
President,
Principal
Global
Asset
Management,
PGI,
Principal
Life
Insurance
Company
(“PLIC”),
Principal
Financial
Services,
Inc.
(“PFSI”),
and
Principal
Financial
Group
(“PFG”)
since
2018
Chair/Executive
Vice
President,
RobustWealth,
Inc.
since
2018
Director,
Post
Advisory
Group,
LLC
(“Post”)
since
2018
Executive
Vice
President/Chief
Investment
Officer,
PLIC,
PFSI
and
PFG
(2014-2018)
125
None
Patrick
Halter
Member,
Executive
Committee
Director
since
2017
1959
Chief
Executive
Officer
and
President,
PGI
since
2018
Chief
Operating
Officer,
PGI
(2017-2018)
Chair,
PGI
since
2018
Director,
PGI
(2003-2018)
Director,
Finisterre
Capital
LLP
since
2018
Director,
Origin
Asset
Management
LLP
since
2018
Chair,
Post
since
2017
Chief
Executive
Officer,
Principal
Real
Estate
Investors,
LLC
(“PREI”)
since
2005
Chair,
PREI
since
2004
Chair,
Spectrum
Asset
Management,
Inc.
since
2017
Director,
CCIP,
LLC
since
2017
125
None
24
The
following
table
presents
officers
of
the
Funds.
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Kamal
Bhatia
President,
Chief
Executive
Officer
Des
Moines,
IA
50392
1972
President,
PFG,
PFSI,
and
PLIC
since
2019
Principal
Executive
Officer,
OC
Private
Capital
(2017-2019)
Senior
Vice
President,
OppenheimerFunds
(2011-
2019)
Randy
D.
Bolin
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1961
Vice
President/Associate
General
Counsel,
PFSI
since
2013
Vice
President/Associate
General
Counsel,
PGI
since
2016
Assistant
General
Counsel,
PGI
(2007–2016)
Vice
President/Associate
General
Counsel,
PLIC
since
2013
Tracy
W.
Bollin
Chief
Financial
Officer
Des
Moines,
IA
50392
1970
Managing
Director,
PGI
since
2016
Chief
Operating
Officer,
PMC
(2015-2017)
Chief
Financial
Officer,
PFA
(2010-2015)
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)
President,
PSS
since
2015
Chief
Financial
Officer,
PSS
(2010-2015)
Gina
L.
Graham
Treasurer
Des
Moines,
IA
50392
1965
Vice
President/Treasurer,
PFA
since
2016
Vice
President/Treasurer,
PFD
since
2016
Vice
President/Treasurer,
PGI
since
2016
Vice
President/Treasurer,
PLIC
since
2016
Vice
President/Treasurer,
PMC
(2016-2017)
Vice
President/Treasurer,
PREI
since
2016
Vice
President/Treasurer,
PSI
since
2016
Vice
President/Treasurer,
PSS
since
2016
Laura
B.
Latham
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1986
Counsel,
PGI
since
2018
Prior
thereto,
Attorney
in
Private
Practice
Diane
K.
Nelson
AML
Officer
Des
Moines,
IA
50392
1965
Chief
Compliance
Officer/AML
Officer,
PSS
since
2015
Compliance
Advisor,
PMC
(2013-2015)
Sara
L.
Reece
Vice
President
and
Controller
Des
Moines,
IA
50392
1975
Director
-
Accounting,
PLIC
since
2015
Assistant
Financial
Controller,
PLIC
prior
to
2015
Teri
R.
Root
Chief
Compliance
Officer
Des
Moines,
IA
50392
1979
Chief
Compliance
Officer
–
Funds,
PGI
since
2018
Interim
Chief
Compliance
Officer
(2018)
Deputy
Chief
Compliance
Officer
(2015-2018)
Deputy
Chief
Compliance
Officer,
PGI
since
2017
Vice
President
and
Chief
Compliance
Officer,
PMC
(2015–2017)
Vice
President,
PSS
since
2015
Britney
L.
Schnathorst
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1981
Counsel,
PLIC
since
2013
Adam
U.
Shaikh
Assistant
Counsel
Des
Moines,
IA
50392
1972
Assistant
General
Counsel,
PGI
since
2018
Counsel,
PGI
(2017-2018)
Counsel,
PLIC
since
2006
Counsel,
PMC
(2014-2017)
25
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
public
accountants.
