UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-08532 | |||||
AMERICAN CENTURY STRATEGIC ASSET ALLOCATIONS, INC. | ||||||
(Exact name of registrant as specified in charter) | ||||||
4500 MAIN STREET, KANSAS CITY, MISSOURI | 64111 | |||||
(Address of principal executive offices) | (Zip Code) | |||||
CHARLES A. ETHERINGTON 4500 MAIN STREET, KANSAS CITY, MISSOURI 64111 | ||||||
(Name and address of agent for service) | ||||||
Registrant’s telephone number, including area code: | 816-531-5575 | |||||
Date of fiscal year end: | 11-30 | |||||
Date of reporting period: | 5-31-2015 |
ITEM 1. REPORTS TO STOCKHOLDERS.
SEMIANNUAL REPORT | MAY 31, 2015 |
Global Allocation Fund
Table of Contents |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Dear Investor: Thank you for reviewing this semiannual report for the six months ended May 31, 2015. It provides a macroeconomic and financial market overview (below), followed by fund performance, a schedule of fund investments, and other financial information. For additional commentary and updated information on fund performance, key factors that affected asset returns, and other insights regarding the investment markets, we encourage you to visit our website, americancentury.com. | |
Jonathan Thomas |
Divergence in Monetary Policies Helped Trigger Market Volatility
The six-month reporting period saw big swings in market returns, triggered in part by central bank moves. In October 2014, the U.S. Federal Reserve ended its latest bond-buying program (quantitative easing, QE). But while QE was ending in the U.S., other major central banks were starting or increasing QE as their economies faltered. A “global divergence” of economic growth and monetary policies opened between the U.S. and most of the rest of the developed world.
This divergence helped fuel increased demand for the U.S. dollar and U.S. dollar-denominated assets, and put downward pressure on commodities prices, most notably oil. Though the resulting dollar rally and oil price decline reversed somewhat in April 2015, the dollar remained nearly 10% higher for the reporting period, as measured by the U.S. Dollar Index, while oil remained almost 9% lower, as measured by West Texas Intermediate crude oil futures. U.S. stocks and bonds posted modest gains—the S&P 500 Index and the Barclays U.S. Aggregate Bond Index returned 2.97% and 1.09%, respectively. Non-U.S. developed-market stock returns were stronger, as reflected in the 4.84% return of the MSCI EAFE Index, but emerging-market equities lagged, reflected in the 0.82% return of the MSCI Emerging Markets Index.
We expect more monetary policy divergence between the U.S. and other major developed economies in the coming months, accompanied by continued market volatility. This could present both challenges and opportunities for active investment managers. Upward pressures on inflation and interest rates could develop as the massive amount of global monetary stimulus in progress takes hold and economies improve. In this environment, we continue to believe in a disciplined, diversified, long-term investment approach, using professionally managed stock and bond portfolios to meet financial goals. We appreciate your continued trust in us.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Performance |
Total Returns as of May 31, 2015 | |||||
Average Annual Returns | |||||
Ticker Symbol | 6 months(1) | 1 year | Since Inception | Inception Date | |
Investor Class | AGAVX | -0.30%(2) | -1.94%(2) | 4.60%(2) | 1/31/12 |
Blended Index(3) | — | 0.91% | 0.69% | 7.22% | — |
MSCI All Country World Investable Market Index | — | 3.73% | 5.29% | 12.59% | — |
Barclays Global Aggregate Bond Index | — | -3.32% | -6.00% | -0.65% | — |
Institutional Class | AGANX | -0.19%(2) | -1.74%(2) | 4.80%(2) | 1/31/12 |
A Class | AGAEX | 1/31/12 | |||
No sales charge* | -0.38%(2) | -2.20%(2) | 4.34%(2) | ||
With sales charge* | -6.12%(2) | -7.81%(2) | 2.50%(2) | ||
C Class | AGAGX | 1/31/12 | |||
No sales charge* | -0.80%(2) | -2.97%(2) | 3.54%(2) | ||
With sales charge* | -1.75%(2) | -2.97%(2) | 3.54%(2) | ||
R Class | AGAFX | -0.55%(2) | -2.46%(2) | 4.07%(2) | 1/31/12 |
* | Sales charges include initial sales charges and contingent deferred sales charges (CDSCs), as applicable. A Class shares have a 5.75% maximum initial sales charge and may be subject to a maximum CDSC of 1.00%. C Class shares redeemed within 12 months of purchase are subject to a maximum CDSC of 1.00%. The SEC requires that mutual funds provide performance information net of maximum sales charges in all cases where charges could be applied. |
(1) | Total returns for periods less than one year are not annualized. |
(2) | Returns would have been lower if a portion of the management fee had not been waived. |
(3) | The blended index combines monthly returns of two widely known indices. The MSCI All Country World Investable Market Index represents 60% of the blended index and the remaining 40% is represented by the Barclays Global Aggregate Bond Index. |
Total Annual Fund Operating Expenses | ||||
Investor Class | Institutional Class | A Class | C Class | R Class |
2.20% | 2.00% | 2.45% | 3.20% | 2.70% |
The total annual fund operating expenses shown is as stated in the fund’s prospectus current as of the date of this report. The prospectus may vary from the expense ratio shown elsewhere in this report because it is based on a different time period, includes acquired fund fees and expenses, and, if applicable, does not include fee waivers or expense reimbursements.
Data presented reflect past performance. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, and redemption value may be more or less than original cost. Data assumes reinvestment of dividends and capital gains, and none of the charts reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. To obtain performance data current to the most recent month end, please call 1-800-345-2021 or visit americancentury.com. For additional information about the fund, please consult the prospectus.
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Fund Characteristics |
MAY 31, 2015 | |
Types of Investments in Portfolio | % of net assets |
International Equity Funds | 39.3% |
Domestic Equity Funds | 19.1% |
International Fixed Income Funds | 15.0% |
Exchange-Traded Funds | 12.1% |
Domestic Fixed Income Funds | 10.6% |
Cash and Equivalents* | 3.9% |
*Includes temporary cash investments and other assets and liabilities.
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Shareholder Fee Example |
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds. As a shareholder in the underlying funds, your fund will indirectly bear its pro rata share of the expenses incurred by the underlying funds. These expenses are not included in the fund’s annualized expense ratio or the expenses paid during the period. These expenses are, however, included in the effective expenses paid during the period.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2014 to May 31, 2015.
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then 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 under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or Institutional Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. 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 your fund 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 transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
5
Beginning Account Value 12/1/14 | Ending Account Value 5/31/15 | Expenses Paid During Period(1)12/1/14 - 5/31/15 | Annualized Expense Ratio(1) | Effective Expenses Paid During Period(2)12/1/14 - 5/31/15 | Effective Annualized Expense Ratio(2) | |
Actual | ||||||
Investor Class (after waiver) | $1,000 | $997.00 | $2.14 | 0.43% | $6.32 | 1.27% |
Investor Class (before waiver) | $1,000 | $997.00(3) | $6.77 | 1.36% | $10.95 | 2.20% |
Institutional Class (after waiver) | $1,000 | $998.10 | $1.15 | 0.23% | $5.33 | 1.07% |
Institutional Class (before waiver) | $1,000 | $998.10(3) | $5.78 | 1.16% | $9.96 | 2.00% |
A Class (after waiver) | $1,000 | $996.20 | $3.38 | 0.68% | $7.56 | 1.52% |
A Class (before waiver) | $1,000 | $996.20(3) | $8.01 | 1.61% | $12.19 | 2.45% |
C Class (after waiver) | $1,000 | $992.00 | $7.10 | 1.43% | $11.27 | 2.27% |
C Class (before waiver) | $1,000 | $992.00(3) | $11.72 | 2.36% | $15.89 | 3.20% |
R Class (after waiver) | $1,000 | $994.50 | $4.62 | 0.93% | $8.80 | 1.77% |
R Class (before waiver) | $1,000 | $994.50(3) | $9.25 | 1.86% | $13.43 | 2.70% |
Hypothetical | ||||||
Investor Class (after waiver) | $1,000 | $1,022.79 | $2.17 | 0.43% | $6.39 | 1.27% |
Investor Class (before waiver) | $1,000 | $1,018.15 | $6.84 | 1.36% | $11.05 | 2.20% |
Institutional Class (after waiver) | $1,000 | $1,023.79 | $1.16 | 0.23% | $5.39 | 1.07% |
Institutional Class (before waiver) | $1,000 | $1,019.15 | $5.84 | 1.16% | $10.05 | 2.00% |
A Class (after waiver) | $1,000 | $1,021.54 | $3.43 | 0.68% | $7.64 | 1.52% |
A Class (before waiver) | $1,000 | $1,016.90 | $8.10 | 1.61% | $12.29 | 2.45% |
C Class (after waiver) | $1,000 | $1,017.80 | $7.19 | 1.43% | $11.40 | 2.27% |
C Class (before waiver) | $1,000 | $1,013.16 | $11.85 | 2.36% | $16.03 | 3.20% |
R Class (after waiver) | $1,000 | $1,020.29 | $4.68 | 0.93% | $8.90 | 1.77% |
R Class (before waiver) | $1,000 | $1,015.66 | $9.35 | 1.86% | $13.54 | 2.70% |
(1) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 182, the number of days in the most recent fiscal half-year, divided by 365, to reflect the one-half year period. The fees and expenses of the underlying funds in which the fund invests are not included in the class's annualized expense ratio. |
(2) | Effective expenses reflect the sum of expenses borne directly by the class plus the fund's pro rata share of the weighted average expense ratio of the underlying funds in which it invests. The effective annualized expense ratio combines the class's annualized expense ratio and the annualized weighted average expense ratio of the underlying funds. The annualized weighted average expense ratio of the underlying funds for the one-half year period reflects the actual expense ratio of each underlying fund from its most recent shareholder report, annualized and weighted for the fund's relative average investment therein during the period. |
(3) | Ending account value assumes the return earned after waiver and would have been lower if a portion of the management fee had not been waived. |
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Schedule of Investments |
MAY 31, 2015 (UNAUDITED)
Shares | Value | |||
MUTUAL FUNDS(1) — 84.0% | ||||
International Equity Funds — 39.3% | ||||
Emerging Markets Fund Institutional Class | 221,391 | $ | 2,134,212 | |
Global Gold Fund Institutional Class | 48,634 | 383,235 | ||
Global Real Estate Fund Institutional Class | 394,680 | 4,680,911 | ||
International Growth Fund Institutional Class | 315,812 | 4,099,237 | ||
NT International Small-Mid Cap Fund R6 Class(2) | 84,555 | 888,675 | ||
NT International Value Fund R6 Class(2) | 312,586 | 3,219,635 | ||
15,405,905 | ||||
Domestic Equity Funds — 19.1% | ||||
Core Equity Plus Fund Institutional Class | 137,688 | 1,962,051 | ||
Equity Market Neutral Fund Institutional Class(2) | 35,199 | 401,618 | ||
Heritage Fund Institutional Class | 33,539 | 888,778 | ||
Large Company Value Fund Institutional Class | 63,980 | 593,735 | ||
Market Neutral Value Fund Institutional Class | 37,675 | 401,996 | ||
Mid Cap Value Fund Institutional Class | 29,511 | 498,145 | ||
Select Fund Institutional Class | 28,711 | 1,759,971 | ||
Small Company Fund Institutional Class | 71,584 | 984,992 | ||
7,491,286 | ||||
International Fixed Income Funds — 15.0% | ||||
Emerging Markets Debt Fund R6 Class | 118,573 | 1,186,914 | ||
International Bond Fund Institutional Class | 380,363 | 4,708,898 | ||
5,895,812 | ||||
Domestic Fixed Income Funds — 10.6% | ||||
Diversified Bond Fund Institutional Class | 127,179 | 1,386,247 | ||
High-Yield Fund Institutional Class | 465,020 | 2,762,216 | ||
4,148,463 | ||||
TOTAL MUTUAL FUNDS (Cost $30,134,614) | 32,941,466 | |||
EXCHANGE-TRADED FUNDS — 12.1% | ||||
iShares Global Energy ETF | 11,000 | 405,790 | ||
iShares Global Tech ETF | 4,800 | 482,448 | ||
iShares S&P GSCI Commodity Indexed Trust(2) | 109,772 | 2,322,776 | ||
PowerShares DB Agriculture Fund(2) | 35,218 | 768,809 | ||
SPDR Gold Shares(2) | 3,513 | 400,833 | ||
Sprott Physical Gold Trust(2) | 39,060 | 383,569 | ||
TOTAL EXCHANGE-TRADED FUNDS (Cost $5,966,441) | 4,764,225 | |||
TEMPORARY CASH INVESTMENTS — 4.0% | ||||
Repurchase Agreement, Bank of America Merrill Lynch, (collateralized by various U.S. Treasury obligations, 1.25% - 1.50%, 10/31/18 - 2/29/20, valued at $256,012), in a joint trading account at 0.06%, dated 5/29/15, due 6/1/15 (Delivery value $250,550) | 250,549 | |||
Repurchase Agreement, Credit Suisse First Boston, Inc., (collateralized by various U.S. Treasury obligations, 0.375%, 4/30/16, valued at $306,696), in a joint trading account at 0.03%, dated 5/29/15, due 6/1/15 (Delivery value $300,660) | 300,659 |
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Shares | Value | |||
Repurchase Agreement, Fixed Income Clearing Corp., (collateralized by various U.S. Treasury obligations, 2.25% - 4.50%, 11/15/24 - 5/15/38, valued at $1,007,594), at 0.01%, dated 5/29/15, due 6/1/15 (Delivery value $979,001) | $ | 979,000 | ||
SSgA U.S. Government Money Market Fund, Class N | 210 | 210 | ||
State Street Institutional Liquid Reserves Fund, Premier Class | 23,554 | 23,554 | ||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $1,553,972) | 1,553,972 | |||
TOTAL INVESTMENT SECURITIES — 100.1% (Cost $37,655,027) | 39,259,663 | |||
OTHER ASSETS AND LIABILITIES — (0.1)% | (56,324) | |||
TOTAL NET ASSETS — 100.0% | $ | 39,203,339 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||
AUD | 70,000 | USD | 54,848 | JPMorgan Chase Bank N.A. | 6/17/15 | $ | (1,372 | ) |
USD | 54,303 | AUD | 70,222 | Barclays Bank plc | 6/17/15 | 658 | ||
BRL | 118,260 | USD | 40,000 | UBS AG | 6/17/15 | (3,073 | ) | |
USD | 35,000 | BRL | 108,063 | UBS AG | 6/17/15 | 1,257 | ||
USD | 3,334 | BRL | 10,129 | UBS AG | 6/17/15 | 171 | ||
CAD | 60,555 | USD | 50,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,320 | ) | |
CAD | 36,447 | USD | 30,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (701 | ) | |
USD | 51,297 | CAD | 62,954 | JPMorgan Chase Bank N.A. | 6/17/15 | 688 | ||
USD | 45,000 | CAD | 56,181 | UBS AG | 6/17/15 | (163 | ) | |
CLP | 82,494,279 | USD | 133,270 | UBS AG | 6/17/15 | 1 | ||
USD | 15,000 | CLP | 9,000,750 | UBS AG | 6/17/15 | 459 | ||
CNY | 673,676 | USD | 109,523 | UBS AG | 6/17/15 | 526 | ||
USD | 49,967 | CNY | 307,350 | UBS AG | 6/17/15 | (240 | ) | |
COP | 193,200,000 | USD | 80,000 | UBS AG | 6/17/15 | (3,776 | ) | |
USD | 75,000 | COP | 190,875,000 | UBS AG | 6/17/15 | (307 | ) | |
USD | 30,000 | CZK | 756,162 | Barclays Bank plc | 6/17/15 | (290 | ) | |
EUR | 15,000 | USD | 17,017 | Barclays Bank plc | 6/17/15 | (539 | ) | |
EUR | 10,000 | USD | 11,284 | Barclays Bank plc | 6/17/15 | (299 | ) | |
EUR | 25,000 | USD | 27,247 | Deutsche Bank | 6/17/15 | 216 | ||
USD | 219,984 | EUR | 204,852 | UBS AG | 6/17/15 | (5,047 | ) | |
GBP | 25,000 | USD | 38,238 | Barclays Bank plc | 6/17/15 | (33 | ) | |
GBP | 10,000 | USD | 15,379 | Deutsche Bank | 6/17/15 | (97 | ) | |
GBP | 15,000 | USD | 23,490 | Deutsche Bank | 6/17/15 | (566 | ) | |
GBP | 40,000 | USD | 60,917 | UBS AG | 6/17/15 | 212 | ||
GBP | 5,000 | USD | 7,838 | UBS AG | 6/17/15 | (197 | ) | |
GBP | 35,000 | USD | 53,654 | UBS AG | 6/17/15 | (167 | ) | |
USD | 60,056 | GBP | 39,963 | Barclays Bank plc | 6/17/15 | (1,016 | ) | |
USD | 15,227 | GBP | 10,000 | Barclays Bank plc | 6/17/15 | (55 | ) | |
HUF | 6,817,000 | USD | 25,000 | Barclays Bank plc | 6/17/15 | (791 | ) | |
HUF | 13,726,855 | USD | 50,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,252 | ) | |
HUF | 9,567,639 | USD | 35,000 | UBS AG | 6/17/15 | (1,023 | ) | |
USD | 38,188 | HUF | 10,861,630 | Deutsche Bank | 6/17/15 | (385 | ) | |
USD | 68,534 | HUF | 19,256,524 | UBS AG | 6/17/15 | 149 | ||
IDR | 444,759 | USD | 34 | UBS AG | 6/17/15 | — |
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Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||
IDR | 1,359,750,020 | USD | 103,917 | UBS AG | 6/17/15 | $ | (1,198 | ) |
USD | 103,014 | IDR | 1,360,299,870 | UBS AG | 6/17/15 | 254 | ||
INR | 4,983,172 | USD | 77,680 | UBS AG | 6/17/15 | 242 | ||
INR | 17,366,400 | USD | 271,902 | Westpac Group | 6/17/15 | (343 | ) | |
USD | 162,728 | INR | 10,393,450 | Westpac Group | 6/17/15 | 205 | ||
USD | 60,000 | INR | 3,856,200 | Westpac Group | 6/17/15 | (300 | ) | |
USD | 125,000 | INR | 8,111,250 | Westpac Group | 6/17/15 | (1,836 | ) | |
JPY | 1,797,703 | USD | 15,000 | Deutsche Bank | 6/17/15 | (513 | ) | |
JPY | 11,311,631 | USD | 95,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (3,846 | ) | |
JPY | 4,769,124 | USD | 40,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,568 | ) | |
USD | 80,000 | JPY | 9,954,880 | Barclays Bank plc | 6/17/15 | (221 | ) | |
USD | 60,000 | JPY | 7,200,206 | Deutsche Bank | 6/17/15 | 1,977 | ||
USD | 262,664 | JPY | 31,469,214 | UBS AG | 6/17/15 | 9,070 | ||
KRW | 267,939,123 | USD | 246,949 | Westpac Group | 6/17/15 | (6,626 | ) | |
USD | 107,291 | KRW | 116,410,496 | Westpac Group | 6/17/15 | 2,879 | ||
USD | 60,000 | KRW | 65,820,000 | Westpac Group | 6/17/15 | 964 | ||
USD | 75,000 | MXN | 1,153,089 | Deutsche Bank | 6/17/15 | 203 | ||
USD | 153 | NOK | 1,211 | JPMorgan Chase Bank N.A. | 6/17/15 | (3 | ) | |
NZD | 139,008 | USD | 106,024 | Deutsche Bank | 6/17/15 | (7,535 | ) | |
USD | 44,170 | NZD | 60,000 | State Street Bank and Trust Company | 6/17/15 | 1,659 | ||
USD | 55,606 | NZD | 75,000 | State Street Bank and Trust Company | 6/17/15 | 2,468 | ||
PEN | 47,610 | USD | 15,000 | UBS AG | 6/17/15 | 50 | ||
PEN | 283,950 | USD | 90,000 | UBS AG | 6/17/15 | (242 | ) | |
USD | 178,261 | PEN | 562,323 | UBS AG | 6/17/15 | 508 | ||
USD | 209 | PEN | 660 | UBS AG | 6/17/15 | 1 | ||
PHP | 5,751,200 | USD | 130,000 | UBS AG | 6/17/15 | (967 | ) | |
USD | 65,000 | PHP | 2,902,250 | UBS AG | 6/17/15 | (114 | ) | |
USD | 63,592 | PHP | 2,849,558 | Westpac Group | 6/17/15 | (340 | ) | |
PLN | 446,872 | USD | 119,946 | UBS AG | 6/17/15 | (600 | ) | |
USD | 105,000 | PLN | 393,248 | Barclays Bank plc | 6/17/15 | (25 | ) | |
USD | 15,000 | PLN | 53,844 | Deutsche Bank | 6/17/15 | 620 | ||
SEK | 287,301 | USD | 35,000 | Deutsche Bank | 6/17/15 | (1,296 | ) | |
USD | 30,000 | SEK | 255,071 | Barclays Bank plc | 6/17/15 | 77 | ||
USD | 30,136 | SEK | 262,444 | UBS AG | 6/17/15 | (652 | ) | |
SGD | 34,542 | USD | 25,633 | Barclays Bank plc | 6/17/15 | (19 | ) | |
USD | 110,000 | SGD | 148,896 | UBS AG | 6/17/15 | (412 | ) | |
THB | 5,890,550 | USD | 181,248 | Westpac Group | 6/17/15 | (6,238 | ) | |
USD | 40,405 | THB | 1,313,160 | Westpac Group | 6/17/15 | 1,391 | ||
USD | 137,184 | THB | 4,597,036 | Westpac Group | 6/17/15 | 605 | ||
USD | 75,000 | THB | 2,547,750 | Westpac Group | 6/17/15 | (694 | ) | |
TRY | 64,925 | USD | 25,000 | Barclays Bank plc | 6/17/15 | (727 | ) | |
TRY | 40,716 | USD | 15,000 | JPMorgan Chase Bank N.A. | 6/17/15 | 222 | ||
TRY | 278,228 | USD | 105,000 | State Street Bank and Trust Company | 6/17/15 | (982 | ) | |
USD | 98,891 | TRY | 272,568 | Barclays Bank plc | 6/17/15 | (3,011 | ) | |
USD | 85,000 | TWD | 2,616,300 | State Street Bank and Trust Company | 6/17/15 | 77 | ||
$ | (35,208 | ) |
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NOTES TO SCHEDULE OF INVESTMENTS | ||
AUD | - | Australian Dollar |
BRL | - | Brazilian Real |
CAD | - | Canadian Dollar |
CLP | - | Chilean Peso |
CNY | - | Chinese Yuan |
COP | - | Colombian Peso |
CZK | - | Czech Koruna |
EUR | - | Euro |
GBP | - | British Pound |
HUF | - | Hungarian Forint |
IDR | - | Indonesian Rupiah |
INR | - | Indian Rupee |
JPY | - | Japanese Yen |
KRW | - | South Korea Won |
MXN | - | Mexican Peso |
NOK | - | Norwegian Krone |
NZD | - | New Zealand Dollar |
PEN | - | Peruvian Nuevo Sol |
PHP | - | Philippine Peso |
PLN | - | Polish Zloty |
SEK | - | Swedish Krona |
SGD | - | Singapore Dollar |
THB | - | Thai Baht |
TRY | - | Turkish Lira |
TWD | - | Taiwanese Dollar |
USD | - | United States Dollar |
(1) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. |
(2) | Non-income producing. |
See Notes to Financial Statements.
10
Statement of Assets and Liabilities |
MAY 31, 2015 (UNAUDITED) | |||
Assets | |||
Investment securities - affiliated, at value (cost of $30,134,614) | $ | 32,941,466 | |
Investment securities - unaffiliated, at value (cost of $7,520,413) | 6,318,197 | ||
Total investment securities, at value (cost of $37,655,027) | 39,259,663 | ||
Cash | 17,822 | ||
Foreign currency holdings, at value (cost of $134) | 134 | ||
Receivable for investments sold | 92,963 | ||
Receivable for capital shares sold | 17,656 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 27,809 | ||
Dividends and interest receivable | 19,274 | ||
39,435,321 | |||
Liabilities | |||
Payable for investments purchased | 19,336 | ||
Payable for capital shares redeemed | 126,064 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 63,017 | ||
Accrued management fees | 12,412 | ||
Distribution and service fees payable | 11,153 | ||
231,982 | |||
Net Assets | $ | 39,203,339 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 37,146,762 | |
Distributions in excess of net investment income | (42,360) | ||
Undistributed net realized gain | 529,509 | ||
Net unrealized appreciation | 1,569,428 | ||
$ | 39,203,339 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | |||
Investor Class, $0.01 Par Value | $14,478,352 | 1,348,136 | $10.74 | ||
Institutional Class, $0.01 Par Value | $4,221,919 | 392,342 | $10.76 | ||
A Class, $0.01 Par Value | $10,194,394 | 952,026 | $10.71* | ||
C Class, $0.01 Par Value | $10,187,064 | 958,883 | $10.62 | ||
R Class, $0.01 Par Value | $121,610 | 11,386 | $10.68 | ||
*Maximum offering price $11.36 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
11
Statement of Operations |
FOR THE SIX MONTHS ENDED MAY 31, 2015 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Income distributions from affiliated funds | $ | 661,554 | |
Dividends | 7,659 | ||
Interest | 396 | ||
669,609 | |||
Expenses: | |||
Management fees | 311,348 | ||
Distribution and service fees: | |||
A Class | 14,557 | ||
C Class | 62,475 | ||
R Class | 755 | ||
Directors' fees and expenses | 854 | ||
Other expenses | 217 | ||
390,206 | |||
Fees waived | (216,108 | ) | |
174,098 | |||
Net investment income (loss) | 495,511 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (including $924,336 from affiliated funds) | (506,207 | ) | |
Foreign currency transactions | 24,519 | ||
Capital gain distributions received from affiliated funds | 1,703,873 | ||
1,222,185 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments | (2,104,798 | ) | |
Translation of assets and liabilities in foreign currencies | (40,588 | ) | |
(2,145,386 | ) | ||
Net realized and unrealized gain (loss) | (923,201 | ) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (427,690 | ) |
See Notes to Financial Statements.
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Statement of Changes in Net Assets |
SIX MONTHS ENDED MAY 31, 2015 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2014 | ||||||
Increase (Decrease) in Net Assets | May 31, 2015 | November 30, 2014 | ||||
Operations | ||||||
Net investment income (loss) | $ | 495,511 | $ | 743,124 | ||
Net realized gain (loss) | 1,222,185 | 2,250,951 | ||||
Change in net unrealized appreciation (depreciation) | (2,145,386 | ) | (1,407,426 | ) | ||
Net increase (decrease) in net assets resulting from operations | (427,690 | ) | 1,586,649 | |||
Distributions to Shareholders | ||||||
From net investment income: | ||||||
Investor Class | (259,121 | ) | (378,001 | ) | ||
Institutional Class | (79,369 | ) | (121,144 | ) | ||
A Class | (142,486 | ) | (218,144 | ) | ||
C Class | (47,886 | ) | (50,583 | ) | ||
R Class | (2,756 | ) | (2,803 | ) | ||
From net realized gains: | ||||||
Investor Class | (711,164 | ) | (57,146 | ) | ||
Institutional Class | (188,607 | ) | (15,843 | ) | ||
A Class | (482,622 | ) | (41,031 | ) | ||
C Class | (563,510 | ) | (35,230 | ) | ||
R Class | (12,565 | ) | (697 | ) | ||
Decrease in net assets from distributions | (2,490,086 | ) | (920,622 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | (15,318,042 | ) | (20,027,879 | ) | ||
Net increase (decrease) in net assets | (18,235,818 | ) | (19,361,852 | ) | ||
Net Assets | ||||||
Beginning of period | 57,439,157 | 76,801,009 | ||||
End of period | $ | 39,203,339 | $ | 57,439,157 | ||
Distributions in excess of net investment income | $ | (42,360 | ) | $ | (6,253 | ) |
See Notes to Financial Statements.
13
Notes to Financial Statements |
MAY 31, 2015 (UNAUDITED)
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Global Allocation Fund (the fund) is one fund in a series issued by the corporation. The fund may invest in other American Century Investments funds (affiliated funds), unaffiliated funds such as exchange-traded funds (ETFs), securities and other financial instruments in such varying combinations as permitted under the 1940 Act or any regulations or exemptive relief thereunder. The fund may invest up to 100% of its assets in affiliated and unaffiliated funds (collectively, underlying funds). The fund is diversified as defined under the 1940 Act. The fund will assume the risks associated with the underlying funds. The fund’s investment objective is to seek total return (capital appreciation plus dividend and interest income).
The fund offers the Investor Class, the Institutional Class, the A Class, the C Class and the R Class. The A Class may incur an initial sales charge. The A Class and C Class may be subject to a contingent deferred sales charge. The share classes differ principally in their respective sales charges and distribution and shareholder servicing expenses and arrangements. The Institutional Class is made available to institutional shareholders or through financial intermediaries whose clients do not require the same level of shareholder and administrative services as shareholders of other classes. As a result, the Institutional Class is charged a lower unified management fee.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The fund is an investment company and follows accounting and reporting guidance in accordance with accounting principles generally accepted in the United States of America. This may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates. Management evaluated the impact of events or transactions occurring through the date the financial statements were issued that would merit recognition or disclosure.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. Equity securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Fixed income securities maturing within 60 days at the time of purchase may be valued at cost, plus or minus any amortized discount or premium or at the evaluated mean as provided by an independent pricing service. Evaluated mean prices are commonly derived through utilization of market models, which may consider, among other factors: trade data, quotations from dealers and active market makers, relevant yield curve and spread data, related sector levels, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information.
Open-end management investment companies are valued at the reported net asset value per share. Repurchase agreements are valued at cost, which approximates fair value. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service.
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If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s net asset value per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. If significant fluctuations in foreign markets are identified, the fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes.
Investment Income — Income and capital gain distributions, if any, are recorded as of the ex-dividend date. Long-term capital gain distributions, if any, are a component of net realized gain (loss). Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Distributions received on securities that represent a return of capital or long-term capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund may estimate the components of distributions received that may be considered nontaxable distributions or long-term capital gain distributions for income tax purposes. Interest income is recorded on the accrual basis and includes accretion of discounts and amortization of premiums.
Expenses — The expenses included in the accompanying financial statements reflect the expenses of the fund and do not include any expenses associated with the underlying funds.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Repurchase Agreements — The fund may enter into repurchase agreements with institutions that American Century Investment Management, Inc. (ACIM) (the investment advisor) has determined are creditworthy pursuant to criteria adopted by the Board of Directors. The fund requires that the collateral, represented by securities, received in a repurchase transaction be transferred to the custodian in a manner sufficient to enable the fund to obtain those securities in the event of a default under the repurchase agreement. ACIM monitors, on a daily basis, the securities transferred to ensure the value, including accrued interest, of the securities under each repurchase agreement is equal to or greater than amounts owed to the fund under each repurchase agreement.
Joint Trading Account — Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the fund, along with certain other funds in the American Century Investments family of funds, may transfer uninvested cash balances into a joint trading account. These balances are invested in one or more repurchase agreements that are collateralized by U.S. Treasury or Agency obligations.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain forward foreign currency exchange contracts. ACIM monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily.
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Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years from the date of filing but can be longer in certain jurisdictions. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income and net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act. The fund may elect to treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc. (ACC). The corporation’s investment advisor, ACIM, the corporation's distributor, American Century Investment Services, Inc. (ACIS), and the corporation’s transfer agent, American Century Services, LLC, are wholly owned, directly or indirectly, by ACC. ACIM serves as the investment advisor for the affiliated funds.
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class's daily net assets and paid monthly in arrears. The annual management fee is 1.36% for the Investor Class, A Class, C Class and R Class and 1.16% for the Institutional Class. However, the investment advisor will waive the portion of the fund’s management fee equal to the expenses attributable to the management fees of the American Century Investments funds in which the fund invests. The amount of this waiver will fluctuate depending on the fund’s daily allocations to other American Century Investments funds. This waiver is expected to remain in effect permanently and it cannot be terminated without the approval of the Board of Directors. From December 1, 2014 through March 31, 2015, the investment advisor voluntarily agreed to waive an additional 0.24% of the fund's management fee. Effective April 1, 2015, the investment advisor increased the amount of this additional waiver from 0.24% to 0.26% of the fund's management fee. This waiver is expected to continue until March 31, 2016 and cannot be terminated without the approval of the Board of Directors. The total amount of the waivers with respect to any class of the fund will not exceed the management fee for that particular class. The total amount of the waiver for each class for the six months ended May 31, 2015 was $80,680, $21,795, $54,174, $58,059 and $1,400 for the Investor Class, Institutional Class, A Class, C Class and R Class, respectively. The effective annual management fee after waiver for each class for the six months ended May 31, 2015 was 0.43% for the Investor Class, A Class, C Class and R Class and 0.23% for the Institutional Class.
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay ACIS an annual distribution and service fee of 0.25%. The plans provide that the C Class will pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution
16
services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the six months ended May 31, 2015 are detailed in the Statement of Operations.
Directors' Fees and Expenses — The Board of Directors is responsible for overseeing the investment advisor’s management and operations of the fund. The directors receive detailed information about the fund and its investment advisor regularly throughout the year, and meet at least quarterly with management of the investment advisor to review reports about fund operations. The fund’s officers do not receive compensation from the fund.
Acquired Fund Fees and Expenses — The fund may invest in mutual funds, exchange-traded funds, and business development companies (the acquired funds). The fund will indirectly realize its pro rata share of the fees and expenses of the acquired funds in which it invests. These indirect fees and expenses are not paid out of the fund's assets but are reflected in the return realized by the fund on its investment in the acquired funds.
4. Investment Transactions
Purchases and sales of investment securities, excluding short-term investments, for the six months ended May 31, 2015 were $16,971,478 and $30,828,553, respectively.
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2015 | Year ended November 30, 2014 | |||||||
Shares | Amount | Shares | Amount | |||||
Investor Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||
Sold | 75,558 | $ | 811,184 | 730,131 | $ | 8,388,577 | ||
Issued in reinvestment of distributions | 90,468 | 961,399 | 38,267 | 425,917 | ||||
Redeemed | (644,720) | (6,907,193) | (1,541,629) | (17,439,302) | ||||
(478,694) | (5,134,610) | (773,231) | (8,624,808) | |||||
Institutional Class/Shares Authorized | 10,000,000 | 10,000,000 | ||||||
Sold | 7,071 | 76,336 | 100,776 | 1,128,827 | ||||
Issued in reinvestment of distributions | 25,172 | 267,976 | 12,297 | 136,987 | ||||
Redeemed | (145,294) | (1,561,263) | (333,033) | (3,762,644) | ||||
(113,051) | (1,216,951) | (219,960) | (2,496,830) | |||||
A Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||
Sold | 43,763 | 469,971 | 623,012 | 7,005,144 | ||||
Issued in reinvestment of distributions | 58,259 | 617,915 | 23,152 | 257,224 | ||||
Redeemed | (418,192) | (4,473,752) | (1,253,594) | (14,332,957) | ||||
(316,170) | (3,385,866) | (607,430) | (7,070,589) | |||||
C Class/Shares Authorized | 10,000,000 | 10,000,000 | ||||||
Sold | 31,111 | 332,725 | 285,967 | 3,209,439 | ||||
Issued in reinvestment of distributions | 55,715 | 588,084 | 6,522 | 72,133 | ||||
Redeemed | (593,349) | (6,282,937) | (456,019) | (5,112,620) | ||||
(506,523) | (5,362,128) | (163,530) | (1,831,048) | |||||
R Class/Shares Authorized | 10,000,000 | 10,000,000 | ||||||
Sold | 1,063 | 11,394 | 2,293 | 26,135 | ||||
Issued in reinvestment of distributions | 1,446 | 15,321 | 315 | 3,500 | ||||
Redeemed | (22,607) | (245,202) | (3,002) | (34,239) | ||||
(20,098) | (218,487) | (394) | (4,604) | |||||
Net increase (decrease) | (1,434,536) | $ | (15,318,042 | ) | (1,764,545) | $ | (20,027,879 | ) |
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6. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the six months ended May 31, 2015 follows:
Affiliated Fund(1) | Beginning Value | Purchase Cost | Sales Cost | Realized Gain (Loss) | Distributions Received(2) | Ending Value | ||||||||||||
Emerging Markets Fund | $ | 3,174,325 | $ | 6,307 | $ | 1,044,650 | $ | 92,326 | $ | 6,307 | $ | 2,134,212 | ||||||
Global Gold Fund | 1,308,173 | 50,248 | 1,288,858 | (287,948 | ) | 44,449 | 383,235 | |||||||||||
Global Real Estate Fund | 7,001,734 | 1,275,518 | 3,227,516 | 219,187 | 293,787 | 4,680,911 | ||||||||||||
International Growth Fund | 10,421,323 | 1,275,929 | 6,434,944 | 666,138 | 686,683 | 4,099,237 | ||||||||||||
NT International Small-Mid Cap Fund(3) | — | 969,216 | 123,665 | 4,982 | — | 888,675 | ||||||||||||
NT International Value Fund(3) | — | 3,466,567 | 325,661 | 9,154 | — | 3,219,635 | ||||||||||||
Core Equity Plus Fund | 3,484,256 | 416,054 | 1,309,569 | 226,697 | 416,054 | 1,962,051 | ||||||||||||
Equity Market Neutral Fund(3) | — | 431,226 | 25,737 | (264 | ) | — | 401,618 | |||||||||||
Heritage Fund | 2,024,262 | 273,408 | 1,277,625 | (12,539 | ) | 273,408 | 888,778 | |||||||||||
Large Company Value Fund | 437,672 | 287,221 | 140,476 | 5,608 | 2,510 | 593,735 | ||||||||||||
Market Neutral Value Fund | — | 431,226 | 37,142 | 299 | — | 401,996 | ||||||||||||
Mid Cap Value Fund | 583,715 | 137,269 | 193,291 | (5,172 | ) | 56,283 | 498,145 | |||||||||||
Select Fund | 3,632,158 | 327,377 | 1,611,090 | 432,840 | 327,377 | 1,759,971 | ||||||||||||
Small Company Fund | 1,433,831 | — | 500,478 | 26,970 | — | 984,992 | ||||||||||||
Emerging Markets Debt Fund | — | 1,301,752 | 137,294 | 2,243 | 9,741 | 1,186,914 | ||||||||||||
International Bond Fund | 7,505,454 | 890,715 | 3,619,462 | (394,982 | ) | 103,216 | 4,708,898 | |||||||||||
Diversified Bond Fund | 2,325,244 | 21,681 | 948,707 | 12,716 | 21,683 | 1,386,247 | ||||||||||||
High-Yield Fund | 4,040,240 | 162,492 | 1,448,397 | (73,919 | ) | 123,929 | 2,762,216 | |||||||||||
$ | 47,372,387 | $ | 11,724,206 | $ | 23,694,562 | $ | 924,336 | $ | 2,365,427 | $ | 32,941,466 |
(1) | Affiliated fund investments represent Institutional Class for all funds, except R6 Class for NT International Small-Mid Cap Fund, NT International Value Fund and Emerging Markets Debt Fund. Additional information and attributes of each affiliated fund are available at americancentury.com. |
(2) | Distributions received includes distributions from net investment income and from capital gains, if any. |
(3) | Non-income producing. |
7. Investments in Underlying Funds
The fund does not invest in the underlying funds for the purpose of exercising management or control; however, investments by the fund within its investment strategy may represent a significant portion of the underlying funds’ net assets.
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8. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments. |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars. |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments. There were no significant transfers between levels during the period.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||
Assets | ||||||||
Investment Securities | ||||||||
Mutual Funds | $ | 32,941,466 | — | — | ||||
Exchange-Traded Funds | 4,764,225 | — | — | |||||
Temporary Cash Investments | 23,764 | $ | 1,530,208 | — | ||||
$ | 37,729,455 | $ | 1,530,208 | — | ||||
Other Financial Instruments | ||||||||
Forward Foreign Currency Exchange Contracts | — | $ | 27,809 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Forward Foreign Currency Exchange Contracts | — | $ | (63,017 | ) | — |
9. Derivative Instruments
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The fund's average U.S. dollar exposure to foreign currency risk derivative instruments held during the period was $8,666,457.
The value of foreign currency risk derivative instruments as of May 31, 2015, is disclosed on the Statement of Assets and Liabilities as an asset of $27,809 in unrealized appreciation on forward foreign currency exchange contracts and a liability of $63,017 in unrealized depreciation on forward foreign currency exchange contracts.
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For the six months ended May 31, 2015, the effect of foreign currency risk derivative instruments on the Statement of Operations was $24,519 in net realized gain (loss) on foreign currency transactions and $(40,588) in change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies.
10. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
There are certain risks involved with investing in forward foreign currency exchange contracts. Changes in the value of foreign currencies against the U.S. dollar could result in gains or losses to the fund. The value of a share of the fund is determined in U.S. dollars. As a result, the fund could recognize a gain or loss based solely upon a change in the exchange rate between the foreign currency and the U.S. dollar. Changes in exchange rates may increase losses and lower gains from the fund’s investments. The overall impact on the fund may be significant depending on the currencies represented in the portfolio and how each one appreciates or depreciates in relation to the U.S. dollar. Currency trends are unpredictable and exchange rates in foreign currencies may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or Supranational entities, or by the imposition of currency controls or other political developments in the United States or abroad.
The fund’s commodity-related investments may be subject to greater volatility than investments in traditional securities. The value of the fund’s commodity-related investments may be affected by changes in overall market movements, interest rate changes, and volatility in commodity-related indices. The value of these investments may also be affected by factors affecting a particular commodity, such as weather, disease, embargoes, tariffs, taxes and economic, political and regulatory developments.
The fund may be subject to certain risks similar to those associated with direct investment in real estate including but not limited to: local or regional economic conditions, changes in zoning laws, changes in property values, property tax increases, overbuilding, increased competition, environmental contamination, natural disasters, and interest rate risk.
The fund is subject to short sales risk. If the market price of a security increases after the fund borrows the security, the fund may suffer a loss when it replaces the borrowed security at the higher price. Any loss will be increased by the amount of compensation, interest or dividends, and transaction costs the fund must pay to the lender of the borrowed security.
The fund may invest in lower-rated debt securities, which are subject to substantial risks including liquidity risk and credit risk.
11. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of May 31, 2015, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 38,183,302 | |
Gross tax appreciation of investments | $ | 3,108,327 | |
Gross tax depreciation of investments | (2,031,966 | ) | |
Net tax appreciation (depreciation) of investments | $ | 1,076,361 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
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Financial Highlights |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses(3) | Operating Expenses (before expense waiver)(3) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
Investor Class | |||||||||||||||||
2015(4) | $11.33 | 0.13 | (0.18) | (0.05) | (0.14) | (0.40) | (0.54) | $10.74 | (0.30)% | 0.43%(5) | 1.36%(5) | 2.45%(5) | 1.52%(5) | 38% | $14,478 | ||
2014 | $11.24 | 0.16 | 0.09 | 0.25 | (0.14) | (0.02) | (0.16) | $11.33 | 2.30% | 0.44% | 1.37% | 1.35% | 0.42% | 47% | $20,694 | ||
2013 | $10.65 | 0.11 | 0.62 | 0.73 | (0.14) | — | (0.14) | $11.24 | 7.04% | 0.41% | 1.37% | 1.15% | 0.19% | 39% | $29,232 | ||
2012(6) | $10.00 | 0.06 | 0.59 | 0.65 | — | — | — | $10.65 | 6.40% | 0.35%(5) | 1.37%(5) | 0.69%(5) | (0.33)%(5) | 19% | $9,566 | ||
Institutional Class | |||||||||||||||||
2015(4) | $11.36 | 0.14 | (0.17) | (0.03) | (0.17) | (0.40) | (0.57) | $10.76 | (0.19)% | 0.23%(5) | 1.16%(5) | 2.65%(5) | 1.72%(5) | 38% | $4,222 | ||
2014 | $11.28 | 0.19 | 0.08 | 0.27 | (0.17) | (0.02) | (0.19) | $11.36 | 2.41% | 0.24% | 1.17% | 1.55% | 0.62% | 47% | $5,742 | ||
2013 | $10.66 | 0.11 | 0.66 | 0.77 | (0.15) | — | (0.15) | $11.28 | 7.28% | 0.21% | 1.17% | 1.35% | 0.39% | 39% | $8,179 | ||
2012(6) | $10.00 | 0.08 | 0.58 | 0.66 | — | — | — | $10.66 | 6.60% | 0.15%(5) | 1.17%(5) | 0.89%(5) | (0.13)%(5) | 19% | $1,894 | ||
A Class | |||||||||||||||||
2015(4) | $11.28 | 0.12 | (0.17) | (0.05) | (0.12) | (0.40) | (0.52) | $10.71 | (0.38)% | 0.68%(5) | 1.61%(5) | 2.20%(5) | 1.27%(5) | 38% | $10,194 | ||
2014 | $11.20 | 0.13 | 0.09 | 0.22 | (0.12) | (0.02) | (0.14) | $11.28 | 1.96% | 0.69% | 1.62% | 1.10% | 0.17% | 47% | $14,307 | ||
2013 | $10.62 | 0.14 | 0.57 | 0.71 | (0.13) | — | (0.13) | $11.20 | 6.78% | 0.66% | 1.62% | 0.90% | (0.06)% | 39% | $21,003 | ||
2012(6) | $10.00 | 0.03 | 0.59 | 0.62 | — | — | — | $10.62 | 6.20% | 0.60%(5) | 1.62%(5) | 0.44%(5) | (0.58)%(5) | 19% | $19,311 |
21
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses(3) | Operating Expenses (before expense waiver)(3) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
C Class | |||||||||||||||||
2015(4) | $11.15 | 0.08 | (0.18) | (0.10) | (0.03) | (0.40) | (0.43) | $10.62 | (0.80)% | 1.43%(5) | 2.36%(5) | 1.45%(5) | 0.52%(5) | 38% | $10,187 | ||
2014 | $11.07 | 0.03 | 0.10 | 0.13 | (0.03) | (0.02) | (0.05) | $11.15 | 1.21% | 1.44% | 2.37% | 0.35% | (0.58)% | 47% | $16,343 | ||
2013 | $10.55 | (0.01) | 0.64 | 0.63 | (0.11) | — | (0.11) | $11.07 | 6.00% | 1.41% | 2.37% | 0.15% | (0.81)% | 39% | $18,032 | ||
2012(6) | $10.00 | (0.04) | 0.59 | 0.55 | — | — | — | $10.55 | 5.50% | 1.35%(5) | 2.37%(5) | (0.31)%(5) | (1.33)%(5) | 19% | $4,726 | ||
R Class | |||||||||||||||||
2015(4) | $11.24 | 0.10 | (0.17) | (0.07) | (0.09) | (0.40) | (0.49) | $10.68 | (0.55)% | 0.93%(5) | 1.86%(5) | 1.95%(5) | 1.02%(5) | 38% | $122 | ||
2014 | $11.15 | 0.09 | 0.11 | 0.20 | (0.09) | (0.02) | (0.11) | $11.24 | 1.80% | 0.94% | 1.87% | 0.85% | (0.08)% | 47% | $354 | ||
2013 | $10.60 | 0.18 | 0.49 | 0.67 | (0.12) | — | (0.12) | $11.15 | 6.42% | 0.91% | 1.87% | 0.65% | (0.31)% | 39% | $356 | ||
2012(6) | $10.00 | 0.03 | 0.57 | 0.60 | — | — | — | $10.60 | 6.00% | 0.85%(5) | 1.87%(5) | 0.19%(5) | (0.83)%(5) | 19% | $530 |
Notes to Financial Highlights |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Ratio of operating expenses to average net assets does not include any fees and expenses of the acquired funds. |
(4) | Six months ended May 31, 2015 (unaudited). |
(5) | Annualized. |
(6) | January 31, 2012 (fund inception) through November 30, 2012. |
See Notes to Financial Statements.
22
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain IRAs are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. For systematic withdrawals, your withholding election will remain in effect until revoked or changed by filing a new election. You have the right to revoke your election at any time.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld (or as otherwise required by state law). State taxes will be withheld from your distribution in accordance with the respective state rules.
Distributions you receive from 403(b), 457 and qualified plans are subject to special tax and withholding rules. Your plan administrator or plan sponsor is required to provide you with a special tax notice explaining those rules at the time you request a distribution. If applicable, federal and/or state taxes may be withheld from your distribution amount.
Proxy Voting Policies
A description of the policies that the fund's investment advisor uses in exercising the voting rights associated with the securities purchased and/or held by the fund is available without charge, upon request, by calling 1-800-345-2021. It is also available on the "About Us" page of American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the "About Us" page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its
website at americancentury.com and, upon request, by calling 1-800-345-2021.
23
Notes |
24
Contact Us | americancentury.com | |
Automated Information Line | 1-800-345-8765 | |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 | |
Investors Using Advisors | 1-800-378-9878 | |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 | |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 | |
Telecommunications Relay Service for the Deaf | 711 | |
American Century Strategic Asset Allocations, Inc. | ||
Investment Advisor: American Century Investment Management, Inc. Kansas City, Missouri | ||
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||
©2015 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-86222 1507 |
SEMIANNUAL REPORT | MAY 31, 2015 |
Multi-Asset Income Fund
Table of Contents |
President’s Letter | |
Performance | |
Fund Characteristics | |
Shareholder Fee Example | |
Schedule of Investments | |
Statement of Assets and Liabilities | |
Statement of Operations | |
Statement of Changes in Net Assets | |
Notes to Financial Statements | |
Financial Highlights | |
Approval of Management Agreement | |
Additional Information |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Dear Investor: Thank you for reviewing this semiannual report for the six months ended May 31, 2015. It provides a macroeconomic and financial market overview (below), followed by fund performance, a schedule of fund investments, and other financial information. For additional commentary and updated information on fund performance, key factors that affected asset returns, and other insights regarding the investment markets, we encourage you to visit our website, americancentury.com. | |
Jonathan Thomas |
Divergence in Monetary Policies Helped Trigger Market Volatility
The six-month reporting period saw big swings in market returns, triggered in part by central bank moves. In October 2014, the U.S. Federal Reserve ended its latest bond-buying program (quantitative easing, QE). But while QE was ending in the U.S., other major central banks were starting or increasing QE as their economies faltered. A “global divergence” of economic growth and monetary policies opened between the U.S. and most of the rest of the developed world.
This divergence helped fuel increased demand for the U.S. dollar and U.S. dollar-denominated assets, and put downward pressure on commodities prices, most notably oil. Though the resulting dollar rally and oil price decline reversed somewhat in April 2015, the dollar remained nearly 10% higher for the reporting period, as measured by the U.S. Dollar Index, while oil remained almost 9% lower, as measured by West Texas Intermediate crude oil futures. U.S. stocks and bonds posted modest gains—the S&P 500 Index and the Barclays U.S. Aggregate Bond Index returned 2.97% and 1.09%, respectively. Non-U.S. developed-market stock returns were stronger, as reflected in the 4.84% return of the MSCI EAFE Index, but emerging-market equities lagged, reflected in the 0.82% return of the MSCI Emerging Markets Index.
We expect more monetary policy divergence between the U.S. and other major developed economies in the coming months, accompanied by continued market volatility. This could present both challenges and opportunities for active investment managers. Upward pressures on inflation and interest rates could develop as the massive amount of global monetary stimulus in progress takes hold and economies improve. In this environment, we continue to believe in a disciplined, diversified, long-term investment approach, using professionally managed stock and bond portfolios to meet financial goals. We appreciate your continued trust in us.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Performance |
Total Returns as of May 31, 2015 | |||
Ticker Symbol | Since Inception(1) | Inception Date | |
Investor Class | AMJVX | 2.32%(2) | 12/1/14 |
Blended Index(3) | — | 2.69% | — |
Barclays U.S. High-Yield 2% Issuer Capped Bond Index | — | 3.27% | — |
Russell 3000 Value Index | — | 2.68% | — |
Barclays U.S. Aggregate Bond Index | — | 1.21% | — |
MSCI ACWI ex-U.S. Value Index | — | 2.47% | — |
Institutional Class | AMJIX | 2.42%(2) | 12/1/14 |
A Class | AMJAX | 12/1/14 | |
No sales charge* | 2.20%(2) | ||
With sales charge* | -3.67%(2) | ||
C Class | AMJCX | 12/1/14 | |
No sales charge* | 1.85%(2) | ||
With sales charge* | 0.85%(2) | ||
R Class | AMJWX | 2.09%(2) | 12/1/14 |
R6 Class | AMJRX | 2.49%(2) | 12/1/14 |
* | Sales charges include initial sales charges and contingent deferred sales charges (CDSCs), as applicable. A Class shares have a 5.75% maximum initial sales charge and may be subject to a maximum CDSC of 1.00%. C Class shares redeemed within 12 months of purchase are subject to a maximum CDSC of 1.00%. The SEC requires that mutual funds provide performance information net of maximum sales charges in all cases where charges could be applied. |
(1) | Total returns for periods less than one year are not annualized. |
(2) | Returns would have been lower if a portion of the management fee had not been waived. |
(3) | The blended index combines monthly returns of widely known indices. The Barclays U.S. High-Yield 2% Issuer Capped Bond Index represents 40%, the Russell 3000 Value Index represents 30%, the Barclays U.S. Aggregate Bond Index represents 20% and the MSCI ACWI ex-U.S. Value Index represents 10% of the blended index. |
Total Annual Fund Operating Expenses | |||||
Investor Class | Institutional Class | A Class | C Class | R Class | R6 Class |
1.24% | 1.04% | 1.49% | 2.24% | 1.74% | 0.89% |
The total annual fund operating expenses shown is as stated in the fund’s prospectus current as of the date of this report. The prospectus may vary from the expense ratio shown elsewhere in this report because it is based on a different time period, includes acquired fund fees and expenses, and, if applicable, does not include fee waivers or expense reimbursements.
Data presented reflect past performance. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, and redemption value may be more or less than original cost. Data assumes reinvestment of dividends and capital gains, and none of the charts reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. To obtain performance data current to the most recent month end, please call 1-800-345-2021 or visit americancentury.com. For additional information about the fund, please consult the prospectus.
3
Fund Characteristics |
MAY 31, 2015 | |
Types of Investments in Portfolio | % of net assets |
Mutual Funds | 48.5% |
Domestic Common Stocks | 19.3% |
Foreign Common Stocks* | 5.0% |
Preferred Stocks | 6.7% |
Convertible Preferred Stocks | 4.7% |
Convertible Bonds | 4.1% |
Corporate Bonds | 3.2% |
Commercial Mortgage-Backed Securities | 1.4% |
Collateralized Mortgage Obligations | 1.4% |
Asset-Backed Securities | 0.7% |
Exchange-Traded Funds | 0.2% |
Municipal Securities | 0.1% |
Temporary Cash Investments | 4.5% |
Other Assets and Liabilities | 0.2% |
*Includes depositary shares, dual listed securities and foreign ordinary shares. |
4
Shareholder Fee Example |
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2014 to May 31, 2015.
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then 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 under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or Institutional Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. 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 your fund 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 transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
5
Beginning Account Value 12/1/14 | Ending Account Value 5/31/15 | Expenses Paid During Period(1)12/1/14 - 5/31/15 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class (after waiver) | $1,000 | $1,023.20 | $3.03 | 0.60% |
Investor Class (before waiver) | $1,000 | $1,023.20(2) | $4.59 | 0.91% |
Institutional Class (after waiver) | $1,000 | $1,024.20 | $2.02 | 0.40% |
Institutional Class (before waiver) | $1,000 | $1,024.20(2) | $3.58 | 0.71% |
A Class (after waiver) | $1,000 | $1,022.00 | $4.28 | 0.85% |
A Class (before waiver) | $1,000 | $1,022.00(2) | $5.85 | 1.16% |
C Class (after waiver) | $1,000 | $1,018.50 | $8.05 | 1.60% |
C Class (before waiver) | $1,000 | $1,018.50(2) | $9.61 | 1.91% |
R Class (after waiver) | $1,000 | $1,020.90 | $5.54 | 1.10% |
R Class (before waiver) | $1,000 | $1,020.90(2) | $7.10 | 1.41% |
R6 Class (after waiver) | $1,000 | $1,024.90 | $1.26 | 0.25% |
R6 Class (before waiver) | $1,000 | $1,024.90(2) | $2.83 | 0.56% |
Hypothetical | ||||
Investor Class (after waiver) | $1,000 | $1,021.94 | $3.02 | 0.60% |
Investor Class (before waiver) | $1,000 | $1,020.39 | $4.58 | 0.91% |
Institutional Class (after waiver) | $1,000 | $1,022.94 | $2.02 | 0.40% |
Institutional Class (before waiver) | $1,000 | $1,021.39 | $3.58 | 0.71% |
A Class (after waiver) | $1,000 | $1,020.69 | $4.28 | 0.85% |
A Class (before waiver) | $1,000 | $1,019.15 | $5.84 | 1.16% |
C Class (after waiver) | $1,000 | $1,016.95 | $8.05 | 1.60% |
C Class (before waiver) | $1,000 | $1,015.41 | $9.60 | 1.91% |
R Class (after waiver) | $1,000 | $1,019.45 | $5.54 | 1.10% |
R Class (before waiver) | $1,000 | $1,017.90 | $7.09 | 1.41% |
R6 Class (after waiver) | $1,000 | $1,023.68 | $1.26 | 0.25% |
R6 Class (before waiver) | $1,000 | $1,022.14 | $2.82 | 0.56% |
(1) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 182, the number of days in the most recent fiscal half-year, divided by 365, to reflect the one-half year period. |
(2) | Ending account value assumes the return earned after waiver and would have been lower if a portion of the management fee had not been waived. |
6
Schedule of Investments |
MAY 31, 2015 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
MUTUAL FUNDS(1) — 48.5% | |||||||
Emerging Markets Debt Fund R6 Class | 207,736 | $ | 2,079,436 | ||||
High-Yield Fund R6 Class | 603,989 | 3,581,655 | |||||
International Value Fund R6 Class | 255,430 | 2,229,903 | |||||
Utilities Fund Investor Class | 9,558 | 164,967 | |||||
TOTAL MUTUAL FUNDS (Cost $8,070,490) | 8,055,961 | ||||||
COMMON STOCKS — 24.3% | |||||||
Air Freight and Logistics — 0.3% | |||||||
United Parcel Service, Inc., Class B | 509 | 50,503 | |||||
Automobiles† | |||||||
Honda Motor Co. Ltd. ADR | 139 | 4,757 | |||||
Banks — 0.4% | |||||||
Commerce Bancshares, Inc. | 314 | 14,007 | |||||
JPMorgan Chase & Co. | 169 | 11,117 | |||||
KeyCorp | 163 | 2,377 | |||||
PNC Financial Services Group, Inc. (The) | 315 | 30,142 | |||||
SunTrust Banks, Inc. | 99 | 4,225 | |||||
61,868 | |||||||
Beverages — 0.3% | |||||||
PepsiCo, Inc. | 539 | 51,976 | |||||
Capital Markets — 0.5% | |||||||
AllianceBernstein Holding LP | 354 | 11,102 | |||||
Blackstone Group LP (The) | 1,720 | 75,336 | |||||
Northern Trust Corp. | 53 | 3,951 | |||||
90,389 | |||||||
Chemicals — 0.2% | |||||||
Air Products & Chemicals, Inc. | 92 | 13,502 | |||||
Potash Corp. of Saskatchewan, Inc. | 768 | 24,176 | |||||
37,678 | |||||||
Commercial Services and Supplies — 0.2% | |||||||
ADT Corp. (The) | 87 | 3,174 | |||||
Republic Services, Inc. | 762 | 30,701 | |||||
Tyco International plc | 60 | 2,421 | |||||
36,296 | |||||||
Communications Equipment† | |||||||
Cisco Systems, Inc. | 86 | 2,521 | |||||
Containers and Packaging† | |||||||
Bemis Co., Inc. | 153 | 7,029 | |||||
Diversified Telecommunication Services — 0.2% | |||||||
CenturyLink, Inc. | 166 | 5,518 | |||||
Verizon Communications, Inc. | 478 | 23,632 | |||||
29,150 |
7
Shares/ Principal Amount | Value | ||||||
Electric Utilities — 0.9% | |||||||
Edison International | 809 | $ | 49,195 | ||||
Great Plains Energy, Inc. | 348 | 9,072 | |||||
Portland General Electric Co. | 236 | 8,251 | |||||
Westar Energy, Inc. | 1,476 | 54,125 | |||||
Xcel Energy, Inc. | 596 | 20,294 | |||||
140,937 | |||||||
Electrical Equipment — 0.1% | |||||||
ABB Ltd. ADR | 69 | 1,507 | |||||
Emerson Electric Co. | 108 | 6,513 | |||||
8,020 | |||||||
Food and Staples Retailing — 0.4% | |||||||
Sysco Corp. | 179 | 6,651 | |||||
Wal-Mart Stores, Inc. | 696 | 51,692 | |||||
58,343 | |||||||
Food Products — 0.2% | |||||||
Campbell Soup Co. | 208 | 10,055 | |||||
General Mills, Inc. | 486 | 27,289 | |||||
37,344 | |||||||
Gas Utilities — 0.8% | |||||||
Atmos Energy Corp. | 309 | 16,692 | |||||
Laclede Group, Inc. (The) | 313 | 16,749 | |||||
ONE Gas, Inc. | 1,595 | 70,706 | |||||
Piedmont Natural Gas Co., Inc. | 360 | 13,425 | |||||
WGL Holdings, Inc. | 143 | 8,228 | |||||
125,800 | |||||||
Health Care Providers and Services — 0.1% | |||||||
Quest Diagnostics, Inc. | 125 | 9,404 | |||||
Hotels, Restaurants and Leisure — 0.1% | |||||||
McDonald's Corp. | 202 | 19,378 | |||||
Household Products — 0.2% | |||||||
Procter & Gamble Co. (The) | 421 | 33,002 | |||||
Industrial Conglomerates — 0.1% | |||||||
General Electric Co. | 523 | 14,262 | |||||
Koninklijke Philips Electronics NV | 138 | 3,766 | |||||
18,028 | |||||||
Insurance — 0.2% | |||||||
Chubb Corp. (The) | 17 | 1,658 | |||||
Marsh & McLennan Cos., Inc. | 565 | 32,900 | |||||
MetLife, Inc. | 89 | 4,651 | |||||
39,209 | |||||||
Multi-Utilities — 0.4% | |||||||
NorthWestern Corp. | 301 | 15,658 | |||||
PG&E Corp. | 857 | 45,824 | |||||
61,482 |
8
Shares/ Principal Amount | Value | ||||||
Oil, Gas and Consumable Fuels — 3.1% | |||||||
Antero Midstream Partners LP | 1,240 | $ | 35,340 | ||||
Black Stone Minerals LP(2) | 1,177 | 21,292 | |||||
Chevron Corp. | 377 | 38,831 | |||||
Columbia Pipeline Partners LP | 1,580 | 42,739 | |||||
Dominion Midstream Partners LP(2) | 59 | 2,487 | |||||
EQT GP Holdings LP(2) | 788 | 25,389 | |||||
EQT Midstream Partners LP | 504 | 42,170 | |||||
Exxon Mobil Corp. | 839 | 71,483 | |||||
Imperial Oil Ltd. | 297 | 11,645 | |||||
Occidental Petroleum Corp. | 499 | 39,017 | |||||
Rice Midstream Partners LP | 1,856 | 31,645 | |||||
Royal Dutch Shell plc, Class A ADR | 25 | 1,493 | |||||
Shell Midstream Partners LP | 1,034 | 46,427 | |||||
Spectra Energy Partners LP | 1,206 | 61,506 | |||||
Tallgrass Energy GP LP(2) | 183 | 5,865 | |||||
Total SA ADR | 672 | 33,929 | |||||
511,258 | |||||||
Pharmaceuticals — 0.8% | |||||||
Eli Lilly & Co. | 125 | 9,863 | |||||
Johnson & Johnson | 467 | 46,765 | |||||
Merck & Co., Inc. | 791 | 48,164 | |||||
Pfizer, Inc. | 903 | 31,379 | |||||
136,171 | |||||||
Real Estate Investment Trusts (REITs) — 14.1% | |||||||
Blackstone Mortgage Trust, Inc., Class A | 4,050 | 122,391 | |||||
Charter Hall Group | 19,567 | 71,658 | |||||
Cominar Real Estate Investment Trust | 5,447 | 79,235 | |||||
Corrections Corp. of America | 2,090 | 73,484 | |||||
Digital Realty Trust, Inc. | 1,325 | 87,503 | |||||
Easterly Government Properties, Inc. | 4,846 | 75,258 | |||||
Federation Centres | 11,382 | 26,454 | |||||
Frasers Centrepoint Trust | 54,500 | 86,110 | |||||
Geo Group, Inc. (The) | 2,278 | 86,405 | |||||
GPT Group | 9,639 | 34,047 | |||||
HCP, Inc. | 1,479 | 57,267 | |||||
Hospitality Properties Trust | 2,558 | 77,226 | |||||
Lexington Realty Trust | 5,733 | 52,629 | |||||
Liberty Property Trust | 2,289 | 79,978 | |||||
Link Real Estate Investment Trust (The) | 6,500 | 37,724 | |||||
Mapletree Commercial Trust | 58,400 | 67,363 | |||||
Medical Properties Trust, Inc. | 6,418 | 87,028 | |||||
Mercialys SA | 2,984 | 71,020 | |||||
New Residential Investment Corp. | 3,765 | 64,231 | |||||
NorthStar Realty Finance Corp. | 6,617 | 120,032 | |||||
Omega Healthcare Investors, Inc. | 1,724 | 62,116 |
9
Shares/ Principal Amount | Value | ||||||
Physicians Realty Trust | 5,260 | $ | 84,476 | ||||
Piedmont Office Realty Trust, Inc., Class A | 457 | 7,856 | |||||
Realty Income Corp. | 1,627 | 74,142 | |||||
RioCan Real Estate Investment Trust | 2,810 | 62,590 | |||||
Scentre Group | 24,857 | 75,067 | |||||
Spirit Realty Capital, Inc. | 5,321 | 57,414 | |||||
STAG Industrial, Inc. | 3,674 | 78,256 | |||||
Starwood Property Trust, Inc. | 4,340 | 103,683 | |||||
STORE Capital Corp. | 2,363 | 49,292 | |||||
Unibail-Rodamco SE | 186 | 47,772 | |||||
Wereldhave NV | 786 | 47,514 | |||||
Weyerhaeuser Co. | 207 | 6,740 | |||||
WP Carey, Inc. | 1,134 | 72,225 | |||||
WP GLIMCHER, Inc. | 4,263 | 59,980 | |||||
2,346,166 | |||||||
Real Estate Management and Development — 0.3% | |||||||
Citycon Oyj | 16,816 | 48,684 | |||||
Semiconductors and Semiconductor Equipment — 0.1% | |||||||
Applied Materials, Inc. | 414 | 8,334 | |||||
Broadcom Corp., Class A | 92 | 5,230 | |||||
KLA-Tencor Corp. | 86 | 5,131 | |||||
18,695 | |||||||
Software — 0.1% | |||||||
Microsoft Corp. | 411 | 19,259 | |||||
Thrifts and Mortgage Finance — 0.2% | |||||||
Capitol Federal Financial, Inc. | 3,028 | 36,639 | |||||
TOTAL COMMON STOCKS (Cost $4,101,833) | 4,039,986 | ||||||
PREFERRED STOCKS — 6.7% | |||||||
Banks — 2.4% | |||||||
U.S. Bancorp, 6.00% | 14,726 | 396,921 | |||||
Diversified Financial Services — 2.0% | |||||||
Citigroup, Inc., 5.95% | 105,000 | 105,263 | |||||
General Electric Capital Corp., 6.25% | 200,000 | 223,687 | |||||
328,950 | |||||||
Electric Utilities — 1.1% | |||||||
Pacific Gas & Electric Co., 5.00% | 4,387 | 107,920 | |||||
Pacific Gas & Electric Co., 4.50% | 2,899 | 66,677 | |||||
Pacific Gas & Electric Co., 4.80% | 637 | 15,180 | |||||
189,777 | |||||||
Multi-Utilities — 1.0% | |||||||
SCE Trust II, 5.10% | 7,005 | 170,922 | |||||
Real Estate Investment Trusts (REITs) — 0.2% | |||||||
DDR Corp., 6.25% | 500 | 12,640 | |||||
Kimco Realty Corp., 5.625% | 530 | 13,012 | |||||
25,652 | |||||||
TOTAL PREFERRED STOCKS (Cost $1,106,775) | 1,112,222 |
10
Shares/ Principal Amount | Value | ||||||
CONVERTIBLE PREFERRED STOCKS — 4.7% | |||||||
Banks — 3.0% | |||||||
Bank of America Corp., 7.25% | 246 | $ | 281,793 | ||||
Wells Fargo & Co., 7.50% | 183 | 221,216 | |||||
503,009 | |||||||
Gas Utilities — 0.8% | |||||||
Laclede Group, Inc. (The), 6.75%, 4/1/17 | 2,342 | 129,068 | |||||
Machinery — 0.4% | |||||||
Stanley Black & Decker, Inc., 4.75%, 11/17/15 | 479 | 67,587 | |||||
Real Estate Investment Trusts (REITs) — 0.5% | |||||||
Health Care REIT, Inc., 6.50% | 1,223 | 77,183 | |||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $785,611) | 776,847 | ||||||
CONVERTIBLE BONDS — 4.1% | |||||||
Energy Equipment and Services — 0.2% | |||||||
Credit Suisse AG, (convertible into Schlumberger Ltd.), MTN, 6.80%, 7/16/15(3) | $ | 438 | 35,404 | ||||
Semiconductors and Semiconductor Equipment — 2.5% | |||||||
Bank of America Corp., (convertible into Broadcom Corp.), 5.60%, 10/9/15(3)(4) | 1,899 | 89,572 | |||||
Intel Corp., 3.48%, 12/15/35 | 98,000 | 127,216 | |||||
Microchip Technology, Inc., 1.625%, 2/15/25(4) | 181,000 | 189,258 | |||||
406,046 | |||||||
Specialty Retail — 0.3% | |||||||
UBS AG, (convertible into Advanced Auto Parts, Inc.), 1.92%, 11/23/15(3)(4) | 368 | 55,739 | |||||
Technology Hardware, Storage and Peripherals — 1.1% | |||||||
SanDisk Corp., 0.50%, 10/15/20 | 173,000 | 179,812 | |||||
TOTAL CONVERTIBLE BONDS (Cost $656,507) | 677,001 | ||||||
CORPORATE BONDS — 3.2% | |||||||
Banks — 1.9% | |||||||
Bank of America Corp., VRN, 5.20%, 6/1/23 | 13,000 | 12,464 | |||||
Bank of America Corp., VRN, 6.50%, 10/23/24 | 213,000 | 225,514 | |||||
Citigroup, Inc., VRN, 5.90%, 2/15/23 | 13,000 | 13,016 | |||||
Commerzbank AG, MTN, 6.375%, 3/22/19 | EUR | 15,000 | 18,982 | ||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 10,000 | 20,023 | ||||
Royal Bank of Scotland plc (The), MTN, VRN, 4.625%, 9/22/16 | EUR | 15,000 | 16,990 | ||||
306,989 | |||||||
Chemicals — 0.1% | |||||||
Mosaic Co. (The), 4.25%, 11/15/23 | $ | 20,000 | 21,116 | ||||
Commercial Services and Supplies — 0.1% | |||||||
Pitney Bowes, Inc., 4.625%, 3/15/24 | 14,000 | 14,450 | |||||
Communications Equipment — 0.1% | |||||||
CC Holdings GS V LLC / Crown Castle GS III Corp., 3.85%, 4/15/23 | 19,000 | 18,994 | |||||
Diversified Financial Services — 0.1% | |||||||
Morgan Stanley, 5.00%, 11/24/25 | 19,000 | 20,490 |
11
Shares/ Principal Amount | Value | ||||||
Energy Equipment and Services — 0.1% | |||||||
Ensco plc, 4.70%, 3/15/21 | $ | 14,000 | $ | 14,489 | |||
Food and Staples Retailing — 0.1% | |||||||
Tesco plc, MTN, 5.50%, 12/13/19 | GBP | 10,000 | 16,736 | ||||
Gas Utilities — 0.1% | |||||||
Kinder Morgan Energy Partners LP, 3.95%, 9/1/22 | $ | 14,000 | 14,134 | ||||
Industrial Conglomerates — 0.1% | |||||||
Ingersoll-Rand Luxembourg Finance SA, 3.55%, 11/1/24 | 19,000 | 19,040 | |||||
Insurance — 0.1% | |||||||
TIAA Asset Management Finance Co. LLC, 4.125%, 11/1/24(4) | 14,000 | 14,505 | |||||
Media — 0.1% | |||||||
DirecTV Holdings LLC / DirecTV Financing Co., Inc., 4.45%, 4/1/24 | 19,000 | 19,921 | |||||
Oil, Gas and Consumable Fuels — 0.1% | |||||||
Petrobras Global Finance BV, 5.375%, 1/27/21 | 14,000 | 13,692 | |||||
Semiconductors and Semiconductor Equipment — 0.1% | |||||||
KLA-Tencor Corp., 4.65%, 11/1/24 | 19,000 | 19,459 | |||||
Technology Hardware, Storage and Peripherals — 0.1% | |||||||
Seagate HDD Cayman, 4.75%, 6/1/23 | 19,000 | 19,831 | |||||
TOTAL CORPORATE BONDS (Cost $540,742) | 533,846 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES(5) — 1.4% | |||||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class B, VRN, 3.49%, 6/1/15(4) | 25,000 | 25,460 | |||||
BB-UBS Trust, Series 2012-SHOW, Class A SEQ, 3.43%, 11/5/36(4) | 25,000 | 25,726 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class B, VRN, 4.72%, 6/1/15 | 25,000 | 28,032 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class B, VRN, 4.49%, 6/1/15 | 14,000 | 15,135 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, 4.19%, 9/10/47 | 10,000 | 10,824 | |||||
Commercial Mortgage Trust, Series 2014-UBS5, Class B, VRN, 4.51%, 6/1/15 | 15,000 | 16,162 | |||||
Commercial Mortgage Trust, Series 2015-CR22, Class B, 3.93%, 3/10/48 | 25,000 | 25,738 | |||||
Core Industrial Trust, Series 2015-CALW, Class B, 3.25%, 2/10/34(4) | 25,000 | 25,640 | |||||
Core Industrial Trust, Series 2015-TEXW, Class B, 3.33%, 2/10/34(4) | 25,000 | 25,624 | |||||
GS Mortgage Securities Corp. II, Series 2015-GC28, Class AS, 3.76%, 2/10/48 | 25,000 | 26,115 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class B, VRN, 4.34%, 6/1/15 | 15,000 | 16,029 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $239,457) | 240,485 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(5) — 1.4% | |||||||
Banc of America Mortgage Trust, Series 2006-A, Class 2A1, VRN, 2.61%, 6/1/15 | 2,854 | 2,575 | |||||
Chase Mortgage Finance Trust, Series 2007-A2, Class 6A2 SEQ, VRN, 2.48%, 6/1/15 | 2,786 | 2,471 | |||||
Citicorp Mortgage Securities, Inc., Series 2007-8, Class 1A3, 6.00%, 9/25/37 | 9,584 | 10,040 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 5.20%, 6/1/15 | 16,640 | 16,464 | |||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-19, Class 1A1, 5.50%, 8/25/35 | 4,131 | 4,023 |
12
Shares/ Principal Amount | Value | ||||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 2.68%, 6/1/15 | $ | 12,610 | $ | 12,672 | |||
JPMorgan Mortgage Trust, Series 2005-A4, Class 2A1, VRN, 2.59%, 6/1/15 | 17,622 | 17,569 | |||||
JPMorgan Mortgage Trust, Series 2005-A6, Class 7A1, VRN, 2.53%, 6/1/15 | 10,901 | 10,364 | |||||
JPMorgan Mortgage Trust, Series 2005-S2, Class 3A1, VRN, 6.93%, 6/1/15 | 1,302 | 1,333 | |||||
MASTR Asset Securitization Trust, Series 2003-10, Class 3A1, 5.50%, 11/25/33 | 1,322 | 1,387 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 2.44%, 6/1/15 | 16,027 | 15,959 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-A, Class A1, VRN, 2.64%, 6/1/15 | 19,451 | 19,513 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-E, Class A2, VRN, 2.75%, 6/1/15 | 20,165 | 20,285 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR2, Class 3A1, VRN, 2.61%, 6/1/15 | 12,288 | 12,474 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR7, Class 1A1, VRN, 2.74%, 6/1/15 | 12,924 | 12,963 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR8, Class 2A1, VRN, 2.61%, 6/1/15 | 13,420 | 13,515 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-8, Class A10 SEQ, 6.00%, 7/25/36 | 4,667 | 4,718 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR19, Class A1, VRN, 5.57%, 6/1/15 | 20,788 | 20,203 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-15, Class A1, 6.00%, 11/25/37 | 10,389 | 10,308 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-4, Class A15, 6.00%, 4/25/37 | 22,162 | 21,830 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $227,240) | 230,666 | ||||||
ASSET-BACKED SECURITIES(5) — 0.7% | |||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.62%, 9/20/19(4) | 15,000 | 15,087 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class B, 3.42%, 12/20/21(4) | 25,000 | 24,995 | |||||
Hilton Grand Vacations Trust, Series 2013-A, Class A SEQ, 2.28%, 1/25/26(4) | 14,713 | 14,822 | |||||
Marriott Vacation Club Owner Trust, Series 2012-1A, Class B, 3.50%, 5/20/30(4) | 13,446 | 13,822 | |||||
MVW Owner Trust 2013-1, Series 2013-1A, Class B, 2.74%, 4/22/30(4) | 11,262 | 11,395 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class A, 2.40%, 3/22/32(4) | 22,973 | 23,068 | |||||
TAL Advantage V LLC, Series 2014-2A, Class B, 3.97%, 5/20/39(4) | 13,500 | 13,371 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $116,102) | 116,560 | ||||||
EXCHANGE-TRADED FUNDS — 0.2% | |||||||
Alerian MLP ETF (Cost $35,859) | 2,148 | 35,549 | |||||
MUNICIPAL SECURITIES — 0.1% | |||||||
Puerto Rico GO, Series 2012 A, (Public Improvement), 5.00%, 7/1/41 (Cost $20,309) | $ | 30,000 | 20,990 | ||||
TEMPORARY CASH INVESTMENTS — 4.5% | |||||||
SSgA U.S. Government Money Market Fund, Class N | 731,051 | 731,051 | |||||
State Street Institutional Liquid Reserves Fund, Premier Class | 5,514 | 5,514 |
13
Principal Amount | Value | ||||||
U.S. Treasury Bills, 0.07%, 6/4/15(6)(7) | $ | 10,000 | $ | 10,000 | |||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $746,565) | 746,565 | ||||||
TOTAL INVESTMENT SECURITIES — 99.8% (Cost $16,647,490) | 16,586,678 | ||||||
OTHER ASSETS AND LIABILITIES — 0.2% | 35,220 | ||||||
TOTAL NET ASSETS — 100.0% | $ | 16,621,898 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||
BRL | 206,955 | USD | 70,000 | UBS AG | 6/17/15 | $ | (5,378 | ) |
USD | 70,000 | BRL | 211,540 | UBS AG | 6/17/15 | 3,946 | ||
CAD | 102,790 | USD | 85,000 | UBS AG | 6/17/15 | (2,367 | ) | |
CAD | 4,040 | USD | 3,224 | JPMorgan Chase Bank N.A. | 6/30/15 | 23 | ||
USD | 228,519 | CAD | 280,450 | JPMorgan Chase Bank N.A. | 6/17/15 | 3,067 | ||
USD | 29,277 | CAD | 36,376 | JPMorgan Chase Bank N.A. | 6/30/15 | 40 | ||
USD | 142,250 | CAD | 176,742 | JPMorgan Chase Bank N.A. | 6/30/15 | 195 | ||
USD | 1,187 | CHF | 1,125 | Credit Suisse AG | 6/30/15 | (11 | ) | |
CLP | 15,287,500 | USD | 25,000 | UBS AG | 6/17/15 | (303 | ) | |
COP | 156,975,000 | USD | 65,000 | UBS AG | 6/17/15 | (3,068 | ) | |
USD | 10,000 | COP | 24,320,000 | UBS AG | 6/17/15 | 405 | ||
EUR | 50,000 | USD | 56,808 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,883 | ) | |
EUR | 115,000 | USD | 125,655 | UBS AG | 6/17/15 | 674 | ||
EUR | 707 | USD | 771 | UBS AG | 6/30/15 | 6 | ||
EUR | 12,460 | USD | 13,694 | UBS AG | 6/30/15 | (5 | ) | |
USD | 36,918 | EUR | 32,507 | Barclays Bank plc | 6/17/15 | 1,209 | ||
USD | 50,192 | EUR | 45,000 | UBS AG | 6/17/15 | 759 | ||
USD | 418,809 | EUR | 390,000 | UBS AG | 6/17/15 | (9,609 | ) | |
USD | 221,781 | EUR | 203,715 | UBS AG | 6/30/15 | (2,041 | ) | |
USD | 31,096 | EUR | 28,563 | UBS AG | 6/30/15 | (286 | ) | |
GBP | 1,575 | USD | 2,425 | Credit Suisse AG | 6/30/15 | (18 | ) | |
USD | 36,954 | GBP | 23,574 | Barclays Bank plc | 6/17/15 | 927 | ||
USD | 3,638 | GBP | 2,366 | Credit Suisse AG | 6/30/15 | 23 | ||
HUF | 16,478,538 | USD | 60,000 | Deutsche Bank | 6/17/15 | (1,480 | ) | |
IDR | 1,190,156,774 | USD | 90,956 | UBS AG | 6/17/15 | (1,049 | ) | |
IDR | 1,707,615,000 | USD | 130,000 | Westpac Group | 6/17/15 | (1,003 | ) | |
USD | 75,000 | IDR | 984,750,000 | UBS AG | 6/17/15 | 610 | ||
USD | 29,943 | IDR | 391,799,968 | UBS AG | 6/17/15 | 345 | ||
USD | 115,000 | IDR | 1,530,075,000 | Westpac Group | 6/17/15 | (585 | ) | |
ILS | 97,221 | USD | 25,000 | Deutsche Bank | 6/17/15 | 123 | ||
INR | 13,024,271 | USD | 203,918 | Westpac Group | 6/17/15 | (257 | ) | |
USD | 155,000 | INR | 9,905,120 | Westpac Group | 6/17/15 | 113 | ||
USD | 34,249 | INR | 2,187,500 | Westpac Group | 6/17/15 | 43 | ||
JPY | 14,233,585 | USD | 115,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (299 | ) | |
USD | 160,000 | JPY | 19,076,496 | JPMorgan Chase Bank N.A. | 6/17/15 | 6,273 | ||
USD | 404,877 | JPY | 48,507,463 | UBS AG | 6/17/15 | 13,981 | ||
USD | 3,796 | JPY | 467,109 | Credit Suisse AG | 6/30/15 | 31 | ||
KRW | 158,591,488 | USD | 146,167 | Westpac Group | 6/17/15 | (3,922 | ) |
14
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||
USD | 20,000 | KRW | 21,810,000 | UBS AG | 6/17/15 | $ | 438 | |
USD | 15,000 | KRW | 16,064,700 | Westpac Group | 6/17/15 | 591 | ||
MXN | 370,649 | USD | 23,943 | Barclays Bank plc | 6/17/15 | 99 | ||
USD | 100,000 | MXN | 1,535,227 | Barclays Bank plc | 6/17/15 | 415 | ||
MYR | 550,216 | USD | 155,000 | Westpac Group | 6/17/15 | (4,496 | ) | |
USD | 20,000 | MYR | 71,600 | UBS AG | 6/17/15 | 415 | ||
USD | 35,000 | MYR | 125,510 | UBS AG | 6/17/15 | 668 | ||
PEN | 204,750 | USD | 65,000 | UBS AG | 6/17/15 | (278 | ) | |
PHP | 1,770,920 | USD | 40,000 | Westpac Group | 6/17/15 | (268 | ) | |
PLN | 53,844 | USD | 15,000 | Deutsche Bank | 6/17/15 | (620 | ) | |
PLN | 306,203 | USD | 82,189 | UBS AG | 6/17/15 | (411 | ) | |
PLN | 274,440 | USD | 75,000 | UBS AG | 6/17/15 | (1,705 | ) | |
RUB | 2,234,750 | USD | 43,059 | UBS AG | 6/17/15 | (654 | ) | |
RUB | 794,700 | USD | 15,000 | UBS AG | 6/17/15 | 79 | ||
USD | 30,000 | RUB | 1,575,600 | UBS AG | 6/17/15 | 103 | ||
SGD | 185,048 | USD | 137,320 | Barclays Bank plc | 6/17/15 | (99 | ) | |
SGD | 66,345 | USD | 50,000 | Deutsche Bank | 6/17/15 | (802 | ) | |
SGD | 139,355 | USD | 105,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,663 | ) | |
SGD | 13,247 | USD | 10,000 | UBS AG | 6/17/15 | (177 | ) | |
USD | 120,000 | SGD | 160,268 | JPMorgan Chase Bank N.A. | 6/17/15 | 1,155 | ||
USD | 146,561 | SGD | 197,726 | Credit Suisse AG | 6/30/15 | (18 | ) | |
THB | 5,756,615 | USD | 177,127 | Westpac Group | 6/17/15 | (6,096 | ) | |
THB | 3,431,610 | USD | 105,000 | Westpac Group | 6/17/15 | (3,046 | ) | |
USD | 210,000 | THB | 7,046,550 | UBS AG | 6/17/15 | 645 | ||
USD | 70,000 | THB | 2,321,312 | Westpac Group | 6/17/15 | 1,033 | ||
TWD | 6,685,800 | USD | 220,000 | Westpac Group | 6/17/15 | (2,985 | ) | |
USD | 235,000 | TWD | 7,212,150 | Westpac Group | 6/17/15 | 900 | ||
ZAR | 783,510 | USD | 65,000 | Deutsche Bank | 6/17/15 | (649 | ) | |
$ | (18,197 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS | ||||||||||||||
Reference Entity | Notional Amount | Buy/Sell* Protection | Interest Rate | Termination Date | Implied Credit Spread** | Unrealized Appreciation (Depreciation) | Value | |||||||
CDX North America High Yield 23 Index | $ | 98,000 | Sell | 5.00% | 12/20/19 | 2.97 | % | $ | 2,217 | $ | 9,120 |
* The maximum potential amount the fund could be required to deliver as a seller of credit protection if a credit
event occurs as defined under the terms of the agreement is the notional amount. The maximum potential
amount may be partially offset by any recovery values of the reference entities and upfront payments
received upon entering into the agreement.
**Implied credit spreads for centrally cleared credit default swap agreements are linked to the weighted average spread across the underlying reference entities included in a particular index. Implied credit spreads serve as an indication of the seller’s performance risk related to the likelihood of a credit event occurring as defined in the agreement. Implied credit spreads are used to determine the value of swap agreements and reflect the cost of buying/selling protection, which may include upfront payments made/received upon entering the agreement. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform under the contract terms. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk.
15
NOTES TO SCHEDULE OF INVESTMENTS | ||
ADR | - | American Depositary Receipt |
BRL | - | Brazilian Real |
CAD | - | Canadian Dollar |
CDX | - | Credit Derivatives Indexes |
CHF | - | Swiss Franc |
CLP | - | Chilean Peso |
COP | - | Colombian Peso |
EUR | - | Euro |
GBP | - | British Pound |
GO | - | General Obligation |
HUF | - | Hungarian Forint |
IDR | - | Indonesian Rupiah |
ILS | - | Israeli Shekel |
INR | - | Indian Rupee |
JPY | - | Japanese Yen |
KRW | - | South Korea Won |
MTN | - | Medium Term Note |
MXN | - | Mexican Peso |
MYR | - | Malaysian Ringgit |
PEN | - | Peruvian Nuevo Sol |
PHP | - | Philippine Peso |
PLN | - | Polish Zloty |
RUB | - | Russian Ruble |
SEQ | - | Sequential Payer |
SGD | - | Singapore Dollar |
THB | - | Thai Baht |
TWD | - | Taiwanese Dollar |
USD | - | United States Dollar |
VRN | - | Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end. |
ZAR | - | South African Rand |
† | Category is less than 0.05% of total net assets. |
(1) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. |
(2) | Non-income producing. |
(3) | Equity-linked debt security. The aggregated value of these securities at the period end was $180,715, which represented 1.1% of total net assets. |
(4) | Restricted security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold without restriction to qualified institutional investors and have been deemed liquid under policies approved by the Board of Directors. The aggregate value of these securities at the period end was $568,084, which represented 3.4% of total net assets. |
(5) | Final maturity date indicated, unless otherwise noted. |
(6) | The rate indicated is the yield to maturity at purchase. |
(7) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for margin requirements on swap agreements. At the period end, the aggregate value of securities pledged was $6,000. |
See Notes to Financial Statements.