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
committees
established
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
candidates
who
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
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
and
able
to
commit
the
time
necessary
for
attendance
at
meetings
and
the
performance
of
the
duties
of
an
independent
director.
The
Committee
also
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
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
John
L.
Sullivan
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1970
Counsel,
PGI
since
2019
Prior
thereto,
Attorney
in
Private
Practice
Dan
L.
Westholm
Assistant
Treasurer
Des
Moines,
IA
50392
1966
Assistant
Vice
President/Treasurer,
PGI
since
2017
Assistant
Vice
President/Treasury,
PFA
since
2013
Assistant
Vice
President/Treasury,
PFD
since
2013
Assistant
Vice
President/Treasury,
PLIC
since
2014
Assistant
Vice
President/Treasury,
PMC
(2013-
2017)
Assistant
Vice
President/Treasury,
PSI
since
2013
Assistant
Vice
President/Treasury,
PSS
since
2013
Beth
C.
Wilson
Vice
President
and
Secretary
Des
Moines,
IA
50392
1956
Director
and
Secretary
–
Funds,
PLIC
Clint
L.
Woods
Counsel,
Vice
President,
and
Assistant
Secretary
Des
Moines,
IA
50392
1961
Of
Counsel
(2017-2018)
Vice
President
(2016-2017)
Counsel
(2015-2017)
Vice
President,
PLIC
since
2015
Associate
General
Counsel,
Governance
Officer,
and
Assistant
Corporate
Secretary,
PLIC
since
2013
Jared
Yepsen
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1981
Counsel,
PGI
since
2017
Counsel,
PLIC
since
2015
Senior
Attorney,
Transamerica
Life
Insurance
Company
(2013-2015)
26
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
potential
candidates
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,
2019
and
as
supplemented,
and
the
Statement
of
Additional
Information
dated
December
31,
2019
and
as
supplemented.
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
each
year
as
a
part
of
Form
N-PORT.
The
Fund’s
Form
N-PORT
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.
STATEMENT
REGARDING
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
The
Board
of
Directors
of
Principal
Funds,
Inc.
(the
“Board”)
met
on
March
10,
2020
to
review
the
liquidity
risk
management
program
(the
“Program”)
applicable
to
all
series
of
the
Principal
Funds,
Inc.,
(each,
a
“Fund”),
pursuant
to
Rule
22e-4
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Liquidity
Rule”)
for
the
period
from
December
1,
2018
through
December
31,
2019
(the
“Reporting
Period”).
At
the
meeting,
the
committee
designated
by
the
Board
to
administer
the
Program,
the
Liquidity
Risk
Management
Committee
(the
“Committee”),
addressed
the
operation,
adequacy
and
effectiveness
of
the
Program,
the
operation
of
each
Fund’s
highly
liquid
investment
minimum,
where
applicable,
and
any
material
changes
made
to
the
Program
during
the
Reporting
Period.
The
Committee
noted
key
factors
it
considered
when
assessing,
managing
and
reviewing
each
Fund’s
liquidity
risk.
Such
factors
included
each
Fund’s
investment
strategy
and
liquidity
of
portfolio
investments
during
both
normal
and
reasonably
foreseeable
stressed
conditions,
including
(a)
whether
the
Fund’s
investment
strategy
is
appropriate
for
an
open-end
fund,
(b)
the
extent
to
which
the
strategy
involves
a
relatively
concentrated
portfolio
or
large
positions
in
particular
issuers,
and
(c)
the
use
of
borrowings
for
investment
purposes
and
use
of
leveraged
derivatives
and
financial
commitment
obligations;
short-term
and
long-term
cash
flow
projections
during
both
normal
and
reasonably
foreseeable
stressed
conditions;
holdings
of
cash
and
cash
equivalents,
as
well
as
borrowing
arrangements
and
other
funding
sources;
and
each
Fund’s
shareholder
ownership
concentration.
There
were
no
material
changes
to
the
Program
during
the
Reporting
Period.
The
Committee
concluded,
based
on
the
operation
of
the
functions
as
described
in
the
Report
that
the
Program
is
operating
as
intended
and
is
effective
in
implementing
the
requirements
of
the
Liquidity
Rule.