16
Statement of Assets and Liabilities |
MAY 31, 2015 (UNAUDITED) | |||
Assets | |||
Investment securities - unaffiliated, at value (cost of $8,577,000) | $ | 8,530,717 | |
Investment securities - affiliated, at value (cost of $8,070,490) | 8,055,961 | ||
Total investment securities, at value (cost of $16,647,490) | 16,586,678 | ||
Foreign currency holdings, at value (cost of $1,718) | 1,700 | ||
Receivable for investments sold | 21,212 | ||
Receivable for capital shares sold | 56,956 | ||
Receivable for variation margin on swap agreements | 25 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 39,334 | ||
Dividends and interest receivable | 53,650 | ||
16,759,555 | |||
Liabilities | |||
Disbursements in excess of demand deposit cash | 12,264 | ||
Payable for investments purchased | 58,343 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 57,531 | ||
Accrued management fees | 7,084 | ||
Distribution and service fees payable | 2,435 | ||
137,657 | |||
Net Assets | $ | 16,621,898 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 16,632,322 | |
Distributions in excess of net investment income | (38,825 | ) | |
Undistributed net realized gain | 105,280 | ||
Net unrealized depreciation | (76,879 | ) | |
$ | 16,621,898 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||||
Investor Class, $0.01 Par Value | $7,996,092 | 799,736 | $10.00 | |||
Institutional Class, $0.01 Par Value | $2,048,128 | 204,836 | $10.00 | |||
A Class, $0.01 Par Value | $1,676,348 | 167,680 | $10.00* | |||
C Class, $0.01 Par Value | $1,628,783 | 162,957 | $10.00 | |||
R Class, $0.01 Par Value | $1,632,826 | 163,338 | $10.00 | |||
R6 Class, $0.01 Par Value | $1,639,721 | 163,987 | $10.00 | |||
*Maximum offering price $10.61 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
17
Statement of Operations |
FOR THE SIX MONTHS ENDED MAY 31, 2015 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Dividends (net of foreign taxes withheld of $4,121) | $ | 126,390 | |
Income distributions from affiliated funds | 182,654 | ||
Interest | 33,761 | ||
342,805 | |||
Expenses: | |||
Management fees | 61,106 | ||
Distribution and service fees: | |||
A Class | 2,035 | ||
C Class | 8,043 | ||
R Class | 4,026 | ||
Directors' fees and expenses | 224 | ||
Other expenses | 171 | ||
75,605 | |||
Fees waived | (22,680 | ) | |
52,925 | |||
Net investment income (loss) | 289,880 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (including $(30,380) from affiliated funds) | (20,140 | ) | |
Swap agreement transactions | (1,281 | ) | |
Foreign currency transactions | 95,304 | ||
Capital gain distributions received from affiliated funds | 31,397 | ||
105,280 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments | (60,812 | ) | |
Swap agreements | 2,217 | ||
Translation of assets and liabilities in foreign currencies | (18,284 | ) | |
(76,879 | ) | ||
Net realized and unrealized gain (loss) | 28,401 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 318,281 |
See Notes to Financial Statements.
18
Statement of Changes in Net Assets |
SIX MONTHS ENDED MAY 31, 2015 (UNAUDITED) | |||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ | 289,880 | |
Net realized gain (loss) | 105,280 | ||
Change in net unrealized appreciation (depreciation) | (76,879 | ) | |
Net increase (decrease) in net assets resulting from operations | 318,281 | ||
Distributions to Shareholders | |||
From net investment income: | |||
Investor Class | (141,353 | ) | |
Institutional Class | (48,510 | ) | |
A Class | (35,753 | ) | |
C Class | (29,626 | ) | |
R Class | (33,463 | ) | |
R6 Class | (40,000 | ) | |
Decrease in net assets from distributions | (328,705 | ) | |
Capital Share Transactions | |||
Net increase (decrease) in net assets from capital share transactions (Note 5) | 16,632,322 | ||
Net increase (decrease) in net assets | 16,621,898 | ||
Net Assets | |||
End of period | $ | 16,621,898 | |
Distributions in excess of net investment income | $ | (38,825 | ) |
See Notes to Financial Statements.
19
Notes to Financial Statements |
MAY 31, 2015 (UNAUDITED)
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Multi-Asset Income Fund (the fund) is one fund in a series issued by the corporation. The fund may invest in varying combinations of other American Century Investments funds (affiliated funds), unaffiliated funds such as exchange-traded funds, equity and debt securities, and certain derivative instruments. The fund may invest in affiliated and unaffiliated funds to an unlimited extent. The fund is diversified as defined under the 1940 Act. The fund's investment objective is to seek income. Long-term capital appreciation is a secondary objective.
The fund offers the Investor Class, the Institutional Class, the A Class, the C Class, the R Class and the R6 Class. The A Class may incur an initial sales charge. The A Class and C Class may be subject to a contingent deferred sales charge. The share classes differ principally in their respective sales charges and distribution and shareholder servicing expenses and arrangements. The Institutional Class and R6 Class shareholders do not require the same level of shareholder and administrative services from American Century Investment Management, Inc. (ACIM) (the investment advisor) as shareholders of other classes. In addition, financial intermediaries do not receive any service, distribution or administrative fees for the R6 Class. As a result, the Institutional Class and R6 Class are charged lower unified management fees. All classes of the fund commenced sale on December 1, 2014, the fund's inception date.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The fund is an investment company and follows accounting and reporting guidance in accordance with accounting principles generally accepted in the United States of America. This may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates. Management evaluated the impact of events or transactions occurring through the date the financial statements were issued that would merit recognition or disclosure.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. Equity securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Fixed income securities maturing in greater than 60 days at the time of purchase are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Fixed income securities maturing within 60 days at the time of purchase may be valued at cost, plus or minus any amortized discount or premium or at the evaluated mean as provided by an independent pricing service. Evaluated mean prices are commonly derived through utilization of market models, which may consider, among other factors: trade data, quotations from dealers and active market makers, relevant yield curve and spread data, related sector levels, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Fixed income securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
20
Open-end management investment companies are valued at the reported net asset value per share. Swap agreements are valued at an evaluated price as provided by independent pricing services or independent brokers. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service.
If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s net asset value per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. If significant fluctuations in foreign markets are identified, the fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes.
Investment Income — Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Income and capital gain distributions, if any, from the affiliated funds are recorded as of the ex-dividend date. Distributions received on securities that represent a return of capital or long-term capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund may estimate the components of distributions received that may be considered nontaxable distributions or long-term capital gain distributions for income tax purposes. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums.
Equity-Linked Debt and Linked-Equity Securities — The fund may invest in hybrid equity securities, which usually convert into common stock at a date predetermined by the issuer. These securities generally offer a higher dividend yield than that of the common stock to which the security is linked. These instruments are issued by a company other than the one to which the security is linked and carry the credit of the issuer, not that of the underlying common stock. The securities’ appreciation is limited based on a predetermined final cap price at the date of the conversion. Risks of investing in these securities include, but are not limited to, a set time to capture the yield advantage, limited appreciation potential, decline in value of the underlying stock, and failure of the issuer to pay dividends or to deliver common stock at maturity.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. ACIM monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts, forward commitments and swap agreements.
21
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years from the date of filing but can be longer in certain jurisdictions. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid monthly. Distributions from net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act.
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc. (ACC). The corporation’s investment advisor, ACIM, the corporation's distributor, American Century Investment Services, Inc. (ACIS), and the corporation’s transfer agent, American Century Services, LLC, are wholly owned, directly or indirectly, by ACC. ACIM serves as the investment advisor for the affiliated
funds. ACIM owns 61% of the shares of the fund. Related parties do not invest in the fund for the purpose of exercising management or control.
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class's daily net assets and paid monthly in arrears. The annual management fee is 0.90% for the Investor Class, A Class, C Class and R Class, 0.70% for the Institutional Class and 0.55% for the R6 Class. However, the investment advisor will waive the portion of the fund’s management fee equal to the expenses attributable to the management fees of the American Century Investments funds in which the fund invests. The amount of this waiver will fluctuate depending on the fund’s daily allocations to other American Century Investments funds. This waiver is expected to remain in effect permanently and it cannot be terminated without the approval of the Board of Directors. The total amount of the waiver for each class for the six months ended May 31, 2015 was $9,576, $3,117, $2,517, $2,486, $2,489 and $2,495 for the Investor Class, Institutional Class, A Class, C Class, R Class and R6 Class, respectively. The effective annual management fee after waiver for each class for the six months ended May 31, 2015 was 0.59% for the Investor Class, A Class, C Class and R Class, 0.39% for the Institutional Class and 0.24% for the R6 Class.
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay ACIS an annual distribution and service fee of 0.25%. The plans provide that the C Class will pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the six months ended May 31, 2015 are detailed in the Statement of Operations.
22
Directors' Fees and Expenses — The Board of Directors is responsible for overseeing the investment advisor’s management and operations of the fund. The directors receive detailed information about the fund and its investment advisor regularly throughout the year, and meet at least quarterly with management of the investment advisor to review reports about fund operations. The fund’s officers do not receive compensation from the fund.
4. Investment Transactions
Purchases and sales of investment securities, excluding short-term investments, for the six months ended May 31, 2015 were $21,878,980 and $6,106,231, respectively.
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2015 | |||||
Shares | Amount | ||||
Investor Class/Shares Authorized | 50,000,000 | ||||
Sold | 878,938 | $ | 8,798,783 | ||
Issued in reinvestment of distributions | 13,656 | 137,127 | |||
Redeemed | (92,858 | ) | (932,292 | ) | |
799,736 | 8,003,618 | ||||
Institutional Class/Shares Authorized | 50,000,000 | ||||
Sold | 200,000 | 2,000,000 | |||
Issued in reinvestment of distributions | 4,836 | 48,510 | |||
204,836 | 2,048,510 | ||||
A Class/Shares Authorized | 50,000,000 | ||||
Sold | 164,115 | 1,641,352 | |||
Issued in reinvestment of distributions | 3,565 | 35,753 | |||
167,680 | 1,677,105 | ||||
C Class/Shares Authorized | 50,000,000 | ||||
Sold | 160,000 | 1,600,000 | |||
Issued in reinvestment of distributions | 2,957 | 29,626 | |||
162,957 | 1,629,626 | ||||
R Class/Shares Authorized | 50,000,000 | ||||
Sold | 160,000 | 1,600,000 | |||
Issued in reinvestment of distributions | 3,338 | 33,463 | |||
163,338 | 1,633,463 | ||||
R6 Class/Shares Authorized | 45,000,000 | ||||
Sold | 160,000 | 1,600,000 | |||
Issued in reinvestment of distributions | 3,987 | 40,000 | |||
163,987 | 1,640,000 | ||||
Net increase (decrease) | 1,662,534 | $ | 16,632,322 |
23
6. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the six months ended May 31, 2015 follows:
Affiliated Fund(1) | Beginning Value | Purchase Cost | Sales Cost | Realized Gain (Loss) | Distributions Received(2) | Ending Value | |||||||||||
Emerging Markets Debt Fund R6 Class | — | $ | 2,277,819 | $ | 220,647 | $ | (2,706 | ) | $ | 30,462 | $ | 2,079,436 | |||||
High-Yield Fund R6 Class | — | 3,767,924 | 175,862 | (1,342 | ) | 102,542 | 3,581,655 | ||||||||||
International Value Fund R6 Class | — | 2,496,993 | 243,760 | (17,949 | ) | 62,677 | 2,229,903 | ||||||||||
Utilities Fund Investor Class | — | 665,468 | 497,655 | (8,383 | ) | 18,370 | 164,967 | ||||||||||
— | $ | 9,208,204 | $ | 1,137,924 | $ | (30,380 | ) | $ | 214,051 | $ | 8,055,961 |
(1) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. The fund does not invest in an affiliated fund for the purpose of exercising management or control; however, investments by the fund within its investment strategy may represent a significant portion of an affiliated fund's net assets. Additional information and attributes of each affiliated fund are available at americancentury.com. |
(2) | Distributions received includes distributions from net investment income and from capital gains, if any. |
7. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments. |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars. |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments. There were no significant transfers between levels during the period.
24
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||
Assets | ||||||||
Investment Securities | ||||||||
Mutual Funds | $ | 8,055,961 | — | — | ||||
Common Stocks | 3,284,748 | $ | 755,238 | — | ||||
Preferred Stocks | — | 1,112,222 | — | |||||
Convertible Preferred Stocks | — | 776,847 | — | |||||
Convertible Bonds | — | 677,001 | — | |||||
Corporate Bonds | — | 533,846 | — | |||||
Commercial Mortgage-Backed Securities | — | 240,485 | — | |||||
Collateralized Mortgage Obligations | — | 230,666 | — | |||||
Asset-Backed Securities | — | 116,560 | — | |||||
Exchange-Traded Funds | 35,549 | — | — | |||||
Municipal Securities | — | 20,990 | — | |||||
Temporary Cash Investments | 736,565 | 10,000 | — | |||||
$ | 12,112,823 | $ | 4,473,855 | — | ||||
Other Financial Instruments | ||||||||
Swap Agreements | — | $ | 2,217 | — | ||||
Forward Foreign Currency Exchange Contracts | — | 39,334 | — | |||||
— | $ | 41,551 | — | |||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Forward Foreign Currency Exchange Contracts | — | $ | (57,531 | ) | — |
8. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. Upon entering into a centrally cleared swap, a fund is required to deposit cash or securities (initial margin) with a financial intermediary in an amount equal to a certain percentage of the notional amount. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the value and is a component of unrealized gains and losses. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The risks of entering into swap agreements include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments. The fund's average notional amount held during the period was $93,833.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate
25
underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The fund's average U.S. dollar exposure to foreign currency risk derivative instruments held during the period was $4,694,490.
Value of Derivative Instruments as of May 31, 2015 | ||||||||
Asset Derivatives | Liability Derivatives | |||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | ||||
Credit Risk | Receivable for variation margin on swap agreements* | $ | 25 | Payable for variation margin on swap agreements* | — | |||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | 39,334 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 57,531 | |||
$ | 39,359 | $ | 57,531 | |||||
* Included in the unrealized appreciation (depreciation) on centrally cleared credit default swap agreements as reported in the Schedule of Investments. | ||||||||
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2015 | ||||||||
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | |||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | ||||
Credit Risk | Net realized gain (loss) on swap agreement transactions | $ | (1,281 | ) | Change in net unrealized appreciation (depreciation) on swap agreements | $ | 2,217 | |
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | 98,545 | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | (18,197 | ) | |||
$ | 97,264 | $ | (15,980 | ) |
9. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
The fund may invest in lower-rated debt securities, which are subject to substantial risks including liquidity risk and credit risk.
10. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of May 31, 2015, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 16,699,345 | |
Gross tax appreciation of investments | $ | 136,653 | |
Gross tax depreciation of investments | (249,320 | ) | |
Net tax appreciation (depreciation) of investments | $ | (112,667 | ) |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
26
Financial Highlights |
For a Share Outstanding Throughout the Period Indicated | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Ratio to Average Net Assets of: | ||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Distributions From Net Investment Income | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Operating Expenses (before expense waiver) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
Investor Class | |||||||||||||||
2015(3) | $10.00 | 0.20 | 0.03 | 0.23 | (0.23) | $10.00 | 2.32% | 0.60%(4) | 0.91%(4) | 4.08%(4) | 3.77%(4) | 45% | $7,996 | ||
Institutional Class | |||||||||||||||
2015(3) | $10.00 | 0.22 | 0.02 | 0.24 | (0.24) | $10.00 | 2.42% | 0.40%(4) | 0.71%(4) | 4.28%(4) | 3.97%(4) | 45% | $2,048 | ||
A Class | |||||||||||||||
2015(3) | $10.00 | 0.20 | 0.02 | 0.22 | (0.22) | $10.00 | 2.20% | 0.85%(4) | 1.16%(4) | 3.83%(4) | 3.52%(4) | 45% | $1,676 | ||
C Class | |||||||||||||||
2015(3) | $10.00 | 0.16 | 0.02 | 0.18 | (0.18) | $10.00 | 1.85% | 1.60%(4) | 1.91%(4) | 3.08%(4) | 2.77%(4) | 45% | $1,629 | ||
R Class | |||||||||||||||
2015(3) | $10.00 | 0.18 | 0.03 | 0.21 | (0.21) | $10.00 | 2.09% | 1.10%(4) | 1.41%(4) | 3.58%(4) | 3.27%(4) | 45% | $1,633 | ||
R6 Class | |||||||||||||||
2015(3) | $10.00 | 0.23 | 0.02 | 0.25 | (0.25) | $10.00 | 2.49% | 0.25%(4) | 0.56%(4) | 4.43%(4) | 4.12%(4) | 45% | $1,640 |
Notes to Financial Highlights |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Six months ended May 31, 2015 (unaudited). |
(4) | Annualized. |
See Notes to Financial Statements.
27
Approval of Management Agreement |
The Fund’s Board of Directors unanimously approved the initial management agreement pursuant to which American Century Investment Management, Inc. (the “Advisor”) acts as the investment advisor for the Fund. Under Section 15(c) of the Investment Company Act, new contracts for investment advisory services are required to be approved by a majority of a fund’s independent directors and to be evaluated on an annual basis thereafter.
In advance of the Board’s consideration, the Advisor provided information concerning the fund. The materials circulated and the discussions held detailed the investment objective and strategy proposed to be utilized by the Advisor, the Fund’s characteristics and key attributes, the rationale for launching the Fund, the experience of the staff designated to manage the Fund, the proposed pricing, and the markets in which the Fund would be sold. The information considered and the discussions held included, but were not limited to:
• | the nature, extent, and quality of investment management, shareholder services, and other services to be provided by the Advisor to the Fund; |
• | the wide range of other programs and services the Advisor would provide to the Fund and its shareholders on a routine and non-routine basis; |
• | the Fund’s proposed investment objective and strategy, including a discussion of the Fund’s anticipated investment performance and proposed benchmark; |
• | the cost of owning the Fund compared to the cost of owning similar funds; |
• | the Advisor’s compliance policies, procedures, and regulatory experience; and |
• | any collateral benefits derived by the Advisor from the management of the Fund. |
American Century Investments’ funds utilize a unified management fee structure. Under the unified fee structure, the Advisor is responsible for providing all investment advisory, custody, audit, administrative, compliance, recordkeeping, marketing and shareholder services, or arranging and supervising third parties to provide such services. By contrast, most other funds are charged a variety of fees, including an investment advisory fee, a transfer agency fee, an administrative fee, distribution charges and other expenses. Other than their investment advisory fees and Rule 12b-1 distribution fees, all other components of the total fees charged by these other funds may be increased without shareholder approval. The Advisor and Board believe the unified fee structure is a benefit to fund shareholders because it clearly discloses to shareholders the cost of owning fund shares, and because the unified fee cannot be increased without a vote of Fund shareholders, it shifts to the Advisor the risk of increased costs of operating the Fund and provides a direct incentive to minimize administrative inefficiencies. Part of the Board’s analysis of fee levels involves reviewing certain evaluative data compiled by an independent provider and comparing the Fund’s unified fee to the total expense ratio of peer funds. The unified fee charged to shareholders of the Fund was below the median of the total expense ratios of the Fund’s peer universe.
When considering the approval of the management agreement for the Fund, the independent Directors considered the entrepreneurial risk that the Advisor assumes in launching a new fund. In particular, they considered the effect of the unified management fee structure and the fact that the Advisor will assume a substantial part of the start-up costs of the Fund and the risk that the Fund will not grow to a level that will become profitable to the Advisor. The Board considered the position that the Fund would take in the lineup of the American Century Investments’ family of funds and the benefits to shareholders of existing funds of the broadened product offering. Finally, while not specifically discussed, but important in the decision to approve the management agreement, is the Directors’ familiarity with the Advisor. The Board oversees and evaluates on a continuous basis the nature and quality of all services the Advisor performs for other funds within the American Century Investments’ complex. As such, the Directors have confidence in the Advisor’s integrity and competence in providing services to the Fund.
28
The independent Directors considered all of the information provided by the Advisor and the independent Directors’ independent counsel in connection with the approval, and evaluated such information for the Fund. In connection with their review, the Directors did not identify any single factor as being all-important or controlling, and each Director may have attributed different levels of importance to different factors. The independent Directors concluded that the overall arrangements between the Fund and the Advisor, as provided in the management agreement, were fair and reasonable in light of the services to be provided and should be approved.
29
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain IRAs are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. For systematic withdrawals, your withholding election will remain in effect until revoked or changed by filing a new election. You have the right to revoke your election at any time.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld (or as otherwise required by state law). State taxes will be withheld from your distribution in accordance with the respective state rules.
Distributions you receive from 403(b), 457 and qualified plans are subject to special tax and withholding rules. Your plan administrator or plan sponsor is required to provide you with a special tax notice explaining those rules at the time you request a distribution. If applicable, federal and/or state taxes may be withheld from your distribution amount.
Proxy Voting Policies
A description of the policies that the fund's investment advisor uses in exercising the voting rights associated with the securities purchased and/or held by the fund is available without charge, upon request, by calling 1-800-345-2021. It is also available on the "About Us" page of American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the "About Us" page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its
website at americancentury.com and, upon request, by calling 1-800-345-2021.
30
Notes |
31
Notes |
32
Contact Us | americancentury.com | |
Automated Information Line | 1-800-345-8765 | |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 | |
Investors Using Advisors | 1-800-378-9878 | |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 | |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 | |
Telecommunications Relay Service for the Deaf | 711 | |
American Century Strategic Asset Allocations, Inc. | ||
Investment Advisor: American Century Investment Management, Inc. Kansas City, Missouri | ||
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||
©2015 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-86226 1507 |
SEMIANNUAL REPORT | MAY 31, 2015 |
Strategic Allocation: Aggressive Fund
Table of Contents |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Dear Investor: Thank you for reviewing this semiannual report for the six months ended May 31, 2015. It provides a macroeconomic and financial market overview (below), followed by fund performance, a schedule of fund investments, and other financial information. For additional commentary and updated information on fund performance, key factors that affected asset returns, and other insights regarding the investment markets, we encourage you to visit our website, americancentury.com. | |
Jonathan Thomas |
Divergence in Monetary Policies Helped Trigger Market Volatility
The six-month reporting period saw big swings in market returns, triggered in part by central bank moves. In October 2014, the U.S. Federal Reserve ended its latest bond-buying program (quantitative easing, QE). But while QE was ending in the U.S., other major central banks were starting or increasing QE as their economies faltered. A “global divergence” of economic growth and monetary policies opened between the U.S. and most of the rest of the developed world.
This divergence helped fuel increased demand for the U.S. dollar and U.S. dollar-denominated assets, and put downward pressure on commodities prices, most notably oil. Though the resulting dollar rally and oil price decline reversed somewhat in April 2015, the dollar remained nearly 10% higher for the reporting period, as measured by the U.S. Dollar Index, while oil remained almost 9% lower, as measured by West Texas Intermediate crude oil futures. U.S. stocks and bonds posted modest gains—the S&P 500 Index and the Barclays U.S. Aggregate Bond Index returned 2.97% and 1.09%, respectively. Non-U.S. developed-market stock returns were stronger, as reflected in the 4.84% return of the MSCI EAFE Index, but emerging-market equities lagged, reflected in the 0.82% return of the MSCI Emerging Markets Index.
We expect more monetary policy divergence between the U.S. and other major developed economies in the coming months, accompanied by continued market volatility. This could present both challenges and opportunities for active investment managers. Upward pressures on inflation and interest rates could develop as the massive amount of global monetary stimulus in progress takes hold and economies improve. In this environment, we continue to believe in a disciplined, diversified, long-term investment approach, using professionally managed stock and bond portfolios to meet financial goals. We appreciate your continued trust in us.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Performance |
Total Returns as of May 31, 2015 | |||||||
Average Annual Returns | |||||||
Ticker Symbol | 6 months(1) | 1 year | 5 years | 10 years | Since Inception | Inception Date | |
Investor Class | TWSAX | 3.87% | 8.35% | 12.09% | 7.59% | 7.90% | 2/15/96 |
S&P 500 Index | — | 2.97% | 11.81% | 16.53% | 8.12% | 8.38%(2) | — |
Barclays U.S. Aggregate Bond Index | — | 1.09% | 3.03% | 3.90% | 4.61% | 5.63%(2) | — |
Barclays U.S. 1–3 Month Treasury Bill Index | — | 0.01% | 0.02% | 0.06% | 1.36% | 2.50%(2) | — |
Institutional Class | AAAIX | 4.11% | 8.74% | 12.36% | 7.81% | 5.68% | 8/1/00 |
A Class(3) | ACVAX | 10/2/96 | |||||
No sales charge* | 3.79% | 8.13% | 11.83% | 7.32% | 7.50% | ||
With sales charge* | -2.15% | 1.91% | 10.51% | 6.69% | 7.15% | ||
B Class | ALLBX | 9/30/04 | |||||
No sales charge* | 3.50% | 7.40% | 11.02% | 6.53% | 6.81% | ||
With sales charge* | -1.50% | 3.40% | 10.89% | 6.53% | 6.81% | ||
C Class | ASTAX | 11/27/01 | |||||
No sales charge* | 3.40% | 7.43% | 11.00% | 6.52% | 6.12% | ||
With sales charge* | 2.48% | 7.43% | 11.00% | 6.52% | 6.12% | ||
R Class | AAARX | 3.58% | 7.91% | 11.56% | 7.02% | 6.91% | 3/31/05 |
R6 Class | AAAUX | 4.05% | 8.80% | — | — | 11.11% | 7/26/13 |
* | Sales charges include initial sales charges and contingent deferred sales charges (CDSCs), as applicable. A Class shares have a 5.75% maximum initial sales charge and may be subject to a maximum CDSC of 1.00%. B Class shares redeemed within six years of purchase are subject to a CDSC that declines from 5.00% during the first year to 0.00% after the sixth year. C Class shares redeemed within 12 months of purchase are subject to a maximum CDSC of 1.00%. The SEC requires that mutual funds provide performance information net of maximum sales charges in all cases where charges could be applied. |
(1) | Total returns for periods less than one year are not annualized. |
(2) | Since February 29, 1996, the date nearest the Investor Class’s inception for which data are available. |
(3) | Prior to December 3, 2007, the A Class was referred to as the Advisor Class and did not have a front-end sales charge. Performance prior to that date has been adjusted to reflect this charge. |
Total Annual Fund Operating Expenses | ||||||
Investor Class | Institutional Class | A Class | B Class | C Class | R Class | R6 Class |
1.14% | 0.94% | 1.39% | 2.14% | 2.14% | 1.64% | 0.79% |
The total annual fund operating expenses shown is as stated in the fund’s prospectus current as of the date of this report. The prospectus may vary from the expense ratio shown elsewhere in this report because it is based on a different time period, includes acquired fund fees and expenses, and, if applicable, does not include fee waivers or expense reimbursements.
Data presented reflect past performance. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, and redemption value may be more or less than original cost. Data assumes reinvestment of dividends and capital gains, and none of the charts reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. To obtain performance data current to the most recent month end, please call 1-800-345-2021 or visit americancentury.com. For additional information about the fund, please consult the prospectus.
3
Fund Characteristics |
MAY 31, 2015 | |
Top Ten Common Stocks | % of net assets |
Apple, Inc. | 1.4% |
Johnson & Johnson | 0.8% |
Oracle Corp. | 0.7% |
Comcast Corp., Class A | 0.6% |
JPMorgan Chase & Co. | 0.6% |
PepsiCo, Inc. | 0.6% |
Electronic Arts, Inc. | 0.6% |
Gilead Sciences, Inc. | 0.5% |
Merck & Co., Inc. | 0.5% |
Visa, Inc., Class A | 0.5% |
Geographic Composition of Common Stocks | % of net assets |
United States | 53.6% |
Japan | 3.9% |
United Kingdom | 3.8% |
China | 2.4% |
Other Countries | 16.1% |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life | 7.0 years |
Average Duration (effective) | 5.2 years |
Types of Investments in Portfolio | % of net assets |
Domestic Common Stocks | 53.6% |
Foreign Common Stocks* | 26.2% |
Corporate Bonds | 8.0% |
U.S. Treasury Securities | 5.5% |
U.S. Government Agency Mortgage-Backed Securities | 2.0% |
Sovereign Governments and Agencies | 1.2% |
Collateralized Mortgage Obligations | 0.6% |
Commercial Mortgage-Backed Securities | 0.5% |
Asset-Backed Securities | 0.3% |
Exchange-Traded Funds | 0.3% |
Municipal Securities | 0.2% |
Commercial Paper | 0.2% |
Preferred Stocks | —** |
Convertible Preferred Stocks | —** |
Temporary Cash Investments | 2.0% |
Other Assets and Liabilities | (0.6)% |
*Includes depositary shares, dual listed securities and foreign ordinary shares. | |
**Category is less than 0.05% of total net assets. |
4
Shareholder Fee Example |
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2014 to May 31, 2015.
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then 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 under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or Institutional Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. 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 your fund 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 transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
5
Beginning Account Value 12/1/14 | Ending Account Value 5/31/15 | Expenses Paid During Period(1) 12/1/14 - 5/31/15 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,038.70 | $5.79 | 1.14% |
Institutional Class | $1,000 | $1,041.10 | $4.78 | 0.94% |
A Class | $1,000 | $1,037.90 | $7.06 | 1.39% |
B Class | $1,000 | $1,035.00 | $10.86 | 2.14% |
C Class | $1,000 | $1,034.00 | $10.85 | 2.14% |
R Class | $1,000 | $1,035.80 | $8.32 | 1.64% |
R6 Class | $1,000 | $1,040.50 | $4.02 | 0.79% |
Hypothetical | ||||
Investor Class | $1,000 | $1,019.25 | $5.74 | 1.14% |
Institutional Class | $1,000 | $1,020.24 | $4.73 | 0.94% |
A Class | $1,000 | $1,018.00 | $6.99 | 1.39% |
B Class | $1,000 | $1,014.26 | $10.75 | 2.14% |
C Class | $1,000 | $1,014.26 | $10.75 | 2.14% |
R Class | $1,000 | $1,016.75 | $8.25 | 1.64% |
R6 Class | $1,000 | $1,020.99 | $3.98 | 0.79% |
(1) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 182, the number of days in the most recent fiscal half-year, divided by 365, to reflect the one-half year period. |
6
Schedule of Investments |
MAY 31, 2015 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
COMMON STOCKS — 79.8% | |||||||
Aerospace and Defense — 2.1% | |||||||
American Science & Engineering, Inc. | 729 | $ | 28,526 | ||||
Astronics Corp.(1) | 2,253 | 157,462 | |||||
B/E Aerospace, Inc. | 16,272 | 933,036 | |||||
BAE Systems plc | 63,880 | 502,816 | |||||
Boeing Co. (The) | 30,149 | 4,236,537 | |||||
Esterline Technologies Corp.(1) | 9,582 | 1,036,485 | |||||
Honeywell International, Inc. | 43,157 | 4,496,959 | |||||
Huntington Ingalls Industries, Inc. | 3,078 | 381,641 | |||||
Lockheed Martin Corp. | 13,690 | 2,576,458 | |||||
Precision Castparts Corp. | 3,720 | 787,264 | |||||
Raytheon Co. | 17,363 | 1,792,903 | |||||
Spirit Aerosystems Holdings, Inc., Class A(1) | 18,145 | 990,536 | |||||
Teledyne Technologies, Inc.(1) | 1,729 | 175,200 | |||||
Textron, Inc. | 23,616 | 1,067,916 | |||||
United Technologies Corp. | 26,036 | 3,050,638 | |||||
Zodiac Aerospace | 30,700 | 1,119,937 | |||||
23,334,314 | |||||||
Air Freight and Logistics — 0.1% | |||||||
bpost SA | 15,399 | 444,466 | |||||
Sinotrans Ltd., H Shares | 640,000 | 499,378 | |||||
943,844 | |||||||
Airlines — 0.9% | |||||||
Air New Zealand Ltd. | 59,330 | 125,854 | |||||
Airports of Thailand PCL | 89,900 | 796,379 | |||||
Alaska Air Group, Inc. | 11,949 | 772,383 | |||||
Delta Air Lines, Inc. | 12,314 | 528,517 | |||||
International Consolidated Airlines Group SA(1) | 116,715 | 988,265 | |||||
Japan Airlines Co. Ltd. | 23,400 | 805,986 | |||||
Qantas Airways Ltd.(1) | 560,385 | 1,508,117 | |||||
Ryanair Holdings plc ADR | 7,990 | 532,134 | |||||
Southwest Airlines Co. | 48,930 | 1,812,857 | |||||
Spirit Airlines, Inc.(1) | 17,149 | 1,090,162 | |||||
United Continental Holdings, Inc.(1) | 28,430 | 1,551,994 | |||||
10,512,648 | |||||||
Auto Components — 0.8% | |||||||
BorgWarner, Inc. | 35,197 | 2,117,100 | |||||
Bridgestone Corp. | 9,600 | 400,351 | |||||
Continental AG | 2,237 | 516,563 | |||||
Cooper Tire & Rubber Co. | 406 | 14,904 | |||||
Dana Holding Corp. | 2,103 | 45,782 |
7
Shares/ Principal Amount | Value | ||||||
Delphi Automotive plc | 21,057 | $ | 1,831,538 | ||||
Faurecia | 1,749 | 78,691 | |||||
Hota Industrial Manufacturing Co. Ltd. | 376,000 | 1,032,704 | |||||
Koito Manufacturing Co. Ltd. | 7,700 | 303,372 | |||||
Linamar Corp. | 4,572 | 311,467 | |||||
Magna International, Inc. | 8,357 | 480,611 | |||||
Stoneridge, Inc.(1) | 2,547 | 30,386 | |||||
Sumitomo Rubber Industries Ltd. | 8,400 | 148,285 | |||||
Superior Industries International, Inc. | 246 | 4,745 | |||||
Tower International, Inc.(1) | 2,886 | 79,394 | |||||
Valeo SA | 8,462 | 1,350,856 | |||||
8,746,749 | |||||||
Automobiles — 1.2% | |||||||
Daimler AG | 5,161 | 483,395 | |||||
Fiat Chrysler Automobiles NV(1) | 28,462 | 454,830 | |||||
Ford Motor Co. | 32,220 | 488,777 | |||||
Fuji Heavy Industries Ltd. | 57,900 | 2,191,630 | |||||
Great Wall Motor Co. Ltd., H Shares | 169,500 | 1,094,127 | |||||
Harley-Davidson, Inc. | 23,648 | 1,264,931 | |||||
Honda Motor Co. Ltd. ADR | 10,240 | 350,413 | |||||
Isuzu Motors Ltd. | 41,700 | 568,308 | |||||
Mitsubishi Motors Corp. | 6,800 | 63,390 | |||||
Peugeot SA(1) | 120,827 | 2,521,382 | |||||
Piaggio & C SpA | 49,085 | 159,035 | |||||
Suzuki Motor Corp. | 36,500 | 1,274,699 | |||||
Tata Motors Ltd. | 47,446 | 357,816 | |||||
Thor Industries, Inc. | 3,845 | 234,891 | |||||
Tofas Turk Otomobil Fabrikasi AS | 80,510 | 545,815 | |||||
Toyota Motor Corp. | 20,000 | 1,386,456 | |||||
Yamaha Motor Co. Ltd. | 15,800 | 396,544 | |||||
13,836,439 | |||||||
Banks — 5.9% | |||||||
Alior Bank SA(1) | 20,660 | 513,140 | |||||
Australia & New Zealand Banking Group Ltd. | 27,122 | 688,232 | |||||
Banco Santander SA | 142,618 | 1,015,637 | |||||
Bank Hapoalim BM | 35,708 | 187,253 | |||||
Bank of America Corp. | 232,198 | 3,831,267 | |||||
Bank of Hawaii Corp. | 6,628 | 416,039 | |||||
Bank of Ireland(1) | 2,694,043 | 1,029,686 | |||||
Bank of the Ozarks, Inc. | 6,125 | 269,316 | |||||
BankUnited, Inc. | 6,911 | 232,140 | |||||
Barclays plc | 242,366 | 1,000,167 | |||||
BB&T Corp. | 7,842 | 309,524 | |||||
Bendigo and Adelaide Bank Ltd. | 21,981 | 206,540 | |||||
BOC Hong Kong Holdings Ltd. | 162,500 | 668,556 | |||||
BOK Financial Corp. | 5,676 | 367,124 |
8
Shares/ Principal Amount | Value | ||||||
Capital Bank Financial Corp., Class A(1) | 4,542 | $ | 129,538 | ||||
Capitec Bank Holdings Ltd. | 22,480 | 937,830 | |||||
Cathay General Bancorp | 3,419 | 103,322 | |||||
Chiba Bank Ltd. (The) | 53,000 | 418,910 | |||||
China CITIC Bank Corp. Ltd., H Shares(1) | 580,000 | 490,711 | |||||
China Construction Bank Corp., H Shares | 200,000 | 200,938 | |||||
China Minsheng Banking Corp. Ltd., H Shares | 355,000 | 488,983 | |||||
Chongqing Rural Commercial Bank Co. Ltd., H Shares | 45,000 | 36,563 | |||||
Citigroup, Inc. | 47,642 | 2,576,479 | |||||
Comerica, Inc. | 8,371 | 409,760 | |||||
Commerce Bancshares, Inc. | 17,988 | 802,445 | |||||
Commercial International Bank Egypt S.A.E. | 109,960 | 808,681 | |||||
Commonwealth Bank of Australia | 3,545 | 230,622 | |||||
Credicorp Ltd. | 5,814 | 820,588 | |||||
Credit Agricole SA | 41,566 | 620,638 | |||||
Cullen / Frost Bankers, Inc. | 5,977 | 438,772 | |||||
Eagle Bancorp, Inc.(1) | 2,562 | 101,942 | |||||
East West Bancorp, Inc. | 15,720 | 674,388 | |||||
FCB Financial Holdings, Inc., Class A(1) | 7,602 | 218,709 | |||||
First Financial Bankshares, Inc. | 3,867 | 116,513 | |||||
First NBC Bank Holding Co.(1) | 1,734 | 58,939 | |||||
FirstMerit Corp. | 1,740 | 34,174 | |||||
Fukuoka Financial Group, Inc. | 7,000 | 37,731 | |||||
Hachijuni Bank Ltd. (The) | 61,000 | 463,957 | |||||
Hang Seng Bank Ltd. | 25,900 | 519,760 | |||||
HDFC Bank Ltd. | 67,427 | 1,109,121 | |||||
Home Bancshares, Inc. | 4,663 | 159,055 | |||||
HSBC Holdings plc | 178,626 | 1,700,045 | |||||
ICICI Bank Ltd. ADR | 140,660 | 1,485,370 | |||||
Industrial & Commercial Bank of China Ltd., H Shares | 2,521,770 | 2,195,346 | |||||
ING Groep NV CVA | 98,624 | 1,622,073 | |||||
Intesa Sanpaolo SpA | 534,820 | 1,927,823 | |||||
Itau Unibanco Holding SA ADR | 95,850 | 1,025,595 | |||||
JPMorgan Chase & Co. | 104,377 | 6,865,919 | |||||
Juroku Bank Ltd. (The) | 37,000 | 139,814 | |||||
Kasikornbank PCL | 66,800 | 387,218 | |||||
KBC Groep NV | 29,616 | 1,985,789 | |||||
KeyCorp | 82,110 | 1,197,164 | |||||
LegacyTexas Financial Group, Inc. | 421 | 10,921 | |||||
Lloyds Banking Group plc | 248,629 | 333,530 | |||||
M&T Bank Corp. | 6,091 | 736,280 | |||||
Mitsubishi UFJ Financial Group, Inc. | 250,700 | 1,860,733 | |||||
Mizrahi Tefahot Bank Ltd.(1) | 4,567 | 51,941 | |||||
National Australia Bank Ltd. | 5,239 | 137,468 | |||||
OFG Bancorp | 3,612 | 47,462 | |||||
Oversea-Chinese Banking Corp. Ltd. | 63,800 | 482,724 |
9
Shares/ Principal Amount | Value | ||||||
PNC Financial Services Group, Inc. (The) | 26,881 | $ | 2,572,243 | ||||
PrivateBancorp, Inc. | 591 | 22,535 | |||||
PT Bank Mandiri (Persero) Tbk | 760,800 | 619,905 | |||||
PT Bank Rakyat Indonesia (Persero) Tbk | 780,700 | 695,156 | |||||
Qatar National Bank SAQ | 7,430 | 383,207 | |||||
Renasant Corp. | 2,072 | 61,000 | |||||
ServisFirst Bancshares, Inc. | 2,329 | 81,631 | |||||
Seven Bank Ltd. | 152,300 | 721,528 | |||||
Signature Bank(1) | 6,395 | 893,062 | |||||
Skandinaviska Enskilda Banken AB, A Shares | 100,560 | 1,241,889 | |||||
Southside Bancshares, Inc. | 4,096 | 109,978 | |||||
Standard Chartered plc | 42,907 | 685,957 | |||||
Sumitomo Mitsui Financial Group, Inc. | 15,000 | 685,252 | |||||
Sumitomo Mitsui Trust Holdings, Inc. | 14,000 | 64,284 | |||||
SunTrust Banks, Inc. | 10,815 | 461,584 | |||||
Suruga Bank Ltd. | 13,600 | 290,266 | |||||
SVB Financial Group(1) | 5,333 | 719,475 | |||||
Texas Capital Bancshares, Inc.(1) | 2,790 | 151,776 | |||||
U.S. Bancorp | 49,820 | 2,147,740 | |||||
UMB Financial Corp. | 2,365 | 122,483 | |||||
United Overseas Bank Ltd. | 13,100 | 224,860 | |||||
Valley National Bancorp | 12,631 | 123,531 | |||||
Wells Fargo & Co. | 80,317 | 4,494,539 | |||||
Westamerica Bancorp | 12,955 | 592,821 | |||||
Westpac Banking Corp. | 46,290 | 1,187,722 | |||||
67,291,329 | |||||||
Beverages — 1.3% | |||||||
Anheuser-Busch InBev NV | 11,758 | 1,413,417 | |||||
Boston Beer Co., Inc. (The), Class A(1) | 2,018 | 532,308 | |||||
Brown-Forman Corp., Class B | 13,695 | 1,291,028 | |||||
Coca-Cola Co. (The) | 9,063 | 371,220 | |||||
Constellation Brands, Inc., Class A | 18,942 | 2,233,072 | |||||
Dr Pepper Snapple Group, Inc. | 20,747 | 1,590,050 | |||||
PepsiCo, Inc. | 69,285 | 6,681,153 | |||||
Pernod-Ricard SA | 8,720 | 1,077,911 | |||||
15,190,159 | |||||||
Biotechnology — 2.4% | |||||||
ACADIA Pharmaceuticals, Inc.(1) | 1,582 | 65,178 | |||||
Acceleron Pharma, Inc.(1) | 323 | 10,895 | |||||
Adaptimmune Therapeutics plc ADR(1) | 671 | 10,354 | |||||
Aduro Biotech, Inc.(1) | 380 | 12,836 | |||||
Agios Pharmaceuticals, Inc.(1) | 263 | 32,091 | |||||
Alder Biopharmaceuticals, Inc.(1) | 1,462 | 62,164 | |||||
Alexion Pharmaceuticals, Inc.(1) | 12,217 | 2,001,633 | |||||
Alnylam Pharmaceuticals, Inc.(1) | 4,077 | 534,454 | |||||
AMAG Pharmaceuticals, Inc.(1) | 10,465 | 728,155 |
10
Shares/ Principal Amount | Value | ||||||
Amgen, Inc. | 27,530 | $ | 4,301,838 | ||||
Anacor Pharmaceuticals, Inc.(1) | 843 | 60,038 | |||||
Biogen, Inc.(1) | 11,968 | 4,751,176 | |||||
Bluebird Bio, Inc.(1) | 408 | 79,254 | |||||
Celgene Corp.(1) | 21,040 | 2,407,818 | |||||
Celldex Therapeutics, Inc.(1) | 1,816 | 52,428 | |||||
Cepheid, Inc.(1) | 1,369 | 75,528 | |||||
Clovis Oncology, Inc.(1) | 640 | 59,162 | |||||
CSL Ltd. | 4,882 | 348,992 | |||||
Dyax Corp.(1) | 3,098 | 81,601 | |||||
Esperion Therapeutics, Inc.(1) | 413 | 44,402 | |||||
Exact Sciences Corp.(1) | 1,936 | 52,291 | |||||
Gilead Sciences, Inc.(1) | 54,806 | 6,153,070 | |||||
Halozyme Therapeutics, Inc.(1) | 2,734 | 47,435 | |||||
Incyte Corp.(1) | 6,043 | 665,636 | |||||
Isis Pharmaceuticals, Inc.(1) | 1,824 | 122,792 | |||||
Keryx Biopharmaceuticals, Inc.(1) | 2,337 | 24,305 | |||||
Kite Pharma, Inc.(1) | 512 | 28,237 | |||||
KYTHERA Biopharmaceuticals, Inc.(1) | 338 | 17,025 | |||||
Ligand Pharmaceuticals, Inc., Class B(1) | 423 | 37,270 | |||||
Medy-Tox, Inc. | 1,940 | 815,386 | |||||
Neurocrine Biosciences, Inc.(1) | 1,671 | 73,290 | |||||
Novavax, Inc.(1) | 5,666 | 50,994 | |||||
Ophthotech Corp.(1) | 1,585 | 79,282 | |||||
Opko Health, Inc.(1) | 3,201 | 56,594 | |||||
Portola Pharmaceuticals, Inc.(1) | 1,037 | 43,367 | |||||
PTC Therapeutics, Inc.(1) | 332 | 19,286 | |||||
Puma Biotechnology, Inc.(1) | 346 | 67,626 | |||||
Receptos, Inc.(1) | 333 | 54,908 | |||||
Regeneron Pharmaceuticals, Inc.(1) | 3,388 | 1,736,553 | |||||
Sangamo Biosciences, Inc.(1) | 1,998 | 24,475 | |||||
Sarepta Therapeutics, Inc.(1) | 1,055 | 27,029 | |||||
Spark Therapeutics, Inc.(1) | 291 | 21,429 | |||||
TESARO, Inc.(1) | 581 | 34,140 | |||||
Vertex Pharmaceuticals, Inc.(1) | 7,426 | 952,682 | |||||
26,925,099 | |||||||
Building Products — 0.3% | |||||||
American Woodmark Corp.(1) | 59 | 3,029 | |||||
Apogee Enterprises, Inc. | 2,008 | 107,890 | |||||
Caesarstone Sdot-Yam Ltd. | 4,043 | 249,938 | |||||
Continental Building Products, Inc.(1) | 4,725 | 105,368 | |||||
Daikin Industries Ltd. | 13,200 | 1,014,714 | |||||
Insteel Industries, Inc. | 3,483 | 69,138 | |||||
Inwido AB | 7,667 | 93,067 | |||||
Lennox International, Inc. | 9,584 | 1,079,158 | |||||
Masco Corp. | 28,270 | 765,269 |
11
Shares/ Principal Amount | Value | ||||||
NCI Building Systems, Inc.(1) | 8,053 | $ | 120,634 | ||||
Nortek, Inc.(1) | 150 | 12,390 | |||||
Sanwa Holdings Corp. | 5,400 | 47,119 | |||||
Trex Co., Inc.(1) | 1,889 | 95,583 | |||||
3,763,297 | |||||||
Capital Markets — 2.0% | |||||||
Affiliated Managers Group, Inc.(1) | 9,048 | 2,023,676 | |||||
Ameriprise Financial, Inc. | 27,299 | 3,401,182 | |||||
Ares Management LP | 3,817 | 74,393 | |||||
Artisan Partners Asset Management, Inc., Class A | 4,298 | 189,585 | |||||
Banca Generali SpA | 8,075 | 287,171 | |||||
BlackRock, Inc. | 1,760 | 643,773 | |||||
Blackstone Group LP (The) | 13,961 | 611,492 | |||||
China Everbright Ltd. | 38,000 | 151,193 | |||||
CITIC Securities Co. Ltd., H Shares | 156,500 | 665,064 | |||||
Credit Suisse Group AG | 38,940 | 1,032,075 | |||||
Deutsche Bank AG | 6,741 | 202,971 | |||||
Evercore Partners, Inc., Class A | 5,070 | 258,418 | |||||
Franklin Resources, Inc. | 66,021 | 3,361,129 | |||||
Goldman Sachs Group, Inc. (The) | 7,790 | 1,606,220 | |||||
HFF, Inc., Class A | 3,046 | 122,571 | |||||
Invesco Ltd. | 45,350 | 1,806,290 | |||||
Investec plc | 55,145 | 505,280 | |||||
Legg Mason, Inc. | 10,430 | 556,545 | |||||
LPL Financial Holdings, Inc. | 15,427 | 657,807 | |||||
Magellan Financial Group Ltd. | 11,025 | 157,541 | |||||
Man Group plc | 177,861 | 485,239 | |||||
Moelis & Co., Class A | 1,089 | 31,429 | |||||
Northern Trust Corp. | 22,163 | 1,652,252 | |||||
State Street Corp. | 15,004 | 1,169,262 | |||||
T. Rowe Price Group, Inc. | 4,016 | 324,051 | |||||
Waddell & Reed Financial, Inc., Class A | 10,383 | 496,100 | |||||
22,472,709 | |||||||
Chemicals — 1.6% | |||||||
Akzo Nobel NV | 11,526 | 877,902 | |||||
Asahi Kasei Corp. | 80,000 | 711,920 | |||||
BASF SE | 2,363 | 218,523 | |||||
Cabot Corp. | 26,172 | 1,085,353 | |||||
Chemtura Corp.(1) | 2,041 | 56,658 | |||||
Croda International plc | 3,333 | 149,004 | |||||
Daicel Corp. | 8,200 | 106,964 | |||||
Dow Chemical Co. (The) | 79,681 | 4,148,990 | |||||
E.I. du Pont de Nemours & Co. | 13,602 | 965,878 | |||||
Essentra plc | 8,844 | 135,172 | |||||
Givaudan SA | 480 | 879,459 | |||||
Innophos Holdings, Inc. | 1,795 | 93,537 |
12
Shares/ Principal Amount | Value | ||||||
Innospec, Inc. | 2,645 | $ | 113,418 | ||||
International Flavors & Fragrances, Inc. | 282 | 33,569 | |||||
Johnson Matthey plc | 23,354 | 1,248,942 | |||||
LG Chem Ltd. | 2,840 | 639,368 | |||||
LSB Industries, Inc.(1) | 1,677 | 71,323 | |||||
LyondellBasell Industries NV, Class A | 21,989 | 2,223,088 | |||||
Minerals Technologies, Inc. | 687 | 46,242 | |||||
Mitsubishi Chemical Holdings Corp. | 120,600 | 761,117 | |||||
Mosaic Co. (The) | 11,112 | 509,485 | |||||
PolyOne Corp. | 2,519 | 97,964 | |||||
PPG Industries, Inc. | 4,111 | 940,967 | |||||
Sherwin-Williams Co. (The) | 4,711 | 1,357,616 | |||||
Sumitomo Chemical Co. Ltd. | 40,000 | 233,654 | |||||
Symrise AG | 3,780 | 240,625 | |||||
Teijin Ltd. | 12,000 | 44,765 | |||||
Tronox Ltd., Class A | 4,595 | 77,472 | |||||
18,068,975 | |||||||
Commercial Services and Supplies — 0.6% | |||||||
ABM Industries, Inc. | 3,078 | 99,850 | |||||
ADT Corp. (The) | 14,271 | 520,606 | |||||
ARC Document Solutions, Inc.(1) | 8,201 | 61,425 | |||||
Brink's Co. (The) | 3,495 | 111,700 | |||||
Clean Harbors, Inc.(1) | 9,935 | 559,738 | |||||
Herman Miller, Inc. | 1,610 | 44,597 | |||||
HNI Corp. | 1,737 | 84,227 | |||||
Kaba Holding AG | 432 | 271,422 | |||||
KAR Auction Services, Inc. | 32,899 | 1,225,817 | |||||
Multi-Color Corp. | 4,761 | 304,942 | |||||
Pitney Bowes, Inc. | 3,569 | 77,983 | |||||
Republic Services, Inc. | 45,883 | 1,848,626 | |||||
Societe BIC SA | 877 | 144,530 | |||||
Stericycle, Inc.(1) | 4,825 | 662,472 | |||||
Tyco International plc | 16,153 | 651,935 | |||||
Waste Management, Inc. | 6,381 | 316,817 | |||||
6,986,687 | |||||||
Communications Equipment — 1.3% | |||||||
ARRIS Group, Inc.(1) | 1,727 | 57,008 | |||||
Cisco Systems, Inc. | 186,151 | 5,456,086 | |||||
Harris Corp. | 5,017 | 397,447 | |||||
Infinera Corp.(1) | 5,060 | 104,438 | |||||
Juniper Networks, Inc. | 34,986 | 972,611 | |||||
Motorola Solutions, Inc. | 16,811 | 991,849 | |||||
Palo Alto Networks, Inc.(1) | 4,991 | 845,925 | |||||
Polycom, Inc.(1) | 5,646 | 76,052 | |||||
QUALCOMM, Inc. | 73,190 | 5,099,879 | |||||
Radware Ltd.(1) | 9,481 | 223,846 |
13
Shares/ Principal Amount | Value | ||||||
Ruckus Wireless, Inc.(1) | 6,949 | $ | 73,034 | ||||
14,298,175 | |||||||
Construction and Engineering — 0.3% | |||||||
Boskalis Westminster NV | 958 | 47,469 | |||||
Great Lakes Dredge & Dock Corp.(1) | 8,700 | 48,372 | |||||
Hyundai Development Co-Engineering & Construction | 17,490 | 954,789 | |||||
Larsen & Toubro Ltd. | 36,120 | 935,685 | |||||
Northwest Pipe Co.(1) | 1,466 | 30,449 | |||||
Peab AB | 80,023 | 613,793 | |||||
Vinci SA | 3,760 | 223,329 | |||||
2,853,886 | |||||||
Construction Materials — 0.2% | |||||||
Cemex SAB de CV ADR(1) | 203,973 | 1,896,949 | |||||
Headwaters, Inc.(1) | 5,579 | 105,890 | |||||
Summit Materials, Inc., Class A(1) | 5,144 | 141,460 | |||||
Titan Cement Co. SA | 15,610 | 359,519 | |||||
2,503,818 | |||||||
Consumer Finance — 0.3% | |||||||
Capital One Financial Corp. | 16,050 | 1,341,138 | |||||
Cash America International, Inc. | 1,990 | 53,491 | |||||
Discover Financial Services | 27,163 | 1,582,788 | |||||
2,977,417 | |||||||
Containers and Packaging — 0.3% | |||||||
Ball Corp. | 13,717 | 973,770 | |||||
Bemis Co., Inc. | 10,376 | 476,673 | |||||
Berry Plastics Group, Inc.(1) | 30,387 | 1,017,053 | |||||
Graphic Packaging Holding Co. | 15,777 | 224,665 | |||||
Sonoco Products Co. | 12,107 | 545,057 | |||||
3,237,218 | |||||||
Distributors† | |||||||
LKQ Corp.(1) | 12,885 | 368,124 | |||||
Diversified Consumer Services — 0.2% | |||||||
Bright Horizons Family Solutions, Inc.(1) | 1,413 | 78,662 | |||||
Capella Education Co. | 347 | 18,485 | |||||
H&R Block, Inc. | 49,764 | 1,579,012 | |||||
K12, Inc.(1) | 4,899 | 67,067 | |||||
Nord Anglia Education, Inc.(1) | 4,178 | 108,210 | |||||
Sotheby's | 1,272 | 57,024 | |||||
Steiner Leisure, Ltd.(1) | 1,778 | 87,228 | |||||
Strayer Education, Inc.(1) | 3,117 | 142,852 | |||||
2,138,540 | |||||||
Diversified Financial Services — 0.7% | |||||||
Berkshire Hathaway, Inc., Class B(1) | 12,672 | 1,812,096 | |||||
Chailease Holding Co. Ltd. | 172,000 | 434,861 | |||||
Compass Diversified Holdings | 4,876 | 79,674 |
14
Shares/ Principal Amount | Value | ||||||
Element Financial Corp.(1) | 13,381 | $ | 200,242 | ||||
Exor SpA | 5,714 | 284,414 | |||||
Investor AB, B Shares | 17,468 | 689,788 | |||||
Japan Exchange Group, Inc. | 16,500 | 503,182 | |||||
Kinnevik Investment AB, B Shares | 15,766 | 526,427 | |||||
London Stock Exchange Group plc | 15,822 | 594,160 | |||||
MarketAxess Holdings, Inc. | 1,289 | 114,012 | |||||
McGraw-Hill Cos., Inc. (The) | 8,303 | 861,436 | |||||
ORIX Corp. | 80,700 | 1,283,827 | |||||
Pargesa Holding SA | 1,123 | 79,041 | |||||
PHH Corp.(1) | 810 | 22,348 | |||||
Zenkoku Hosho Co. Ltd. | 7,700 | 259,324 | |||||
7,744,832 | |||||||
Diversified Telecommunication Services — 0.8% | |||||||
AT&T, Inc. | 8,172 | 282,261 | |||||
Bezeq The Israeli Telecommunication Corp. Ltd. | 149,744 | 250,625 | |||||
BT Group plc | 193,817 | 1,323,259 | |||||
CenturyLink, Inc. | 22,807 | 758,105 | |||||
Deutsche Telekom AG | 74,904 | 1,287,068 | |||||
Nippon Telegraph & Telephone Corp. | 8,100 | 565,757 | |||||
Orange SA | 47,952 | 756,279 | |||||
Telefonica SA | 59,229 | 837,859 | |||||
Telstra Corp. Ltd. | 73,768 | 350,804 | |||||
Thaicom PCL | 586,100 | 640,285 | |||||
Verizon Communications, Inc. | 23,507 | 1,162,186 | |||||
Zayo Group Holdings, Inc.(1) | 17,233 | 453,055 | |||||
8,667,543 | |||||||
Electric Utilities — 0.7% | |||||||
ALLETE, Inc. | 1,510 | 76,029 | |||||
Edison International | 13,615 | 827,928 | |||||
EDP - Energias de Portugal SA | 153,270 | 598,436 | |||||
El Paso Electric Co. | 1,098 | 39,934 | |||||
Endesa SA | 31,821 | 595,007 | |||||
Enel SpA | 79,705 | 386,752 | |||||
Entergy Corp. | 9,925 | 758,965 | |||||
Great Plains Energy, Inc. | 21,197 | 552,606 | |||||
OGE Energy Corp. | 8,110 | 255,465 | |||||
PPL Corp. | 31,700 | 1,100,307 | |||||
Southern Co. (The) | 7,500 | 327,675 | |||||
SSE plc | 3,336 | 84,894 | |||||
Westar Energy, Inc. | 32,838 | 1,204,169 | |||||
Xcel Energy, Inc. | 41,901 | 1,426,729 | |||||
8,234,896 | |||||||
Electrical Equipment — 0.8% | |||||||
Acuity Brands, Inc. | 4,452 | 785,734 | |||||
Babcock & Wilcox Co. (The) | 1,837 | 61,154 |
15
Shares/ Principal Amount | Value | ||||||
Eaton Corp. plc | 23,940 | $ | 1,713,865 | ||||
Emerson Electric Co. | 45,024 | 2,715,397 | |||||
Enphase Energy, Inc.(1) | 5,084 | 48,146 | |||||
Generac Holdings, Inc.(1) | 16,605 | 693,757 | |||||
Mabuchi Motor Co. Ltd. | 9,100 | 553,559 | |||||
Nidec Corp. | 7,200 | 527,027 | |||||
Rockwell Automation, Inc. | 2,624 | 322,463 | |||||
Schneider Electric SE | 12,167 | 919,108 | |||||
Vestas Wind Systems A/S | 4,311 | 220,096 | |||||
Zhuzhou CSR Times Electric Co. Ltd., H Shares | 63,500 | 521,683 | |||||
9,081,989 | |||||||
Electronic Equipment, Instruments and Components — 0.9% | |||||||
AU Optronics Corp. | 416,000 | 228,378 | |||||
Belden, Inc. | 1,667 | 140,728 | |||||
Cognex Corp.(1) | 2,322 | 117,191 | |||||
Corning, Inc. | 6,594 | 137,947 | |||||
Hosiden Corp. | 22,800 | 166,433 | |||||
Ingenico | 2,282 | 283,089 | |||||
Ingram Micro, Inc., Class A(1) | 4,087 | 109,573 | |||||
Innolux Corp. | 245,000 | 151,663 | |||||
Keyence Corp. | 3,500 | 1,892,197 | |||||
Keysight Technologies, Inc.(1) | 19,668 | 646,291 | |||||
Largan Precision Co. Ltd. | 6,000 | 668,556 | |||||
Mercury Systems, Inc.(1) | 6,417 | 87,592 | |||||
Methode Electronics, Inc. | 2,226 | 104,466 | |||||
Murata Manufacturing Co. Ltd. | 9,900 | 1,614,039 | |||||
PAX Global Technology Ltd.(1) | 616,000 | 1,115,428 | |||||
Sunny Optical Technology Group Co. Ltd. | 77,000 | 169,022 | |||||
TDK Corp. | 5,900 | 473,464 | |||||
TE Connectivity Ltd. | 19,420 | 1,339,980 | |||||
Topcon Corp. | 12,500 | 291,464 | |||||
9,737,501 | |||||||
Energy Equipment and Services — 0.8% | |||||||
Baker Hughes, Inc. | 13,370 | 861,830 | |||||
Cameron International Corp.(1) | 10,630 | 545,638 | |||||
CGG SA(1) | 11,777 | 79,251 | |||||
FMC Technologies, Inc.(1) | 481 | 20,101 | |||||
Forum Energy Technologies, Inc.(1) | 722 | 14,974 | |||||
Halliburton Co. | 54,549 | 2,476,525 | |||||
Helmerich & Payne, Inc. | 3,373 | 246,195 | |||||
Matrix Service Co.(1) | 1,724 | 29,084 | |||||
National Oilwell Varco, Inc. | 5,342 | 262,773 | |||||
Patterson-UTI Energy, Inc. | 28,202 | 569,680 | |||||
RigNet, Inc.(1) | 1,423 | 50,502 | |||||
Schlumberger Ltd. | 29,433 | 2,671,634 |
16
Shares/ Principal Amount | Value | ||||||
TGS Nopec Geophysical Co. ASA | 31,202 | $ | 786,951 | ||||
Weatherford International plc(1) | 16,912 | 233,724 | |||||
8,848,862 | |||||||
Food and Staples Retailing — 1.7% | |||||||
Alimentation Couche Tard, Inc., B Shares | 12,430 | 484,366 | |||||
Axfood AB | 2,388 | 36,577 | |||||
Carrefour SA | 18,223 | 618,543 | |||||
Costco Wholesale Corp. | 6,683 | 952,929 | |||||
CP ALL PCL | 601,600 | 818,169 | |||||
CVS Health Corp. | 42,554 | 4,356,678 | |||||
FamilyMart Co. Ltd. | 3,200 | 134,585 | |||||
Jeronimo Martins SGPS SA | 67,260 | 924,504 | |||||
Koninklijke Ahold NV | 45,667 | 928,640 | |||||
Kroger Co. (The) | 36,959 | 2,690,615 | |||||
Lawson, Inc. | 1,300 | 90,916 | |||||
Magnit PJSC GDR | 7,007 | 365,415 | |||||
Metro AG | 2,753 | 95,531 | |||||
Natural Grocers by Vitamin Cottage, Inc.(1) | 2,449 | 59,290 | |||||
President Chain Store Corp. | 80,000 | 578,634 | |||||
Rallye SA | 2,075 | 66,546 | |||||
Seven & I Holdings Co. Ltd. | 21,500 | 893,329 | |||||
Sysco Corp. | 31,323 | 1,163,963 | |||||
United Natural Foods, Inc.(1) | 8,348 | 559,900 | |||||
Wal-Mart Stores, Inc. | 33,383 | 2,479,355 | |||||
Whole Foods Market, Inc. | 11,578 | 477,477 | |||||
WM Morrison Supermarkets plc | 289,416 | 756,407 | |||||
X5 Retail Group NV GDR(1) | 18,970 | 368,966 | |||||
19,901,335 | |||||||
Food Products — 1.9% | |||||||
Archer-Daniels-Midland Co. | 39,050 | 2,063,792 | |||||
Associated British Foods plc | 14,611 | 676,196 | |||||
BRF SA ADR | 25,220 | 509,696 | |||||
Bunge Ltd. | 13,315 | 1,232,436 | |||||
Cal-Maine Foods, Inc. | 827 | 46,883 | |||||
Campbell Soup Co. | 10,746 | 519,462 | |||||
CJ CheilJedang Corp. | 2,290 | 847,192 | |||||
ConAgra Foods, Inc. | 60,974 | 2,354,206 | |||||
Danone SA | 2,285 | 156,926 | |||||
General Mills, Inc. | 11,547 | 648,364 | |||||
Hain Celestial Group, Inc. (The)(1) | 11,293 | 714,508 | |||||
Hershey Co. (The) | 7,521 | 698,400 | |||||
Hormel Foods Corp. | 2,980 | 170,516 | |||||
Ingredion, Inc. | 11,144 | 913,474 | |||||
Inventure Foods, Inc.(1) | 3,488 | 33,136 | |||||
J&J Snack Foods Corp. | 1,147 | 123,647 | |||||
J.M. Smucker Co. (The) | 4,114 | 487,715 |
17
Shares/ Principal Amount | Value | ||||||
Kellogg Co. | 6,464 | $ | 405,745 | ||||
Mead Johnson Nutrition Co. | 18,995 | 1,848,213 | |||||
Mondelez International, Inc., Class A | 16,598 | 690,311 | |||||
Nestle SA | 29,376 | 2,278,566 | |||||
Pilgrim's Pride Corp. | 50,192 | 1,283,911 | |||||
Salmar ASA | 3,476 | 56,358 | |||||
Sanderson Farms, Inc. | 4,968 | 405,041 | |||||
Seaboard Corp.(1) | 2 | 6,860 | |||||
Snyders-Lance, Inc. | 575 | 17,175 | |||||
TreeHouse Foods, Inc.(1) | 161 | 11,484 | |||||
Ulker Biskuvi Sanayi AS | 71,060 | 497,763 | |||||
Universal Robina Corp. | 150,790 | 645,301 | |||||
Viscofan SA | 4,979 | 305,686 | |||||
WhiteWave Foods Co., Class A(1) | 11,657 | 559,886 | |||||
Yamazaki Baking Co. Ltd. | 23,000 | 383,596 | |||||
21,592,445 | |||||||
Gas Utilities — 0.3% | |||||||
Atmos Energy Corp. | 10,301 | 556,460 | |||||
China Gas Holdings Ltd. | 506,000 | 871,868 | |||||
Infraestructura Energetica Nova SAB de CV | 115,000 | 616,116 | |||||
Laclede Group, Inc. (The) | 17,600 | 941,776 | |||||
South Jersey Industries, Inc. | 1,578 | 41,643 | |||||
3,027,863 | |||||||
Health Care Equipment and Supplies — 1.9% | |||||||
Abbott Laboratories | 38,380 | 1,865,268 | |||||
Ambu A/S, B Shares | 3,524 | 103,239 | |||||
Asahi Intecc Co. Ltd. | 3,900 | 229,698 | |||||
Becton Dickinson and Co. | 2,335 | 328,091 | |||||
Boston Scientific Corp.(1) | 26,002 | 475,057 | |||||
C.R. Bard, Inc. | 4,778 | 813,789 | |||||
Cantel Medical Corp. | 896 | 41,718 | |||||
Cardiovascular Systems, Inc.(1) | 2,460 | 68,831 | |||||
Cie Generale d'Optique Essilor International SA | 7,468 | 911,664 | |||||
Coloplast A/S, B Shares | 5,000 | 377,608 | |||||
Cooper Cos., Inc. (The) | 3,974 | 722,354 | |||||
DENTSPLY International, Inc. | 21,172 | 1,101,685 | |||||
DexCom, Inc.(1) | 7,900 | 566,588 | |||||
Edwards Lifesciences Corp.(1) | 2,079 | 271,767 | |||||
Entellus Medical, Inc.(1) | 2,721 | 63,535 | |||||
Ginko International Co. Ltd. | 27,000 | 380,461 | |||||
Haemonetics Corp.(1) | 2,613 | 107,969 | |||||
HeartWare International, Inc.(1) | 404 | 29,803 | |||||
Hill-Rom Holdings, Inc. | 433 | 22,325 | |||||
Hologic, Inc.(1) | 6,193 | 221,524 | |||||
Insulet Corp.(1) | 986 | 27,874 | |||||
Intuitive Surgical, Inc.(1) | 2,595 | 1,265,711 |
18
Shares/ Principal Amount | Value | ||||||
Medtronic plc | 31,200 | $ | 2,381,184 | ||||
NuVasive, Inc.(1) | 13,121 | 663,267 | |||||
Orthofix International NV(1) | 676 | 22,153 | |||||
St. Jude Medical, Inc. | 25,085 | 1,850,019 | |||||
STERIS Corp. | 1,481 | 98,975 | |||||
Stryker Corp. | 24,502 | 2,355,377 | |||||
Sysmex Corp. | 6,100 | 354,357 | |||||
Teleflex, Inc. | 18,021 | 2,320,024 | |||||
Utah Medical Products, Inc. | 1,288 | 70,492 | |||||
West Pharmaceutical Services, Inc. | 1,429 | 77,366 | |||||
Zimmer Holdings, Inc. | 15,001 | 1,711,464 | |||||
21,901,237 | |||||||
Health Care Providers and Services — 1.8% | |||||||
AAC Holdings, Inc.(1) | 2,566 | 99,715 | |||||
Adeptus Health, Inc., Class A(1) | 1,606 | 112,500 | |||||
Aetna, Inc. | 24,515 | 2,892,035 | |||||
Air Methods Corp.(1) | 894 | 37,691 | |||||
AmerisourceBergen Corp. | 9,949 | 1,119,859 | |||||
AMN Healthcare Services, Inc.(1) | 7,623 | 202,696 | |||||
Anthem, Inc. | 9,650 | 1,619,752 | |||||
Cardinal Health, Inc. | 18,892 | 1,665,708 | |||||
Cigna Corp. | 4,417 | 622,046 | |||||
ExamWorks Group, Inc.(1) | 4,600 | 188,048 | |||||
Express Scripts Holding Co.(1) | 32,720 | 2,851,221 | |||||
Fresenius Medical Care AG & Co. KGaA | 12,190 | 1,041,340 | |||||
Greencross Ltd. | 22,821 | 116,726 | |||||
Hanger, Inc.(1) | 2,324 | 53,429 | |||||
HCA Holdings, Inc.(1) | 23,520 | 1,924,642 | |||||
HealthSouth Corp. | 334 | 14,415 | |||||
Healthways, Inc.(1) | 2,530 | 38,355 | |||||
Humana, Inc. | 2,935 | 629,998 | |||||
Laboratory Corp. of America Holdings(1) | 5,060 | 596,827 | |||||
LifePoint Hospitals, Inc.(1) | 15,668 | 1,179,644 | |||||
Magellan Health, Inc.(1) | 300 | 20,289 | |||||
Molina Healthcare, Inc.(1) | 672 | 48,881 | |||||
National Healthcare Corp. | 408 | 25,671 | |||||
Owens & Minor, Inc. | 685 | 22,824 | |||||
PT Siloam International Hospitals Tbk | 440,500 | 469,680 | |||||
Quest Diagnostics, Inc. | 11,081 | 833,624 | |||||
Ramsay Health Care Ltd. | 2,452 | 119,079 | |||||
Team Health Holdings, Inc.(1) | 17,257 | 1,009,189 | |||||
UnitedHealth Group, Inc. | 275 | 33,058 | |||||
Universal Health Services, Inc., Class B | 8,388 | 1,086,917 | |||||
VCA, Inc.(1) | 4,522 | 237,224 | |||||
WellCare Health Plans, Inc.(1) | 365 | 31,270 | |||||
20,944,353 |
19
Shares/ Principal Amount | Value | ||||||
Health Care Technology — 0.2% | |||||||
Cerner Corp.(1) | 29,831 | $ | 2,007,328 | ||||
HMS Holdings Corp.(1) | 5,013 | 85,422 | |||||
M3, Inc. | 10,800 | 205,880 | |||||
MedAssets, Inc.(1) | 4,526 | 94,458 | |||||
Medidata Solutions, Inc.(1) | 1,619 | 93,918 | |||||
Merge Healthcare, Inc.(1) | 1,857 | 8,468 | |||||
Press Ganey Holdings, Inc.(1) | 1,573 | 43,037 | |||||
2,538,511 | |||||||
Hotels, Restaurants and Leisure — 1.7% | |||||||
Accor SA | 39,470 | 2,162,943 | |||||
Alsea SAB de CV | 217,164 | 653,654 | |||||
Aristocrat Leisure Ltd. | 39,835 | 237,556 | |||||
Boyd Gaming Corp.(1) | 1,456 | 20,835 | |||||
Brinker International, Inc. | 23,781 | 1,312,236 | |||||
Buffalo Wild Wings, Inc.(1) | 209 | 31,908 | |||||
Carnival Corp. | 13,259 | 614,289 | |||||
Carnival plc | 22,340 | 1,081,355 | |||||
Chipotle Mexican Grill, Inc.(1) | 2,119 | 1,304,287 | |||||
ClubCorp Holdings, Inc. | 13,424 | 305,128 | |||||
Compass Group plc | 45,250 | 791,192 | |||||
Cracker Barrel Old Country Store, Inc. | 4,053 | 571,797 | |||||
Dave & Buster's Entertainment, Inc.(1) | 2,037 | 64,430 | |||||
Domino's Pizza Group plc | 14,866 | 180,747 | |||||
Hyatt Hotels Corp., Class A(1) | 11,329 | 650,964 | |||||
Jack in the Box, Inc. | 4,272 | 370,852 | |||||
La Quinta Holdings, Inc.(1) | 32,665 | 812,052 | |||||
Las Vegas Sands Corp. | 42,729 | 2,171,915 | |||||
Marriott International, Inc., Class A | 21,610 | 1,685,364 | |||||
McDonald's Corp. | 309 | 29,642 | |||||
Melia Hotels International SA | 14,496 | 188,584 | |||||
MGM Resorts International(1) | 27,993 | 561,260 | |||||
Papa John's International, Inc. | 10,863 | 746,397 | |||||
Papa Murphy's Holdings, Inc.(1) | 534 | 9,174 | |||||
Peak Resorts, Inc. | 2,504 | 17,653 | |||||
Red Robin Gourmet Burgers, Inc.(1) | 1,261 | 105,155 | |||||
Skylark Co. Ltd. | 15,800 | 217,431 | |||||
Starbucks Corp. | 603 | 31,332 | |||||
Texas Roadhouse, Inc. | 3,878 | 135,808 | |||||
Vail Resorts, Inc. | 3,449 | 357,799 | |||||
Whitbread plc | 18,201 | 1,424,302 | |||||
Wyndham Worldwide Corp. | 12,295 | 1,043,968 | |||||
19,892,009 | |||||||
Household Durables — 0.8% | |||||||
Cavco Industries, Inc.(1) | 1,181 | 85,658 | |||||
Century Communities, Inc.(1) | 2,337 | 48,259 |
20
Shares/ Principal Amount | Value | ||||||
Coway Co. Ltd. | 6,100 | $ | 503,632 | ||||
De' Longhi | 9,496 | 225,589 | |||||
Electrolux AB | 40,816 | 1,245,088 | |||||
Harman International Industries, Inc. | 8,729 | 1,052,019 | |||||
Husqvarna AB, B Shares | 16,264 | 123,795 | |||||
Jarden Corp.(1) | 11,394 | 604,566 | |||||
Libbey, Inc. | 1,064 | 42,028 | |||||
Mohawk Industries, Inc.(1) | 5,817 | 1,085,685 | |||||
Panasonic Corp. | 26,600 | 392,415 | |||||
Persimmon plc | 13,370 | 400,929 | |||||
PulteGroup, Inc. | 18,162 | 348,347 | |||||
Sony Corp.(1) | 15,300 | 476,079 | |||||
Toll Brothers, Inc.(1) | 12,032 | 435,197 | |||||
Whirlpool Corp. | 9,780 | 1,801,965 | |||||
8,871,251 | |||||||
Household Products — 0.8% | |||||||
Central Garden and Pet Co.(1) | 1,908 | 18,622 | |||||
Church & Dwight Co., Inc. | 10,186 | 855,318 | |||||
Clorox Co. | 593 | 63,842 | |||||
Energizer Holdings, Inc. | 4,062 | 575,545 | |||||
Henkel AG & Co. KGaA Preference Shares | 5,510 | 659,326 | |||||
LG Household & Health Care Ltd. | 1,090 | 794,694 | |||||
Procter & Gamble Co. (The) | 41,817 | 3,278,035 | |||||
Reckitt Benckiser Group plc | 19,860 | 1,792,405 | |||||
Spectrum Brands Holdings, Inc. | 4,520 | 436,858 | |||||
Unicharm Corp. | 38,300 | 847,991 | |||||
9,322,636 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
Cia Energetica de Sao Paulo Preference Shares | 36,100 | 221,950 | |||||
Industrial Conglomerates — 0.6% | |||||||
3M Co. | 31,522 | 5,014,520 | |||||
CK Hutchison Holdings Ltd. | 9,000 | 140,450 | |||||
DCC plc | 1,506 | 119,692 | |||||
General Electric Co. | 37,819 | 1,031,324 | |||||
Koninklijke Philips Electronics NV | 29,835 | 812,805 | |||||
Siemens AG | 1,872 | 196,925 | |||||
7,315,716 | |||||||
Insurance — 2.9% | |||||||
ACE Ltd. | 5,168 | 550,289 | |||||
Aflac, Inc. | 11,515 | 716,463 | |||||
AIA Group Ltd. | 216,000 | 1,422,143 | |||||
Allianz SE | 4,396 | 689,215 | |||||
Allstate Corp. (The) | 39,406 | 2,652,812 | |||||
American International Group, Inc. | 32,640 | 1,913,030 | |||||
Amtrust Financial Services, Inc. | 21,584 | 1,298,925 |
21
Shares/ Principal Amount | Value | ||||||
Argo Group International Holdings Ltd. | 1,502 | $ | 79,080 | ||||
Arthur J Gallagher & Co. | 3,952 | 191,474 | |||||
Aspen Insurance Holdings Ltd. | 17,810 | 825,672 | |||||
Atlas Financial Holdings, Inc.(1) | 3,410 | 64,142 | |||||
Aviva plc | 74,259 | 594,159 | |||||
AXA SA | 46,603 | 1,172,883 | |||||
Baldwin & Lyons, Inc., Class B | 68 | 1,529 | |||||
BB Seguridade Participacoes SA | 57,000 | 602,147 | |||||
Brown & Brown, Inc. | 13,053 | 422,787 | |||||
Chubb Corp. (The) | 3,502 | 341,445 | |||||
Direct Line Insurance Group plc | 119,292 | 614,803 | |||||
Discovery Holdings Ltd. | 86,715 | 869,810 | |||||
Endurance Specialty Holdings Ltd. | 2,683 | 163,073 | |||||
Federated National Holding Co. | 300 | 7,704 | |||||
Hannover Rueck SE | 2,760 | 268,119 | |||||
Hanover Insurance Group, Inc. (The) | 14,402 | 1,025,134 | |||||
HCC Insurance Holdings, Inc. | 9,601 | 548,985 | |||||
Infinity Property & Casualty Corp. | 881 | 63,740 | |||||
Insurance Australia Group Ltd. | 74,369 | 321,821 | |||||
James River Group Holdings Ltd. | 3,742 | 87,974 | |||||
Legal & General Group plc | 247,247 | 1,004,438 | |||||
Mapfre SA | 191,121 | 681,362 | |||||
MetLife, Inc. | 31,118 | 1,626,227 | |||||
Ping An Insurance Group Co., H Shares | 145,000 | 2,133,769 | |||||
Powszechny Zaklad Ubezpieczen SA | 4,835 | 578,740 | |||||
Principal Financial Group, Inc. | 8,200 | 423,858 | |||||
ProAssurance Corp. | 4,054 | 183,160 | |||||
Prudential Financial, Inc. | 15,370 | 1,300,456 | |||||
Prudential plc | 49,640 | 1,234,401 | |||||
Reinsurance Group of America, Inc. | 6,958 | 650,921 | |||||
Samsung Fire & Marine Insurance Co. Ltd. | 1,630 | 447,119 | |||||
St. James's Place plc | 100,959 | 1,406,497 | |||||
Swiss Reinsurance Co. | 7,312 | 656,629 | |||||
Torchmark Corp. | 4,921 | 280,842 | |||||
Travelers Cos., Inc. (The) | 11,224 | 1,134,971 | |||||
UnipolSai SpA | 166,409 | 452,166 | |||||
Unum Group | 15,812 | 552,788 | |||||
Validus Holdings Ltd. | 2,079 | 89,210 | |||||
Zurich Financial Services AG | 2,557 | 815,922 | |||||
33,162,834 | |||||||
Internet and Catalog Retail — 0.8% | |||||||
Amazon.com, Inc.(1) | 1,940 | 832,706 | |||||
Ctrip.com International Ltd. ADR(1) | 10,260 | 819,466 | |||||
Expedia, Inc. | 25,222 | 2,705,312 | |||||
Netflix, Inc.(1) | 319 | 199,075 | |||||
PetMed Express, Inc. | 850 | 14,187 |
22
Shares/ Principal Amount | Value | ||||||
Rakuten, Inc. | 35,296 | $ | 580,991 | ||||
Shutterfly, Inc.(1) | 60 | 2,790 | |||||
TripAdvisor, Inc.(1) | 8,393 | 640,050 | |||||
Vipshop Holdings Ltd. ADR(1) | 65,300 | 1,630,541 | |||||
windeln.de AG(1) | 8,741 | 136,324 | |||||
Zalando SE(1) | 42,011 | 1,356,536 | |||||
8,917,978 | |||||||
Internet Software and Services — 2.2% | |||||||
Auto Trader Group plc(1) | 44,196 | 192,008 | |||||
Baidu, Inc. ADR(1) | 5,450 | 1,075,830 | |||||
comScore, Inc.(1) | 3,007 | 170,136 | |||||
CoStar Group, Inc.(1) | 8,362 | 1,746,905 | |||||
Criteo SA ADR(1) | 21,623 | 1,038,553 | |||||
Demandware, Inc.(1) | 1,943 | 121,010 | |||||
Dena Co. Ltd. | 8,500 | 181,553 | |||||
eBay, Inc.(1) | 39,806 | 2,442,496 | |||||
Endurance International Group Holdings, Inc.(1) | 2,272 | 46,190 | |||||
Envestnet, Inc.(1) | 3,026 | 132,569 | |||||
Everyday Health, Inc.(1) | 4,984 | 61,802 | |||||
Facebook, Inc., Class A(1) | 52,482 | 4,156,050 | |||||
Google, Inc., Class A(1) | 6,398 | 3,488,957 | |||||
LinkedIn Corp., Class A(1) | 7,930 | 1,545,795 | |||||
LogMeIn, Inc.(1) | 463 | 29,387 | |||||
Pandora Media, Inc.(1) | 40,712 | 760,093 | |||||
PChome Online, Inc. | 46,000 | 671,423 | |||||
Q2 Holdings, Inc.(1) | 5,684 | 134,768 | |||||
Tencent Holdings Ltd. | 237,200 | 4,763,181 | |||||
Twitter, Inc.(1) | 18,815 | 689,946 | |||||
United Internet AG | 4,882 | 227,666 | |||||
VeriSign, Inc.(1) | 6,814 | 430,577 | |||||
Yelp, Inc.(1) | 9,500 | 455,145 | |||||
Zoopla Property Group plc | 49,676 | 204,997 | |||||
24,767,037 | |||||||
IT Services — 2.1% | |||||||
Accenture plc, Class A | 21,920 | 2,105,197 | |||||
Alliance Data Systems Corp.(1) | 9,619 | 2,866,750 | |||||
Amdocs Ltd. | 16,490 | 904,476 | |||||
Cielo SA | 54,640 | 691,424 | |||||
Cognizant Technology Solutions Corp., Class A(1) | 18,180 | 1,176,610 | |||||
Computer Sciences Corp. | 479 | 32,859 | |||||
EVERTEC, Inc. | 8,861 | 196,980 | |||||
Fidelity National Information Services, Inc. | 5,096 | 319,519 | |||||
Fiserv, Inc.(1) | 14,309 | 1,146,866 | |||||
HCL Technologies Ltd. | 49,380 | 781,490 | |||||
International Business Machines Corp. | 20,023 | 3,396,902 | |||||
QIWI plc ADR | 16,810 | 507,998 |
23
Shares/ Principal Amount | Value | ||||||
Sabre Corp. | 13,457 | $ | 351,093 | ||||
Tata Consultancy Services Ltd. | 20,470 | 836,637 | |||||
Teradata Corp.(1) | 17,798 | 693,054 | |||||
Total System Services, Inc. | 2,888 | 118,986 | |||||
Vantiv, Inc., Class A(1) | 17,889 | 715,560 | |||||
VeriFone Systems, Inc.(1) | 2,700 | 103,059 | |||||
Virtusa Corp.(1) | 2,838 | 129,129 | |||||
Visa, Inc., Class A | 81,235 | 5,579,220 | |||||
Western Union Co. (The) | 1,507 | 33,079 | |||||
WEX, Inc.(1) | 1,082 | 122,688 | |||||
Wirecard AG | 25,764 | 1,067,631 | |||||
23,877,207 | |||||||
Leisure Products — 0.2% | |||||||
Brunswick Corp. | 17,462 | 891,261 | |||||
Heiwa Corp. | 3,700 | 71,815 | |||||
Malibu Boats, Inc.(1) | 2,460 | 51,586 | |||||
Mattel, Inc. | 18,051 | 465,896 | |||||
Polaris Industries, Inc. | 6,609 | 945,417 | |||||
2,425,975 | |||||||
Life Sciences Tools and Services — 0.3% | |||||||
Bio-Rad Laboratories, Inc., Class A(1) | 2,622 | 378,538 | |||||
Charles River Laboratories International, Inc.(1) | 505 | 36,532 | |||||
Eurofins Scientific | 758 | 230,689 | |||||
Illumina, Inc.(1) | 5,448 | 1,122,724 | |||||
Lonza Group AG | 2,301 | 323,171 | |||||
Mettler-Toledo International, Inc.(1) | 1,888 | 612,996 | |||||
Morphosys AG(1) | 1,757 | 128,982 | |||||
PAREXEL International Corp.(1) | 921 | 61,219 | |||||
PRA Health Sciences, Inc.(1) | 1,178 | 39,416 | |||||
Waters Corp.(1) | 4,430 | 591,936 | |||||
3,526,203 | |||||||
Machinery — 2.5% | |||||||
Albany International Corp., Class A | 2,438 | 96,496 | |||||
Altra Industrial Motion Corp. | 1,784 | 49,060 | |||||
Caterpillar, Inc. | 49,439 | 4,218,135 | |||||
Cummins, Inc. | 12,734 | 1,726,094 | |||||
Duerr AG | 5,719 | 584,589 | |||||
Dynamic Materials Corp. | 2,917 | 32,379 | |||||
EnPro Industries, Inc. | 1,460 | 88,301 | |||||
Flowserve Corp. | 11,809 | 649,495 | |||||
Global Brass & Copper Holdings, Inc. | 5,594 | 96,385 | |||||
Graham Corp. | 1,213 | 26,965 | |||||
Hitachi Construction Machinery Co. Ltd. | 12,200 | 223,230 | |||||
Hoshizaki Electric Co. Ltd. | 3,600 | 222,471 | |||||
Ingersoll-Rand plc | 47,927 | 3,296,419 | |||||
John Bean Technologies Corp. | 2,782 | 104,520 |
24
Shares/ Principal Amount | Value | ||||||
KION Group AG | 5,262 | $ | 249,808 | ||||
Kubota Corp. | 87,000 | 1,453,797 | |||||
Middleby Corp.(1) | 19,747 | 2,146,499 | |||||
Minebea Co. Ltd. | 60,000 | 1,111,872 | |||||
NSK Ltd. | 7,700 | 127,242 | |||||
Oshkosh Corp. | 9,003 | 451,590 | |||||
PACCAR, Inc. | 6,197 | 393,881 | |||||
Parker-Hannifin Corp. | 22,837 | 2,750,260 | |||||
Pentair plc | 5,466 | 349,988 | |||||
Snap-On, Inc. | 5,120 | 795,648 | |||||
Stanley Black & Decker, Inc. | 26,343 | 2,698,577 | |||||
Sumitomo Heavy Industries Ltd. | 86,000 | 567,490 | |||||
Takeuchi Manufacturing Co. Ltd. | 3,900 | 209,902 | |||||
WABCO Holdings, Inc.(1) | 13,023 | 1,646,368 | |||||
Wabtec Corp. | 10,281 | 1,031,184 | |||||
Yangzijiang Shipbuilding Holdings Ltd. | 678,500 | 727,270 | |||||
28,125,915 | |||||||
Marine† | |||||||
Kawasaki Kisen Kaisha Ltd. | 210,000 | 532,973 | |||||
Media — 2.0% | |||||||
Cablevision Systems Corp., Class A | 7,564 | 185,394 | |||||
Charter Communications, Inc., Class A(1) | 6,958 | 1,245,621 | |||||
Cineplex, Inc. | 3,008 | 118,641 | |||||
Comcast Corp., Class A | 118,422 | 6,922,950 | |||||
Cumulus Media, Inc., Class A(1) | 22,091 | 52,135 | |||||
Cyfrowy Polsat SA(1) | 61,052 | 408,291 | |||||
DIRECTV(1) | 4,300 | 391,472 | |||||
E.W. Scripps Co. (The), Class A | 483 | 11,317 | |||||
Entercom Communications Corp., Class A(1) | 5,622 | 63,978 | |||||
Entravision Communications Corp., Class A | 28,613 | 193,138 | |||||
Eutelsat Communications SA | 16,373 | 557,636 | |||||
Journal Media Group, Inc. | 274 | 2,195 | |||||
Liberty Global plc, Class A(1) | 22,350 | 1,285,795 | |||||
Markit Ltd.(1) | 14,969 | 401,319 | |||||
Metropole Television SA | 3,431 | 65,398 | |||||
Naspers Ltd., N Shares | 7,123 | 1,046,947 | |||||
Nexstar Broadcasting Group, Inc., Class A | 1,643 | 93,470 | |||||
Omnicom Group, Inc. | 9,932 | 740,232 | |||||
ProSiebenSat.1 Media AG | 10,601 | 506,940 | |||||
Rightmove plc | 1,130 | 57,789 | |||||
Scripps Networks Interactive, Inc., Class A | 2,796 | 187,360 | |||||
Sirius XM Holdings, Inc.(1) | 182,727 | 705,326 | |||||
Societe Television Francaise 1 | 7,438 | 125,601 | |||||
Technicolor SA | 21,888 | 140,367 | |||||
Time Warner Cable, Inc. | 5,830 | 1,054,589 | |||||
Time Warner, Inc. | 21,430 | 1,810,406 |
25
Shares/ Principal Amount | Value | ||||||
Townsquare Media, Inc.(1) | 1,360 | $ | 17,775 | ||||
Viacom, Inc., Class B | 11,810 | 789,853 | |||||
Walt Disney Co. (The) | 27,905 | 3,079,875 | |||||
22,261,810 | |||||||
Metals and Mining — 0.6% | |||||||
Alcoa, Inc. | 66,429 | 830,363 | |||||
Alumina Ltd. | 88,400 | 119,628 | |||||
APERAM SA(1) | 992 | 41,053 | |||||
BHP Billiton plc | 17,846 | 376,270 | |||||
Boliden AB | 16,512 | 354,001 | |||||
Compass Minerals International, Inc. | 1,189 | 102,444 | |||||
Evraz plc | 72,565 | 186,991 | |||||
Fortescue Metals Group Ltd. | 28,574 | 52,868 | |||||
Grupo Mexico SAB de CV | 185,220 | 574,343 | |||||
Haynes International, Inc. | 1,219 | 57,476 | |||||
Horsehead Holding Corp.(1) | 14,678 | 182,301 | |||||
Kobe Steel Ltd. | 360,000 | 675,825 | |||||
Materion Corp. | 3,368 | 125,256 | |||||
MMC Norilsk Nickel OJSC ADR | 20,280 | 357,232 | |||||
Newmont Mining Corp. | 5,799 | 157,965 | |||||
Nucor Corp. | 11,681 | 552,511 | |||||
Rio Tinto plc | 46,889 | 2,046,757 | |||||
United States Steel Corp. | 12,600 | 307,440 | |||||
7,100,724 | |||||||
Multi-Utilities — 0.3% | |||||||
A2A SpA | 192,193 | 239,371 | |||||
Consolidated Edison, Inc. | 6,172 | 381,676 | |||||
E.ON AG | 45,070 | 661,820 | |||||
GDF Suez | 37,811 | 763,074 | |||||
NorthWestern Corp. | 6,339 | 329,755 | |||||
PG&E Corp. | 7,705 | 411,986 | |||||
RWE AG | 17,226 | 402,225 | |||||
3,189,907 | |||||||
Multiline Retail — 1.2% | |||||||
Big Lots, Inc. | 10,388 | 456,033 | |||||
Burlington Stores, Inc.(1) | 11,309 | 596,776 | |||||
Dillard's, Inc., Class A | 10,351 | 1,200,819 | |||||
Dollar Tree, Inc.(1) | 16,320 | 1,223,837 | |||||
Dollarama, Inc. | 1,177 | 65,191 | |||||
Don Quijote Holdings Co. Ltd. | 3,000 | 232,043 | |||||
Kohl's Corp. | 24,081 | 1,577,065 | |||||
Lojas Americanas SA Preference Shares | 57,700 | 293,000 | |||||
Macy's, Inc. | 62,167 | 4,162,081 | |||||
Marks & Spencer Group plc | 67,019 | 597,178 | |||||
PT Matahari Department Store Tbk | 471,600 | 622,309 | |||||
Ryohin Keikaku Co. Ltd. | 3,200 | 543,238 |
26
Shares/ Principal Amount | Value | ||||||
Target Corp. | 28,426 | $ | 2,254,750 | ||||
13,824,320 | |||||||
Oil, Gas and Consumable Fuels — 3.4% | |||||||
Aegean Marine Petroleum Network, Inc. | 3,730 | 53,041 | |||||
Antero Resources Corp.(1) | 18,729 | 749,347 | |||||
Apache Corp. | 4,430 | 265,091 | |||||
Ardmore Shipping Corp. | 6,036 | 70,138 | |||||
BP plc | 205,893 | 1,418,451 | |||||
Cabot Oil & Gas Corp. | 14,951 | 507,736 | |||||
Carrizo Oil & Gas, Inc.(1) | 2,777 | 139,294 | |||||
Chevron Corp. | 22,167 | 2,283,201 | |||||
CNOOC Ltd. | 523,000 | 817,520 | |||||
Concho Resources, Inc.(1) | 21,518 | 2,588,615 | |||||
CVR Energy, Inc. | 3,221 | 124,846 | |||||
Delek US Holdings, Inc. | 161 | 6,095 | |||||
Devon Energy Corp. | 14,312 | 933,429 | |||||
Diamondback Energy, Inc.(1) | 1,313 | 102,165 | |||||
Dragon Oil plc | 70,070 | 731,459 | |||||
ENI SpA | 53,213 | 957,895 | |||||
Enviva Partners, LP(1) | 4,916 | 100,090 | |||||
EOG Resources, Inc. | 6,079 | 539,147 | |||||
Euronav SA(1) | 4,858 | 66,360 | |||||
Exxon Mobil Corp. | 59,069 | 5,032,679 | |||||
Gulfport Energy Corp.(1) | 11,432 | 493,405 | |||||
Imperial Oil Ltd. | 74,951 | 2,939,940 | |||||
Lundin Petroleum AB(1) | 13,492 | 212,353 | |||||
Marathon Petroleum Corp. | 3,544 | 366,662 | |||||
Murphy Oil Corp. | 26,887 | 1,168,509 | |||||
Noble Energy, Inc. | 11,277 | 493,707 | |||||
Northern Tier Energy LP | 1,673 | 40,871 | |||||
NovaTek OAO GDR | 7,112 | 717,601 | |||||
Oasis Petroleum, Inc.(1) | 49,825 | 846,029 | |||||
Occidental Petroleum Corp. | 29,364 | 2,295,971 | |||||
PrairieSky Royalty Ltd. | 4,432 | 119,032 | |||||
Royal Dutch Shell plc, B Shares | 50,265 | 1,516,142 | |||||
Scorpio Tankers, Inc. | 9,067 | 82,691 | |||||
Statoil ASA | 62,230 | 1,167,526 | |||||
Total SA | 38,509 | 1,944,487 | |||||
Total SA ADR | 50,660 | 2,557,823 | |||||
Tullow Oil plc | 94,325 | 569,601 | |||||
Ultrapar Participacoes SA | 38,200 | 831,185 | |||||
Valero Energy Corp. | 34,987 | 2,072,630 | |||||
Western Refining, Inc. | 12,193 | 536,248 | |||||
Woodside Petroleum Ltd. | 15,697 | 439,602 | |||||
38,898,614 |
27
Shares/ Principal Amount | Value | ||||||
Paper and Forest Products — 0.1% | |||||||
KapStone Paper and Packaging Corp. | 3,841 | $ | 103,515 | ||||
UPM-Kymmene Oyj | 22,954 | 411,686 | |||||
West Fraser Timber Co. Ltd. | 2,720 | 149,998 | |||||
665,199 | |||||||
Personal Products — 0.2% | |||||||
Amorepacific Corp. | 1,200 | 437,446 | |||||
Estee Lauder Cos., Inc. (The), Class A | 10,505 | 918,452 | |||||
Hypermarcas SA(1) | 84,900 | 580,868 | |||||
Kose Corp. | 3,000 | 196,270 | |||||
2,133,036 | |||||||
Pharmaceuticals — 3.9% | |||||||
AbbVie, Inc. | 43,495 | 2,896,332 | |||||
Actavis plc(1) | 2,840 | 871,340 | |||||
ALK-Abello A/S | 202 | 24,266 | |||||
Aspen Pharmacare Holdings Ltd. | 24,369 | 733,011 | |||||
AstraZeneca plc | 24,312 | 1,624,754 | |||||
Bayer AG | 11,010 | 1,561,718 | |||||
Concordia Healthcare Corp. | 4,866 | 324,452 | |||||
Depomed, Inc.(1) | 3,536 | 73,761 | |||||
Endo International plc(1) | 15,599 | 1,306,572 | |||||
Horizon Pharma plc(1) | 3,945 | 127,936 | |||||
Hospira, Inc.(1) | 3,303 | 292,051 | |||||
Jazz Pharmaceuticals plc(1) | 4,014 | 719,911 | |||||
Johnson & Johnson | 88,849 | 8,897,339 | |||||
Medicines Co. (The)(1) | 1,533 | 43,476 | |||||
Merck & Co., Inc. | 91,899 | 5,595,730 | |||||
Nektar Therapeutics(1) | 3,186 | 36,639 | |||||
Novartis AG | 30,720 | 3,154,206 | |||||
Novo Nordisk A/S, B Shares | 10,840 | 605,294 | |||||
Ono Pharmaceutical Co. Ltd. | 8,700 | 953,310 | |||||
Pacira Pharmaceuticals, Inc.(1) | 6,937 | 542,543 | |||||
Pfizer, Inc. | 111,402 | 3,871,220 | |||||
Roche Holding AG | 12,925 | 3,798,356 | |||||
Sanofi | 5,959 | 583,466 | |||||
Shire plc | 19,150 | 1,649,300 | |||||
Takeda Pharmaceutical Co., Ltd. | 10,500 | 510,978 | |||||
Tetraphase Pharmaceuticals, Inc.(1) | 495 | 21,226 | |||||
Teva Pharmaceutical Industries Ltd. ADR | 9,026 | 542,463 | |||||
UCB SA | 8,400 | 600,594 | |||||
Zoetis, Inc. | 44,679 | 2,223,674 | |||||
44,185,918 | |||||||
Professional Services — 0.4% | |||||||
Adecco SA | 20,991 | 1,668,381 | |||||
CDI Corp. | 4,063 | 50,259 | |||||
Hays plc | 55,611 | 137,268 |
28
Shares/ Principal Amount | Value | ||||||
Huron Consulting Group, Inc.(1) | 1,917 | $ | 123,263 | ||||
Kforce, Inc. | 3,872 | 85,223 | |||||
Korn / Ferry International | 2,806 | 90,045 | |||||
Nielsen NV | 32,373 | 1,456,461 | |||||
On Assignment, Inc.(1) | 2,639 | 98,936 | |||||
RPX Corp.(1) | 2,437 | 38,773 | |||||
Teleperformance | 5,111 | 376,435 | |||||
Temp Holdings Co. Ltd. | 5,900 | 208,448 | |||||
USG People NV | 25,761 | 355,788 | |||||
4,689,280 | |||||||
Real Estate Investment Trusts (REITs) — 2.8% | |||||||
Activia Properties, Inc. | 26 | 222,681 | |||||
Alexandria Real Estate Equities, Inc. | 8,280 | 767,804 | |||||
Allied Properties Real Estate Investment Trust | 15,785 | 460,502 | |||||
Alstria Office REIT AG | 28,362 | 367,726 | |||||
Apollo Commercial Real Estate Finance, Inc. | 2,794 | 47,973 | |||||
Armada Hoffler Properties, Inc. | 4,825 | 51,097 | |||||
Ascendas Real Estate Investment Trust | 71,100 | 126,578 | |||||
Associated Estates Realty Corp. | 977 | 27,932 | |||||
AvalonBay Communities, Inc. | 6,472 | 1,077,588 | |||||
Big Yellow Group plc | 35,582 | 354,853 | |||||
Blackstone Mortgage Trust, Inc., Class A | 876 | 26,473 | |||||
Boston Properties, Inc. | 9,624 | 1,251,409 | |||||
British Land Co. plc | 50,906 | 670,677 | |||||
Brixmor Property Group, Inc. | 33,590 | 832,360 | |||||
Calloway Real Estate Investment Trust | 14,617 | 339,802 | |||||
Campus Crest Communities, Inc. | 8,590 | 48,619 | |||||
Capstead Mortgage Corp. | 1,823 | 21,566 | |||||
CBL & Associates Properties, Inc. | 1,291 | 22,786 | |||||
Champion REIT | 556,000 | 317,667 | |||||
Charter Hall Group | 36,956 | 135,340 | |||||
Chatham Lodging Trust | 1,947 | 54,399 | |||||
Corrections Corp. of America | 19,355 | 680,522 | |||||
Derwent London plc | 8,841 | 481,183 | |||||
DiamondRock Hospitality Co. | 1,595 | 21,006 | |||||
Duke Realty Corp. | 33,615 | 657,509 | |||||
DuPont Fabros Technology, Inc. | 1,626 | 52,422 | |||||
Easterly Government Properties, Inc. | 2,219 | 34,461 | |||||
Empire State Realty Trust, Inc. | 15,331 | 277,185 | |||||
EPR Properties | 469 | 27,047 | |||||
Equity Residential | 15,235 | 1,132,265 | |||||
Essex Property Trust, Inc. | 3,918 | 872,225 | |||||
Excel Trust, Inc. | 3,300 | 52,437 | |||||
Extra Space Storage, Inc. | 11,278 | 789,798 | |||||
Federation Centres | 75,354 | 175,140 | |||||
First Industrial Realty Trust, Inc. | 986 | 19,237 |
29
Shares/ Principal Amount | Value | ||||||
General Growth Properties, Inc. | 28,853 | $ | 817,406 | ||||
Goodman Group | 91,710 | 459,266 | |||||
Great Portland Estates plc | 39,786 | 503,802 | |||||
Hatteras Financial Corp. | 2,340 | 42,026 | |||||
Healthcare Realty Trust, Inc. | 962 | 22,915 | |||||
Hersha Hospitality Trust | 2,589 | 16,466 | |||||
Hospitality Properties Trust | 24,097 | 727,488 | |||||
Host Hotels & Resorts, Inc. | 15,706 | 312,864 | |||||
Hudson Pacific Properties, Inc. | 19,741 | 601,903 | |||||
Hulic Reit, Inc. | 221 | 321,043 | |||||
Japan Hotel REIT Investment Corp. | 138 | 94,509 | |||||
Japan Rental Housing Investments, Inc. | 243 | 161,328 | |||||
Kenedix Retail REIT Corp.(1) | 73 | 175,273 | |||||
Kilroy Realty Corp. | 8,911 | 615,483 | |||||
Kite Realty Group Trust | 25,516 | 690,208 | |||||
Klepierre | 10,934 | 485,757 | |||||
Lamar Advertising Co., Class A | 22,550 | 1,366,981 | |||||
Land Securities Group plc | 23,300 | 467,582 | |||||
LaSalle Hotel Properties | 8,877 | 323,655 | |||||
Lexington Realty Trust | 5,630 | 51,683 | |||||
Link Real Estate Investment Trust (The) | 136,500 | 792,208 | |||||
Mack-Cali Realty Corp. | 1,473 | 24,894 | |||||
Mapletree Greater China Commercial Trust | 221,100 | 175,489 | |||||
Medical Properties Trust, Inc. | 3,331 | 45,168 | |||||
Merlin Properties Socimi SA(1) | 17,501 | 227,773 | |||||
MFA Financial, Inc. | 3,509 | 27,861 | |||||
Mirvac Group | 146,577 | 225,252 | |||||
New Residential Investment Corp. | 1,545 | 26,358 | |||||
NorthStar Realty Finance Corp. | 27,905 | 506,197 | |||||
Orix JREIT, Inc. | 163 | 232,191 | |||||
Outfront Media, Inc. | 1,852 | 51,319 | |||||
Pennsylvania Real Estate Investment Trust | 1,057 | 23,592 | |||||
PennyMac Mortgage Investment Trust | 2,303 | 42,306 | |||||
Piedmont Office Realty Trust, Inc., Class A | 35,219 | 605,415 | |||||
ProLogis, Inc. | 24,575 | 972,924 | |||||
Regency Centers Corp. | 9,962 | 629,001 | |||||
Rexford Industrial Realty, Inc. | 1,493 | 21,783 | |||||
RLJ Lodging Trust | 11,580 | 350,063 | |||||
Rouse Properties, Inc. | 3,289 | 56,801 | |||||
Ryman Hospitality Properties, Inc. | 7,721 | 425,504 | |||||
Sabra Health Care REIT, Inc. | 965 | 25,573 | |||||
Safestore Holdings plc | 49,545 | 206,539 | |||||
Scentre Group | 204,046 | 616,213 | |||||
Segro plc | 8,742 | 56,946 | |||||
Shaftesbury plc | 4,052 | 54,251 | |||||
Simon Property Group, Inc. | 13,379 | 2,426,951 |
30
Shares/ Principal Amount | Value | ||||||
Summit Hotel Properties, Inc. | 4,129 | $ | 55,163 | ||||
Sun Communities, Inc. | 1,520 | 95,927 | |||||
Sunstone Hotel Investors, Inc. | 1,627 | 24,828 | |||||
Two Harbors Investment Corp. | 5,854 | 62,579 | |||||
Unibail-Rodamco SE | 2,854 | 733,014 | |||||
Urstadt Biddle Properties, Inc., Class A | 2,627 | 52,855 | |||||
Washington Real Estate Investment Trust | 1,633 | 40,907 | |||||
Westfield Corp. | 17,471 | 129,300 | |||||
Weyerhaeuser Co. | 25,393 | 826,796 | |||||
31,625,848 | |||||||
Real Estate Management and Development — 1.6% | |||||||
Ayala Land, Inc. | 381,200 | 342,426 | |||||
Beijing Capital Land Ltd., H Shares | 70,000 | 53,085 | |||||
CapitaLand Ltd. | 144,800 | 374,862 | |||||
CBRE Group, Inc.(1) | 11,597 | 443,469 | |||||
China Overseas Land & Investment Ltd. | 374,000 | 1,355,413 | |||||
China Resources Land Ltd. | 118,000 | 381,988 | |||||
Corp. Inmobiliaria Vesta SAB de CV | 323,901 | 581,170 | |||||
Daito Trust Construction Co. Ltd. | 7,500 | 836,623 | |||||
Daiwa House Industry Co. Ltd. | 14,700 | 353,776 | |||||
Dalian Wanda Commercial Properties Co. Ltd., H Shares | 40,000 | 328,104 | |||||
Deutsche Annington Immobilien SE | 2,431 | 76,868 | |||||
Emaar Properties PJSC | 113,806 | 240,361 | |||||
Fabege AB | 37,511 | 523,522 | |||||
Forest City Enterprises, Inc., Class A(1) | 29,862 | 688,618 | |||||
Global Logistic Properties Ltd. | 80,200 | 164,196 | |||||
Grand City Properties SA(1) | 12,454 | 217,621 | |||||
Greenland Hong Kong Holdings Ltd. | 139,000 | 143,416 | |||||
Hang Lung Properties Ltd. | 86,000 | 271,743 | |||||
Henderson Land Development Co. Ltd. | 31,000 | 250,082 | |||||
Highwealth Construction Corp. | 160,000 | 401,395 | |||||
Hispania Activos Inmobiliarios SAU(1) | 5,992 | 90,226 | |||||
Hongkong Land Holdings Ltd. | 66,200 | 569,982 | |||||
Hulic Co. Ltd. | 44,600 | 461,757 | |||||
Jones Lang LaSalle, Inc. | 19,499 | 3,377,812 | |||||
Kerry Properties Ltd. | 57,500 | 239,903 | |||||
KWG Property Holding Ltd. | 1,191,500 | 1,137,155 | |||||
Lend Lease Group | 59,569 | 758,754 | |||||
Longfor Properties Co. Ltd. | 193,500 | 318,938 | |||||
Marcus & Millichap, Inc.(1) | 2,033 | 95,368 | |||||
Mitsubishi Estate Co. Ltd. | 13,000 | 291,077 | |||||
Mitsui Fudosan Co. Ltd. | 33,000 | 964,223 | |||||
New World Development Co. Ltd. | 163,000 | 217,371 | |||||
Nexity SA | 5,109 | 205,791 | |||||
PT Bumi Serpong Damai Tbk | 904,700 | 130,328 | |||||
PT Summarecon Agung Tbk | 342,600 | 51,167 |
31
Shares/ Principal Amount | Value | ||||||
SM Prime Holdings, Inc. | 381,600 | $ | 164,674 | ||||
Sumitomo Realty & Development Co. Ltd. | 5,000 | 192,966 | |||||
Sun Hung Kai Properties Ltd. | 47,000 | 796,502 | |||||
Unite Group plc (The) | 61,446 | 584,615 | |||||
18,677,347 | |||||||
Road and Rail — 0.7% | |||||||
Canadian Pacific Railway Ltd., New York Shares | 10,956 | 1,804,563 | |||||
CAR, Inc.(1) | 94,000 | 225,736 | |||||
Celadon Group, Inc. | 1,240 | 28,917 | |||||
Central Japan Railway Co. | 5,500 | 958,285 | |||||
CJ Korea Express Co. Ltd.(1) | 4,550 | 771,848 | |||||
DSV A/S | 7,025 | 244,276 | |||||
Go-Ahead Group plc | 3,486 | 141,458 | |||||
Heartland Express, Inc. | 25,232 | 536,180 | |||||
J.B. Hunt Transport Services, Inc. | 9,594 | 806,088 | |||||
Marten Transport Ltd. | 1,836 | 41,640 | |||||
Saia, Inc.(1) | 2,456 | 100,549 | |||||
Swift Transportation Co.(1) | 2,861 | 66,575 | |||||
Union Pacific Corp. | 24,061 | 2,427,995 | |||||
Werner Enterprises, Inc. | 9,619 | 264,715 | |||||
8,418,825 | |||||||
Semiconductors and Semiconductor Equipment — 2.7% | |||||||
Altera Corp. | 35,760 | 1,746,876 | |||||
ams AG | 4,094 | 243,501 | |||||
Applied Materials, Inc. | 133,236 | 2,682,041 | |||||
ARM Holdings plc | 65,830 | 1,162,098 | |||||
ASML Holding NV | 6,825 | 762,708 | |||||
Avago Technologies Ltd. | 12,490 | 1,849,394 | |||||
Broadcom Corp., Class A | 47,455 | 2,697,817 | |||||
Cavium, Inc.(1) | 1,481 | 104,218 | |||||
Cypress Semiconductor Corp. | 11,837 | 162,522 | |||||
Dialog Semiconductor plc(1) | 5,895 | 328,321 | |||||
Exar Corp.(1) | 9,851 | 106,982 | |||||
Fairchild Semiconductor International, Inc.(1) | 4,926 | 98,126 | |||||
Freescale Semiconductor Ltd.(1) | 12,218 | 551,276 | |||||
Inotera Memories, Inc.(1) | 45,000 | 53,074 | |||||
Intel Corp. | 90,678 | 3,124,764 | |||||
Kulicke & Soffa Industries, Inc.(1) | 8,273 | 109,700 | |||||
Lam Research Corp. | 9,109 | 749,215 | |||||
M/A-COM Technology Solutions Holdings, Inc.(1) | 1,913 | 73,000 | |||||
Maxim Integrated Products, Inc. | 10,732 | 376,371 | |||||
Mellanox Technologies Ltd.(1) | 2,523 | 126,957 | |||||
Microchip Technology, Inc. | 43,790 | 2,151,403 | |||||
Micron Technology, Inc.(1) | 44,044 | 1,230,149 | |||||
Nanometrics, Inc.(1) | 2,786 | 43,295 |
32
Shares/ Principal Amount | Value | ||||||
NXP Semiconductors NV(1) | 21,410 | $ | 2,403,273 | ||||
Photronics, Inc.(1) | 8,309 | 83,838 | |||||
Qorvo, Inc.(1) | 2,022 | 166,107 | |||||
Semtech Corp.(1) | 3,480 | 74,333 | |||||
SK Hynix, Inc. | 1,665 | 76,771 | |||||
Skyworks Solutions, Inc. | 5,873 | 642,271 | |||||
STMicroelectronics NV | 17,221 | 147,036 | |||||
Synaptics, Inc.(1) | 1,931 | 192,405 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 680,425 | 3,236,635 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 20,254 | 491,767 | |||||
Teradyne, Inc. | 23,406 | 495,037 | |||||
Texas Instruments, Inc. | 38,733 | 2,165,949 | |||||
Xilinx, Inc. | 11,479 | 544,334 | |||||
31,253,564 | |||||||
Software — 2.8% | |||||||
Activision Blizzard, Inc. | 13,729 | 346,795 | |||||
Adobe Systems, Inc.(1) | 14,413 | 1,139,924 | |||||
AVG Technologies NV(1) | 1,382 | 33,887 | |||||
Barracuda Networks, Inc.(1) | 2,982 | 117,312 | |||||
BroadSoft, Inc.(1) | 2,640 | 96,386 | |||||
Cadence Design Systems, Inc.(1) | 14,423 | 285,431 | |||||
Electronic Arts, Inc.(1) | 103,142 | 6,472,676 | |||||
ePlus, Inc.(1) | 760 | 59,014 | |||||
Intuit, Inc. | 44,621 | 4,647,277 | |||||
Manhattan Associates, Inc.(1) | 2,248 | 123,303 | |||||
Mentor Graphics Corp. | 7,658 | 199,950 | |||||
Microsoft Corp. | 104,828 | 4,912,240 | |||||
Mobileye NV(1) | 8,400 | 395,472 | |||||
Monotype Imaging Holdings, Inc. | 2,715 | 70,427 | |||||
NetSuite, Inc.(1) | 12,888 | 1,203,997 | |||||
Nintendo Co. Ltd. | 2,700 | 459,445 | |||||
Oracle Corp. | 186,124 | 8,094,533 | |||||
Proofpoint, Inc.(1) | 1,827 | 108,031 | |||||
QLIK Technologies, Inc.(1) | 3,736 | 135,131 | |||||
Splunk, Inc.(1) | 18,976 | 1,283,157 | |||||
Synopsys, Inc.(1) | 23,414 | 1,168,124 | |||||
Tableau Software, Inc., Class A(1) | 757 | 85,700 | |||||
Tyler Technologies, Inc.(1) | 4,992 | 606,428 | |||||
Ultimate Software Group, Inc.(1) | 475 | 76,850 | |||||
Verint Systems, Inc.(1) | 2,142 | 138,523 | |||||
VMware, Inc., Class A(1) | 980 | 85,574 | |||||
32,345,587 | |||||||
Specialty Retail — 2.3% | |||||||
Advance Auto Parts, Inc. | 6,504 | 996,543 | |||||
AutoZone, Inc.(1) | 1,107 | 745,697 | |||||
Bed Bath & Beyond, Inc.(1) | 39,302 | 2,803,019 |
33
Shares/ Principal Amount | Value | ||||||
Build-A-Bear Workshop, Inc.(1) | 2,531 | $ | 40,724 | ||||
CST Brands, Inc. | 9,197 | 365,765 | |||||
Destination Maternity Corp. | 2,775 | 30,497 | |||||
Foot Locker, Inc. | 27,148 | 1,715,754 | |||||
Gap, Inc. (The) | 51,560 | 1,976,295 | |||||
Home Depot, Inc. (The) | 1,603 | 178,606 | |||||
Howden Joinery Group plc | 61,432 | 479,791 | |||||
Inditex SA | 37,305 | 1,235,718 | |||||
Kirkland's, Inc.(1) | 4,507 | 118,399 | |||||
Laox Co. Ltd.(1) | 32,000 | 100,036 | |||||
Lowe's Cos., Inc. | 39,729 | 2,780,235 | |||||
MarineMax, Inc.(1) | 1,763 | 42,171 | |||||
Men's Wearhouse, Inc. (The) | 3,057 | 177,337 | |||||
Mr Price Group Ltd. | 34,490 | 685,895 | |||||
Murphy USA, Inc.(1) | 2,313 | 134,686 | |||||
Nitori Holdings Co. Ltd. | 9,600 | 740,217 | |||||
O'Reilly Automotive, Inc.(1) | 10,019 | 2,199,471 | |||||
Office Depot, Inc.(1) | 2,151 | 19,940 | |||||
Penske Automotive Group, Inc. | 1,915 | 98,833 | |||||
Rent-A-Center, Inc. | 2,691 | 81,403 | |||||
Restoration Hardware Holdings, Inc.(1) | 7,423 | 675,196 | |||||
Ross Stores, Inc. | 12,781 | 1,235,539 | |||||
Sally Beauty Holdings, Inc.(1) | 24,684 | 770,388 | |||||
Signet Jewelers Ltd. | 11,071 | 1,431,812 | |||||
Tile Shop Holdings, Inc.(1) | 7,161 | 89,298 | |||||
TJX Cos., Inc. (The) | 29,457 | 1,896,442 | |||||
Tractor Supply Co. | 12,454 | 1,085,241 | |||||
Ulta Salon Cosmetics & Fragrance, Inc.(1) | 5,086 | 776,225 | |||||
25,707,173 | |||||||
Technology Hardware, Storage and Peripherals — 2.6% | |||||||
Apple, Inc. | 125,274 | 16,320,697 | |||||
Canon, Inc. | 33,900 | 1,172,290 | |||||
EMC Corp. | 50,038 | 1,318,001 | |||||
FUJIFILM Holdings Corp. | 14,000 | 536,245 | |||||
Hewlett-Packard Co. | 51,189 | 1,709,713 | |||||
Nimble Storage, Inc.(1) | 3,509 | 90,813 | |||||
Pegatron Corp. | 47,000 | 140,266 | |||||
Samsung Electronics Co. Ltd. | 2,430 | 2,865,788 | |||||
SanDisk Corp. | 11,904 | 813,996 | |||||
Seagate Technology plc | 8,597 | 478,337 | |||||
Silicon Graphics International Corp.(1) | 12,037 | 77,278 | |||||
Super Micro Computer, Inc.(1) | 5,820 | 194,737 | |||||
Western Digital Corp. | 35,368 | 3,443,428 | |||||
29,161,589 | |||||||
Textiles, Apparel and Luxury Goods — 1.0% | |||||||
Burberry Group plc | 32,779 | 849,185 |
34
Shares/ Principal Amount | Value | ||||||
Culp, Inc. | 3,164 | $ | 83,371 | ||||
Eclat Textile Co. Ltd. | 69,000 | 1,016,128 | |||||
Hanesbrands, Inc. | 44,063 | 1,403,847 | |||||
Kate Spade & Co.(1) | 3,032 | 75,133 | |||||
Lululemon Athletica, Inc.(1) | 8,926 | 533,686 | |||||
Luxottica Group SpA | 16,047 | 1,080,377 | |||||
LVMH Moet Hennessy Louis Vuitton SE | 4,510 | 803,183 | |||||
Michael Kors Holdings Ltd.(1) | 2,426 | 112,809 | |||||
Moncler SpA | 4,818 | 91,651 | |||||
Movado Group, Inc. | 1,465 | 38,324 | |||||
Pandora A/S | 22,289 | 2,241,123 | |||||
Ralph Lauren Corp. | 3,153 | 411,151 | |||||
Shenzhou International Group Holdings Ltd. | 207,000 | 1,022,499 | |||||
Skechers U.S.A., Inc., Class A(1) | 2,068 | 218,939 | |||||
Taiwan Paiho Ltd. | 167,000 | 495,129 | |||||
Under Armour, Inc., Class A(1) | 13,933 | 1,092,487 | |||||
Wolverine World Wide, Inc. | 5,292 | 155,479 | |||||
11,724,501 | |||||||
Thrifts and Mortgage Finance — 0.1% | |||||||
Capitol Federal Financial, Inc. | 8,480 | 102,608 | |||||
Essent Group Ltd.(1) | 7,083 | 180,687 | |||||
EverBank Financial Corp. | 16,614 | 306,362 | |||||
Nationstar Mortgage Holdings, Inc.(1) | 20,563 | 405,502 | |||||
People's United Financial, Inc. | 9,319 | 145,004 | |||||
Radian Group, Inc. | 1,245 | 22,311 | |||||
1,162,474 | |||||||
Tobacco — 0.4% | |||||||
Altria Group, Inc. | 11,440 | 585,728 | |||||
Imperial Tobacco Group plc | 14,605 | 752,261 | |||||
Japan Tobacco, Inc. | 17,100 | 625,501 | |||||
Philip Morris International, Inc. | 36,673 | 3,046,426 | |||||
5,009,916 | |||||||
Trading Companies and Distributors — 0.4% | |||||||
Ashtead Group plc | 99,699 | 1,706,655 | |||||
Beacon Roofing Supply, Inc.(1) | 5,163 | 161,912 | |||||
Bunzl plc | 25,820 | 748,224 | |||||
COSON Co. Ltd.(1) | 13,480 | 486,533 | |||||
Kaman Corp. | 605 | 25,628 | |||||
Kanamoto Co. Ltd. | 6,100 | 172,755 | |||||
United Rentals, Inc.(1) | 8,810 | 783,297 | |||||
Wolseley plc | 11,210 | 692,359 | |||||
4,777,363 | |||||||
Transportation Infrastructure — 0.1% | |||||||
Groupe Eurotunnel SE | 12,059 | 181,647 | |||||
Sydney Airport | 31,984 | 139,140 | |||||
TAV Havalimanlari Holding AS | 83,810 | 695,675 | |||||
1,016,462 |
35
Shares/ Principal Amount | Value | ||||||
Water Utilities — 0.1% | |||||||
Artesian Resources Corp., Class A | 586 | $ | 12,493 | ||||
Beijing Enterprises Water Group Ltd. | 1,324,000 | 1,118,467 | |||||
1,130,960 | |||||||
Wireless Telecommunication Services — 0.9% | |||||||
Bharti Infratel Ltd. | 167,291 | 1,254,298 | |||||
China Mobile Ltd. | 123,000 | 1,619,663 | |||||
Freenet AG | 4,452 | 146,420 | |||||
KDDI Corp. | 9,000 | 203,835 | |||||
NTT DoCoMo, Inc. | 6,500 | 117,101 | |||||
PT Tower Bersama Infrastructure Tbk | 1,004,000 | 715,570 | |||||
RingCentral, Inc., Class A(1) | 5,234 | 89,449 | |||||
Rogers Communications, Inc., Class B | 8,838 | 304,099 | |||||
SBA Communications Corp., Class A(1) | 41,480 | 4,637,879 | |||||
Shenandoah Telecommunications Co. | 256 | 8,046 | |||||
SK Telecom Co. Ltd. | 230 | 51,157 | |||||
Vodafone Group plc | 133,294 | 520,216 | |||||
9,667,733 | |||||||
TOTAL COMMON STOCKS (Cost $732,025,427) | 908,258,628 | ||||||
CORPORATE BONDS — 8.0% | |||||||
Aerospace and Defense — 0.1% | |||||||
Bombardier, Inc., 7.50%, 3/15/18(2) | $ | 80,000 | 84,700 | ||||
Bombardier, Inc., 5.50%, 9/15/18(2) | 110,000 | 109,450 | |||||
Bombardier, Inc., 5.75%, 3/15/22(2) | 125,000 | 114,687 | |||||
Bombardier, Inc., 6.00%, 10/15/22(2) | 30,000 | 27,338 | |||||
Bombardier, Inc., 7.50%, 3/15/25(2) | 80,000 | 76,800 | |||||
KLX, Inc., 5.875%, 12/1/22(2) | 70,000 | 71,138 | |||||
Lockheed Martin Corp., 4.25%, 11/15/19 | 90,000 | 98,899 | |||||
TransDigm, Inc., 5.50%, 10/15/20 | 90,000 | 90,450 | |||||
TransDigm, Inc., 6.00%, 7/15/22 | 130,000 | 131,950 | |||||
United Technologies Corp., 6.05%, 6/1/36 | 116,000 | 145,114 | |||||
950,526 | |||||||
Airlines† | |||||||
American Airlines Group, Inc., 4.625%, 3/1/20(2) | 150,000 | 146,250 | |||||
Auto Components — 0.1% | |||||||
Dana Holding Corp., 6.75%, 2/15/21 | 65,000 | 69,063 | |||||
Goodyear Tire & Rubber Co. (The), 7.00%, 5/15/22 | 135,000 | 148,331 | |||||
Schaeffler Finance BV, 4.25%, 5/15/21(2) | 135,000 | 136,012 | |||||
UCI International, Inc., 8.625%, 2/15/19 | 75,000 | 67,875 | |||||
ZF North America Capital, Inc., 4.75%, 4/29/25(2) | 110,000 | 110,550 | |||||
531,831 | |||||||
Automobiles — 0.1% | |||||||
Ally Financial, Inc., 4.625%, 3/30/25 | 155,000 | 152,287 | |||||
American Honda Finance Corp., 1.50%, 9/11/17(2) | 30,000 | 30,270 | |||||
American Honda Finance Corp., 2.125%, 10/10/18 | 50,000 | 51,018 |
36
Shares/ Principal Amount | Value | ||||||
Daimler Finance North America LLC, 2.625%, 9/15/16(2) | $ | 50,000 | $ | 50,990 | |||
Fiat Chrysler Automobiles NV, 4.50%, 4/15/20(2) | 260,000 | 265,200 | |||||
Ford Motor Co., 4.75%, 1/15/43 | 30,000 | 30,492 | |||||
Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 80,000 | 86,745 | |||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | 130,000 | 150,759 | |||||
General Motors Co., 3.50%, 10/2/18 | 125,000 | 128,788 | |||||
General Motors Co., 4.875%, 10/2/23 | 130,000 | 138,938 | |||||
General Motors Financial Co., Inc., 3.25%, 5/15/18 | 125,000 | 128,061 | |||||
General Motors Financial Co., Inc., 4.00%, 1/15/25 | 100,000 | 99,342 | |||||
Volkswagen International Finance NV, VRN, 3.75%, 3/24/21 | EUR | 70,000 | 81,695 | ||||
1,394,585 | |||||||
Banks — 0.6% | |||||||
Bank of America Corp., 3.75%, 7/12/16 | $ | 100,000 | 102,902 | ||||
Bank of America Corp., 6.50%, 8/1/16 | 10,000 | 10,600 | |||||
Bank of America Corp., 5.75%, 12/1/17 | 140,000 | 153,638 | |||||
Bank of America Corp., 5.70%, 1/24/22 | 170,000 | 197,074 | |||||
Bank of America Corp., MTN, 4.00%, 4/1/24 | 30,000 | 31,262 | |||||
Bank of America Corp., MTN, 4.20%, 8/26/24 | 80,000 | 81,264 | |||||
Bank of America Corp., MTN, 4.00%, 1/22/25 | 70,000 | 69,759 | |||||
Bank of America Corp., MTN, 5.00%, 1/21/44 | 40,000 | 43,344 | |||||
Bank of America N.A., 5.30%, 3/15/17 | 510,000 | 542,965 | |||||
Bank of Nova Scotia, 2.55%, 1/12/17 | 80,000 | 81,964 | |||||
Barclays Bank plc, 7.625%, 11/21/22 | 100,000 | 116,438 | |||||
Barclays Bank plc, MTN, 6.625%, 3/30/22 | EUR | 50,000 | 71,322 | ||||
BB&T Corp., MTN, 2.05%, 6/19/18 | $ | 40,000 | 40,564 | ||||
BPCE SA, VRN, 2.75%, 7/8/21 | EUR | 100,000 | 113,393 | ||||
Capital One Financial Corp., 1.00%, 11/6/15 | $ | 40,000 | 40,059 | ||||
Capital One Financial Corp., 3.20%, 2/5/25 | 40,000 | 38,788 | |||||
Citigroup, Inc., 5.50%, 2/15/17 | 80,000 | 85,339 | |||||
Citigroup, Inc., 1.75%, 5/1/18 | 160,000 | 160,044 | |||||
Citigroup, Inc., 4.50%, 1/14/22 | 240,000 | 262,603 | |||||
Citigroup, Inc., 4.05%, 7/30/22 | 30,000 | 31,281 | |||||
Citigroup, Inc., 3.30%, 4/27/25 | 80,000 | 78,683 | |||||
Citigroup, Inc., 6.00%, 10/31/33 | 60,000 | 69,143 | |||||
Citigroup, Inc., 5.30%, 5/6/44 | 20,000 | 21,608 | |||||
Co-Operative Bank plc, 4.75%, 11/11/21 (Secured) | GBP | 100,000 | 171,795 | ||||
Commerzbank AG, MTN, 6.375%, 3/22/19 | EUR | 70,000 | 88,583 | ||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.875%, 2/8/22 | $ | 50,000 | 53,243 | ||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, VRN, 2.50%, 5/26/21 | EUR | 100,000 | 113,356 | ||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 113,000 | 140,210 | ||||
European Investment Bank, MTN, 3.625%, 1/15/21 | EUR | 57,000 | 74,609 | ||||
European Investment Bank, MTN, 4.25%, 12/7/21 | GBP | 125,000 | 221,580 | ||||
European Investment Bank, MTN, 2.25%, 10/14/22 | EUR | 225,000 | 280,560 | ||||
Fifth Third Bancorp, 4.30%, 1/16/24 | $ | 40,000 | 41,883 |
37
Shares/ Principal Amount | Value | ||||||
HSBC Holdings plc, 5.10%, 4/5/21 | $ | 70,000 | $ | 79,276 | |||
HSBC Holdings plc, MTN, 6.00%, 6/10/19 | EUR | 50,000 | 65,458 | ||||
ING Bank NV, MTN, VRN, 3.625%, 2/25/21 | EUR | 100,000 | 120,322 | ||||
International Bank for Reconstruction & Development, MTN, 3.875%, 5/20/19 | EUR | 96,000 | 121,585 | ||||
Intesa Sanpaolo SpA, 5.02%, 6/26/24(2) | $ | 130,000 | 130,409 | ||||
JPMorgan Chase & Co., 6.00%, 1/15/18 | 350,000 | 389,064 | |||||
JPMorgan Chase & Co., 4.625%, 5/10/21 | 30,000 | 33,042 | |||||
JPMorgan Chase & Co., 3.25%, 9/23/22 | 40,000 | 40,433 | |||||
JPMorgan Chase & Co., 3.875%, 9/10/24 | 70,000 | 70,388 | |||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 110,000 | 107,502 | |||||
KeyCorp, MTN, 2.30%, 12/13/18 | 80,000 | 81,129 | |||||
KFW, 3.875%, 1/21/19 | EUR | 80,000 | 100,335 | ||||
KFW, MTN, 4.625%, 1/4/23 | EUR | 80,000 | 115,946 | ||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 20,000 | 40,046 | ||||
Lloyds Banking Group plc, VRN, 6.66%, 5/21/37(2) | $ | 245,000 | 280,219 | ||||
Regions Bank, 6.45%, 6/26/37 | 175,000 | 214,881 | |||||
Royal Bank of Scotland Group plc, MTN, VRN, 3.625%, 3/25/19 | EUR | 100,000 | 114,193 | ||||
Royal Bank of Scotland Group plc, VRN, 7.64%, 9/30/17 | $ | 300,000 | 325,500 | ||||
Royal Bank of Scotland plc (The), 4.375%, 3/16/16 | 110,000 | 112,874 | |||||
Standard Chartered plc, MTN, VRN, 4.00%, 10/21/20 | EUR | 100,000 | 119,500 | ||||
SunTrust Banks, Inc., 3.60%, 4/15/16 | $ | 29,000 | 29,602 | ||||
U.S. Bancorp, 3.44%, 2/1/16 | 70,000 | 71,111 | |||||
U.S. Bancorp, MTN, 3.00%, 3/15/22 | 50,000 | 51,119 | |||||
U.S. Bancorp, MTN, 3.60%, 9/11/24 | 110,000 | 112,482 | |||||
Wells Fargo & Co., 3.68%, 6/15/16 | 90,000 | 92,643 | |||||
Wells Fargo & Co., 4.125%, 8/15/23 | 100,000 | 105,859 | |||||
Wells Fargo & Co., MTN, 2.10%, 5/8/17 | 10,000 | 10,206 | |||||
Wells Fargo & Co., MTN, 4.60%, 4/1/21 | 100,000 | 111,344 | |||||
Wells Fargo & Co., MTN, 4.10%, 6/3/26 | 70,000 | 72,173 | |||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 30,000 | 30,077 | |||||
6,978,574 | |||||||
Beverages† | |||||||
Anheuser-Busch InBev Worldwide, Inc., 2.50%, 7/15/22 | 130,000 | 127,349 | |||||
Biotechnology† | |||||||
Amgen, Inc., 2.125%, 5/15/17 | 120,000 | 122,023 | |||||
Amgen, Inc., 4.10%, 6/15/21 | 40,000 | 43,012 | |||||
Amgen, Inc., 5.375%, 5/15/43 | 70,000 | 77,085 | |||||
Celgene Corp., 3.25%, 8/15/22 | 50,000 | 50,728 | |||||
Celgene Corp., 3.625%, 5/15/24 | 50,000 | 51,172 | |||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 40,000 | 44,380 | |||||
388,400 | |||||||
Building Products† | |||||||
Masco Corp., 5.95%, 3/15/22 | 115,000 | 130,525 |
38
Shares/ Principal Amount | Value | ||||||
Capital Markets — 0.1% | |||||||
Ameriprise Financial, Inc., 4.00%, 10/15/23 | $ | 50,000 | $ | 53,434 | |||
Bear Stearns Cos. LLC (The), 6.40%, 10/2/17 | 190,000 | 210,974 | |||||
Dresdner Funding Trust I, 8.15%, 6/30/31(2) | 200,000 | 252,500 | |||||
E*TRADE Financial Corp., 4.625%, 9/15/23 | 160,000 | 161,200 | |||||
Jefferies Group, Inc., 5.125%, 4/13/18 | 70,000 | 74,621 | |||||
752,729 | |||||||
Chemicals — 0.1% | |||||||
Ashland, Inc., 4.75%, 8/15/22 | 195,000 | 199,631 | |||||
Chemours Co. (The), 6.625%, 5/15/23(2) | 100,000 | 101,750 | |||||
Dow Chemical Co. (The), 2.50%, 2/15/16 | 60,000 | 60,743 | |||||
Dow Chemical Co. (The), 4.25%, 11/15/20 | 70,000 | 75,904 | |||||
Eastman Chemical Co., 2.70%, 1/15/20 | 60,000 | 60,572 | |||||
Ecolab, Inc., 4.35%, 12/8/21 | 30,000 | 32,694 | |||||
Hexion, Inc., 8.875%, 2/1/18 | 175,000 | 161,438 | |||||
Hexion, Inc., 6.625%, 4/15/20 | 115,000 | 108,963 | |||||
Huntsman International LLC, 8.625%, 3/15/21 | 20,000 | 21,200 | |||||
LyondellBasell Industries NV, 4.625%, 2/26/55 | 20,000 | 18,392 | |||||
Mosaic Co. (The), 4.25%, 11/15/23 | 50,000 | 52,789 | |||||
Mosaic Co. (The), 5.625%, 11/15/43 | 40,000 | 44,890 | |||||
WR Grace & Co-Conn, 5.125%, 10/1/21(2) | 110,000 | 113,850 | |||||
1,052,816 | |||||||
Commercial Services and Supplies — 0.1% | |||||||
ACCO Brands Corp., 6.75%, 4/30/20 | 30,000 | 32,100 | |||||
ADT Corp. (The), 6.25%, 10/15/21 | 180,000 | 193,950 | |||||
Clean Harbors, Inc., 5.25%, 8/1/20 | 110,000 | 113,575 | |||||
Covanta Holding Corp., 5.875%, 3/1/24 | 145,000 | 150,075 | |||||
Envision Healthcare Corp., 5.125%, 7/1/22(2) | 200,000 | 206,500 | |||||
Iron Mountain, Inc., 8.375%, 8/15/21 | 11,000 | 11,478 | |||||
Iron Mountain, Inc., 5.75%, 8/15/24 | 155,000 | 159,456 | |||||
Pitney Bowes, Inc., 4.625%, 3/15/24 | 60,000 | 61,931 | |||||
Republic Services, Inc., 3.55%, 6/1/22 | 100,000 | 102,766 | |||||
Waste Management, Inc., 4.10%, 3/1/45 | 40,000 | 38,186 | |||||
1,070,017 | |||||||
Communications Equipment — 0.1% | |||||||
Alcatel-Lucent USA, Inc., 6.75%, 11/15/20(2) | 230,000 | 244,662 | |||||
Alcatel-Lucent USA, Inc., 6.45%, 3/15/29 | 125,000 | 135,312 | |||||
Avaya, Inc., 7.00%, 4/1/19(2) | 235,000 | 236,175 | |||||
CC Holdings GS V LLC / Crown Castle GS III Corp., 3.85%, 4/15/23 | 70,000 | 69,979 | |||||
CommScope, Inc., 5.50%, 6/15/24(2) | 65,000 | 65,081 | |||||
Crown Castle International Corp., 5.25%, 1/15/23 | 260,000 | 275,080 | |||||
Nokia Oyj, 5.375%, 5/15/19 | 50,000 | 54,188 | |||||
SBA Communications Corp., 5.625%, 10/1/19 | 50,000 | 52,938 | |||||
SBA Communications Corp., 4.875%, 7/15/22(2) | 75,000 | 75,709 | |||||
1,209,124 |
39
Shares/ Principal Amount | Value | ||||||
Construction Materials — 0.1% | |||||||
Associated Materials LLC, 9.125%, 11/1/17 | $ | 100,000 | $ | 86,000 | |||
Builders FirstSource, Inc., 7.625%, 6/1/21(2) | 75,000 | 78,750 | |||||
Building Materials Corp. of America, 6.75%, 5/1/21(2) | 105,000 | 111,562 | |||||
Interline Brands, Inc., PIK, 10.00%, 11/15/18 | 70,000 | 73,588 | |||||
Louisiana-Pacific Corp., 7.50%, 6/1/20 | 50,000 | 53,750 | |||||
Nortek, Inc., 8.50%, 4/15/21 | 205,000 | 223,194 | |||||
Owens Corning, 4.20%, 12/15/22 | 50,000 | 51,430 | |||||
Summit Materials LLC / Summit Materials Finance Corp., 10.50%, 1/31/20 | 52,000 | 57,070 | |||||
USG Corp., 5.875%, 11/1/21(2) | 25,000 | 26,813 | |||||
USG Corp., 5.50%, 3/1/25(2) | 135,000 | 140,231 | |||||
902,388 | |||||||
Consumer Finance — 0.2% | |||||||
American Express Co., 1.55%, 5/22/18 | 50,000 | 49,848 | |||||
American Express Credit Corp., 1.30%, 7/29/16 | 70,000 | 70,380 | |||||
CIT Group, Inc., 4.25%, 8/15/17 | 505,000 | 516,968 | |||||
CIT Group, Inc., 5.50%, 2/15/19(2) | 120,000 | 127,050 | |||||
CIT Group, Inc., 3.875%, 2/19/19 | 115,000 | 115,575 | |||||
CIT Group, Inc., 5.00%, 8/15/22 | 320,000 | 329,600 | |||||
CIT Group, Inc., 5.00%, 8/1/23 | 125,000 | 128,275 | |||||
Equifax, Inc., 3.30%, 12/15/22 | 60,000 | 60,610 | |||||
GLP Capital LP / GLP Financing II, Inc., 4.875%, 11/1/20 | 90,000 | 93,600 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 70,000 | 73,675 | |||||
Harland Clarke Holdings Corp., 9.25%, 3/1/21(2) | 35,000 | 33,556 | |||||
Navient Corp., 5.00%, 10/26/20 | 65,000 | 65,000 | |||||
Navient Corp., 5.50%, 1/25/23 | 455,000 | 444,762 | |||||
OneMain Financial Holdings, Inc., 6.75%, 12/15/19(2) | 40,000 | 42,900 | |||||
PNC Bank N.A., 6.00%, 12/7/17 | 230,000 | 254,948 | |||||
Springleaf Finance Corp., 7.75%, 10/1/21 | 25,000 | 27,969 | |||||
Springleaf Finance Corp., Series J, MTN, 6.90%, 12/15/17 | 175,000 | 187,250 | |||||
TransUnion, PIK, 9.625%, 6/15/18 | 90,000 | 90,788 | |||||
2,712,754 | |||||||
Containers and Packaging — 0.2% | |||||||
AEP Industries, Inc., 8.25%, 4/15/19 | 175,000 | 180,687 | |||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 9.125%, 10/15/20(2) | 120,000 | 128,400 | |||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 6.75%, 1/31/21(2) | 150,000 | 155,250 | |||||
Ball Corp., 5.00%, 3/15/22 | 115,000 | 118,737 | |||||
Ball Corp., 4.00%, 11/15/23 | 70,000 | 67,813 | |||||
Berry Plastics Corp., 5.50%, 5/15/22 | 135,000 | 138,628 | |||||
Berry Plastics Corp., 5.125%, 7/15/23(3) | 100,000 | 99,750 | |||||
Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II Issuer, Inc., 6.00%, 6/15/17(2) | 150,000 | 151,875 | |||||
BWAY Holding Co., 9.125%, 8/15/21(2) | 70,000 | 72,975 | |||||
Consolidated Container Co., 10.125%, 7/15/20(2) | 100,000 | 89,500 |
40
Shares/ Principal Amount | Value | ||||||
Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 1/15/23 | $ | 105,000 | $ | 104,213 | |||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 9.875%, 8/15/19 | 125,000 | 132,891 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.75%, 10/15/20 | 150,000 | 156,937 | |||||
Rock-Tenn Co., 3.50%, 3/1/20 | 50,000 | 51,869 | |||||
Sealed Air Corp., 5.125%, 12/1/24(2) | 75,000 | 76,594 | |||||
1,726,119 | |||||||
Diversified Consumer Services† | |||||||
Catholic Health Initiatives, 1.60%, 11/1/17 | 20,000 | 20,025 | |||||
Catholic Health Initiatives, 2.95%, 11/1/22 | 40,000 | 39,467 | |||||
Johns Hopkins University, 4.08%, 7/1/53 | 20,000 | 19,834 | |||||
Laureate Education, Inc., 10.00%, 9/1/19(2) | 125,000 | 121,406 | |||||
Service Corp. International / US, 5.375%, 1/15/22 | 75,000 | 80,250 | |||||
280,982 | |||||||
Diversified Financial Services — 0.4% | |||||||
Ally Financial, Inc., 5.50%, 2/15/17 | 125,000 | 130,937 | |||||
Ally Financial, Inc., 6.25%, 12/1/17 | 100,000 | 107,500 | |||||
Ally Financial, Inc., 4.75%, 9/10/18 | 150,000 | 155,625 | |||||
Ally Financial, Inc., 3.50%, 1/27/19 | 180,000 | 179,100 | |||||
Ally Financial, Inc., 8.00%, 3/15/20 | 141,000 | 167,085 | |||||
Ally Financial, Inc., 8.00%, 11/1/31 | 70,000 | 86,362 | |||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 50,000 | 97,354 | ||||
Credit Suisse Group Guernsey I Ltd., VRN, 7.875%, 8/24/16 | $ | 110,000 | 116,531 | ||||
Denali Borrower LLC / Denali Finance Corp., 5.625%, 10/15/20(2) | 125,000 | 132,969 | |||||
DFC Finance Corp., 10.50%, 6/15/20(2) | 35,000 | 27,125 | |||||
General Electric Capital Corp., MTN, 5.625%, 9/15/17 | 212,000 | 232,925 | |||||
General Electric Capital Corp., MTN, 4.375%, 9/16/20 | 220,000 | 243,508 | |||||
Goldman Sachs Group, Inc. (The), 2.375%, 1/22/18 | 170,000 | 172,613 | |||||
Goldman Sachs Group, Inc. (The), 2.90%, 7/19/18 | 300,000 | 308,925 | |||||
Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22 | 50,000 | 57,627 | |||||
Goldman Sachs Group, Inc. (The), 4.00%, 3/3/24 | 80,000 | 82,514 | |||||
Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | 90,000 | 110,427 | |||||
Goldman Sachs Group, Inc. (The), MTN, 4.80%, 7/8/44 | 30,000 | 31,174 | |||||
HUB International Ltd., 7.875%, 10/1/21(2) | 75,000 | 77,625 | |||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.00%, 8/1/20 | 90,000 | 97,087 | |||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.875%, 2/1/22 | 80,000 | 84,200 | |||||
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20(2) | 70,000 | 70,525 | |||||
Morgan Stanley, 5.00%, 11/24/25 | 122,000 | 131,565 | |||||
Morgan Stanley, MTN, 6.625%, 4/1/18 | 210,000 | 237,650 | |||||
Morgan Stanley, MTN, 5.625%, 9/23/19 | 250,000 | 282,830 | |||||
Morgan Stanley, MTN, 3.70%, 10/23/24 | 20,000 | 20,361 | |||||
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.50%, 7/1/21 | 70,000 | 67,550 |
41
Shares/ Principal Amount | Value | ||||||
Nationwide Building Society, MTN, 6.75%, 7/22/20 | EUR | 50,000 | $ | 68,666 | |||
Serta Simmons Holdings LLC, 8.125%, 10/1/20(2) | $ | 230,000 | 246,100 | ||||
Societe Generale SA, VRN, 5.92%, 4/5/17(2) | 100,000 | 104,625 | |||||
UBS AG, 7.625%, 8/17/22 | 160,000 | 190,541 | |||||
UBS AG (Stamford Branch), 5.875%, 12/20/17 | 100,000 | 110,543 | |||||
4,230,169 | |||||||
Diversified Telecommunication Services — 0.5% | |||||||
AT&T, Inc., 2.625%, 12/1/22 | 120,000 | 115,256 | |||||
AT&T, Inc., 6.55%, 2/15/39 | 91,000 | 106,738 | |||||
AT&T, Inc., 4.30%, 12/15/42 | 60,000 | 54,056 | |||||
British Telecommunications plc, 5.95%, 1/15/18 | 170,000 | 189,314 | |||||
CenturyLink, Inc., 5.625%, 4/1/20 | 385,000 | 403,287 | |||||
CenturyLink, Inc., 7.65%, 3/15/42 | 100,000 | 97,500 | |||||
Deutsche Telekom International Finance BV, 2.25%, 3/6/17(2) | 170,000 | 172,716 | |||||
Frontier Communications Corp., 7.125%, 3/15/19 | 205,000 | 218,838 | |||||
Frontier Communications Corp., 8.50%, 4/15/20 | 90,000 | 96,525 | |||||
Frontier Communications Corp., 7.125%, 1/15/23 | 125,000 | 120,313 | |||||
Frontier Communications Corp., 6.875%, 1/15/25 | 140,000 | 128,275 | |||||
Hughes Satellite Systems Corp., 6.50%, 6/15/19 | 90,000 | 99,338 | |||||
Inmarsat Finance plc, 4.875%, 5/15/22(2) | 50,000 | 49,625 | |||||
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 | 305,000 | 313,769 | |||||
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 | 175,000 | 178,063 | |||||
Intelsat Luxembourg SA, 7.75%, 6/1/21 | 75,000 | 67,969 | |||||
Intelsat Luxembourg SA, 8.125%, 6/1/23 | 45,000 | 40,275 | |||||
Level 3 Financing, Inc., 7.00%, 6/1/20 | 125,000 | 134,219 | |||||
Level 3 Financing, Inc., 8.625%, 7/15/20 | 170,000 | 183,813 | |||||
Level 3 Financing, Inc., 5.375%, 8/15/22 | 40,000 | 41,050 | |||||
Level 3 Financing, Inc., 5.375%, 5/1/25(2) | 55,000 | 54,794 | |||||
Orange SA, 4.125%, 9/14/21 | 70,000 | 76,355 | |||||
Softbank Corp., 4.50%, 4/15/20(2) | 110,000 | 113,300 | |||||
Sprint Capital Corp., 6.90%, 5/1/19 | 235,000 | 244,306 | |||||
Sprint Capital Corp., 8.75%, 3/15/32 | 100,000 | 102,250 | |||||
Telecom Italia Capital SA, 7.00%, 6/4/18 | 235,000 | 262,765 | |||||
Telecom Italia Capital SA, 6.375%, 11/15/33 | 325,000 | 343,687 | |||||
Telecom Italia Capital SA, 7.72%, 6/4/38 | 125,000 | 144,375 | |||||
Telecom Italia SpA, MTN, 5.875%, 5/19/23 | GBP | 50,000 | 84,446 | ||||
Telefonica Emisiones SAU, 5.46%, 2/16/21 | $ | 10,000 | 11,328 | ||||
Verizon Communications, Inc., 3.65%, 9/14/18 | 190,000 | 200,398 | |||||
Verizon Communications, Inc., 3.50%, 11/1/21 | 50,000 | 51,993 | |||||
Verizon Communications, Inc., 5.15%, 9/15/23 | 130,000 | 145,471 | |||||
Verizon Communications, Inc., 5.05%, 3/15/34 | 270,000 | 280,450 | |||||
Verizon Communications, Inc., 4.75%, 11/1/41 | 40,000 | 39,093 | |||||
Verizon Communications, Inc., 6.55%, 9/15/43 | 51,000 | 61,885 | |||||
Verizon Communications, Inc., 4.86%, 8/21/46 | 33,000 | 31,809 | |||||
Verizon Communications, Inc., 5.01%, 8/21/54 | 49,000 | 46,531 | |||||
Virgin Media Finance plc, 5.75%, 1/15/25(2) | 200,000 | 205,000 |
42
Shares/ Principal Amount | Value | ||||||
Windstream Corp., 7.875%, 11/1/17 | $ | 20,000 | $ | 21,625 | |||
Windstream Corp., 7.75%, 10/15/20 | 115,000 | 117,300 | |||||
Windstream Corp., 6.375%, 8/1/23 | 95,000 | 80,156 | |||||
5,530,256 | |||||||
Electric Utilities — 0.1% | |||||||
AES Corp. (The), 4.875%, 5/15/23 | 340,000 | 328,100 | |||||
Atlantic Power Corp., 9.00%, 11/15/18 | 200,000 | 209,500 | |||||
Terna Rete Elettrica Nazionale SpA, MTN, 2.875%, 2/16/18 | EUR | 100,000 | 116,854 | ||||
654,454 | |||||||
Electronic Equipment, Instruments and Components† | |||||||
Sanmina Corp., 4.375%, 6/1/19(2) | $ | 197,000 | 198,477 | ||||
Viasystems, Inc., 7.875%, 5/1/19(2) | 50,000 | 53,188 | |||||
251,665 | |||||||
Energy Equipment and Services — 0.1% | |||||||
Basic Energy Services, Inc., 7.75%, 2/15/19 | 50,000 | 43,125 | |||||
Ensco plc, 4.70%, 3/15/21 | 110,000 | 113,844 | |||||
FTS International, Inc., 6.25%, 5/1/22 | 120,000 | 96,300 | |||||
Hornbeck Offshore Services, Inc., 5.00%, 3/1/21 | 140,000 | 122,500 | |||||
Offshore Group Investment Ltd., 7.125%, 4/1/23 | 100,000 | 70,500 | |||||
Pacific Drilling SA, 5.375%, 6/1/20(2) | 65,000 | 53,950 | |||||
Paragon Offshore plc, 7.25%, 8/15/24(2) | 90,000 | 37,800 | |||||
Petroleum Geo-Services ASA, 7.375%, 12/15/18(2) | 100,000 | 95,750 | |||||
Precision Drilling Corp., 6.50%, 12/15/21 | 100,000 | 99,500 | |||||
Precision Drilling Corp., 5.25%, 11/15/24 | 105,000 | 93,056 | |||||
Schlumberger Investment SA, 3.65%, 12/1/23 | 60,000 | 63,222 | |||||
SESI LLC, 6.375%, 5/1/19 | 50,000 | 51,625 | |||||
Transocean, Inc., 3.00%, 10/15/17 | 105,000 | 102,703 | |||||
Transocean, Inc., 6.00%, 3/15/18 | 70,000 | 71,575 | |||||
Transocean, Inc., 6.50%, 11/15/20 | 145,000 | 139,472 | |||||
Transocean, Inc., 6.375%, 12/15/21 | 140,000 | 132,125 | |||||
Weatherford International Ltd., 4.50%, 4/15/22 | 50,000 | 48,424 | |||||
1,435,471 | |||||||
Financial Services† | |||||||
Argos Merger Sub, Inc., 7.125%, 3/15/23(2) | 215,000 | 228,438 | |||||
Food and Staples Retailing — 0.1% | |||||||
Albertsons Holdings LLC / Saturn Acquisition Merger Sub, Inc., 7.75%, 10/15/22(2) | 27,000 | 29,261 | |||||
BI-LO LLC / BI-LO Finance Corp., 9.25%, 2/15/19(2) | 40,000 | 41,700 | |||||
Delhaize Group SA, 5.70%, 10/1/40 | 30,000 | 31,698 | |||||
Dollar General Corp., 3.25%, 4/15/23 | 40,000 | 38,825 | |||||
Family Tree Escrow LLC, 5.75%, 3/1/23(2) | 185,000 | 195,869 | |||||
Kroger Co. (The), 6.40%, 8/15/17 | 120,000 | 132,793 | |||||
Kroger Co. (The), 3.30%, 1/15/21 | 70,000 | 72,306 | |||||
Rite Aid Corp., 6.75%, 6/15/21 | 85,000 | 89,675 | |||||
Rite Aid Corp., 6.125%, 4/1/23(2) | 170,000 | 177,437 | |||||
SUPERVALU, Inc., 6.75%, 6/1/21 | 80,000 | 82,350 |
43
Shares/ Principal Amount | Value | ||||||
Tesco plc, 6.15%, 11/15/37(2) | $ | 75,000 | $ | 76,058 | |||
Tesco plc, MTN, 5.50%, 12/13/19 | GBP | 60,000 | 100,417 | ||||
Wal-Mart Stores, Inc., 2.55%, 4/11/23 | $ | 20,000 | 19,918 | ||||
Wal-Mart Stores, Inc., 4.30%, 4/22/44 | 20,000 | 20,688 | |||||
1,108,995 | |||||||
Food Products — 0.1% | |||||||
Aramark Services, Inc., 5.75%, 3/15/20 | 65,000 | 67,966 | |||||
HJ Heinz Co., 4.875%, 2/15/25(2) | 235,000 | 253,800 | |||||
JBS Investments GmbH, 7.25%, 4/3/24(2) | 70,000 | 75,075 | |||||
JBS USA LLC / JBS USA Finance, Inc., 8.25%, 2/1/20(2) | 85,000 | 91,077 | |||||
JBS USA LLC / JBS USA Finance, Inc., 7.25%, 6/1/21(2) | 70,000 | 74,305 | |||||
JBS USA LLC / JBS USA Finance, Inc., 5.75%, 6/15/25(2)(3) | 35,000 | 35,438 | |||||
Kellogg Co., 4.45%, 5/30/16 | 130,000 | 134,549 | |||||
Kraft Foods Group, Inc., 5.00%, 6/4/42 | 30,000 | 31,001 | |||||
Mondelez International, Inc., 4.00%, 2/1/24 | 70,000 | 74,510 | |||||
NBTY, Inc., 9.00%, 10/1/18 | 65,000 | 67,925 | |||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(2) | 170,000 | 172,975 | |||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 4.875%, 5/1/21 | 100,000 | 101,000 | |||||
Post Holdings, Inc., 7.375%, 2/15/22 | 150,000 | 154,062 | |||||
Smithfield Foods, Inc., 6.625%, 8/15/22 | 75,000 | 81,338 | |||||
Tyson Foods, Inc., 4.50%, 6/15/22 | 50,000 | 54,086 | |||||
1,469,107 | |||||||
Gas Utilities — 0.3% | |||||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.00%, 12/15/20 | 70,000 | 73,675 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, 4/1/23(2) | 40,000 | 42,327 | |||||
Enbridge Energy Partners LP, 6.50%, 4/15/18 | 90,000 | 100,330 | |||||
Enbridge, Inc., 4.50%, 6/10/44 | 40,000 | 35,809 | |||||
Energy Transfer Equity LP, 5.875%, 1/15/24 | 105,000 | 112,087 | |||||
Energy Transfer Partners LP, 4.15%, 10/1/20 | 70,000 | 73,036 | |||||
Energy Transfer Partners LP, 5.20%, 2/1/22 | 30,000 | 32,074 | |||||
Energy Transfer Partners LP, 3.60%, 2/1/23 | 60,000 | 58,397 | |||||
Energy Transfer Partners LP, 6.50%, 2/1/42 | 40,000 | 44,124 | |||||
Enterprise Products Operating LLC, 6.30%, 9/15/17 | 120,000 | 133,015 | |||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 130,000 | 130,516 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 130,000 | 128,700 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 4/1/20 | 50,000 | 57,651 | |||||
Kinder Morgan Energy Partners LP, 3.95%, 9/1/22 | 30,000 | 30,287 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 90,000 | 95,537 | |||||
Kinder Morgan, Inc., 4.30%, 6/1/25 | 20,000 | 20,036 | |||||
Magellan Midstream Partners LP, 6.55%, 7/15/19 | 86,000 | 99,996 | |||||
Magellan Midstream Partners LP, 5.15%, 10/15/43 | 20,000 | 21,152 | |||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp., 4.875%, 12/1/24 | 175,000 | 177,625 |
44
Shares/ Principal Amount | Value | ||||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp., 4.875%, 6/1/25(3) | $ | 50,000 | $ | 49,813 | |||
NGPL PipeCo LLC, 7.12%, 12/15/17(2) | 100,000 | 103,375 | |||||
Plains All American Pipeline LP / PAA Finance Corp., 3.65%, 6/1/22 | 90,000 | 92,371 | |||||
Regency Energy Partners LP / Regency Energy Finance Corp., 5.50%, 4/15/23 | 125,000 | 130,000 | |||||
Regency Energy Partners LP / Regency Energy Finance Corp., 4.50%, 11/1/23 | 110,000 | 111,155 | |||||
Rockies Express Pipeline LLC, 5.625%, 4/15/20(2) | 325,000 | 342,875 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 2/1/21 | 100,000 | 103,812 | |||||
Sabine Pass Liquefaction LLC, 6.25%, 3/15/22 | 125,000 | 132,187 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 4/15/23 | 200,000 | 204,500 | |||||
Sunoco Logistics Partners Operations LP, 3.45%, 1/15/23 | 110,000 | 106,812 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.00%, 1/15/18(2) | 65,000 | 67,438 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.375%, 8/1/22 | 53,000 | 56,313 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 190,000 | 183,825 | |||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 5.50%, 10/15/19(2) | 50,000 | 53,125 | |||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 6.25%, 10/15/22(2) | 85,000 | 90,312 | |||||
TransCanada PipeLines Ltd., 2.50%, 8/1/22 | 60,000 | 58,218 | |||||
Williams Cos., Inc. (The), 3.70%, 1/15/23 | 50,000 | 48,788 | |||||
Williams Cos., Inc. (The), 5.75%, 6/24/44 | 30,000 | 30,534 | |||||
Williams Partners LP, 5.10%, 9/15/45 | 30,000 | 28,348 | |||||
3,460,175 | |||||||
Health Care Equipment and Supplies — 0.1% | |||||||
Alere, Inc., 8.625%, 10/1/18 | 60,000 | 62,438 | |||||
Alere, Inc., 6.50%, 6/15/20 | 100,000 | 105,750 | |||||
Baxter International, Inc., 3.20%, 6/15/23 | 30,000 | 29,846 | |||||
Becton Dickinson and Co., 3.73%, 12/15/24 | 40,000 | 40,887 | |||||
Crimson Merger Sub, Inc., 6.625%, 5/15/22(2) | 50,000 | 44,063 | |||||
DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp., 8.125%, 6/15/21(2) | 70,000 | 72,275 | |||||
Hospira, Inc., 5.60%, 9/15/40 | 20,000 | 23,447 | |||||
Kinetic Concepts, Inc. / KCI USA, Inc., 10.50%, 11/1/18 | 200,000 | 215,600 | |||||
Kinetic Concepts, Inc. / KCI USA, Inc., 12.50%, 11/1/19 | 50,000 | 54,750 | |||||
Mallinckrodt International Finance SA, 4.75%, 4/15/23 | 170,000 | 164,794 | |||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.75%, 8/1/22(2) | 105,000 | 110,381 | |||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.50%, 4/15/25(2) | 100,000 | 100,950 | |||||
Medtronic, Inc., 2.50%, 3/15/20(2) | 40,000 | 40,576 | |||||
Medtronic, Inc., 2.75%, 4/1/23 | 30,000 | 29,649 | |||||
Medtronic, Inc., 3.50%, 3/15/25(2) | 50,000 | 51,280 | |||||
Medtronic, Inc., 4.375%, 3/15/35(2) | 20,000 | 20,456 | |||||
Zimmer Holdings, Inc., 2.70%, 4/1/20 | 30,000 | 30,232 | |||||
1,197,374 |
45
Shares/ Principal Amount | Value | ||||||
Health Care Providers and Services — 0.4% | |||||||
Acadia Healthcare Co., Inc., 5.125%, 7/1/22 | $ | 135,000 | $ | 135,338 | |||
Acadia Healthcare Co., Inc., 5.625%, 2/15/23(2) | 70,000 | 71,925 | |||||
Aetna, Inc., 2.75%, 11/15/22 | 60,000 | 59,508 | |||||
Amsurg Corp., 5.625%, 7/15/22 | 180,000 | 184,950 | |||||
CHS / Community Health Systems, Inc., 8.00%, 11/15/19 | 150,000 | 159,750 | |||||
CHS / Community Health Systems, Inc., 7.125%, 7/15/20 | 55,000 | 58,781 | |||||
CHS / Community Health Systems, Inc., 5.125%, 8/1/21 | 35,000 | 36,400 | |||||
CHS / Community Health Systems, Inc., 6.875%, 2/1/22 | 100,000 | 107,125 | |||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 | 110,000 | 117,425 | |||||
DaVita HealthCare Partners, Inc., 5.125%, 7/15/24 | 157,000 | 158,963 | |||||
DaVita HealthCare Partners, Inc., 5.00%, 5/1/25 | 85,000 | 84,469 | |||||
Express Scripts Holding Co., 2.65%, 2/15/17 | 150,000 | 153,501 | |||||
Express Scripts Holding Co., 7.25%, 6/15/19 | 90,000 | 107,427 | |||||
Fresenius Medical Care US Finance II, Inc., 5.875%, 1/31/22(2) | 140,000 | 152,600 | |||||
Fresenius Medical Care US Finance II, Inc., 4.75%, 10/15/24(2) | 100,000 | 102,000 | |||||
HCA, Inc., 3.75%, 3/15/19 | 20,000 | 20,350 | |||||
HCA, Inc., 4.25%, 10/15/19 | 125,000 | 129,894 | |||||
HCA, Inc., 6.50%, 2/15/20 | 100,000 | 111,875 | |||||
HCA, Inc., 7.50%, 2/15/22 | 215,000 | 252,087 | |||||
HCA, Inc., 5.875%, 3/15/22 | 75,000 | 84,000 | |||||
HCA, Inc., 4.75%, 5/1/23 | 180,000 | 186,750 | |||||
HCA, Inc., 5.375%, 2/1/25 | 270,000 | 278,775 | |||||
HealthSouth Corp., 5.75%, 11/1/24 | 95,000 | 98,444 | |||||
IASIS Healthcare LLC / IASIS Capital Corp., 8.375%, 5/15/19 | 220,000 | 230,587 | |||||
Kindred Healthcare, Inc., 8.00%, 1/15/20(2) | 135,000 | 146,306 | |||||
Kindred Healthcare, Inc., 6.375%, 4/15/22 | 60,000 | 61,425 | |||||
LifePoint Hospitals, Inc., 5.50%, 12/1/21 | 175,000 | 184,406 | |||||
NYU Hospitals Center, 4.43%, 7/1/42 | 30,000 | 29,553 | |||||
Tenet Healthcare Corp., 5.00%, 3/1/19(2) | 160,000 | 160,200 | |||||
Tenet Healthcare Corp., 8.00%, 8/1/20 | 165,000 | 172,838 | |||||
Tenet Healthcare Corp., 6.00%, 10/1/20 | 190,000 | 203,775 | |||||
Tenet Healthcare Corp., 4.50%, 4/1/21 | 40,000 | 39,750 | |||||
Tenet Healthcare Corp., 8.125%, 4/1/22 | 335,000 | 365,987 | |||||
UnitedHealth Group, Inc., 2.875%, 3/15/23 | 40,000 | 40,144 | |||||
Universal Health Services, Inc., 4.75%, 8/1/22(2) | 100,000 | 104,625 | |||||
4,591,933 | |||||||
Hotels, Restaurants and Leisure — 0.2% | |||||||
1011778 B.C. ULC / New Red Finance, Inc., 6.00%, 4/1/22(2) | 260,000 | 270,270 | |||||
Affinity Gaming LLC / Affinity Gaming Finance Corp., 9.00%, 5/15/18 | 75,000 | 75,375 | |||||
Boyd Gaming Corp., 6.875%, 5/15/23 | 75,000 | 76,313 | |||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 8.00%, 10/1/20 | 60,000 | 61,050 | |||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 11.00%, 10/1/21 | 110,000 | 103,048 | |||||
Golden Nugget Escrow, Inc., 8.50%, 12/1/21(2) | 125,000 | 131,875 |
46
Shares/ Principal Amount | Value | ||||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 5.625%, 10/15/21 | $ | 255,000 | $ | 269,981 | |||
MGM Resorts International, 8.625%, 2/1/19 | 75,000 | 86,625 | |||||
MGM Resorts International, 5.25%, 3/31/20 | 140,000 | 144,900 | |||||
MGM Resorts International, 6.00%, 3/15/23 | 85,000 | 88,506 | |||||
Pinnacle Entertainment, 7.50%, 4/15/21 | 165,000 | 175,931 | |||||
Royal Caribbean Cruises Ltd., 5.25%, 11/15/22 | 80,000 | 84,800 | |||||
Scientific Games International, Inc., 6.25%, 9/1/20 | 40,000 | 30,800 | |||||
Scientific Games International, Inc., 7.00%, 1/1/22(2) | 50,000 | 52,375 | |||||
Scientific Games International, Inc., 10.00%, 12/1/22 | 105,000 | 102,113 | |||||
Station Casinos LLC, 7.50%, 3/1/21 | 400,000 | 428,000 | |||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(2) | 40,000 | 40,200 | |||||
Wynn Macau Ltd., 5.25%, 10/15/21(2) | 200,000 | 195,500 | |||||
2,417,662 | |||||||
Household Durables — 0.2% | |||||||
Beazer Homes USA, Inc., 8.125%, 6/15/16 | 125,000 | 132,188 | |||||
Beazer Homes USA, Inc., 7.25%, 2/1/23 | 20,000 | 19,600 | |||||
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., 6.125%, 7/1/22(2) | 125,000 | 126,250 | |||||
Century Communities, Inc., 6.875%, 5/15/22 | 30,000 | 30,000 | |||||
K Hovnanian Enterprises, Inc., 7.00%, 1/15/19(2) | 470,000 | 441,800 | |||||
KB Home, 4.75%, 5/15/19 | 35,000 | 35,000 | |||||
Meritage Homes Corp., 7.00%, 4/1/22 | 125,000 | 135,000 | |||||
Shea Homes LP / Shea Homes Funding Corp., 5.875%, 4/1/23(2) | 100,000 | 103,500 | |||||
Standard Pacific Corp., 8.375%, 5/15/18 | 345,000 | 396,750 | |||||
Taylor Morrison Communities, Inc. / Monarch Communities, Inc., 5.625%, 3/1/24(2) | 180,000 | 177,750 | |||||
Toll Brothers Finance Corp., 4.00%, 12/31/18 | 100,000 | 102,750 | |||||
Toll Brothers Finance Corp., 6.75%, 11/1/19 | 50,000 | 56,625 | |||||
TRI Pointe Holdings, Inc., 5.875%, 6/15/24(2) | 200,000 | 197,500 | |||||
WCI Communities, Inc., 6.875%, 8/15/21 | 160,000 | 167,600 | |||||
William Lyon Homes, Inc., 8.50%, 11/15/20 | 125,000 | 136,562 | |||||
2,258,875 | |||||||
Household Products — 0.1% | |||||||
Energizer SpinCo, Inc., 5.50%, 6/15/25(2)(3) | 65,000 | 65,163 | |||||
Spectrum Brands, Inc., 6.375%, 11/15/20 | 305,000 | 327,112 | |||||
Spectrum Brands, Inc., 6.625%, 11/15/22 | 130,000 | 140,075 | |||||
Spectrum Brands, Inc., 5.75%, 7/15/25(2) | 75,000 | 77,437 | |||||
609,787 | |||||||
Industrial Conglomerates — 0.1% | |||||||
Algeco Scotsman Global Finance plc, 10.75%, 10/15/19(2) | 80,000 | 64,600 | |||||
General Electric Co., 5.25%, 12/6/17 | 190,000 | 208,674 | |||||
General Electric Co., 4.125%, 10/9/42 | 90,000 | 89,869 | |||||
HD Supply, Inc., 7.50%, 7/15/20 | 285,000 | 309,581 | |||||
HD Supply, Inc., 5.25%, 12/15/21(2) | 100,000 | 104,375 |
47
Shares/ Principal Amount | Value | ||||||
Ingersoll-Rand Luxembourg Finance SA, 3.55%, 11/1/24 | $ | 50,000 | $ | 50,106 | |||
Jack Cooper Holdings Corp., 10.25%, 6/1/20(2) | 35,000 | 30,844 | |||||
Signode Industrial Group Lux SA / Signode Industrial Group US, Inc., 6.375%, 5/1/22(2) | 135,000 | 135,675 | |||||
993,724 | |||||||
Insurance — 0.3% | |||||||
ACE INA Holdings, Inc., 3.15%, 3/15/25 | 50,000 | 49,944 | |||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, 4.50%, 5/15/21(2) | 100,000 | 104,250 | |||||
Allianz SE, MTN, VRN, 4.75%, 10/24/23 | EUR | 100,000 | 123,896 | ||||
Allstate Corp. (The), VRN, 5.75%, 8/15/23 | $ | 30,000 | 32,344 | ||||
American International Group, Inc., 4.875%, 6/1/22 | 140,000 | 156,236 | |||||
American International Group, Inc., 4.50%, 7/16/44 | 40,000 | 39,942 | |||||
American International Group, Inc., MTN, 5.85%, 1/16/18 | 120,000 | 132,980 | |||||
AXA SA, 7.125%, 12/15/20 | GBP | 20,000 | 36,781 | ||||
Berkshire Hathaway Finance Corp., 4.25%, 1/15/21 | $ | 70,000 | 77,441 | ||||
Berkshire Hathaway Finance Corp., 3.00%, 5/15/22 | 40,000 | 41,092 | |||||
Berkshire Hathaway, Inc., 4.50%, 2/11/43 | 50,000 | 52,282 | |||||
CNP Assurances, VRN, 4.00%, 11/18/24 | EUR | 100,000 | 114,004 | ||||
Generali Finance BV, MTN, VRN, 4.60%, 11/21/25 | EUR | 100,000 | 112,301 | ||||
Genworth Financial, Inc., 7.625%, 9/24/21 | $ | 35,000 | 37,100 | ||||
Genworth Financial, Inc., VRN, 6.15%, 11/15/16 | 135,000 | 85,050 | |||||