27
BOARD
CONSIDERATION
OF
INVESTMENT
ADVISORY
CONTRACTS
During
the
period
covered
by
this
report,
the
Board
of
Directors
of
Principal
Funds,
Inc.
(“PFI”)
approved:
(1)
an
amended
subadvisory
agreement
between
Principal
Global
Investors,
LLC
(“PGI”
or
the
“Manager”)
and
Finisterre
Capital
LLP
for
the
Global
Multi-Strategy
Fund;
(2)
an
amended
subadvisory
agreement
between
the
Manager
and
Graham
Capital
Management,
L.P.
for
the
Global
Multi-Strategy
Fund;
(3)
an
amended
subadvisory
agreement
between
the
Manager
and
KLS
Diversified
Asset
Management
LP
for
the
Global
Multi-Strategy
Fund;
(4)
an
amended
subadvisory
agreement
between
the
Manager
and
Loomis,
Sayles
&
Company,
L.P.
for
the
Global
Multi-Strategy
Fund;
(5)
an
amended
subadvisory
agreement
between
the
Manager
and
York
Registered
Holdings,
L.P.
for
the
Global
Multi-Strategy
Fund;
(6)
an
amended
subadvisory
agreement
between
the
Manager
and
Los
Angeles
Capital
Management
and
Equity
Research,
Inc.
for
the
Global
Multi-Strategy
Fund;
(7)
an
amended
subadvisory
agreement
between
the
Manager
and
BlackRock
Financial
Management,
Inc.
for
the
Diversified
Real
Asset
Fund;
(8)
an
amended
subadvisory
agreement
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
for
the
Diversified
Real
Asset
Fund;
(9)
an
amended
subadvisory
agreement
between
the
Manager
and
Mellon
Investments
Corporation
for
the
Diversified
Real
Asset
Fund;
(10)
an
amended
subadvisory
agreement
between
the
Manager
and
Symphony
Asset
Management
LLC
for
the
Diversified
Real
Asset
Fund;
and
(11)
a
new
subadvisory
agreement
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
with
respect
to
the
public
global
infrastructure
investment
sleeve
of
the
Diversified
Real
Asset
Fund.
Finisterre
Amended
Subadvisory
Agreement
–
Global
Multi-Strategy
Fund
On
March
10,
2020,
the
Board
considered
whether
to
approve
an
amended
subadvisory
agreement
(the
“Subadvisory
Agreement”)
between
the
Manager
and
Finisterre
Capital
LLP
(the
“Subadvisor”)
with
respect
to
the
Fund
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
that
would
result
in
a
reduction
in
the
subadvisory
fee
rate
payable
at
all
asset
levels.
The
Board
reviewed
materials
received
from
the
Manager
regarding
the
proposed
amendment
to
the
Subadvisory
Agreement
and
noted
that
because
the
Fund’s
subadvisory
fee
was
paid
by
the
Manager,
the
amendment
of
the
subadvisory
fee
schedule
would
not
change
the
management
fee
rate
paid
by
the
Fund.
The
Board
considered
the
Manager’s
representation
that
the
amendment
would
not
reduce
the
quality
or
quantity
of
the
services
the
Subadvisor
provides
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
methodology
for
calculating
the
subadvisory
fee
and
the
amendment
of
the
subadvisory
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
2019
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.
Approval
of
Amended
Subadvisory
Agreements
for
Global
Multi-Strategy
Fund
and
Diversified
Real
Asset
Fund
On
June 9,
2020,
the
Board
considered
whether
to
approve
the
following
amended
subadvisory
agreements:
For
PFI
Global
Multi-Strategy
Fund
(a
“Fund”):
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Graham
Capital
Management,
L.P.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
KLS
Diversified
Asset
Management
LP
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Loomis,
Sayles
&
Company,
L.P.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
York
Registered
Holdings,
L.P.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
and
28
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Los
Angeles
Capital
Management
and
Equity
Research,
Inc.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels;
and
For
PFI
Diversified
Real
Asset
Fund
(a
“Fund”):
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
BlackRock
Financial
Management,
Inc.
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels;
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Mellon
Investments
Corporation
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels;
and
The
approval
of
an
amended
subadvisory
agreement
(a
“Subadvisory
Agreement”)
between
the
Manager
and
Symphony
Asset
Management
LLC
(a
“Subadvisor”)
in
connection
with
a
proposal
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
sub--advisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
all
asset
levels.
The
Board
reviewed
materials
received
from
the
Manager
regarding
the
proposed
amendments
to
the
Funds’
respective
Subadvisory
Agreements
and
noted
that
because
the
subadvisory
fees
were
paid
by
the
Manager,
the
amendments
would
not
change
the
management
fee
rates
paid
by
the
Funds.
The
Board
considered
the
Manager’s
representation
that
the
amendments
would
not
reduce
the
quality
or
quantity
of
the
services
each
Subadvisor
provides
to
the
applicable
Fund
and
that
each
Subadvisor’s
obligations
under
the
applicable
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
any
Subadvisory
Agreement
other
than
to
the
methodology
for
calculating
the
subadvisory
fee
and
the
subadvisory
fee
schedule.
The
Board
considered
that
they
had
last
approved
each
Subadvisory
Agreement
for
each
applicable
Fund
during
the
annual
contract
renewal
process
that
concluded
at
the
Board
of
Directors’
September
2019
meeting.
They
noted
that
during
the
annual
contract
renewal
process,
they
had
considered
the
nature,
quality
and
extent
of
the
services
provided
by
each
Subadvisor
under
the
applicable
Subadvisory
Agreement
and
had
concluded,
based
upon
the
information
provided,
that
the
terms
of
each
Subadvisory
Agreement
were
reasonable
and
that
approval
of
each
Subadvisory
Agreement
was
in
the
best
interests
of
the
applicable
Fund.
Based
upon
all
of
the
information
considered,
the
Board
concluded
that
it
was
in
the
best
interests
of
each
Fund
to
approve
the
applicable
amended
Subadvisory
Agreements.
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
Subadvisory
Agreement
–
Diversified
Real
Asset
Fund
On
June
9,
2020,
the
Board
considered
whether
to
approve
a
subadvisory
agreement
(the
“Subadvisory
Agreement”)
between
the
Manager
and
ClearBridge
RARE
Infrastructure
(North
America)
Pty
Limited
(the
“Subadvisor”)
with
respect
to
the
public
global
infrastructure
investment
sleeve
of
the
Fund.
The
New
Subadvisory
Agreement
was
proposed
in
light
of
an
anticipated
change
in
control
transaction
with
respect
to
the
Subadvisor
that
is
expected
to
be
effective
in
the
third
quarter
of
2020.
This
transaction,
if
completed,
would
result
in
the
“assignment”
(as
defined
in
the
Investment
Company
Act
of
1940)
of
the
current
subadvisory
agreement
between
the
Manager
and
the
Subadvisor
(the
“Current
Subadvisory
Agreement”),
causing
the
Current
Subadvisory
Agreement
to
terminate
automatically.
The
Manager
proposed
that
the
Board
approve
the
New
Subadvisory
Agreement
to
take
effect
upon
the
termination
of
the
Current
Subadvisory
Agreement
in
order
to
allow
the
Subadvisor
to
continue
to
provide
portfolio
management
services
to
the
Fund
following
the
change
in
control.
The
Board
reviewed
materials
received
from
the
Manager
regarding
the
proposed
change
in
control
transaction.
The
Board
considered
that
they
had
last
approved
the
annual
renewal
of
the
Current
Subadvisory
Agreement
for
the
Fund
during
the
annual
contract
renewal
process
that
concluded
at
the
Board
of
Directors’
September
2019
meeting,
and
that
they
had
subsequently
approved
an
amendment
to
the
Current
Subadvisory
Agreement
at
the
Board
of
Directors’
June
2020
meeting
to
change
the
methodology
for
calculating
the
subadvisory
fee
and
to
amend
the
subadvisory
fee
schedule
to
reduce
the
effective
subadvisory
fee
rate
payable
at
certain
asset
levels.
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
29
the
Current
Subadvisory
Agreement
and
had
concluded,
based
upon
the
information
provided,
that
the
terms
of
the
Current
Subadvisory
Agreement
were
reasonable
and
that
approval
of
the
Current
Subadvisory
Agreement
was
in
the
best
interests
of
the
Fund.