Hartford Financial Services Group, Inc. (The), 5.95%, 10/15/36 | 20,000 | 24,292 | |||||
International Lease Finance Corp., 8.75%, 3/15/17 | 205,000 | 227,037 | |||||
International Lease Finance Corp., 6.25%, 5/15/19 | 125,000 | 139,062 | |||||
Liberty Mutual Group, Inc., 4.85%, 8/1/44(2) | 60,000 | 60,430 | |||||
Liberty Mutual Group, Inc., VRN, 7.00%, 3/15/17(2) | 175,000 | 180,469 | |||||
Lincoln National Corp., 6.25%, 2/15/20 | 100,000 | 116,869 | |||||
Markel Corp., 4.90%, 7/1/22 | 70,000 | 76,679 | |||||
Markel Corp., 3.625%, 3/30/23 | 20,000 | 20,179 | |||||
MetLife, Inc., 1.76%, 12/15/17 | 40,000 | 40,477 | |||||
MetLife, Inc., 4.125%, 8/13/42 | 30,000 | 29,040 | |||||
MetLife, Inc., 4.875%, 11/13/43 | 30,000 | 32,421 | |||||
Principal Financial Group, Inc., 3.30%, 9/15/22 | 30,000 | 30,440 | |||||
Prudential Financial, Inc., MTN, 5.375%, 6/21/20 | 60,000 | 68,362 | |||||
Prudential Financial, Inc., MTN, 5.625%, 5/12/41 | 70,000 | 79,149 | |||||
TIAA Asset Management Finance Co. LLC, 4.125%, 11/1/24(2) | 40,000 | 41,443 | |||||
Travelers Cos., Inc. (The), 4.60%, 8/1/43 | 40,000 | 43,085 | |||||
Voya Financial, Inc., 5.50%, 7/15/22 | 80,000 | 91,554 | |||||
Voya Financial, Inc., 5.70%, 7/15/43 | 50,000 | 59,169 | |||||
Voya Financial, Inc., VRN, 5.65%, 5/15/23 | 125,000 | 130,312 | |||||
WR Berkley Corp., 4.625%, 3/15/22 | 40,000 | 43,067 | |||||
WR Berkley Corp., 4.75%, 8/1/44 | 30,000 | 30,016 | |||||
2,759,195 | |||||||
Internet Software and Services† | |||||||
Equinix, Inc., 5.375%, 4/1/23 | 70,000 | 72,450 |
48
Shares/ Principal Amount | Value | ||||||
IAC / InterActiveCorp, 4.75%, 12/15/22 | $ | 75,000 | $ | 74,906 | |||
Netflix, Inc., 5.375%, 2/1/21 | 40,000 | 41,900 | |||||
Netflix, Inc., 5.75%, 3/1/24 | 175,000 | 183,750 | |||||
VeriSign, Inc., 4.625%, 5/1/23 | 40,000 | 39,700 | |||||
VeriSign, Inc., 5.25%, 4/1/25(2) | 40,000 | 40,900 | |||||
453,606 | |||||||
IT Services — 0.1% | |||||||
Audatex North America, Inc., 6.00%, 6/15/21(2) | 100,000 | 104,729 | |||||
CDW LLC / CDW Finance Corp., 5.00%, 9/1/23 | 65,000 | 66,835 | |||||
CDW LLC / CDW Finance Corp., 5.50%, 12/1/24 | 70,000 | 73,500 | |||||
Fidelity National Information Services, Inc., 3.50%, 4/15/23 | 40,000 | 39,611 | |||||
First Data Corp., 7.375%, 6/15/19(2) | 250,000 | 260,625 | |||||
First Data Corp., 8.875%, 8/15/20(2) | 100,000 | 106,000 | |||||
First Data Corp., 8.25%, 1/15/21(2) | 505,000 | 539,719 | |||||
First Data Corp., 12.625%, 1/15/21 | 20,000 | 23,475 | |||||
First Data Corp., 11.75%, 8/15/21 | 199,000 | 228,104 | |||||
Xerox Corp., 2.95%, 3/15/17 | 30,000 | 30,844 | |||||
1,473,442 | |||||||
Life Sciences Tools and Services† | |||||||
Thermo Fisher Scientific, Inc., 3.60%, 8/15/21 | 65,000 | 67,287 | |||||
Thermo Fisher Scientific, Inc., 3.30%, 2/15/22 | 20,000 | 20,254 | |||||
Thermo Fisher Scientific, Inc., 4.15%, 2/1/24 | 60,000 | 62,986 | |||||
Thermo Fisher Scientific, Inc., 5.30%, 2/1/44 | 50,000 | 56,057 | |||||
206,584 | |||||||
Machinery† | |||||||
Case New Holand, Inc., 7.875%, 12/1/17 | 170,000 | 188,912 | |||||
Huntington Ingalls Industries, Inc., 7.125%, 3/15/21 | 120,000 | 129,000 | |||||
Navistar International Corp., 8.25%, 11/1/21 | 50,000 | 50,250 | |||||
Terex Corp., 6.50%, 4/1/20 | 50,000 | 52,625 | |||||
420,787 | |||||||
Marine† | |||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., 7.25%, 2/15/21 | 320,000 | 320,000 | |||||
Media — 0.7% | |||||||
21st Century Fox America, Inc., 6.90%, 8/15/39 | 100,000 | 130,787 | |||||
21st Century Fox America, Inc., 4.75%, 9/15/44 | 30,000 | 30,622 | |||||
Altice Financing SA, 6.50%, 1/15/22(2) | 145,000 | 149,350 | |||||
Altice Financing SA, 6.625%, 2/15/23(2) | 130,000 | 135,037 | |||||
Altice Finco SA, 7.625%, 2/15/25(2) | 115,000 | 118,162 | |||||
Altice SA, 7.75%, 5/15/22(2) | 165,000 | 167,062 | |||||
Altice SA, 7.625%, 2/15/25(2) | 90,000 | 89,100 | |||||
Cablevision Systems Corp., 5.875%, 9/15/22 | 150,000 | 150,000 | |||||
CBS Corp., 3.50%, 1/15/25 | 50,000 | 48,749 | |||||
CBS Corp., 4.85%, 7/1/42 | 30,000 | 28,677 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 7.375%, 6/1/20 | 135,000 | 144,112 |
49
Shares/ Principal Amount | Value | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, 9/30/22 | $ | 260,000 | $ | 264,550 | |||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/23(2) | 145,000 | 146,269 | |||||
Cequel Communications Holdings I LLC / Cequel Capital Corp., 5.125%, 12/15/21(2) | 60,000 | 57,075 | |||||
Cinemark USA, Inc., 5.125%, 12/15/22 | 55,000 | 56,306 | |||||
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/20 | 220,000 | 233,475 | |||||
Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22 | 100,000 | 106,250 | |||||
Comcast Corp., 6.40%, 5/15/38 | 100,000 | 126,952 | |||||
Comcast Corp., 4.75%, 3/1/44 | 30,000 | 31,835 | |||||
CSC Holdings LLC, 7.625%, 7/15/18 | 150,000 | 166,500 | |||||
CSC Holdings LLC, 6.75%, 11/15/21 | 120,000 | 130,950 | |||||
Cumulus Media Holdings, Inc., 7.75%, 5/1/19 | 125,000 | 117,969 | |||||
DirecTV Holdings LLC / DirecTV Financing Co., Inc., 5.00%, 3/1/21 | 70,000 | 77,136 | |||||
DirecTV Holdings LLC / DirecTV Financing Co., Inc., 4.45%, 4/1/24 | 50,000 | 52,423 | |||||
Discovery Communications LLC, 5.625%, 8/15/19 | 50,000 | 56,285 | |||||
Discovery Communications LLC, 3.25%, 4/1/23 | 30,000 | 29,182 | |||||
DISH DBS Corp., 4.625%, 7/15/17 | 130,000 | 135,362 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 260,000 | 278,362 | |||||
DISH DBS Corp., 5.00%, 3/15/23 | 130,000 | 126,100 | |||||
DISH DBS Corp., 5.875%, 11/15/24 | 80,000 | 80,400 | |||||
Embarq Corp., 8.00%, 6/1/36 | 40,000 | 46,000 | |||||
Gannett Co., Inc., 5.50%, 9/15/24(2) | 130,000 | 132,600 | |||||
Gray Television, Inc., 7.50%, 10/1/20 | 75,000 | 80,250 | |||||
iHeartCommunications, Inc., 9.00%, 3/1/21 | 135,000 | 128,081 | |||||
iHeartCommunications, Inc., PIK, 14.00%, 2/1/21 | 160,165 | 123,928 | |||||
Interpublic Group of Cos., Inc. (The), 4.00%, 3/15/22 | 30,000 | 31,215 | |||||
Lamar Media Corp., 5.875%, 2/1/22 | 115,000 | 121,756 | |||||
Lamar Media Corp., 5.00%, 5/1/23 | 140,000 | 142,800 | |||||
McClatchy Co. (The), 9.00%, 12/15/22 | 50,000 | 48,938 | |||||
NBCUniversal Media LLC, 5.15%, 4/30/20 | 60,000 | 68,294 | |||||
NBCUniversal Media LLC, 4.375%, 4/1/21 | 50,000 | 54,951 | |||||
NBCUniversal Media LLC, 2.875%, 1/15/23 | 150,000 | 149,002 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 4.50%, 10/1/20 | 108,000 | 110,160 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 5.00%, 4/15/22(2) | 35,000 | 35,263 | |||||
Numericable-SFR SAS, 6.00%, 5/15/22(2) | 380,000 | 384,750 | |||||
Omnicom Group, Inc., 3.625%, 5/1/22 | 10,000 | 10,239 | |||||
Regal Entertainment Group, 5.75%, 3/15/22 | 100,000 | 103,375 | |||||
RR Donnelley & Sons Co., 7.25%, 5/15/18 | 27,000 | 29,970 | |||||
RR Donnelley & Sons Co., 6.00%, 4/1/24 | 130,000 | 134,712 | |||||
Sable International Finance Ltd., 8.75%, 2/1/20(2) | 125,000 | 135,000 | |||||
Scripps Networks Interactive, Inc., 2.80%, 6/15/20(3) | 30,000 | 29,922 | |||||
Sinclair Television Group, Inc., 5.375%, 4/1/21 | 100,000 | 102,125 | |||||
Sinclair Television Group, Inc., 5.625%, 8/1/24(2) | 80,000 | 81,200 | |||||
Sirius XM Radio, Inc., 4.25%, 5/15/20(2) | 75,000 | 75,094 |
50
Shares/ Principal Amount | Value | ||||||
Sirius XM Radio, Inc., 5.875%, 10/1/20(2) | $ | 125,000 | $ | 130,469 | |||
Sirius XM Radio, Inc., 5.75%, 8/1/21(2) | 125,000 | 130,625 | |||||
Sirius XM Radio, Inc., 6.00%, 7/15/24(2) | 90,000 | 93,618 | |||||
Sirius XM Radio, Inc., 5.375%, 4/15/25(2) | 55,000 | 55,220 | |||||
Time Warner Cable, Inc., 6.75%, 7/1/18 | 35,000 | 39,296 | |||||
Time Warner Cable, Inc., 5.50%, 9/1/41 | 30,000 | 28,973 | |||||
Time Warner Cable, Inc., 4.50%, 9/15/42 | 30,000 | 25,999 | |||||
Time Warner, Inc., 7.70%, 5/1/32 | 130,000 | 176,652 | |||||
Time Warner, Inc., 5.35%, 12/15/43 | 40,000 | 43,506 | |||||
Unitymedia KabelBW GmbH, 6.125%, 1/15/25(2) | 90,000 | 93,375 | |||||
Univision Communications, Inc., 8.50%, 5/15/21(2) | 110,000 | 117,700 | |||||
Univision Communications, Inc., 5.125%, 2/15/25(2) | 170,000 | 169,490 | |||||
UPCB Finance IV Ltd., 5.375%, 1/15/25(2) | 125,000 | 125,781 | |||||
Viacom, Inc., 4.50%, 3/1/21 | 30,000 | 32,192 | |||||
Viacom, Inc., 3.125%, 6/15/22 | 50,000 | 48,709 | |||||
Videotron Ltee, 5.00%, 7/15/22 | 175,000 | 181,344 | |||||
Virgin Media Secured Finance plc, 5.25%, 1/15/26(2) | 105,000 | 105,394 | |||||
Visant Corp., 10.00%, 10/1/17 | 85,000 | 72,038 | |||||
Walt Disney Co. (The), MTN, 2.35%, 12/1/22 | 60,000 | 59,013 | |||||
Walt Disney Co. (The), MTN, 4.125%, 6/1/44 | 30,000 | 30,440 | |||||
Wind Acquisition Finance SA, 4.75%, 7/15/20(2) | 130,000 | 131,300 | |||||
Wind Acquisition Finance SA, 7.375%, 4/23/21(2) | 135,000 | 141,075 | |||||
WMG Acquisition Corp., 5.625%, 4/15/22(2) | 160,000 | 163,600 | |||||
Ziggo Bond Finance BV, 5.875%, 1/15/25(2) | 85,000 | 87,019 | |||||
8,107,492 | |||||||
Metals and Mining — 0.2% | |||||||
AK Steel Corp., 7.625%, 5/15/20 | 80,000 | 70,900 | |||||
Alcoa, Inc., 5.40%, 4/15/21 | 110,000 | 120,037 | |||||
Alcoa, Inc., 5.125%, 10/1/24 | 155,000 | 166,237 | |||||
Alcoa, Inc., 5.95%, 2/1/37 | 60,000 | 62,700 | |||||
Aleris International, Inc., 7.625%, 2/15/18 | 48,000 | 49,920 | |||||
Allegheny Technologies, Inc., 5.95%, 1/15/21 | 65,000 | 67,763 | |||||
AngloGold Ashanti Holdings plc, 8.50%, 7/30/20 | 155,000 | 169,835 | |||||
ArcelorMittal, 5.25%, 2/25/17 | 230,000 | 240,350 | |||||
ArcelorMittal, 6.125%, 6/1/18 | 200,000 | 215,000 | |||||
ArcelorMittal, 6.25%, 3/1/21 | 75,000 | 79,406 | |||||
ArcelorMittal, 6.125%, 6/1/25(3) | 25,000 | 25,469 | |||||
ArcelorMittal, 7.50%, 3/1/41 | 290,000 | 293,625 | |||||
Barrick North America Finance LLC, 4.40%, 5/30/21 | 90,000 | 93,427 | |||||
Barrick North America Finance LLC, 5.75%, 5/1/43 | 30,000 | 30,233 | |||||
Cliffs Natural Resources, Inc., 8.25%, 3/31/20(2) | 100,000 | 97,000 | |||||
First Quantum Minerals Ltd., 6.75%, 2/15/20(2) | 45,000 | 44,213 | |||||
First Quantum Minerals Ltd., 7.00%, 2/15/21(2) | 50,000 | 48,688 | |||||
First Quantum Minerals Ltd., 7.25%, 5/15/22(2) | 160,000 | 154,600 | |||||
FMG Resources August 2006 Pty Ltd., 8.25%, 11/1/19(2) | 85,000 | 78,200 | |||||
Freeport-McMoRan, Inc., 4.55%, 11/14/24 | 20,000 | 19,171 |
51
Shares/ Principal Amount | Value | ||||||
Glencore Finance Canada Ltd., 4.95%, 11/15/21(2) | $ | 50,000 | $ | 53,777 | |||
Newmont Mining Corp., 6.25%, 10/1/39 | 30,000 | 30,359 | |||||
PT FMG Resources August 2006 Pty Ltd., 9.75%, 3/1/22(2) | 115,000 | 121,037 | |||||
Southern Copper Corp., 5.25%, 11/8/42 | 20,000 | 18,055 | |||||
Steel Dynamics, Inc., 5.25%, 4/15/23 | 115,000 | 118,163 | |||||
Teck Resources Ltd., 3.15%, 1/15/17 | 60,000 | 60,912 | |||||
United States Steel Corp., 7.375%, 4/1/20 | 40,000 | 43,100 | |||||
Vale Overseas Ltd., 5.625%, 9/15/19 | 100,000 | 107,313 | |||||
Vale Overseas Ltd., 4.625%, 9/15/20 | 10,000 | 10,398 | |||||
2,689,888 | |||||||
Multi-Utilities — 0.3% | |||||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 50,000 | 50,628 | |||||
Calpine Corp., 5.375%, 1/15/23 | 145,000 | 146,450 | |||||
Calpine Corp., 5.75%, 1/15/25 | 225,000 | 227,531 | |||||
CenterPoint Energy Houston Electric LLC, 3.55%, 8/1/42 | 10,000 | 9,268 | |||||
Consolidated Edison Co. of New York, Inc., 3.95%, 3/1/43 | 40,000 | 38,219 | |||||
Constellation Energy Group, Inc., 5.15%, 12/1/20 | 70,000 | 78,134 | |||||
Consumers Energy Co., 2.85%, 5/15/22 | 20,000 | 20,215 | |||||
Consumers Energy Co., 3.375%, 8/15/23 | 70,000 | 73,066 | |||||
Dominion Resources, Inc., 6.40%, 6/15/18 | 120,000 | 136,471 | |||||
Dominion Resources, Inc., 2.75%, 9/15/22 | 50,000 | 49,241 | |||||
Dominion Resources, Inc., 3.625%, 12/1/24 | 50,000 | 50,717 | |||||
Dominion Resources, Inc., 4.90%, 8/1/41 | 30,000 | 31,773 | |||||
Duke Energy Florida, Inc., 6.35%, 9/15/37 | 51,000 | 68,073 | |||||
Duke Energy Florida, Inc., 3.85%, 11/15/42 | 40,000 | 38,465 | |||||
Duke Energy Progress, Inc., 4.15%, 12/1/44 | 40,000 | 40,654 | |||||
Dynegy, Inc., 6.75%, 11/1/19(2) | 75,000 | 79,688 | |||||
Dynegy, Inc., 7.375%, 11/1/22(2) | 380,000 | 406,600 | |||||
Dynegy, Inc., 7.625%, 11/1/24(2) | 60,000 | 64,650 | |||||
Edison International, 3.75%, 9/15/17 | 90,000 | 94,928 | |||||
Exelon Generation Co. LLC, 4.25%, 6/15/22 | 40,000 | 41,110 | |||||
Exelon Generation Co. LLC, 5.60%, 6/15/42 | 30,000 | 32,658 | |||||
GDF Suez, VRN, 4.75%, 7/10/21 | EUR | 100,000 | 123,361 | ||||
GenOn Energy, Inc., 9.50%, 10/15/18 | $ | 165,000 | 171,187 | ||||
GenOn Energy, Inc., 9.875%, 10/15/20 | 80,000 | 82,800 | |||||
Georgia Power Co., 4.30%, 3/15/42 | 30,000 | 29,839 | |||||
IPALCO Enterprises, Inc., 5.00%, 5/1/18 | 90,000 | 95,850 | |||||
Nisource Finance Corp., 5.65%, 2/1/45 | 40,000 | 47,327 | |||||
NRG Energy, Inc., 7.625%, 1/15/18 | 150,000 | 167,550 | |||||
NRG Energy, Inc., 6.25%, 7/15/22 | 50,000 | 52,625 | |||||
NRG Energy, Inc., 6.25%, 5/1/24 | 155,000 | 159,263 | |||||
PacifiCorp, 6.00%, 1/15/39 | 30,000 | 37,861 | |||||
Potomac Electric Power Co., 3.60%, 3/15/24 | 40,000 | 41,970 | |||||
PPL Energy Supply LLC, 6.50%, 6/1/25(2) | 95,000 | 96,930 | |||||
Progress Energy, Inc., 3.15%, 4/1/22 | 40,000 | 40,777 | |||||
RJS Power Holdings LLC, 5.125%, 7/15/19(2) | 80,000 | 79,900 |
52
Shares/ Principal Amount | Value | ||||||
Sempra Energy, 6.50%, 6/1/16 | $ | 40,000 | $ | 42,263 | |||
Sempra Energy, 2.40%, 3/15/20 | 30,000 | 30,192 | |||||
Sempra Energy, 2.875%, 10/1/22 | 70,000 | 69,550 | |||||
Southern Power Co., 5.15%, 9/15/41 | 20,000 | 21,559 | |||||
SSE plc, VRN, 2.375%, 4/1/21 | EUR | 100,000 | 108,487 | ||||
Virginia Electric and Power Co., 4.45%, 2/15/44 | $ | 20,000 | 21,012 | ||||
Xcel Energy, Inc., 4.80%, 9/15/41 | 20,000 | 21,634 | |||||
3,320,476 | |||||||
Multiline Retail — 0.1% | |||||||
Bon-Ton Department Stores, Inc. (The), 8.00%, 6/15/21 | 70,000 | 57,225 | |||||
Macy's Retail Holdings, Inc., 3.625%, 6/1/24 | 140,000 | 143,511 | |||||
Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/21(2) | 180,000 | 193,950 | |||||
Target Corp., 4.00%, 7/1/42 | 100,000 | 97,354 | |||||
492,040 | |||||||
Oil, Gas and Consumable Fuels — 0.7% | |||||||
Alpha Natural Resources, Inc., 6.00%, 6/1/19 | 155,000 | 23,250 | |||||
Alpha Natural Resources, Inc., 7.50%, 8/1/20(2) | 20,000 | 4,850 | |||||
AmeriGas Finance LLC / AmeriGas Finance Corp., 6.75%, 5/20/20 | 120,000 | 129,000 | |||||
Anadarko Petroleum Corp., 5.95%, 9/15/16 | 70,000 | 74,204 | |||||
Anadarko Petroleum Corp., 6.45%, 9/15/36 | 40,000 | 47,933 | |||||
Antero Resources Corp., 5.125%, 12/1/22 | 170,000 | 170,425 | |||||
Antero Resources Corp., 5.625%, 6/1/23(2) | 35,000 | 36,120 | |||||
Apache Corp., 4.75%, 4/15/43 | 30,000 | 29,014 | |||||
BreitBurn Energy Partners LP / BreitBurn Finance Corp., 7.875%, 4/15/22 | 35,000 | 30,975 | |||||
California Resources Corp., 5.50%, 9/15/21 | 185,000 | 176,212 | |||||
California Resources Corp., 6.00%, 11/15/24 | 200,000 | 185,000 | |||||
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.50%, 4/15/21 | 70,000 | 70,437 | |||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 135,000 | 143,606 | |||||
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 | 70,000 | 71,575 | |||||
Chaparral Energy, Inc., 7.625%, 11/15/22 | 35,000 | 28,175 | |||||
Chesapeake Energy Corp., 6.625%, 8/15/20 | 205,000 | 216,275 | |||||
Chesapeake Energy Corp., 5.375%, 6/15/21 | 100,000 | 99,000 | |||||
Chesapeake Energy Corp., 4.875%, 4/15/22 | 145,000 | 138,837 | |||||
Chesapeake Energy Corp., 5.75%, 3/15/23 | 75,000 | 74,437 | |||||
Chevron Corp., 2.43%, 6/24/20 | 30,000 | 30,638 | |||||
Cimarex Energy Co., 5.875%, 5/1/22 | 60,000 | 65,025 | |||||
Cimarex Energy Co., 4.375%, 6/1/24 | 70,000 | 72,056 | |||||
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 | 50,000 | 52,601 | |||||
Comstock Resources, Inc., 10.00%, 3/15/20(2) | 65,000 | 62,522 | |||||
Concho Resources, Inc., 5.50%, 10/1/22 | 195,000 | 198,900 | |||||
Concho Resources, Inc., 5.50%, 4/1/23 | 195,000 | 198,900 | |||||
ConocoPhillips Holding Co., 6.95%, 4/15/29 | 30,000 | 39,564 | |||||
CONSOL Energy, Inc., 5.875%, 4/15/22 | 90,000 | 84,994 | |||||
Denbury Resources, Inc., 5.50%, 5/1/22 | 60,000 | 57,563 |
53
Shares/ Principal Amount | Value | ||||||
Denbury Resources, Inc., 4.625%, 7/15/23 | $ | 125,000 | $ | 114,687 | |||
Ecopetrol SA, 4.125%, 1/16/25 | 30,000 | 28,440 | |||||
Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19 | 100,000 | 45,750 | |||||
Energy XXI Gulf Coast, Inc., 6.875%, 3/15/24(2) | 100,000 | 35,500 | |||||
EOG Resources, Inc., 5.625%, 6/1/19 | 120,000 | 137,137 | |||||
EOG Resources, Inc., 4.10%, 2/1/21 | 40,000 | 43,367 | |||||
EP Energy LLC / Everest Acquisition Finance, Inc., 9.375%, 5/1/20 | 250,000 | 273,125 | |||||
EP Energy LLC / Everest Acquisition Finance, Inc., 6.375%, 6/15/23(2) | 55,000 | 55,138 | |||||
EXCO Resources, Inc., 7.50%, 9/15/18 | 120,000 | 83,100 | |||||
Exxon Mobil Corp., 2.71%, 3/6/25 | 80,000 | 79,428 | |||||
Halcon Resources Corp., 8.625%, 2/1/20(2) | 65,000 | 66,138 | |||||
Halcon Resources Corp., 8.875%, 5/15/21 | 130,000 | 91,975 | |||||
Hess Corp., 6.00%, 1/15/40 | 30,000 | 33,071 | |||||
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 10/1/25(2)(3) | 70,000 | 70,000 | |||||
Laredo Petroleum, Inc., 5.625%, 1/15/22 | 65,000 | 65,488 | |||||
Laredo Petroleum, Inc., 6.25%, 3/15/23 | 80,000 | 83,000 | |||||
Linn Energy LLC / Linn Energy Finance Corp., 6.50%, 5/15/19 | 100,000 | 86,750 | |||||
Linn Energy LLC / Linn Energy Finance Corp., 8.625%, 4/15/20 | 150,000 | 136,406 | |||||
Linn Energy LLC / Linn Energy Finance Corp., 6.50%, 9/15/21 | 80,000 | 64,600 | |||||
Marathon Petroleum Corp., 3.50%, 3/1/16 | 30,000 | 30,573 | |||||
MEG Energy Corp., 7.00%, 3/31/24(2) | 150,000 | 145,500 | |||||
Newfield Exploration Co., 5.75%, 1/30/22 | 70,000 | 74,200 | |||||
Newfield Exploration Co., 5.625%, 7/1/24 | 88,000 | 93,060 | |||||
Noble Energy, Inc., 4.15%, 12/15/21 | 110,000 | 116,192 | |||||
Oasis Petroleum, Inc., 6.875%, 3/15/22 | 125,000 | 128,437 | |||||
Peabody Energy Corp., 6.00%, 11/15/18 | 163,000 | 116,545 | |||||
Peabody Energy Corp., 6.50%, 9/15/20 | 50,000 | 26,000 | |||||
Peabody Energy Corp., 6.25%, 11/15/21 | 125,000 | 62,188 | |||||
Peabody Energy Corp., 10.00%, 3/15/22(2) | 45,000 | 34,425 | |||||
Pemex Project Funding Master Trust, 6.625%, 6/15/35 | 30,000 | 33,840 | |||||
Penn Virginia Corp., 8.50%, 5/1/20 | 65,000 | 61,913 | |||||
Petro-Canada, 6.80%, 5/15/38 | 60,000 | 77,539 | |||||
Petrobras Global Finance BV, 5.75%, 1/20/20 | 140,000 | 140,196 | |||||
Petrobras Global Finance BV, 5.375%, 1/27/21 | 50,000 | 48,900 | |||||
Petrobras Global Finance BV, 5.625%, 5/20/43 | 20,000 | 16,566 | |||||
Petroleos Mexicanos, 6.00%, 3/5/20 | 80,000 | 90,584 | |||||
Petroleos Mexicanos, 4.875%, 1/24/22 | 20,000 | 21,070 | |||||
Petroleos Mexicanos, 3.50%, 1/30/23 | 30,000 | 29,063 | |||||
Petroleos Mexicanos, 5.50%, 6/27/44 | 60,000 | 58,740 | |||||
Phillips 66, 4.30%, 4/1/22 | 120,000 | 129,189 | |||||
Phillips 66, 4.65%, 11/15/34 | 50,000 | 50,797 | |||||
QEP Resources, Inc., 5.375%, 10/1/22 | 425,000 | 429,250 | |||||
QEP Resources, Inc., 5.25%, 5/1/23 | 100,000 | 100,500 |
54
Shares/ Principal Amount | Value | ||||||
Range Resources Corp., 5.75%, 6/1/21 | $ | 100,000 | $ | 104,250 | |||
Range Resources Corp., 5.00%, 8/15/22 | 155,000 | 155,000 | |||||
Rice Energy, Inc., 6.25%, 5/1/22 | 50,000 | 51,531 | |||||
Rosetta Resources, Inc., 5.875%, 6/1/22 | 65,000 | 69,712 | |||||
Samson Investment Co., 9.75%, 2/15/20 | 95,000 | 8,313 | |||||
Sanchez Energy Corp., 6.125%, 1/15/23 | 90,000 | 85,950 | |||||
SandRidge Energy, Inc., 7.50%, 3/15/21 | 205,000 | 118,387 | |||||
SandRidge Energy, Inc., 7.50%, 2/15/23 | 60,000 | 33,600 | |||||
Shell International Finance BV, 2.375%, 8/21/22 | 80,000 | 78,443 | |||||
Shell International Finance BV, 3.625%, 8/21/42 | 30,000 | 27,473 | |||||
Shell International Finance BV, 4.55%, 8/12/43 | 4,000 | 4,193 | |||||
SM Energy Co., 5.00%, 1/15/24 | 70,000 | 68,950 | |||||
Statoil ASA, 2.45%, 1/17/23 | 80,000 | 78,073 | |||||
Statoil ASA, 4.80%, 11/8/43 | 40,000 | 44,005 | |||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.50%, 6/1/24 | 100,000 | 103,750 | |||||
Talisman Energy, Inc., 7.75%, 6/1/19 | 40,000 | 46,552 | |||||
Tesoro Corp., 4.25%, 10/1/17 | 100,000 | 104,000 | |||||
Total Capital Canada Ltd., 2.75%, 7/15/23 | 40,000 | 39,474 | |||||
Total Capital SA, 2.125%, 8/10/18 | 50,000 | 50,992 | |||||
Whiting Petroleum Corp., 5.75%, 3/15/21 | 150,000 | 153,375 | |||||
WPX Energy, Inc., 5.25%, 1/15/17 | 125,000 | 128,750 | |||||
7,875,228 | |||||||
Paper and Forest Products† | |||||||
Georgia-Pacific LLC, 2.54%, 11/15/19(2) | 70,000 | 70,413 | |||||
International Paper Co., 6.00%, 11/15/41 | 30,000 | 33,703 | |||||
104,116 | |||||||
Personal Products† | |||||||
Avon Products, Inc., 5.75%, 3/15/23 | 85,000 | 74,375 | |||||
Pharmaceuticals — 0.2% | |||||||
AbbVie, Inc., 1.75%, 11/6/17 | 60,000 | 60,246 | |||||
AbbVie, Inc., 2.90%, 11/6/22 | 70,000 | 68,926 | |||||
AbbVie, Inc., 4.40%, 11/6/42 | 80,000 | 77,595 | |||||
Actavis Funding SCS, 3.85%, 6/15/24 | 70,000 | 70,767 | |||||
Actavis Funding SCS, 4.55%, 3/15/35 | 40,000 | 39,618 | |||||
Actavis, Inc., 1.875%, 10/1/17 | 70,000 | 70,226 | |||||
Actavis, Inc., 3.25%, 10/1/22 | 90,000 | 88,910 | |||||
Actavis, Inc., 4.625%, 10/1/42 | 30,000 | 29,321 | |||||
Endo Finance LLC / Endo Finco, Inc., 7.00%, 7/15/19(2) | 90,000 | 93,825 | |||||
Endo Finance LLC / Endo Finco, Inc., 7.00%, 12/15/20(2) | 35,000 | 36,969 | |||||
Endo Finance LLC / Endo Finco, Inc., 7.25%, 1/15/22(2) | 60,000 | 63,975 | |||||
Endo Finance LLC / Endo Finco, Inc., 5.375%, 1/15/23(2) | 120,000 | 117,600 | |||||
Endo Finance LLC / Endo Ltd. / Endo Finco, Inc., 6.00%, 2/1/25(2) | 130,000 | 132,275 | |||||
Merck & Co., Inc., 2.40%, 9/15/22 | 60,000 | 59,176 | |||||
Valeant Pharmaceuticals International, Inc., 5.375%, 3/15/20(2) | 100,000 | 104,500 |
55
Shares/ Principal Amount | Value | ||||||
Valeant Pharmaceuticals International, Inc., 6.375%, 10/15/20(2) | $ | 225,000 | $ | 240,609 | |||
Valeant Pharmaceuticals International, Inc., 7.50%, 7/15/21(2) | 65,000 | 71,273 | |||||
Valeant Pharmaceuticals International, Inc., 6.75%, 8/15/21(2) | 115,000 | 121,038 | |||||
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22(2) | 210,000 | 225,488 | |||||
Valeant Pharmaceuticals International, Inc., 5.50%, 3/1/23(2) | 150,000 | 153,375 | |||||
Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/23(2) | 75,000 | 77,906 | |||||
Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/25(2) | 235,000 | 245,281 | |||||
2,248,899 | |||||||
Real Estate Investment Trusts (REITs) — 0.1% | |||||||
American Tower Corp., 5.05%, 9/1/20 | 60,000 | 66,060 | |||||
Communications Sales & Leasing, Inc., 8.25%, 10/15/23(2) | 135,000 | 138,037 | |||||
Corrections Corp. of America, 4.125%, 4/1/20 | 100,000 | 102,000 | |||||
CTR Partnership LP / CareTrust Capital Corp., 5.875%, 6/1/21 | 75,000 | 77,438 | |||||
DDR Corp., 3.625%, 2/1/25 | 40,000 | 39,269 | |||||
Essex Portfolio LP, 3.625%, 8/15/22 | 20,000 | 20,459 | |||||
Essex Portfolio LP, 3.375%, 1/15/23 | 30,000 | 30,054 | |||||
Essex Portfolio LP, 3.25%, 5/1/23 | 20,000 | 19,816 | |||||
HCP, Inc., 3.75%, 2/1/16 | 60,000 | 61,112 | |||||
Health Care REIT, Inc., 2.25%, 3/15/18 | 20,000 | 20,273 | |||||
Health Care REIT, Inc., 3.75%, 3/15/23 | 60,000 | 60,775 | |||||
Hospitality Properties Trust, 4.65%, 3/15/24 | 120,000 | 121,800 | |||||
Hospitality Properties Trust, 4.50%, 3/15/25 | 40,000 | 40,079 | |||||
Host Hotels & Resorts LP, 3.75%, 10/15/23 | 30,000 | 30,035 | |||||
Kilroy Realty LP, 3.80%, 1/15/23 | 90,000 | 91,723 | |||||
MPT Operating Partnership LP / MPT Finance Corp., 6.875%, 5/1/21 | 140,000 | 150,675 | |||||
Omega Healthcare Investors, Inc., 5.875%, 3/15/24 | 50,000 | 53,375 | |||||
Realty Income Corp., 4.125%, 10/15/26 | 30,000 | 31,160 | |||||
RHP Hotel Properties LP / RHP Finance Corp., 5.00%, 4/15/21 | 75,000 | 76,500 | |||||
Senior Housing Properties Trust, 4.75%, 5/1/24 | 60,000 | 61,895 | |||||
Ventas Realty LP / Ventas Capital Corp., 4.75%, 6/1/21 | 40,000 | 43,945 | |||||
1,336,480 | |||||||
Real Estate Management and Development† | |||||||
CBRE Services, Inc., 5.00%, 3/15/23 | 125,000 | 129,375 | |||||
Realogy Group LLC / Realogy Co-Issuer Corp., 4.50%, 4/15/19(2) | 160,000 | 163,200 | |||||
292,575 | |||||||
Road and Rail† | |||||||
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20 | 103,000 | 109,337 | |||||
Burlington Northern Santa Fe LLC, 5.05%, 3/1/41 | 40,000 | 43,825 | |||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 60,000 | 60,152 | |||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 30,000 | 28,621 | |||||
CSX Corp., 4.25%, 6/1/21 | 50,000 | 54,846 | |||||
CSX Corp., 3.40%, 8/1/24 | 60,000 | 61,190 | |||||
Norfolk Southern Corp., 5.75%, 4/1/18 | 20,000 | 22,282 |
56
Shares/ Principal Amount | Value | ||||||
Union Pacific Corp., 4.75%, 9/15/41 | $ | 80,000 | $ | 87,870 | |||
468,123 | |||||||
Semiconductors and Semiconductor Equipment — 0.1% | |||||||
Advanced Micro Devices, Inc., 7.50%, 8/15/22 | 35,000 | 30,975 | |||||
Advanced Micro Devices, Inc., 7.00%, 7/1/24 | 75,000 | 63,375 | |||||
Amkor Technology, Inc., 6.375%, 10/1/22 | 75,000 | 77,156 | |||||
Freescale Semiconductor, Inc., 6.00%, 1/15/22(2) | 335,000 | 361,800 | |||||
Intel Corp., 1.35%, 12/15/17 | 60,000 | 60,303 | |||||
Micron Technology, Inc., 5.25%, 8/1/23(2) | 45,000 | 45,113 | |||||
Micron Technology, Inc., 5.50%, 2/1/25(2) | 135,000 | 134,311 | |||||
NXP BV / NXP Funding LLC, 5.75%, 2/15/21(2) | 50,000 | 52,938 | |||||
NXP BV / NXP Funding LLC, 5.75%, 3/15/23(2) | 50,000 | 53,375 | |||||
879,346 | |||||||
Software — 0.1% | |||||||
Activision Blizzard, Inc., 5.625%, 9/15/21(2) | 130,000 | 139,262 | |||||
Infor US, Inc., 6.50%, 5/15/22(2) | 100,000 | 104,140 | |||||
Intuit, Inc., 5.75%, 3/15/17 | 172,000 | 185,285 | |||||
Microsoft Corp., 2.375%, 5/1/23 | 30,000 | 29,662 | |||||
Microsoft Corp., 2.70%, 2/12/25 | 50,000 | 48,940 | |||||
Nuance Communications, Inc., 5.375%, 8/15/20(2) | 50,000 | 50,687 | |||||
Oracle Corp., 3.625%, 7/15/23 | 90,000 | 94,601 | |||||
Oracle Corp., 3.40%, 7/8/24 | 50,000 | 51,259 | |||||
703,836 | |||||||
Specialty Retail — 0.2% | |||||||
Asbury Automotive Group, Inc., 6.00%, 12/15/24 | 100,000 | 105,125 | |||||
Ashtead Capital, Inc., 5.625%, 10/1/24(2) | 70,000 | 73,325 | |||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.125%, 6/1/22(2) | 100,000 | 100,625 | |||||
Claire's Stores, Inc., 9.00%, 3/15/19(2) | 40,000 | 35,700 | |||||
Hertz Corp. (The), 6.75%, 4/15/19 | 125,000 | 129,687 | |||||
Hertz Corp. (The), 7.375%, 1/15/21 | 115,000 | 120,894 | |||||
Hertz Corp. (The), 6.25%, 10/15/22 | 65,000 | 67,113 | |||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 70,000 | 88,342 | |||||
Michaels Stores, Inc., 5.875%, 12/15/20(2) | 70,000 | 74,200 | |||||
Party City Holdings, Inc., 8.875%, 8/1/20 | 90,000 | 97,335 | |||||
Petco Animal Supplies, Inc., 9.25%, 12/1/18(2) | 145,000 | 152,431 | |||||
Rent-A-Center, Inc., 6.625%, 11/15/20 | 70,000 | 69,650 | |||||
Sally Holdings LLC / Sally Capital, Inc., 5.50%, 11/1/23 | 75,000 | 79,688 | |||||
Sonic Automotive, Inc., 7.00%, 7/15/22 | 80,000 | 87,200 | |||||
Sonic Automotive, Inc., 5.00%, 5/15/23 | 125,000 | 125,312 | |||||
Toys "R" Us Property Co. II LLC, 8.50%, 12/1/17 | 85,000 | 86,062 | |||||
United Rentals North America, Inc., 7.625%, 4/15/22 | 25,000 | 27,563 | |||||
United Rentals North America, Inc., 6.125%, 6/15/23 | 75,000 | 78,703 | |||||
United Rentals North America, Inc., 4.625%, 7/15/23 | 100,000 | 100,375 | |||||
United Rentals North America, Inc., 5.50%, 7/15/25 | 165,000 | 165,000 | |||||
1,864,330 |
57
Shares/ Principal Amount | Value | ||||||
Technology Hardware, Storage and Peripherals — 0.1% | |||||||
Apple, Inc., 1.00%, 5/3/18 | $ | 60,000 | $ | 59,495 | |||
Apple, Inc., 2.85%, 5/6/21 | 60,000 | 61,697 | |||||
Apple, Inc., 3.45%, 5/6/24 | 130,000 | 134,621 | |||||
CommScope Technologies Finance LLC, 6.00%, 6/15/25(3) | 140,000 | 142,100 | |||||
Dell, Inc., 2.30%, 9/10/15 | 40,000 | 40,050 | |||||
Dell, Inc., 5.875%, 6/15/19 | 120,000 | 129,900 | |||||
Hewlett-Packard Co., 4.30%, 6/1/21 | 50,000 | 53,018 | |||||
NCR Corp., 5.00%, 7/15/22 | 40,000 | 39,050 | |||||
659,931 | |||||||
Textiles, Apparel and Luxury Goods — 0.1% | |||||||
L Brands, Inc., 6.625%, 4/1/21 | 75,000 | 85,125 | |||||
L Brands, Inc., 5.625%, 2/15/22 | 140,000 | 152,950 | |||||
Men's Wearhouse, Inc. (The), 7.00%, 7/1/22(2) | 195,000 | 207,675 | |||||
Polymer Group, Inc., 7.75%, 2/1/19 | 68,000 | 70,805 | |||||
516,555 | |||||||
Tobacco† | |||||||
Altria Group, Inc., 2.85%, 8/9/22 | 140,000 | 137,377 | |||||
Philip Morris International, Inc., 4.125%, 5/17/21 | 110,000 | 119,860 | |||||
257,237 | |||||||
Wireless Telecommunication Services — 0.2% | |||||||
Sprint Communications, 9.00%, 11/15/18(2) | 100,000 | 114,875 | |||||
Sprint Communications, 7.00%, 3/1/20(2) | 100,000 | 110,625 | |||||
Sprint Communications, 6.00%, 11/15/22 | 220,000 | 211,200 | |||||
Sprint Corp., 7.25%, 9/15/21 | 265,000 | 267,318 | |||||
Sprint Corp., 7.875%, 9/15/23 | 50,000 | 50,970 | |||||
Sprint Corp., 7.125%, 6/15/24 | 285,000 | 276,450 | |||||
Sprint Corp., 7.625%, 2/15/25 | 70,000 | 68,841 | |||||
T-Mobile USA, Inc., 6.625%, 11/15/20 | 125,000 | 131,250 | |||||
T-Mobile USA, Inc., 6.63%, 4/28/21 | 120,000 | 128,256 | |||||
T-Mobile USA, Inc., 6.125%, 1/15/22 | 75,000 | 78,844 | |||||
T-Mobile USA, Inc., 6.625%, 4/1/23 | 245,000 | 258,475 | |||||
T-Mobile USA, Inc., 6.375%, 3/1/25 | 130,000 | 136,435 | |||||
Vodafone Group plc, 5.625%, 2/27/17 | 30,000 | 32,137 | |||||
Zayo Group LLC / Zayo Capital, Inc., 6.00%, 4/1/23(2) | 190,000 | 191,803 | |||||
2,057,479 | |||||||
TOTAL CORPORATE BONDS (Cost $89,584,597) | 90,375,074 | ||||||
U.S. TREASURY SECURITIES — 5.5% | |||||||
U.S. Treasury Bonds, 4.75%, 2/15/37 | 430,000 | 574,655 | |||||
U.S. Treasury Bonds, 3.50%, 2/15/39 | 820,000 | 915,133 | |||||
U.S. Treasury Bonds, 2.875%, 5/15/43 | 100,000 | 99,453 | |||||
U.S. Treasury Bonds, 2.50%, 2/15/45 | 1,450,000 | 1,335,586 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 4,871,937 | 6,116,566 | |||||
U.S. Treasury Inflation Indexed Bonds, 3.375%, 4/15/32 | 66,513 | 95,716 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 830,254 | 1,055,590 |
58
Shares/ Principal Amount | Value | ||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/41 | $ | 560,669 | $ | 718,051 | |||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 1,055,410 | 1,006,679 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 421,070 | 388,371 | |||||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 1,013,130 | 1,123,150 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 350,949 | 334,059 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/17 | 5,405,764 | 5,491,072 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/18 | 2,553,625 | 2,598,911 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/19 | 2,519,200 | 2,558,563 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/20 | 4,033,120 | 4,081,642 | |||||
U.S. Treasury Inflation Indexed Notes, 1.125%, 1/15/21 | 4,479,469 | 4,766,083 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 7/15/21 | 628,578 | 653,328 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/22 | 1,356,199 | 1,355,246 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/22 | 2,720,941 | 2,726,467 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/23 | 1,483,278 | 1,473,776 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/23 | 4,464,284 | 4,523,226 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 2,732,265 | 2,814,020 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/24 | 546,926 | 541,157 | |||||
U.S. Treasury Notes, 1.875%, 6/30/15 | 101,000 | 101,146 | |||||
U.S. Treasury Notes, 0.50%, 3/31/17 | 950,000 | 948,961 | |||||
U.S. Treasury Notes, 1.00%, 2/15/18(4) | 5,750,000 | 5,770,665 | |||||
U.S. Treasury Notes, 0.75%, 4/15/18 | 1,000,000 | 995,391 | |||||
U.S. Treasury Notes, 1.50%, 11/30/19 | 600,000 | 602,813 | |||||
U.S. Treasury Notes, 1.625%, 12/31/19 | 350,000 | 353,254 | |||||
U.S. Treasury Notes, 1.375%, 2/29/20 | 350,000 | 348,879 | |||||
U.S. Treasury Notes, 1.375%, 3/31/20 | 3,750,000 | 3,735,645 | |||||
U.S. Treasury Notes, 1.375%, 4/30/20 | 1,550,000 | 1,542,371 | |||||
U.S. Treasury Notes, 1.50%, 5/31/20(3) | 500,000 | 500,469 | |||||
U.S. Treasury Notes, 1.875%, 5/31/22(3) | 350,000 | 350,191 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $61,141,249) | 62,596,285 | ||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES(5) — 2.0% | |||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities — 0.4% | |||||||
FHLMC, VRN, 1.76%, 6/15/15 | 61,903 | 63,524 | |||||
FHLMC, VRN, 1.84%, 6/15/15 | 150,216 | 154,552 | |||||
FHLMC, VRN, 1.96%, 6/15/15 | 115,049 | 118,805 | |||||
FHLMC, VRN, 1.98%, 6/15/15 | 111,435 | 114,935 | |||||
FHLMC, VRN, 2.08%, 6/15/15 | 289,101 | 294,815 | |||||
FHLMC, VRN, 2.26%, 6/15/15 | 110,889 | 118,702 | |||||
FHLMC, VRN, 2.33%, 6/15/15 | 221,741 | 225,200 | |||||
FHLMC, VRN, 2.40%, 6/15/15 | 54,105 | 57,925 | |||||
FHLMC, VRN, 2.41%, 6/15/15 | 263,606 | 281,758 | |||||
FHLMC, VRN, 2.42%, 6/15/15 | 78,121 | 83,609 | |||||
FHLMC, VRN, 2.55%, 6/15/15 | 42,297 | 44,828 | |||||
FHLMC, VRN, 2.87%, 6/15/15 | 37,680 | 38,988 | |||||
FHLMC, VRN, 3.05%, 6/15/15 | 133,155 | 142,016 | |||||
FHLMC, VRN, 3.24%, 6/15/15 | 45,672 | 48,632 |
59
Shares/ Principal Amount | Value | ||||||
FHLMC, VRN, 3.29%, 6/15/15 | $ | 112,846 | $ | 119,858 | |||
FHLMC, VRN, 3.77%, 6/15/15 | 89,437 | 94,010 | |||||
FHLMC, VRN, 4.06%, 6/15/15 | 71,889 | 75,612 | |||||
FHLMC, VRN, 4.21%, 6/15/15 | 103,355 | 109,407 | |||||
FHLMC, VRN, 4.64%, 6/15/15 | 30,587 | 32,713 | |||||
FHLMC, VRN, 5.13%, 6/15/15 | 9,668 | 10,312 | |||||
FHLMC, VRN, 5.18%, 6/15/15 | 78,628 | 83,004 | |||||
FHLMC, VRN, 6.12%, 6/15/15 | 32,186 | 34,577 | |||||
FNMA, VRN, 1.89%, 6/25/15 | 125,684 | 131,828 | |||||
FNMA, VRN, 1.92%, 6/25/15 | 271,383 | 285,447 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 315,518 | 332,306 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 369,379 | 389,023 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 222,777 | 234,624 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 198,834 | 209,408 | |||||
FNMA, VRN, 2.20%, 6/25/15 | 54,716 | 58,370 | |||||
FNMA, VRN, 2.31%, 6/25/15 | 47,688 | 50,891 | |||||
FNMA, VRN, 2.33%, 6/25/15 | 40,546 | 43,291 | |||||
FNMA, VRN, 2.34%, 6/25/15 | 140,609 | 150,260 | |||||
FNMA, VRN, 2.70%, 6/25/15 | 146,243 | 150,719 | |||||
FNMA, VRN, 3.36%, 6/25/15 | 91,715 | 96,197 | |||||
FNMA, VRN, 3.68%, 6/25/15 | 67,058 | 70,618 | |||||
FNMA, VRN, 3.92%, 6/25/15 | 75,023 | 79,647 | |||||
FNMA, VRN, 5.05%, 6/25/15 | 130,086 | 140,037 | |||||
4,770,448 | |||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 1.6% | |||||||
FHLMC, 4.50%, 1/1/19 | 69,811 | 72,935 | |||||
FHLMC, 7.00%, 8/1/29 | 1,429 | 1,629 | |||||
FHLMC, 8.00%, 7/1/30 | 9,107 | 11,134 | |||||
FHLMC, 5.50%, 12/1/33 | 67,959 | 77,407 | |||||
FHLMC, 6.00%, 11/1/38 | 343,209 | 390,951 | |||||
FHLMC, 6.50%, 7/1/47 | 5,309 | 5,912 | |||||
FNMA, 7.50%, 6/1/15 | 36 | 36 | |||||
FNMA, 3.00%, 6/11/15(6) | 200,000 | 202,551 | |||||
FNMA, 3.50%, 6/11/15(6) | 2,035,000 | 2,125,144 | |||||
FNMA, 4.00%, 6/11/15(6) | 850,000 | 907,574 | |||||
FNMA, 4.50%, 6/11/15(6) | 210,000 | 228,316 | |||||
FNMA, 5.00%, 6/11/15(6) | 115,000 | 127,916 | |||||
FNMA, 5.50%, 6/11/15(6) | 85,000 | 96,198 | |||||
FNMA, 5.50%, 12/1/16 | 7,705 | 8,126 | |||||
FNMA, 5.00%, 9/1/20 | 37,607 | 40,163 | |||||
FNMA, 2.625%, 9/6/24 | 130,000 | 132,837 | |||||
FNMA, 7.00%, 6/1/26 | 430 | 504 | |||||
FNMA, 7.50%, 3/1/27 | 1,482 | 1,490 | |||||
FNMA, 7.00%, 1/1/29 | 4,392 | 4,926 | |||||
FNMA, 6.50%, 4/1/29 | 11,354 | 13,082 | |||||
FNMA, 6.50%, 8/1/29 | 8,046 | 9,271 |
60
Shares/ Principal Amount | Value | ||||||
FNMA, 6.50%, 12/1/29 | $ | 17,183 | $ | 19,799 | |||
FNMA, 7.00%, 3/1/30 | 4,599 | 5,267 | |||||
FNMA, 8.00%, 7/1/30 | 11,225 | 12,216 | |||||
FNMA, 7.50%, 9/1/30 | 2,586 | 3,062 | |||||
FNMA, 6.625%, 11/15/30 | 950,000 | 1,389,592 | |||||
FNMA, 5.00%, 7/1/31 | 10,422 | 11,645 | |||||
FNMA, 7.00%, 9/1/31 | 11,102 | 12,047 | |||||
FNMA, 6.50%, 1/1/32 | 4,002 | 4,610 | |||||
FNMA, 6.50%, 8/1/32 | 7,387 | 8,603 | |||||
FNMA, 6.50%, 11/1/32 | 73,699 | 88,368 | |||||
FNMA, 5.50%, 6/1/33 | 24,945 | 28,428 | |||||
FNMA, 5.50%, 8/1/33 | 44,485 | 50,565 | |||||
FNMA, 5.00%, 11/1/33 | 318,045 | 354,949 | |||||
FNMA, 4.50%, 9/1/35 | 189,676 | 207,096 | |||||
FNMA, 5.00%, 2/1/36 | 253,834 | 282,753 | |||||
FNMA, 5.50%, 1/1/37 | 177,996 | 201,601 | |||||
FNMA, 6.50%, 8/1/37 | 119,878 | 134,600 | |||||
FNMA, 5.00%, 4/1/40 | 601,053 | 668,343 | |||||
FNMA, 4.00%, 1/1/41 | 1,499,044 | 1,620,226 | |||||
FNMA, 4.50%, 1/1/41 | 811,776 | 895,671 | |||||
FNMA, 4.50%, 7/1/41 | 759,440 | 831,605 | |||||
FNMA, 4.50%, 9/1/41 | 64,857 | 70,724 | |||||
FNMA, 4.00%, 12/1/41 | 490,459 | 528,501 | |||||
FNMA, 3.50%, 5/1/42 | 371,228 | 388,691 | |||||
FNMA, 3.50%, 6/1/42 | 204,939 | 214,955 | |||||
FNMA, 3.00%, 11/1/42 | 677,284 | 688,259 | |||||
FNMA, 6.50%, 8/1/47 | 17,108 | 19,170 | |||||
FNMA, 6.50%, 8/1/47 | 31,395 | 35,180 | |||||
FNMA, 6.50%, 9/1/47 | 31,996 | 35,870 | |||||
FNMA, 6.50%, 9/1/47 | 2,286 | 2,562 | |||||
FNMA, 6.50%, 9/1/47 | 12,012 | 13,461 | |||||
FNMA, 6.50%, 9/1/47 | 17,454 | 19,567 | |||||
FNMA, 6.50%, 9/1/47 | 4,661 | 5,223 | |||||
GNMA, 3.50%, 6/18/15(6) | 275,000 | 288,653 | |||||
GNMA, 4.00%, 6/18/15(6) | 1,800,000 | 1,916,508 | |||||
GNMA, 7.50%, 10/15/25 | 2,278 | 2,552 | |||||
GNMA, 6.00%, 3/15/26 | 15,149 | 17,229 | |||||
GNMA, 7.00%, 12/15/27 | 3,980 | 4,101 | |||||
GNMA, 6.50%, 2/15/28 | 1,137 | 1,300 | |||||
GNMA, 7.50%, 5/15/30 | 3,157 | 3,294 | |||||
GNMA, 7.00%, 5/15/31 | 17,898 | 21,896 | |||||
GNMA, 5.50%, 11/15/32 | 41,096 | 47,784 | |||||
GNMA, 6.50%, 10/15/38 | 594,807 | 682,242 | |||||
GNMA, 4.50%, 5/20/41 | 581,325 | 637,551 | |||||
GNMA, 4.50%, 6/15/41 | 552,338 | 621,516 | |||||
GNMA, 3.50%, 4/20/45 | 169,628 | 178,505 | |||||
17,734,442 | |||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $21,728,283) | 22,504,890 |
61
Shares/ Principal Amount | Value | ||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 1.2% | |||||||
Australia† | |||||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 317,000 | $ | 244,071 | |||
New South Wales Treasury Corp., 4.00%, 2/20/17 | AUD | 164,000 | 129,612 | ||||
373,683 | |||||||
Austria† | |||||||
Austria Government Bond, 4.35%, 3/15/19(2) | EUR | 85,000 | 108,767 | ||||
Austria Government Bond, 3.90%, 7/15/20(2) | EUR | 45,000 | 58,976 | ||||
Austria Government Bond, 1.65%, 10/21/24(2) | EUR | 57,000 | 68,390 | ||||
Austria Government Bond, 4.15%, 3/15/37(2) | EUR | 23,000 | 39,824 | ||||
275,957 | |||||||
Belgium — 0.1% | |||||||
Belgium Government Bond, 4.25%, 9/28/22 | EUR | 170,000 | 238,087 | ||||
Belgium Government Bond, 2.25%, 6/22/23 | EUR | 147,000 | 183,007 | ||||
Belgium Government Bond, 5.00%, 3/28/35(2) | EUR | 75,000 | 134,706 | ||||
Belgium Government Bond, 4.25%, 3/28/41(2) | EUR | 23,000 | 40,512 | ||||
596,312 | |||||||
Brazil† | |||||||
Brazilian Government International Bond, 5.875%, 1/15/19 | $ | 180,000 | 201,150 | ||||
Canada — 0.1% | |||||||
Canadian Government Bond, 4.00%, 6/1/17 | CAD | 96,000 | 82,498 | ||||
Canadian Government Bond, 3.25%, 6/1/21 | CAD | 350,000 | 317,145 | ||||
Canadian Government Bond, 4.00%, 6/1/41 | CAD | 125,000 | 135,800 | ||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 85,000 | 72,143 | ||||
Province of Ontario Canada, 4.65%, 6/2/41 | CAD | 80,000 | 83,125 | ||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 50,000 | 42,880 | ||||
Province of Quebec Canada, 5.00%, 12/1/41 | CAD | 17,000 | 18,407 | ||||
751,998 | |||||||
Colombia† | |||||||
Colombia Government International Bond, 4.375%, 7/12/21 | $ | 100,000 | 105,950 | ||||
Czech† | |||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 1,000,000 | 52,232 | ||||
Denmark† | |||||||
Denmark Government Bond, 4.00%, 11/15/19 | DKK | 13,000 | 2,260 | ||||
Denmark Government Bond, 7.00%, 11/10/24 | DKK | 147,000 | 34,854 | ||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 62,000 | 15,716 | ||||
52,830 | |||||||
Finland† | |||||||
Finland Government Bond, 1.625%, 9/15/22(2) | EUR | 50,000 | 59,809 | ||||
France — 0.1% | |||||||
France Government Bond OAT, 3.25%, 10/25/21 | EUR | 295,000 | 384,282 | ||||
France Government Bond OAT, 5.50%, 4/25/29 | EUR | 70,000 | 120,493 | ||||
France Government Bond OAT, 3.25%, 5/25/45 | EUR | 180,000 | 276,276 | ||||
781,051 | |||||||
Germany — 0.1% | |||||||
Bundesrepublik Deutschland, 3.00%, 7/4/20 | EUR | 300,000 | 379,546 |
62
Shares/ Principal Amount | Value | ||||||
Bundesrepublik Deutschland, 1.75%, 2/15/24 | EUR | 193,000 | $ | 236,957 | |||
Bundesrepublik Deutschland, 2.50%, 7/4/44 | EUR | 136,000 | 202,263 | ||||
818,766 | |||||||
Ireland† | |||||||
Ireland Government Bond, 5.90%, 10/18/19 | EUR | 40,000 | 54,701 | ||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 26,000 | 34,099 | ||||
88,800 | |||||||
Italy — 0.1% | |||||||
Italy Buoni Poliennali Del Tesoro, 3.50%, 11/1/17 | EUR | 73,000 | 86,469 | ||||
Italy Buoni Poliennali Del Tesoro, 1.50%, 8/1/19 | EUR | 505,000 | 573,190 | ||||
Italy Buoni Poliennali Del Tesoro, 4.00%, 2/1/37 | EUR | 243,000 | 322,763 | ||||
Italy Government International Bond, 6.875%, 9/27/23 | $ | 60,000 | 77,037 | ||||
1,059,459 | |||||||
Japan — 0.3% | |||||||
Japan Government Five Year Bond, 0.30%, 9/20/18 | JPY | 55,000,000 | 447,503 | ||||
Japan Government Ten Year Bond, 1.00%, 12/20/21 | JPY | 172,100,000 | 1,463,968 | ||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 121,300,000 | 1,186,973 | ||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 23,100,000 | 210,446 | ||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 51,100,000 | 484,320 | ||||
3,793,210 | |||||||
Malaysia† | |||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 300,000 | 82,276 | ||||
Mexico — 0.1% | |||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 1,700,000 | 115,097 | ||||
Mexico Government International Bond, MTN, 5.95%, 3/19/19 | $ | 200,000 | 227,200 | ||||
Mexico Government International Bond, 5.125%, 1/15/20 | $ | 70,000 | 77,875 | ||||
Mexico Government International Bond, 6.05%, 1/11/40 | $ | 80,000 | 95,600 | ||||
Mexico Government International Bond, MTN, 4.75%, 3/8/44 | $ | 60,000 | 60,765 | ||||
576,537 | |||||||
Netherlands — 0.1% | |||||||
Netherlands Government Bond, 3.50%, 7/15/20(2) | EUR | 283,000 | 364,492 | ||||
Netherlands Government Bond, 2.75%, 1/15/47 | EUR | 11,000 | 16,962 | ||||
381,454 | |||||||
New Zealand† | |||||||
New Zealand Government Bond, 5.00%, 3/15/19 | NZD | 57,000 | 43,185 | ||||
Norway† | |||||||
Norway Government Bond, 3.75%, 5/25/21(2) | NOK | 502,000 | 74,328 | ||||
Peru† | |||||||
Peruvian Government International Bond, 6.55%, 3/14/37 | $ | 40,000 | 52,100 | ||||
Peruvian Government International Bond, 5.625%, 11/18/50 | $ | 60,000 | 70,800 | ||||
122,900 | |||||||
Poland† | |||||||
Poland Government Bond, 4.00%, 10/25/23 | PLN | 200,000 | 58,035 | ||||
Poland Government International Bond, 5.125%, 4/21/21 | $ | 70,000 | 79,202 | ||||
137,237 |
63
Shares/ Principal Amount | Value | ||||||
Singapore† | |||||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 50,000 | $ | 39,378 | |||
South Africa† | |||||||
South Africa Government Bond, 7.75%, 2/28/23 | ZAR | 1,500,000 | 121,834 | ||||
South Korea† | |||||||
Export-Import Bank of Korea, 3.75%, 10/20/16 | $ | 100,000 | 103,677 | ||||
Korea Development Bank (The), 3.25%, 3/9/16 | $ | 80,000 | 81,367 | ||||
Korea Development Bank (The), 4.00%, 9/9/16 | $ | 70,000 | 72,539 | ||||
257,583 | |||||||
Spain — 0.1% | |||||||
Spain Government Bond, 4.30%, 10/31/19(2) | EUR | 245,000 | 311,140 | ||||
Spain Government Bond, 5.85%, 1/31/22(2) | EUR | 11,000 | 15,591 | ||||
Spain Government Bond, 4.40%, 10/31/23(2) | EUR | 210,000 | 279,962 | ||||
Spain Government Bond, 1.60%, 4/30/25(2) | EUR | 365,000 | 392,489 | ||||
Spain Government Bond, 5.15%, 10/31/44(2) | EUR | 57,000 | 91,079 | ||||
1,090,261 | |||||||
Sweden† | |||||||
Sweden Government Bond, 3.50%, 6/1/22 | SEK | 875,000 | 124,490 | ||||
Switzerland† | |||||||
Switzerland Government Bond, 2.00%, 4/28/21 | CHF | 202,000 | 246,346 | ||||
Thailand† | |||||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 2,200,000 | 71,832 | ||||
United Kingdom — 0.1% | |||||||
United Kingdom Gilt, 5.00%, 3/7/18 | GBP | 135,000 | 230,567 | ||||
United Kingdom Gilt, 5.00%, 3/7/25 | GBP | 130,000 | 255,304 | ||||
United Kingdom Gilt, 4.25%, 3/7/36 | GBP | 90,000 | 178,661 | ||||
United Kingdom Gilt, 4.50%, 12/7/42 | GBP | 265,000 | 567,622 | ||||
United Kingdom Gilt, 4.25%, 12/7/55 | GBP | 10,000 | 22,395 | ||||
1,254,549 | |||||||
Uruguay† | |||||||
Uruguay Government International Bond, 4.125%, 11/20/45 | $ | 30,000 | 27,300 | ||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $13,703,127) | 13,662,697 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(5) — 0.6% | |||||||
Private Sponsor Collateralized Mortgage Obligations — 0.5% | |||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | 25,135 | 26,425 | |||||
Adjustable Rate Mortgage Trust, Series 2004-4, Class 4A1, VRN, 2.51%, 6/1/15 | 41,960 | 41,988 | |||||
Banc of America Alternative Loan Trust, Series 2007-2, Class 2A4, 5.75%, 6/25/37 | 219,540 | 162,274 | |||||
Banc of America Mortgage Securities, Inc., Series 2003-G, Class 2A1, VRN, 2.61%, 6/1/15 | 107,646 | 108,256 | |||||
Banc of America Mortgage Securities, Inc., Series 2004-7, Class 7A1, 5.00%, 8/25/19 | 33,940 | 34,349 | |||||
Banc of America Mortgage Securities, Inc., Series 2004-E, Class 2A6 SEQ, VRN, 2.82%, 6/1/15 | 206,670 | 206,415 |
64
Shares/ Principal Amount | Value | ||||||
Banc of America Mortgage Securities, Inc., Series 2005-1, Class 1A15, 5.50%, 2/25/35 | $ | 72,538 | $ | 75,949 | |||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A4, VRN, 2.20%, 6/1/15 | 84,720 | 84,165 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 1.95%, 6/1/15 | 156,564 | 154,360 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 5.20%, 6/1/15 | 73,217 | 72,441 | |||||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1, VRN, 2.25%, 6/1/15 | 162,040 | 160,939 | |||||
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 4A1, VRN, 4.85%, 6/1/15 | 53,316 | 51,023 | |||||
GSR Mortgage Loan Trust, Series 2004-5, Class 3A3, VRN, 2.68%, 6/1/15 | 168,165 | 167,565 | |||||
GSR Mortgage Loan Trust, Series 2004-7, Class 3A1, VRN, 2.15%, 6/1/15 | 117,403 | 114,331 | |||||
GSR Mortgage Loan Trust, Series 2005-AR1, Class 3A1, VRN, 2.63%, 6/1/15 | 133,703 | 133,872 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 2.68%, 6/1/15 | 232,802 | 233,937 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 1A1, VRN, 4.14%, 6/1/15 | 70,226 | 69,687 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 2A1, VRN, 2.59%, 6/1/15 | 48,461 | 48,313 | |||||
JPMorgan Mortgage Trust, Series 2006-A3, Class 7A1, VRN, 2.61%, 6/1/15 | 135,581 | 136,853 | |||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 6/1/15(2) | 154,748 | 154,585 | |||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 2.67%, 6/1/15 | 228,793 | 234,950 | |||||
MASTR Asset Securitization Trust, Series 2003-10, Class 3A1, 5.50%, 11/25/33 | 52,865 | 55,486 | |||||
Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 2A, VRN, 2.16%, 6/25/15 | 139,106 | 137,078 | |||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A1, VRN, 2.46%, 6/1/15 | 91,744 | 90,314 | |||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A2, VRN, 2.46%, 6/1/15 | 36,698 | 36,986 | |||||
PHHMC Mortgage Pass-Through Certificates, Series 2007-6, Class A1, VRN, 5.32%, 6/1/15 | 41,934 | 41,667 | |||||
Sequoia Mortgage Trust, Series 2012-1, Class 1A1, VRN, 2.87%, 6/1/15 | 49,541 | 49,824 | |||||
Sequoia Mortgage Trust, Series 2013-12, Class A1 SEQ, VRN, 4.00%, 6/1/15(2) | 143,848 | 149,312 | |||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 3A2, VRN, 2.42%, 6/1/15 | 148,530 | 148,794 | |||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 2A1, VRN, 2.42%, 6/1/15 | 94,590 | 94,628 | |||||
Thornburg Mortgage Securities Trust, Series 2004-3, Class A, VRN, 0.92%, 6/25/15 | 115,585 | 111,512 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 81,838 | 84,528 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 2.44%, 6/1/15 | 250,416 | 249,363 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR4, Class A5, VRN, 2.47%, 6/1/15 | 93,897 | 92,520 |
65
Shares/ Principal Amount | Value | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-S, Class A1, VRN, 2.63%, 6/1/15 | $ | 134,182 | $ | 137,594 | |||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Z, Class 2A2, VRN, 2.61%, 6/1/15 | 174,264 | 175,535 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-17, Class 1A1, 5.50%, 1/25/36 | 108,546 | 111,551 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-3, Class A12, 5.50%, 5/25/35 | 123,480 | 126,265 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-9, Class 2A6, 5.25%, 10/25/35 | 172,821 | 182,226 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 1A1, VRN, 2.63%, 6/1/15 | 240,840 | 246,753 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 1A1, VRN, 2.65%, 6/1/15 | 59,074 | 60,524 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A15, VRN, 2.64%, 6/1/15 | 92,426 | 94,236 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A17, VRN, 2.64%, 6/1/15 | 132,037 | 134,820 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR12, Class 2A6, VRN, 2.64%, 6/1/15 | 45,154 | 46,338 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR14, Class A1, VRN, 5.28%, 6/1/15 | 57,807 | 57,411 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 1A1, VRN, 2.64%, 6/1/15 | 47,106 | 48,150 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 3A2, VRN, 2.64%, 6/1/15 | 86,524 | 87,410 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR2, Class 3A1, VRN, 2.61%, 6/1/15 | 86,017 | 87,317 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR7, Class 1A1, VRN, 2.74%, 6/1/15 | 226,176 | 226,857 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-10, Class A4 SEQ, 6.00%, 8/25/36 | 131,598 | 135,353 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 1A7 SEQ, VRN, 5.80%, 6/1/15 | 111,535 | 109,090 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-13, Class A1, 6.00%, 9/25/37 | 66,266 | 68,877 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-14, Class 2A2, 5.50%, 10/25/22 | 54,662 | 56,604 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-16, Class 1A1, 6.00%, 12/28/37 | 40,196 | 41,637 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR10, Class 1A1, VRN, 6.20%, 6/1/15 | 111,345 | 110,960 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR7, Class A1, VRN, 2.57%, 6/1/15 | 75,618 | 70,342 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2008-1, Class 4A1, 5.75%, 2/25/38 | 85,146 | 90,038 | |||||
6,320,577 | |||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.1% | |||||||
FHLMC, Series 2926, Class EW SEQ, 5.00%, 1/15/25 | 273,172 | 299,409 | |||||
FNMA, Series 2014-M3, Class ASQ2, 0.56%, 3/25/16 | 357,423 | 357,626 | |||||
657,035 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $7,010,152) | 6,977,612 |
66
Shares/ Principal Amount | Value | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES(5) — 0.5% | |||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-5, Class A4, VRN, 5.12%, 6/1/15 | $ | 111,376 | $ | 111,715 | |||
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-5, Class AM, VRN, 5.18%, 6/1/15 | 175,000 | 177,536 | |||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-PARK, Class A SEQ, 2.96%, 12/10/30(2) | 390,000 | 396,603 | |||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2014-ICTS, Class A, VRN, 0.99%, 6/15/15(2) | 275,000 | 275,273 | |||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class B, VRN, 3.49%, 6/1/15(2) | 225,000 | 229,140 | |||||
BB-UBS Trust, Series 2012-SHOW, Class A SEQ, 3.43%, 11/5/36(2) | 275,000 | 282,986 | |||||
BBCMS Trust, Series 2013-TYSN, Class C, 3.82%, 9/5/32(2) | 100,000 | 105,542 | |||||
BLCP Hotel Trust, Series 2014-CLRN, Class A, VRN, 1.14%, 6/15/15(2) | 425,000 | 424,541 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-BBG, Class A, VRN, 0.99%, 6/15/15(2) | 250,000 | 249,880 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class AM SEQ, 4.43%, 2/10/47 | 250,000 | 277,079 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class AM, VRN, 4.19%, 6/1/15 | 225,000 | 244,172 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, 4.19%, 9/10/47 | 300,000 | 324,710 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-3BP, Class B, VRN, 3.24%, 6/1/15(2) | 200,000 | 200,580 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR22, Class AM, 3.60%, 3/10/48 | 275,000 | 283,860 | |||||
Core Industrial Trust, Series 2015-4, Class A, 3.29%, 2/10/37 | 450,000 | 459,041 | |||||
Core Industrial Trust, Series 2015-TEXW, Class C, 3.73%, 2/10/34(2) | 75,000 | 76,877 | |||||
GS Mortgage Securities Corp. II, Series 2015-GC28, Class AS, 3.76%, 2/10/48 | 150,000 | 156,689 | |||||
Irvine Core Office Trust, Series 2013-IRV, Class A2 SEQ, VRN, 3.17%, 6/10/15(2) | 425,000 | 441,003 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2013-C16, Class A4, 4.17%, 12/15/46 | 100,000 | 110,014 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2013-C16, Class AS, 4.52%, 12/15/46 | 150,000 | 166,952 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, VRN, 1.09%, 6/15/15(2) | 275,000 | 275,178 | |||||
LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A4 SEQ, 4.57%, 1/15/31 | 23,686 | 23,987 | |||||
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class AM, VRN, 5.02%, 6/11/15 | 250,000 | 250,764 | |||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM, VRN, 5.26%, 6/11/15 | 325,000 | 326,943 | |||||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class C, VRN, 3.45%, 6/1/15(2) | 225,000 | 231,872 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $6,011,985) | 6,102,937 |
67
Shares/ Principal Amount | Value | ||||||
ASSET-BACKED SECURITIES(5) — 0.3% | |||||||
American Airlines Pass-Through Trust, 7.00%, 7/31/19(2) | $ | 52,989 | $ | 56,963 | |||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-1A, Class A, 2.63%, 12/20/21 | 150,000 | 149,970 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-1A, Class A SEQ, 2.05%, 8/20/16(2) | 112,500 | 112,708 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-2A, Class A SEQ, 2.80%, 5/20/18(2) | 225,000 | 230,619 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class B, 3.42%, 12/20/21(2) | 75,000 | 74,985 | |||||
Chase Issuance Trust, Series 2007-B1, Class B1, VRN, 0.44%, 6/15/15 | 100,000 | 99,568 | |||||
Chesapeake Funding LLC, Series 2014-1A, Class A, VRN, 0.60%, 6/7/15(2) | 306,266 | 306,173 | |||||
CNH Equipment Trust, Series 2014-B, Class A2 SEQ, 0.48%, 8/15/17 | 149,111 | 149,065 | |||||
Dryrock Issuance Trust, Series 2014-1, Class A, VRN, 0.55%, 6/15/15 | 275,000 | 274,810 | |||||
Enterprise Fleet Financing LLC, Series 2014-1, Class A2 SEQ, 0.87%, 9/20/19(2) | 119,182 | 119,228 | |||||
Harley-Davidson Motorcycle Trust, Series 2014-1, Class A2B, VRN, 0.36%, 6/15/15 | 125,106 | 124,976 | |||||
Hertz Fleet Lease Funding LP, Series 2014-1, Class A, VRN, 0.58%, 6/10/15(2) | 358,066 | 357,851 | |||||
Hilton Grand Vacations Trust, Series 2013-A, Class A SEQ, 2.28%, 1/25/26(2) | 73,565 | 74,108 | |||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(2) | 356,742 | 354,556 | |||||
John Deere Owner Trust, Series 2014-A, Class A2 SEQ, 0.45%, 9/15/16 | 145,231 | 145,237 | |||||
John Deere Owner Trust, Series 2014-A, Class A3 SEQ, 0.92%, 4/16/18 | 250,000 | 250,393 | |||||
MVW Owner Trust, Series 2014-1A, Class A, 2.25%, 9/22/31(2) | 194,226 | 194,428 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A SEQ, 1.59%, 11/20/29(2) | 104,237 | 104,227 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-2A, Class A SEQ, 2.28%, 11/20/25(2) | 69,810 | 70,610 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class A, 2.40%, 3/22/32(2) | 206,754 | 207,615 | |||||
UAL Pass-Through Trust, Series 2007-1, Class A, 6.64%, 1/2/24 | 82,450 | 89,046 | |||||
US Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 5/15/27 | 56,223 | 57,910 | |||||
Volvo Financial Equipment LLC, Series 2015-1A, Class A2, 0.95%, 11/15/17(2) | 200,000 | 200,222 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $3,798,242) | 3,805,268 | ||||||
EXCHANGE-TRADED FUNDS — 0.3% | |||||||
iShares Core S&P Small-Cap ETF | 566 | 66,216 | |||||
iShares MSCI EAFE Value ETF | 13,105 | 724,182 | |||||
iShares Russell 1000 Growth ETF | 7,449 | 750,636 | |||||
iShares Russell Mid-Cap Value ETF | 25,970 | 1,965,929 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $3,324,856) | 3,506,963 |
68
Shares/ Principal Amount | Value | ||||||
MUNICIPAL SECURITIES — 0.2% | |||||||
American Municipal Power-Ohio, Inc. Rev., (Building Bonds), 5.94%, 2/15/47 | $ | 30,000 | $ | 36,596 | |||
American Municipal Power-Ohio, Inc. Rev., (Building Bonds), 7.50%, 2/15/50 | 50,000 | 70,660 | |||||
Bay Area Toll Authority Toll Bridge Rev., Series 2010 S-1, (Building Bonds), 6.92%, 4/1/40 | 95,000 | 127,251 | |||||
California GO, (Building Bonds), 6.65%, 3/1/22 | 60,000 | 74,009 | |||||
California GO, (Building Bonds), 7.55%, 4/1/39 | 20,000 | 30,229 | |||||
California GO, (Building Bonds), 7.30%, 10/1/39 | 45,000 | 65,110 | |||||
California GO, (Building Bonds), 7.60%, 11/1/40 | 40,000 | 61,547 | |||||
Illinois GO, (Taxable Pension), 5.10%, 6/1/33 | 85,000 | 80,966 | |||||
Kansas State Department of Transportation Highway Rev., Series 2010 A, (Building Bonds), 4.60%, 9/1/35 | 50,000 | 56,095 | |||||
Los Angeles Community College District GO, Series 2010 D, (Election of 2008), 6.68%, 8/1/36 | 50,000 | 65,857 | |||||
Los Angeles Department of Water & Power Rev., (Building Bonds), 5.72%, 7/1/39 | 35,000 | 43,035 | |||||
Metropolitan Transportation Authority Rev., Series 2010 C-1, (Building Bonds), 6.69%, 11/15/40 | 75,000 | 100,849 | |||||
Metropolitan Transportation Authority Rev., Series 2010 E, (Building Bonds), 6.81%, 11/15/40 | 40,000 | 54,354 | |||||
New Jersey State Turnpike Authority Rev., Series 2009 F, (Building Bonds), 7.41%, 1/1/40 | 70,000 | 101,491 | |||||
New Jersey State Turnpike Authority Rev., Series 2010 A, (Building Bonds), 7.10%, 1/1/41 | 30,000 | 42,143 | |||||
New York GO, Series 2010 F-1, (Building Bonds), 6.27%, 12/1/37 | 30,000 | 39,145 | |||||
Ohio Water Development Authority Pollution Control Rev., Series 2010 B-2, (Building Bonds), 4.88%, 12/1/34 | 80,000 | 91,327 | |||||
Oregon State Department of Transportation Highway User Tax Rev., Series 2010 A, (Building Bonds), 5.83%, 11/15/34 | 50,000 | 63,438 | |||||
Port Authority of New York & New Jersey Rev., (Consolidated Bonds), 4.46%, 10/1/62 | 45,000 | 46,631 | |||||
Puerto Rico GO, Series 2012 A, (Public Improvement), 5.50%, 7/1/39 | 700,000 | 507,164 | |||||
Rutgers State University Rev., Series 2010 H, (Building Bonds), 5.67%, 5/1/40 | 90,000 | 108,121 | |||||
Sacramento Municipal Utility District Electric Rev., Series 2010 W, (Building Bonds), 6.16%, 5/15/36 | 140,000 | 174,017 | |||||
Salt River Agricultural Improvement & Power District Electric Rev., Series 2010 A, (Building Bonds), 4.84%, 1/1/41 | 45,000 | 52,136 | |||||
San Francisco City & County Public Utilities Water Commission Rev., Series 2010 B, (Building Bonds), 6.00%, 11/1/40 | 50,000 | 61,409 | |||||
Santa Clara Valley Transportation Authority Sales Tax Rev., Series 2010 A, (Building Bonds), 5.88%, 4/1/32 | 55,000 | 67,377 | |||||
Utah Housing Corp. Multifamily Housing Rev., Series 2004 B, (Tanglewood), VRDN, 0.19%, 6/3/15 (LOC: Citibank N.A.) | 400,000 | 400,000 | |||||
Washington GO, Series 2010 F, (Building Bonds), 5.14%, 8/1/40 | 20,000 | 23,845 | |||||
TOTAL MUNICIPAL SECURITIES (Cost $2,317,780) | 2,644,802 |
69
Shares/ Principal Amount | Value | ||||||
COMMERCIAL PAPER(7) — 0.2% | |||||||
Chariot Funding LLC, 0.24%, 6/10/15(2) | $ | 250,000 | $ | 249,988 | |||
Crown Point Capital Co., 0.19%, 7/7/15(2) | 250,000 | 249,952 | |||||
Lexington Parker Capital Co., 0.19%, 7/24/15(2) | 250,000 | 249,927 | |||||
Liberty Street Funding LLC, 0.18%, 6/1/15(2) | 250,000 | 249,997 | |||||
Old Line Funding LLC, 0.28%, 10/2/15(2) | 250,000 | 249,759 | |||||
Thunder Bay Funding LLC, 0.27%, 6/15/15(2) | 250,000 | 249,981 | |||||
Toronto Dominion Holding, 0.24%, 9/18/15(2) | 250,000 | 249,862 | |||||
Toyota Motor Credit Corp., 0.29%, 11/23/15 | 250,000 | 249,647 | |||||
TOTAL COMMERCIAL PAPER (Cost $1,999,068) | 1,999,113 | ||||||
PREFERRED STOCKS† | |||||||
Consumer Finance† | |||||||
Ally Financial, Inc., 7.00%(2) (Cost $64,845) | 66 | 66,990 | |||||
CONVERTIBLE PREFERRED STOCKS† | |||||||
Household Durables† | |||||||
Beazer Homes USA, Inc., 7.50%, 7/15/15 (Cost $39,788) | 1,518 | 40,895 | |||||
TEMPORARY CASH INVESTMENTS — 2.0% | |||||||
SSgA U.S. Government Money Market Fund, Class N | 8,884,164 | 8,884,164 | |||||
State Street Institutional Liquid Reserves Fund, Premier Class | 13,400,937 | 13,400,937 | |||||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $22,285,101) | 22,285,101 | ||||||
TOTAL INVESTMENT SECURITIES — 100.6% (Cost $965,034,500) | 1,144,827,255 | ||||||
OTHER ASSETS AND LIABILITIES — (0.6)% | (6,507,675) | ||||||
TOTAL NET ASSETS — 100.0% | $ | 1,138,319,580 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||
USD | 383,394 | AUD | 495,821 | Barclays Bank plc | 6/17/15 | $ | 4,618 | |
CAD | 72,894 | USD | 60,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,401 | ) | |
CAD | 45,935 | USD | 36,886 | JPMorgan Chase Bank N.A. | 6/30/15 | 33 | ||
CAD | 72,197 | USD | 57,783 | JPMorgan Chase Bank N.A. | 6/30/15 | 245 | ||
USD | 783,384 | CAD | 959,661 | UBS AG | 6/17/15 | 11,918 | ||
USD | 60,000 | CAD | 74,908 | UBS AG | 6/17/15 | (218 | ) | |
USD | 1,673,920 | CAD | 2,079,803 | JPMorgan Chase Bank N.A. | 6/30/15 | 2,298 | ||
USD | 1,272,279 | CAD | 1,580,774 | JPMorgan Chase Bank N.A. | 6/30/15 | 1,747 | ||
USD | 1,270,065 | CAD | 1,578,024 | JPMorgan Chase Bank N.A. | 6/30/15 | 1,744 | ||
USD | 40,431 | CAD | 50,348 | JPMorgan Chase Bank N.A. | 6/30/15 | (36 | ) | |
USD | 240,444 | CHF | 231,113 | JPMorgan Chase Bank N.A. | 6/17/15 | (5,585 | ) | |
USD | 1,530 | CHF | 1,414 | UBS AG | 6/17/15 | 24 | ||
CLP | 102,008,500 | USD | 170,000 | UBS AG | 6/17/15 | (5,203 | ) | |
CNY | 489,600 | USD | 80,000 | UBS AG | 6/17/15 | (21 | ) |
70
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||
COP | 243,200,000 | USD | 100,000 | UBS AG | 6/17/15 | $ | (4,049 | ) |
USD | 100,000 | COP | 254,500,000 | UBS AG | 6/17/15 | (409 | ) | |
USD | 40,000 | CZK | 1,008,216 | Barclays Bank plc | 6/17/15 | (387 | ) | |
USD | 53,527 | CZK | 1,364,883 | Deutsche Bank | 6/17/15 | (1,146 | ) | |
USD | 54,984 | DKK | 381,246 | UBS AG | 6/17/15 | (1,166 | ) | |
EUR | 41,458 | USD | 47,033 | Barclays Bank plc | 6/17/15 | (1,491 | ) | |
EUR | 111,156 | USD | 124,645 | Deutsche Bank | 6/17/15 | (2,539 | ) | |
EUR | 100,000 | USD | 113,666 | UBS AG | 6/17/15 | (3,815 | ) | |
USD | 7,696,119 | EUR | 7,172,979 | Barclays Bank plc | 6/17/15 | (183,458 | ) | |
USD | 225,688 | EUR | 200,000 | Barclays Bank plc | 6/17/15 | 5,987 | ||
USD | 52,307 | EUR | 48,313 | Deutsche Bank | 6/17/15 | (765 | ) | |
USD | 97,480 | EUR | 89,442 | Deutsche Bank | 6/17/15 | (772 | ) | |
USD | 65,944 | EUR | 60,000 | Deutsche Bank | 6/17/15 | 33 | ||
USD | 2,714 | EUR | 2,505 | UBS AG | 6/17/15 | (38 | ) | |
USD | 115,811 | EUR | 103,656 | UBS AG | 6/17/15 | 1,943 | ||
USD | 1,851,319 | EUR | 1,700,517 | UBS AG | 6/30/15 | (17,040 | ) | |
USD | 56,219 | EUR | 51,639 | UBS AG | 6/30/15 | (517 | ) | |
USD | 828,577 | EUR | 761,084 | UBS AG | 6/30/15 | (7,626 | ) | |
GBP | 50,000 | USD | 78,299 | Deutsche Bank | 6/17/15 | (1,887 | ) | |
GBP | 30,000 | USD | 47,210 | Deutsche Bank | 6/17/15 | (1,363 | ) | |
GBP | 50,000 | USD | 76,649 | UBS AG | 6/17/15 | (238 | ) | |
USD | 1,508,723 | GBP | 1,004,483 | Barclays Bank plc | 6/17/15 | (26,351 | ) | |
USD | 511,172 | GBP | 336,818 | Barclays Bank plc | 6/17/15 | (3,561 | ) | |
HUF | 13,634,000 | USD | 50,000 | Barclays Bank plc | 6/17/15 | (1,582 | ) | |
USD | 47,035 | HUF | 13,377,939 | Deutsche Bank | 6/17/15 | (474 | ) | |
INR | 6,465,614 | USD | 100,789 | UBS AG | 6/17/15 | 314 | ||
INR | 4,498,900 | USD | 70,000 | Westpac Group | 6/17/15 | 350 | ||
USD | 170,000 | INR | 11,031,300 | Westpac Group | 6/17/15 | (2,497 | ) | |
JPY | 14,294,916 | USD | 120,000 | UBS AG | 6/17/15 | (4,805 | ) | |
USD | 3,809,545 | JPY | 455,955,250 | Barclays Bank plc | 6/17/15 | 135,249 | ||
USD | 110,000 | JPY | 13,687,960 | Barclays Bank plc | 6/17/15 | (304 | ) | |
USD | 150,000 | JPY | 18,000,516 | Deutsche Bank | 6/17/15 | 4,944 | ||
USD | 167,981 | JPY | 20,028,055 | JPMorgan Chase Bank N.A. | 6/17/15 | 6,586 | ||
USD | 159,337 | JPY | 19,596,424 | JPMorgan Chase Bank N.A. | 6/17/15 | 1,420 | ||
USD | 206,265 | JPY | 25,378,400 | Credit Suisse AG | 6/30/15 | 1,709 | ||
USD | 7,895 | JPY | 979,514 | Credit Suisse AG | 6/30/15 | (1 | ) | |
KRW | 98,730,000 | USD | 90,000 | Westpac Group | 6/17/15 | (1,446 | ) | |
USD | 110,000 | MXN | 1,666,503 | Barclays Bank plc | 6/17/15 | 1,899 | ||
USD | 118,163 | MXN | 1,829,791 | JPMorgan Chase Bank N.A. | 6/17/15 | (530 | ) | |
NOK | 9,244,544 | USD | 1,217,562 | Deutsche Bank | 6/17/15 | (28,490 | ) | |
USD | 1,255,442 | NOK | 9,908,971 | Deutsche Bank | 6/17/15 | (19,092 | ) | |
NZD | 110,000 | USD | 80,978 | State Street Bank & Trust Co. | 6/17/15 | (3,042 | ) | |
USD | 46,778 | NZD | 61,296 | Barclays Bank plc | 6/17/15 | 3,349 | ||
USD | 81,555 | NZD | 110,000 | State Street Bank & Trust Co. | 6/17/15 | 3,619 | ||
PEN | 378,600 | USD | 120,000 | UBS AG | 6/17/15 | (323 | ) | |
USD | 220,000 | PEN | 698,280 | UBS AG | 6/17/15 | (729 | ) |
71
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||
PLN | 538,437 | USD | 150,000 | Deutsche Bank | 6/17/15 | $ | (6,200 | ) |
USD | 140,000 | PLN | 524,331 | Barclays Bank plc | 6/17/15 | (33 | ) | |
USD | 61,702 | PLN | 229,508 | JPMorgan Chase Bank N.A. | 6/17/15 | 407 | ||
USD | 127,581 | SEK | 1,110,638 | Barclays Bank plc | 6/17/15 | (2,712 | ) | |
USD | 30,000 | SEK | 255,071 | Barclays Bank plc | 6/17/15 | 77 | ||
SGD | 66,774 | USD | 50,000 | State Street Bank & Trust Co. | 6/17/15 | (484 | ) | |
USD | 40,179 | SGD | 54,155 | Barclays Bank plc | 6/17/15 | 21 | ||
USD | 50,000 | SGD | 67,680 | UBS AG | 6/17/15 | (187 | ) | |
USD | 100,000 | THB | 3,368,000 | Westpac Group | 6/17/15 | (64 | ) | |
TRY | 155,820 | USD | 60,000 | Barclays Bank plc | 6/17/15 | (1,745 | ) | |
USD | 110,000 | TWD | 3,385,800 | State Street Bank & Trust Co. | 6/17/15 | 100 | ||
USD | 123,457 | ZAR | 1,518,746 | Deutsche Bank | 6/17/15 | (1,280 | ) | |
$ | (156,468 | ) |
FUTURES CONTRACTS | ||||||||
Contracts Purchased | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
14 | U.S. Treasury 2-Year Notes | September 2015 | $ | 3,064,031 | $ | 3,469 | ||
Contracts Sold | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
4 | U.S. Treasury 10-Year Notes | September 2015 | $ | 510,750 | $ | (2,197 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS | ||||||||||||||
Reference Entity | Notional Amount | Buy/Sell* Protection | Interest Rate | Termination Date | Implied Credit Spread** | Unrealized Appreciation (Depreciation) | Value | |||||||
CDX North America High Yield 24 Index | $ | 4,700,000 | Sell | 5.00% | 6/20/20 | 3.39 | % | $ | 48,179 | $ | 380,250 |
*The maximum potential amount the fund could be required to deliver as a seller of credit protection if a credit
event occurs as defined under the terms of the agreement is the notional amount. The maximum potential
amount may be partially offset by any recovery values of the reference entities and upfront payments received
upon entering into the agreement.