The
Board
considered
the
Manager’s
statement
that
there
were
no
anticipated
changes
to
the
current
portfolio
management
team,
investment
philosophy
or
process
at
the
Subadvisor,
that
the
change
in
ownership
was
not
expected
to
impact
the
nature,
quality
or
extent
of
services
that
the
Subadvisor
provides
to
the
Fund
and
that
the
Manager,
after
considering
the
assignment,
continued
to
believe
that
the
Subadvisor
is
an
appropriate
subadvisor
for
the
Fund.
The
Board
also
noted
the
Manager’s
statement
that
the
New
Subadvisory
Agreement
for
the
Fund
would
be
identical
to
the
Current
Subadvisory
Agreement
in
all
material
respects
(including
the
subadvisory
fee
schedule).
Based
upon
all
of
the
information
considered,
the
Board
concluded
that
it
was
in
the
best
interests
of
the
Fund
to
approve
the
New
Subadvisory
Agreement
to
take
effect
following
the
change
in
control
of
the
Subadvisor.
30
Special
Meeting
of
Shareholders
Principal
Funds,
Inc.
Held
June
23,
2020
1.
Approval
of
a
Plan
of
Acquisition
providing
for
the
reorganization
of
the
SystematEx
International
Fund
into
the
Diversified
International
Fund.
For
Against
Abstain
SystematEx
International
Fund
22,860,968.411
0.000
0.000
Federal
Income
Tax
Information
Principal
Funds,
Inc.
August
31,
2020
(unaudited)
31
Dividends
Received
Deduction
(“DRD”).
For
corporate
shareholders,
the
percentage
of
ordinary
income
distributions
(dividend
income
and
short-term
gains,
if
any)
for
the
year
ended
August
31,
2020
,
that
qualifies
for
the
DRD
is
as
follows:
Qualified
Dividend
Income
(“QDI”).
Certain
dividends
paid
by
the
fund
may
be
subject
to
a
maximum
tax
rate
of
20%.
The
QDI
percentage
of
ordinary
income
distributions
is
as
follows:
This
information
is
given
to
meet
certain
requirements
of
the
Internal
Revenue
Code
and
should
not
be
used
by
shareholders
for
preparing
their
income
tax
returns.
For
tax
return
preparation
purposes,
please
refer
to
the
information
supplied
with
the
1099-DIV
form
you
will
receive
from
the
fund's
transfer
agent.
The
latest
tax
reporting
supplement
is
available
on
Principal's
Tax
Center
website.
Website:
https://www.principalfunds.com/individual-investor/customer-support/tax-center
Please
consult
your
tax
advisor
if
you
have
any
questions.
DRD
Capital
Securities
Fund
29.61%
QDI
Capital
Securities
Fund
59.51%
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
contact
your
financial
professional
or
call
800-222-5852.
Principal
Funds
are
distributed
by
Principal
Funds
Distributor,
Inc.
Principal,
Principal
and
symbol
design,
and
Principal
Financial
Group
are
registered
trademarks
and
services
marks
of
Principal
Financial
Services,
Inc.,
a
Principal
Financial
Group
company.
©
2020
Principal
Financial
Services,
Inc.
|
FV903-06
|
08/2020
|
921208
ITEM 2 – CODE OF ETHICS
(a) The Registrant has adopted a code of ethics (the "Code of Ethics") that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
(b) Not applicable.
(c) The Registrant has not amended its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto.
(d) The Registrant has not granted a waiver or an implicit waiver from a provision of its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto.
(e) Not applicable.
(f) The Registrant's Code of Ethics is attached as an Exhibit in response to Item 13(a)(1).
ITEM 3 – AUDIT COMMITTEE FINANCIAL EXPERT
The Registrant's Board has determined that Elizabeth Nickels, a member of the Registrant's Audit Committee, is an "audit committee financial expert" and "independent," as such terms are defined in this Item.
ITEM 4 – PRINCIPAL ACCOUNTANT FEES AND SERVICES
(a) Audit Fees.
Ernst & Young is the principal accountant for the registrant. As such, Ernst & Young has audited the financial statements of the registrant and reviewed regulatory filings that include those financial statements. During the last two fiscal years, Ernst & Young has billed the following amounts for their professional services.
August 31, 2019 - $650,375
August 31, 2020 – $476,380
(b) Audit-Related Fees.