**Implied credit spreads for centrally cleared credit default swap agreements are linked to the weighted average spread across the underlying reference entities included in a particular index. Implied credit spreads serve as an indication of the seller’s performance risk related to the likelihood of a credit event occurring as defined in the agreement. Implied credit spreads are used to determine the value of swap agreements and reflect the cost of buying/selling protection, which may include upfront payments made/received upon entering the agreement. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform under the contract terms. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk.
72
NOTES TO SCHEDULE OF INVESTMENTS | |||||
ADR | - | American Depositary Receipt | MTN | - | Medium Term Note |
AUD | - | Australian Dollar | MXN | - | Mexican Peso |
CAD | - | Canadian Dollar | MYR | - | Malaysian Ringgit |
CDX | - | Credit Derivatives Indexes | NOK | - | Norwegian Krone |
CHF | - | Swiss Franc | NZD | - | New Zealand Dollar |
CLP | - | Chilean Peso | OJSC | - | Open Joint Stock Company |
CNY | - | Chinese Yuan | PEN | - | Peruvian Nuevo Sol |
COP | - | Colombian Peso | PIK | - | Payment in Kind |
CVA | - | Certificaten Van Aandelen | PJSC | - | Public Joint Stock Company |
CZK | - | Czech Koruna | PLN | - | Polish Zloty |
DKK | - | Danish Krone | SEK | - | Swedish Krona |
EUR | - | Euro | SEQ | - | Sequential Payer |
FHLMC | - | Federal Home Loan Mortgage Corporation | SGD | - | Singapore Dollar |
FNMA | - | Federal National Mortgage Association | THB | - | Thai Baht |
GBP | - | British Pound | TRY | - | Turkish Lira |
GDR | - | Global Depositary Receipt | TWD | - | Taiwanese Dollar |
GNMA | - | Government National Mortgage Association | USD | - | United States Dollar |
GO | - | General Obligation | VRDN | - | Variable Rate Demand Note. Interest reset date is indicated. Rate shown is effective at the period end. |
HUF | - | Hungarian Forint | |||
INR | - | Indian Rupee | VRN | - | Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end. |
JPY | - | Japanese Yen | |||
KRW | - | South Korea Won | ZAR | - | South African Rand |
LOC | - | Letter of Credit |
† | Category is less than 0.05% of total net assets. |
(1) | Non-income producing. |
(2) | Restricted security exempt from registration pursuant to Rule 144A or Section 4(2) under the Securities Act of 1933. These securities may be sold without restriction to qualified institutional investors and have been deemed liquid under policies approved by the Board of Directors. The aggregate value of these securities at the period end was $32,115,761, which represented 2.8% of total net assets. |
(3) | When-issued security. The issue price and yield are fixed on the date of the commitment, but payment and delivery are scheduled for a future date. |
(4) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for margin requirements on futures contracts. At the period end, the aggregate value of securities pledged was $16,103. |
(5) | Final maturity date indicated, unless otherwise noted. |
(6) | Forward commitment. Settlement date is indicated. |
(7) | The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown. |
See Notes to Financial Statements.
73
Statement of Assets and Liabilities |
MAY 31, 2015 (UNAUDITED) | |||
Assets | |||
Investment securities, at value (cost of $965,034,500) | $ | 1,144,827,255 | |
Cash | 2,689 | ||
Foreign currency holdings, at value (cost of $949,138) | 942,234 | ||
Deposits with broker for futures contracts and swap agreements | 243,360 | ||
Receivable for investments sold | 10,693,656 | ||
Receivable for capital shares sold | 654,477 | ||
Receivable for variation margin on futures contracts | 1,313 | ||
Receivable for variation margin on swap agreements | 928 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 190,634 | ||
Dividends and interest receivable | 3,597,746 | ||
Other assets | 22,033 | ||
1,161,176,325 | |||
Liabilities | |||
Payable for investments purchased | 18,009,887 | ||
Payable for capital shares redeemed | 3,112,768 | ||
Payable for variation margin on futures contracts | 1,188 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 347,102 | ||
Accrued management fees | 1,067,897 | ||
Distribution and service fees payable | 154,046 | ||
Accrued foreign taxes | 163,857 | ||
22,856,745 | |||
Net Assets | $ | 1,138,319,580 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 902,711,919 | |
Undistributed net investment income | 2,324,054 | ||
Undistributed net realized gain | 53,792,197 | ||
Net unrealized appreciation | 179,491,410 | ||
$ | 1,138,319,580 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||
Investor Class, $0.01 Par Value | $535,909,101 | 62,792,899 | $8.53 | |
Institutional Class, $0.01 Par Value | $154,804,043 | 18,221,926 | $8.50 | |
A Class, $0.01 Par Value | $327,635,307 | 38,171,515 | $8.58* | |
B Class, $0.01 Par Value | $6,082,496 | 721,058 | $8.44 | |
C Class, $0.01 Par Value | $79,423,184 | 9,444,842 | $8.41 | |
R Class, $0.01 Par Value | $25,791,055 | 3,008,448 | $8.57 | |
R6 Class, $0.01 Par Value | $8,674,394 | 1,022,844 | $8.48 | |
*Maximum offering price $9.10 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
74
Statement of Operations |
FOR THE SIX MONTHS ENDED MAY 31, 2015 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Dividends (net of foreign taxes withheld of $326,792) | $ | 8,397,868 | |
Interest | 3,208,064 | ||
11,605,932 | |||
Expenses: | |||
Management fees | 6,207,816 | ||
Distribution and service fees: | |||
A Class | 418,119 | ||
B Class | 31,915 | ||
C Class | 388,549 | ||
R Class | 62,094 | ||
Directors' fees and expenses | 19,489 | ||
Other expenses | 7,596 | ||
7,135,578 | |||
Net investment income (loss) | 4,470,354 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (net of foreign tax expenses paid (refunded) of $4,726) | 66,938,540 | ||
Futures contract transactions | 16,617 | ||
Swap agreement transactions | (36,214 | ) | |
Foreign currency transactions | 361,880 | ||
67,280,823 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments (includes (increase) decrease in accrued foreign taxes of $(103,704)) | (29,429,024 | ) | |
Futures contracts | 1,272 | ||
Swap agreements | 48,179 | ||
Translation of assets and liabilities in foreign currencies | (246,634 | ) | |
(29,626,207 | ) | ||
Net realized and unrealized gain (loss) | 37,654,616 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 42,124,970 |
See Notes to Financial Statements.
75
Statement of Changes in Net Assets |
SIX MONTHS ENDED MAY 31, 2015 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2014 | ||||||
Increase (Decrease) in Net Assets | May 31, 2015 | November 30, 2014 | ||||
Operations | ||||||
Net investment income (loss) | $ | 4,470,354 | $ | 6,832,384 | ||
Net realized gain (loss) | 67,280,823 | 124,637,360 | ||||
Change in net unrealized appreciation (depreciation) | (29,626,207 | ) | (32,344,148 | ) | ||
Net increase (decrease) in net assets resulting from operations | 42,124,970 | 99,125,596 | ||||
Distributions to Shareholders | ||||||
From net investment income: | ||||||
Investor Class | (1,728,328 | ) | (6,306,397 | ) | ||
Institutional Class | (704,189 | ) | (1,513,647 | ) | ||
A Class | (296,716 | ) | (3,938,741 | ) | ||
B Class | — | (23,225 | ) | |||
C Class | — | (190,667 | ) | |||
R Class | — | (170,291 | ) | |||
R6 Class | (34,115 | ) | (424 | ) | ||
From net realized gains: | ||||||
Investor Class | (52,269,018 | ) | (49,893,095 | ) | ||
Institutional Class | (13,382,526 | ) | (10,338,783 | ) | ||
A Class | (34,189,955 | ) | (38,872,098 | ) | ||
B Class | (672,235 | ) | (884,840 | ) | ||
C Class | (7,788,030 | ) | (7,265,686 | ) | ||
R Class | (2,350,065 | ) | (2,229,654 | ) | ||
R6 Class | (507,431 | ) | (2,643 | ) | ||
Decrease in net assets from distributions | (113,922,608 | ) | (121,630,191 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | 86,236,834 | 38,619,813 | ||||
Net increase (decrease) in net assets | 14,439,196 | 16,115,218 | ||||
Net Assets | ||||||
Beginning of period | 1,123,880,384 | 1,107,765,166 | ||||
End of period | $ | 1,138,319,580 | $ | 1,123,880,384 | ||
Undistributed net investment income | $ | 2,324,054 | $ | 617,048 |
See Notes to Financial Statements.
76
Notes to Financial Statements |
MAY 31, 2015 (UNAUDITED)
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Strategic Allocation: Aggressive Fund (the fund) is one fund in a series issued by the corporation. The fund is diversified as defined under the 1940 Act. The fund is an asset allocation fund and its investment objective is to seek the highest level of total return consistent with its asset mix.
The fund offers the Investor Class, the Institutional Class, the A Class, the B Class, the C Class, the R Class and the R6 Class. The A Class may incur an initial sales charge. The A Class, B Class and C Class may be subject to a contingent deferred sales charge. The share classes differ principally in their respective sales charges and distribution and shareholder servicing expenses and arrangements. The Institutional Class and R6 Class shareholders do not require the same level of shareholder and administrative services from American Century Investment Management, Inc. (ACIM) (the investment advisor) as shareholders of other classes. In addition, financial intermediaries do not receive any service, distribution or administrative fees for the R6 Class. As a result, the Institutional Class and R6 Class are charged lower unified management fees.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The fund is an investment company and follows accounting and reporting guidance in accordance with accounting principles generally accepted in the United States of America. This may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates. Management evaluated the impact of events or transactions occurring through the date the financial statements were issued that would merit recognition or disclosure.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. Equity securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Fixed income securities maturing in greater than 60 days at the time of purchase are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Fixed income securities maturing within 60 days at the time of purchase may be valued at cost, plus or minus any amortized discount or premium or at the evaluated mean as provided by an independent pricing service. Evaluated mean prices are commonly derived through utilization of market models, which may consider, among other factors: trade data, quotations from dealers and active market makers, relevant yield curve and spread data, related sector levels, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Fixed income securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
77
Open-end management investment companies are valued at the reported net asset value per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate clearing corporation. Swap agreements are valued at an evaluated price as provided by independent pricing services or independent brokers. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service.
If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s net asset value per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. If significant fluctuations in foreign markets are identified, the fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes. Certain countries impose taxes on realized gains on the sale of securities registered in their country. The fund records the foreign tax expense, if any, on an accrual basis. The foreign tax expense on realized gains and unrealized appreciation reduces the net realized gain (loss) on investment transactions and net unrealized appreciation (depreciation) on investments, respectively.
Investment Income — Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Distributions received on securities that represent a return of capital or long-term capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund may estimate the components of distributions received that may be considered nontaxable distributions or long-term capital gain distributions for income tax purposes. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Inflation adjustments related to inflation-linked debt securities are reflected as interest income.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. ACIM monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts, forward commitments and swap agreements.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
78
Forward Commitments — The fund may engage in securities transactions on a forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. The fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years from the date of filing but can be longer in certain jurisdictions. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income and net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act. The fund may elect to treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc. (ACC). The corporation’s investment advisor, ACIM, the corporation's distributor, American Century Investment Services, Inc. (ACIS), and the corporation’s transfer agent, American Century Services, LLC, are wholly owned, directly or indirectly, by ACC.
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The rate of the fee is determined by applying a fee rate calculation formula. This formula takes into account the fund’s assets as well as certain assets, if any, of other clients of the investment advisor outside the American Century Investments family of funds (such as subadvised funds and separate accounts) that have very similar investment teams and investment strategies (strategy assets). The annual management fee schedule ranges from 0.90% to 1.15% for the Investor Class, A Class, B Class, C Class and R Class. The annual management fee schedule ranges from 0.70% to 0.95% for the Institutional Class and 0.55% to 0.80% for the R6 Class. The effective annual management fee for each class for the six months ended May 31, 2015 was 1.14% for the Investor Class, A Class, B Class, C Class and R Class, 0.94% for the Institutional Class and 0.79% for the R6 Class.
79
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, B Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay ACIS an annual distribution and service fee of 0.25%. The plans provide that the B Class and C Class will each pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the six months ended May 31, 2015 are detailed in the Statement of Operations.
Directors' Fees and Expenses — The Board of Directors is responsible for overseeing the investment advisor’s management and operations of the fund. The directors receive detailed information about the fund and its investment advisor regularly throughout the year, and meet at least quarterly with management of the investment advisor to review reports about fund operations. The fund’s officers do not receive compensation from the fund.
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the six months ended May 31, 2015 totaled $572,926,625, of which $58,763,268 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the six months ended May 31, 2015 totaled $593,460,701, of which $65,899,138 represented U.S. Treasury and Government Agency obligations.
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5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2015 | Year ended November 30, 2014 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 310,000,000 | 310,000,000 | ||||||||
Sold | 4,567,580 | $ | 38,316,681 | 11,798,310 | $ | 104,263,594 | ||||
Issued in reinvestment of distributions | 6,740,901 | 53,253,120 | 6,678,419 | 55,371,763 | ||||||
Redeemed | (5,936,114 | ) | (49,978,082 | ) | (14,709,698 | ) | (128,695,139 | ) | ||
5,372,367 | 41,591,719 | 3,767,031 | 30,940,218 | |||||||
Institutional Class/Shares Authorized | 75,000,000 | 75,000,000 | ||||||||
Sold | 2,786,457 | 23,639,692 | 4,747,470 | 41,638,933 | ||||||
Issued in reinvestment of distributions | 1,771,831 | 13,926,597 | 1,419,953 | 11,716,289 | ||||||
Redeemed | (1,043,066 | ) | (8,699,302 | ) | (2,518,479 | ) | (21,951,464 | ) | ||
3,515,222 | 28,866,987 | 3,648,944 | 31,403,758 | |||||||
A Class/Shares Authorized | 225,000,000 | 225,000,000 | ||||||||
Sold | 2,561,826 | 21,675,741 | 7,024,811 | 61,976,742 | ||||||
Issued in reinvestment of distributions | 4,226,671 | 33,644,301 | 5,055,845 | 42,171,642 | ||||||
Redeemed | (6,232,647 | ) | (52,474,419 | ) | (15,747,781 | ) | (139,992,063 | ) | ||
555,850 | 2,845,623 | (3,667,125 | ) | (35,843,679 | ) | |||||
B Class/Shares Authorized | 25,000,000 | 25,000,000 | ||||||||
Sold | 7,049 | 59,513 | 8,623 | 72,829 | ||||||
Issued in reinvestment of distributions | 83,692 | 656,983 | 106,739 | 884,989 | ||||||
Redeemed | (163,535 | ) | (1,397,625 | ) | (282,347 | ) | (2,458,822 | ) | ||
(72,794 | ) | (681,129 | ) | (166,985 | ) | (1,501,004 | ) | |||
C Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 778,128 | 6,435,866 | 1,354,525 | 11,757,534 | ||||||
Issued in reinvestment of distributions | 958,781 | 7,497,670 | 860,899 | 7,120,668 | ||||||
Redeemed | (875,769 | ) | (7,253,705 | ) | (1,416,122 | ) | (12,269,133 | ) | ||
861,140 | 6,679,831 | 799,302 | 6,609,069 | |||||||
R Class/Shares Authorized | 25,000,000 | 25,000,000 | ||||||||
Sold | 433,746 | 3,633,923 | 605,407 | 5,321,252 | ||||||
Issued in reinvestment of distributions | 295,217 | 2,349,929 | 287,352 | 2,399,717 | ||||||
Redeemed | (336,053 | ) | (2,846,487 | ) | (652,660 | ) | (5,752,279 | ) | ||
392,910 | 3,137,365 | 240,099 | 1,968,690 | |||||||
R6 Class/Shares Authorized | 10,000,000 | 10,000,000 | ||||||||
Sold | 500,503 | 4,161,675 | 696,276 | 6,267,070 | ||||||
Issued in reinvestment of distributions | 69,074 | 541,546 | 373 | 3,067 | ||||||
Redeemed | (107,595 | ) | (906,783 | ) | (138,602 | ) | (1,227,376 | ) | ||
461,982 | 3,796,438 | 558,047 | 5,042,761 | |||||||
Net increase (decrease) | 11,086,677 | $ | 86,236,834 | 5,179,313 | $ | 38,619,813 |
81
6. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments. |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars. |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments. There were no significant transfers between levels during the period.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||
Assets | ||||||||
Investment Securities | ||||||||
Common Stocks | $ | 636,398,108 | $ | 271,860,520 | — | |||
Corporate Bonds | — | 90,375,074 | — | |||||
U.S. Treasury Securities | — | 62,596,285 | — | |||||
U.S. Government Agency Mortgage-Backed Securities | — | 22,504,890 | — | |||||
Sovereign Governments and Agencies | — | 13,662,697 | — | |||||
Collateralized Mortgage Obligations | — | 6,977,612 | — | |||||
Commercial Mortgage-Backed Securities | — | 6,102,937 | — | |||||
Asset-Backed Securities | — | 3,805,268 | — | |||||
Exchange-Traded Funds | 3,506,963 | — | — | |||||
Municipal Securities | — | 2,644,802 | — | |||||
Commercial Paper | — | 1,999,113 | — | |||||
Preferred Stocks | — | 66,990 | — | |||||
Convertible Preferred Stocks | — | 40,895 | — | |||||
Temporary Cash Investments | 22,285,101 | — | — | |||||
$ | 662,190,172 | $ | 482,637,083 | — | ||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 3,469 | — | — | ||||
Swap Agreements | — | $ | 48,179 | — | ||||
Forward Foreign Currency Exchange Contracts | — | 190,634 | — | |||||
$ | 3,469 | $ | 238,813 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | (2,197 | ) | — | — | |||
Forward Foreign Currency Exchange Contracts | — | $ | (347,102 | ) | — | |||
$ | (2,197 | ) | $ | (347,102 | ) | — |
82
7. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. Upon entering into a centrally cleared swap, a fund is required to deposit cash or securities (initial margin) with a financial intermediary in an amount equal to a certain percentage of the notional amount. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the value and is a component of unrealized gains and losses. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The risks of entering into swap agreements include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments. The fund's average notional amount held during the period was $3,400,000.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The fund's average U.S. dollar exposure to foreign currency risk derivative instruments held during the period was $13,670,487.
Interest Rate Risk — The fund is subject to interest rate risk in the normal course of pursuing its investment objectives. The value of bonds generally declines as interest rates rise. A fund may enter into futures contracts based on a bond index or a specific underlying security. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund recognizes a realized gain or loss when the futures contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain (loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. One of the risks of entering into futures contracts is the possibility that the change in value of the contract may not correlate with the changes in value of the underlying securities. The fund's average exposure to interest rate risk derivative instruments held during the period was 28 contracts.
83
Value of Derivative Instruments as of May 31, 2015
Asset Derivatives | Liability Derivatives | |||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | ||||
Credit Risk | Receivable for variation margin on swap agreements* | $ | 928 | Payable for variation margin on swap agreements* | — | |||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | 190,634 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 347,102 | |||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 1,313 | Payable for variation margin on futures contracts* | 1,188 | ||||
$ | 192,875 | $ | 348,290 | |||||
* Included in the unrealized appreciation (depreciation) on centrally cleared credit default swap agreements or futures contracts, as applicable, as reported in the Schedule of Investments. | ||||||||
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2015 | ||||||||
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | |||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | ||||
Credit Risk | Net realized gain (loss) on swap agreement transactions | $ | (36,214 | ) | Change in net unrealized appreciation (depreciation) on swap agreements | $ | 48,179 | |
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | 463,064 | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | (245,773 | ) | |||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 16,617 | Change in net unrealized appreciation (depreciation) on futures contracts | 1,272 | ||||
$ | 443,467 | $ | (196,322 | ) |
8. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
The fund’s investment process may result in high portfolio turnover, which could mean high transaction costs, affecting both performance and capital gains tax liabilities to investors.
9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of May 31, 2015, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 974,663,476 | |
Gross tax appreciation of investments | $ | 185,894,460 | |
Gross tax depreciation of investments | (15,730,681 | ) | |
Net tax appreciation (depreciation) of investments | $ | 170,163,779 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
84
Financial Highlights |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
Investor Class | |||||||||||||||
2015(3) | $9.19 | 0.04 | 0.24 | 0.28 | (0.03) | (0.91) | (0.94) | $8.53 | 3.87% | 1.14%(4) | 0.94%(4) | 52% | $535,909 | ||
2014 | $9.46 | 0.07 | 0.71 | 0.78 | (0.12) | (0.93) | (1.05) | $9.19 | 9.47% | 1.17% | 0.76% | 77% | $527,740 | ||
2013 | $8.31 | 0.08 | 1.48 | 1.56 | (0.11) | (0.30) | (0.41) | $9.46 | 19.71% | 1.20% | 0.96% | 79% | $507,497 | ||
2012 | $7.46 | 0.10 | 0.85 | 0.95 | (0.10) | — | (0.10) | $8.31 | 12.92% | 1.20% | 1.30% | 80% | $442,983 | ||
2011 | $7.30 | 0.09 | 0.15 | 0.24 | (0.08) | — | (0.08) | $7.46 | 3.32% | 1.20% | 1.19% | 91% | $445,035 | ||
2010 | $6.59 | 0.08 | 0.72 | 0.80 | (0.09) | — | (0.09) | $7.30 | 12.18% | 1.21% | 1.11% | 98% | $478,255 | ||
Institutional Class | |||||||||||||||
2015(3) | $9.16 | 0.05 | 0.25 | 0.30 | (0.05) | (0.91) | (0.96) | $8.50 | 4.11% | 0.94%(4) | 1.14%(4) | 52% | $154,804 | ||
2014 | $9.44 | 0.08 | 0.71 | 0.79 | (0.14) | (0.93) | (1.07) | $9.16 | 9.62% | 0.97% | 0.96% | 77% | $134,763 | ||
2013 | $8.28 | 0.10 | 1.48 | 1.58 | (0.12) | (0.30) | (0.42) | $9.44 | 20.13% | 1.00% | 1.16% | 79% | $104,332 | ||
2012 | $7.44 | 0.12 | 0.85 | 0.97 | (0.13) | — | (0.13) | $8.28 | 13.13% | 1.00% | 1.50% | 80% | $163,871 | ||
2011 | $7.30 | 0.11 | 0.15 | 0.26 | (0.12) | — | (0.12) | $7.44 | 3.46% | 1.00% | 1.39% | 91% | $127,983 | ||
2010 | $6.60 | 0.09 | 0.72 | 0.81 | (0.11) | — | (0.11) | $7.30 | 12.46% | 1.01% | 1.31% | 98% | $122,223 |
85
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
A Class | |||||||||||||||
2015(3) | $9.22 | 0.03 | 0.25 | 0.28 | (0.01) | (0.91) | (0.92) | $8.58 | 3.79% | 1.39%(4) | 0.69%(4) | 52% | $327,635 | ||
2014 | $9.49 | 0.05 | 0.70 | 0.75 | (0.09) | (0.93) | (1.02) | $9.22 | 9.13% | 1.42% | 0.51% | 77% | $346,972 | ||
2013 | $8.34 | 0.06 | 1.50 | 1.56 | (0.11) | (0.30) | (0.41) | $9.49 | 19.54% | 1.45% | 0.71% | 79% | $391,638 | ||
2012 | $7.47 | 0.08 | 0.85 | 0.93 | (0.06) | — | (0.06) | $8.34 | 12.61% | 1.45% | 1.05% | 80% | $351,492 | ||
2011 | $7.30 | 0.07 | 0.15 | 0.22 | (0.05) | — | (0.05) | $7.47 | 2.94% | 1.45% | 0.94% | 91% | $332,329 | ||
2010 | $6.57 | 0.06 | 0.72 | 0.78 | (0.05) | — | (0.05) | $7.30 | 11.96% | 1.46% | 0.86% | 98% | $352,882 | ||
B Class | |||||||||||||||
2015(3) | $9.10 | —(5) | 0.25 | 0.25 | — | (0.91) | (0.91) | $8.44 | 3.50% | 2.14%(4) | (0.06)%(4) | 52% | $6,082 | ||
2014 | $9.37 | (0.02) | 0.70 | 0.68 | (0.02) | (0.93) | (0.95) | $9.10 | 8.34% | 2.17% | (0.24)% | 77% | $7,228 | ||
2013 | $8.29 | —(5) | 1.47 | 1.47 | (0.09) | (0.30) | (0.39) | $9.37 | 18.53% | 2.20% | (0.04)% | 79% | $9,002 | ||
2012 | $7.41 | 0.02 | 0.86 | 0.88 | — | — | — | $8.29 | 11.88% | 2.20% | 0.30% | 80% | $10,287 | ||
2011 | $7.25 | 0.01 | 0.15 | 0.16 | — | — | — | $7.41 | 2.21% | 2.20% | 0.19% | 91% | $10,982 | ||
2010 | $6.52 | 0.01 | 0.72 | 0.73 | — | — | — | $7.25 | 11.20% | 2.21% | 0.11% | 98% | $12,471 |
86
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
C Class | |||||||||||||||
2015(3) | $9.08 | —(5) | 0.24 | 0.24 | — | (0.91) | (0.91) | $8.41 | 3.40% | 2.14%(4) | (0.06)%(4) | 52% | $79,423 | ||
2014 | $9.35 | (0.02) | 0.70 | 0.68 | (0.02) | (0.93) | (0.95) | $9.08 | 8.36% | 2.17% | (0.24)% | 77% | $77,937 | ||
2013 | $8.27 | —(5) | 1.47 | 1.47 | (0.09) | (0.30) | (0.39) | $9.35 | 18.57% | 2.20% | (0.04)% | 79% | $72,756 | ||
2012 | $7.39 | 0.02 | 0.86 | 0.88 | — | — | — | $8.27 | 11.91% | 2.20% | 0.30% | 80% | $57,519 | ||
2011 | $7.24 | 0.01 | 0.14 | 0.15 | — | — | — | $7.39 | 2.07% | 2.20% | 0.19% | 91% | $54,470 | ||
2010 | $6.51 | 0.01 | 0.72 | 0.73 | — | — | — | $7.24 | 11.21% | 2.21% | 0.11% | 98% | $55,588 | ||
R Class | |||||||||||||||
2015(3) | $9.22 | 0.02 | 0.24 | 0.26 | — | (0.91) | (0.91) | $8.57 | 3.58% | 1.64%(4) | 0.44%(4) | 52% | $25.791 | ||
2014 | $9.48 | 0.02 | 0.72 | 0.74 | (0.07) | (0.93) | (1.00) | $9.22 | 8.96% | 1.67% | 0.26% | 77% | $24,106 | ||
2013 | $8.35 | 0.04 | 1.49 | 1.53 | (0.10) | (0.30) | (0.40) | $9.48 | 19.18% | 1.70% | 0.46% | 79% | $22,513 | ||
2012 | $7.47 | 0.06 | 0.85 | 0.91 | (0.03) | — | (0.03) | $8.35 | 12.30% | 1.70% | 0.80% | 80% | $21,458 | ||
2011 | $7.28 | 0.05 | 0.15 | 0.20 | (0.01) | — | (0.01) | $7.47 | 2.78% | 1.70% | 0.69% | 91% | $18,226 | ||
2010 | $6.53 | 0.04 | 0.73 | 0.77 | (0.02) | — | (0.02) | $7.28 | 11.78% | 1.71% | 0.61% | 98% | $17,624 | ||
R6 Class | |||||||||||||||
2015(3) | $9.16 | 0.06 | 0.23 | 0.29 | (0.06) | (0.91) | (0.97) | $8.48 | 4.05% | 0.79%(4) | 1.29%(4) | 52% | $8.674 | ||
2014 | $9.44 | 0.08 | 0.72 | 0.80 | (0.15) | (0.93) | (1.08) | $9.16 | 9.82% | 0.80% | 1.13% | 77% | $5,136 | ||
2013(6) | $8.88 | 0.03 | 0.53 | 0.56 | — | — | — | $9.44 | 6.31% | 0.85%(4) | 1.12%(4) | 79%(7) | $27 |
87
Notes to Financial Highlights |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Six months ended May 31, 2015 (unaudited). |
(4) | Annualized. |
(5) | Per-share amount was less than $0.005. |
(6) | July 26, 2013 (commencement of sale) through November 30, 2013. |
(7) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended November 30, 2013. |
See Notes to Financial Statements.
88
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain IRAs are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. For systematic withdrawals, your withholding election will remain in effect until revoked or changed by filing a new election. You have the right to revoke your election at any time.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld (or as otherwise required by state law). State taxes will be withheld from your distribution in accordance with the respective state rules.
Distributions you receive from 403(b), 457 and qualified plans are subject to special tax and withholding rules. Your plan administrator or plan sponsor is required to provide you with a special tax notice explaining those rules at the time you request a distribution. If applicable, federal and/or state taxes may be withheld from your distribution amount.
Proxy Voting Policies
A description of the policies that the fund's investment advisor uses in exercising the voting rights associated with the securities purchased and/or held by the fund is available without charge, upon request, by calling 1-800-345-2021. It is also available on the "About Us" page of American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the "About Us" page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
89
Notes |
90
Notes |
91
Notes |
92
Contact Us | americancentury.com | |
Automated Information Line | 1-800-345-8765 | |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 | |
Investors Using Advisors | 1-800-378-9878 | |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 | |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 | |
Telecommunications Relay Service for the Deaf | 711 | |
American Century Strategic Asset Allocations, Inc. | ||
Investment Advisor: American Century Investment Management, Inc. Kansas City, Missouri | ||
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||
©2015 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-86223 1507 |
SEMIANNUAL REPORT | MAY 31, 2015 |
Strategic Allocation: Conservative Fund
Table of Contents |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Dear Investor: Thank you for reviewing this semiannual report for the six months ended May 31, 2015. It provides a macroeconomic and financial market overview (below), followed by fund performance, a schedule of fund investments, and other financial information. For additional commentary and updated information on fund performance, key factors that affected asset returns, and other insights regarding the investment markets, we encourage you to visit our website, americancentury.com. | |
Jonathan Thomas |
Divergence in Monetary Policies Helped Trigger Market Volatility
The six-month reporting period saw big swings in market returns, triggered in part by central bank moves. In October 2014, the U.S. Federal Reserve ended its latest bond-buying program (quantitative easing, QE). But while QE was ending in the U.S., other major central banks were starting or increasing QE as their economies faltered. A “global divergence” of economic growth and monetary policies opened between the U.S. and most of the rest of the developed world.
This divergence helped fuel increased demand for the U.S. dollar and U.S. dollar-denominated assets, and put downward pressure on commodities prices, most notably oil. Though the resulting dollar rally and oil price decline reversed somewhat in April 2015, the dollar remained nearly 10% higher for the reporting period, as measured by the U.S. Dollar Index, while oil remained almost 9% lower, as measured by West Texas Intermediate crude oil futures. U.S. stocks and bonds posted modest gains—the S&P 500 Index and the Barclays U.S. Aggregate Bond Index returned 2.97% and 1.09%, respectively. Non-U.S. developed-market stock returns were stronger, as reflected in the 4.84% return of the MSCI EAFE Index, but emerging-market equities lagged, reflected in the 0.82% return of the MSCI Emerging Markets Index.
We expect more monetary policy divergence between the U.S. and other major developed economies in the coming months, accompanied by continued market volatility. This could present both challenges and opportunities for active investment managers. Upward pressures on inflation and interest rates could develop as the massive amount of global monetary stimulus in progress takes hold and economies improve. In this environment, we continue to believe in a disciplined, diversified, long-term investment approach, using professionally managed stock and bond portfolios to meet financial goals. We appreciate your continued trust in us.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Performance |
Total Returns as of May 31, 2015 | |||||||
Average Annual Returns | |||||||
Ticker Symbol | 6 months(1) | 1 year | 5 years | 10 years | Since Inception | Inception Date | |
Investor Class | TWSCX | 1.63% | 4.30% | 8.12% | 5.65% | 6.18% | 2/15/96 |
S&P 500 Index | — | 2.97% | 11.81% | 16.53% | 8.12% | 8.38%(2) | — |
Barclays U.S. Aggregate Bond Index | — | 1.09% | 3.03% | 3.90% | 4.61% | 5.63%(2) | — |
Barclays U.S. 1–3 Month Treasury Bill Index | — | 0.01% | 0.02% | 0.06% | 1.36% | 2.50%(2) | — |
Institutional Class | ACCIX | 1.73% | 4.34% | 8.33% | 5.86% | 5.47% | 8/1/00 |
A Class(3) | ACCAX | 10/2/96 | |||||
No sales charge* | 1.53% | 3.90% | 7.83% | 5.38% | 5.94% | ||
With sales charge* | -4.33% | -2.06% | 6.56% | 4.75% | 5.61% | ||
B Class | ACVBX | 9/30/04 | |||||
No sales charge* | 1.20% | 3.37% | 7.08% | 4.61% | 4.76% | ||
With sales charge* | -3.80% | -0.63% | 6.93% | 4.61% | 4.76% | ||
C Class | AACCX | 9/30/04 | |||||
No sales charge* | 1.20% | 3.37% | 7.08% | 4.61% | 4.75% | ||
With sales charge* | 0.24% | 3.37% | 7.08% | 4.61% | 4.75% | ||
R Class | AACRX | 1.45% | 3.86% | 7.62% | 5.12% | 5.13% | 3/31/05 |
R6 Class | AACDX | 1.81% | 4.49% | — | — | 6.81% | 7/26/13 |
* | Sales charges include initial sales charges and contingent deferred sales charges (CDSCs), as applicable. A Class shares have a 5.75% maximum initial sales charge and may be subject to a maximum CDSC of 1.00%. B Class shares redeemed within six years of purchase are subject to a CDSC that declines from 5.00% during the first year to 0.00% after the sixth year. C Class shares redeemed within 12 months of purchase are subject to a maximum CDSC of 1.00%. The SEC requires that mutual funds provide performance information net of maximum sales charges in all cases where charges could be applied. |
(1) | Total returns for periods less than one year are not annualized. |
(2) | Since February 29, 1996, the date nearest the Investor Class’s inception for which data are available. |
(3) | Prior to December 3, 2007, the A Class was referred to as the Advisor Class and did not have a front-end sales charge. Performance prior to that date has been adjusted to reflect this charge. |
Total Annual Fund Operating Expenses | ||||||
Investor Class | Institutional Class | A Class | B Class | C Class | R Class | R6 Class |
1.00% | 0.80% | 1.25% | 2.00% | 2.00% | 1.50% | 0.65% |
The total annual fund operating expenses shown is as stated in the fund’s prospectus current as of the date of this report. The prospectus may vary from the expense ratio shown elsewhere in this report because it is based on a different time period, includes acquired fund fees and expenses, and, if applicable, does not include fee waivers or expense reimbursements.
Data presented reflect past performance. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, and redemption value may be more or less than original cost. Data assumes reinvestment of dividends and capital gains, and none of the charts reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. To obtain performance data current to the most recent month end, please call 1-800-345-2021 or visit americancentury.com. For additional information about the fund, please consult the prospectus.
3
Fund Characteristics |
MAY 31, 2015 | |
Top Ten Common Stocks | % of net assets |
Apple, Inc. | 0.8% |
Johnson & Johnson | 0.5% |
Oracle Corp. | 0.4% |
JPMorgan Chase & Co. | 0.4% |
Comcast Corp., Class A | 0.3% |
Electronic Arts, Inc. | 0.3% |
Merck & Co., Inc. | 0.3% |
PepsiCo, Inc. | 0.3% |
Cisco Systems, Inc. | 0.3% |
Total SA(1) | 0.3% |
(1) Includes shares traded on all exchanges. | |
Geographic Composition of Common Stocks | % of net assets |
United States | 35.6% |
United Kingdom | 2.5% |
Japan | 2.0% |
France | 1.6% |
Other Countries | 4.7% |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life | 6.8 years |
Average Duration (effective) | 5.1 years |
Types of Investments in Portfolio | % of net assets |
Domestic Common Stocks | 35.6% |
Foreign Common Stocks(2) | 10.8% |
U.S. Treasury Securities | 18.2% |
Corporate Bonds | 9.3% |
Sovereign Governments and Agencies | 7.2% |
U.S. Government Agency Mortgage-Backed Securities | 7.2% |
Commercial Paper | 3.5% |
Municipal Securities | 3.4% |
Commercial Mortgage-Backed Securities | 1.6% |
Asset-Backed Securities | 0.9% |
Collateralized Mortgage Obligations | 0.5% |
Exchange-Traded Funds | 0.2% |
Convertible Preferred Stocks | —(3) |
Temporary Cash Investments | 2.8% |
Other Assets and Liabilities | (1.2)% |
(2) Includes depositary shares, dual listed securities and foreign ordinary shares. | |
(3) Category is less than 0.05% of total net assets. |
4
Shareholder Fee Example |
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2014 to May 31, 2015.
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then 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 under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or Institutional Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. 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 your fund 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 transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
5
Beginning Account Value 12/1/14 | Ending Account Value 5/31/15 | Expenses Paid During Period(1) 12/1/14 - 5/31/15 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,016.30 | $5.03 | 1.00% |
Institutional Class | $1,000 | $1,017.30 | $4.02 | 0.80% |
A Class | $1,000 | $1,015.30 | $6.28 | 1.25% |
B Class | $1,000 | $1,012.00 | $10.03 | 2.00% |
C Class | $1,000 | $1,012.00 | $10.03 | 2.00% |
R Class | $1,000 | $1,014.50 | $7.53 | 1.50% |
R6 Class | $1,000 | $1,018.10 | $3.27 | 0.65% |
Hypothetical | ||||
Investor Class | $1,000 | $1,019.95 | $5.04 | 1.00% |
Institutional Class | $1,000 | $1,020.94 | $4.03 | 0.80% |
A Class | $1,000 | $1,018.70 | $6.29 | 1.25% |
B Class | $1,000 | $1,014.96 | $10.05 | 2.00% |
C Class | $1,000 | $1,014.96 | $10.05 | 2.00% |
R Class | $1,000 | $1,017.45 | $7.54 | 1.50% |
R6 Class | $1,000 | $1,021.69 | $3.28 | 0.65% |
(1) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 182, the number of days in the most recent fiscal half-year, divided by 365, to reflect the one-half year period. |
6
Schedule of Investments |
MAY 31, 2015 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
COMMON STOCKS — 46.4% | |||||||
Aerospace and Defense — 1.2% | |||||||
American Science & Engineering, Inc. | 298 | $ | 11,661 | ||||
Astronics Corp.(1) | 586 | 40,956 | |||||
B/E Aerospace, Inc. | 4,536 | 260,094 | |||||
BAE Systems plc | 22,690 | 178,599 | |||||
Boeing Co. (The) | 8,762 | 1,231,236 | |||||
Esterline Technologies Corp.(1) | 2,790 | 301,794 | |||||
Honeywell International, Inc. | 15,469 | 1,611,870 | |||||
Huntington Ingalls Industries, Inc. | 937 | 116,179 | |||||
Lockheed Martin Corp. | 3,706 | 697,469 | |||||
Precision Castparts Corp. | 1,480 | 313,212 | |||||
Raytheon Co. | 6,242 | 644,549 | |||||
Spirit Aerosystems Holdings, Inc., Class A(1) | 5,679 | 310,017 | |||||
Teledyne Technologies, Inc.(1) | 385 | 39,012 | |||||
Textron, Inc. | 8,837 | 399,609 | |||||
United Technologies Corp. | 9,893 | 1,159,163 | |||||
Zodiac Aerospace | 7,939 | 289,615 | |||||
7,605,035 | |||||||
Air Freight and Logistics† | |||||||
bpost SA | 4,928 | 142,239 | |||||
Airlines — 0.5% | |||||||
Air New Zealand Ltd. | 14,346 | 30,431 | |||||
Alaska Air Group, Inc. | 3,156 | 204,004 | |||||
Delta Air Lines, Inc. | 4,352 | 186,788 | |||||
International Consolidated Airlines Group SA(1) | 39,181 | 331,759 | |||||
Japan Airlines Co. Ltd. | 7,100 | 244,551 | |||||
Qantas Airways Ltd.(1) | 171,783 | 462,305 | |||||
Ryanair Holdings plc ADR | 2,825 | 188,145 | |||||
Southwest Airlines Co. | 15,659 | 580,166 | |||||
Spirit Airlines, Inc.(1) | 4,824 | 306,662 | |||||
United Continental Holdings, Inc.(1) | 8,963 | 489,290 | |||||
3,024,101 | |||||||
Auto Components — 0.4% | |||||||
BorgWarner, Inc. | 11,379 | 684,447 | |||||
Bridgestone Corp. | 2,700 | 112,599 | |||||
Continental AG | 770 | 177,807 | |||||
Cooper Tire & Rubber Co. | 158 | 5,800 | |||||
Dana Holding Corp. | 866 | 18,853 | |||||
Delphi Automotive plc | 8,305 | 722,369 | |||||
Faurecia | 560 | 25,195 | |||||
Koito Manufacturing Co. Ltd. | 1,800 | 70,918 |
7
Shares/ Principal Amount | Value | ||||||
Linamar Corp. | 1,253 | $ | 85,360 | ||||
Magna International, Inc. | 2,850 | 163,904 | |||||
Stoneridge, Inc.(1) | 1,024 | 12,216 | |||||
Sumitomo Rubber Industries Ltd. | 2,700 | 47,663 | |||||
Superior Industries International, Inc. | 100 | 1,929 | |||||
Tower International, Inc.(1) | 1,178 | 32,407 | |||||
Valeo SA | 2,911 | 464,706 | |||||
2,626,173 | |||||||
Automobiles — 0.6% | |||||||
Daimler AG | 1,648 | 154,357 | |||||
Fiat Chrysler Automobiles NV(1) | 8,373 | 133,803 | |||||
Ford Motor Co. | 12,980 | 196,907 | |||||
Fuji Heavy Industries Ltd. | 19,900 | 753,255 | |||||
Harley-Davidson, Inc. | 8,225 | 439,955 | |||||
Honda Motor Co. Ltd. ADR | 5,854 | 200,324 | |||||
Isuzu Motors Ltd. | 14,800 | 201,702 | |||||
Mitsubishi Motors Corp. | 3,100 | 28,898 | |||||
Peugeot SA(1) | 32,792 | 684,294 | |||||
Piaggio & C SpA | 7,511 | 24,335 | |||||
Suzuki Motor Corp. | 12,400 | 433,048 | |||||
Thor Industries, Inc. | 2,239 | 136,780 | |||||
Toyota Motor Corp. | 6,200 | 429,801 | |||||
Yamaha Motor Co. Ltd. | 4,000 | 100,391 | |||||
3,917,850 | |||||||
Banks — 3.4% | |||||||
Australia & New Zealand Banking Group Ltd. | 8,005 | 203,130 | |||||
Banco Santander SA | 42,041 | 299,390 | |||||
Bank Hapoalim BM | 8,387 | 43,981 | |||||
Bank of America Corp. | 86,033 | 1,419,544 | |||||
Bank of Hawaii Corp. | 3,756 | 235,764 | |||||
Bank of Ireland(1) | 847,273 | 323,835 | |||||
Bank of Nova Scotia | 2,454 | 129,054 | |||||
Bank of the Ozarks, Inc. | 2,329 | 102,406 | |||||
BankUnited, Inc. | 2,839 | 95,362 | |||||
Barclays plc | 73,161 | 301,912 | |||||
BB&T Corp. | 4,385 | 173,076 | |||||
Bendigo and Adelaide Bank Ltd. | 7,034 | 66,094 | |||||
BOC Hong Kong Holdings Ltd. | 49,000 | 201,595 | |||||
BOK Financial Corp. | 3,247 | 210,016 | |||||
Capital Bank Financial Corp., Class A(1) | 1,860 | 53,047 | |||||
Cathay General Bancorp | 1,106 | 33,423 | |||||
Chiba Bank Ltd. (The) | 13,000 | 102,751 | |||||
China CITIC Bank Corp. Ltd., H Shares(1) | 172,000 | 145,521 | |||||
China Construction Bank Corp., H Shares | 64,000 | 64,300 | |||||
Chongqing Rural Commercial Bank Co. Ltd., H Shares | 13,000 | 10,563 | |||||
Citigroup, Inc. | 15,835 | 856,357 |
8
Shares/ Principal Amount | Value | ||||||
Comerica, Inc. | 4,743 | $ | 232,170 | ||||
Commerce Bancshares, Inc. | 10,129 | 451,855 | |||||
Commonwealth Bank of Australia | 956 | 62,193 | |||||
Credit Agricole SA | 12,544 | 187,299 | |||||
Cullen / Frost Bankers, Inc. | 3,184 | 233,737 | |||||
Eagle Bancorp, Inc.(1) | 1,049 | 41,740 | |||||
East West Bancorp, Inc. | 4,235 | 181,681 | |||||
FCB Financial Holdings, Inc., Class A(1) | 2,872 | 82,627 | |||||
First Financial Bankshares, Inc. | 1,582 | 47,666 | |||||
First NBC Bank Holding Co.(1) | 731 | 24,847 | |||||
FirstMerit Corp. | 711 | 13,964 | |||||
Fukuoka Financial Group, Inc. | 5,000 | 26,951 | |||||
Hachijuni Bank Ltd. (The) | 18,000 | 136,905 | |||||
Hang Seng Bank Ltd. | 7,700 | 154,523 | |||||
Home Bancshares, Inc. | 1,916 | 65,355 | |||||
HSBC Holdings plc | 55,361 | 526,890 | |||||
ING Groep NV CVA | 36,992 | 608,409 | |||||
Intesa Sanpaolo SpA | 168,830 | 608,568 | |||||
JPMorgan Chase & Co. | 39,326 | 2,586,864 | |||||
Juroku Bank Ltd. (The) | 10,000 | 37,788 | |||||
KBC Groep NV | 10,475 | 702,361 | |||||
KeyCorp | 32,560 | 474,725 | |||||
LegacyTexas Financial Group, Inc. | 173 | 4,488 | |||||
Lloyds Banking Group plc | 79,029 | 106,016 | |||||
M&T Bank Corp. | 3,484 | 421,146 | |||||
Mitsubishi UFJ Financial Group, Inc. | 45,900 | 340,677 | |||||
Mizrahi Tefahot Bank Ltd.(1) | 3,207 | 36,474 | |||||
National Australia Bank Ltd. | 1,676 | 43,977 | |||||
OFG Bancorp | 1,504 | 19,763 | |||||
Oversea-Chinese Banking Corp. Ltd. | 20,400 | 154,351 | |||||
PNC Financial Services Group, Inc. (The) | 11,984 | 1,146,749 | |||||
PrivateBancorp, Inc. | 238 | 9,075 | |||||
Renasant Corp. | 656 | 19,313 | |||||
ServisFirst Bancshares, Inc. | 963 | 33,753 | |||||
Seven Bank Ltd. | 42,700 | 202,293 | |||||
Signature Bank(1) | 1,698 | 237,126 | |||||
Skandinaviska Enskilda Banken AB, A Shares | 29,960 | 369,998 | |||||
Southside Bancshares, Inc. | 1,682 | 45,162 | |||||
Standard Chartered plc | 13,027 | 208,263 | |||||
Sumitomo Mitsui Financial Group, Inc. | 13,600 | 621,295 | |||||
SunTrust Banks, Inc. | 6,191 | 264,232 | |||||
Suruga Bank Ltd. | 3,600 | 76,835 | |||||
SVB Financial Group(1) | 1,485 | 200,341 | |||||
Texas Capital Bancshares, Inc.(1) | 1,144 | 62,234 | |||||
U.S. Bancorp | 19,580 | 844,094 | |||||
UMB Financial Corp. | 974 | 50,443 |
9
Shares/ Principal Amount | Value | ||||||
United Overseas Bank Ltd. | 4,100 | $ | 70,376 | ||||
Valley National Bancorp | 5,197 | 50,827 | |||||
Wells Fargo & Co. | 30,723 | 1,719,259 | |||||
Westamerica Bancorp | 7,421 | 339,585 | |||||
Westpac Banking Corp. | 14,121 | 362,321 | |||||
20,620,705 | |||||||
Beverages — 0.7% | |||||||
Anheuser-Busch InBev NV | 3,228 | 388,034 | |||||
Boston Beer Co., Inc. (The), Class A(1) | 593 | 156,422 | |||||
Brown-Forman Corp., Class B | 3,788 | 357,095 | |||||
Coca-Cola Co. (The) | 2,717 | 111,288 | |||||
Constellation Brands, Inc., Class A | 5,268 | 621,044 | |||||
Dr Pepper Snapple Group, Inc. | 6,679 | 511,879 | |||||
PepsiCo, Inc. | 19,848 | 1,913,943 | |||||
Pernod-Ricard SA | 2,730 | 337,465 | |||||
4,397,170 | |||||||
Biotechnology — 1.3% | |||||||
ACADIA Pharmaceuticals, Inc.(1) | 508 | 20,930 | |||||
Acceleron Pharma, Inc.(1) | 100 | 3,373 | |||||
Adaptimmune Therapeutics plc ADR(1) | 219 | 3,379 | |||||
Aduro Biotech, Inc.(1) | 124 | 4,189 | |||||
Agios Pharmaceuticals, Inc.(1) | 84 | 10,250 | |||||
Alder Biopharmaceuticals, Inc.(1) | 472 | 20,069 | |||||
Alexion Pharmaceuticals, Inc.(1) | 3,277 | 536,904 | |||||
Alnylam Pharmaceuticals, Inc.(1) | 1,189 | 155,866 | |||||
AMAG Pharmaceuticals, Inc.(1) | 3,128 | 217,646 | |||||
Amgen, Inc. | 9,408 | 1,470,094 | |||||
Anacor Pharmaceuticals, Inc.(1) | 273 | 19,443 | |||||
Biogen, Inc.(1) | 3,515 | 1,395,420 | |||||
Bluebird Bio, Inc.(1) | 128 | 24,864 | |||||
Celgene Corp.(1) | 6,741 | 771,440 | |||||
Celldex Therapeutics, Inc.(1) | 597 | 17,235 | |||||
Cepheid, Inc.(1) | 449 | 24,771 | |||||
Clovis Oncology, Inc.(1) | 211 | 19,505 | |||||
CSL Ltd. | 1,935 | 138,324 | |||||
Dyax Corp.(1) | 1,005 | 26,472 | |||||
Esperion Therapeutics, Inc.(1) | 129 | 13,869 | |||||
Exact Sciences Corp.(1) | 639 | 17,259 | |||||
Gilead Sciences, Inc.(1) | 16,201 | 1,818,886 | |||||
Halozyme Therapeutics, Inc.(1) | 878 | 15,233 | |||||
Incyte Corp.(1) | 1,653 | 182,078 | |||||
Isis Pharmaceuticals, Inc.(1) | 580 | 39,046 | |||||
Keryx Biopharmaceuticals, Inc.(1) | 765 | 7,956 | |||||
Kite Pharma, Inc.(1) | 158 | 8,714 | |||||
KYTHERA Biopharmaceuticals, Inc.(1) | 109 | 5,490 | |||||
Ligand Pharmaceuticals, Inc., Class B(1) | 138 | 12,159 |
10
Shares/ Principal Amount | Value | ||||||
Neurocrine Biosciences, Inc.(1) | 550 | $ | 24,123 | ||||
Novavax, Inc.(1) | 1,864 | 16,776 | |||||
Ophthotech Corp.(1) | 423 | 21,159 | |||||
Opko Health, Inc.(1) | 1,043 | 18,440 | |||||
Portola Pharmaceuticals, Inc.(1) | 328 | 13,717 | |||||
PTC Therapeutics, Inc.(1) | 114 | 6,622 | |||||
Puma Biotechnology, Inc.(1) | 115 | 22,477 | |||||
Receptos, Inc.(1) | 110 | 18,138 | |||||
Regeneron Pharmaceuticals, Inc.(1) | 958 | 491,033 | |||||
Sangamo Biosciences, Inc.(1) | 644 | 7,889 | |||||
Sarepta Therapeutics, Inc.(1) | 347 | 8,890 | |||||
Spark Therapeutics, Inc.(1) | 94 | 6,922 | |||||
TESARO, Inc.(1) | 191 | 11,223 | |||||
Vertex Pharmaceuticals, Inc.(1) | 2,070 | 265,560 | |||||
7,933,833 | |||||||
Building Products — 0.2% | |||||||
Apogee Enterprises, Inc. | 647 | 34,763 | |||||
Caesarstone Sdot-Yam Ltd. | 1,215 | 75,111 | |||||
Continental Building Products, Inc.(1) | 1,705 | 38,022 | |||||
Daikin Industries Ltd. | 4,600 | 353,612 | |||||
Insteel Industries, Inc. | 1,142 | 22,669 | |||||
Inwido AB | 1,299 | 15,768 | |||||
Lennox International, Inc. | 2,717 | 305,934 | |||||
Masco Corp. | 11,354 | 307,353 | |||||
NCI Building Systems, Inc.(1) | 2,823 | 42,289 | |||||
Sanwa Holdings Corp. | 1,400 | 12,216 | |||||
Trex Co., Inc.(1) | 602 | 30,461 | |||||
1,238,198 | |||||||
Capital Markets — 1.4% | |||||||
Affiliated Managers Group, Inc.(1) | 2,546 | 569,438 | |||||
Ameriprise Financial, Inc. | 10,081 | 1,255,992 | |||||
Ares Management LP | 1,590 | 30,989 | |||||
Artisan Partners Asset Management, Inc., Class A | 1,233 | 54,388 | |||||
Banca Generali SpA | 2,211 | 78,630 | |||||
BlackRock, Inc. | 680 | 248,730 | |||||
Blackstone Group LP (The) | 5,086 | 222,767 | |||||
China Everbright Ltd. | 10,000 | 39,788 | |||||
Credit Suisse Group AG | 13,560 | 359,397 | |||||
Deutsche Bank AG | 2,146 | 64,616 | |||||
Evercore Partners, Inc., Class A | 1,566 | 79,819 | |||||
Franklin Resources, Inc. | 22,352 | 1,137,940 | |||||
Goldman Sachs Group, Inc. (The) | 3,060 | 630,941 | |||||
HFF, Inc., Class A | 981 | 39,476 | |||||
Invesco Ltd. | 17,860 | 711,364 | |||||
Investec plc | 16,466 | 150,874 | |||||
Legg Mason, Inc. | 3,269 | 174,434 |
11
Shares/ Principal Amount | Value | ||||||
LPL Financial Holdings, Inc. | 8,742 | $ | 372,759 | ||||
Magellan Financial Group Ltd. | 2,941 | 42,025 | |||||
Man Group plc | 52,751 | 143,915 | |||||
Moelis & Co., Class A | 283 | 8,167 | |||||
Northern Trust Corp. | 12,558 | 936,199 | |||||
State Street Corp. | 6,942 | 540,990 | |||||
T. Rowe Price Group, Inc. | 2,297 | 185,345 | |||||
Waddell & Reed Financial, Inc., Class A | 3,576 | 170,861 | |||||
8,249,844 | |||||||
Chemicals — 1.0% | |||||||
Akzo Nobel NV | 3,939 | 300,022 | |||||
Asahi Kasei Corp. | 24,000 | 213,576 | |||||
BASF SE | 790 | 73,057 | |||||
Cabot Corp. | 8,226 | 341,132 | |||||
Chemtura Corp.(1) | 839 | 23,291 | |||||
Croda International plc | 913 | 40,816 | |||||
Daicel Corp. | 2,700 | 35,220 | |||||
Dow Chemical Co. (The) | 26,361 | 1,372,617 | |||||
E.I. du Pont de Nemours & Co. | 4,528 | 321,533 | |||||
Essentra plc | 2,424 | 37,049 | |||||
Innophos Holdings, Inc. | 738 | 38,457 | |||||
Innospec, Inc. | 1,088 | 46,654 | |||||
International Flavors & Fragrances, Inc. | 52 | 6,190 | |||||
Johnson Matthey plc | 6,710 | 358,842 | |||||
Lanxess AG | 3,370 | 187,025 | |||||
LSB Industries, Inc.(1) | 691 | 29,388 | |||||
LyondellBasell Industries NV, Class A | 7,676 | 776,044 | |||||
Minerals Technologies, Inc. | 188 | 12,654 | |||||
Mitsubishi Chemical Holdings Corp. | 34,400 | 217,101 | |||||
Mosaic Co. (The) | 6,361 | 291,652 | |||||
PolyOne Corp. | 816 | 31,734 | |||||
PPG Industries, Inc. | 1,125 | 257,501 | |||||
Sherwin-Williams Co. (The) | 1,278 | 368,294 | |||||
Sumitomo Chemical Co. Ltd. | 11,000 | 64,255 | |||||
Symrise AG | 6,246 | 397,605 | |||||
Teijin Ltd. | 3,000 | 11,191 | |||||
Tronox Ltd., Class A | 1,894 | 31,933 | |||||
5,884,833 | |||||||
Commercial Services and Supplies — 0.5% | |||||||
ABM Industries, Inc. | 995 | 32,278 | |||||
ADT Corp. (The) | 8,087 | 295,014 | |||||
ARC Document Solutions, Inc.(1) | 2,669 | 19,991 | |||||
Brink's Co. (The) | 1,449 | 46,310 | |||||
Clean Harbors, Inc.(1) | 5,349 | 301,363 | |||||
Herman Miller, Inc. | 441 | 12,216 | |||||
HNI Corp. | 557 | 27,009 |
12
Shares/ Principal Amount | Value | ||||||
Kaba Holding AG | 118 | $ | 74,138 | ||||
KAR Auction Services, Inc. | 8,921 | 332,396 | |||||
Multi-Color Corp. | 1,780 | 114,009 | |||||
Pitney Bowes, Inc. | 992 | 21,675 | |||||
Republic Services, Inc. | 25,999 | 1,047,500 | |||||
Societe BIC SA | 240 | 39,552 | |||||
Stericycle, Inc.(1) | 1,426 | 195,790 | |||||
Tyco International plc | 9,230 | 372,523 | |||||
Waste Management, Inc. | 1,881 | 93,391 | |||||
3,025,155 | |||||||
Communications Equipment — 0.8% | |||||||
ARRIS Group, Inc.(1) | 473 | 15,614 | |||||
Cisco Systems, Inc. | 63,906 | 1,873,085 | |||||
Harris Corp. | 2,879 | 228,074 | |||||
Infinera Corp.(1) | 1,620 | 33,437 | |||||
Juniper Networks, Inc. | 10,041 | 279,140 | |||||
Motorola Solutions, Inc. | 4,680 | 276,120 | |||||
Palo Alto Networks, Inc.(1) | 1,396 | 236,608 | |||||
Polycom, Inc.(1) | 2,294 | 30,900 | |||||
QUALCOMM, Inc. | 21,734 | 1,514,425 | |||||
Radware Ltd.(1) | 2,601 | 61,410 | |||||
Ruckus Wireless, Inc.(1) | 2,243 | 23,574 | |||||
4,572,387 | |||||||
Construction and Engineering† | |||||||
Boskalis Westminster NV | 307 | 15,212 | |||||
Great Lakes Dredge & Dock Corp.(1) | 3,543 | 19,699 | |||||
Northwest Pipe Co.(1) | 587 | 12,192 | |||||
Peab AB | 22,314 | 171,153 | |||||
Vinci SA | 1,203 | 71,453 | |||||
289,709 | |||||||
Construction Materials† | |||||||
Headwaters, Inc.(1) | 1,804 | 34,240 | |||||
Summit Materials, Inc., Class A(1) | 1,661 | 45,677 | |||||
79,917 | |||||||
Consumer Finance — 0.2% | |||||||
Capital One Financial Corp. | 6,370 | 532,277 | |||||
Cash America International, Inc. | 716 | 19,246 | |||||
Discover Financial Services | 9,853 | 574,135 | |||||
1,125,658 | |||||||
Containers and Packaging — 0.2% | |||||||
Amcor Ltd. | 21,720 | 240,787 | |||||
Ball Corp. | 3,862 | 274,164 | |||||
Bemis Co., Inc. | 5,879 | 270,081 | |||||
Berry Plastics Group, Inc.(1) | 9,153 | 306,351 | |||||
Graphic Packaging Holding Co. | 5,929 | 84,429 | |||||
Sonoco Products Co. | 6,350 | 285,877 | |||||
1,461,689 |
13
Shares/ Principal Amount | Value | ||||||
Distributors† | |||||||
LKQ Corp.(1) | 3,539 | $ | 101,109 | ||||
Diversified Consumer Services — 0.1% | |||||||
Bright Horizons Family Solutions, Inc.(1) | 456 | 25,386 | |||||
Capella Education Co. | 90 | 4,794 | |||||
H&R Block, Inc. | 16,029 | 508,600 | |||||
K12, Inc.(1) | 1,323 | 18,112 | |||||
Nord Anglia Education, Inc.(1) | 1,357 | 35,146 | |||||
Sotheby's | 516 | 23,132 | |||||
Steiner Leisure, Ltd.(1) | 725 | 35,569 | |||||
Strayer Education, Inc.(1) | 854 | 39,139 | |||||
689,878 | |||||||
Diversified Financial Services — 0.4% | |||||||
Berkshire Hathaway, Inc., Class B(1) | 4,646 | 664,378 | |||||
Compass Diversified Holdings | 1,981 | 32,370 | |||||
Element Financial Corp.(1) | 3,181 | 47,602 | |||||
Exor SpA | 1,828 | 90,989 | |||||
Investor AB, B Shares | 5,301 | 209,329 | |||||
Japan Exchange Group, Inc. | 4,500 | 137,232 | |||||
Kinnevik Investment AB, B Shares | 4,275 | 142,742 | |||||
London Stock Exchange Group plc | 1,978 | 74,279 | |||||
MarketAxess Holdings, Inc. | 424 | 37,503 | |||||
McGraw-Hill Cos., Inc. (The) | 2,178 | 225,967 | |||||
ORIX Corp. | 28,800 | 458,169 | |||||
Pargesa Holding SA | 360 | 25,338 | |||||
PHH Corp.(1) | 344 | 9,491 | |||||
Zenkoku Hosho Co. Ltd. | 2,200 | 74,093 | |||||
2,229,482 | |||||||
Diversified Telecommunication Services — 0.4% | |||||||
AT&T, Inc. | 2,464 | 85,107 | |||||
Bezeq The Israeli Telecommunication Corp. Ltd. | 47,922 | 80,206 | |||||
BT Group plc | 61,323 | 418,674 | |||||
CenturyLink, Inc. | 10,737 | 356,898 | |||||
Deutsche Telekom AG | 22,078 | 379,364 | |||||
Nippon Telegraph & Telephone Corp. | 2,400 | 167,632 | |||||
Orange SA | 14,547 | 229,429 | |||||
Telefonica SA | 17,491 | 247,430 | |||||
Telstra Corp. Ltd. | 21,245 | 101,031 | |||||
Verizon Communications, Inc. | 7,071 | 349,590 | |||||
Zayo Group Holdings, Inc.(1) | 5,201 | 136,734 | |||||
2,552,095 | |||||||
Electric Utilities — 0.6% | |||||||
ALLETE, Inc. | 636 | 32,023 | |||||
Edison International | 7,788 | 473,588 | |||||
EDP - Energias de Portugal SA | 46,173 | 180,281 | |||||
El Paso Electric Co. | 459 | 16,694 |
14
Shares/ Principal Amount | Value | ||||||
Endesa SA | 9,135 | $ | 170,811 | ||||
Enel SpA | 23,279 | 112,956 | |||||
Entergy Corp. | 3,401 | 260,075 | |||||
Great Plains Energy, Inc. | 11,930 | 311,015 | |||||
OGE Energy Corp. | 4,642 | 146,223 | |||||
PPL Corp. | 12,710 | 441,164 | |||||
Southern Co. (The) | 4,249 | 185,639 | |||||
SSE plc | 1,523 | 38,757 | |||||
Westar Energy, Inc. | 16,672 | 611,362 | |||||
Xcel Energy, Inc. | 20,407 | 694,858 | |||||
3,675,446 | |||||||
Electrical Equipment — 0.5% | |||||||
Acuity Brands, Inc. | 1,279 | 225,731 | |||||
Babcock & Wilcox Co. (The) | 755 | 25,134 | |||||
Eaton Corp. plc | 9,430 | 675,094 | |||||
Emerson Electric Co. | 18,098 | 1,091,490 | |||||
Enphase Energy, Inc.(1) | 1,352 | 12,804 | |||||
Generac Holdings, Inc.(1) | 4,385 | 183,205 | |||||
Mabuchi Motor Co. Ltd. | 2,400 | 145,994 | |||||
Nidec Corp. | 2,700 | 197,635 | |||||
Rockwell Automation, Inc. | 719 | 88,358 | |||||
Schneider Electric SE | 3,710 | 280,257 | |||||
Vestas Wind Systems A/S | 1,380 | 70,455 | |||||
2,996,157 | |||||||
Electronic Equipment, Instruments and Components — 0.5% | |||||||
Belden, Inc. | 537 | 45,334 | |||||
Cognex Corp.(1) | 755 | 38,105 | |||||
Corning, Inc. | 1,870 | 39,120 | |||||
Hexagon AB, B Shares | 9,700 | 355,964 | |||||
Hosiden Corp. | 5,800 | 42,338 | |||||
Ingenico | 626 | 77,657 | |||||
Ingram Micro, Inc., Class A(1) | 1,672 | 44,826 | |||||
Keyence Corp. | 1,000 | 540,628 | |||||
Keysight Technologies, Inc.(1) | 11,145 | 366,225 | |||||
Mercury Systems, Inc.(1) | 2,070 | 28,256 | |||||
Methode Electronics, Inc. | 725 | 34,024 | |||||
Murata Manufacturing Co. Ltd. | 3,300 | 538,013 | |||||
PAX Global Technology Ltd.(1) | 11,000 | 19,918 | |||||
Sunny Optical Technology Group Co. Ltd. | 21,000 | 46,097 | |||||
TDK Corp. | 1,400 | 112,348 | |||||
TE Connectivity Ltd. | 7,622 | 525,918 | |||||
Topcon Corp. | 3,400 | 79,278 | |||||
2,934,049 | |||||||
Energy Equipment and Services — 0.5% | |||||||
Baker Hughes, Inc. | 5,250 | 338,415 | |||||
Cameron International Corp.(1) | 5,972 | 306,543 |
15
Shares/ Principal Amount | Value | ||||||
CGG SA(1) | 1,885 | $ | 12,685 | ||||
FMC Technologies, Inc.(1) | 114 | 4,764 | |||||
Forum Energy Technologies, Inc.(1) | 303 | 6,284 | |||||
Halliburton Co. | 18,454 | 837,811 | |||||
Helmerich & Payne, Inc. | 1,930 | 140,870 | |||||
Matrix Service Co.(1) | 723 | 12,197 | |||||
National Oilwell Varco, Inc. | 1,462 | 71,916 | |||||
Patterson-UTI Energy, Inc. | 8,149 | 164,610 | |||||
RigNet, Inc.(1) | 465 | 16,503 | |||||
Schlumberger Ltd. | 9,505 | 862,769 | |||||
TGS Nopec Geophysical Co. ASA | 9,522 | 240,156 | |||||
Weatherford International plc(1) | 3,829 | 52,917 | |||||
3,068,440 | |||||||
Food and Staples Retailing — 1.0% | |||||||
Axfood AB | 764 | 11,702 | |||||
Carrefour SA | 6,330 | 214,859 | |||||
Costco Wholesale Corp. | 1,880 | 268,069 | |||||
CVS Health Corp. | 15,881 | 1,625,897 | |||||
FamilyMart Co. Ltd. | 1,200 | 50,469 | |||||
Jeronimo Martins SGPS SA | 16,380 | 225,147 | |||||
Koninklijke Ahold NV | 12,325 | 250,629 | |||||
Kroger Co. (The) | 11,436 | 832,541 | |||||
Lawson, Inc. | 400 | 27,974 | |||||
Metro AG | 881 | 30,571 | |||||
Natural Grocers by Vitamin Cottage, Inc.(1) | 806 | 19,513 | |||||
Rallye SA | 294 | 9,429 | |||||
Seven & I Holdings Co. Ltd. | 7,400 | 307,471 | |||||
Sysco Corp. | 17,748 | 659,516 | |||||
United Natural Foods, Inc.(1) | 2,465 | 165,328 | |||||
Wal-Mart Stores, Inc. | 10,961 | 814,073 | |||||
Whole Foods Market, Inc. | 3,444 | 142,031 | |||||
WM Morrison Supermarkets plc | 84,394 | 220,569 | |||||
5,875,788 | |||||||
Food Products — 1.1% | |||||||
Archer-Daniels-Midland Co. | 12,653 | 668,711 | |||||
Associated British Foods plc | 4,806 | 222,421 | |||||
Bunge Ltd. | 4,475 | 414,206 | |||||
Cal-Maine Foods, Inc. | 219 | 12,415 | |||||
Campbell Soup Co. | 5,598 | 270,607 | |||||
ConAgra Foods, Inc. | 25,132 | 970,347 | |||||
Danone SA | 1,307 | 89,760 | |||||
General Mills, Inc. | 6,601 | 370,646 | |||||
Hain Celestial Group, Inc. (The)(1) | 3,248 | 205,501 | |||||
Hershey Co. (The) | 2,052 | 190,549 | |||||
Hormel Foods Corp. | 774 | 44,288 | |||||
Ingredion, Inc. | 3,716 | 304,601 |
16
Shares/ Principal Amount | Value | ||||||
Inventure Foods, Inc.(1) | 1,433 | $ | 13,613 | ||||
J&J Snack Foods Corp. | 366 | 39,455 | |||||
J.M. Smucker Co. (The) | 2,301 | 272,784 | |||||
Kellogg Co. | 3,641 | 228,546 | |||||
Kerry Group plc, A Shares | 4,270 | 318,902 | |||||
Mead Johnson Nutrition Co. | 5,125 | 498,662 | |||||
Mondelez International, Inc., Class A | 9,405 | 391,154 | |||||
Nestle SA | 3,190 | 247,434 | |||||
Pilgrim's Pride Corp. | 16,224 | 415,010 | |||||
Salmar ASA | 1,112 | 18,030 | |||||
Sanderson Farms, Inc. | 1,664 | 135,666 | |||||
Seaboard Corp.(1) | 1 | 3,430 | |||||
Snyders-Lance, Inc. | 234 | 6,990 | |||||
TreeHouse Foods, Inc.(1) | 61 | 4,351 | |||||
Viscofan SA | 1,365 | 83,804 | |||||
WhiteWave Foods Co., Class A(1) | 3,057 | 146,828 | |||||
Yamazaki Baking Co. Ltd. | 7,000 | 116,747 | |||||
6,705,458 | |||||||
Gas Utilities — 0.1% | |||||||
Atmos Energy Corp. | 5,896 | 318,502 | |||||
Laclede Group, Inc. (The) | 9,716 | 519,903 | |||||
South Jersey Industries, Inc. | 654 | 17,259 | |||||
855,664 | |||||||
Health Care Equipment and Supplies — 1.2% | |||||||
Abbott Laboratories | 15,090 | 733,374 | |||||
Ambu A/S, B Shares | 967 | 28,329 | |||||
Asahi Intecc Co. Ltd. | 1,000 | 58,897 | |||||
Becton Dickinson and Co. | 1,335 | 187,581 | |||||
Boston Scientific Corp.(1) | 14,086 | 257,351 | |||||
C.R. Bard, Inc. | 1,303 | 221,927 | |||||
Cantel Medical Corp. | 293 | 13,642 | |||||
Cardiovascular Systems, Inc.(1) | 796 | 22,272 | |||||
Cie Generale d'Optique Essilor International SA | 2,634 | 321,548 | |||||
Coloplast A/S, B Shares | 1,730 | 130,653 | |||||
Cooper Cos., Inc. (The) | 1,117 | 203,037 | |||||
DENTSPLY International, Inc. | 5,796 | 301,595 | |||||
DexCom, Inc.(1) | 2,411 | 172,917 | |||||
Edwards Lifesciences Corp.(1) | 570 | 74,510 | |||||
Entellus Medical, Inc.(1) | 882 | 20,595 | |||||
Haemonetics Corp.(1) | 1,072 | 44,295 | |||||
HeartWare International, Inc.(1) | 133 | 9,811 | |||||
Hill-Rom Holdings, Inc. | 183 | 9,436 | |||||
Hologic, Inc.(1) | 1,642 | 58,734 | |||||
Insulet Corp.(1) | 328 | 9,273 | |||||
Intuitive Surgical, Inc.(1) | 710 | 346,303 | |||||
Medtronic plc | 12,290 | 937,973 |
17
Shares/ Principal Amount | Value | ||||||
NuVasive, Inc.(1) | 4,057 | $ | 205,081 | ||||
Orthofix International NV(1) | 271 | 8,881 | |||||
St. Jude Medical, Inc. | 8,103 | 597,596 | |||||
STERIS Corp. | 479 | 32,012 | |||||
Stryker Corp. | 9,479 | 911,216 | |||||
Sysmex Corp. | 1,700 | 98,755 | |||||
Teleflex, Inc. | 5,036 | 648,335 | |||||
Utah Medical Products, Inc. | 532 | 29,116 | |||||
West Pharmaceutical Services, Inc. | 459 | 24,850 | |||||
Zimmer Holdings, Inc. | 7,112 | 811,408 | |||||
7,531,303 | |||||||
Health Care Providers and Services — 1.3% | |||||||
AAC Holdings, Inc.(1) | 840 | 32,642 | |||||
Adeptus Health, Inc., Class A(1) | 512 | 35,866 | |||||
Aetna, Inc. | 8,641 | 1,019,379 | |||||
Air Methods Corp.(1) | 301 | 12,690 | |||||
AmerisourceBergen Corp. | 2,799 | 315,055 | |||||
AMN Healthcare Services, Inc.(1) | 2,806 | 74,612 | |||||
Anthem, Inc. | 3,770 | 632,795 | |||||
Cardinal Health, Inc. | 7,297 | 643,376 | |||||
Cigna Corp. | 2,531 | 356,441 | |||||
ExamWorks Group, Inc.(1) | 1,484 | 60,666 | |||||
Express Scripts Holding Co.(1) | 9,773 | 851,619 | |||||
Fresenius Medical Care AG & Co. KGaA | 4,040 | 345,120 | |||||
Greencross Ltd. | 6,255 | 31,993 | |||||
Hanger, Inc.(1) | 979 | 22,507 | |||||
HCA Holdings, Inc.(1) | 8,800 | 720,104 | |||||
HealthSouth Corp. | 135 | 5,827 | |||||
Healthways, Inc.(1) | 813 | 12,325 | |||||
Humana, Inc. | 1,663 | 356,963 | |||||
Laboratory Corp. of America Holdings(1) | 2,010 | 237,080 | |||||
LifePoint Hospitals, Inc.(1) | 8,836 | 665,262 | |||||
Magellan Health, Inc.(1) | 124 | 8,386 | |||||
Molina Healthcare, Inc.(1) | 222 | 16,148 | |||||
National Healthcare Corp. | 166 | 10,445 | |||||
Owens & Minor, Inc. | 276 | 9,196 | |||||
Quest Diagnostics, Inc. | 6,279 | 472,369 | |||||
Ramsay Health Care Ltd. | 683 | 33,169 | |||||
Team Health Holdings, Inc.(1) | 4,999 | 292,342 | |||||
UnitedHealth Group, Inc. | 102 | 12,261 | |||||
Universal Health Services, Inc., Class B | 2,419 | 313,454 | |||||
VCA, Inc.(1) | 1,017 | 53,352 | |||||
WellCare Health Plans, Inc.(1) | 153 | 13,108 | |||||
7,666,552 |
18
Shares/ Principal Amount | Value | ||||||
Health Care Technology — 0.1% | |||||||
Cerner Corp.(1) | 9,385 | $ | 631,517 | ||||
HMS Holdings Corp.(1) | 1,616 | 27,537 | |||||
M3, Inc. | 2,900 | 55,282 | |||||
MedAssets, Inc.(1) | 1,860 | 38,818 | |||||
Medidata Solutions, Inc.(1) | 525 | 30,455 | |||||
Merge Healthcare, Inc.(1) | 470 | 2,143 | |||||
Press Ganey Holdings, Inc.(1) | 508 | 13,899 | |||||
799,651 | |||||||
Hotels, Restaurants and Leisure — 1.1% | |||||||
Accor SA | 13,479 | 738,645 | |||||
Aristocrat Leisure Ltd. | 10,397 | 62,002 | |||||
Boyd Gaming Corp.(1) | 399 | 5,710 | |||||
Brinker International, Inc. | 7,944 | 438,350 | |||||
Buffalo Wild Wings, Inc.(1) | 68 | 10,382 | |||||
Carnival Corp. | 7,513 | 348,077 | |||||
Carnival plc | 7,100 | 343,671 | |||||
Chipotle Mexican Grill, Inc.(1) | 573 | 352,693 | |||||
ClubCorp Holdings, Inc. | 5,012 | 113,923 | |||||
Compass Group plc | 14,690 | 256,853 | |||||
Cracker Barrel Old Country Store, Inc. | 1,177 | 166,051 | |||||
Dave & Buster's Entertainment, Inc.(1) | 842 | 26,633 | |||||
Domino's Pizza Group plc | 31,955 | 388,522 | |||||
Hyatt Hotels Corp., Class A(1) | 4,062 | 233,403 | |||||
Jack in the Box, Inc. | 1,011 | 87,765 | |||||
La Quinta Holdings, Inc.(1) | 9,493 | 235,996 | |||||
Las Vegas Sands Corp. | 12,951 | 658,299 | |||||
Marriott International, Inc., Class A | 6,966 | 543,278 | |||||
McDonald's Corp. | 85 | 8,154 | |||||
Melia Hotels International SA | 3,973 | 51,686 | |||||
MGM Resorts International(1) | 7,663 | 153,643 | |||||
Papa John's International, Inc. | 3,327 | 228,598 | |||||
Papa Murphy's Holdings, Inc.(1) | 224 | 3,848 | |||||
Peak Resorts, Inc. | 1,083 | 7,635 | |||||
Red Robin Gourmet Burgers, Inc.(1) | 522 | 43,530 | |||||
Skylark Co. Ltd. | 4,500 | 61,927 | |||||
Starbucks Corp. | 154 | 8,002 | |||||
Texas Roadhouse, Inc. | 1,254 | 43,915 | |||||
Vail Resorts, Inc. | 1,015 | 105,296 | |||||
Whitbread plc | 6,768 | 529,624 | |||||