Ernst & Young provided audit-related services to the registrant during the last two fiscal years that are not included in response to item 4(a). Those services related to the review of Form N-1A and Form N-14. Ernst & Young has billed the following amounts for those services.
August 31, 2019 - $5,500
August 31, 2020 - $11,000
Ernst and Young billed no fees that registrant’s audit committee was required to pre-approve pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(c) Tax Fees.
Ernst & Young prepares and reviews the federal income tax returns and federal excise tax returns of the registrant. In connection with this service, Ernst & Young prepares and reviews the calculation of the registrant’s dividend distributions that are included as deductions on the tax returns. Ernst & Young also provides services to identify passive foreign investment companies. Ernst & Young also provides services to understand and comply with tax laws in certain foreign countries and services to determine the taxability of corporate actions. During the last two fiscal years, Ernst & Young has billed the following amounts for their professional tax services.
August 31, 2019 - $229,014
August 31, 2020 - $206,379
Ernst and Young billed no fees that registrant’s audit committee was required to pre-approve pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) All Other Fees.
Ernst & Young has not billed the registrant for other products or services during the last two fiscal years.
Ernst and Young billed no fees that registrant’s audit committee was required to pre-approve pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(e) (1) Audit Committee Pre-Approval Policy.
The audit committee of the registrant has adopted the following pre-approval policy:
Policy on Auditor Independence
The purpose of this policy is to ensure the independence of the Principal Funds' primary independent auditor. This policy is established by the Audit Committee (the "Committee") of the Boards of Directors of Principal Funds, Inc. and Principal Variable Contracts Funds, Inc. and the Board of Trustees of Principal Exchange-Traded Funds and Principal Diversified Select Real Asset Fund (the “Funds”) (the “Boards of the Funds”) effective for all engagements of the primary independent auditor.
1. The primary independent auditor, its subsidiaries and affiliates shall not provide Prohibited Services to the Funds. For the purposes of this policy, Prohibited Services are:
·
Services that are subject to audit procedure during a financial statement audit;
·
Services where the auditor would act on behalf of management;
·
Services where the auditor is an advocate to the client's position in an adversarial proceeding;
·
Bookkeeping or other services related to the accounting records or financial statements of the Funds, its subsidiaries and affiliates;
·
Financial information systems design and implementation;
·
Appraisal or valuation services, fairness opinions, or contribution-in-kind reports;
·
Actuarial services;
·
Internal audit functions or human resources;
·
Broker or dealer, investment advisor, or investment banking services;
·
Legal services and expert services unrelated to the audit;
·
Tax planning services related to listed, confidential and aggressive transactions;
·
Personal tax planning services to individuals in a financial reporting oversight role with regard to the Funds (other than members of the Boards of the Funds who are not also officers of the Funds), including the immediate family members of such individuals;
·
Any other service that the Public Company Accounting Oversight Board (PCAOB) determines, by regulation, is impermissible.
2. (A) All services the primary independent auditor, its subsidiaries and affiliates provide to the Funds, and (B) Audit services, including audits of annual financial statements, audits of acquired or divested businesses or review of regulatory filings, any independent auditor provides, shall be approved by the Committee in advance in accordance with the following procedure:
Each quarter, Management will present to the Committee for pre-approval, a detailed description of each particular service, excluding tax services, for which pre-approval is sought and a range of fees for such service. The Committee may delegate pre-approval authority to one or more of its members provided such delegated member(s) shall present a report of any services approved to the full Committee at its next regularly scheduled meeting. The Committee Chairperson shall have pre-approval authority for changes to any range of fees applicable to services the Committee previously approved and for new services and the range of fees for such services that arise between regularly scheduled Committee meetings.
Similarly, the primary independent auditor will present to the Committee for pre-approval a written description of the nature and scope of all tax services not expressly prohibited, including the fee arrangements for such services, and the potential effects of such services on the audit firm’s independence.
In considering whether to pre-approve the primary independent auditor’s provision of non-audit services, the Committee will consider whether the services are compatible with the maintenance of such auditor's independence. The Committee will also consider whether the primary independent auditor is best positioned to provide the most effective and efficient service, for reasons such as its familiarity with the Funds' business, people, culture, accounting systems, risk profile and other factors, and whether the service might enhance the Funds' ability to manage or control risk or improve audit quality.