Wyndham Worldwide Corp. | 4,012 | 340,659 | |||||
6,596,770 | |||||||
Household Durables — 0.5% | |||||||
Cavco Industries, Inc.(1) | 488 | 35,395 | |||||
Century Communities, Inc.(1) | 946 | 19,535 | |||||
De' Longhi | 2,603 | 61,837 |
19
Shares/ Principal Amount | Value | ||||||
Electrolux AB | 11,255 | $ | 343,333 | ||||
Harman International Industries, Inc. | 2,476 | 298,408 | |||||
Husqvarna AB, B Shares | 4,458 | 33,932 | |||||
Jarden Corp.(1) | 2,966 | 157,376 | |||||
Libbey, Inc. | 447 | 17,656 | |||||
Mohawk Industries, Inc.(1) | 1,509 | 281,640 | |||||
Panasonic Corp. | 7,700 | 113,594 | |||||
Persimmon plc | 3,460 | 103,756 | |||||
PulteGroup, Inc. | 10,371 | 198,916 | |||||
Sony Corp.(1) | 4,500 | 140,023 | |||||
Toll Brothers, Inc.(1) | 6,905 | 249,754 | |||||
Whirlpool Corp. | 3,850 | 709,362 | |||||
2,764,517 | |||||||
Household Products — 0.4% | |||||||
Central Garden and Pet Co.(1) | 523 | 5,104 | |||||
Church & Dwight Co., Inc. | 2,703 | 226,971 | |||||
Clorox Co. | 163 | 17,549 | |||||
Energizer Holdings, Inc. | 1,350 | 191,282 | |||||
Henkel AG & Co. KGaA Preference Shares | 1,190 | 142,395 | |||||
Procter & Gamble Co. (The) | 13,836 | 1,084,604 | |||||
Reckitt Benckiser Group plc | 5,930 | 535,194 | |||||
Spectrum Brands Holdings, Inc. | 1,470 | 142,076 | |||||
Unicharm Corp. | 13,700 | 303,328 | |||||
2,648,503 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
Cia Energetica de Sao Paulo Preference Shares | 10,300 | 63,326 | |||||
Industrial Conglomerates — 0.4% | |||||||
3M Co. | 9,395 | 1,494,556 | |||||
CK Hutchison Holdings Ltd. | 2,500 | 39,014 | |||||
DCC plc | 404 | 32,109 | |||||
General Electric Co. | 11,908 | 324,731 | |||||
Koninklijke Philips Electronics NV | 16,776 | 457,034 | |||||
Siemens AG | 598 | 62,907 | |||||
2,410,351 | |||||||
Insurance — 1.8% | |||||||
ACE Ltd. | 2,958 | 314,968 | |||||
Aflac, Inc. | 4,492 | 279,492 | |||||
AIA Group Ltd. | 62,000 | 408,208 | |||||
Allianz SE | 1,316 | 206,326 | |||||
Allstate Corp. (The) | 14,485 | 975,130 | |||||
American International Group, Inc. | 11,395 | 667,861 | |||||
Amtrust Financial Services, Inc. | 7,172 | 431,611 | |||||
Argo Group International Holdings Ltd. | 616 | 32,432 | |||||
Arthur J Gallagher & Co. | 2,262 | 109,594 | |||||
Aspen Insurance Holdings Ltd. | 6,048 | 280,385 | |||||
Atlas Financial Holdings, Inc.(1) | 1,457 | 27,406 |
20
Shares/ Principal Amount | Value | ||||||
Aviva plc | 18,613 | $ | 148,926 | ||||
AXA SA | 14,011 | 352,622 | |||||
Baldwin & Lyons, Inc., Class B | 29 | 652 | |||||
Brown & Brown, Inc. | 7,346 | 237,937 | |||||
Chubb Corp. (The) | 2,005 | 195,488 | |||||
Direct Line Insurance Group plc | 35,901 | 185,025 | |||||
Endurance Specialty Holdings Ltd. | 1,100 | 66,858 | |||||
Federated National Holding Co. | 82 | 2,106 | |||||
Hannover Rueck SE | 769 | 74,704 | |||||
Hanover Insurance Group, Inc. (The) | 4,705 | 334,902 | |||||
HCC Insurance Holdings, Inc. | 5,365 | 306,771 | |||||
Hiscox Ltd. | 16,294 | 212,429 | |||||
Infinity Property & Casualty Corp. | 366 | 26,480 | |||||
Insurance Australia Group Ltd. | 23,800 | 102,991 | |||||
James River Group Holdings Ltd. | 1,526 | 35,876 | |||||
Legal & General Group plc | 65,195 | 264,854 | |||||
Mapfre SA | 57,497 | 204,982 | |||||
MetLife, Inc. | 13,453 | 703,054 | |||||
Principal Financial Group, Inc. | 3,300 | 170,577 | |||||
ProAssurance Corp. | 2,297 | 103,778 | |||||
Prudential Financial, Inc. | 6,220 | 526,274 | |||||
Prudential plc | 15,100 | 375,493 | |||||
Reinsurance Group of America, Inc. | 3,936 | 368,213 | |||||
St. James's Place plc | 35,893 | 500,039 | |||||
Swiss Reinsurance Co. | 2,180 | 195,767 | |||||
Torchmark Corp. | 2,817 | 160,766 | |||||
Travelers Cos., Inc. (The) | 4,983 | 503,881 | |||||
UnipolSai SpA | 49,037 | 133,243 | |||||
Unum Group | 9,059 | 316,703 | |||||
Validus Holdings Ltd. | 852 | 36,559 | |||||
Zurich Financial Services AG | 782 | 249,531 | |||||
10,830,894 | |||||||
Internet and Catalog Retail — 0.3% | |||||||
Amazon.com, Inc.(1) | 526 | 225,775 | |||||
Expedia, Inc. | 6,798 | 729,153 | |||||
Netflix, Inc.(1) | 89 | 55,541 | |||||
PetMed Express, Inc. | 233 | 3,889 | |||||
Rakuten, Inc. | 12,400 | 204,111 | |||||
Shutterfly, Inc.(1) | 25 | 1,163 | |||||
TripAdvisor, Inc.(1) | 2,325 | 177,304 | |||||
windeln.de AG(1) | 2,389 | 37,259 | |||||
Zalando SE(1) | 13,997 | 451,963 | |||||
1,886,158 | |||||||
Internet Software and Services — 0.9% | |||||||
Auto Trader Group plc(1) | 12,114 | 52,629 | |||||
comScore, Inc.(1) | 980 | 55,448 |
21
Shares/ Principal Amount | Value | ||||||
CoStar Group, Inc.(1) | 2,402 | $ | 501,802 | ||||
Criteo SA ADR(1) | 6,989 | 335,682 | |||||
Demandware, Inc.(1) | 623 | 38,801 | |||||
Dena Co. Ltd. | 2,200 | 46,990 | |||||
eBay, Inc.(1) | 12,728 | 780,990 | |||||
Endurance International Group Holdings, Inc.(1) | 590 | 11,995 | |||||
Envestnet, Inc.(1) | 982 | 43,021 | |||||
Everyday Health, Inc.(1) | 1,932 | 23,957 | |||||
Facebook, Inc., Class A(1) | 14,095 | 1,116,183 | |||||
Google, Inc., Class A(1) | 1,897 | 1,034,472 | |||||
LinkedIn Corp., Class A(1) | 2,141 | 417,345 | |||||
LogMeIn, Inc.(1) | 118 | 7,490 | |||||
Pandora Media, Inc.(1) | 11,145 | 208,077 | |||||
Q2 Holdings, Inc.(1) | 1,841 | 43,650 | |||||
Twitter, Inc.(1) | 5,294 | 194,131 | |||||
United Internet AG | 1,330 | 62,023 | |||||
VeriSign, Inc.(1) | 1,847 | 116,712 | |||||
Yelp, Inc.(1) | 2,599 | 124,518 | |||||
Zoopla Property Group plc | 13,530 | 55,834 | |||||
5,271,750 | |||||||
IT Services — 1.1% | |||||||
Accenture plc, Class A | 7,008 | 673,048 | |||||
Alliance Data Systems Corp.(1) | 2,641 | 787,097 | |||||
Amdocs Ltd. | 5,411 | 296,793 | |||||
Cap Gemini SA | 4,710 | 408,770 | |||||
Cognizant Technology Solutions Corp., Class A(1) | 4,977 | 322,111 | |||||
Computer Sciences Corp. | 115 | 7,889 | |||||
EVERTEC, Inc. | 3,584 | 79,672 | |||||
Fidelity National Information Services, Inc. | 2,917 | 182,896 | |||||
Fiserv, Inc.(1) | 3,864 | 309,700 | |||||
International Business Machines Corp. | 6,384 | 1,083,046 | |||||
Sabre Corp. | 3,245 | 84,662 | |||||
Teradata Corp.(1) | 4,873 | 189,755 | |||||
Total System Services, Inc. | 744 | 30,653 | |||||
Vantiv, Inc., Class A(1) | 5,026 | 201,040 | |||||
VeriFone Systems, Inc.(1) | 1,115 | 42,560 | |||||
Virtusa Corp.(1) | 911 | 41,450 | |||||
Visa, Inc., Class A | 21,879 | 1,502,650 | |||||
Western Union Co. (The) | 413 | 9,065 | |||||
WEX, Inc.(1) | 352 | 39,913 | |||||
Wirecard AG | 8,720 | 361,347 | |||||
6,654,117 | |||||||
Leisure Products — 0.1% | |||||||
Brunswick Corp. | 5,270 | 268,981 | |||||
Heiwa Corp. | 1,200 | 23,291 | |||||
Malibu Boats, Inc.(1) | 1,019 | 21,368 |
22
Shares/ Principal Amount | Value | ||||||
Mattel, Inc. | 10,228 | $ | 263,985 | ||||
Polaris Industries, Inc. | 1,829 | 261,639 | |||||
839,264 | |||||||
Life Sciences Tools and Services — 0.2% | |||||||
Bio-Rad Laboratories, Inc., Class A(1) | 911 | 131,521 | |||||
Charles River Laboratories International, Inc.(1) | 161 | 11,647 | |||||
Eurofins Scientific | 188 | 57,216 | |||||
Illumina, Inc.(1) | 1,491 | 307,265 | |||||
Lonza Group AG | 631 | 88,622 | |||||
Mettler-Toledo International, Inc.(1) | 504 | 163,639 | |||||
Morphosys AG(1) | 482 | 35,384 | |||||
PAREXEL International Corp.(1) | 305 | 20,273 | |||||
PRA Health Sciences, Inc.(1) | 380 | 12,715 | |||||
Waters Corp.(1) | 1,194 | 159,542 | |||||
987,824 | |||||||
Machinery — 1.5% | |||||||
Albany International Corp., Class A | 1,002 | 39,659 | |||||
Altra Industrial Motion Corp. | 736 | 20,240 | |||||
Caterpillar, Inc. | 14,563 | 1,242,515 | |||||
Cummins, Inc. | 4,088 | 554,128 | |||||
Duerr AG | 1,663 | 169,990 | |||||
Dynamic Materials Corp. | 1,224 | 13,586 | |||||
EnPro Industries, Inc. | 597 | 36,107 | |||||
Flowserve Corp. | 3,292 | 181,060 | |||||
Global Brass & Copper Holdings, Inc. | 2,284 | 39,353 | |||||
Graham Corp. | 481 | 10,693 | |||||
Hitachi Construction Machinery Co. Ltd. | 3,900 | 71,360 | |||||
Hoshizaki Electric Co. Ltd. | 900 | 55,618 | |||||
Ingersoll-Rand plc | 17,381 | 1,195,465 | |||||
John Bean Technologies Corp. | 899 | 33,775 | |||||
KION Group AG | 1,443 | 68,505 | |||||
Kubota Corp. | 26,000 | 434,468 | |||||
Middleby Corp.(1) | 5,602 | 608,937 | |||||
Minebea Co. Ltd. | 18,000 | 333,562 | |||||
NSK Ltd. | 2,000 | 33,050 | |||||
Oshkosh Corp. | 5,101 | 255,866 | |||||
PACCAR, Inc. | 1,674 | 106,400 | |||||
Parker-Hannifin Corp. | 6,912 | 832,412 | |||||
Pentair plc | 3,064 | 196,188 | |||||
Snap-On, Inc. | 1,404 | 218,182 | |||||
Stanley Black & Decker, Inc. | 9,381 | 960,990 | |||||
Sumitomo Heavy Industries Ltd. | 26,000 | 171,567 | |||||
Takeuchi Manufacturing Co. Ltd. | 900 | 48,439 | |||||
WABCO Holdings, Inc.(1) | 3,628 | 458,652 | |||||
Wabtec Corp. | 2,815 | 282,345 | |||||
Yangzijiang Shipbuilding Holdings Ltd. | 200,300 | 214,697 | |||||
8,887,809 |
23
Shares/ Principal Amount | Value | ||||||
Marine† | |||||||
Kawasaki Kisen Kaisha Ltd. | 59,000 | $ | 149,740 | ||||
Media — 1.1% | |||||||
Cablevision Systems Corp., Class A | 2,030 | 49,755 | |||||
Charter Communications, Inc., Class A(1) | 1,814 | 324,742 | |||||
Cineplex, Inc. | 824 | 32,500 | |||||
Comcast Corp., Class A | 35,968 | 2,102,689 | |||||
Cumulus Media, Inc., Class A(1) | 9,068 | 21,401 | |||||
DIRECTV(1) | 1,379 | 125,544 | |||||
E.W. Scripps Co. (The), Class A | 202 | 4,733 | |||||
Entercom Communications Corp., Class A(1) | 2,355 | 26,800 | |||||
Entravision Communications Corp., Class A | 11,791 | 79,589 | |||||
Eutelsat Communications SA | 4,903 | 166,988 | |||||
Journal Media Group, Inc. | 106 | 849 | |||||
Liberty Global plc, Class A(1) | 7,560 | 434,927 | |||||
Markit Ltd.(1) | 8,380 | 224,668 | |||||
Nexstar Broadcasting Group, Inc., Class A | 677 | 38,515 | |||||
Omnicom Group, Inc. | 3,206 | 238,943 | |||||
ProSiebenSat.1 Media AG | 3,171 | 151,637 | |||||
Rightmove plc | 301 | 15,393 | |||||
Scripps Networks Interactive, Inc., Class A | 735 | 49,252 | |||||
Sirius XM Holdings, Inc.(1) | 49,076 | 189,434 | |||||
Societe Television Francaise 1 | 1,980 | 33,435 | |||||
Technicolor SA | 7,005 | 44,923 | |||||
Time Warner Cable, Inc. | 2,320 | 419,665 | |||||
Time Warner, Inc. | 8,440 | 713,011 | |||||
Townsquare Media, Inc.(1) | 541 | 7,071 | |||||
Viacom, Inc., Class B | 3,781 | 252,873 | |||||
Walt Disney Co. (The) | 7,582 | 836,825 | |||||
6,586,162 | |||||||
Metals and Mining — 0.3% | |||||||
Alcoa, Inc. | 22,704 | 283,800 | |||||
Alumina Ltd. | 24,230 | 32,789 | |||||
APERAM SA(1) | 263 | 10,884 | |||||
BHP Billiton plc | 5,167 | 108,942 | |||||
Boliden AB | 4,255 | 91,223 | |||||
Compass Minerals International, Inc. | 485 | 41,788 | |||||
Evraz plc | 23,223 | 59,843 | |||||
Fortescue Metals Group Ltd. | 9,144 | 16,918 | |||||
Haynes International, Inc. | 502 | 23,669 | |||||
Horsehead Holding Corp.(1) | 5,390 | 66,944 | |||||
Kobe Steel Ltd. | 109,000 | 204,625 | |||||
Materion Corp. | 895 | 33,285 | |||||
Newmont Mining Corp. | 3,286 | 89,511 | |||||
Nucor Corp. | 6,619 | 313,079 | |||||
Rio Tinto Ltd. | 6,720 | 299,018 |
24
Shares/ Principal Amount | Value | ||||||
Rio Tinto plc | 7,907 | $ | 345,149 | ||||
United States Steel Corp. | 3,449 | 84,156 | |||||
2,105,623 | |||||||
Multi-Utilities — 0.2% | |||||||
A2A SpA | 61,507 | 76,605 | |||||
Consolidated Edison, Inc. | 3,527 | 218,110 | |||||
E.ON AG | 13,690 | 201,028 | |||||
GDF Suez | 11,015 | 222,297 | |||||
NorthWestern Corp. | 3,469 | 180,457 | |||||
PG&E Corp. | 4,366 | 233,450 | |||||
RWE AG | 5,046 | 117,823 | |||||
1,249,770 | |||||||
Multiline Retail — 0.7% | |||||||
Big Lots, Inc. | 3,294 | 144,607 | |||||
Burlington Stores, Inc.(1) | 3,216 | 169,708 | |||||
Dillard's, Inc., Class A | 3,366 | 390,490 | |||||
Dollar Tree, Inc.(1) | 4,456 | 334,155 | |||||
Dollarama, Inc. | 323 | 17,890 | |||||
Don Quijote Holdings Co. Ltd. | 800 | 61,878 | |||||
Kohl's Corp. | 7,652 | 501,130 | |||||
Macy's, Inc. | 21,090 | 1,411,976 | |||||
Marks & Spencer Group plc | 50,529 | 450,242 | |||||
Target Corp. | 10,020 | 794,786 | |||||
4,276,862 | |||||||
Oil, Gas and Consumable Fuels — 2.2% | |||||||
Aegean Marine Petroleum Network, Inc. | 1,553 | 22,084 | |||||
Antero Resources Corp.(1) | 5,500 | 220,055 | |||||
Apache Corp. | 2,534 | 151,635 | |||||
Ardmore Shipping Corp. | 2,496 | 29,003 | |||||
BP plc | 62,023 | 427,293 | |||||
Cabot Oil & Gas Corp. | 4,191 | 142,326 | |||||
Carrizo Oil & Gas, Inc.(1) | 897 | 44,993 | |||||
Chevron Corp. | 8,608 | 886,624 | |||||
Concho Resources, Inc.(1) | 5,834 | 701,830 | |||||
CVR Energy, Inc. | 754 | 29,225 | |||||
Delek US Holdings, Inc. | 66 | 2,499 | |||||
Devon Energy Corp. | 8,110 | 528,934 | |||||
Diamondback Energy, Inc.(1) | 421 | 32,758 | |||||
ENI SpA | 15,776 | 283,986 | |||||
Enviva Partners, LP(1) | 1,609 | 32,759 | |||||
EOG Resources, Inc. | 2,048 | 181,637 | |||||
Euronav SA(1) | 1,994 | 27,238 | |||||
Exxon Mobil Corp. | 18,444 | 1,571,429 | |||||
Gulfport Energy Corp.(1) | 3,454 | 149,075 | |||||
Imperial Oil Ltd. | 35,115 | 1,377,380 | |||||
Lundin Petroleum AB(1) | 3,698 | 58,203 |
25
Shares/ Principal Amount | Value | ||||||
Marathon Petroleum Corp. | 1,246 | $ | 128,911 | ||||
Murphy Oil Corp. | 8,845 | 384,404 | |||||
Noble Energy, Inc. | 6,390 | 279,754 | |||||
Northern Tier Energy LP | 691 | 16,881 | |||||
Oasis Petroleum, Inc.(1) | 18,115 | 307,593 | |||||
Occidental Petroleum Corp. | 13,194 | 1,031,639 | |||||
PrairieSky Royalty Ltd. | 1,249 | 33,545 | |||||
Royal Dutch Shell plc, B Shares | 15,100 | 455,461 | |||||
Royal Dutch Shell plc, Class A | 12,250 | 365,550 | |||||
Scorpio Tankers, Inc. | 3,689 | 33,644 | |||||
Statoil ASA | 22,310 | 418,568 | |||||
Total SA | 16,669 | 841,690 | |||||
Total SA ADR | 20,400 | 1,029,996 | |||||
Tullow Oil plc | 5,962 | 36,003 | |||||
Valero Energy Corp. | 11,308 | 669,886 | |||||
Western Refining, Inc. | 4,076 | 179,262 | |||||
Woodside Petroleum Ltd. | 4,535 | 127,005 | |||||
13,240,758 | |||||||
Paper and Forest Products — 0.1% | |||||||
KapStone Paper and Packaging Corp. | 1,584 | 42,689 | |||||
UPM-Kymmene Oyj | 5,595 | 100,348 | |||||
West Fraser Timber Co. Ltd. | 3,475 | 191,633 | |||||
334,670 | |||||||
Personal Products — 0.1% | |||||||
Estee Lauder Cos., Inc. (The), Class A | 2,833 | 247,689 | |||||
Kose Corp. | 900 | 58,881 | |||||
306,570 | |||||||
Pharmaceuticals — 2.2% | |||||||
AbbVie, Inc. | 13,882 | 924,402 | |||||
Actavis plc(1) | 1,110 | 340,559 | |||||
ALK-Abello A/S | 55 | 6,607 | |||||
AstraZeneca plc | 6,893 | 460,654 | |||||
Bayer AG | 2,090 | 296,457 | |||||
Concordia Healthcare Corp. | 1,334 | 88,948 | |||||
Depomed, Inc.(1) | 1,130 | 23,572 | |||||
Endo International plc(1) | 4,341 | 363,602 | |||||
Horizon Pharma plc(1) | 1,280 | 41,510 | |||||
Hospira, Inc.(1) | 1,891 | 167,202 | |||||
Jazz Pharmaceuticals plc(1) | 1,059 | 189,932 | |||||
Johnson & Johnson | 30,819 | 3,086,215 | |||||
Medicines Co. (The)(1) | 492 | 13,953 | |||||
Merck & Co., Inc. | 32,549 | 1,981,909 | |||||
Nektar Therapeutics(1) | 852 | 9,798 | |||||
Novartis AG | 8,018 | 823,256 | |||||
Novo Nordisk A/S, B Shares | 2,320 | 129,546 | |||||
Ono Pharmaceutical Co. Ltd. | 2,700 | 295,855 |
26
Shares/ Principal Amount | Value | ||||||
Pacira Pharmaceuticals, Inc.(1) | 1,993 | $ | 155,873 | ||||
Pfizer, Inc. | 35,916 | 1,248,081 | |||||
Roche Holding AG | 3,651 | 1,072,944 | |||||
Sanofi | 1,794 | 175,657 | |||||
Shire plc | 6,240 | 537,422 | |||||
Takeda Pharmaceutical Co., Ltd. | 3,300 | 160,593 | |||||
Tetraphase Pharmaceuticals, Inc.(1) | 158 | 6,775 | |||||
Teva Pharmaceutical Industries Ltd. ADR | 2,461 | 147,906 | |||||
UCB SA | 2,252 | 161,016 | |||||
Zoetis, Inc. | 12,486 | 621,428 | |||||
13,531,672 | |||||||
Professional Services — 0.2% | |||||||
Adecco SA | 6,683 | 531,170 | |||||
CDI Corp. | 1,667 | 20,621 | |||||
Hays plc | 15,243 | 37,625 | |||||
Huron Consulting Group, Inc.(1) | 621 | 39,930 | |||||
Kforce, Inc. | 1,600 | 35,216 | |||||
Korn / Ferry International | 910 | 29,202 | |||||
Nielsen NV | 9,072 | 408,149 | |||||
On Assignment, Inc.(1) | 1,079 | 40,452 | |||||
RPX Corp.(1) | 668 | 10,628 | |||||
Teleperformance | 1,235 | 90,960 | |||||
Temp Holdings Co. Ltd. | 1,500 | 52,995 | |||||
USG People NV | 7,061 | 97,521 | |||||
1,394,469 | |||||||
Real Estate Investment Trusts (REITs) — 2.0% | |||||||
Activia Properties, Inc. | 10 | 85,646 | |||||
Alexandria Real Estate Equities, Inc. | 3,012 | 279,303 | |||||
Allied Properties Real Estate Investment Trust | 5,743 | 167,543 | |||||
Alstria Office REIT AG | 10,158 | 131,703 | |||||
Apollo Commercial Real Estate Finance, Inc. | 1,162 | 19,952 | |||||
Armada Hoffler Properties, Inc. | 1,990 | 21,074 | |||||
Ascendas Real Estate Investment Trust | 26,000 | 46,287 | |||||
Associated Estates Realty Corp. | 401 | 11,465 | |||||
AvalonBay Communities, Inc. | 2,365 | 393,772 | |||||
Big Yellow Group plc | 13,005 | 129,696 | |||||
Blackstone Mortgage Trust, Inc., Class A | 361 | 10,909 | |||||
Boston Properties, Inc. | 4,083 | 530,912 | |||||
British Land Co. plc | 17,810 | 234,643 | |||||
Brixmor Property Group, Inc. | 13,080 | 324,122 | |||||
Calloway Real Estate Investment Trust | 5,193 | 120,722 | |||||
Campus Crest Communities, Inc. | 3,608 | 20,421 | |||||
Capstead Mortgage Corp. | 749 | 8,861 | |||||
CBL & Associates Properties, Inc. | 498 | 8,790 | |||||
Champion REIT | 197,000 | 112,555 | |||||
Charter Hall Group | 13,401 | 49,077 |
27
Shares/ Principal Amount | Value | ||||||
Chatham Lodging Trust | 822 | $ | 22,967 | ||||
Corrections Corp. of America | 11,079 | 389,538 | |||||
Derwent London plc | 3,231 | 175,851 | |||||
DiamondRock Hospitality Co. | 652 | 8,587 | |||||
Duke Realty Corp. | 12,190 | 238,436 | |||||
DuPont Fabros Technology, Inc. | 676 | 21,794 | |||||
Easterly Government Properties, Inc. | 910 | 14,132 | |||||
Empire State Realty Trust, Inc. | 8,776 | 158,670 | |||||
EPR Properties | 190 | 10,957 | |||||
Equity Residential | 5,568 | 413,814 | |||||
Essex Property Trust, Inc. | 1,409 | 313,672 | |||||
Excel Trust, Inc. | 1,364 | 21,674 | |||||
Extra Space Storage, Inc. | 4,058 | 284,182 | |||||
Federation Centres | 27,930 | 64,916 | |||||
First Industrial Realty Trust, Inc. | 408 | 7,960 | |||||
General Growth Properties, Inc. | 10,544 | 298,712 | |||||
Goodman Group | 32,922 | 164,867 | |||||
Great Portland Estates plc | 14,539 | 184,104 | |||||
Hatteras Financial Corp. | 956 | 17,170 | |||||
Healthcare Realty Trust, Inc. | 379 | 9,028 | |||||
Hersha Hospitality Trust | 1,043 | 6,633 | |||||
Hospitality Properties Trust | 8,602 | 259,694 | |||||
Host Hotels & Resorts, Inc. | 8,990 | 179,081 | |||||
Hudson Pacific Properties, Inc. | 7,192 | 219,284 | |||||
Hulic Reit, Inc. | 81 | 117,667 | |||||
Japan Hotel REIT Investment Corp. | 38 | 26,024 | |||||
Japan Rental Housing Investments, Inc. | 88 | 58,423 | |||||
Kenedix Retail REIT Corp.(1) | 26 | 62,426 | |||||
Kilroy Realty Corp. | 3,191 | 220,402 | |||||
Kite Realty Group Trust | 9,450 | 255,623 | |||||
Klepierre | 3,996 | 177,527 | |||||
Lamar Advertising Co., Class A | 7,035 | 426,462 | |||||
Land Securities Group plc | 8,515 | 170,878 | |||||
LaSalle Hotel Properties | 3,143 | 114,594 | |||||
Lexington Realty Trust | 2,384 | 21,885 | |||||
Link Real Estate Investment Trust (The) | 43,000 | 249,560 | |||||
Mack-Cali Realty Corp. | 582 | 9,836 | |||||
Mapletree Greater China Commercial Trust | 80,200 | 63,656 | |||||
Medical Properties Trust, Inc. | 1,426 | 19,337 | |||||
Merlin Properties Socimi SA(1) | 6,485 | 84,401 | |||||
MFA Financial, Inc. | 1,449 | 11,505 | |||||
Mirvac Group | 54,301 | 83,447 | |||||
New Residential Investment Corp. | 641 | 10,935 | |||||
NorthStar Realty Finance Corp. | 10,119 | 183,559 | |||||
Orix JREIT, Inc. | 57 | 81,196 | |||||
Outfront Media, Inc. | 767 | 21,254 |
28
Shares/ Principal Amount | Value | ||||||
Pennsylvania Real Estate Investment Trust | 430 | $ | 9,598 | ||||
PennyMac Mortgage Investment Trust | 961 | 17,654 | |||||
Piedmont Office Realty Trust, Inc., Class A | 20,160 | 346,550 | |||||
ProLogis, Inc. | 8,939 | 353,895 | |||||
Regency Centers Corp. | 3,584 | 226,294 | |||||
Rexford Industrial Realty, Inc. | 596 | 8,696 | |||||
RLJ Lodging Trust | 3,300 | 99,759 | |||||
Rouse Properties, Inc. | 1,365 | 23,574 | |||||
Ryman Hospitality Properties, Inc. | 2,361 | 130,115 | |||||
Sabra Health Care REIT, Inc. | 383 | 10,150 | |||||
Safestore Holdings plc | 17,923 | 74,716 | |||||
Scentre Group | 73,995 | 223,463 | |||||
Segro plc | 1,638 | 10,670 | |||||
Shaftesbury plc | 1,297 | 17,365 | |||||
Simon Property Group, Inc. | 4,314 | 782,560 | |||||
Summit Hotel Properties, Inc. | 1,748 | 23,353 | |||||
Sun Communities, Inc. | 494 | 31,176 | |||||
Sunstone Hotel Investors, Inc. | 668 | 10,194 | |||||
Two Harbors Investment Corp. | 2,454 | 26,233 | |||||
Unibail-Rodamco SE | 1,043 | 267,881 | |||||
Urstadt Biddle Properties, Inc., Class A | 1,086 | 21,850 | |||||
Washington Real Estate Investment Trust | 663 | 16,608 | |||||
Westfield Corp. | 6,475 | 47,920 | |||||
Weyerhaeuser Co. | 14,388 | 468,473 | |||||
11,912,520 | |||||||
Real Estate Management and Development — 0.9% | |||||||
Ayala Land, Inc. | 138,200 | 124,143 | |||||
Beijing Capital Land Ltd., H Shares | 26,000 | 19,717 | |||||
CapitaLand Ltd. | 52,500 | 135,913 | |||||
CBRE Group, Inc.(1) | 3,844 | 146,994 | |||||
China Overseas Land & Investment Ltd. | 28,000 | 101,475 | |||||
China Resources Land Ltd. | 42,000 | 135,962 | |||||
Corp. Inmobiliaria Vesta SAB de CV | 42,718 | 76,648 | |||||
Daito Trust Construction Co. Ltd. | 2,600 | 290,029 | |||||
Daiwa House Industry Co. Ltd. | 5,400 | 129,958 | |||||
Dalian Wanda Commercial Properties Co. Ltd., H Shares | 14,600 | 119,758 | |||||
Deutsche Annington Immobilien SE | 667 | 21,091 | |||||
Emaar Properties PJSC | 41,346 | 87,324 | |||||
Fabege AB | 13,496 | 188,357 | |||||
Forest City Enterprises, Inc., Class A(1) | 10,880 | 250,893 | |||||
Global Logistic Properties Ltd. | 29,100 | 59,577 | |||||
Grand City Properties SA(1) | 3,817 | 66,698 | |||||
Greenland Hong Kong Holdings Ltd. | 50,000 | 51,589 | |||||
Hang Lung Properties Ltd. | 31,000 | 97,954 | |||||
Henderson Land Development Co. Ltd. | 11,000 | 88,739 | |||||
Hispania Activos Inmobiliarios SAU(1) | 2,190 | 32,976 |
29
Shares/ Principal Amount | Value | ||||||
Hongkong Land Holdings Ltd. | 24,500 | $ | 210,945 | ||||
Hulic Co. Ltd. | 16,300 | 168,759 | |||||
Jones Lang LaSalle, Inc. | 6,083 | 1,053,758 | |||||
Kerry Properties Ltd. | 21,000 | 87,617 | |||||
KWG Property Holding Ltd. | 92,000 | 87,804 | |||||
Lend Lease Group | 18,446 | 234,954 | |||||
Longfor Properties Co. Ltd. | 70,500 | 116,202 | |||||
Marcus & Millichap, Inc.(1) | 525 | 24,628 | |||||
Mitsubishi Estate Co. Ltd. | 5,000 | 111,953 | |||||
Mitsui Fudosan Co. Ltd. | 12,000 | 350,626 | |||||
New World Development Co. Ltd. | 59,000 | 78,680 | |||||
Nexity SA | 1,400 | 56,392 | |||||
PT Bumi Serpong Damai Tbk | 330,600 | 47,625 | |||||
PT Summarecon Agung Tbk | 125,200 | 18,699 | |||||
SM Prime Holdings, Inc. | 141,400 | 61,019 | |||||
Sumitomo Realty & Development Co. Ltd. | 2,000 | 77,186 | |||||
Sun Hung Kai Properties Ltd. | 17,000 | 288,097 | |||||
Unite Group plc (The) | 22,355 | 212,692 | |||||
5,513,431 | |||||||
Road and Rail — 0.4% | |||||||
Canadian Pacific Railway Ltd., New York Shares | 3,054 | 503,024 | |||||
Celadon Group, Inc. | 503 | 11,730 | |||||
Central Japan Railway Co. | 1,600 | 278,774 | |||||
DSV A/S | 1,926 | 66,971 | |||||
Go-Ahead Group plc | 833 | 33,802 | |||||
Heartland Express, Inc. | 14,297 | 303,811 | |||||
J.B. Hunt Transport Services, Inc. | 2,688 | 225,846 | |||||
Marten Transport Ltd. | 747 | 16,942 | |||||
Saia, Inc.(1) | 788 | 32,261 | |||||
Swift Transportation Co.(1) | 917 | 21,339 | |||||
Union Pacific Corp. | 6,482 | 654,099 | |||||
Werner Enterprises, Inc. | 5,451 | 150,011 | |||||
2,298,610 | |||||||
Semiconductors and Semiconductor Equipment — 1.6% | |||||||
Altera Corp. | 9,915 | 484,348 | |||||
ams AG | 1,122 | 66,734 | |||||
Applied Materials, Inc. | 58,041 | 1,168,365 | |||||
ARM Holdings plc | 22,860 | 403,548 | |||||
ASML Holding NV | 1,912 | 213,670 | |||||
Avago Technologies Ltd. | 3,477 | 514,839 | |||||
Broadcom Corp., Class A | 18,904 | 1,074,692 | |||||
Cavium, Inc.(1) | 482 | 33,918 | |||||
Cypress Semiconductor Corp. | 3,839 | 52,710 | |||||
Dialog Semiconductor plc(1) | 1,926 | 107,268 | |||||
Exar Corp.(1) | 4,021 | 43,668 | |||||
Fairchild Semiconductor International, Inc.(1) | 2,017 | 40,179 |
30
Shares/ Principal Amount | Value | ||||||
Freescale Semiconductor Ltd.(1) | 3,334 | $ | 150,430 | ||||
Intel Corp. | 29,755 | 1,025,357 | |||||
Kulicke & Soffa Industries, Inc.(1) | 3,412 | 45,243 | |||||
Lam Research Corp. | 5,161 | 424,492 | |||||
M/A-COM Technology Solutions Holdings, Inc.(1) | 621 | 23,697 | |||||
Maxim Integrated Products, Inc. | 6,136 | 215,190 | |||||
Mellanox Technologies Ltd.(1) | 692 | 34,821 | |||||
Microchip Technology, Inc. | 19,771 | 971,349 | |||||
Micron Technology, Inc.(1) | 20,602 | 575,414 | |||||
Nanometrics, Inc.(1) | 1,161 | 18,042 | |||||
NXP Semiconductors NV(1) | 6,541 | 734,227 | |||||
Photronics, Inc.(1) | 2,663 | 26,870 | |||||
Qorvo, Inc.(1) | 648 | 53,233 | |||||
Semtech Corp.(1) | 1,422 | 30,374 | |||||
Skyworks Solutions, Inc. | 1,608 | 175,851 | |||||
STMicroelectronics NV | 4,580 | 39,105 | |||||
Synaptics, Inc.(1) | 625 | 62,275 | |||||
Teradyne, Inc. | 13,263 | 280,513 | |||||
Texas Instruments, Inc. | 12,084 | 675,737 | |||||
Xilinx, Inc. | 3,094 | 146,718 | |||||
9,912,877 | |||||||
Software — 1.7% | |||||||
Activision Blizzard, Inc. | 3,736 | 94,371 | |||||
Adobe Systems, Inc.(1) | 3,934 | 311,140 | |||||
AVG Technologies NV(1) | 561 | 13,756 | |||||
Barracuda Networks, Inc.(1) | 964 | 37,924 | |||||
BroadSoft, Inc.(1) | 1,080 | 39,431 | |||||
Cadence Design Systems, Inc.(1) | 3,954 | 78,250 | |||||
Dassault Systemes SA | 3,410 | 266,546 | |||||
Electronic Arts, Inc.(1) | 32,101 | 2,014,498 | |||||
ePlus, Inc.(1) | 245 | 19,024 | |||||
Intuit, Inc. | 12,137 | 1,264,068 | |||||
Manhattan Associates, Inc.(1) | 727 | 39,876 | |||||
Mentor Graphics Corp. | 3,164 | 82,612 | |||||
Microsoft Corp. | 34,222 | 1,603,643 | |||||
Mobileye NV(1) | 2,240 | 105,459 | |||||
Monotype Imaging Holdings, Inc. | 897 | 23,268 | |||||
NetSuite, Inc.(1) | 3,442 | 321,552 | |||||
Nintendo Co. Ltd. | 900 | 153,148 | |||||
Oracle Corp. | 60,247 | 2,620,142 | |||||
Proofpoint, Inc.(1) | 589 | 34,828 | |||||
QLIK Technologies, Inc.(1) | 1,196 | 43,259 | |||||
Splunk, Inc.(1) | 5,358 | 362,308 | |||||
Synopsys, Inc.(1) | 7,766 | 387,446 | |||||
Tableau Software, Inc., Class A(1) | 202 | 22,868 | |||||
Tyler Technologies, Inc.(1) | 1,418 | 172,259 |
31
Shares/ Principal Amount | Value | ||||||
Ultimate Software Group, Inc.(1) | 149 | $ | 24,107 | ||||
Verint Systems, Inc.(1) | 702 | 45,398 | |||||
VMware, Inc., Class A(1) | 249 | 21,743 | |||||
10,202,924 | |||||||
Specialty Retail — 1.3% | |||||||
Advance Auto Parts, Inc. | 2,930 | 448,935 | |||||
AutoZone, Inc.(1) | 311 | 209,496 | |||||
Bed Bath & Beyond, Inc.(1) | 12,496 | 891,215 | |||||
Build-A-Bear Workshop, Inc.(1) | 671 | 10,796 | |||||
CST Brands, Inc. | 5,211 | 207,241 | |||||
Destination Maternity Corp. | 1,142 | 12,551 | |||||
Foot Locker, Inc. | 8,802 | 556,286 | |||||
Gap, Inc. (The) | 15,769 | 604,426 | |||||
Home Depot, Inc. (The) | 439 | 48,913 | |||||
Howden Joinery Group plc | 16,839 | 131,515 | |||||
Inditex SA | 10,820 | 358,410 | |||||
Kirkland's, Inc.(1) | 1,462 | 38,407 | |||||
Laox Co. Ltd.(1) | 7,000 | 21,883 | |||||
Lowe's Cos., Inc. | 15,052 | 1,053,339 | |||||
MarineMax, Inc.(1) | 719 | 17,198 | |||||
Men's Wearhouse, Inc. (The) | 993 | 57,604 | |||||
Murphy USA, Inc.(1) | 634 | 36,918 | |||||
Nitori Holdings Co. Ltd. | 3,200 | 246,739 | |||||
O'Reilly Automotive, Inc.(1) | 2,704 | 593,609 | |||||
Office Depot, Inc.(1) | 869 | 8,056 | |||||
Penske Automotive Group, Inc. | 787 | 40,617 | |||||
Rent-A-Center, Inc. | 867 | 26,227 | |||||
Restoration Hardware Holdings, Inc.(1) | 2,096 | 190,652 | |||||
Ross Stores, Inc. | 3,464 | 334,865 | |||||
Sally Beauty Holdings, Inc.(1) | 6,453 | 201,398 | |||||
Signet Jewelers Ltd. | 3,148 | 407,131 | |||||
Tile Shop Holdings, Inc.(1) | 2,301 | 28,693 | |||||
TJX Cos., Inc. (The) | 7,900 | 508,602 | |||||
Tractor Supply Co. | 3,336 | 290,699 | |||||
Ulta Salon Cosmetics & Fragrance, Inc.(1) | 1,333 | 203,442 | |||||
7,785,863 | |||||||
Technology Hardware, Storage and Peripherals — 1.4% | |||||||
Apple, Inc. | 36,273 | 4,725,646 | |||||
Canon, Inc. | 9,900 | 342,350 | |||||
EMC Corp. | 14,387 | 378,954 | |||||
FUJIFILM Holdings Corp. | 4,100 | 157,043 | |||||
Hewlett-Packard Co. | 17,052 | 569,537 | |||||
Nimble Storage, Inc.(1) | 1,146 | 29,658 | |||||
SanDisk Corp. | 6,120 | 418,486 | |||||
Seagate Technology plc | 2,912 | 162,024 | |||||
Silicon Graphics International Corp.(1) | 4,967 | 31,888 |
32
Shares/ Principal Amount | Value | ||||||
Super Micro Computer, Inc.(1) | 1,906 | $ | 63,775 | ||||
Western Digital Corp. | 14,978 | 1,458,258 | |||||
8,337,619 | |||||||
Textiles, Apparel and Luxury Goods — 0.5% | |||||||
Burberry Group plc | 10,809 | 280,022 | |||||
Culp, Inc. | 1,308 | 34,466 | |||||
Hanesbrands, Inc. | 12,181 | 388,087 | |||||
Kate Spade & Co.(1) | 1,577 | 39,078 | |||||
Lululemon Athletica, Inc.(1) | 2,511 | 150,133 | |||||
Luxottica Group SpA | 5,338 | 359,385 | |||||
LVMH Moet Hennessy Louis Vuitton SE | 1,090 | 194,117 | |||||
Michael Kors Holdings Ltd.(1) | 665 | 30,922 | |||||
Moncler SpA | 1,282 | 24,387 | |||||
Movado Group, Inc. | 603 | 15,774 | |||||
Pandora A/S | 6,999 | 703,738 | |||||
Ralph Lauren Corp. | 1,787 | 233,025 | |||||
Skechers U.S.A., Inc., Class A(1) | 669 | 70,827 | |||||
Under Armour, Inc., Class A(1) | 3,924 | 307,681 | |||||
Wolverine World Wide, Inc. | 1,418 | 41,661 | |||||
2,873,303 | |||||||
Thrifts and Mortgage Finance — 0.1% | |||||||
Aareal Bank AG | 8,830 | 350,243 | |||||
Capitol Federal Financial, Inc. | 4,854 | 58,733 | |||||
Essent Group Ltd.(1) | 2,040 | 52,040 | |||||
EverBank Financial Corp. | 5,624 | 103,707 | |||||
Nationstar Mortgage Holdings, Inc.(1) | 6,512 | 128,417 | |||||
People's United Financial, Inc. | 5,281 | 82,172 | |||||
Radian Group, Inc. | 487 | 8,727 | |||||
784,039 | |||||||
Tobacco — 0.3% | |||||||
Altria Group, Inc. | 4,580 | 234,496 | |||||
Imperial Tobacco Group plc | 4,447 | 229,052 | |||||
Japan Tobacco, Inc. | 6,500 | 237,763 | |||||
Philip Morris International, Inc. | 12,097 | 1,004,898 | |||||
1,706,209 | |||||||
Trading Companies and Distributors — 0.2% | |||||||
Ashtead Group plc | 31,345 | 536,566 | |||||
Beacon Roofing Supply, Inc.(1) | 2,925 | 91,728 | |||||
Bunzl plc | 8,240 | 238,783 | |||||
Kaman Corp. | 257 | 10,886 | |||||
Kanamoto Co. Ltd. | 1,900 | 53,809 | |||||
United Rentals, Inc.(1) | 3,480 | 309,407 | |||||
Wolseley plc | 4,450 | 274,844 | |||||
1,516,023 | |||||||
Transportation Infrastructure — 0.1% | |||||||
Groupe Eurotunnel SE | 22,348 | 336,632 |
33
Shares/ Principal Amount | Value | ||||||
Sydney Airport | 8,766 | $ | 38,135 | ||||
374,767 | |||||||
Water Utilities† | |||||||
Artesian Resources Corp., Class A | 244 | 5,202 | |||||
Beijing Enterprises Water Group Ltd. | 58,000 | 48,996 | |||||
54,198 | |||||||
Wireless Telecommunication Services — 0.3% | |||||||
Freenet AG | 1,496 | 49,201 | |||||
KDDI Corp. | 2,800 | 63,416 | |||||
NTT DoCoMo, Inc. | 2,000 | 36,031 | |||||
RingCentral, Inc., Class A(1) | 1,710 | 29,224 | |||||
Rogers Communications, Inc., Class B | 5,111 | 175,860 | |||||
SBA Communications Corp., Class A(1) | 11,308 | 1,264,348 | |||||
Shenandoah Telecommunications Co. | 58 | 1,823 | |||||
Vodafone Group plc | 38,617 | 150,713 | |||||
1,770,616 | |||||||
TOTAL COMMON STOCKS (Cost $223,315,303) | 281,936,146 | ||||||
U.S. TREASURY SECURITIES — 18.2% | |||||||
U.S. Treasury Bonds, 3.50%, 2/15/39 | $ | 1,600,000 | 1,785,626 | ||||
U.S. Treasury Bonds, 4.375%, 11/15/39 | 3,220,000 | 4,099,965 | |||||
U.S. Treasury Bonds, 2.875%, 5/15/43 | 70,000 | 69,617 | |||||
U.S. Treasury Bonds, 2.50%, 2/15/45 | 2,050,000 | 1,888,243 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 6,241,138 | 7,835,555 | |||||
U.S. Treasury Inflation Indexed Bonds, 3.375%, 4/15/32 | 66,513 | 95,716 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 753,784 | 958,365 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/41 | 571,451 | 731,859 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 877,766 | 837,238 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 770,250 | 710,435 | |||||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 1,013,130 | 1,123,150 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 1,102,981 | 1,049,900 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/17 | 5,093,893 | 5,174,280 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/18 | 4,494,380 | 4,574,083 | |||||
U.S. Treasury Inflation Indexed Notes, 1.375%, 7/15/18 | 3,394,407 | 3,612,922 | |||||
U.S. Treasury Inflation Indexed Notes, 2.125%, 1/15/19 | 1,099,760 | 1,202,432 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/19 | 1,360,368 | 1,381,624 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/20 | 2,520,700 | 2,551,027 | |||||
U.S. Treasury Inflation Indexed Notes, 1.125%, 1/15/21 | 4,101,682 | 4,364,124 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 7/15/21 | 3,300,035 | 3,429,973 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/22 | 1,617,007 | 1,615,870 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/22 | 1,232,124 | 1,234,626 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/23 | 3,887,210 | 3,862,309 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/23 | 3,348,213 | 3,392,419 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 2,782,863 | 2,866,131 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/24 | 1,491,615 | 1,475,883 | |||||
U.S. Treasury Notes, 0.375%, 11/15/15(2) | 1,700,000 | 1,702,258 | |||||
U.S. Treasury Notes, 1.375%, 11/30/15 | 1,500,000 | 1,509,492 |
34
Shares/ Principal Amount | Value | ||||||
U.S. Treasury Notes, 0.50%, 6/15/16 | $ | 700,000 | $ | 701,367 | |||
U.S. Treasury Notes, 0.50%, 3/31/17 | 3,700,000 | 3,695,952 | |||||
U.S. Treasury Notes, 1.00%, 2/15/18 | 12,230,000 | 12,273,955 | |||||
U.S. Treasury Notes, 2.625%, 4/30/18 | 300,000 | 314,719 | |||||
U.S. Treasury Notes, 1.375%, 7/31/18 | 3,950,000 | 3,994,438 | |||||
U.S. Treasury Notes, 1.25%, 10/31/18 | 2,700,000 | 2,713,079 | |||||
U.S. Treasury Notes, 1.25%, 11/30/18 | 5,300,000 | 5,323,601 | |||||
U.S. Treasury Notes, 1.625%, 7/31/19 | 350,000 | 354,320 | |||||
U.S. Treasury Notes, 1.50%, 11/30/19 | 1,700,000 | 1,707,970 | |||||
U.S. Treasury Notes, 1.25%, 1/31/20 | 700,000 | 694,149 | |||||
U.S. Treasury Notes, 1.375%, 2/29/20 | 1,650,000 | 1,644,715 | |||||
U.S. Treasury Notes, 1.375%, 3/31/20 | 8,350,000 | 8,318,036 | |||||
U.S. Treasury Notes, 1.375%, 4/30/20 | 1,100,000 | 1,094,586 | |||||
U.S. Treasury Notes, 1.50%, 5/31/20(3) | 450,000 | 450,422 | |||||
U.S. Treasury Notes, 1.875%, 5/31/22(3) | 200,000 | 200,109 | |||||
U.S. Treasury Notes, 2.00%, 2/15/25 | 2,400,000 | 2,376,374 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $107,890,871) | 110,992,914 | ||||||
CORPORATE BONDS — 9.3% | |||||||
Aerospace and Defense — 0.1% | |||||||
Lockheed Martin Corp., 4.25%, 11/15/19 | 120,000 | 131,866 | |||||
Lockheed Martin Corp., 3.80%, 3/1/45 | 50,000 | 46,428 | |||||
Raytheon Co., 2.50%, 12/15/22 | 80,000 | 79,413 | |||||
United Technologies Corp., 6.05%, 6/1/36 | 51,000 | 63,800 | |||||
United Technologies Corp., 5.70%, 4/15/40 | 150,000 | 181,778 | |||||
United Technologies Corp., 4.50%, 6/1/42 | 50,000 | 51,802 | |||||
555,087 | |||||||
Automobiles — 0.2% | |||||||
American Honda Finance Corp., 1.50%, 9/11/17(4) | 40,000 | 40,360 | |||||
American Honda Finance Corp., 2.125%, 10/10/18 | 80,000 | 81,628 | |||||
Daimler Finance North America LLC, 1.30%, 7/31/15(4) | 140,000 | 140,190 | |||||
Daimler Finance North America LLC, 2.625%, 9/15/16(4) | 70,000 | 71,386 | |||||
Ford Motor Co., 4.75%, 1/15/43 | 50,000 | 50,820 | |||||
Ford Motor Credit Co. LLC, 2.15%, 1/9/18 | 200,000 | 202,125 | |||||
Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 110,000 | 119,274 | |||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | 240,000 | 278,324 | |||||
Volkswagen International Finance NV, VRN, 3.75%, 3/24/21 | EUR | 150,000 | 175,060 | ||||
1,159,167 | |||||||
Banks — 2.4% | |||||||
Abbey National Treasury Services plc, MTN, 5.125%, 4/14/21 (Secured) | GBP | 100,000 | 179,934 | ||||
Asian Development Bank, MTN, 2.35%, 6/21/27 | JPY | 30,000,000 | 297,253 | ||||
Bank of America Corp., 3.75%, 7/12/16 | $ | 110,000 | 113,193 | ||||
Bank of America Corp., 6.50%, 8/1/16 | 230,000 | 243,810 | |||||
Bank of America Corp., 5.75%, 12/1/17 | 250,000 | 274,354 | |||||
Bank of America Corp., 5.70%, 1/24/22 | 160,000 | 185,481 | |||||
Bank of America Corp., 4.10%, 7/24/23 | 70,000 | 73,442 |
35
Shares/ Principal Amount | Value | ||||||
Bank of America Corp., MTN, 4.75%, 4/3/17 | EUR | 50,000 | $ | 59,348 | |||
Bank of America Corp., MTN, 4.00%, 4/1/24 | $ | 120,000 | 125,047 | ||||
Bank of America Corp., MTN, 4.20%, 8/26/24 | 130,000 | 132,054 | |||||
Bank of America Corp., MTN, 4.00%, 1/22/25 | 90,000 | 89,690 | |||||
Bank of America Corp., MTN, 5.00%, 1/21/44 | 60,000 | 65,016 | |||||
Bank of America N.A., 5.30%, 3/15/17 | 810,000 | 862,357 | |||||
Bank of Nova Scotia, 2.55%, 1/12/17 | 140,000 | 143,436 | |||||
Barclays Bank plc, 5.14%, 10/14/20 | 100,000 | 110,731 | |||||
Barclays Bank plc, MTN, 6.625%, 3/30/22 | EUR | 70,000 | 99,851 | ||||
BB&T Corp., MTN, 2.05%, 6/19/18 | $ | 60,000 | 60,846 | ||||
BPCE SA, 4.625%, 7/18/23 | EUR | 100,000 | 130,154 | ||||
BPCE SA, VRN, 2.75%, 7/8/21 | EUR | 100,000 | 113,393 | ||||
Branch Banking & Trust Co., 3.80%, 10/30/26 | $ | 70,000 | 72,727 | ||||
Capital One Financial Corp., 1.00%, 11/6/15 | 60,000 | 60,089 | |||||
Capital One Financial Corp., 3.20%, 2/5/25 | 170,000 | 164,848 | |||||
Citigroup, Inc., 4.45%, 1/10/17 | 100,000 | 104,902 | |||||
Citigroup, Inc., 5.50%, 2/15/17 | 140,000 | 149,344 | |||||
Citigroup, Inc., 1.75%, 5/1/18 | 370,000 | 370,102 | |||||
Citigroup, Inc., 4.50%, 1/14/22 | 260,000 | 284,486 | |||||
Citigroup, Inc., 4.05%, 7/30/22 | 50,000 | 52,135 | |||||
Citigroup, Inc., 3.30%, 4/27/25 | 360,000 | 354,072 | |||||
Citigroup, Inc., 6.00%, 10/31/33 | 50,000 | 57,619 | |||||
Citigroup, Inc., 5.30%, 5/6/44 | 50,000 | 54,020 | |||||
Co-Operative Bank plc, 4.75%, 11/11/21 (Secured) | GBP | 200,000 | 343,590 | ||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.875%, 2/8/22 | $ | 170,000 | 181,028 | ||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, MTN, 4.375%, 6/7/21 | EUR | 140,000 | 186,402 | ||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, VRN, 2.50%, 5/26/21 | EUR | 100,000 | 113,356 | ||||
European Financial Stability Facility, MTN, 1.875%, 5/23/23 | EUR | 240,000 | 292,173 | ||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 295,000 | 366,034 | ||||
European Financial Stability Facility, MTN, 2.35%, 7/29/44 | EUR | 80,000 | 107,996 | ||||
European Investment Bank, 2.50%, 7/15/15 | EUR | 200,000 | 220,353 | ||||
European Investment Bank, MTN, 3.625%, 1/15/21 | EUR | 222,000 | 290,582 | ||||
European Investment Bank, MTN, 4.25%, 12/7/21 | GBP | 420,000 | 744,507 | ||||
European Investment Bank, MTN, 2.25%, 10/14/22 | EUR | 290,000 | 361,611 | ||||
Fifth Third Bancorp, 4.30%, 1/16/24 | $ | 60,000 | 62,824 | ||||
Fifth Third Bank, 2.875%, 10/1/21 | 250,000 | 250,762 | |||||
HSBC Bank plc, MTN, 6.50%, 7/7/23 | GBP | 110,000 | 202,756 | ||||
HSBC Holdings plc, 5.10%, 4/5/21 | $ | 90,000 | 101,926 | ||||
ING Bank NV, MTN, VRN, 3.625%, 2/25/21 | EUR | 200,000 | 240,643 | ||||
International Bank for Reconstruction & Development, MTN, 3.875%, 5/20/19 | EUR | 280,000 | 354,624 | ||||
JPMorgan Chase & Co., 6.00%, 1/15/18 | $ | 560,000 | 622,503 | ||||
JPMorgan Chase & Co., 3.25%, 9/23/22 | 70,000 | 70,758 | |||||
JPMorgan Chase & Co., 3.875%, 9/10/24 | 190,000 | 191,052 | |||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 240,000 | 234,551 |
36
Shares/ Principal Amount | Value | ||||||
JPMorgan Chase Bank N.A., 5.875%, 6/13/16 | $ | 250,000 | $ | 262,813 | |||
KeyCorp, MTN, 2.30%, 12/13/18 | 120,000 | 121,694 | |||||
KFW, 2.00%, 6/1/16 | 230,000 | 233,715 | |||||
KFW, 3.875%, 1/21/19 | EUR | 225,000 | 282,193 | ||||
KFW, MTN, 4.625%, 1/4/23 | EUR | 380,000 | 550,744 | ||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 80,000 | 160,183 | ||||
Royal Bank of Scotland plc (The), 4.375%, 3/16/16 | $ | 190,000 | 194,965 | ||||
Santander Issuances SAU, MTN, 2.50%, 3/18/25 | EUR | 100,000 | 108,834 | ||||
Standard Chartered plc, MTN, 3.625%, 11/23/22 | EUR | 100,000 | 119,066 | ||||
Standard Chartered plc, MTN, VRN, 4.00%, 10/21/20 | EUR | 100,000 | 119,500 | ||||
SunTrust Banks, Inc., 3.60%, 4/15/16 | $ | 40,000 | 40,830 | ||||
U.S. Bancorp, 3.44%, 2/1/16 | 100,000 | 101,587 | |||||
U.S. Bancorp, MTN, 3.00%, 3/15/22 | 70,000 | 71,566 | |||||
U.S. Bancorp, MTN, 3.60%, 9/11/24 | 190,000 | 194,286 | |||||
US Bank N.A., 2.80%, 1/27/25 | 250,000 | 245,771 | |||||
Wells Fargo & Co., 3.68%, 6/15/16 | 120,000 | 123,524 | |||||
Wells Fargo & Co., 4.125%, 8/15/23 | 100,000 | 105,859 | |||||
Wells Fargo & Co., MTN, 2.10%, 5/8/17 | 20,000 | 20,413 | |||||
Wells Fargo & Co., MTN, 2.25%, 9/3/20 | EUR | 100,000 | 118,278 | ||||
Wells Fargo & Co., MTN, 4.60%, 4/1/21 | $ | 210,000 | 233,822 | ||||
Wells Fargo & Co., MTN, 3.00%, 2/19/25 | 80,000 | 78,422 | |||||
Wells Fargo & Co., MTN, 4.10%, 6/3/26 | 120,000 | 123,725 | |||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 50,000 | 50,129 | |||||
14,285,684 | |||||||
Beverages — 0.1% | |||||||
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19 | 40,000 | 47,945 | |||||
Anheuser-Busch InBev Worldwide, Inc., 2.50%, 7/15/22 | 220,000 | 215,514 | |||||
Coca-Cola Co. (The), 1.80%, 9/1/16 | 140,000 | 141,909 | |||||
Pernod-Ricard SA, 2.95%, 1/15/17(4) | 170,000 | 174,286 | |||||
579,654 | |||||||
Biotechnology — 0.1% | |||||||
Amgen, Inc., 2.125%, 5/15/17 | 140,000 | 142,360 | |||||
Amgen, Inc., 4.10%, 6/15/21 | 70,000 | 75,271 | |||||
Amgen, Inc., 5.375%, 5/15/43 | 120,000 | 132,146 | |||||
Celgene Corp., 3.25%, 8/15/22 | 90,000 | 91,311 | |||||
Celgene Corp., 3.625%, 5/15/24 | 120,000 | 122,812 | |||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 110,000 | 122,045 | |||||
685,945 | |||||||
Capital Markets — 0.1% | |||||||
Ameriprise Financial, Inc., 4.00%, 10/15/23 | 80,000 | 85,493 | |||||
Bear Stearns Cos. LLC (The), 6.40%, 10/2/17 | 330,000 | 366,429 | |||||
Fidelity International Ltd., 7.125%, 2/13/24 | GBP | 100,000 | 191,797 | ||||
Jefferies Group, Inc., 5.125%, 4/13/18 | $ | 90,000 | 95,942 | ||||
739,661 | |||||||
Chemicals — 0.1% | |||||||
Dow Chemical Co. (The), 2.50%, 2/15/16 | 100,000 | 101,238 |
37
Shares/ Principal Amount | Value | ||||||
Dow Chemical Co. (The), 4.25%, 11/15/20 | $ | 100,000 | $ | 108,435 | |||
E.I. du Pont de Nemours & Co., 4.15%, 2/15/43 | 30,000 | 29,761 | |||||
Eastman Chemical Co., 2.70%, 1/15/20 | 110,000 | 111,050 | |||||
Eastman Chemical Co., 3.60%, 8/15/22 | 12,000 | 12,374 | |||||
Ecolab, Inc., 4.35%, 12/8/21 | 160,000 | 174,366 | |||||
LyondellBasell Industries NV, 4.625%, 2/26/55 | 50,000 | 45,980 | |||||
Mosaic Co. (The), 4.25%, 11/15/23 | 80,000 | 84,463 | |||||
Mosaic Co. (The), 5.625%, 11/15/43 | 60,000 | 67,335 | |||||
735,002 | |||||||
Commercial Services and Supplies — 0.1% | |||||||
Republic Services, Inc., 3.55%, 6/1/22 | 220,000 | 226,085 | |||||
Waste Management, Inc., 4.10%, 3/1/45 | 70,000 | 66,825 | |||||
292,910 | |||||||
Communications Equipment — 0.1% | |||||||
CC Holdings GS V LLC / Crown Castle GS III Corp., 3.85%, 4/15/23 | 40,000 | 39,988 | |||||
Cisco Systems, Inc., 5.90%, 2/15/39 | 220,000 | 267,743 | |||||
307,731 | |||||||
Construction Materials† | |||||||
Owens Corning, 4.20%, 12/15/22 | 90,000 | 92,574 | |||||
Consumer Finance — 0.2% | |||||||
American Express Centurion Bank, MTN, 6.00%, 9/13/17 | 250,000 | 275,287 | |||||
American Express Co., 1.55%, 5/22/18 | 60,000 | 59,818 | |||||
American Express Credit Corp., 1.30%, 7/29/16 | 110,000 | 110,597 | |||||
Capital One Bank USA N.A., 2.30%, 6/5/19 | 250,000 | 250,325 | |||||
Discover Bank, 2.00%, 2/21/18 | 31,000 | 31,057 | |||||
Equifax, Inc., 3.30%, 12/15/22 | 100,000 | 101,017 | |||||
PNC Bank N.A., 6.00%, 12/7/17 | 340,000 | 376,879 | |||||
Synchrony Financial, 3.00%, 8/15/19 | 50,000 | 50,941 | |||||
1,255,921 | |||||||
Containers and Packaging† | |||||||
Rock-Tenn Co., 3.50%, 3/1/20 | 80,000 | 82,990 | |||||
Diversified Consumer Services† | |||||||
Catholic Health Initiatives, 1.60%, 11/1/17 | 35,000 | 35,043 | |||||
Catholic Health Initiatives, 2.95%, 11/1/22 | 70,000 | 69,067 | |||||
Johns Hopkins University, 4.08%, 7/1/53 | 30,000 | 29,751 | |||||
133,861 | |||||||
Diversified Financial Services — 1.3% | |||||||
BNP Paribas SA, MTN, 2.375%, 2/17/25 | EUR | 100,000 | 109,881 | ||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 100,000 | 194,707 | ||||
GE Capital European Funding, MTN, 5.375%, 1/23/20 | EUR | 200,000 | 267,281 | ||||
General Electric Capital Corp., 5.30%, 2/11/21 | $ | 40,000 | 46,027 | ||||
General Electric Capital Corp., MTN, 2.30%, 4/27/17 | 270,000 | 276,706 | |||||
General Electric Capital Corp., MTN, 5.625%, 9/15/17 | 415,000 | 455,962 | |||||
General Electric Capital Corp., MTN, 4.375%, 9/16/20 | 410,000 | 453,811 | |||||
General Electric Capital Corp., MTN, 4.65%, 10/17/21 | 100,000 | 112,424 | |||||
Goldman Sachs Group, Inc. (The), 2.375%, 1/22/18 | 130,000 | 131,998 |
38
Shares/ Principal Amount | Value | ||||||
Goldman Sachs Group, Inc. (The), 2.90%, 7/19/18 | $ | 150,000 | $ | 154,462 | |||
Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22 | 540,000 | 622,374 | |||||
Goldman Sachs Group, Inc. (The), 4.00%, 3/3/24 | 120,000 | 123,771 | |||||
Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | 140,000 | 171,775 | |||||
Goldman Sachs Group, Inc. (The), MTN, 4.80%, 7/8/44 | 70,000 | 72,739 | |||||
Gulf Gate Apartments, VRN, 0.18%, 6/4/15 (Acquired 9/29/03 - 11/10/03, Cost $3,000,000) (5) | 3,000,000 | 3,000,000 | |||||
Morgan Stanley, 5.00%, 11/24/25 | 350,000 | 377,440 | |||||
Morgan Stanley, MTN, 6.625%, 4/1/18 | 330,000 | 373,451 | |||||
Morgan Stanley, MTN, 5.625%, 9/23/19 | 450,000 | 509,093 | |||||
Morgan Stanley, MTN, 3.70%, 10/23/24 | 150,000 | 152,705 | |||||
Nationwide Building Society, MTN, 6.75%, 7/22/20 | EUR | 170,000 | 233,464 | ||||
UBS AG (Stamford Branch), 5.875%, 12/20/17 | $ | 186,000 | 205,609 | ||||
8,045,680 | |||||||
Diversified Telecommunication Services — 0.4% | |||||||
AT&T, Inc., 2.625%, 12/1/22 | 90,000 | 86,442 | |||||
AT&T, Inc., 2.60%, 12/17/29 | EUR | 100,000 | 113,108 | ||||
AT&T, Inc., 6.55%, 2/15/39 | $ | 171,000 | 200,573 | ||||
AT&T, Inc., 4.30%, 12/15/42 | 130,000 | 117,122 | |||||
British Telecommunications plc, 5.95%, 1/15/18 | 230,000 | 256,130 | |||||
Deutsche Telekom International Finance BV, 2.25%, 3/6/17(4) | 180,000 | 182,876 | |||||
Deutsche Telekom International Finance BV, 6.75%, 8/20/18 | 19,000 | 21,985 | |||||
Orange SA, 4.125%, 9/14/21 | 120,000 | 130,895 | |||||
Orange SA, MTN, VRN, 4.00%, 10/1/21 | EUR | 100,000 | 115,596 | ||||
Verizon Communications, Inc., 3.65%, 9/14/18 | $ | 310,000 | 326,965 | ||||
Verizon Communications, Inc., 3.50%, 11/1/21 | 80,000 | 83,189 | |||||
Verizon Communications, Inc., 5.15%, 9/15/23 | 220,000 | 246,182 | |||||
Verizon Communications, Inc., 5.05%, 3/15/34 | 340,000 | 353,160 | |||||
Verizon Communications, Inc., 4.40%, 11/1/34 | 40,000 | 38,463 | |||||
Verizon Communications, Inc., 4.75%, 11/1/41 | 120,000 | 117,280 | |||||
Verizon Communications, Inc., 6.55%, 9/15/43 | 79,000 | 95,861 | |||||
Verizon Communications, Inc., 4.86%, 8/21/46 | 57,000 | 54,943 | |||||
Verizon Communications, Inc., 5.01%, 8/21/54 | 107,000 | 101,609 | |||||
2,642,379 | |||||||
Electric Utilities† | |||||||
Terna Rete Elettrica Nazionale SpA, MTN, 2.875%, 2/16/18 | EUR | 100,000 | 116,854 | ||||
Energy Equipment and Services† | |||||||
Ensco plc, 4.70%, 3/15/21 | $ | 180,000 | 186,290 | ||||
Weatherford International Ltd., 4.50%, 4/15/22 | 80,000 | 77,478 | |||||
263,768 | |||||||
Food and Staples Retailing — 0.2% | |||||||
Dollar General Corp., 3.25%, 4/15/23 | 70,000 | 67,944 | |||||
Kroger Co. (The), 6.40%, 8/15/17 | 180,000 | 199,189 | |||||
Kroger Co. (The), 3.30%, 1/15/21 | 170,000 | 175,600 | |||||
Sysco Corp., 3.50%, 10/2/24 | 110,000 | 111,948 | |||||
Wal-Mart Stores, Inc., 2.55%, 4/11/23 | 150,000 | 149,384 | |||||
Wal-Mart Stores, Inc., 5.625%, 4/1/40 | 220,000 | 270,224 | |||||
974,289 |
39
Shares/ Principal Amount | Value | ||||||
Food Products — 0.1% | |||||||
Kellogg Co., 4.45%, 5/30/16 | $ | 100,000 | $ | 103,499 | |||
Kraft Foods Group, Inc., 5.00%, 6/4/42 | 90,000 | 93,004 | |||||
Mondelez International, Inc., 4.00%, 2/1/24 | 120,000 | 127,732 | |||||
Tyson Foods, Inc., 4.50%, 6/15/22 | 100,000 | 108,171 | |||||
432,406 | |||||||
Gas Utilities — 0.3% | |||||||
Enbridge Energy Partners LP, 6.50%, 4/15/18 | 130,000 | 144,921 | |||||
Enbridge, Inc., 4.50%, 6/10/44 | 60,000 | 53,713 | |||||
Energy Transfer Partners LP, 4.15%, 10/1/20 | 110,000 | 114,771 | |||||
Energy Transfer Partners LP, 5.20%, 2/1/22 | 50,000 | 53,457 | |||||
Energy Transfer Partners LP, 3.60%, 2/1/23 | 110,000 | 107,060 | |||||
Energy Transfer Partners LP, 6.50%, 2/1/42 | 80,000 | 88,248 | |||||
Enterprise Products Operating LLC, 6.30%, 9/15/17 | 230,000 | 254,946 | |||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 220,000 | 220,873 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 200,000 | 212,304 | |||||
Kinder Morgan, Inc., 4.30%, 6/1/25 | 40,000 | 40,071 | |||||
Magellan Midstream Partners LP, 6.55%, 7/15/19 | 100,000 | 116,275 | |||||
Magellan Midstream Partners LP, 5.15%, 10/15/43 | 40,000 | 42,304 | |||||
Plains All American Pipeline LP / PAA Finance Corp., 3.65%, 6/1/22 | 160,000 | 164,214 | |||||
Sunoco Logistics Partners Operations LP, 3.45%, 1/15/23 | 170,000 | 165,073 | |||||
TransCanada PipeLines Ltd., 2.50%, 8/1/22 | 150,000 | 145,546 | |||||
Williams Cos., Inc. (The), 3.70%, 1/15/23 | 80,000 | 78,060 | |||||
Williams Partners LP, 4.125%, 11/15/20 | 20,000 | 21,145 | |||||
Williams Partners LP, 5.10%, 9/15/45 | 60,000 | 56,696 | |||||
2,079,677 | |||||||
Health Care Equipment and Supplies — 0.1% | |||||||
Baxter International, Inc., 3.20%, 6/15/23 | 50,000 | 49,744 | |||||
Becton Dickinson and Co., 3.73%, 12/15/24 | 180,000 | 183,992 | |||||
Medtronic, Inc., 2.50%, 3/15/20(4) | 70,000 | 71,009 | |||||
Medtronic, Inc., 2.75%, 4/1/23 | 50,000 | 49,415 | |||||
Medtronic, Inc., 3.50%, 3/15/25(4) | 100,000 | 102,559 | |||||
Medtronic, Inc., 4.375%, 3/15/35(4) | 120,000 | 122,736 | |||||
Zimmer Holdings, Inc., 2.70%, 4/1/20 | 60,000 | 60,464 | |||||
639,919 | |||||||
Health Care Providers and Services — 0.1% | |||||||
Aetna, Inc., 2.75%, 11/15/22 | 90,000 | 89,262 | |||||
Express Scripts Holding Co., 2.65%, 2/15/17 | 200,000 | 204,668 | |||||
Express Scripts Holding Co., 7.25%, 6/15/19 | 140,000 | 167,108 | |||||
NYU Hospitals Center, 4.43%, 7/1/42 | 70,000 | 68,957 | |||||
UnitedHealth Group, Inc., 2.875%, 3/15/23 | 80,000 | 80,288 | |||||
UnitedHealth Group, Inc., 4.25%, 3/15/43 | 80,000 | 81,510 | |||||
691,793 | |||||||
Industrial Conglomerates — 0.1% | |||||||
General Electric Co., 5.25%, 12/6/17 | 320,000 | 351,451 |
40
Shares/ Principal Amount | Value | ||||||
General Electric Co., 2.70%, 10/9/22 | $ | 90,000 | $ | 90,070 | |||
General Electric Co., 4.125%, 10/9/42 | 160,000 | 159,767 | |||||
601,288 | |||||||
Insurance — 0.5% | |||||||
ACE INA Holdings, Inc., 3.15%, 3/15/25 | 90,000 | 89,900 | |||||
Allianz Finance II BV, MTN, 4.75%, 7/22/19 | EUR | 50,000 | 64,608 | ||||
Allianz SE, MTN, VRN, 4.75%, 10/24/23 | EUR | 200,000 | 247,792 | ||||
American International Group, Inc., 4.875%, 6/1/22 | $ | 240,000 | 267,834 | ||||
American International Group, Inc., 4.50%, 7/16/44 | 70,000 | 69,899 | |||||
American International Group, Inc., MTN, 5.85%, 1/16/18 | 170,000 | 188,389 | |||||
Aquarius and Investments plc for Zurich Insurance Co. Ltd., MTN, VRN, 4.25%, 10/2/23 | EUR | 100,000 | 126,723 | ||||
AXA SA, 7.125%, 12/15/20 | GBP | 110,000 | 202,294 | ||||
Berkshire Hathaway Finance Corp., 4.25%, 1/15/21 | $ | 120,000 | 132,756 | ||||
Berkshire Hathaway Finance Corp., 3.00%, 5/15/22 | 70,000 | 71,910 | |||||
Berkshire Hathaway, Inc., 4.50%, 2/11/43 | 110,000 | 115,021 | |||||
CNP Assurances, VRN, 4.00%, 11/18/24 | EUR | 200,000 | 228,008 | ||||
Hartford Financial Services Group, Inc. (The), 5.95%, 10/15/36 | $ | 30,000 | 36,438 | ||||
Liberty Mutual Group, Inc., 4.85%, 8/1/44(4) | 110,000 | 110,788 | |||||
Lincoln National Corp., 6.25%, 2/15/20 | 180,000 | 210,364 | |||||
Markel Corp., 4.90%, 7/1/22 | 120,000 | 131,449 | |||||
Markel Corp., 3.625%, 3/30/23 | 30,000 | 30,268 | |||||
MetLife, Inc., 4.125%, 8/13/42 | 70,000 | 67,760 | |||||
MetLife, Inc., 4.875%, 11/13/43 | 70,000 | 75,650 | |||||
Metropolitan Life Global Funding I, 3.00%, 1/10/23(4) | 100,000 | 100,113 | |||||
Principal Financial Group, Inc., 3.30%, 9/15/22 | 50,000 | 50,734 | |||||
Prudential Financial, Inc., MTN, 5.375%, 6/21/20 | 100,000 | 113,937 | |||||
Prudential Financial, Inc., MTN, 5.625%, 5/12/41 | 130,000 | 146,991 | |||||
TIAA Asset Management Finance Co. LLC, 4.125%, 11/1/24(4) | 60,000 | 62,164 | |||||
Travelers Cos., Inc. (The), 4.60%, 8/1/43 | 60,000 | 64,627 | |||||
Voya Financial, Inc., 5.50%, 7/15/22 | 40,000 | 45,777 | |||||
Voya Financial, Inc., 5.70%, 7/15/43 | 110,000 | 130,171 | |||||
WR Berkley Corp., 4.625%, 3/15/22 | 80,000 | 86,134 | |||||
WR Berkley Corp., 4.75%, 8/1/44 | 50,000 | 50,026 | |||||
3,318,525 | |||||||
IT Services† | |||||||
Fidelity National Information Services, Inc., 3.50%, 4/15/23 | 70,000 | 69,319 | |||||
Xerox Corp., 2.95%, 3/15/17 | 50,000 | 51,407 | |||||
120,726 | |||||||
Life Sciences Tools and Services — 0.1% | |||||||
Thermo Fisher Scientific, Inc., 3.60%, 8/15/21 | 163,000 | 168,735 | |||||
Thermo Fisher Scientific, Inc., 4.15%, 2/1/24 | 60,000 | 62,986 | |||||
Thermo Fisher Scientific, Inc., 5.30%, 2/1/44 | 80,000 | 89,691 | |||||
321,412 | |||||||
Machinery — 0.1% | |||||||
Caterpillar Financial Services Corp., MTN, 2.85%, 6/1/22 | 130,000 | 131,293 |
41
Shares/ Principal Amount | Value | ||||||
Deere & Co., 5.375%, 10/16/29 | $ | 250,000 | $ | 300,761 | |||
432,054 | |||||||
Media — 0.4% | |||||||
21st Century Fox America, Inc., 6.90%, 8/15/39 | 170,000 | 222,338 | |||||
21st Century Fox America, Inc., 4.75%, 9/15/44 | 100,000 | 102,073 | |||||
CBS Corp., 3.50%, 1/15/25 | 80,000 | 77,998 | |||||
CBS Corp., 4.85%, 7/1/42 | 50,000 | 47,795 | |||||
Comcast Corp., 6.40%, 5/15/38 | 110,000 | 139,647 | |||||
Comcast Corp., 4.75%, 3/1/44 | 120,000 | 127,340 | |||||
DirecTV Holdings LLC / DirecTV Financing Co., Inc., 5.00%, 3/1/21 | 150,000 | 165,292 | |||||
DirecTV Holdings LLC / DirecTV Financing Co., Inc., 4.45%, 4/1/24 | 50,000 | 52,423 | |||||
Discovery Communications LLC, 5.625%, 8/15/19 | 130,000 | 146,341 | |||||
Discovery Communications LLC, 3.25%, 4/1/23 | 60,000 | 58,365 | |||||
NBCUniversal Media LLC, 5.15%, 4/30/20 | 80,000 | 91,058 | |||||
NBCUniversal Media LLC, 4.375%, 4/1/21 | 440,000 | 483,572 | |||||
NBCUniversal Media LLC, 2.875%, 1/15/23 | 60,000 | 59,601 | |||||
Omnicom Group, Inc., 3.625%, 5/1/22 | 30,000 | 30,717 | |||||
Scripps Networks Interactive, Inc., 2.80%, 6/15/20(3) | 60,000 | 59,843 | |||||
Time Warner Cable, Inc., 4.50%, 9/15/42 | 110,000 | 95,328 | |||||
Time Warner, Inc., 7.70%, 5/1/32 | 220,000 | 298,949 | |||||
Time Warner, Inc., 5.35%, 12/15/43 | 70,000 | 76,135 | |||||
Viacom, Inc., 4.50%, 3/1/21 | 90,000 | 96,576 | |||||
Viacom, Inc., 3.125%, 6/15/22 | 60,000 | 58,450 | |||||
Walt Disney Co. (The), MTN, 2.35%, 12/1/22 | 100,000 | 98,355 | |||||
Walt Disney Co. (The), MTN, 4.125%, 6/1/44 | 80,000 | 81,173 | |||||
2,669,369 | |||||||
Metals and Mining — 0.1% | |||||||
Barrick North America Finance LLC, 4.40%, 5/30/21 | 150,000 | 155,712 | |||||
Barrick North America Finance LLC, 5.75%, 5/1/43 | 30,000 | 30,233 | |||||
BHP Billiton Finance USA Ltd., 3.25%, 11/21/21 | 200,000 | 208,590 | |||||
Freeport-McMoRan, Inc., 4.55%, 11/14/24 | 40,000 | 38,343 | |||||
Glencore Finance Canada Ltd., 4.95%, 11/15/21(4) | 70,000 | 75,287 | |||||
Glencore Finance Europe SA, MTN, 1.625%, 1/18/22 | EUR | 100,000 | 110,936 | ||||
Newmont Mining Corp., 6.25%, 10/1/39 | $ | 40,000 | 40,479 | ||||
Teck Resources Ltd., 3.15%, 1/15/17 | 90,000 | 91,368 | |||||
750,948 | |||||||
Multi-Utilities — 0.5% | |||||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 80,000 | 81,005 | |||||
CenterPoint Energy Houston Electric LLC, 3.55%, 8/1/42 | 20,000 | 18,536 | |||||
Consolidated Edison Co. of New York, Inc., 3.95%, 3/1/43 | 60,000 | 57,328 | |||||
Constellation Energy Group, Inc., 5.15%, 12/1/20 | 120,000 | 133,944 | |||||
Consumers Energy Co., 2.85%, 5/15/22 | 30,000 | 30,323 | |||||
Consumers Energy Co., 3.375%, 8/15/23 | 110,000 | 114,818 | |||||
Dominion Resources, Inc., 6.40%, 6/15/18 | 190,000 | 216,078 | |||||
Dominion Resources, Inc., 2.75%, 9/15/22 | 80,000 | 78,786 |
42
Shares/ Principal Amount | Value | ||||||
Dominion Resources, Inc., 3.625%, 12/1/24 | $ | 80,000 | $ | 81,147 | |||
Dominion Resources, Inc., 4.90%, 8/1/41 | 100,000 | 105,909 | |||||
Duke Energy Florida, Inc., 6.35%, 9/15/37 | 170,000 | 226,910 | |||||
Duke Energy Florida, Inc., 3.85%, 11/15/42 | 80,000 | 76,930 | |||||
Duke Energy Progress, Inc., 4.15%, 12/1/44 | 70,000 | 71,144 | |||||
Edison International, 3.75%, 9/15/17 | 110,000 | 116,024 | |||||
Exelon Generation Co. LLC, 4.25%, 6/15/22 | 60,000 | 61,664 | |||||
Exelon Generation Co. LLC, 5.60%, 6/15/42 | 40,000 | 43,544 | |||||
GDF Suez, VRN, 4.75%, 7/10/21 | EUR | 200,000 | 246,722 | ||||
Georgia Power Co., 4.30%, 3/15/42 | $ | 50,000 | 49,732 | ||||
Nisource Finance Corp., 5.65%, 2/1/45 | 70,000 | 82,823 | |||||
PacifiCorp, 6.00%, 1/15/39 | 70,000 | 88,343 | |||||
Potomac Electric Power Co., 3.60%, 3/15/24 | 70,000 | 73,448 | |||||
Progress Energy, Inc., 3.15%, 4/1/22 | 60,000 | 61,166 | |||||
Sempra Energy, 6.50%, 6/1/16 | 150,000 | 158,487 | |||||
Sempra Energy, 2.40%, 3/15/20 | 70,000 | 70,447 | |||||
Sempra Energy, 2.875%, 10/1/22 | 130,000 | 129,164 | |||||
Southern Power Co., 5.15%, 9/15/41 | 40,000 | 43,117 | |||||
SSE plc, VRN, 2.375%, 4/1/21 | EUR | 200,000 | 216,974 | ||||
Virginia Electric and Power Co., 4.45%, 2/15/44 | $ | 50,000 | 52,531 | ||||
Xcel Energy, Inc., 4.80%, 9/15/41 | 30,000 | 32,451 | |||||
2,819,495 | |||||||
Multiline Retail — 0.1% | |||||||
Macy's Retail Holdings, Inc., 3.625%, 6/1/24 | 180,000 | 184,514 | |||||
Target Corp., 4.00%, 7/1/42 | 180,000 | 175,238 | |||||
359,752 | |||||||
Oil, Gas and Consumable Fuels — 0.4% | |||||||
Anadarko Petroleum Corp., 5.95%, 9/15/16 | 40,000 | 42,403 | |||||
Anadarko Petroleum Corp., 6.45%, 9/15/36 | 60,000 | 71,899 | |||||
Apache Corp., 4.75%, 4/15/43 | 50,000 | 48,357 | |||||
BP Capital Markets plc, 4.50%, 10/1/20 | 40,000 | 44,291 | |||||
BP Capital Markets plc, 2.75%, 5/10/23 | 60,000 | 58,458 | |||||
BP Capital Markets plc, 3.51%, 3/17/25 | 40,000 | 40,273 | |||||
Chevron Corp., 2.43%, 6/24/20 | 40,000 | 40,851 | |||||
ConocoPhillips Holding Co., 6.95%, 4/15/29 | 40,000 | 52,751 | |||||
EOG Resources, Inc., 5.625%, 6/1/19 | 210,000 | 239,990 | |||||
EOG Resources, Inc., 4.10%, 2/1/21 | 70,000 | 75,892 | |||||
Exxon Mobil Corp., 2.71%, 3/6/25 | 140,000 | 138,999 | |||||
Hess Corp., 6.00%, 1/15/40 | 50,000 | 55,118 | |||||
Marathon Petroleum Corp., 3.50%, 3/1/16 | 40,000 | 40,763 | |||||
Noble Energy, Inc., 4.15%, 12/15/21 | 120,000 | 126,755 | |||||
Petro-Canada, 6.80%, 5/15/38 | 110,000 | 142,154 | |||||
Phillips 66, 4.30%, 4/1/22 | 160,000 | 172,252 | |||||
Phillips 66, 4.65%, 11/15/34 | 100,000 | 101,594 | |||||
Shell International Finance BV, 2.375%, 8/21/22 | 100,000 | 98,054 | |||||
Shell International Finance BV, 3.625%, 8/21/42 | 70,000 | 64,104 |
43
Shares/ Principal Amount | Value | ||||||
Shell International Finance BV, 4.55%, 8/12/43 | $ | 6,000 | $ | 6,290 | |||
Shell International Finance BV, MTN, 1.625%, 1/20/27 | EUR | 100,000 | 111,865 | ||||
Statoil ASA, 4.80%, 11/8/43 | $ | 100,000 | 110,012 | ||||
Talisman Energy, Inc., 7.75%, 6/1/19 | 80,000 | 93,104 | |||||
Total Capital Canada Ltd., 2.75%, 7/15/23 | 80,000 | 78,948 | |||||
Total Capital Canada Ltd., MTN, 2.125%, 9/18/29 | EUR | 100,000 | 116,707 | ||||
Total Capital SA, 2.125%, 8/10/18 | $ | 90,000 | 91,785 | ||||
2,263,669 | |||||||
Paper and Forest Products† | |||||||
Georgia-Pacific LLC, 2.54%, 11/15/19(4) | 130,000 | 130,768 | |||||
International Paper Co., 6.00%, 11/15/41 | 30,000 | 33,703 | |||||
164,471 | |||||||
Pharmaceuticals — 0.2% | |||||||
AbbVie, Inc., 1.75%, 11/6/17 | 110,000 | 110,450 | |||||
AbbVie, Inc., 2.90%, 11/6/22 | 120,000 | 118,159 | |||||
AbbVie, Inc., 4.40%, 11/6/42 | 130,000 | 126,092 | |||||
Actavis Funding SCS, 4.55%, 3/15/35 | 80,000 | 79,236 | |||||
Actavis, Inc., 1.875%, 10/1/17 | 130,000 | 130,421 | |||||
Actavis, Inc., 3.25%, 10/1/22 | 190,000 | 187,698 | |||||
Actavis, Inc., 4.625%, 10/1/42 | 40,000 | 39,095 | |||||
GlaxoSmithKline Capital plc, 2.85%, 5/8/22 | 70,000 | 70,431 | |||||
Merck & Co., Inc., 2.40%, 9/15/22 | 110,000 | 108,490 | |||||
Roche Holdings, Inc., 3.35%, 9/30/24(4) | 60,000 | 61,451 | |||||
Roche Holdings, Inc., 4.00%, 11/28/44(4) | 200,000 | 200,390 | |||||
Sanofi, 4.00%, 3/29/21 | 78,000 | 85,154 | |||||
1,317,067 | |||||||
Real Estate Investment Trusts (REITs) — 0.2% | |||||||
American Tower Corp., 5.05%, 9/1/20 | 40,000 | 44,040 | |||||
DDR Corp., 3.625%, 2/1/25 | 80,000 | 78,537 | |||||
Essex Portfolio LP, 3.625%, 8/15/22 | 90,000 | 92,067 | |||||
Essex Portfolio LP, 3.375%, 1/15/23 | 40,000 | 40,072 | |||||
Essex Portfolio LP, 3.25%, 5/1/23 | 30,000 | 29,725 | |||||
HCP, Inc., 3.75%, 2/1/16 | 130,000 | 132,409 | |||||
Health Care REIT, Inc., 2.25%, 3/15/18 | 30,000 | 30,409 | |||||
Health Care REIT, Inc., 3.75%, 3/15/23 | 100,000 | 101,292 | |||||
Hospitality Properties Trust, 4.65%, 3/15/24 | 100,000 | 101,500 | |||||
Hospitality Properties Trust, 4.50%, 3/15/25 | 80,000 | 80,158 | |||||
Kilroy Realty LP, 3.80%, 1/15/23 | 140,000 | 142,680 | |||||
Realty Income Corp., 4.125%, 10/15/26 | 50,000 | 51,933 | |||||
Senior Housing Properties Trust, 4.75%, 5/1/24 | 100,000 | 103,159 | |||||
Ventas Realty LP / Ventas Capital Corp., 3.125%, 11/30/15 | 100,000 | 101,092 | |||||
Ventas Realty LP / Ventas Capital Corp., 4.75%, 6/1/21 | 40,000 | 43,945 | |||||
1,173,018 | |||||||
Road and Rail — 0.2% | |||||||
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20 | 142,000 | 150,736 | |||||
Burlington Northern Santa Fe LLC, 5.05%, 3/1/41 | 50,000 | 54,781 |
44
Shares/ Principal Amount | Value | ||||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | $ | 20,000 | $ | 21,795 | |||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 130,000 | 130,329 | |||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 40,000 | 38,161 | |||||
CSX Corp., 4.25%, 6/1/21 | 110,000 | 120,661 | |||||
CSX Corp., 3.40%, 8/1/24 | 110,000 | 112,182 | |||||
Norfolk Southern Corp., 5.75%, 4/1/18 | 140,000 | 155,976 | |||||
Norfolk Southern Corp., 3.25%, 12/1/21 | 90,000 | 93,097 | |||||
Union Pacific Corp., 4.00%, 2/1/21 | 60,000 | 65,950 | |||||
Union Pacific Corp., 4.75%, 9/15/41 | 120,000 | 131,805 | |||||
1,075,473 | |||||||
Semiconductors and Semiconductor Equipment† | |||||||
Intel Corp., 1.35%, 12/15/17 | 100,000 | 100,505 | |||||
Software — 0.2% | |||||||
Intuit, Inc., 5.75%, 3/15/17 | 302,000 | 325,325 | |||||
Microsoft Corp., 2.375%, 5/1/23 | 50,000 | 49,437 | |||||
Microsoft Corp., 2.70%, 2/12/25 | 120,000 | 117,455 | |||||
Oracle Corp., 2.50%, 10/15/22 | 200,000 | 196,513 | |||||
Oracle Corp., 3.625%, 7/15/23 | 160,000 | 168,179 | |||||
Oracle Corp., 3.40%, 7/8/24 | 80,000 | 82,014 | |||||
Oracle Corp., 4.30%, 7/8/34 | 20,000 | 20,285 | |||||
959,208 | |||||||
Specialty Retail† | |||||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 180,000 | 227,166 | |||||
Technology Hardware, Storage and Peripherals — 0.1% | |||||||
Apple, Inc., 1.00%, 5/3/18 | 100,000 | 99,158 | |||||
Apple, Inc., 2.85%, 5/6/21 | 100,000 | 102,829 | |||||
Apple, Inc., 3.45%, 5/6/24 | 220,000 | 227,821 | |||||
Hewlett-Packard Co., 4.30%, 6/1/21 | 150,000 | 159,054 | |||||
588,862 | |||||||
Tobacco — 0.1% | |||||||
Altria Group, Inc., 2.85%, 8/9/22 | 260,000 | 255,129 | |||||
Philip Morris International, Inc., 4.125%, 5/17/21 | 150,000 | 163,445 | |||||
418,574 | |||||||
Wireless Telecommunication Services† | |||||||
Vodafone Group plc, 5.625%, 2/27/17 | 70,000 | 74,986 | |||||
TOTAL CORPORATE BONDS (Cost $55,160,309) | 56,549,520 | ||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 7.2% | |||||||
Australia — 0.2% | |||||||
Australia Government Bond, 4.50%, 4/15/20 | AUD | 204,000 | 173,136 | ||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 1,010,000 | 777,640 | ||||
New South Wales Treasury Corp., 4.00%, 2/20/17 | AUD | 210,000 | 165,966 | ||||
New South Wales Treasury Corp., 5.50%, 3/1/17 | AUD | 247,000 | 200,131 | ||||
1,316,873 | |||||||
Austria — 0.1% | |||||||
Austria Government Bond, 4.35%, 3/15/19(4) | EUR | 285,000 | 364,688 |
45
Shares/ Principal Amount | Value | ||||||
Austria Government Bond, 3.90%, 7/15/20(4) | EUR | 58,000 | $ | 76,013 | |||
Austria Government Bond, 3.40%, 11/22/22(4) | EUR | 125,000 | 167,541 | ||||
Austria Government Bond, 1.65%, 10/21/24(4) | EUR | 72,000 | 86,388 | ||||
Austria Government Bond, 4.15%, 3/15/37(4) | EUR | 100,000 | 173,149 | ||||
867,779 | |||||||
Belgium — 0.3% | |||||||
Belgium Government Bond, 4.00%, 3/28/18(4) | EUR | 253,000 | 310,360 | ||||
Belgium Government Bond, 4.25%, 9/28/22 | EUR | 217,000 | 303,912 | ||||
Belgium Government Bond, 2.25%, 6/22/23 | EUR | 431,000 | 536,570 | ||||
Belgium Government Bond, 5.00%, 3/28/35(4) | EUR | 95,000 | 170,628 | ||||
Belgium Government Bond, 4.25%, 3/28/41(4) | EUR | 123,000 | 216,649 | ||||
1,538,119 | |||||||
Canada — 0.5% | |||||||
Canadian Government Bond, 1.50%, 3/1/17 | CAD | 490,000 | 400,684 | ||||
Canadian Government Bond, 4.00%, 6/1/17 | CAD | 123,000 | 105,700 | ||||
Canadian Government Bond, 3.75%, 6/1/19 | CAD | 228,000 | 205,378 | ||||
Canadian Government Bond, 3.25%, 6/1/21 | CAD | 447,000 | 405,039 | ||||
Canadian Government Bond, 4.00%, 6/1/41 | CAD | 425,000 | 461,721 | ||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 257,000 | 226,656 | ||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 410,000 | 347,986 | ||||
Province of Ontario Canada, 1.00%, 7/22/16 | $ | 90,000 | 90,423 | ||||
Province of Ontario Canada, 4.40%, 6/2/19 | CAD | 325,000 | 293,952 | ||||
Province of Ontario Canada, 4.65%, 6/2/41 | CAD | 240,000 | 249,375 | ||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 180,000 | 154,367 | ||||
Province of Quebec Canada, 5.00%, 12/1/41 | CAD | 55,000 | 59,553 | ||||
3,000,834 | |||||||
Denmark† | |||||||
Denmark Government Bond, 4.00%, 11/15/19 | DKK | 16,000 | 2,782 | ||||