3. The provisions of this policy shall apply to all audit and non-audit services provided directly to the Funds. Additionally, the provisions of this policy shall apply to non-audit services provided to Principal Global Investors, LLC (“PGI”) or an affiliate of PGI that provides ongoing services to the Funds if the engagement relates directly to the operations and financial reporting of the Funds.
4. Not less than annually, the primary independent auditor shall report to the Committee in writing all relationships that may reasonably be thought to bear on independence between the auditor and the Funds or persons in financial reporting oversight roles with respect to any services provided by the auditor, its subsidiaries or affiliates as of the date of the communication, pursuant to Rule 3526 of the PCAOB. The primary independent auditor shall discuss with the Committee the potential effects of such relationships on the independence of the auditor. In addition, the primary independent auditor shall affirm, in writing, that, as of the date of the communication, it is independent within the meaning of the federal securities laws and Rule 3520 of the PCAOB.
5. The Committee shall ensure that the lead (or coordinating) audit partners, as well as the reviewing audit partner, of the Funds' primary independent auditor are rotated at least every five years and subject upon rotation to a five year "time out" period. All other audit partners of the primary independent auditor, excluding partners who simply consult with others on the audit engagement regarding technical issues, shall rotate after seven years and be subject upon rotation to a two year "time out" period.
6.
Neither the Funds nor PGI may hire or promote any former partner, principal, shareholder or professional employee (Former Employee) of the primary independent auditor into a financial reporting oversight role unless the Former Employee (1) has severed his/her economic interest in the independent audit firm, and (2) was not a member of the audit engagement team for the Funds during the one year period preceding the date that the audit procedures began for the fiscal period in which the Funds or PGI proposes to hire or promote the Former Employee. Neither the Funds nor PGI shall, without prior written consent of the primary independent auditor, hire or promote any Former Employee into a role not prohibited above if the Former Employee had provided any services to the Funds or PGI during the 12 months preceding the date of filing of the Funds' most recent annual report with the SEC. Upon termination of the primary independent auditor, the Funds or PGI shall not, without prior written consent of the former primary independent auditor, hire or promote any Former Employee for a period of up to 12 months from termination.
7.
For persons recently promoted or hired into a financial reporting oversight role (other than members of the Boards of the Funds who are not also officers of the Funds), any personal tax planning services pursuant to an engagement that was in progress before the hiring or promotion and provided by the primary independent auditor must be completed on or before 180 days after the hiring or promotion.
8.
The phrase "financial reporting oversight role" means a role in which a person is in a position to exercise influence over the contents of the financial statements or anyone who prepares them, such as a member of the board of directors or similar management or governing body, chief executive officer, president, chief operating officer, chief financial officer, counsel, controller, chief internal auditor, or any equivalent positions.
(Adopted by the Audit Committee of the Boards of the Funds on March 10, 2020).
(End of policy)
(e) (2) Pre-Approval Waivers.
There were no services provided to the registrant by Ernst & Young that were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f)
Substantially all work in connection with the audit of the registrant’s financial statements was performed by full-time employees of Ernst & Young.
(g)
The aggregate non-audit fees Ernst and Young billed to the registrant, the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant for each of registrant's last two fiscal years were as follows.
August 31, 2019 - $234,514
August 31, 2020 - $217,379
(h)
The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
ITEM 5 – AUDIT COMMITTEE OF LISTED REGISTRANTS
(a) The registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The members of the audit committee are Leroy Barnes, Mark Grimmett, and Elizabeth Nickels.
(b) 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
There have been no material changes to the procedures by which shareholders may recommend nominees to registrant’s board of directors.
ITEM 11 – CONTROLS AND PROCEDURES
a) The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) 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 required to be disclosed under Item 2 of Form N-CSR attached hereto as
Exhibit 99.CODE ETH
.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act are attached hereto as
Exhibit 99.CERT
.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(b) under the Investment Company Act is 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/ Kamal Bhatia |
Kamal Bhatia, President and CEO
Date | 10/9/2020 |
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/ Kamal Bhatia |
Kamal Bhatia, President and CEO
Date | 10/9/2020 |
By | /s/ Tracy W. Bollin |
Tracy W. Bollin, Chief Financial Officer
Date | 10/9/2020 |