Denmark Government Bond, 7.00%, 11/10/24 | DKK | 563,000 | 133,489 | ||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 285,000 | 72,242 | ||||
208,513 | |||||||
Finland — 0.1% | |||||||
Finland Government Bond, 4.375%, 7/4/19(4) | EUR | 105,000 | 135,925 | ||||
Finland Government Bond, 1.625%, 9/15/22(4) | EUR | 142,000 | 169,857 | ||||
Finland Government Bond, 4.00%, 7/4/25(4) | EUR | 77,000 | 112,000 | ||||
417,782 | |||||||
France — 0.6% | |||||||
France Government Bond OAT, 3.25%, 10/25/21 | EUR | 1,375,000 | 1,791,146 | ||||
France Government Bond OAT, 1.75%, 11/25/24 | EUR | 539,000 | 647,480 | ||||
France Government Bond OAT, 5.50%, 4/25/29 | EUR | 87,000 | 149,755 | ||||
France Government Bond OAT, 3.25%, 5/25/45 | EUR | 457,000 | 701,435 | ||||
French Treasury Note BTAN, 2.25%, 2/25/16 | EUR | 526,000 | 588,120 | ||||
3,877,936 | |||||||
Germany — 0.5% | |||||||
Bundesrepublik Deutschland, 3.50%, 7/4/19 | EUR | 726,000 | 914,665 | ||||
Bundesrepublik Deutschland, 3.00%, 7/4/20 | EUR | 783,000 | 990,615 |
46
Shares/ Principal Amount | Value | ||||||
Bundesrepublik Deutschland, 1.75%, 2/15/24 | EUR | 125,000 | $ | 153,469 | |||
Bundesrepublik Deutschland, 4.25%, 7/4/39 | EUR | 159,000 | 294,341 | ||||
Bundesrepublik Deutschland, 2.50%, 7/4/44 | EUR | 268,000 | 398,578 | ||||
2,751,668 | |||||||
Ireland — 0.1% | |||||||
Ireland Government Bond, 5.90%, 10/18/19 | EUR | 120,000 | 164,102 | ||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 139,000 | 182,298 | ||||
346,400 | |||||||
Italy — 0.7% | |||||||
Italy Buoni Poliennali Del Tesoro, 3.50%, 11/1/17 | EUR | 890,000 | 1,054,209 | ||||
Italy Buoni Poliennali Del Tesoro, 1.50%, 8/1/19 | EUR | 1,508,000 | 1,711,626 | ||||
Italy Buoni Poliennali Del Tesoro, 2.50%, 12/1/24 | EUR | 677,000 | 785,496 | ||||
Italy Buoni Poliennali Del Tesoro, 4.00%, 2/1/37 | EUR | 350,000 | 464,885 | ||||
Italy Buoni Poliennali Del Tesoro, 4.75%, 9/1/44(4) | EUR | 212,000 | 321,357 | ||||
4,337,573 | |||||||
Japan — 2.3% | |||||||
Japan Government Five Year Bond, 0.30%, 9/20/18 | JPY | 399,000,000 | 3,246,434 | ||||
Japan Government Ten Year Bond, 1.00%, 12/20/21 | JPY | 528,100,000 | 4,492,281 | ||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 272,400,000 | 2,665,551 | ||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 109,200,000 | 994,836 | ||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 284,650,000 | 2,697,881 | ||||
14,096,983 | |||||||
Netherlands — 0.2% | |||||||
Netherlands Government Bond, 3.50%, 7/15/20(4) | EUR | 361,000 | 464,952 | ||||
Netherlands Government Bond, 2.25%, 7/15/22(4) | EUR | 211,000 | 262,837 | ||||
Netherlands Government Bond, 3.75%, 1/15/42(4) | EUR | 73,000 | 129,219 | ||||
Netherlands Government Bond, 2.75%, 1/15/47 | EUR | 15,000 | 23,131 | ||||
880,139 | |||||||
New Zealand† | |||||||
New Zealand Government Bond, 5.00%, 3/15/19 | NZD | 287,000 | 217,439 | ||||
Norway† | |||||||
Norway Government Bond, 3.75%, 5/25/21(4) | NOK | 1,193,000 | 176,641 | ||||
Singapore† | |||||||
Singapore Government Bond, 2.375%, 4/1/17 | SGD | 220,000 | 167,192 | ||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 98,000 | 77,181 | ||||
244,373 | |||||||
Spain — 0.6% | |||||||
Spain Government Bond, 5.50%, 7/30/17(4) | EUR | 440,000 | 538,688 | ||||
Spain Government Bond, 4.30%, 10/31/19(4) | EUR | 805,000 | 1,022,318 | ||||
Spain Government Bond, 5.85%, 1/31/22(4) | EUR | 15,000 | 21,261 | ||||
Spain Government Bond, 4.40%, 10/31/23(4) | EUR | 729,000 | 971,866 | ||||
Spain Government Bond, 1.60%, 4/30/25(4) | EUR | 830,000 | 892,509 | ||||
Spain Government Bond, 5.15%, 10/31/44(4) | EUR | 170,000 | 271,639 | ||||
3,718,281 | |||||||
Sweden — 0.1% | |||||||
Sweden Government Bond, 3.50%, 6/1/22 | SEK | 2,860,000 | 406,905 |
47
Shares/ Principal Amount | Value | ||||||
Switzerland — 0.1% | |||||||
Switzerland Government Bond, 2.00%, 4/28/21 | CHF | 410,000 | $ | 500,010 | |||
Switzerland Government Bond, 2.50%, 3/8/36 | CHF | 77,000 | 117,108 | ||||
617,118 | |||||||
United Kingdom — 0.8% | |||||||
United Kingdom Gilt, 4.00%, 9/7/16 | GBP | 490,000 | 782,305 | ||||
United Kingdom Gilt, 5.00%, 3/7/18 | GBP | 175,000 | 298,884 | ||||
United Kingdom Gilt, 4.50%, 3/7/19 | GBP | 225,000 | 388,608 | ||||
United Kingdom Gilt, 8.00%, 6/7/21 | GBP | 56,000 | 118,158 | ||||
United Kingdom Gilt, 5.00%, 3/7/25 | GBP | 360,000 | 706,994 | ||||
United Kingdom Gilt, 4.25%, 6/7/32 | GBP | 147,000 | 286,296 | ||||
United Kingdom Gilt, 4.25%, 3/7/36 | GBP | 374,000 | 742,436 | ||||
United Kingdom Gilt, 4.50%, 12/7/42 | GBP | 485,000 | 1,038,855 | ||||
United Kingdom Gilt, 4.25%, 12/7/55 | GBP | 245,000 | 548,677 | ||||
4,911,213 | |||||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $47,198,210) | 43,932,569 | ||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES(6) — 7.2% | |||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities — 1.2% | |||||||
FHLMC, VRN, 1.76%, 6/15/15 | $ | 92,855 | 95,287 | ||||
FHLMC, VRN, 1.84%, 6/15/15 | 262,879 | 270,467 | |||||
FHLMC, VRN, 1.96%, 6/15/15 | 207,088 | 213,849 | |||||
FHLMC, VRN, 1.98%, 6/15/15 | 167,152 | 172,402 | |||||
FHLMC, VRN, 2.08%, 6/15/15 | 469,789 | 479,074 | |||||
FHLMC, VRN, 2.26%, 6/15/15 | 88,711 | 94,961 | |||||
FHLMC, VRN, 2.33%, 6/15/15 | 360,696 | 366,322 | |||||
FHLMC, VRN, 2.40%, 6/15/15 | 118,048 | 126,381 | |||||
FHLMC, VRN, 2.41%, 6/15/15 | 395,409 | 422,637 | |||||
FHLMC, VRN, 2.42%, 6/15/15 | 25,931 | 27,752 | |||||
FHLMC, VRN, 2.55%, 6/15/15 | 61,683 | 65,374 | |||||
FHLMC, VRN, 2.87%, 6/15/15 | 94,200 | 97,469 | |||||
FHLMC, VRN, 3.05%, 6/15/15 | 239,679 | 255,630 | |||||
FHLMC, VRN, 3.24%, 6/15/15 | 91,343 | 97,263 | |||||
FHLMC, VRN, 3.29%, 6/15/15 | 225,692 | 239,717 | |||||
FHLMC, VRN, 3.77%, 6/15/15 | 89,437 | 94,010 | |||||
FHLMC, VRN, 4.06%, 6/15/15 | 114,177 | 120,090 | |||||
FHLMC, VRN, 4.21%, 6/15/15 | 186,039 | 196,933 | |||||
FHLMC, VRN, 5.13%, 6/15/15 | 48,456 | 51,684 | |||||
FHLMC, VRN, 5.18%, 6/15/15 | 127,014 | 134,084 | |||||
FHLMC, VRN, 6.12%, 6/15/15 | 100,135 | 107,574 | |||||
FNMA, VRN, 1.89%, 6/25/15 | 204,237 | 214,221 | |||||
FNMA, VRN, 1.92%, 6/25/15 | 361,845 | 380,596 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 273,397 | 287,936 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 578,449 | 609,228 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 369,379 | 389,023 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 278,471 | 293,280 | |||||
FNMA, VRN, 2.20%, 6/25/15 | 27,358 | 29,185 |
48
Shares/ Principal Amount | Value | ||||||
FNMA, VRN, 2.31%, 6/25/15 | $ | 78,544 | $ | 83,821 | |||
FNMA, VRN, 2.33%, 6/25/15 | 63,071 | 67,341 | |||||
FNMA, VRN, 2.34%, 6/25/15 | 200,870 | 214,657 | |||||
FNMA, VRN, 2.70%, 6/25/15 | 276,237 | 284,692 | |||||
FNMA, VRN, 3.36%, 6/25/15 | 137,572 | 144,295 | |||||
FNMA, VRN, 3.68%, 6/25/15 | 178,822 | 188,314 | |||||
FNMA, VRN, 3.92%, 6/25/15 | 136,405 | 144,812 | |||||
FNMA, VRN, 5.05%, 6/25/15 | 214,260 | 230,650 | |||||
7,291,011 | |||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 6.0% | |||||||
FHLMC, 6.50%, 6/1/16 | 4,321 | 4,391 | |||||
FHLMC, 4.50%, 1/1/19 | 189,552 | 198,036 | |||||
FHLMC, 8.00%, 7/1/30 | 4,163 | 5,090 | |||||
FHLMC, 6.50%, 5/1/31 | 12,335 | 14,189 | |||||
FHLMC, 5.50%, 12/1/33 | 149,510 | 170,296 | |||||
FHLMC, 5.50%, 1/1/38 | 303,794 | 342,107 | |||||
FHLMC, 6.00%, 2/1/38 | 327,585 | 373,459 | |||||
FHLMC, 6.00%, 11/1/38 | 240,492 | 273,945 | |||||
FHLMC, 6.50%, 7/1/47 | 8,524 | 9,494 | |||||
FNMA, 7.50%, 6/1/15 | 24 | 24 | |||||
FNMA, 3.00%, 6/11/15(7) | 250,000 | 253,189 | |||||
FNMA, 3.50%, 6/11/15(7) | 1,900,000 | 1,984,164 | |||||
FNMA, 4.00%, 6/11/15(7) | 1,810,000 | 1,932,599 | |||||
FNMA, 4.50%, 6/11/15(7) | 1,250,000 | 1,359,023 | |||||
FNMA, 5.00%, 6/11/15(7) | 150,000 | 166,847 | |||||
FNMA, 5.50%, 6/11/15(7) | 100,000 | 113,174 | |||||
FNMA, 5.00%, 9/1/20 | 208,926 | 223,127 | |||||
FNMA, 2.625%, 9/6/24 | 320,000 | 326,983 | |||||
FNMA, 7.00%, 6/1/26 | 430 | 504 | |||||
FNMA, 7.50%, 3/1/27 | 1,482 | 1,490 | |||||
FNMA, 6.50%, 6/1/29 | 12,058 | 13,893 | |||||
FNMA, 7.00%, 7/1/29 | 2,053 | 2,264 | |||||
FNMA, 7.00%, 3/1/30 | 9,198 | 10,535 | |||||
FNMA, 7.50%, 9/1/30 | 5,172 | 6,124 | |||||
FNMA, 6.625%, 11/15/30 | 1,290,000 | 1,886,919 | |||||
FNMA, 6.50%, 9/1/31 | 30,840 | 35,533 | |||||
FNMA, 7.00%, 9/1/31 | 11,102 | 12,047 | |||||
FNMA, 6.50%, 1/1/32 | 8,004 | 9,219 | |||||
FNMA, 5.50%, 6/1/33 | 122,808 | 139,955 | |||||
FNMA, 5.50%, 8/1/33 | 622,795 | 707,905 | |||||
FNMA, 5.50%, 9/1/33 | 161,804 | 186,150 | |||||
FNMA, 5.00%, 11/1/33 | 590,269 | 658,760 | |||||
FNMA, 5.50%, 1/1/34 | 497,603 | 565,684 | |||||
FNMA, 4.50%, 9/1/35 | 341,417 | 372,773 | |||||
FNMA, 5.00%, 2/1/36 | 554,202 | 617,342 | |||||
FNMA, 5.50%, 4/1/36 | 98,037 | 110,841 |
49
Shares/ Principal Amount | Value | ||||||
FNMA, 5.00%, 10/1/36 | $ | 115,534 | $ | 128,397 | |||
FNMA, 5.50%, 12/1/36 | 220,003 | 248,925 | |||||
FNMA, 5.50%, 1/1/37 | 640,787 | 725,762 | |||||
FNMA, 6.50%, 8/1/37 | 192,493 | 216,131 | |||||
FNMA, 5.00%, 4/1/40 | 1,051,844 | 1,169,600 | |||||
FNMA, 4.00%, 1/1/41 | 1,127,629 | 1,218,786 | |||||
FNMA, 4.50%, 1/1/41 | 1,298,842 | 1,433,073 | |||||
FNMA, 5.00%, 6/1/41 | 906,137 | 1,007,750 | |||||
FNMA, 4.50%, 7/1/41 | 654,690 | 716,901 | |||||
FNMA, 4.50%, 9/1/41 | 507,703 | 553,793 | |||||
FNMA, 4.50%, 9/1/41 | 1,513,336 | 1,650,233 | |||||
FNMA, 4.00%, 12/1/41 | 1,144,405 | 1,233,169 | |||||
FNMA, 4.00%, 1/1/42 | 691,644 | 741,301 | |||||
FNMA, 3.50%, 5/1/42 | 1,410,666 | 1,477,026 | |||||
FNMA, 3.50%, 6/1/42 | 819,754 | 859,820 | |||||
FNMA, 3.00%, 11/1/42 | 1,481,558 | 1,505,567 | |||||
FNMA, 6.50%, 8/1/47 | 50,412 | 56,489 | |||||
FNMA, 6.50%, 8/1/47 | 27,472 | 30,782 | |||||
FNMA, 6.50%, 9/1/47 | 51,378 | 57,598 | |||||
FNMA, 6.50%, 9/1/47 | 3,671 | 4,114 | |||||
FNMA, 6.50%, 9/1/47 | 19,287 | 21,615 | |||||
FNMA, 6.50%, 9/1/47 | 28,026 | 31,420 | |||||
FNMA, 6.50%, 9/1/47 | 7,485 | 8,387 | |||||
GNMA, 3.50%, 6/18/15(7) | 175,000 | 183,688 | |||||
GNMA, 4.00%, 6/18/15(7) | 1,978,000 | 2,106,029 | |||||
GNMA, 7.00%, 1/15/24 | 2,129 | 2,367 | |||||
GNMA, 8.00%, 7/15/24 | 5,089 | 5,448 | |||||
GNMA, 8.00%, 9/15/24 | 4,031 | 4,523 | |||||
GNMA, 9.00%, 4/20/25 | 995 | 1,129 | |||||
GNMA, 7.00%, 9/15/25 | 8,292 | 8,665 | |||||
GNMA, 7.50%, 10/15/25 | 8,353 | 9,358 | |||||
GNMA, 7.50%, 2/15/26 | 12,017 | 13,577 | |||||
GNMA, 8.25%, 7/15/26 | 31,783 | 33,212 | |||||
GNMA, 7.00%, 12/15/27 | 18,574 | 19,138 | |||||
GNMA, 6.50%, 2/15/28 | 6,791 | 7,768 | |||||
GNMA, 6.50%, 3/15/28 | 10,326 | 11,811 | |||||
GNMA, 6.50%, 4/15/28 | 1,298 | 1,484 | |||||
GNMA, 6.00%, 10/15/28 | 22,387 | 25,864 | |||||
GNMA, 7.00%, 5/15/31 | 10,227 | 12,512 | |||||
GNMA, 5.50%, 11/15/32 | 82,192 | 95,569 | |||||
GNMA, 6.50%, 10/15/38 | 986,320 | 1,131,306 | |||||
GNMA, 4.50%, 5/20/41 | 891,365 | 977,579 | |||||
GNMA, 4.50%, 6/15/41 | 380,500 | 428,155 | |||||
GNMA, 4.00%, 12/15/41 | 1,598,661 | 1,717,494 | |||||
GNMA, 3.50%, 6/20/42 | 668,602 | 703,861 | |||||
GNMA, 3.50%, 7/20/42 | 509,946 | 536,366 |
50
Shares/ Principal Amount | Value | ||||||
GNMA, 3.50%, 4/20/45 | $ | 219,518 | $ | 231,007 | |||
36,452,624 | |||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $42,332,510) | 43,743,635 | ||||||
COMMERCIAL PAPER(8) — 3.5% | |||||||
Bennington Stark Capital Co. LLC, 0.24%, 6/1/15(4) | 2,100,000 | 2,099,977 | |||||
BNP Paribas Finance, Inc., 0.19%, 6/5/15 | 2,100,000 | 2,099,958 | |||||
Chariot Funding LLC, 0.24%, 6/10/15(4) | 2,150,000 | 2,149,891 | |||||
Crown Point Capital Co. LLC, 0.19%, 7/7/15(4) | 2,200,000 | 2,199,581 | |||||
Lexington Parker Capital Co. LLC, 0.19%, 7/24/15(4) | 2,100,000 | 2,099,389 | |||||
Liberty Street Funding LLC, 0.18%, 6/1/15(4) | 2,100,000 | 2,099,977 | |||||
Old Line Funding LLC, 0.28%, 10/2/15(4) | 2,100,000 | 2,097,972 | |||||
Thunder Bay Funding LLC, 0.27%, 6/15/15(4) | 2,150,000 | 2,149,838 | |||||
Toronto-Dominion Holdings USA, 0.24%, 9/18/15(4) | 2,100,000 | 2,098,844 | |||||
Toyota Motor Credit Corp., 0.29%, 11/23/15 | 2,100,000 | 2,097,030 | |||||
TOTAL COMMERCIAL PAPER (Cost $21,192,100) | 21,192,457 | ||||||
MUNICIPAL SECURITIES — 3.4% | |||||||
Alameda County Industrial Development Authority Rev., (Pacific Paper Tube), VRDN, 0.13%, 6/4/15 (LOC: Wells Fargo Bank N.A.) | 1,775,000 | 1,775,000 | |||||
American Municipal Power-Ohio, Inc. Rev., (Building Bonds), 7.50%, 2/15/50 | 65,000 | 91,859 | |||||
Bay Area Toll Authority Toll Bridge Rev., Series 2010 S-1, (Building Bonds), 6.92%, 4/1/40 | 130,000 | 174,132 | |||||
California GO, (Building Bonds), 7.55%, 4/1/39 | 30,000 | 45,344 | |||||
California GO, (Building Bonds), 7.30%, 10/1/39 | 80,000 | 115,752 | |||||
California GO, (Building Bonds), 7.60%, 11/1/40 | 65,000 | 100,014 | |||||
City of Lowell Rev., (Little Rock Newspapers), VRDN, 0.14%, 6/3/15 (LOC: JPMorgan Chase Bank N.A.) (Acquired 4/11/12, Cost $2,200,000)(5) | 2,200,000 | 2,200,000 | |||||
City of New York GO, Series 1995 F-5, VRDN, 0.09%, 6/3/15 (LOC: Bayerische Landesbank) | 410,000 | 410,000 | |||||
City of Venice Health Care Rev., Series 2002 B, (Bon Secours Health System), VRDN, 0.14%, 6/4/15 (AGM)(LOC: JPMorgan Chase Bank N.A.) | 1,000,000 | 1,000,000 | |||||
Idaho Housing & Finance Association Rev., Series 2011 A, (Traditions at Boise Apartments), VRDN, 0.10%, 6/3/15 | 500,000 | 500,000 | |||||
Illinois GO, (Taxable Pension), 5.10%, 6/1/33 | 130,000 | 123,830 | |||||
Illinois Housing Development Authority Rev., Series 2015 A-3, VRDN, 0.12%, 6/4/15 | 2,150,000 | 2,150,000 | |||||
Little Rock Metrocentre Improvement District No. 1 Rev., (Little Rock Newspapers, Inc.), VRDN, 0.11%, 6/1/15 (LOC: JPMorgan Chase Bank N.A.) | 600,000 | 600,000 | |||||
Los Angeles Community College District GO, Series 2010 D, (Election of 2008), 6.68%, 8/1/36 | 65,000 | 85,615 | |||||
Los Angeles Department of Water & Power Rev., (Building Bonds), 5.72%, 7/1/39 | 80,000 | 98,366 | |||||
Metropolitan Transportation Authority Rev., Series 2010 E, (Building Bonds), 6.81%, 11/15/40 | 55,000 | 74,736 | |||||
Metropolitan Water District of Southern California Rev., Series 2015 E, VRN, 0.17%, 6/4/15 | 3,000,000 | 3,000,000 |
51
Shares/ Principal Amount | Value | ||||||
Mission Economic Development Corp. Solid Waste Disposal Rev., (IESI Corp.), VRDN, 0.13%, 6/4/15 (LOC: Bank of America N.A.) | $ | 1,000,000 | $ | 1,000,000 | |||
Nevada Housing Division Multifamily Rev., (Golden Apartments), VRDN, 0.11%, 6/4/15 (LIQ FAC: FHLMC) | 1,600,000 | 1,600,000 | |||||
New Jersey State Turnpike Authority Rev., Series 2009 F, (Building Bonds), 7.41%, 1/1/40 | 100,000 | 144,987 | |||||
New Jersey State Turnpike Authority Rev., Series 2010 A, (Building Bonds), 7.10%, 1/1/41 | 75,000 | 105,356 | |||||
New York GO, Series 2010 F-1, (Building Bonds), 6.27%, 12/1/37 | 40,000 | 52,193 | |||||
New York State Housing Finance Agency Rev., Series 2014 A, (Maestro W. Chelsea Housing),VRDN, 0.09%, 6/3/15 (LOC: Wells Fargo Bank N.A.) | 1,000,000 | 1,000,000 | |||||
Ohio Water Development Authority Pollution Control Rev., Series 2010 B-2, (Building Bonds), 4.88%, 12/1/34 | 110,000 | 125,575 | |||||
Orange County Housing Finance Authority Multifamily Rev., Series 2002 B, (Millenia), VRDN, 0.14%, 6/3/15 (LOC: FNMA) | 655,000 | 655,000 | |||||
Oregon State Department of Transportation Highway User Tax Rev., Series 2010 A, (Building Bonds), 5.83%, 11/15/34 | 70,000 | 88,813 | |||||
Port Authority of New York & New Jersey Rev., 4.93%, 10/1/51 | 50,000 | 56,940 | |||||
Port Authority of New York & New Jersey Rev., (Consolidated Bonds) 4.46%, 10/1/62 | 120,000 | 124,350 | |||||
Rutgers State University Rev., Series 2010 H, (Building Bonds), 5.67%, 5/1/40 | 150,000 | 180,203 | |||||
Sacramento Municipal Utility District Electric Rev., Series 2010 W, (Building Bonds), 6.16%, 5/15/36 | 180,000 | 223,737 | |||||
Salt River Agricultural Improvement & Power District Electric Rev., Series 2010 A, (Building Bonds), 4.84%, 1/1/41 | 95,000 | 110,064 | |||||
San Francisco City & County Public Utilities Water Commission Rev., Series 2010 B, (Building Bonds), 6.00%, 11/1/40 | 75,000 | 92,113 | |||||
Santa Clara Valley Transportation Authority Sales Tax Rev., Series 2010 A, (Building Bonds), 5.88%, 4/1/32 | 105,000 | 128,628 | |||||
Texas GO, (Building Bonds), 5.52%, 4/1/39 | 125,000 | 159,999 | |||||
Town of Hillsborough COP, Series 2003 A, (Water & Sewer System), VRDN, 0.09%, 6/4/15 (SBBPA: JPMorgan Chase Bank N.A.) | 1,120,000 | 1,120,000 | |||||
University of Illinois Rev., Series 1997 B, (Health Services Facilities System), VRDN, 0.09%, 6/3/15 (LOC: Wells Fargo Bank N.A.) | 900,000 | 900,000 | |||||
Washington GO, Series 2010 F, (Building Bonds), 5.14%, 8/1/40 | 50,000 | 59,612 | |||||
TOTAL MUNICIPAL SECURITIES (Cost $19,994,017) | 20,472,218 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES(6) — 1.6% | |||||||
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, VRN, 5.12%, 6/1/15 | 140,292 | 140,718 | |||||
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class AM, VRN, 5.18%, 6/1/15 | 200,000 | 202,898 | |||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-PARK, Class A SEQ, 2.96%, 12/10/30(4) | 675,000 | 686,429 | |||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2014-ICTS, Class A, VRN, 0.99%, 6/15/15(4) | 450,000 | 450,447 |
52
Shares/ Principal Amount | Value | ||||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class B, VRN, 3.49%, 6/1/15(4) | $ | 400,000 | $ | 407,359 | |||
BB-UBS Trust, Series 2012-SHOW, Class A SEQ, 3.43%, 11/5/36(4) | 525,000 | 540,246 | |||||
BBCMS Trust, Series 2013-TYSN, Class C, 3.82%, 9/5/32(4) | 125,000 | 131,927 | |||||
BLCP Hotel Trust, Series 2014-CLRN, Class A, VRN, 1.14%, 6/15/15(4) | 750,000 | 749,190 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-BBG, Class A, VRN, 0.99%, 6/15/15(4) | 515,000 | 514,752 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class AM SEQ, 4.43%, 2/10/47 | 375,000 | 415,619 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class AM, VRN, 4.19%, 6/1/15 | 425,000 | 461,213 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class B, VRN, 4.49%, 6/1/15 | 108,000 | 116,760 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, 4.19%, 9/10/47 | 550,000 | 595,302 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR22, Class AM, 3.60%, 3/10/48 | 450,000 | 464,499 | |||||
Core Industrial Trust, Series 2015-4, Class A, 3.29%, 2/10/37 | 725,000 | 739,566 | |||||
Core Industrial Trust, Series 2015-TEXW, Class C, 3.73%, 2/10/34(4) | 75,000 | 76,877 | |||||
GS Mortgage Securities Corp. II, Series 2015-GC28, Class AS, 3.76%, 2/10/48 | 250,000 | 261,148 | |||||
Irvine Core Office Trust, Series 2013-IRV, Class A2 SEQ, VRN, 3.17%, 6/10/15(4) | 750,000 | 778,241 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2013-C16, Class A4, 4.17%, 12/15/46 | 150,000 | 165,021 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2013-C16, Class AS, 4.52%, 12/15/46 | 250,000 | 278,253 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, VRN, 1.09%, 6/15/15(4) | 500,000 | 500,323 | |||||
LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A4 SEQ, 4.57%, 1/15/31 | 42,108 | 42,644 | |||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM, VRN, 5.26%, 6/11/15 | 100,000 | 100,598 | |||||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A, 3.35%, 7/13/29(4) | 800,000 | 838,878 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $9,461,400) | 9,658,908 | ||||||
ASSET-BACKED SECURITIES(6) — 0.9% | |||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-1A, Class A, 2.63%, 12/20/21 | 325,000 | 324,935 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-1A, Class A SEQ, 2.05%, 8/20/16(4) | 187,500 | 187,847 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-2A, Class A SEQ, 2.80%, 5/20/18(4) | 400,000 | 409,990 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class B, 3.42%, 12/20/21(4) | 75,000 | 74,985 | |||||
Chase Issuance Trust, Series 2007-B1, Class B1, VRN, 0.44%, 6/15/15 | 100,000 | 99,568 | |||||
Chesapeake Funding LLC, Series 2014-1A, Class A, VRN, 0.60%, 6/7/15(4) | 494,738 | 494,587 | |||||
CNH Equipment Trust, Series 2014-B, Class A2 SEQ, 0.48%, 8/15/17 | 255,619 | 255,540 |
53
Shares/ Principal Amount | Value | ||||||
Dryrock Issuance Trust, Series 2014-1, Class A, VRN, 0.55%, 6/15/15 | $ | 425,000 | $ | 424,706 | |||
Enterprise Fleet Financing LLC, Series 2014-1, Class A2 SEQ, 0.87%, 9/20/19(4) | 198,636 | 198,714 | |||||
Harley-Davidson Motorcycle Trust, Series 2014-1, Class A2B, VRN, 0.36%, 6/15/15 | 375,317 | 374,928 | |||||
Hertz Fleet Lease Funding LP, Series 2014-1, Class A, VRN, 0.58%, 6/10/15(4) | 587,228 | 586,876 | |||||
Hilton Grand Vacations Trust, Series 2013-A, Class A SEQ, 2.28%, 1/25/26(4) | 117,703 | 118,573 | |||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(4) | 535,113 | 531,834 | |||||
John Deere Owner Trust, Series 2014-A, Class A2 SEQ, 0.45%, 9/15/16 | 363,077 | 363,091 | |||||
John Deere Owner Trust, Series 2014-A, Class A3 SEQ, 0.92%, 4/16/18 | 375,000 | 375,590 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A SEQ, 1.59%, 11/20/29(4) | 134,019 | 134,007 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-2A, Class A SEQ, 2.28%, 11/20/25(4) | 87,262 | 88,263 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class A, 2.40%, 3/22/32(4) | 344,589 | 346,024 | |||||
US Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 5/15/27 | 74,964 | 77,213 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $5,465,971) | 5,467,271 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(6) — 0.5% | |||||||
Private Sponsor Collateralized Mortgage Obligations — 0.3% | |||||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 6/1/15(4) | 154,748 | 154,585 | |||||
JPMorgan Mortgage Trust, Series 2014-5, Class A1, VRN, 3.00%, 6/1/15(4) | 405,191 | 418,162 | |||||
Sequoia Mortgage Trust, Series 2014-4, Class A2 SEQ, VRN, 3.50%, 6/1/15(4) | 219,193 | 226,678 | |||||
Thornburg Mortgage Securities Trust, Series 2004-3, Class A, VRN, 0.92%, 6/25/15 | 61,645 | 59,473 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR4, Class A5, VRN, 2.47%, 6/1/15 | 46,949 | 46,260 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A15, VRN, 2.64%, 6/1/15 | 1,188,337 | 1,211,611 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 1A7 SEQ, VRN, 5.80%, 6/1/15 | 41,826 | 40,908 | |||||
2,157,677 | |||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.2% | |||||||
FHLMC, Series 2926, Class EW SEQ, 5.00%, 1/15/25 | 424,935 | 465,748 | |||||
FNMA, Series 2014-M3, Class ASQ2, 0.56%, 3/25/16 | 571,877 | 572,202 | |||||
1,037,950 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,146,404) | 3,195,627 | ||||||
EXCHANGE-TRADED FUNDS — 0.2% | |||||||
iShares Russell 1000 Growth ETF | 869 | 87,569 | |||||
iShares Russell Mid-Cap Value ETF | 14,715 | 1,113,926 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,052,785) | 1,201,495 |
54
Shares/ Principal Amount | Value | ||||||
CONVERTIBLE PREFERRED STOCKS† | |||||||
Household Durables† | |||||||
Beazer Homes USA, Inc., 7.50%, 7/15/15 (Cost $15,351) | 593 | $ | 15,975 | ||||
TEMPORARY CASH INVESTMENTS — 2.8% | |||||||
SSgA U.S. Government Money Market Fund, Class N | 13,626,044 | 13,626,044 | |||||
State Street Institutional Liquid Reserves Fund, Premier Class | 3,671,095 | 3,671,095 | |||||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $17,297,139) | 17,297,139 | ||||||
TOTAL INVESTMENT SECURITIES — 101.2% (Cost $553,522,370) | 615,655,874 | ||||||
OTHER ASSETS AND LIABILITIES — (1.2)% | (7,330,666) | ||||||
TOTAL NET ASSETS — 100.0% | $ | 608,325,208 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
AUD | 45,000 | USD | 35,409 | Barclays Bank plc | 6/17/15 | $ | (1,032 | ) | ||
AUD | 90,000 | USD | 70,518 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,764 | ) | |||
AUD | 52,273 | USD | 40,929 | JPMorgan Chase Bank N.A. | 6/17/15 | (995 | ) | |||
USD | 45,585 | AUD | 58,948 | Barclays Bank plc | 6/17/15 | 552 | ||||
USD | 496,693 | AUD | 642,302 | Barclays Bank plc | 6/17/15 | 6,016 | ||||
USD | 23,646 | AUD | 29,605 | Barclays Bank plc | 6/17/15 | 1,030 | ||||
USD | 39,760 | AUD | 50,000 | JPMorgan Chase Bank N.A. | 6/17/15 | 1,563 | ||||
CAD | 59,761 | USD | 50,000 | Barclays Bank plc | 6/17/15 | (1,958 | ) | |||
CAD | 127,166 | USD | 105,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (2,772 | ) | |||
CAD | 48,596 | USD | 40,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (934 | ) | |||
CAD | 18,460 | USD | 14,824 | JPMorgan Chase Bank N.A. | 6/30/15 | 13 | ||||
USD | 23,687 | CAD | 28,311 | Barclays Bank plc | 6/17/15 | 928 | ||||
USD | 120,117 | CAD | 147,414 | JPMorgan Chase Bank N.A. | 6/17/15 | 1,612 | ||||
USD | 1,014,468 | CAD | 1,245,006 | JPMorgan Chase Bank N.A. | 6/17/15 | 13,615 | ||||
USD | 80,000 | CAD | 99,877 | UBS AG | 6/17/15 | (290 | ) | |||
USD | 450,925 | CAD | 560,263 | JPMorgan Chase Bank N.A. | 6/30/15 | 619 | ||||
USD | 723,968 | CAD | 899,512 | JPMorgan Chase Bank N.A. | 6/30/15 | 994 | ||||
USD | 510,416 | CAD | 634,179 | JPMorgan Chase Bank N.A. | 6/30/15 | 701 | ||||
USD | 20,148 | CAD | 25,048 | JPMorgan Chase Bank N.A. | 6/30/15 | 16 | ||||
CHF | 266,708 | USD | 276,436 | JPMorgan Chase Bank N.A. | 6/17/15 | 7,486 | ||||
USD | 306,336 | CHF | 291,626 | JPMorgan Chase Bank N.A. | 6/17/15 | (4,112 | ) | |||
USD | 1,126 | CHF | 1,050 | UBS AG | 6/17/15 | 8 | ||||
USD | 1,952 | CHF | 1,820 | UBS AG | 6/17/15 | 14 | ||||
CLP | 9,405,953 | USD | 15,195 | UBS AG | 6/17/15 | — | ||||
DKK | 486,421 | USD | 70,039 | UBS AG | 6/17/15 | 1,601 | ||||
USD | 71,926 | DKK | 499,524 | UBS AG | 6/17/15 | (1,644 | ) | |||
EUR | 220,000 | USD | 249,584 | Barclays Bank plc | 6/17/15 | (7,912 | ) | |||
EUR | 35,000 | USD | 39,412 | Barclays Bank plc | 6/17/15 | (965 | ) | |||
EUR | 100,000 | USD | 108,987 | Deutsche Bank | 6/17/15 | 864 |
55
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
EUR | 120,000 | USD | 130,785 | Deutsche Bank | 6/17/15 | $ | 1,036 | |||
EUR | 997,372 | USD | 1,070,630 | UBS AG | 6/17/15 | 24,991 | ||||
EUR | 130,000 | USD | 147,765 | UBS AG | 6/17/15 | (4,959 | ) | |||
USD | 107,775 | EUR | 95,000 | Barclays Bank plc | 6/17/15 | 3,416 | ||||
USD | 78,991 | EUR | 70,000 | Barclays Bank plc | 6/17/15 | 2,095 | ||||
USD | 33,455 | EUR | 30,000 | Deutsche Bank | 6/17/15 | 500 | ||||
USD | 65,944 | EUR | 60,000 | Deutsche Bank | 6/17/15 | 33 | ||||
USD | 252,304 | EUR | 225,000 | Deutsche Bank | 6/17/15 | 5,140 | ||||
USD | 130,659 | EUR | 115,000 | JPMorgan Chase Bank N.A. | 6/17/15 | 4,331 | ||||
USD | 10,311,996 | EUR | 9,602,648 | UBS AG | 6/17/15 | (236,593 | ) | |||
USD | 32,832 | EUR | 30,000 | UBS AG | 6/17/15 | (123 | ) | |||
USD | 23,075 | EUR | 21,196 | UBS AG | 6/30/15 | (212 | ) | |||
USD | 467,200 | EUR | 429,144 | UBS AG | 6/30/15 | (4,300 | ) | |||
USD | 745,498 | EUR | 684,772 | UBS AG | 6/30/15 | (6,862 | ) | |||
GBP | 30,000 | USD | 45,886 | Barclays Bank plc | 6/17/15 | (39 | ) | |||
GBP | 55,000 | USD | 84,124 | Barclays Bank plc | 6/17/15 | (72 | ) | |||
GBP | 242,215 | USD | 363,780 | Deutsche Bank | 6/17/15 | 6,378 | ||||
GBP | 30,000 | USD | 46,979 | Deutsche Bank | 6/17/15 | (1,132 | ) | |||
GBP | 50,000 | USD | 78,684 | Deutsche Bank | 6/17/15 | (2,272 | ) | |||
GBP | 105,000 | USD | 159,907 | UBS AG | 6/17/15 | 556 | ||||
GBP | 60,000 | USD | 91,979 | UBS AG | 6/17/15 | (285 | ) | |||
GBP | 85,000 | USD | 130,303 | UBS AG | 6/17/15 | (404 | ) | |||
USD | 475,571 | GBP | 313,360 | Barclays Bank plc | 6/17/15 | (3,313 | ) | |||
USD | 628,012 | GBP | 413,805 | Barclays Bank plc | 6/17/15 | (4,375 | ) | |||
USD | 45,682 | GBP | 30,000 | Barclays Bank plc | 6/17/15 | (164 | ) | |||
USD | 1,908,703 | GBP | 1,270,106 | Barclays Bank plc | 6/17/15 | (32,303 | ) | |||
USD | 39,472 | GBP | 25,206 | Deutsche Bank | 6/17/15 | 951 | ||||
USD | 113,287 | GBP | 72,266 | Deutsche Bank | 6/17/15 | 2,849 | ||||
USD | 157,937 | GBP | 103,562 | UBS AG | 6/17/15 | (329 | ) | |||
USD | 45,688 | GBP | 30,000 | UBS AG | 6/17/15 | (159 | ) | |||
HKD | 48,924 | USD | 6,312 | JPMorgan Chase Bank N.A. | 6/17/15 | (3 | ) | |||
JPY | 16,200,464 | USD | 135,000 | Deutsche Bank | 6/17/15 | (4,449 | ) | |||
JPY | 8,930,235 | USD | 75,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (3,036 | ) | |||
JPY | 7,176,876 | USD | 60,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (2,165 | ) | |||
JPY | 111,169,078 | USD | 927,854 | JPMorgan Chase Bank N.A. | 6/17/15 | (32,003 | ) | |||
JPY | 17,868,645 | USD | 150,000 | UBS AG | 6/17/15 | (6,006 | ) | |||
USD | 130,000 | JPY | 16,176,680 | Barclays Bank plc | 6/17/15 | (359 | ) | |||
USD | 90,000 | JPY | 10,786,219 | Deutsche Bank | 6/17/15 | 3,080 | ||||
USD | 140,000 | JPY | 16,691,934 | JPMorgan Chase Bank N.A. | 6/17/15 | 5,489 | ||||
USD | 245,000 | JPY | 29,210,885 | JPMorgan Chase Bank N.A. | 6/17/15 | 9,605 | ||||
USD | 30,000 | JPY | 3,720,894 | JPMorgan Chase Bank N.A. | 6/17/15 | 15 | ||||
USD | 133,499 | JPY | 16,418,625 | JPMorgan Chase Bank N.A. | 6/17/15 | 1,190 | ||||
USD | 300,000 | JPY | 35,720,940 | JPMorgan Chase Bank N.A. | 6/17/15 | 12,144 | ||||
USD | 4,837,433 | JPY | 579,563,206 | UBS AG | 6/17/15 | 167,048 | ||||
USD | 117,917 | JPY | 14,508,316 | Credit Suisse AG | 6/30/15 | 977 | ||||
USD | 4,513 | JPY | 559,968 | Credit Suisse AG | 6/30/15 | — |
56
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
KRW | 1,447,933,118 | USD | 1,334,501 | Westpac Group | 6/17/15 | $ | (35,805 | ) | ||
KRW | 224,905,800 | USD | 210,000 | Westpac Group | 6/17/15 | (8,275 | ) | |||
USD | 274,815 | KRW | 298,174,416 | Westpac Group | 6/17/15 | 7,373 | ||||
USD | 100,000 | KRW | 109,700,000 | Westpac Group | 6/17/15 | 1,607 | ||||
NOK | 10,608,879 | USD | 1,397,253 | Deutsche Bank | 6/17/15 | (32,695 | ) | |||
NOK | 11,926,167 | USD | 1,570,748 | Deutsche Bank | 6/17/15 | (36,755 | ) | |||
USD | 1,307,861 | NOK | 10,357,980 | JPMorgan Chase Bank N.A. | 6/17/15 | (24,426 | ) | |||
USD | 1,595,658 | NOK | 12,637,276 | JPMorgan Chase Bank N.A. | 6/17/15 | (29,801 | ) | |||
NZD | 134,046 | USD | 102,239 | Deutsche Bank | 6/17/15 | (7,266 | ) | |||
NZD | 180,000 | USD | 137,001 | UBS AG | 6/17/15 | (9,469 | ) | |||
USD | 66,868 | NZD | 87,671 | Deutsche Bank | 6/17/15 | 4,752 | ||||
USD | 66,255 | NZD | 90,000 | State Street Bank & Trust Co. | 6/17/15 | 2,489 | ||||
USD | 125,722 | NZD | 171,340 | State Street Bank & Trust Co. | 6/17/15 | 4,326 | ||||
USD | 96,384 | NZD | 130,000 | State Street Bank & Trust Co. | 6/17/15 | 4,277 | ||||
SEK | 410,429 | USD | 50,000 | Deutsche Bank | 6/17/15 | (1,851 | ) | |||
SEK | 1,067,116 | USD | 130,000 | Deutsche Bank | 6/17/15 | (4,812 | ) | |||
USD | 50,000 | SEK | 429,762 | Barclays Bank plc | 6/17/15 | (417 | ) | |||
USD | 40,000 | SEK | 340,094 | Barclays Bank plc | 6/17/15 | 102 | ||||
USD | 162,386 | SEK | 1,414,167 | UBS AG | 6/17/15 | (3,516 | ) | |||
USD | 41,218 | SEK | 358,958 | UBS AG | 6/17/15 | (892 | ) | |||
SGD | 108,453 | USD | 80,480 | Barclays Bank plc | 6/17/15 | (58 | ) | |||
SGD | 158,436 | USD | 120,000 | Deutsche Bank | 6/17/15 | (2,513 | ) | |||
SGD | 53,131 | USD | 40,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (601 | ) | |||
USD | 65,000 | SGD | 86,806 | State Street Bank & Trust Co. | 6/17/15 | 630 | ||||
USD | 150,000 | SGD | 198,698 | UBS AG | 6/17/15 | 2,657 | ||||
USD | 40,000 | SGD | 54,144 | UBS AG | 6/17/15 | (150 | ) | |||
USD | 140,000 | TWD | 4,260,200 | UBS AG | 6/17/15 | 1,718 | ||||
$ | (250,210 | ) |
FUTURES CONTRACTS | ||||||||
Contracts Sold | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
5 | U.S. Treasury 10-Year Notes | September 2015 | $ | 638,438 | $ | (2,746 | ) |
57
NOTES TO SCHEDULE OF INVESTMENTS | ||
ADR | - | American Depositary Receipt |
AGM | - | Assured Guaranty Municipal Corporation |
AUD | - | Australian Dollar |
CAD | - | Canadian Dollar |
CHF | - | Swiss Franc |
CLP | - | Chilean Peso |
COP | - | Certificates of Participation |
CVA | - | Certificaten Van Aandelen |
DKK | - | Danish Krone |
EUR | - | Euro |
FHLMC | - | Federal Home Loan Mortgage Corporation |
FNMA | - | Federal National Mortgage Association |
GBP | - | British Pound |
GNMA | - | Government National Mortgage Association |
GO | - | General Obligation |
HKD | - | Hong Kong Dollar |
JPY | - | Japanese Yen |
KRW | - | South Korea Won |
LIQ FAC | - | Liquidity Facilities |
LOC | - | Letter of Credit |
MTN | - | Medium Term Note |
NOK | - | Norwegian Krone |
NZD | - | New Zealand Dollar |
PJSC | - | Public Joint Stock Company |
SBBPA | - | Standby Bond Purchase Agreement |
SEK | - | Swedish Krona |
SEQ | - | Sequential Payer |
SGD | - | Singapore Dollar |
TWD | - | Taiwanese Dollar |
USD | - | United States Dollar |
VRDN | - | Variable Rate Demand Note. Interest reset date is indicated. Rate shown is effective at the period end. |
VRN | - | Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end. |
† | Category is less than 0.05% of total net assets. |
(1) | Non-income producing. |
(2) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for margin requirements on futures contracts. At the period end, the aggregate value of securities pledged was $26,036. |
(3) | When-issued security. The issue price and yield are fixed on the date of the commitment, but payment and delivery are scheduled for a future date. |
(4) | Restricted security exempt from registration pursuant to Rule 144A or Section 4(2) under the Securities Act of 1933. These securities may be sold without restriction to qualified institutional investors and have been deemed liquid under policies approved by the Board of Directors. The aggregate value of these securities at the period end was $35,344,111, which represented 5.8% of total net assets. |
(5) | Restricted security that may not be offered for public sale without being registered with the Securities and Exchange Commission and/or may be subject to resale, redemption or transferability restrictions. The aggregate value of these securities at the period end was $5,200,000, which represented 0.9% of total net assets. |
(6) | Final maturity date indicated, unless otherwise noted. |
(7) | Forward commitment. Settlement date is indicated. |
(8) | The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown. |
See Notes to Financial Statements.
58
Statement of Assets and Liabilities |
MAY 31, 2015 (UNAUDITED) | |||
Assets | |||
Investment securities, at value (cost of $553,522,370) | $ | 615,655,874 | |
Foreign currency holdings, at value (cost of $411,144) | 411,425 | ||
Deposits with broker for futures contracts | 6,750 | ||
Receivable for investments sold | 3,264,981 | ||
Receivable for capital shares sold | 486,515 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 319,387 | ||
Dividends and interest receivable | 2,292,384 | ||
622,437,316 | |||
Liabilities | |||
Disbursements in excess of demand deposit cash | 383 | ||
Payable for investments purchased | 11,960,587 | ||
Payable for capital shares redeemed | 991,917 | ||
Payable for variation margin on futures contracts | 1,484 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 569,597 | ||
Accrued management fees | 503,439 | ||
Distribution and service fees payable | 84,701 | ||
14,112,108 | |||
Net Assets | $ | 608,325,208 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 527,973,310 | |
Undistributed net investment income | 593,631 | ||
Undistributed net realized gain | 17,894,296 | ||
Net unrealized appreciation | 61,863,971 | ||
$ | 608,325,208 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||
Investor Class, $0.01 Par Value | $301,111,722 | 50,684,007 | $5.94 | |
Institutional Class, $0.01 Par Value | $68,055,120 | 11,449,799 | $5.94 | |
A Class, $0.01 Par Value | $173,474,709 | 29,230,527 | $5.93* | |
B Class, $0.01 Par Value | $2,063,100 | 349,927 | $5.90 | |
C Class, $0.01 Par Value | $45,342,416 | 7,688,742 | $5.90 | |
R Class, $0.01 Par Value | $16,286,642 | 2,748,087 | $5.93 | |
R6 Class, $0.01 Par Value | $1,991,499 | 335,028 | $5.94 | |
*Maximum offering price $6.29 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
59
Statement of Operations |
FOR THE SIX MONTHS ENDED MAY 31, 2015 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Dividends (net of foreign taxes withheld of $88,534) | $ | 3,059,231 | |
Interest | 2,460,579 | ||
5,519,810 | |||
Expenses: | |||
Management fees | 2,961,254 | ||
Distribution and service fees: | |||
A Class | 220,939 | ||
B Class | 11,507 | ||
C Class | 223,571 | ||
R Class | 42,333 | ||
Directors' fees and expenses | 10,717 | ||
Other expenses | 3,915 | ||
3,474,236 | |||
Net investment income (loss) | 2,045,574 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions | 23,549,515 | ||
Futures contract transactions | 30,163 | ||
Foreign currency transactions | 90,359 | ||
23,670,037 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments | (15,756,577 | ) | |
Futures contracts | (2,746 | ) | |
Translation of assets and liabilities in foreign currencies | (283,453 | ) | |
(16,042,776 | ) | ||
Net realized and unrealized gain (loss) | 7,627,261 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 9,672,835 |
See Notes to Financial Statements.
60
Statement of Changes in Net Assets |
SIX MONTHS ENDED MAY 31, 2015 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2014 | ||||||
Increase (Decrease) in Net Assets | May 31, 2015 | November 30, 2014 | ||||
Operations | ||||||
Net investment income (loss) | $ | 2,045,574 | $ | 4,650,960 | ||
Net realized gain (loss) | 23,670,037 | 41,118,592 | ||||
Change in net unrealized appreciation (depreciation) | (16,042,776 | ) | (4,972,747 | ) | ||
Net increase (decrease) in net assets resulting from operations | 9,672,835 | 40,796,805 | ||||
Distributions to Shareholders | ||||||
From net investment income: | ||||||
Investor Class | (800,273 | ) | (2,662,451 | ) | ||
Institutional Class | (242,527 | ) | (479,170 | ) | ||
A Class | (302,841 | ) | (1,582,274 | ) | ||
B Class | — | (1,497 | ) | |||
C Class | — | (23,043 | ) | |||
R Class | (14,835 | ) | (69,841 | ) | ||
R6 Class | (8,158 | ) | (7,229 | ) | ||
From net realized gains: | ||||||
Investor Class | (16,738,580 | ) | (16,518,521 | ) | ||
Institutional Class | (3,666,455 | ) | (2,012,155 | ) | ||
A Class | (10,301,509 | ) | (14,312,332 | ) | ||
B Class | (136,340 | ) | (156,388 | ) | ||
C Class | (2,409,005 | ) | (2,425,097 | ) | ||
R Class | (918,124 | ) | (931,564 | ) | ||
R6 Class | (100,773 | ) | (14,298 | ) | ||
Decrease in net assets from distributions | (35,639,420 | ) | (41,195,860 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | 12,290,542 | 6,231,144 | ||||
Net increase (decrease) in net assets | (13,676,043 | ) | 5,832,089 | |||
Net Assets | ||||||
Beginning of period | 622,001,251 | 616,169,162 | ||||
End of period | $ | 608,325,208 | $ | 622,001,251 | ||
Undistributed (distributions in excess of) net investment income | $ | 593,631 | $ | (83,309 | ) |
See Notes to Financial Statements.
61
Notes to Financial Statements |
MAY 31, 2015 (UNAUDITED)
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Strategic Allocation: Conservative Fund (the fund) is one fund in a series issued by the corporation. The fund is diversified as defined under the 1940 Act. The fund is an asset allocation fund and its investment objective is to seek the highest level of total return consistent with its asset mix.
The fund offers the Investor Class, the Institutional Class, the A Class, the B Class, the C Class, the R Class and the R6 Class. The A Class may incur an initial sales charge. The A Class, B Class and C Class may be subject to a contingent deferred sales charge. The share classes differ principally in their respective sales charges and distribution and shareholder servicing expenses and arrangements. The Institutional Class and R6 Class shareholders do not require the same level of shareholder and administrative services from American Century Investment Management, Inc. (ACIM) (the investment advisor) as shareholders of other classes. In addition, financial intermediaries do not receive any service, distribution or administrative fees for the R6 Class. As a result, the Institutional Class and R6 Class are charged lower unified management fees.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The fund is an investment company and follows accounting and reporting guidance in accordance with accounting principles generally accepted in the United States of America. This may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates. Management evaluated the impact of events or transactions occurring through the date the financial statements were issued that would merit recognition or disclosure.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. Equity securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Fixed income securities maturing in greater than 60 days at the time of purchase are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Fixed income securities maturing within 60 days at the time of purchase may be valued at cost, plus or minus any amortized discount or premium or at the evaluated mean as provided by an independent pricing service. Evaluated mean prices are commonly derived through utilization of market models, which may consider, among other factors: trade data, quotations from dealers and active market makers, relevant yield curve and spread data, related sector levels, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Fixed income securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Open-end management investment companies are valued at the reported net asset value per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate clearing corporation. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service.
62
If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s net asset value per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. If significant fluctuations in foreign markets are identified, the fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes.
Investment Income — Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Distributions received on securities that represent a return of capital or long-term capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund may estimate the components of distributions received that may be considered nontaxable distributions or long-term capital gain distributions for income tax purposes. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Inflation adjustments related to inflation-linked debt securities are reflected as interest income.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. ACIM monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts, forward commitments and swap agreements.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Forward Commitments — The fund may engage in securities transactions on a forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. The fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three
63
years from the date of filing but can be longer in certain jurisdictions. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid quarterly. Distributions from net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act. The fund may elect to treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc. (ACC). The corporation’s investment advisor, ACIM, the corporation's distributor, American Century Investment Services, Inc. (ACIS), and the corporation’s transfer agent, American Century Services, LLC, are wholly owned, directly or indirectly, by ACC.
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The rate of the fee is determined by applying a fee rate calculation formula. This formula takes into account the fund’s assets as well as certain assets, if any, of other clients of the investment advisor outside the American Century Investments family of funds (such as subadvised funds and separate accounts) that have very similar investment teams and investment strategies (strategy assets). The annual management fee schedule ranges from 0.80% to 1.00% for the Investor Class, A Class, B Class, C Class and R Class. The annual management fee schedule ranges from 0.60% to 0.80% for the Institutional Class and 0.45% to 0.65% for the R6 Class. The effective annual management fee for each class for the six months ended May 31, 2015 was 0.99% for the Investor Class, A Class, B Class, C Class and R Class, 0.79% for the Institutional Class and 0.64% for the R6 Class.
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, B Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay ACIS an annual distribution and service fee of 0.25%. The plans provide that the B Class and C Class will each pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the six months ended May 31, 2015 are detailed in the Statement of Operations.
Directors' Fees and Expenses — The Board of Directors is responsible for overseeing the investment advisor’s management and operations of the fund. The directors receive detailed information about the fund and its investment advisor regularly throughout the year, and meet at least quarterly with management of the investment advisor to review reports about fund operations. The fund’s officers do not receive compensation from the fund.
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4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the six months ended May 31, 2015 totaled $273,192,909, of which $81,739,713 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the six months ended May 31, 2015 totaled $285,008,643, of which $86,974,149 represented U.S. Treasury and Government Agency obligations.
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2015 | Year ended November 30, 2014 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 325,000,000 | 325,000,000 | ||||||||
Sold | 5,543,176 | $ | 32,963,300 | 11,031,291 | $ | 66,643,490 | ||||
Issued in reinvestment of distributions | 2,989,638 | 17,261,870 | 3,230,851 | 18,852,604 | ||||||
Redeemed | (6,839,638 | ) | (40,662,342 | ) | (10,321,457 | ) | (61,950,646 | ) | ||
1,693,176 | 9,562,828 | 3,940,685 | 23,545,448 | |||||||
Institutional Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 1,135,427 | 6,725,690 | 6,273,651 | 38,286,268 | ||||||
Issued in reinvestment of distributions | 676,832 | 3,908,804 | 425,696 | 2,489,916 | ||||||
Redeemed | (1,057,907 | ) | (6,284,961 | ) | (1,432,375 | ) | (8,623,802 | ) | ||
754,352 | 4,349,533 | 5,266,972 | 32,152,382 | |||||||
A Class/Shares Authorized | 175,000,000 | 175,000,000 | ||||||||
Sold | 2,958,966 | 17,541,457 | 8,031,085 | 48,177,905 | ||||||
Issued in reinvestment of distributions | 1,794,593 | 10,342,031 | 2,703,693 | 15,729,598 | ||||||
Redeemed | (5,759,174 | ) | (34,032,531 | ) | (19,511,256 | ) | (118,292,094 | ) | ||
(1,005,615 | ) | (6,149,043 | ) | (8,776,478 | ) | (54,384,591 | ) | |||
B Class/Shares Authorized | 25,000,000 | 25,000,000 | ||||||||
Sold | 1,273 | 7,309 | 43,873 | 260,936 | ||||||
Issued in reinvestment of distributions | 22,438 | 128,800 | 25,842 | 149,385 | ||||||
Redeemed | (75,041 | ) | (442,093 | ) | (101,637 | ) | (611,707 | ) | ||
(51,330 | ) | (305,984 | ) | (31,922 | ) | (201,386 | ) | |||
C Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 1,017,964 | 5,965,851 | 1,465,389 | 8,781,476 | ||||||
Issued in reinvestment of distributions | 397,703 | 2,282,953 | 400,605 | 2,315,764 | ||||||
Redeemed | (745,538 | ) | (4,388,207 | ) | (1,395,817 | ) | (8,367,199 | ) | ||
670,129 | 3,860,597 | 470,177 | 2,730,041 | |||||||
R Class/Shares Authorized | 25,000,000 | 25,000,000 | ||||||||
Sold | 582,283 | 3,438,865 | 655,284 | 3,939,531 | ||||||
Issued in reinvestment of distributions | 160,675 | 925,777 | 171,361 | 996,043 | ||||||
Redeemed | (614,892 | ) | (3,640,319 | ) | (681,650 | ) | (4,106,935 | ) | ||
128,066 | 724,323 | 144,995 | 828,639 | |||||||
R6 Class/Shares Authorized | 10,000,000 | 10,000,000 | ||||||||
Sold | 82,805 | 489,636 | 267,877 | 1,649,373 | ||||||
Issued in reinvestment of distributions | 18,859 | 108,931 | 3,653 | 21,527 | ||||||
Redeemed | (58,850 | ) | (350,279 | ) | (18,043 | ) | (110,289 | ) | ||
42,814 | 248,288 | 253,487 | 1,560,611 | |||||||
Net increase (decrease) | 2,231,592 | $ | 12,290,542 | 1,267,916 | $ | 6,231,144 |
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6. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments. |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars. |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments. There were no significant transfers between levels during the period.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||
Assets | ||||||||
Investment Securities | ||||||||
Common Stocks | $ | 214,959,201 | $ | 66,976,945 | — | |||
U.S. Treasury Securities | — | 110,992,914 | — | |||||
Corporate Bonds | — | 56,549,520 | — | |||||
Sovereign Governments and Agencies | — | 43,932,569 | — | |||||
U.S. Government Agency Mortgage-Backed Securities | — | 43,743,635 | — | |||||
Commercial Paper | — | 21,192,457 | — | |||||
Municipal Securities | — | 20,472,218 | — | |||||
Commercial Mortgage-Backed Securities | — | 9,658,908 | — | |||||
Asset-Backed Securities | — | 5,467,271 | — | |||||
Collateralized Mortgage Obligations | — | 3,195,627 | — | |||||
Exchange-Traded Funds | 1,201,495 | — | — | |||||
Convertible Preferred Stocks | — | 15,975 | — | |||||
Temporary Cash Investments | 17,297,139 | — | — | |||||
$ | 233,457,835 | $ | 382,198,039 | — | ||||
Other Financial Instruments | ||||||||
Forward Foreign Currency Exchange Contracts | — | $ | 319,387 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | (2,746 | ) | — | — | |||
Forward Foreign Currency Exchange Contracts | — | $ | (569,597 | ) | — | |||
$ | (2,746 | ) | $ | (569,597 | ) | — |
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7. Derivative Instruments
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The fund's average U.S. dollar exposure to foreign currency risk derivative instruments held during the period was $34,743,736.
Interest Rate Risk — The fund is subject to interest rate risk in the normal course of pursuing its investment objectives. The value of bonds generally declines as interest rates rise. A fund may enter into futures contracts based on a bond index or a specific underlying security. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund recognizes a realized gain or loss when the futures contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain (loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. One of the risks of entering into futures contracts is the possibility that the change in value of the contract may not correlate with the changes in value of the underlying securities. The fund's average exposure to interest rate risk derivative instruments held during the period was 12 contracts.
Value of Derivative Instruments as of May 31, 2015 | ||||||||
Asset Derivatives | Liability Derivatives | |||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | ||||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | $ | 319,387 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 569,597 | ||
Interest Rate Risk | Receivable for variation margin on futures contracts* | — | Payable for variation margin on futures contracts* | 1,484 | ||||
$ | 319,387 | $ | 571,081 | |||||
* Included in the unrealized appreciation (depreciation) on futures contracts as reported in the Schedule of Investments. | ||||||||
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2015 | ||||||||
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | |||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | ||||
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | $ | 219,479 | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | $ | (299,727 | ) | |
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 30,163 | Change in net unrealized appreciation (depreciation) on futures contracts | (2,746 | ) | |||
$ | 249,642 | $ | (302,473 | ) |
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8. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of May 31, 2015, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 558,350,315 | |
Gross tax appreciation of investments | $ | 66,891,651 | |
Gross tax depreciation of investments | (9,586,092 | ) | |
Net tax appreciation (depreciation) of investments | $ | 57,305,559 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
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Financial Highlights |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
Investor Class | |||||||||||||||
2015(3) | $6.21 | 0.02 | 0.07 | 0.09 | (0.02) | (0.34) | (0.36) | $5.94 | 1.63% | 1.00%(4) | 0.80%(4) | 48% | $301,112 | ||
2014 | $6.23 | 0.05 | 0.36 | 0.41 | (0.06) | (0.37) | (0.43) | $6.21 | 7.00% | 0.99% | 0.91% | 59% | $304,125 | ||
2013 | $5.95 | 0.06 | 0.50 | 0.56 | (0.07) | (0.21) | (0.28) | $6.23 | 9.74% | 1.00% | 1.06% | 68% | $280,568 | ||
2012 | $5.60 | 0.08 | 0.45 | 0.53 | (0.08) | (0.10) | (0.18) | $5.95 | 9.75% | 1.00% | 1.44% | 76% | $253,750 | ||
2011 | $5.39 | 0.10 | 0.21 | 0.31 | (0.10) | — | (0.10) | $5.60 | 5.71% | 1.00% | 1.73% | 78% | $229,957 | ||
2010 | $5.13 | 0.09 | 0.26 | 0.35 | (0.09) | — | (0.09) | $5.39 | 6.85% | 1.00% | 1.68% | 74% | $230,058 | ||
Institutional Class | |||||||||||||||
2015(3) | $6.21 | 0.03 | 0.06 | 0.09 | (0.02) | (0.34) | (0.36) | $5.94 | 1.73% | 0.80%(4) | 1.00%(4) | 48% | $68,055 | ||
2014 | $6.23 | 0.06 | 0.36 | 0.42 | (0.07) | (0.37) | (0.44) | $6.21 | 7.21% | 0.79% | 1.11% | 59% | $66,425 | ||
2013 | $5.95 | 0.07 | 0.50 | 0.57 | (0.08) | (0.21) | (0.29) | $6.23 | 9.95% | 0.80% | 1.26% | 68% | $33,833 | ||
2012 | $5.60 | 0.09 | 0.45 | 0.54 | (0.09) | (0.10) | (0.19) | $5.95 | 9.97% | 0.80% | 1.64% | 76% | $60,090 | ||
2011 | $5.39 | 0.11 | 0.21 | 0.32 | (0.11) | — | (0.11) | $5.60 | 5.92% | 0.80% | 1.93% | 78% | $64,086 | ||
2010 | $5.13 | 0.10 | 0.26 | 0.36 | (0.10) | — | (0.10) | $5.39 | 7.06% | 0.80% | 1.88% | 74% | $57,330 |
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For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
A Class | |||||||||||||||
2015(3) | $6.20 | 0.02 | 0.06 | 0.08 | (0.01) | (0.34) | (0.35) | $5.93 | 1.53% | 1.25%(4) | 0.55%(4) | 48% | $173,475 | ||
2014 | $6.22 | 0.04 | 0.35 | 0.39 | (0.04) | (0.37) | (0.41) | $6.20 | 6.74% | 1.24% | 0.66% | 59% | $187,559 | ||
2013 | $5.94 | 0.05 | 0.50 | 0.55 | (0.06) | (0.21) | (0.27) | $6.22 | 9.49% | 1.25% | 0.81% | 68% | $242,796 | ||
2012 | $5.60 | 0.07 | 0.44 | 0.51 | (0.07) | (0.10) | (0.17) | $5.94 | 9.30% | 1.25% | 1.19% | 76% | $236,226 | ||
2011 | $5.38 | 0.08 | 0.22 | 0.30 | (0.08) | — | (0.08) | $5.60 | 5.64% | 1.25% | 1.48% | 78% | $213,039 | ||
2010 | $5.13 | 0.07 | 0.25 | 0.32 | (0.07) | — | (0.07) | $5.38 | 6.38% | 1.25% | 1.43% | 74% | $212,820 | ||
B Class | |||||||||||||||
2015(3) | $6.18 | (0.01) | 0.07 | 0.06 | — | (0.34) | (0.34) | $5.90 | 1.20% | 2.00%(4) | (0.20)%(4) | 48% | $2,063 | ||
2014 | $6.21 | (0.01) | 0.35 | 0.34 | —(5) | (0.37) | (0.37) | $6.18 | 5.93% | 1.99% | (0.09)% | 59% | $2,479 | ||
2013 | $5.93 | —(5) | 0.51 | 0.51 | (0.02) | (0.21) | (0.23) | $6.21 | 8.83% | 2.00% | 0.06% | 68% | $2,688 | ||
2012 | $5.59 | 0.03 | 0.44 | 0.47 | (0.03) | (0.10) | (0.13) | $5.93 | 8.54% | 2.00% | 0.44% | 76% | $3,533 | ||
2011 | $5.38 | 0.04 | 0.21 | 0.25 | (0.04) | — | (0.04) | $5.59 | 4.67% | 2.00% | 0.73% | 78% | $4,162 | ||
2010 | $5.12 | 0.04 | 0.25 | 0.29 | (0.03) | — | (0.03) | $5.38 | 5.78% | 2.00% | 0.68% | 74% | $4,752 | ||
C Class | �� | ||||||||||||||
2015(3) | $6.18 | (0.01) | 0.07 | 0.06 | — | (0.34) | (0.34) | $5.90 | 1.20% | 2.00%(4) | (0.20)%(4) | 48% | $45,342 | ||
2014 | $6.21 | (0.01) | 0.35 | 0.34 | —(5) | (0.37) | (0.37) | $6.18 | 5.93% | 1.99% | (0.09)% | 59% | $43,361 | ||
2013 | $5.94 | —(5) | 0.50 | 0.50 | (0.02) | (0.21) | (0.23) | $6.21 | 8.65% | 2.00% | 0.06% | 68% | $40,650 | ||
2012 | $5.59 | 0.03 | 0.45 | 0.48 | (0.03) | (0.10) | (0.13) | $5.94 | 8.73% | 2.00% | 0.44% | 76% | $35,998 | ||
2011 | $5.38 | 0.04 | 0.21 | 0.25 | (0.04) | — | (0.04) | $5.59 | 4.66% | 2.00% | 0.73% | 78% | $32,205 | ||
2010 | $5.12 | 0.04 | 0.25 | 0.29 | (0.03) | — | (0.03) | $5.38 | 5.78% | 2.00% | 0.68% | 74% | $29,329 |
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For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
R Class | |||||||||||||||
2015(3) | $6.20 | 0.01 | 0.07 | 0.08 | (0.01) | (0.34) | (0.35) | $5.93 | 1.45% | 1.50%(4) | 0.30%(4) | 48% | $16,287 | ||
2014 | $6.22 | 0.02 | 0.36 | 0.38 | (0.03) | (0.37) | (0.40) | $6.20 | 6.48% | 1.49% | 0.41% | 59% | $16,239 | ||
2013 | $5.94 | 0.03 | 0.50 | 0.53 | (0.04) | (0.21) | (0.25) | $6.22 | 9.24% | 1.50% | 0.56% | 68% | $15,392 | ||
2012 | $5.59 | 0.05 | 0.45 | 0.50 | (0.05) | (0.10) | (0.15) | $5.94 | 9.22% | 1.50% | 0.94% | 76% | $13,824 | ||
2011 | $5.38 | 0.07 | 0.21 | 0.28 | (0.07) | — | (0.07) | $5.59 | 5.19% | 1.50% | 1.23% | 78% | $11,364 | ||
2010 | $5.12 | 0.06 | 0.26 | 0.32 | (0.06) | — | (0.06) | $5.38 | 6.32% | 1.50% | 1.18% | 74% | $11,677 | ||
R6 Class | |||||||||||||||
2015(3) | $6.21 | 0.04 | 0.06 | 0.10 | (0.03) | (0.34) | (0.37) | $5.94 | 1.81% | 0.65%(4) | 1.15%(4) | 48% | $1,991 | ||
2014 | $6.23 | 0.07 | 0.36 | 0.43 | (0.08) | (0.37) | (0.45) | $6.21 | 7.37% | 0.64% | 1.26% | 59% | $1,815 | ||
2013(6) | $6.05 | 0.03 | 0.17 | 0.20 | (0.02) | — | (0.02) | $6.23 | 3.32% | 0.65%(4) | 1.19%(4) | 68%(7) | $241 |
Notes to Financial Highlights |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Six months ended May 31, 2015 (unaudited). |
(4) | Annualized. |
(5) | Per-share amount was less than $0.005. |
(6) | July 26, 2013 (commencement of sale) through November 30, 2013. |
(7) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended November 30, 2013. |
See Notes to Financial Statements.
71
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain IRAs are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. For systematic withdrawals, your withholding election will remain in effect until revoked or changed by filing a new election. You have the right to revoke your election at any time.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld (or as otherwise required by state law). State taxes will be withheld from your distribution in accordance with the respective state rules.
Distributions you receive from 403(b), 457 and qualified plans are subject to special tax and withholding rules. Your plan administrator or plan sponsor is required to provide you with a special tax notice explaining those rules at the time you request a distribution. If applicable, federal and/or state taxes may be withheld from your distribution amount.
Proxy Voting Policies
A description of the policies that the fund's investment advisor uses in exercising the voting rights associated with the securities purchased and/or held by the fund is available without charge, upon request, by calling 1-800-345-2021. It is also available on the "About Us" page of American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the "About Us" page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its
website at americancentury.com and, upon request, by calling 1-800-345-2021.
72
Contact Us | americancentury.com | |
Automated Information Line | 1-800-345-8765 | |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 | |
Investors Using Advisors | 1-800-378-9878 | |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 | |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 | |
Telecommunications Relay Service for the Deaf | 711 | |
American Century Strategic Asset Allocations, Inc. | ||
Investment Advisor: American Century Investment Management, Inc. Kansas City, Missouri | ||
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||
©2015 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-86225 1507 |
SEMIANNUAL REPORT | MAY 31, 2015 |
Strategic Allocation: Moderate Fund
Table of Contents |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Dear Investor: Thank you for reviewing this semiannual report for the six months ended May 31, 2015. It provides a macroeconomic and financial market overview (below), followed by fund performance, a schedule of fund investments, and other financial information. For additional commentary and updated information on fund performance, key factors that affected asset returns, and other insights regarding the investment markets, we encourage you to visit our website, americancentury.com. | |
Jonathan Thomas |
Divergence in Monetary Policies Helped Trigger Market Volatility
The six-month reporting period saw big swings in market returns, triggered in part by central bank moves. In October 2014, the U.S. Federal Reserve ended its latest bond-buying program (quantitative easing, QE). But while QE was ending in the U.S., other major central banks were starting or increasing QE as their economies faltered. A “global divergence” of economic growth and monetary policies opened between the U.S. and most of the rest of the developed world.
This divergence helped fuel increased demand for the U.S. dollar and U.S. dollar-denominated assets, and put downward pressure on commodities prices, most notably oil. Though the resulting dollar rally and oil price decline reversed somewhat in April 2015, the dollar remained nearly 10% higher for the reporting period, as measured by the U.S. Dollar Index, while oil remained almost 9% lower, as measured by West Texas Intermediate crude oil futures. U.S. stocks and bonds posted modest gains—the S&P 500 Index and the Barclays U.S. Aggregate Bond Index returned 2.97% and 1.09%, respectively. Non-U.S. developed-market stock returns were stronger, as reflected in the 4.84% return of the MSCI EAFE Index, but emerging-market equities lagged, reflected in the 0.82% return of the MSCI Emerging Markets Index.
We expect more monetary policy divergence between the U.S. and other major developed economies in the coming months, accompanied by continued market volatility. This could present both challenges and opportunities for active investment managers. Upward pressures on inflation and interest rates could develop as the massive amount of global monetary stimulus in progress takes hold and economies improve. In this environment, we continue to believe in a disciplined, diversified, long-term investment approach, using professionally managed stock and bond portfolios to meet financial goals. We appreciate your continued trust in us.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Performance |
Total Returns as of May 31, 2015 | |||||||
Average Annual Returns | |||||||
Ticker Symbol | 6 months(1) | 1 year | 5 years | 10 years | Since Inception | Inception Date | |
Investor Class | TWSMX | 2.73% | 6.38% | 10.40% | 6.87% | 7.35% | 2/15/96 |
S&P 500 Index | — | 2.97% | 11.81% | 16.53% | 8.12% | 8.38%(2) | — |
Barclays U.S. Aggregate Bond Index | — | 1.09% | 3.03% | 3.90% | 4.61% | 5.63%(2) | — |
Barclays U.S. 1–3 Month Treasury Bill Index | — | 0.01% | 0.02% | 0.06% | 1.36% | 2.50%(2) | — |
Institutional Class | ASAMX | 2.84% | 6.75% | 10.65% | 7.10% | 5.82% | 8/1/00 |
A Class(3) | ACOAX | 10/2/96 | |||||
No sales charge* | 2.65% | 6.18% | 10.16% | 6.62% | 7.00% | ||
With sales charge* | -3.28% | 0.11% | 8.88% | 5.99% | 6.66% | ||
B Class | ASTBX | 9/30/04 | |||||
No sales charge* | 2.14% | 5.31% | 9.32% | 5.82% | 6.06% | ||
With sales charge* | -2.86% | 1.31% | 9.18% | 5.82% | 6.06% | ||
C Class | ASTCX | 10/2/01 | |||||
No sales charge* | 2.28% | 5.45% | 9.33% | 5.82% | 5.88% | ||
With sales charge* | 1.34% | 5.45% | 9.33% | 5.82% | 5.88% | ||
R Class | ASMRX | 2.44% | 5.83% | 9.84% | 6.34% | 6.88% | 8/29/03 |
R6 Class | ASMDX | 2.92% | 6.77% | — | — | 9.17% | 7/26/13 |
* Sales charges include initial sales charges and contingent deferred sales charges (CDSCs), as applicable. A Class shares have a 5.75% maximum initial sales charge and may be subject to a maximum CDSC of 1.00%. B Class shares redeemed within six years of purchase are subject to a CDSC that declines from 5.00% during the first year to 0.00% after the sixth year. C Class shares redeemed within 12 months of purchase are subject to a maximum CDSC of 1.00%. The SEC requires that mutual funds provide performance information net of maximum sales charges in all cases where charges could be applied.
(1) | Total returns for periods less than one year are not annualized. |
(2) | Since February 29, 1996, the date nearest the Investor Class’s inception for which data are available. |
(3) | Prior to December 3, 2007, the A Class was referred to as the Advisor Class and did not have a front-end sales charge. Performance prior to that date has been adjusted to reflect this charge. |
Total Annual Fund Operating Expenses | ||||||
Investor Class | Institutional Class | A Class | B Class | C Class | R Class | R6 Class |
1.06% | 0.86% | 1.31% | 2.06% | 2.06% | 1.56% | 0.71% |
The total annual fund operating expenses shown is as stated in the fund’s prospectus current as of the date of this report. The prospectus may vary from the expense ratio shown elsewhere in this report because it is based on a different time period, includes acquired fund fees and expenses, and, if applicable, does not include fee waivers or expense reimbursements.
Data presented reflect past performance. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, and redemption value may be more or less than original cost. Data assumes reinvestment of dividends and capital gains, and none of the charts reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. To obtain performance data current to the most recent month end, please call 1-800-345-2021 or visit americancentury.com. For additional information about the fund, please consult the prospectus.
3
Fund Characteristics |
MAY 31, 2015 | |
Top Ten Common Stocks | % of net assets |
Apple, Inc. | 1.2% |
Johnson & Johnson | 0.7% |
Oracle Corp. | 0.6% |
JPMorgan Chase & Co. | 0.6% |
Comcast Corp., Class A | 0.5% |
PepsiCo, Inc. | 0.5% |
Merck & Co., Inc. | 0.5% |
Gilead Sciences, Inc. | 0.5% |
Cisco Systems, Inc. | 0.4% |
Electronic Arts, Inc. | 0.4% |
Geographic Composition of Common Stocks | % of net assets |
United States | 47.9% |
United Kingdom | 3.0% |
Japan | 2.5% |
France | 1.7% |
Other Countries | 10.0% |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life | 6.7 years |
Average Duration (effective) | 5.0 years |
Types of Investments in Portfolio | % of net assets |
Domestic Common Stocks | 47.9% |
Foreign Common Stocks* | 17.2% |
U.S. Treasury Securities | 10.1% |
Corporate Bonds | 9.0% |
U.S. Government Agency Mortgage-Backed Securities | 4.3% |
Sovereign Governments and Agencies | 3.5% |
Commercial Paper | 2.3% |
Municipal Securities | 2.0% |
Collateralized Mortgage Obligations | 1.0% |
Commercial Mortgage-Backed Securities | 1.0% |
Asset-Backed Securities | 0.6% |
Exchange-Traded Funds | 0.2% |
Convertible Preferred Stocks | —** |
Preferred Stocks | —** |
Temporary Cash Investments | 1.5% |
Other Assets and Liabilities | (0.6)% |
*Includes depositary shares, dual listed securities and foreign ordinary shares.
**Category is less than 0.05% of total net assets.
4
Shareholder Fee Example |
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2014 to May 31, 2015.
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then 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 under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or Institutional Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. 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 your fund 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 transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
5
Beginning Account Value 12/1/14 | Ending Account Value 5/31/15 | Expenses Paid During Period(1) 12/1/14 - 5/31/15 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,027.30 | $5.36 | 1.06% |
Institutional Class | $1,000 | $1,028.40 | $4.35 | 0.86% |
A Class | $1,000 | $1,026.50 | $6.62 | 1.31% |
B Class | $1,000 | $1,021.40 | $10.38 | 2.06% |
C Class | $1,000 | $1,022.80 | $10.39 | 2.06% |
R Class | $1,000 | $1,024.40 | $7.87 | 1.56% |
R6 Class | $1,000 | $1,029.20 | $3.59 | 0.71% |
Hypothetical | ||||
Investor Class | $1,000 | $1,019.65 | $5.34 | 1.06% |
Institutional Class | $1,000 | $1,020.64 | $4.33 | 0.86% |
A Class | $1,000 | $1,018.40 | $6.59 | 1.31% |
B Class | $1,000 | $1,014.66 | $10.35 | 2.06% |
C Class | $1,000 | $1,014.66 | $10.35 | 2.06% |
R Class | $1,000 | $1,017.15 | $7.85 | 1.56% |
R6 Class | $1,000 | $1,021.39 | $3.58 | 0.71% |
(1) | Expenses are equal to the class's annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 182, the number of days in the most recent fiscal half-year, divided by 365, to reflect the one-half year period. |
6
Schedule of Investments |
MAY 31, 2015 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
COMMON STOCKS — 65.1% | |||||||
Aerospace and Defense — 1.7% | |||||||
American Science & Engineering, Inc. | 1,164 | $ | 45,547 | ||||
Astronics Corp.(1) | 2,271 | 158,720 | |||||
B/E Aerospace, Inc. | 18,398 | 1,054,941 | |||||
BAE Systems plc | 73,920 | 581,844 | |||||
Boeing Co. (The) | 37,476 | 5,266,127 | |||||
Esterline Technologies Corp.(1) | 10,965 | 1,186,084 | |||||
Honeywell International, Inc. | 62,630 | 6,526,046 | |||||
Huntington Ingalls Industries, Inc. | 4,289 | 531,793 | |||||
Lockheed Martin Corp. | 14,838 | 2,792,512 | |||||
Precision Castparts Corp. | 5,170 | 1,094,127 | |||||
Raytheon Co. | 22,295 | 2,302,182 | |||||
Spirit Aerosystems Holdings, Inc., Class A(1) | 26,196 | 1,430,040 | |||||
Teledyne Technologies, Inc.(1) | 1,929 | 195,466 | |||||
Textron, Inc. | 36,370 | 1,644,651 | |||||
United Technologies Corp. | 37,514 | 4,395,515 | |||||
Zodiac Aerospace | 34,524 | 1,259,437 | |||||
30,465,032 | |||||||
Air Freight and Logistics — 0.1% | |||||||
bpost SA | 18,798 | 542,573 | |||||
Sinotrans Ltd., H Shares | 598,000 | 466,606 | |||||
1,009,179 | |||||||
Airlines — 0.8% | |||||||
Air New Zealand Ltd. | 61,196 | 129,812 | |||||
Airports of Thailand PCL | 85,500 | 757,402 | |||||
Alaska Air Group, Inc. | 12,585 | 813,495 | |||||
Delta Air Lines, Inc. | 20,715 | 889,088 | |||||
International Consolidated Airlines Group SA(1) | 129,205 | 1,094,022 | |||||
Japan Airlines Co. Ltd. | 29,500 | 1,016,094 | |||||
Qantas Airways Ltd.(1) | 661,618 | 1,780,557 | |||||
Ryanair Holdings plc ADR | 9,262 | 616,849 | |||||
Southwest Airlines Co. | 73,103 | 2,708,466 | |||||
Spirit Airlines, Inc.(1) | 18,874 | 1,199,820 | |||||
United Continental Holdings, Inc.(1) | 41,531 | 2,267,177 | |||||
13,272,782 | |||||||
Auto Components — 0.6% | |||||||
BorgWarner, Inc. | 42,513 | 2,557,157 | |||||
Bridgestone Corp. | 11,500 | 479,588 | |||||
Continental AG | 2,558 | 590,687 | |||||
Cooper Tire & Rubber Co. | 620 | 22,760 | |||||
Dana Holding Corp. | 3,346 | 72,843 | |||||
Delphi Automotive plc | 30,033 | 2,612,270 | |||||
Faurecia | 2,310 | 103,931 | |||||
Hota Industrial Manufacturing Co. Ltd. | 359,000 | 986,013 | |||||
Koito Manufacturing Co. Ltd. | 9,200 | 362,470 |
7
Shares/ Principal Amount | Value | ||||||
Linamar Corp. | 4,295 | $ | 292,596 | ||||
Magna International, Inc. | 13,705 | 788,175 | |||||
Stoneridge, Inc.(1) | 3,973 | 47,398 | |||||
Sumitomo Rubber Industries Ltd. | 11,200 | 197,713 | |||||
Superior Industries International, Inc. | 355 | 6,848 | |||||
Tower International, Inc.(1) | 4,547 | 125,088 | |||||
Valeo SA | 10,108 | 1,613,620 | |||||
10,859,157 | |||||||
Automobiles — 0.9% | |||||||
Daimler AG | 6,346 | 594,386 | |||||
Fiat Chrysler Automobiles NV(1) | 34,560 | 552,278 | |||||
Ford Motor Co. | 44,510 | 675,217 | |||||
Fuji Heavy Industries Ltd. | 67,200 | 2,543,654 | |||||
Great Wall Motor Co. Ltd., H Shares | 162,500 | 1,048,941 | |||||
Harley-Davidson, Inc. | 29,475 | 1,576,618 | |||||
Honda Motor Co. Ltd. ADR | 15,510 | 530,752 | |||||
Isuzu Motors Ltd. | 47,500 | 647,353 | |||||
Mitsubishi Motors Corp. | 5,500 | 51,271 | |||||
Peugeot SA(1) | 136,587 | 2,850,257 | |||||
Piaggio & C SpA | 53,847 | 174,463 | |||||
Suzuki Motor Corp. | 41,000 | 1,431,853 | |||||
Tata Motors Ltd. | 45,147 | 340,478 | |||||
Thor Industries, Inc. | 5,752 | 351,390 | |||||
Tofas Turk Otomobil Fabrikasi AS | 76,610 | 519,375 | |||||
Toyota Motor Corp. | 24,600 | 1,705,341 | |||||
Yamaha Motor Co. Ltd. | 18,700 | 469,327 | |||||
16,062,954 | |||||||
Banks — 4.9% | |||||||
Alior Bank SA(1) | 20,140 | 500,224 | |||||
Australia & New Zealand Banking Group Ltd. | 33,042 | 838,454 | |||||
Banco Santander SA | 176,503 | 1,256,944 | |||||
Bank Hapoalim BM | 21,862 | 114,644 | |||||
Bank of America Corp. | 339,542 | 5,602,443 | |||||
Bank of Hawaii Corp. | 9,915 | 622,365 | |||||
Bank of Ireland(1) | 2,943,946 | 1,125,201 | |||||
Bank of the Ozarks, Inc. | 8,903 | 391,465 | |||||
BankUnited, Inc. | 10,835 | 363,948 | |||||
Barclays plc | 261,708 | 1,079,985 | |||||
BB&T Corp. | 11,629 | 458,997 | |||||
Bendigo and Adelaide Bank Ltd. | 29,035 | 272,822 | |||||
BOC Hong Kong Holdings Ltd. | 203,000 | 835,181 | |||||
BOK Financial Corp. | 8,599 | 556,183 | |||||
Capital Bank Financial Corp., Class A(1) | 7,202 | 205,401 | |||||
Capitec Bank Holdings Ltd. | 21,890 | 913,217 | |||||
Cathay General Bancorp | 4,206 | 127,105 | |||||
Chiba Bank Ltd. (The) | 56,000 | 442,622 | |||||
China CITIC Bank Corp. Ltd., H Shares(1) | 712,000 | 602,390 | |||||
China Construction Bank Corp., H Shares | 264,000 | 265,238 | |||||
China Minsheng Banking Corp. Ltd., H Shares | 338,000 | 465,567 | |||||
Citigroup, Inc. | 76,210 | 4,121,437 |
8
Shares/ Principal Amount | Value | ||||||
Comerica, Inc. | 12,522 | $ | 612,952 | ||||
Commerce Bancshares, Inc. | 26,742 | 1,192,961 | |||||
Commercial International Bank Egypt S.A.E. | 105,680 | 777,204 | |||||
Commonwealth Bank of Australia | 3,948 | 256,839 | |||||
Credicorp Ltd. | 6,040 | 852,486 | |||||
Credit Agricole SA | 49,072 | 732,713 | |||||
Cullen / Frost Bankers, Inc. | 8,934 | 655,845 | |||||
Eagle Bancorp, Inc.(1) | 4,063 | 161,667 | |||||
East West Bancorp, Inc. | 18,124 | 777,520 | |||||
FCB Financial Holdings, Inc., Class A(1) | 10,945 | 314,888 | |||||
First Financial Bankshares, Inc. | 6,074 | 183,010 | |||||
First NBC Bank Holding Co.(1) | 2,806 | 95,376 | |||||
FirstMerit Corp. | 2,688 | 52,792 | |||||
Fukuoka Financial Group, Inc. | 18,000 | 97,023 | |||||
Hachijuni Bank Ltd. (The) | 76,000 | 578,045 | |||||
Hang Seng Bank Ltd. | 29,800 | 598,025 | |||||
HDFC Bank Ltd. | 63,892 | 1,050,974 | |||||
Home Bancshares, Inc. | 7,308 | 249,276 | |||||
HSBC Holdings plc | 218,864 | 2,083,005 | |||||
ICICI Bank Ltd. ADR | 145,080 | 1,532,045 | |||||
Industrial & Commercial Bank of China Ltd., H Shares | 2,469,105 | 2,149,498 | |||||
ING Groep NV CVA | 114,571 | 1,884,354 | |||||
Intesa Sanpaolo SpA | 588,750 | 2,122,220 | |||||
Itau Unibanco Holding SA ADR | 91,201 | 975,851 | |||||
JPMorgan Chase & Co. | 156,079 | 10,266,877 | |||||
Juroku Bank Ltd. (The) | 45,000 | 170,044 | |||||
Kasikornbank PCL | 65,300 | 378,523 | |||||
KBC Groep NV | 28,755 | 1,928,058 | |||||
KeyCorp | 114,550 | 1,670,139 | |||||
LegacyTexas Financial Group, Inc. | 663 | 17,198 | |||||
Lloyds Banking Group plc | 328,400 | 440,541 | |||||
M&T Bank Corp. | 9,204 | 1,112,579 | |||||
Mitsubishi UFJ Financial Group, Inc. | 268,200 | 1,990,620 | |||||
Mizrahi Tefahot Bank Ltd.(1) | 9,450 | 107,476 | |||||
National Australia Bank Ltd. | 6,920 | 181,576 | |||||
OFG Bancorp | 5,843 | 76,777 | |||||
Oversea-Chinese Banking Corp. Ltd. | 84,300 | 637,831 | |||||
PNC Financial Services Group, Inc. (The) | 38,444 | 3,678,706 | |||||
PrivateBancorp, Inc. | 922 | 35,156 | |||||
PT Bank Mandiri (Persero) Tbk | 888,800 | 724,200 | |||||
PT Bank Rakyat Indonesia (Persero) Tbk | 743,400 | 661,943 | |||||
Qatar National Bank SAQ | 7,290 | 375,986 | |||||
Renasant Corp. | 2,523 | 74,277 | |||||
ServisFirst Bancshares, Inc. | 3,747 | 131,332 | |||||
Seven Bank Ltd. | 176,300 | 835,229 | |||||
Signature Bank(1) | 7,263 | 1,014,278 | |||||
Skandinaviska Enskilda Banken AB, A Shares | 109,950 | 1,357,853 | |||||
Southside Bancshares, Inc. | 6,505 | 174,659 | |||||
Standard Chartered plc | 53,768 | 859,592 | |||||
Sumitomo Mitsui Financial Group, Inc. | 17,700 | 808,597 |
9
Shares/ Principal Amount | Value | ||||||
SunTrust Banks, Inc. | 16,644 | $ | 710,366 | ||||
Suruga Bank Ltd. | 16,200 | 345,758 | |||||
SVB Financial Group(1) | 6,059 | 817,420 | |||||
Texas Capital Bancshares, Inc.(1) | 4,350 | 236,640 | |||||
U.S. Bancorp | 68,570 | 2,956,053 | |||||
UMB Financial Corp. | 3,713 | 192,296 | |||||
United Overseas Bank Ltd. | 14,900 | 255,757 | |||||
Valley National Bancorp | 20,215 | 197,703 | |||||
Wells Fargo & Co. | 115,693 | 6,474,180 | |||||
Westamerica Bancorp | 19,382 | 886,920 | |||||
Westpac Banking Corp. | 55,603 | 1,426,678 | |||||
85,358,220 | |||||||
Beverages — 1.1% | |||||||
Anheuser-Busch InBev NV | 13,303 | 1,599,140 | |||||
Boston Beer Co., Inc. (The), Class A(1) | 2,215 | 584,273 | |||||
Brown-Forman Corp., Class B | 15,307 | 1,442,991 | |||||
Coca-Cola Co. (The) | 10,419 | 426,762 | |||||
Constellation Brands, Inc., Class A | 21,437 | 2,527,208 | |||||
Dr Pepper Snapple Group, Inc. | 31,313 | 2,399,828 | |||||
PepsiCo, Inc. | 85,566 | 8,251,129 | |||||
Pernod-Ricard SA | 9,750 | 1,205,233 | |||||
18,436,564 | |||||||
Biotechnology — 2.0% | |||||||
ACADIA Pharmaceuticals, Inc.(1) | 1,951 | 80,381 | |||||
Acceleron Pharma, Inc.(1) | 374 | 12,615 | |||||
Adaptimmune Therapeutics plc ADR(1) | 840 | 12,961 | |||||
Aduro Biotech, Inc.(1) | 480 | 16,214 | |||||
Agios Pharmaceuticals, Inc.(1) | 328 | 40,023 | |||||
Alder Biopharmaceuticals, Inc.(1) | 1,802 | 76,621 | |||||
Alexion Pharmaceuticals, Inc.(1) | 13,137 | 2,152,366 | |||||
Alnylam Pharmaceuticals, Inc.(1) | 4,658 | 610,617 | |||||
AMAG Pharmaceuticals, Inc.(1) | 12,155 | 845,745 | |||||
Amgen, Inc. | 40,144 | 6,272,901 | |||||
Anacor Pharmaceuticals, Inc.(1) | 1,053 | 74,995 | |||||
Biogen, Inc.(1) | 15,425 | 6,123,571 | |||||
Bluebird Bio, Inc.(1) | 488 | 94,794 | |||||
Celgene Corp.(1) | 31,254 | 3,576,708 | |||||
Celldex Therapeutics, Inc.(1) | 2,249 | 64,929 | |||||
Cepheid, Inc.(1) | 1,688 | 93,127 | |||||
Clovis Oncology, Inc.(1) | 806 | 74,507 | |||||
CSL Ltd. | 5,792 | 414,044 | |||||
Dyax Corp.(1) | 3,841 | 101,172 | |||||
Esperion Therapeutics, Inc.(1) | 505 | 54,292 | |||||
Exact Sciences Corp.(1) | 2,377 | 64,203 | |||||
Gilead Sciences, Inc.(1) | 70,788 | 7,947,369 | |||||
Halozyme Therapeutics, Inc.(1) | 3,349 | 58,105 | |||||
Incyte Corp.(1) | 6,567 | 723,355 | |||||
Isis Pharmaceuticals, Inc.(1) | 2,205 | 148,441 | |||||
Keryx Biopharmaceuticals, Inc.(1) | 2,854 | 29,682 | |||||
Kite Pharma, Inc.(1) | 619 | 34,138 |
10
Shares/ Principal Amount | Value | ||||||
KYTHERA Biopharmaceuticals, Inc.(1) | 424 | $ | 21,357 | ||||
Ligand Pharmaceuticals, Inc., Class B(1) | 523 | 46,081 | |||||
Medy-Tox, Inc. | 1,860 | 781,762 | |||||
Neurocrine Biosciences, Inc.(1) | 2,075 | 91,009 | |||||
Novavax, Inc.(1) | 7,020 | 63,180 | |||||
Ophthotech Corp.(1) | 1,662 | 83,133 | |||||
Opko Health, Inc.(1) | 3,954 | 69,907 | |||||
Portola Pharmaceuticals, Inc.(1) | 1,268 | 53,028 | |||||
PTC Therapeutics, Inc.(1) | 425 | 24,688 | |||||
Puma Biotechnology, Inc.(1) | 422 | 82,480 | |||||
Receptos, Inc.(1) | 411 | 67,770 | |||||
Regeneron Pharmaceuticals, Inc.(1) | 3,638 | 1,864,693 | |||||
Sangamo Biosciences, Inc.(1) | 2,410 | 29,522 | |||||
Sarepta Therapeutics, Inc.(1) | 1,295 | 33,178 | |||||
Spark Therapeutics, Inc.(1) | 369 | 27,173 | |||||
TESARO, Inc.(1) | 730 | 42,895 | |||||
Vertex Pharmaceuticals, Inc.(1) | 8,396 | 1,077,123 | |||||
34,256,855 | |||||||
Building Products — 0.3% | |||||||
Apogee Enterprises, Inc. | 2,473 | 132,874 | |||||
Caesarstone Sdot-Yam Ltd. | 4,938 | 305,267 | |||||
Continental Building Products, Inc.(1) | 6,530 | 145,619 | |||||
Daikin Industries Ltd. | 14,700 | 1,130,022 | |||||
Insteel Industries, Inc. | 4,347 | 86,288 | |||||
Inwido AB | 7,691 | 93,358 | |||||
Lennox International, Inc. | 11,056 | 1,244,906 | |||||
Masco Corp. | 38,679 | 1,047,041 | |||||
NCI Building Systems, Inc.(1) | 10,758 | 161,155 | |||||
Nortek, Inc.(1) | 200 | 16,520 | |||||
Sanwa Holdings Corp. | 6,200 | 54,100 | |||||
Trex Co., Inc.(1) | 2,332 | 117,999 | |||||
4,535,149 | |||||||
Capital Markets — 1.7% | |||||||
Affiliated Managers Group, Inc.(1) | 10,307 | 2,305,264 | |||||
Ameriprise Financial, Inc. | 40,725 | 5,073,928 | |||||
Ares Management LP | 6,084 | 118,577 | |||||
Artisan Partners Asset Management, Inc., Class A | 5,407 | 238,503 | |||||
Banca Generali SpA | 7,460 | 265,300 | |||||
BlackRock, Inc. | 2,450 | 896,161 | |||||
Blackstone Group LP (The) | 14,537 | 636,720 | |||||
China Everbright Ltd. | 44,000 | 175,066 | |||||
CITIC Securities Co. Ltd., H Shares | 150,000 | 637,442 | |||||
Credit Suisse Group AG | 43,050 | 1,141,007 | |||||
Deutsche Bank AG | 7,533 | 226,818 | |||||
Evercore Partners, Inc., Class A | 7,446 | 379,523 | |||||
Franklin Resources, Inc. | 89,764 | 4,569,885 | |||||
Goldman Sachs Group, Inc. (The) | 10,840 | 2,235,099 | |||||
HFF, Inc., Class A | 3,777 | 151,986 | |||||
Invesco Ltd. | 62,550 | 2,491,366 | |||||
Investec plc | 67,964 | 622,738 |
11
Shares/ Principal Amount | Value | ||||||
Legg Mason, Inc. | 15,641 | $ | 834,604 | ||||
LPL Financial Holdings, Inc. | 23,079 | 984,088 | |||||
Magellan Financial Group Ltd. | 9,362 | 133,778 | |||||
Man Group plc | 217,728 | 594,004 | |||||
Moelis & Co., Class A | 1,107 | 31,948 | |||||
Northern Trust Corp. | 33,154 | 2,471,631 | |||||
State Street Corp. | 21,574 | 1,681,262 | |||||
T. Rowe Price Group, Inc. | 6,088 | 491,241 | |||||
Waddell & Reed Financial, Inc., Class A | 16,135 | 770,930 | |||||
30,158,869 | |||||||
Chemicals — 1.3% | |||||||
Akzo Nobel NV | 12,870 | 980,271 | |||||
Asahi Kasei Corp. | 102,000 | 907,699 | |||||
BASF SE | 2,802 | 259,120 | |||||
Cabot Corp. | 38,081 | 1,579,219 | |||||
Chemtura Corp.(1) | 3,221 | 89,415 | |||||
Croda International plc | 3,966 | 177,303 | |||||
Daicel Corp. | 12,000 | 156,532 | |||||
Dow Chemical Co. (The) | 110,912 | 5,775,188 | |||||
E.I. du Pont de Nemours & Co. | 21,451 | 1,523,235 | |||||
Essentra plc | 10,557 | 161,353 | |||||
Givaudan SA | 530 | 971,070 | |||||
Innophos Holdings, Inc. | 2,786 | 145,178 | |||||
Innospec, Inc. | 4,154 | 178,124 | |||||
International Flavors & Fragrances, Inc. | 219 | 26,070 | |||||
Johnson Matthey plc | 26,240 | 1,403,281 | |||||
LG Chem Ltd. | 2,700 | 607,850 | |||||
LSB Industries, Inc.(1) | 2,667 | 113,428 | |||||
LyondellBasell Industries NV, Class A | 34,100 | 3,447,510 | |||||
Minerals Technologies, Inc. | 727 | 48,934 | |||||
Mitsubishi Chemical Holdings Corp. | 135,000 | 851,996 | |||||
Mosaic Co. (The) | 16,974 | 778,258 | |||||
PolyOne Corp. | 3,119 | 121,298 | |||||
PPG Industries, Inc. | 4,453 | 1,019,247 | |||||
Sherwin-Williams Co. (The) | 5,137 | 1,480,381 | |||||
Sumitomo Chemical Co. Ltd. | 40,000 | 233,654 | |||||
Symrise AG | 4,501 | 286,522 | |||||
Teijin Ltd. | 16,000 | 59,687 | |||||
Tronox Ltd., Class A | 7,277 | 122,690 | |||||
23,504,513 | |||||||
Commercial Services and Supplies — 0.6% | |||||||
ABM Industries, Inc. | 3,819 | 123,888 | |||||
ADT Corp. (The) | 21,350 | 778,848 | |||||
ARC Document Solutions, Inc.(1) | 10,342 | 77,462 | |||||
Brink's Co. (The) | 5,602 | 179,040 | |||||
Clean Harbors, Inc.(1) | 15,011 | 845,720 | |||||
Herman Miller, Inc. | 1,703 | 47,173 | |||||
HNI Corp. | 2,170 | 105,223 | |||||
Kaba Holding AG | 516 | 324,199 | |||||
KAR Auction Services, Inc. | 38,154 | 1,421,618 |
12
Shares/ Principal Amount | Value | ||||||
Multi-Color Corp. | 6,820 | $ | 436,821 | ||||
Pitney Bowes, Inc. | 4,838 | 105,710 | |||||
Republic Services, Inc. | 68,641 | 2,765,546 | |||||
Societe BIC SA | 1,152 | 189,850 | |||||
Stericycle, Inc.(1) | 5,551 | 762,152 | |||||
Tyco International plc | 24,465 | 987,407 | |||||
Waste Management, Inc. | 9,543 | 473,810 | |||||
9,624,467 | |||||||
Communications Equipment — 1.1% | |||||||
ARRIS Group, Inc.(1) | 1,826 | 60,276 | |||||
Cisco Systems, Inc. | 267,160 | 7,830,460 | |||||
Harris Corp. | 7,602 | 602,230 | |||||
Infinera Corp.(1) | 6,160 | 127,142 | |||||
Juniper Networks, Inc. | 40,216 | 1,118,005 | |||||
Motorola Solutions, Inc. | 19,373 | 1,143,007 | |||||
Palo Alto Networks, Inc.(1) | 5,643 | 956,432 | |||||
Polycom, Inc.(1) | 8,855 | 119,277 | |||||
QUALCOMM, Inc. | 95,122 | 6,628,101 | |||||
Radware Ltd.(1) | 11,275 | 266,203 | |||||
Ruckus Wireless, Inc.(1) | 8,717 | 91,616 | |||||
18,942,749 | |||||||
Construction and Engineering — 0.2% | |||||||
Boskalis Westminster NV | 1,266 | 62,730 | |||||
Great Lakes Dredge & Dock Corp.(1) | 13,904 | 77,306 | |||||
Hyundai Development Co-Engineering & Construction | 17,260 | 942,233 | |||||
Larsen & Toubro Ltd. | 34,850 | 902,787 | |||||
Northwest Pipe Co.(1) | 2,271 | 47,169 | |||||
Peab AB | 86,173 | 660,965 | |||||
Vinci SA | 4,967 | 295,020 | |||||
2,988,210 | |||||||
Construction Materials — 0.2% | |||||||
Cemex SAB de CV ADR(1) | 211,910 | 1,970,763 | |||||
Headwaters, Inc.(1) | 6,932 | 131,569 | |||||
Summit Materials, Inc., Class A(1) | 6,364 | 175,010 | |||||
Titan Cement Co. SA | 14,100 | 324,742 | |||||
2,602,084 | |||||||
Consumer Finance — 0.2% | |||||||
Capital One Financial Corp. | 22,710 | 1,897,648 | |||||
Cash America International, Inc. | 3,375 | 90,720 | |||||
Discover Financial Services | 36,027 | 2,099,293 | |||||
4,087,661 | |||||||
Containers and Packaging — 0.2% | |||||||
Ball Corp. | 15,439 | 1,096,014 | |||||
Bemis Co., Inc. | 15,522 | 713,081 | |||||
Berry Plastics Group, Inc.(1) | 36,959 | 1,237,018 | |||||
Graphic Packaging Holding Co. | 22,520 | 320,685 | |||||
Sonoco Products Co. | 18,817 | 847,141 | |||||
4,213,939 | |||||||
Distributors† | |||||||
LKQ Corp.(1) | 15,066 | 430,436 |
13
Shares/ Principal Amount | Value | ||||||
Diversified Consumer Services — 0.2% | |||||||
Bright Horizons Family Solutions, Inc.(1) | 1,744 | $ | 97,089 | ||||
Capella Education Co. | 346 | 18,431 | |||||
H&R Block, Inc. | 75,199 | 2,386,064 | |||||
K12, Inc.(1) | 4,669 | 63,919 | |||||
Nord Anglia Education, Inc.(1) | 5,200 | 134,680 | |||||
Sotheby's | 2,023 | 90,691 | |||||
Steiner Leisure, Ltd.(1) | 2,802 | 137,466 | |||||
Strayer Education, Inc.(1) | 3,297 | 151,102 | |||||
3,079,442 | |||||||
Diversified Financial Services — 0.5% | |||||||
Berkshire Hathaway, Inc., Class B(1) | 18,231 | 2,607,033 | |||||
Chailease Holding Co. Ltd. | 167,000 | 422,220 | |||||
Compass Diversified Holdings | 7,611 | 124,364 | |||||
Element Financial Corp.(1) | 15,330 | 229,408 | |||||
Exor SpA | 7,547 | 375,651 | |||||
Investor AB, B Shares | 21,878 | 863,933 | |||||
Japan Exchange Group, Inc. | 19,600 | 597,720 | |||||
Kinnevik Investment AB, B Shares | 18,111 | 604,727 | |||||
London Stock Exchange Group plc | 16,641 | 624,916 | |||||
MarketAxess Holdings, Inc. | 1,596 | 141,166 | |||||
McGraw-Hill Cos., Inc. (The) | 9,131 | 947,341 | |||||
ORIX Corp. | 91,400 | 1,454,049 | |||||
Pargesa Holding SA | 1,484 | 104,449 | |||||
PHH Corp.(1) | 1,299 | 35,839 | |||||
Zenkoku Hosho Co. Ltd. | 9,200 | 309,842 | |||||
9,442,658 | |||||||
Diversified Telecommunication Services — 0.6% | |||||||
AT&T, Inc. | 13,377 | 462,042 | |||||
Bezeq The Israeli Telecommunication Corp. Ltd. | 197,797 | 331,051 | |||||
BT Group plc | 220,347 | 1,504,389 | |||||
CenturyLink, Inc. | 30,713 | 1,020,900 | |||||
Deutsche Telekom AG | 91,126 | 1,565,809 | |||||
Nippon Telegraph & Telephone Corp. | 10,100 | 705,450 | |||||
Orange SA | 57,316 | 903,964 | |||||
Telefonica SA | 70,350 | 995,178 | |||||
Telstra Corp. Ltd. | 87,688 | 417,000 | |||||
Thaicom PCL | 564,000 | 616,142 | |||||
Verizon Communications, Inc. | 31,106 | 1,537,881 | |||||
Zayo Group Holdings, Inc.(1) | 19,481 | 512,155 | |||||
10,571,961 | |||||||
Electric Utilities — 0.7% | |||||||
ALLETE, Inc. | 2,423 | 121,998 | |||||
Edison International | 20,637 | 1,254,936 | |||||
EDP - Energias de Portugal SA | 179,763 | 701,877 | |||||
El Paso Electric Co. | 1,808 | 65,757 | |||||
Endesa SA | 37,236 | 696,260 | |||||
Enel SpA | 96,131 | 466,455 | |||||
Entergy Corp. | 16,452 | 1,258,084 | |||||
Great Plains Energy, Inc. | 32,270 | 841,279 |
14
Shares/ Principal Amount | Value | ||||||
OGE Energy Corp. | 12,086 | $ | 380,709 | ||||
PPL Corp. | 44,750 | 1,553,273 | |||||
Southern Co. (The) | 11,220 | 490,202 | |||||
SSE plc | 6,284 | 159,914 | |||||
Westar Energy, Inc. | 49,178 | 1,803,357 | |||||
Xcel Energy, Inc. | 61,280 | 2,086,584 | |||||
11,880,685 | |||||||
Electrical Equipment — 0.7% | |||||||
Acuity Brands, Inc. | 4,955 | 874,508 | |||||
Babcock & Wilcox Co. (The) | 2,897 | 96,441 | |||||
Eaton Corp. plc | 33,090 | 2,368,913 | |||||
Emerson Electric Co. | 68,210 | 4,113,745 | |||||
Enphase Energy, Inc.(1) | 4,706 | 44,566 | |||||
Generac Holdings, Inc.(1) | 17,510 | 731,568 | |||||
Mabuchi Motor Co. Ltd. | 9,800 | 596,141 | |||||
Nidec Corp. | 8,300 | 607,545 | |||||
Rockwell Automation, Inc. | 2,719 | 334,138 | |||||
Schneider Electric SE | 13,351 | 1,008,549 | |||||
Vestas Wind Systems A/S | 5,694 | 290,704 | |||||
Zhuzhou CSR Times Electric Co. Ltd., H Shares | 62,000 | 509,360 | |||||
11,576,178 | |||||||
Electronic Equipment, Instruments and Components — 0.6% | |||||||
AU Optronics Corp. | 549,000 | 301,393 | |||||
Belden, Inc. | 2,061 | 173,990 | |||||
Cognex Corp.(1) | 2,868 | 144,748 | |||||
Corning, Inc. | 8,634 | 180,623 | |||||
Hosiden Corp. | 25,200 | 183,952 | |||||
Ingenico | 2,717 | 337,052 | |||||
Ingram Micro, Inc., Class A(1) | 6,396 | 171,477 | |||||
Innolux Corp. | 324,000 | 200,567 | |||||
Keyence Corp. | 4,000 | 2,162,510 | |||||
Keysight Technologies, Inc.(1) | 29,424 | 966,873 | |||||
Largan Precision Co. Ltd. | 4,000 | 445,704 | |||||
Mercury Systems, Inc.(1) | 7,855 | 107,221 | |||||
Methode Electronics, Inc. | 2,727 | 127,978 | |||||
Murata Manufacturing Co. Ltd. | 11,000 | 1,793,377 | |||||
PAX Global Technology Ltd.(1) | 604,000 | 1,093,699 | |||||
Sunny Optical Technology Group Co. Ltd. | 92,000 | 201,949 | |||||
TDK Corp. | 6,000 | 481,489 | |||||
TE Connectivity Ltd. | 25,100 | 1,731,900 | |||||
Topcon Corp. | 14,900 | 347,424 | |||||
11,153,926 | |||||||
Energy Equipment and Services — 0.7% | |||||||
Baker Hughes, Inc. | 18,570 | 1,197,022 | |||||
Cameron International Corp.(1) | 15,903 | 816,301 | |||||
CGG SA(1) | 8,169 | 54,972 | |||||
FMC Technologies, Inc.(1) | 483 | 20,185 | |||||
Forum Energy Technologies, Inc.(1) | 1,166 | 24,183 | |||||
Halliburton Co. | 68,755 | 3,121,477 | |||||
Helmerich & Payne, Inc. | 5,113 | 373,198 |
15
Shares/ Principal Amount | Value | ||||||
Matrix Service Co.(1) | 2,800 | $ | 47,236 | ||||
National Oilwell Varco, Inc. | 5,786 | 284,613 | |||||
Patterson-UTI Energy, Inc. | 31,887 | 644,117 | |||||
RigNet, Inc.(1) | 1,743 | 61,859 | |||||
Schlumberger Ltd. | 44,313 | 4,022,291 | |||||
TGS Nopec Geophysical Co. ASA | 37,630 | 949,073 | |||||
Weatherford International plc(1) | 17,465 | 241,366 | |||||
11,857,893 | |||||||
Food and Staples Retailing — 1.5% | |||||||
Alimentation Couche Tard, Inc., B Shares | 14,160 | 551,780 | |||||
Axfood AB | 3,156 | 48,340 | |||||
Carrefour SA | 21,129 | 717,181 | |||||
Costco Wholesale Corp. | 7,497 | 1,068,997 | |||||
CP ALL PCL | 581,900 | 791,377 | |||||
CVS Health Corp. | 60,854 | 6,230,233 | |||||
FamilyMart Co. Ltd. | 3,600 | 151,408 | |||||
Jeronimo Martins SGPS SA | 73,880 | 1,015,497 | |||||
Koninklijke Ahold NV | 51,900 | 1,055,388 | |||||
Kroger Co. (The) | 50,648 | 3,687,174 | |||||
Lawson, Inc. | 1,700 | 118,890 | |||||
Magnit PJSC GDR | 6,666 | 347,632 | |||||
Metro AG | 3,637 | 126,207 | |||||
Natural Grocers by Vitamin Cottage, Inc.(1) | 3,083 | 74,639 | |||||
President Chain Store Corp. | 77,000 | 556,935 | |||||
Rallye SA | 1,214 | 38,933 | |||||
Seven & I Holdings Co. Ltd. | 24,300 | 1,009,669 | |||||
Sysco Corp. | 46,858 | 1,741,243 | |||||
United Natural Foods, Inc.(1) | 9,613 | 644,744 | |||||
Wal-Mart Stores, Inc. | 50,924 | 3,782,125 | |||||
Whole Foods Market, Inc. | 13,370 | 551,379 | |||||
WM Morrison Supermarkets plc | 348,597 | 911,081 | |||||
X5 Retail Group NV GDR(1) | 18,530 | 360,409 | |||||
25,581,261 | |||||||
Food Products — 1.6% | |||||||
Archer-Daniels-Midland Co. | 59,408 | 3,139,713 | |||||
Associated British Foods plc | 16,297 | 754,224 | |||||
BRF SA ADR | 24,190 | 488,880 | |||||
Bunge Ltd. | 21,187 | 1,961,069 | |||||
Cal-Maine Foods, Inc. | 816 | 46,259 | |||||
Campbell Soup Co. | 15,269 | 738,104 | |||||
CJ CheilJedang Corp. | 2,270 | 839,793 | |||||
ConAgra Foods, Inc. | 86,079 | 3,323,510 | |||||
Danone SA | 3,462 | 237,759 | |||||
General Mills, Inc. | 17,490 | 982,064 | |||||
Hain Celestial Group, Inc. (The)(1) | 12,578 | 795,810 | |||||
Hershey Co. (The) | 8,685 | 806,489 | |||||
Hormel Foods Corp. | 3,038 | 173,834 | |||||
Ingredion, Inc. | 17,956 | 1,471,853 | |||||
Inventure Foods, Inc.(1) | 5,544 | 52,668 | |||||
J&J Snack Foods Corp. | 1,408 | 151,782 |
16
Shares/ Principal Amount | Value | ||||||
J.M. Smucker Co. (The) | 6,075 | $ | 720,191 | ||||
Kellogg Co. | 9,716 | 609,873 | |||||
Mead Johnson Nutrition Co. | 20,537 | 1,998,250 | |||||
Mondelez International, Inc., Class A | 24,831 | 1,032,721 | |||||
Nestle SA | 32,590 | 2,527,862 | |||||
Pilgrim's Pride Corp. | 74,804 | 1,913,486 | |||||
Salmar ASA | 4,591 | 74,437 | |||||
Sanderson Farms, Inc. | 8,042 | 655,664 | |||||
Seaboard Corp.(1) | 2 | 6,860 | |||||
Snyders-Lance, Inc. | 891 | 26,614 | |||||
TreeHouse Foods, Inc.(1) | 245 | 17,476 | |||||
Ulker Biskuvi Sanayi AS | 67,890 | 475,558 | |||||
Universal Robina Corp. | 145,060 | 620,779 | |||||
Viscofan SA | 6,405 | 393,235 | |||||
WhiteWave Foods Co., Class A(1) | 13,393 | 643,266 | |||||
Yamazaki Baking Co. Ltd. | 26,000 | 433,630 | |||||
28,113,713 | |||||||
Gas Utilities — 0.2% | |||||||
Atmos Energy Corp. | 15,639 | 844,819 | |||||
China Gas Holdings Ltd. | 488,000 | 840,853 | |||||
Infraestructura Energetica Nova SAB de CV | 110,250 | 590,667 | |||||
Laclede Group, Inc. (The) | 26,881 | 1,438,402 | |||||
South Jersey Industries, Inc. | 2,530 | 66,767 | |||||
3,781,508 | |||||||
Health Care Equipment and Supplies — 1.6% | |||||||
Abbott Laboratories | 53,060 | 2,578,716 | |||||
Ambu A/S, B Shares | 4,188 | 122,691 | |||||
Asahi Intecc Co. Ltd. | 4,800 | 282,705 | |||||
Becton Dickinson and Co. | 3,537 | 496,984 | |||||
Boston Scientific Corp.(1) | 38,244 | 698,718 | |||||
C.R. Bard, Inc. | 5,201 | 885,834 | |||||
Cantel Medical Corp. | 1,112 | 51,775 | |||||
Cardiovascular Systems, Inc.(1) | 3,061 | 85,647 | |||||
Cie Generale d'Optique Essilor International SA | 7,762 | 947,554 | |||||
Coloplast A/S, B Shares | 5,920 | 447,088 | |||||
Cooper Cos., Inc. (The) | 4,568 | 830,325 | |||||
DENTSPLY International, Inc. | 23,083 | 1,201,124 | |||||
DexCom, Inc.(1) | 9,278 | 665,418 | |||||
Edwards Lifesciences Corp.(1) | 2,199 | 287,453 | |||||
Entellus Medical, Inc.(1) | 3,375 | 78,806 | |||||
Ginko International Co. Ltd. | 27,000 | 380,461 | |||||
Haemonetics Corp.(1) | 4,108 | 169,743 | |||||
HeartWare International, Inc.(1) | 500 | 36,885 | |||||
Hill-Rom Holdings, Inc. | 669 | 34,494 | |||||
Hologic, Inc.(1) | 6,283 | 224,743 | |||||
Insulet Corp.(1) | 1,233 | 34,857 | |||||
Intuitive Surgical, Inc.(1) | 2,829 | 1,379,845 | |||||
Medtronic plc | 43,030 | 3,284,050 | |||||
NuVasive, Inc.(1) | 15,331 | 774,982 | |||||
Orthofix International NV(1) | 1,084 | 35,523 |
17
Shares/ Principal Amount | Value | ||||||
St. Jude Medical, Inc. | 37,876 | $ | 2,793,355 | ||||
STERIS Corp. | 1,825 | 121,965 | |||||
Stryker Corp. | 37,198 | 3,575,844 | |||||
Sysmex Corp. | 7,200 | 418,257 | |||||
Teleflex, Inc. | 20,353 | 2,620,245 | |||||
Utah Medical Products, Inc. | 2,068 | 113,182 | |||||
West Pharmaceutical Services, Inc. | 1,774 | 96,044 | |||||
Zimmer Holdings, Inc. | 21,564 | 2,460,237 | |||||
28,215,550 | |||||||
Health Care Providers and Services — 1.6% | |||||||
AAC Holdings, Inc.(1) | 3,211 | 124,779 | |||||
Adeptus Health, Inc., Class A(1) | 1,977 | 138,489 | |||||
Aetna, Inc. | 37,547 | 4,429,420 | |||||
Air Methods Corp.(1) | 1,150 | 48,484 | |||||
AmerisourceBergen Corp. | 11,156 | 1,255,719 | |||||
AMN Healthcare Services, Inc.(1) | 10,812 | 287,491 | |||||
Anthem, Inc. | 13,390 | 2,247,511 | |||||
Cardinal Health, Inc. | 24,543 | 2,163,956 | |||||
Cigna Corp. | 6,706 | 944,406 | |||||
ExamWorks Group, Inc.(1) | 5,671 | 231,830 | |||||
Express Scripts Holding Co.(1) | 38,196 | 3,328,399 | |||||
Fresenius Medical Care AG & Co. KGaA | 13,470 | 1,150,685 | |||||
Greencross Ltd. | 27,205 | 139,149 | |||||
Hanger, Inc.(1) | 3,723 | 85,592 | |||||
HCA Holdings, Inc.(1) | 33,573 | 2,747,279 | |||||
HealthSouth Corp. | 524 | 22,616 | |||||
Healthways, Inc.(1) | 3,068 | 46,511 | |||||
Humana, Inc. | 4,391 | 942,528 | |||||
Laboratory Corp. of America Holdings(1) | 7,030 | 829,188 | |||||
LifePoint Hospitals, Inc.(1) | 23,327 | 1,756,290 | |||||
Magellan Health, Inc.(1) | 485 | 32,801 | |||||
Molina Healthcare, Inc.(1) | 848 | 61,684 | |||||
National Healthcare Corp. | 625 | 39,325 | |||||
Owens & Minor, Inc. | 1,061 | 35,353 | |||||
PT Siloam International Hospitals Tbk | 425,800 | 454,006 | |||||
Quest Diagnostics, Inc. | 16,578 | 1,247,163 | |||||
Ramsay Health Care Ltd. | 2,980 | 144,721 | |||||
Team Health Holdings, Inc.(1) | 20,093 | 1,175,039 | |||||
UnitedHealth Group, Inc. | 471 | 56,619 | |||||
Universal Health Services, Inc., Class B | 9,410 | 1,219,348 | |||||
VCA, Inc.(1) | 5,113 | 268,228 | |||||
WellCare Health Plans, Inc.(1) | 583 | 49,946 | |||||
27,704,555 | |||||||
Health Care Technology — 0.2% | |||||||
Cerner Corp.(1) | 42,507 | 2,860,296 | |||||
HMS Holdings Corp.(1) | 6,073 | 103,484 | |||||
M3, Inc. | 13,000 | 247,819 | |||||
MedAssets, Inc.(1) | 7,176 | 149,763 | |||||
Medidata Solutions, Inc.(1) | 2,003 | 116,194 | |||||
Merge Healthcare, Inc.(1) | 1,966 | 8,965 |
18
Shares/ Principal Amount | Value | ||||||
Press Ganey Holdings, Inc.(1) | 1,944 | $ | 53,188 | ||||
3,539,709 | |||||||
Hotels, Restaurants and Leisure — 1.4% | |||||||
Accor SA | 43,202 | 2,367,456 | |||||
Alsea SAB de CV | 205,087 | 617,303 | |||||
Aristocrat Leisure Ltd. | 21,234 | 126,629 | |||||
Boyd Gaming Corp.(1) | 1,540 | 22,037 | |||||
Brinker International, Inc. | 36,382 | 2,007,559 | |||||
Buffalo Wild Wings, Inc.(1) | 253 | 38,625 | |||||
Carnival Corp. | 19,835 | 918,956 | |||||
Carnival plc | 25,040 | 1,212,047 | |||||
Chipotle Mexican Grill, Inc.(1) | 2,267 | 1,395,384 | |||||
ClubCorp Holdings, Inc. | 19,071 | 433,484 | |||||
Compass Group plc | 49,000 | 856,760 | |||||
Cracker Barrel Old Country Store, Inc. | 5,287 | 745,890 | |||||
Dave & Buster's Entertainment, Inc.(1) | 3,171 | 100,299 | |||||
Domino's Pizza Group plc | 17,690 | 215,082 | |||||
Hyatt Hotels Corp., Class A(1) | 11,609 | 667,053 | |||||
Jack in the Box, Inc. | 4,547 | 394,725 | |||||
La Quinta Holdings, Inc.(1) | 36,813 | 915,171 | |||||
Las Vegas Sands Corp. | 56,585 | 2,876,216 | |||||
Marriott International, Inc., Class A | 26,099 | 2,035,461 | |||||
McDonald's Corp. | 239 | 22,927 | |||||
Melia Hotels International SA | 17,250 | 224,411 | |||||
MGM Resorts International(1) | 30,321 | 607,936 | |||||
Papa John's International, Inc. | 12,839 | 882,168 | |||||
Papa Murphy's Holdings, Inc.(1) | 849 | 14,586 | |||||
Peak Resorts, Inc. | 4,009 | 28,263 | |||||
Red Robin Gourmet Burgers, Inc.(1) | 1,977 | 164,862 | |||||
Skylark Co. Ltd. | 17,400 | 239,449 | |||||
Starbucks Corp. | 527 | 27,383 | |||||
Texas Roadhouse, Inc. | 4,773 | 167,150 | |||||
Vail Resorts, Inc. | 3,934 | 408,113 | |||||
Whitbread plc | 20,454 | 1,600,609 | |||||
Wyndham Worldwide Corp. | 18,882 | 1,603,271 | |||||
23,937,265 | |||||||
Household Durables — 0.6% | |||||||
Cavco Industries, Inc.(1) | 1,866 | 135,341 | |||||
Century Communities, Inc.(1) | 3,749 | 77,417 | |||||
Coway Co. Ltd. | 5,910 | 487,945 | |||||
De' Longhi | 11,310 | 268,683 | |||||
Electrolux AB | 46,616 | 1,422,016 | |||||
Harman International Industries, Inc. | 9,819 | 1,183,386 | |||||
Husqvarna AB, B Shares | 19,307 | 146,956 | |||||
Jarden Corp.(1) | 13,131 | 696,731 | |||||
Libbey, Inc. | 1,696 | 66,992 | |||||
Mohawk Industries, Inc.(1) | 6,514 | 1,215,773 | |||||
Panasonic Corp. | 31,900 | 470,603 | |||||
Persimmon plc | 15,278 | 458,145 | |||||
PulteGroup, Inc. | 27,482 | 527,105 |
19
Shares/ Principal Amount | Value | ||||||
Sony Corp.(1) | 18,800 | $ | 584,986 | ||||
Toll Brothers, Inc.(1) | 17,999 | 651,024 | |||||
Whirlpool Corp. | 13,550 | 2,496,587 | |||||
10,889,690 | |||||||
Household Products — 0.7% | |||||||
Central Garden and Pet Co.(1) | 2,018 | 19,696 | |||||
Church & Dwight Co., Inc. | 10,935 | 918,212 | |||||
Clorox Co. | 627 | 67,503 | |||||
Energizer Holdings, Inc. | 6,500 | 920,985 | |||||
Henkel AG & Co. KGaA Preference Shares | 6,220 | 744,284 | |||||
LG Household & Health Care Ltd. | 1,070 | 780,113 | |||||
Procter & Gamble Co. (The) | 66,063 | 5,178,678 | |||||
Reckitt Benckiser Group plc | 20,240 | 1,826,701 | |||||
Spectrum Brands Holdings, Inc. | 6,884 | 665,338 | |||||
Unicharm Corp. | 42,400 | 938,768 | |||||
12,060,278 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
Cia Energetica de Sao Paulo Preference Shares | 39,200 | 241,009 | |||||
Industrial Conglomerates — 0.6% | |||||||
3M Co. | 40,895 | 6,505,576 | |||||
CK Hutchison Holdings Ltd. | 10,500 | 163,858 | |||||
DCC plc | 1,722 | 136,859 | |||||
General Electric Co. | 61,599 | 1,679,805 | |||||
Koninklijke Philips Electronics NV | 44,448 | 1,210,912 | |||||
Siemens AG | 2,295 | 241,423 | |||||
9,938,433 | |||||||
Insurance — 2.4% | |||||||
ACE Ltd. | 7,846 | 835,442 | |||||
Aflac, Inc. | 14,341 | 892,297 | |||||
AIA Group Ltd. | 241,200 | 1,588,060 | |||||
Allianz SE | 5,285 | 828,595 | |||||
Allstate Corp. (The) | 56,975 | 3,835,557 | |||||
American International Group, Inc. | 41,650 | 2,441,106 | |||||
Amtrust Financial Services, Inc. | 34,186 | 2,057,313 | |||||
Argo Group International Holdings Ltd. | 2,375 | 125,044 | |||||
Arthur J Gallagher & Co. | 6,000 | 290,700 | |||||
Aspen Insurance Holdings Ltd. | 29,033 | 1,345,970 | |||||
Atlas Financial Holdings, Inc.(1) | 5,509 | 103,624 | |||||
Aviva plc | 78,147 | 625,268 | |||||
AXA SA | 57,271 | 1,441,371 | |||||
Baldwin & Lyons, Inc., Class B | 107 | 2,406 | |||||
BB Seguridade Participacoes SA | 54,100 | 571,511 | |||||
Brown & Brown, Inc. | 19,456 | 630,180 | |||||
Chubb Corp. (The) | 5,317 | 518,407 | |||||
Direct Line Insurance Group plc | 148,181 | 763,690 | |||||
Discovery Holdings Ltd. | 84,264 | 845,225 | |||||
Endurance Specialty Holdings Ltd. | 4,229 | 257,039 | |||||
Federated National Holding Co. | 318 | 8,166 | |||||
Hannover Rueck SE | 3,173 | 308,240 | |||||
Hanover Insurance Group, Inc. (The) | 23,045 | 1,640,343 |
20
Shares/ Principal Amount | Value | ||||||
HCC Insurance Holdings, Inc. | 14,422 | $ | 824,650 | ||||
Infinity Property & Casualty Corp. | 1,413 | 102,231 | |||||
Insurance Australia Group Ltd. | 98,234 | 425,093 | |||||
James River Group Holdings Ltd. | 5,913 | 139,015 | |||||
Legal & General Group plc | 270,658 | 1,099,545 | |||||
Mapfre SA | 239,674 | 854,457 | |||||
MetLife, Inc. | 43,546 | 2,275,714 | |||||
Ping An Insurance Group Co., H Shares | 140,500 | 2,067,549 | |||||
Powszechny Zaklad Ubezpieczen SA | 4,411 | 527,988 | |||||
Principal Financial Group, Inc. | 11,820 | 610,976 | |||||
ProAssurance Corp. | 6,064 | 273,972 | |||||
Prudential Financial, Inc. | 21,410 | 1,811,500 | |||||
Prudential plc | 55,770 | 1,386,836 | |||||
Reinsurance Group of America, Inc. | 10,440 | 976,662 | |||||
Samsung Fire & Marine Insurance Co. Ltd. | 1,550 | 425,175 | |||||
St. James's Place plc | 114,806 | 1,599,404 | |||||
Swiss Reinsurance Co. | 9,000 | 808,214 | |||||
Torchmark Corp. | 7,407 | 422,717 | |||||
Travelers Cos., Inc. (The) | 16,002 | 1,618,122 | |||||
UnipolSai SpA | 186,417 | 506,531 | |||||
Unum Group | 23,527 | 822,504 | |||||
Validus Holdings Ltd. | 3,301 | 141,646 | |||||
Zurich Financial Services AG | 3,226 | 1,029,396 | |||||
42,705,451 | |||||||
Internet and Catalog Retail — 0.6% | |||||||
Amazon.com, Inc.(1) | 2,095 | 899,237 | |||||
Ctrip.com International Ltd. ADR(1) | 9,850 | 786,719 | |||||
Expedia, Inc. | 27,238 | 2,921,548 | |||||
Netflix, Inc.(1) | 360 | 224,662 | |||||
PetMed Express, Inc. | 899 | 15,004 | |||||
Rakuten, Inc. | 40,192 | 661,582 | |||||
Shutterfly, Inc.(1) | 89 | 4,138 | |||||
TripAdvisor, Inc.(1) | 9,277 | 707,464 | |||||
Vipshop Holdings Ltd. ADR(1) | 67,440 | 1,683,977 | |||||
windeln.de AG(1) | 10,430 | 162,665 | |||||
Zalando SE(1) | 48,285 | 1,559,124 | |||||
9,626,120 | |||||||
Internet Software and Services — 1.6% | |||||||
Auto Trader Group plc(1) | 52,591 | 228,480 | |||||
Baidu, Inc. ADR(1) | 5,560 | 1,097,544 | |||||
comScore, Inc.(1) | 3,757 | 212,571 | |||||
CoStar Group, Inc.(1) | 9,557 | 1,996,553 | |||||
Criteo SA ADR(1) | 24,352 | 1,169,627 | |||||
Demandware, Inc.(1) | 2,389 | 148,787 | |||||
Dena Co. Ltd. | 10,200 | 217,864 | |||||
eBay, Inc.(1) | 58,911 | 3,614,779 | |||||
Endurance International Group Holdings, Inc.(1) | 2,377 | 48,325 | |||||
Envestnet, Inc.(1) | 3,699 | 162,053 | |||||
Everyday Health, Inc.(1) | 7,485 | 92,814 | |||||
Facebook, Inc., Class A(1) | 56,092 | 4,441,926 |
21
Shares/ Principal Amount | Value | ||||||
Google, Inc., Class A(1) | 8,240 | $ | 4,493,437 | ||||
LinkedIn Corp., Class A(1) | 8,846 | 1,724,351 | |||||
LogMeIn, Inc.(1) | 477 | 30,275 | |||||
Pandora Media, Inc.(1) | 44,099 | 823,328 | |||||
PChome Online, Inc. | 44,000 | 642,231 | |||||
Q2 Holdings, Inc.(1) | 7,027 | 166,610 | |||||
Tencent Holdings Ltd. | 236,800 | 4,755,149 | |||||
Twitter, Inc.(1) | 21,728 | 796,766 | |||||
United Internet AG | 5,593 | 260,823 | |||||
VeriSign, Inc.(1) | 7,307 | 461,729 | |||||
Yelp, Inc.(1) | 10,297 | 493,329 | |||||
Zoopla Property Group plc | 58,836 | 242,797 | |||||
28,322,148 | |||||||
IT Services — 1.7% | |||||||
Accenture plc, Class A | 32,973 | 3,166,727 | |||||
Alliance Data Systems Corp.(1) | 10,629 | 3,167,761 | |||||
Amdocs Ltd. | 26,525 | 1,454,896 | |||||
Cielo SA | 53,220 | 673,455 | |||||
Cognizant Technology Solutions Corp., Class A(1) | 19,692 | 1,274,466 | |||||
Computer Sciences Corp. | 503 | 34,506 | |||||
EVERTEC, Inc. | 13,823 | 307,285 | |||||
Fidelity National Information Services, Inc. | 7,826 | 490,690 | |||||
Fiserv, Inc.(1) | 15,471 | 1,240,001 | |||||
HCL Technologies Ltd. | 47,690 | 754,744 | |||||
International Business Machines Corp. | 29,579 | 5,018,077 | |||||
QIWI plc ADR | 16,140 | 487,751 | |||||
Sabre Corp. | 15,216 | 396,985 | |||||
Tata Consultancy Services Ltd. | 22,450 | 917,562 | |||||
Teradata Corp.(1) | 19,223 | 748,544 | |||||
Total System Services, Inc. | 2,870 | 118,244 | |||||
Vantiv, Inc., Class A(1) | 20,563 | 822,520 | |||||
VeriFone Systems, Inc.(1) | 4,322 | 164,971 | |||||
Virtusa Corp.(1) | 3,474 | 158,067 | |||||
Visa, Inc., Class A | 87,492 | 6,008,951 | |||||
Western Union Co. (The) | 1,594 | 34,988 | |||||
WEX, Inc.(1) | 1,342 | 152,169 | |||||
Wirecard AG | 36,790 | 1,524,536 | |||||
29,117,896 | |||||||
Leisure Products — 0.2% | |||||||
Brunswick Corp. | 20,417 | 1,042,084 | |||||
Heiwa Corp. | 4,900 | 95,106 | |||||
Malibu Boats, Inc.(1) | 3,838 | 80,483 | |||||
Mattel, Inc. | 27,004 | 696,973 | |||||
Polaris Industries, Inc. | 7,300 | 1,044,265 | |||||
2,958,911 | |||||||
Life Sciences Tools and Services — 0.2% | |||||||
Bio-Rad Laboratories, Inc., Class A(1) | 3,968 | 572,860 | |||||
Charles River Laboratories International, Inc.(1) | 612 | 44,272 | |||||
Eurofins Scientific | 903 | 274,818 | |||||
Illumina, Inc.(1) | 5,901 | 1,216,078 |
22
Shares/ Principal Amount | Value | ||||||
Lonza Group AG | 2,311 | $ | 324,575 | ||||
Mettler-Toledo International, Inc.(1) | 2,017 | 654,880 | |||||
Morphosys AG(1) | 2,091 | 153,501 | |||||
PAREXEL International Corp.(1) | 1,163 | 77,305 | |||||
PRA Health Sciences, Inc.(1) | 1,457 | 48,751 | |||||
Waters Corp.(1) | 4,785 | 639,372 | |||||
4,006,412 | |||||||
Machinery — 2.0% | |||||||
Albany International Corp., Class A | 3,828 | 151,512 | |||||
Altra Industrial Motion Corp. | 2,808 | 77,220 | |||||
Caterpillar, Inc. | 63,213 | 5,393,333 | |||||
Cummins, Inc. | 19,175 | 2,599,171 | |||||
Duerr AG | 6,905 | 705,821 | |||||
Dynamic Materials Corp. | 4,762 | 52,858 | |||||
EnPro Industries, Inc. | 2,277 | 137,713 | |||||
Flowserve Corp. | 13,352 | 734,360 | |||||
Global Brass & Copper Holdings, Inc. | 8,793 | 151,503 | |||||
Graham Corp. | 1,879 | 41,770 | |||||
Hitachi Construction Machinery Co. Ltd. | 16,100 | 294,591 | |||||
Hoshizaki Electric Co. Ltd. | 4,400 | 271,909 | |||||
Ingersoll-Rand plc | 63,005 | 4,333,484 | |||||
John Bean Technologies Corp. | 3,438 | 129,166 | |||||
KION Group AG | 6,271 | 297,710 | |||||
Kubota Corp. | 98,000 | 1,637,610 | |||||
Middleby Corp.(1) | 22,645 | 2,461,512 | |||||
Minebea Co. Ltd. | 68,000 | 1,260,122 | |||||
NSK Ltd. | 9,200 | 152,030 | |||||
Oshkosh Corp. | 13,468 | 675,555 | |||||
PACCAR, Inc. | 7,262 | 461,573 | |||||
Parker-Hannifin Corp. | 30,765 | 3,705,029 | |||||
Pentair plc | 8,116 | 519,667 | |||||
Snap-On, Inc. | 5,700 | 885,780 | |||||
Stanley Black & Decker, Inc. | 39,037 | 3,998,950 | |||||
Sumitomo Heavy Industries Ltd. | 107,000 | 706,063 | |||||
Takeuchi Manufacturing Co. Ltd. | 4,700 | 252,959 | |||||
WABCO Holdings, Inc.(1) | 14,396 | 1,819,942 | |||||
Wabtec Corp. | 11,136 | 1,116,941 | |||||
Yangzijiang Shipbuilding Holdings Ltd. | 753,300 | 807,446 | |||||
35,833,300 | |||||||
Marine† | |||||||
Kawasaki Kisen Kaisha Ltd. | 249,000 | 631,954 | |||||
Media — 1.6% | |||||||
Cablevision Systems Corp., Class A | 7,645 | 187,379 | |||||
Charter Communications, Inc., Class A(1) | 7,850 | 1,405,307 | |||||
Cineplex, Inc. | 3,579 | 141,163 | |||||
Comcast Corp., Class A | 153,209 | 8,956,598 | |||||
Cumulus Media, Inc., Class A(1) | 35,535 | 83,863 | |||||
Cyfrowy Polsat SA(1) | 58,534 | 391,452 | |||||
DIRECTV(1) | 6,013 | 547,424 | |||||
E.W. Scripps Co. (The), Class A | 783 | 18,346 |
23
Shares/ Principal Amount | Value | ||||||
Entercom Communications Corp., Class A(1) | 9,010 | $ | 102,534 | ||||
Entravision Communications Corp., Class A | 45,614 | 307,894 | |||||
Eutelsat Communications SA | 20,237 | 689,237 | |||||
Journal Media Group, Inc. | 411 | 3,292 | |||||
Liberty Global plc, Class A(1) | 24,980 | 1,437,099 | |||||
Markit Ltd.(1) | 22,395 | 600,410 | |||||
Naspers Ltd., N Shares | 6,918 | 1,016,816 | |||||
Nexstar Broadcasting Group, Inc., Class A | 2,593 | 147,516 | |||||
Omnicom Group, Inc. | 13,757 | 1,025,309 | |||||
ProSiebenSat.1 Media AG | 13,089 | 625,916 | |||||
Rightmove plc | 1,286 | 65,766 | |||||
Scripps Networks Interactive, Inc., Class A | 2,844 | 190,576 | |||||
Sirius XM Holdings, Inc.(1) | 197,957 | 764,114 | |||||
Societe Television Francaise 1 | 8,467 | 142,977 | |||||
Technicolor SA | 28,912 | 185,412 | |||||
Time Warner Cable, Inc. | 8,100 | 1,465,209 | |||||
Time Warner, Inc. | 29,840 | 2,520,883 | |||||
Townsquare Media, Inc.(1) | 2,094 | 27,369 | |||||
Viacom, Inc., Class B | 18,133 | 1,212,735 | |||||
Walt Disney Co. (The) | 30,449 | 3,360,656 | |||||
27,623,252 | |||||||
Metals and Mining — 0.5% | |||||||
Alcoa, Inc. | 109,037 | 1,362,962 | |||||
Alumina Ltd. | 105,191 | 142,350 | |||||
APERAM SA(1) | 1,497 | 61,952 | |||||
BHP Billiton plc | 21,327 | 449,664 | |||||
Boliden AB | 20,142 | 431,825 | |||||
Compass Minerals International, Inc. | 1,908 | 164,393 | |||||
Evraz plc | 95,851 | 246,997 | |||||
Fortescue Metals Group Ltd. | 37,743 | 69,833 | |||||
Grupo Mexico SAB de CV | 178,360 | 553,071 | |||||
Haynes International, Inc. | 1,906 | 89,868 | |||||
Horsehead Holding Corp.(1) | 20,250 | 251,505 | |||||
Kobe Steel Ltd. | 428,000 | 803,481 | |||||
Materion Corp. | 3,447 | 128,194 | |||||
MMC Norilsk Nickel OJSC ADR | 19,300 | 339,970 | |||||
Newmont Mining Corp. | 8,676 | 236,334 | |||||
Nucor Corp. | 17,475 | 826,567 | |||||
Rio Tinto plc | 54,553 | 2,381,299 | |||||
United States Steel Corp. | 13,648 | 333,011 | |||||
8,873,276 | |||||||
Multi-Utilities — 0.2% | |||||||
A2A SpA | 253,868 | 316,186 | |||||
Consolidated Edison, Inc. | 9,349 | 578,142 | |||||
E.ON AG | 53,705 | 788,619 | |||||
GDF Suez | 45,443 | 917,097 | |||||
NorthWestern Corp. | 9,516 | 495,022 | |||||
PG&E Corp. | 11,526 | 616,295 | |||||
RWE AG | 20,826 | 486,284 | |||||
4,197,645 |
24
Shares/ Principal Amount | Value | ||||||
Multiline Retail — 1.1% | |||||||
Big Lots, Inc. | 14,559 | $ | 639,140 | ||||
Burlington Stores, Inc.(1) | 13,168 | 694,875 | |||||
Dillard's, Inc., Class A | 15,372 | 1,783,306 | |||||
Dollar Tree, Inc.(1) | 18,452 | 1,383,716 | |||||
Dollarama, Inc. | 1,409 | 78,041 | |||||
Don Quijote Holdings Co. Ltd. | 3,600 | 278,452 | |||||
Kohl's Corp. | 35,769 | 2,342,512 | |||||
Lojas Americanas SA Preference Shares | 57,100 | 289,953 | |||||
Macy's, Inc. | 82,834 | 5,545,736 | |||||
Marks & Spencer Group plc | 76,576 | 682,336 | |||||
PT Matahari Department Store Tbk | 461,300 | 608,718 | |||||
Ryohin Keikaku Co. Ltd. | 3,800 | 645,095 | |||||
Target Corp. | 42,462 | 3,368,086 | |||||
18,339,966 | |||||||
Oil, Gas and Consumable Fuels — 2.9% | |||||||
Aegean Marine Petroleum Network, Inc. | 5,971 | 84,908 | |||||
Antero Resources Corp.(1) | 21,095 | 844,011 | |||||
Apache Corp. | 6,714 | 401,766 | |||||
Ardmore Shipping Corp. | 9,676 | 112,435 | |||||
BP plc | 252,619 | 1,740,359 | |||||
Cabot Oil & Gas Corp. | 16,759 | 569,136 | |||||
Carrizo Oil & Gas, Inc.(1) | 3,473 | 174,206 | |||||
Chevron Corp. | 31,480 | 3,242,440 | |||||
CNOOC Ltd. | 501,000 | 783,130 | |||||
Concho Resources, Inc.(1) | 23,813 | 2,864,704 | |||||
CVR Energy, Inc. | 4,849 | 187,947 | |||||
Delek US Holdings, Inc. | 253 | 9,578 | |||||
Devon Energy Corp. | 21,410 | 1,396,360 | |||||
Diamondback Energy, Inc.(1) | 1,617 | 125,819 | |||||
Dragon Oil plc | 66,680 | 696,071 | |||||
ENI SpA | 65,131 | 1,172,432 | |||||
Enviva Partners, LP(1) | 6,146 | 125,132 | |||||
EOG Resources, Inc. | 9,869 | 875,282 | |||||
Euronav SA(1) | 7,749 | 105,851 | |||||
Exxon Mobil Corp. | 77,674 | 6,617,825 | |||||
Gulfport Energy Corp.(1) | 13,363 | 576,747 | |||||
Imperial Oil Ltd. | 106,026 | 4,158,852 | |||||
Lundin Petroleum AB(1) | 16,066 | 252,865 | |||||
Marathon Petroleum Corp. | 6,053 | 626,243 | |||||
Murphy Oil Corp. | 42,378 | 1,841,748 | |||||
Noble Energy, Inc. | 16,785 | 734,847 | |||||
Northern Tier Energy LP | 2,688 | 65,668 | |||||
NovaTek OAO GDR | 6,876 | 693,788 | |||||
Oasis Petroleum, Inc.(1) | 66,368 | 1,126,929 | |||||
Occidental Petroleum Corp. | 41,377 | 3,235,268 | |||||
PrairieSky Royalty Ltd. | 3,156 | 84,762 | |||||
Royal Dutch Shell plc, B Shares | 61,568 | 1,857,074 | |||||
Scorpio Tankers, Inc. | 14,284 | 130,270 | |||||
Statoil ASA | 69,570 | 1,305,235 |
25
Shares/ Principal Amount | Value | ||||||
Total SA | 44,273 | $ | 2,235,536 | ||||
Total SA ADR | 68,540 | 3,460,585 | |||||
Tullow Oil plc | 95,304 | 575,513 | |||||
Ultrapar Participacoes SA | 37,000 | 805,075 | |||||
Valero Energy Corp. | 52,886 | 3,132,967 | |||||
Western Refining, Inc. | 19,080 | 839,138 | |||||
Woodside Petroleum Ltd. | 18,699 | 523,674 | |||||
50,392,176 | |||||||
Paper and Forest Products† | |||||||
KapStone Paper and Packaging Corp. | 6,066 | 163,479 | |||||
UPM-Kymmene Oyj | 23,828 | 427,361 | |||||
West Fraser Timber Co. Ltd. | 3,201 | 176,523 | |||||
767,363 | |||||||
Personal Products — 0.1% | |||||||
Amorepacific Corp. | 1,150 | 419,219 | |||||
Estee Lauder Cos., Inc. (The), Class A | 11,357 | 992,943 | |||||
Hypermarcas SA(1) | 80,700 | 552,133 | |||||
Kose Corp. | 3,800 | 248,608 | |||||
2,212,903 | |||||||
Pharmaceuticals — 3.3% | |||||||
AbbVie, Inc. | 64,398 | 4,288,263 | |||||
Actavis plc(1) | 3,910 | 1,199,627 | |||||
ALK-Abello A/S | 240 | 28,831 | |||||
Aspen Pharmacare Holdings Ltd. | 23,568 | 708,918 | |||||
AstraZeneca plc | 28,067 | 1,875,698 | |||||
Bayer AG | 12,240 | 1,736,188 | |||||
Concordia Healthcare Corp. | 5,793 | 386,262 | |||||
Depomed, Inc.(1) | 4,342 | 90,574 | |||||
Endo International plc(1) | 17,605 | 1,474,595 | |||||
Horizon Pharma plc(1) | 4,904 | 159,037 | |||||
Hospira, Inc.(1) | 4,901 | 433,346 | |||||
Jazz Pharmaceuticals plc(1) | 4,146 | 743,585 | |||||
Johnson & Johnson | 126,132 | 12,630,858 | |||||
Medicines Co. (The)(1) | 1,898 | 53,827 | |||||
Merck & Co., Inc. | 135,016 | 8,221,124 | |||||
Nektar Therapeutics(1) | 3,235 | 37,203 | |||||
Novartis AG | 34,652 | 3,557,927 | |||||
Novo Nordisk A/S, B Shares | 12,225 | 682,631 | |||||
Ono Pharmaceutical Co. Ltd. | 10,000 | 1,095,758 | |||||
Pacira Pharmaceuticals, Inc.(1) | 8,073 | 631,389 | |||||
Pfizer, Inc. | 168,621 | 5,859,580 | |||||
Roche Holding AG | 14,640 | 4,302,355 | |||||
Sanofi | 7,402 | 724,755 | |||||
Shire plc | 21,060 | 1,813,800 | |||||
Takeda Pharmaceutical Co., Ltd. | 13,000 | 632,639 | |||||
Tetraphase Pharmaceuticals, Inc.(1) | 575 | 24,656 | |||||
Teva Pharmaceutical Industries Ltd. ADR | 9,820 | 590,182 | |||||
UCB SA | 10,310 | 737,158 | |||||
Zoetis, Inc. | 49,988 | 2,487,903 | |||||
57,208,669 |
26
Shares/ Principal Amount | Value | ||||||
Professional Services — 0.3% | |||||||
Adecco SA | 23,535 | $ | 1,870,580 | ||||
CDI Corp. | 6,462 | 79,935 | |||||
Hays plc | 66,174 | 163,342 | |||||
Huron Consulting Group, Inc.(1) | 2,362 | 151,876 | |||||
Kforce, Inc. | 6,187 | 136,176 | |||||
Korn / Ferry International | 3,473 | 111,448 | |||||
Nielsen NV | 36,614 | 1,647,264 | |||||
On Assignment, Inc.(1) | 4,182 | 156,783 | |||||
RPX Corp.(1) | 2,578 | 41,016 | |||||
Teleperformance | 5,185 | 381,886 | |||||
Temp Holdings Co. Ltd. | 6,200 | 219,047 | |||||
USG People NV | 30,654 | 423,366 | |||||
5,382,719 | |||||||
Real Estate Investment Trusts (REITs) — 2.1% | |||||||
Activia Properties, Inc. | 27 | 231,245 | |||||
Alexandria Real Estate Equities, Inc. | 8,608 | 798,220 | |||||
Allied Properties Real Estate Investment Trust | 16,632 | 485,211 | |||||
Alstria Office REIT AG | 29,420 | 381,443 | |||||
Apollo Commercial Real Estate Finance, Inc. | 4,566 | 78,398 | |||||
Armada Hoffler Properties, Inc. | 7,871 | 83,354 | |||||
Ascendas Real Estate Investment Trust | 75,600 | 134,589 | |||||
Associated Estates Realty Corp. | 1,567 | 44,801 | |||||
AvalonBay Communities, Inc. | 6,761 | 1,125,707 | |||||
Big Yellow Group plc | 36,348 | 362,492 | |||||
Blackstone Mortgage Trust, Inc., Class A | 1,404 | 42,429 | |||||
Boston Properties, Inc. | 11,325 | 1,472,590 | |||||
British Land Co. plc | 57,997 | 764,099 | |||||
Brixmor Property Group, Inc. | 46,990 | 1,164,412 | |||||
Calloway Real Estate Investment Trust | 15,039 | 349,612 | |||||
Campus Crest Communities, Inc. | 13,788 | 78,040 | |||||
Capstead Mortgage Corp. | 2,957 | 34,981 | |||||
CBL & Associates Properties, Inc. | 1,921 | 33,906 | |||||
Champion REIT | 567,000 | 323,952 | |||||
Charter Hall Group | 38,302 | 140,269 | |||||
Chatham Lodging Trust | 3,110 | 86,893 | |||||
Corrections Corp. of America | 29,385 | 1,033,177 | |||||
Derwent London plc | 9,233 | 502,518 | |||||
DiamondRock Hospitality Co. | 2,550 | 33,584 | |||||
Duke Realty Corp. | 34,840 | 681,470 | |||||
DuPont Fabros Technology, Inc. | 3,495 | 112,679 | |||||
Easterly Government Properties, Inc. | 3,545 | 55,054 | |||||
Empire State Realty Trust, Inc. | 23,561 | 425,983 | |||||
EPR Properties | 725 | 41,811 | |||||
Equity Residential | 15,914 | 1,182,729 | |||||
Essex Property Trust, Inc. | 4,028 | 896,713 | |||||
Excel Trust, Inc. | 5,271 | 83,756 | |||||
Extra Space Storage, Inc. | 11,595 | 811,998 | |||||
Federation Centres | 80,123 | 186,224 | |||||
First Industrial Realty Trust, Inc. | 1,526 | 29,772 |
27
Shares/ Principal Amount | Value | ||||||
General Growth Properties, Inc. | 30,137 | $ | 853,781 | ||||
Goodman Group | 95,345 | 477,469 | |||||
Great Portland Estates plc | 41,549 | 526,126 | |||||
Hatteras Financial Corp. | 3,741 | 67,188 | |||||
Healthcare Realty Trust, Inc. | 1,487 | 35,420 | |||||
Hersha Hospitality Trust | 3,984 | 25,338 | |||||
Hospitality Properties Trust | 40,494 | 1,222,514 | |||||
Host Hotels & Resorts, Inc. | 24,112 | 480,311 | |||||
Hudson Pacific Properties, Inc. | 20,556 | 626,752 | |||||
Hulic Reit, Inc. | 226 | 328,307 | |||||
Japan Hotel REIT Investment Corp. | 166 | 113,685 | |||||
Japan Rental Housing Investments, Inc. | 252 | 167,303 | |||||
Kenedix Retail REIT Corp.(1) | 77 | 184,877 | |||||
Kilroy Realty Corp. | 9,090 | 627,846 | |||||
Kite Realty Group Trust | 28,254 | 764,271 | |||||
Klepierre | 11,420 | 507,348 | |||||
Lamar Advertising Co., Class A | 32,701 | 1,982,335 | |||||
Land Securities Group plc | 24,334 | 488,332 | |||||
LaSalle Hotel Properties | 14,996 | 546,754 | |||||
Lexington Realty Trust | 9,020 | 82,804 | |||||
Link Real Estate Investment Trust (The) | 165,500 | 960,515 | |||||
Mack-Cali Realty Corp. | 2,262 | 38,228 | |||||
Mapletree Greater China Commercial Trust | 229,100 | 181,839 | |||||
Medical Properties Trust, Inc. | 5,466 | 74,119 | |||||
Merlin Properties Socimi SA(1) | 18,609 | 242,193 | |||||
MFA Financial, Inc. | 5,656 | 44,909 | |||||
Mirvac Group | 155,860 | 239,517 | |||||
New Residential Investment Corp. | 2,464 | 42,036 | |||||
NorthStar Realty Finance Corp. | 28,921 | 524,627 | |||||
Orix JREIT, Inc. | 164 | 233,616 | |||||
Outfront Media, Inc. | 2,975 | 82,437 | |||||
Pennsylvania Real Estate Investment Trust | 1,631 | 36,404 | |||||
PennyMac Mortgage Investment Trust | 3,760 | 69,071 | |||||
Piedmont Office Realty Trust, Inc., Class A | 53,470 | 919,149 | |||||
ProLogis, Inc. | 25,550 | 1,011,525 | |||||
Regency Centers Corp. | 10,211 | 644,723 | |||||
Rexford Industrial Realty, Inc. | 2,414 | 35,220 | |||||
RLJ Lodging Trust | 15,433 | 466,540 | |||||
Rouse Properties, Inc. | 5,184 | 89,528 | |||||
Ryman Hospitality Properties, Inc. | 11,312 | 623,404 | |||||
Sabra Health Care REIT, Inc. | 1,490 | 39,485 | |||||
Safestore Holdings plc | 52,018 | 216,848 | |||||
Scentre Group | 211,478 | 638,658 | |||||
Shaftesbury plc | 5,352 | 71,657 | |||||
Simon Property Group, Inc. | 14,193 | 2,574,610 | |||||
Summit Hotel Properties, Inc. | 6,618 | 88,416 | |||||
Sun Communities, Inc. | 1,880 | 118,647 | |||||
Sunstone Hotel Investors, Inc. | 2,633 | 40,180 | |||||
Two Harbors Investment Corp. | 9,381 | 100,283 | |||||
Unibail-Rodamco SE | 2,981 | 765,633 |
28
Shares/ Principal Amount | Value | ||||||
Urstadt Biddle Properties, Inc., Class A | 4,211 | $ | 84,725 | ||||
Washington Real Estate Investment Trust | 2,617 | 65,556 | |||||
Westfield Corp. | 18,577 | 137,485 | |||||
Weyerhaeuser Co. | 38,122 | 1,241,252 | |||||
37,145,907 | |||||||
Real Estate Management and Development — 1.2% | |||||||
Ayala Land, Inc. | 395,100 | 354,912 | |||||
Beijing Capital Land Ltd., H Shares | 74,000 | 56,118 | |||||
CapitaLand Ltd. | 150,100 | 388,583 | |||||
CBRE Group, Inc.(1) | 18,114 | 692,679 | |||||
China Overseas Land & Investment Ltd. | 362,000 | 1,311,924 | |||||
China Resources Land Ltd. | 122,000 | 394,937 | |||||
Corp. Inmobiliaria Vesta SAB de CV | 314,714 | 564,686 | |||||
Daito Trust Construction Co. Ltd. | 8,500 | 948,173 | |||||
Daiwa House Industry Co. Ltd. | 15,200 | 365,809 | |||||
Dalian Wanda Commercial Properties Co. Ltd., H Shares | 41,500 | 340,407 | |||||
Deutsche Annington Immobilien SE | 2,883 | 91,161 | |||||
Emaar Properties PJSC | 121,005 | 255,566 | |||||
Fabege AB | 39,084 | 545,475 | |||||
Forest City Enterprises, Inc., Class A(1) | 31,095 | 717,051 | |||||
Global Logistic Properties Ltd. | 83,100 | 170,133 | |||||
Grand City Properties SA(1) | 15,948 | 278,675 | |||||
Greenland Hong Kong Holdings Ltd. | 144,000 | 148,575 | |||||
Hang Lung Properties Ltd. | 89,000 | 281,222 | |||||
Henderson Land Development Co. Ltd. | 32,000 | 258,149 | |||||
Highwealth Construction Corp. | 173,000 | 434,008 | |||||
Hispania Activos Inmobiliarios SAU(1) | 6,372 | 95,948 | |||||
Hongkong Land Holdings Ltd. | 68,900 | 593,229 | |||||
Hulic Co. Ltd. | 46,500 | 481,429 | |||||
Jones Lang LaSalle, Inc. | 24,921 | 4,317,065 | |||||
Kerry Properties Ltd. | 61,500 | 256,592 | |||||
KWG Property Holding Ltd. | 1,182,000 | 1,128,088 | |||||
Lend Lease Group | 72,242 | 920,175 | |||||
Longfor Properties Co. Ltd. | 200,500 | 330,475 | |||||
Marcus & Millichap, Inc.(1) | 2,136 | 100,200 | |||||
Mitsubishi Estate Co. Ltd. | 14,000 | 313,467 | |||||
Mitsui Fudosan Co. Ltd. | 34,000 | 993,442 | |||||
New World Development Co. Ltd. | 215,000 | 286,717 | |||||
Nexity SA | 6,079 | 244,863 | |||||
PT Bumi Serpong Damai Tbk | 944,800 | 136,104 | |||||
PT Summarecon Agung Tbk | 357,800 | 53,437 | |||||
SM Prime Holdings, Inc. | 405,700 | 175,074 | |||||
Sumitomo Realty & Development Co. Ltd. | 5,000 | 192,966 | |||||
Sun Hung Kai Properties Ltd. | 48,000 | 813,449 | |||||
Unite Group plc (The) | 64,741 | 615,965 | |||||
20,646,928 | |||||||
Road and Rail — 0.5% | |||||||
Canadian Pacific Railway Ltd., New York Shares | 12,387 | 2,040,263 | |||||
CAR, Inc.(1) | 42,000 | 100,861 | |||||
Celadon Group, Inc. | 1,979 | 46,150 |
29
Shares/ Principal Amount | Value | ||||||
Central Japan Railway Co. | 6,800 | $ | 1,184,788 | ||||
CJ Korea Express Co. Ltd.(1) | 4,370 | 741,313 | |||||
DSV A/S | 8,355 | 290,523 | |||||
Go-Ahead Group plc | 3,054 | 123,928 | |||||
Heartland Express, Inc. | 37,747 | 802,124 | |||||
J.B. Hunt Transport Services, Inc. | 11,057 | 929,009 | |||||
Marten Transport Ltd. | 2,925 | 66,339 | |||||
Saia, Inc.(1) | 3,024 | 123,803 | |||||
Swift Transportation Co.(1) | 3,547 | 82,539 | |||||
Union Pacific Corp. | 25,891 | 2,612,661 | |||||
Werner Enterprises, Inc. | 14,391 | 396,040 | |||||
9,540,341 | |||||||
Semiconductors and Semiconductor Equipment — 2.3% | |||||||
Altera Corp. | 39,493 | 1,929,233 | |||||
ams AG | 4,869 | 289,596 | |||||
Applied Materials, Inc. | 187,556 | 3,775,502 | |||||
ARM Holdings plc | 73,490 | 1,297,320 | |||||
ASML Holding NV | 7,423 | 829,535 | |||||
Avago Technologies Ltd. | 14,122 | 2,091,045 | |||||
Broadcom Corp., Class A | 74,985 | 4,262,897 | |||||
Cavium, Inc.(1) | 1,835 | 129,129 | |||||
Cypress Semiconductor Corp. | 14,676 | 201,501 | |||||
Dialog Semiconductor plc(1) | 7,239 | 403,175 | |||||
Exar Corp.(1) | 15,595 | 169,362 | |||||
Fairchild Semiconductor International, Inc.(1) | 7,708 | 153,543 | |||||
Freescale Semiconductor Ltd.(1) | 13,368 | 603,164 | |||||
Inotera Memories, Inc.(1) | 60,000 | 70,765 | |||||
Intel Corp. | 141,115 | 4,862,823 | |||||
Kulicke & Soffa Industries, Inc.(1) | 13,001 | 172,393 | |||||
Lam Research Corp. | 13,627 | 1,120,821 | |||||
M/A-COM Technology Solutions Holdings, Inc.(1) | 2,354 | 89,829 | |||||
Maxim Integrated Products, Inc. | 16,257 | 570,133 | |||||
Mellanox Technologies Ltd.(1) | 2,987 | 150,306 | |||||
Microchip Technology, Inc. | 63,327 | 3,111,256 | |||||
Micron Technology, Inc.(1) | 63,700 | 1,779,141 | |||||
Nanometrics, Inc.(1) | 4,500 | 69,930 | |||||
NXP Semiconductors NV(1) | 24,169 | 2,712,970 | |||||
Photronics, Inc.(1) | 10,150 | 102,414 | |||||
Qorvo, Inc.(1) | 2,506 | 205,868 | |||||
Semtech Corp.(1) | 5,468 | 116,796 | |||||
SK Hynix, Inc. | 1,079 | 49,751 | |||||
Skyworks Solutions, Inc. | 6,361 | 695,639 | |||||
STMicroelectronics NV | 14,653 | 125,110 | |||||
Synaptics, Inc.(1) | 2,396 | 238,737 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 658,500 | 3,132,343 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 23,338 | 566,647 | |||||
Teradyne, Inc. | 35,477 | 750,339 | |||||
Texas Instruments, Inc. | 55,744 | 3,117,205 | |||||
Xilinx, Inc. | 12,397 | 587,866 | |||||
40,534,084 |
30
Shares/ Principal Amount | Value | ||||||
Software — 2.3% | |||||||
Activision Blizzard, Inc. | 15,987 | $ | 403,832 | ||||
Adobe Systems, Inc.(1) | 15,668 | 1,239,182 | |||||
AVG Technologies NV(1) | 2,167 | 53,135 | |||||
Barracuda Networks, Inc.(1) | 3,672 | 144,456 | |||||
BroadSoft, Inc.(1) | 4,139 | 151,115 | |||||
Cadence Design Systems, Inc.(1) | 15,256 | 301,916 | |||||
Electronic Arts, Inc.(1) | 122,428 | 7,682,969 | |||||
ePlus, Inc.(1) | 950 | 73,768 | |||||
Intuit, Inc. | 48,954 | 5,098,559 | |||||
Manhattan Associates, Inc.(1) | 2,786 | 152,812 | |||||
Mentor Graphics Corp. | 12,161 | 317,524 | |||||
Microsoft Corp. | 161,582 | 7,571,733 | |||||
Mobileye NV(1) | 10,160 | 478,333 | |||||
Monotype Imaging Holdings, Inc. | 3,392 | 87,988 | |||||
NetSuite, Inc.(1) | 14,057 | 1,313,205 | |||||
Nintendo Co. Ltd. | 3,200 | 544,527 | |||||
Oracle Corp. | 246,060 | 10,701,149 | |||||
Proofpoint, Inc.(1) | 2,253 | 133,220 | |||||
QLIK Technologies, Inc.(1) | 4,609 | 166,708 | |||||
Splunk, Inc.(1) | 21,143 | 1,429,690 | |||||
Synopsys, Inc.(1) | 38,025 | 1,897,067 | |||||
Tableau Software, Inc., Class A(1) | 753 | 85,247 | |||||
Tyler Technologies, Inc.(1) | 5,855 | 711,265 | |||||
Ultimate Software Group, Inc.(1) | 580 | 93,838 | |||||
Verint Systems, Inc.(1) | 2,668 | 172,540 | |||||
VMware, Inc., Class A(1) | 957 | 83,565 | |||||
41,089,343 | |||||||
Specialty Retail — 1.8% | |||||||
Advance Auto Parts, Inc. | 8,646 | 1,324,740 | |||||
AutoZone, Inc.(1) | 1,272 | 856,845 | |||||
Bed Bath & Beyond, Inc.(1) | 47,313 | 3,374,363 | |||||
Build-A-Bear Workshop, Inc.(1) | 2,555 | 41,110 | |||||
CST Brands, Inc. | 13,759 | 547,195 | |||||
Destination Maternity Corp. | 4,302 | 47,279 | |||||
Foot Locker, Inc. | 41,253 | 2,607,190 | |||||
Gap, Inc. (The) | 71,967 | 2,758,495 | |||||
Home Depot, Inc. (The) | 1,633 | 181,949 | |||||
Howden Joinery Group plc | 73,155 | 571,350 | |||||
Inditex SA | 41,845 | 1,386,104 | |||||
Kirkland's, Inc.(1) | 5,580 | 146,587 | |||||
Laox Co. Ltd.(1) | 37,000 | 115,667 | |||||
Lowe's Cos., Inc. | 57,212 | 4,003,696 | |||||
MarineMax, Inc.(1) | 2,776 | 66,402 | |||||
Men's Wearhouse, Inc. (The) | 3,786 | 219,626 | |||||
Mr Price Group Ltd. | 33,500 | 666,207 | |||||
Murphy USA, Inc.(1) | 2,447 | 142,489 | |||||
Nitori Holdings Co. Ltd. | 10,400 | 801,901 | |||||
O'Reilly Automotive, Inc.(1) | 10,833 | 2,378,168 | |||||
Office Depot, Inc.(1) | 3,285 | 30,452 |
31
Shares/ Principal Amount | Value | ||||||
Penske Automotive Group, Inc. | 3,069 | $ | 158,391 | ||||
Rent-A-Center, Inc. | 3,364 | 101,761 | |||||
Restoration Hardware Holdings, Inc.(1) | 8,458 | 769,340 | |||||
Ross Stores, Inc. | 13,935 | 1,347,096 | |||||
Sally Beauty Holdings, Inc.(1) | 27,909 | 871,040 | |||||
Signet Jewelers Ltd. | 12,643 | 1,635,119 | |||||
Tile Shop Holdings, Inc.(1) | 8,784 | 109,536 | |||||
TJX Cos., Inc. (The) | 31,676 | 2,039,301 | |||||
Tractor Supply Co. | 14,317 | 1,247,583 | |||||
Ulta Salon Cosmetics & Fragrance, Inc.(1) | 5,751 | 877,718 | |||||
31,424,700 | |||||||
Technology Hardware, Storage and Peripherals — 2.1% | |||||||
Apple, Inc. | 154,909 | 20,181,545 | |||||
Canon, Inc. | 37,400 | 1,293,323 | |||||
EMC Corp. | 61,233 | 1,612,877 | |||||
FUJIFILM Holdings Corp. | 17,300 | 662,645 | |||||
Hewlett-Packard Co. | 81,842 | 2,733,523 | |||||
Nimble Storage, Inc.(1) | 4,352 | 112,630 | |||||
Pegatron Corp. | 62,000 | 185,032 | |||||
Samsung Electronics Co. Ltd. | 2,376 | 2,802,104 | |||||
SanDisk Corp. | 16,890 | 1,154,938 | |||||
Seagate Technology plc | 14,081 | 783,467 | |||||
Silicon Graphics International Corp.(1) | 18,834 | 120,914 | |||||
Super Micro Computer, Inc.(1) | 7,169 | 239,875 | |||||
Western Digital Corp. | 52,791 | 5,139,732 | |||||
37,022,605 | |||||||
Textiles, Apparel and Luxury Goods — 0.7% | |||||||
Burberry Group plc | 36,627 | 948,873 | |||||
Culp, Inc. | 5,020 | 132,277 | |||||
Eclat Textile Co. Ltd. | 67,000 | 986,674 | |||||
Hanesbrands, Inc. | 49,631 | 1,581,244 | |||||
Kate Spade & Co.(1) | 3,428 | 84,946 | |||||
Lululemon Athletica, Inc.(1) | 10,092 | 603,401 | |||||
Luxottica Group SpA | 17,657 | 1,188,772 | |||||
LVMH Moet Hennessy Louis Vuitton SE | 3,890 | 692,768 | |||||
Michael Kors Holdings Ltd.(1) | 2,566 | 119,319 | |||||
Moncler SpA | 5,484 | 104,320 | |||||
Movado Group, Inc. | 2,362 | 61,790 | |||||
Pandora A/S | 24,139 | 2,427,137 | |||||
Ralph Lauren Corp. | 4,717 | 615,097 | |||||
Shenzhou International Group Holdings Ltd. | 196,000 | 968,163 | |||||
Skechers U.S.A., Inc., Class A(1) | 2,552 | 270,180 | |||||
Taiwan Paiho Ltd. | 159,000 | 471,410 | |||||
Under Armour, Inc., Class A(1) | 15,952 | 1,250,796 | |||||
Wolverine World Wide, Inc. | 5,579 | 163,911 | |||||
12,671,078 | |||||||
Thrifts and Mortgage Finance — 0.1% | |||||||
Capitol Federal Financial, Inc. | 13,394 | 162,067 | |||||
Essent Group Ltd.(1) | 9,126 | 232,804 | |||||
EverBank Financial Corp. | 27,049 | 498,784 |
32
Shares/ Principal Amount | Value | ||||||
Nationstar Mortgage Holdings, Inc.(1) | 29,248 | $ | 576,771 | ||||
People's United Financial, Inc. | 13,942 | 216,937 | |||||
Radian Group, Inc. | 1,903 | 34,102 | |||||
1,721,465 | |||||||
Tobacco — 0.3% | |||||||
Altria Group, Inc. | 15,650 | 801,280 | |||||
Imperial Tobacco Group plc | 18,357 | 945,515 | |||||
Japan Tobacco, Inc. | 18,000 | 658,422 | |||||
Philip Morris International, Inc. | 43,986 | 3,653,917 | |||||
6,059,134 | |||||||
Trading Companies and Distributors — 0.3% | |||||||
Ashtead Group plc | 110,901 | 1,898,412 | |||||
Beacon Roofing Supply, Inc.(1) | 7,723 | 242,193 | |||||
Bunzl plc | 27,430 | 794,879 | |||||
COSON Co. Ltd.(1) | 13,220 | 477,149 | |||||
Kaman Corp. | 979 | 41,471 | |||||
Kanamoto Co. Ltd. | 8,000 | 226,564 | |||||
United Rentals, Inc.(1) | 12,170 | 1,082,035 | |||||
Wolseley plc | 12,840 | 793,032 | |||||
5,555,735 | |||||||
Transportation Infrastructure — 0.1% | |||||||
Groupe Eurotunnel SE | 14,324 | 215,765 | |||||
Sydney Airport | 38,099 | 165,742 | |||||
TAV Havalimanlari Holding AS | 79,452 | 659,501 | |||||
1,041,008 | |||||||
Water Utilities — 0.1% | |||||||
Artesian Resources Corp., Class A | 912 | 19,444 | |||||
Beijing Enterprises Water Group Ltd. | 1,344,000 | 1,135,362 | |||||
1,154,806 | |||||||
Wireless Telecommunication Services — 0.6% | |||||||
Bharti Infratel Ltd. | 161,401 | 1,210,136 | |||||
China Mobile Ltd. | 118,500 | 1,560,407 | |||||
Freenet AG | 5,511 | 181,249 | |||||
KDDI Corp. | 11,800 | 267,251 | |||||
NTT DoCoMo, Inc. | 8,600 | 154,934 | |||||
PT Tower Bersama Infrastructure Tbk | 984,000 | 701,316 | |||||
RingCentral, Inc., Class A(1) | 6,577 | 112,401 | |||||
Rogers Communications, Inc., Class B | 13,494 | 464,304 | |||||
SBA Communications Corp., Class A(1) | 46,157 | 5,160,814 | |||||
Shenandoah Telecommunications Co. | 221 | 6,946 | |||||
SK Telecom Co. Ltd. | 197 | 43,817 | |||||
Vodafone Group plc | 158,795 | 619,740 | |||||
10,483,315 | |||||||
TOTAL COMMON STOCKS (Cost $902,447,313) | 1,138,665,144 | ||||||
U.S. TREASURY SECURITIES — 10.1% | |||||||
U.S. Treasury Bills, 0.04%, 11/12/15(2) | $ | 50,000 | 49,990 | ||||
U.S. Treasury Bonds, 3.50%, 2/15/39 | 4,720,000 | 5,267,596 | |||||
U.S. Treasury Bonds, 4.375%, 11/15/39 | 2,550,000 | 3,246,867 | |||||
U.S. Treasury Bonds, 2.875%, 5/15/43 | 110,000 | 109,398 |
33
Shares/ Principal Amount | Value | ||||||
U.S. Treasury Bonds, 2.50%, 2/15/45 | $ | 4,000,000 | $ | 3,684,376 | |||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 12,273,322 | 15,408,775 | |||||
U.S. Treasury Inflation Indexed Bonds, 3.375%, 4/15/32 | 399,075 | 574,294 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 983,196 | 1,250,041 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/41 | 1,455,584 | 1,864,170 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 2,037,672 | 1,943,589 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 1,201,590 | 1,108,279 | |||||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 2,634,138 | 2,920,190 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 1,253,388 | 1,193,068 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/17 | 12,059,012 | 12,249,315 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/18 | 6,996,933 | 7,121,016 | |||||
U.S. Treasury Inflation Indexed Notes, 1.375%, 7/15/18 | 3,695,524 | 3,933,423 | |||||
U.S. Treasury Inflation Indexed Notes, 2.125%, 1/15/19 | 3,299,280 | 3,607,297 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/19 | 4,635,328 | 4,707,755 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/20 | 5,545,540 | 5,612,258 | |||||
U.S. Treasury Inflation Indexed Notes, 1.125%, 1/15/21 | 8,419,242 | 8,957,939 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 7/15/21 | 5,657,202 | 5,879,954 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/22 | 2,086,460 | 2,084,993 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/22 | 2,566,925 | 2,572,138 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/23 | 6,751,470 | 6,708,220 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/23 | 7,406,653 | 7,504,443 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 6,628,273 | 6,826,604 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/24 | 1,342,454 | 1,328,295 | |||||
U.S. Treasury Notes, 1.375%, 11/30/15 | 500,000 | 503,164 | |||||
U.S. Treasury Notes, 0.50%, 3/31/17 | 5,750,000 | 5,743,710 | |||||
U.S. Treasury Notes, 0.875%, 1/31/18(3) | 1,250,000 | 1,250,879 | |||||
U.S. Treasury Notes, 1.00%, 2/15/18 | 17,140,000 | 17,201,601 | |||||
U.S. Treasury Notes, 2.625%, 4/30/18 | 300,000 | 314,719 | |||||
U.S. Treasury Notes, 1.25%, 11/30/18 | 4,800,000 | 4,821,374 | |||||
U.S. Treasury Notes, 1.375%, 2/29/20 | 7,900,000 | 7,874,696 | |||||
U.S. Treasury Notes, 1.375%, 3/31/20 | 13,300,000 | 13,249,088 | |||||
U.S. Treasury Notes, 1.375%, 4/30/20 | 4,350,000 | 4,328,589 | |||||
U.S. Treasury Notes, 1.50%, 5/31/20(4) | 550,000 | 550,516 | |||||
U.S. Treasury Notes, 1.875%, 5/31/22 | 300,000 | 300,164 | |||||
U.S. Treasury Notes, 2.00%, 2/15/25 | 2,700,000 | 2,673,421 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $171,936,398) | 176,526,204 | ||||||
CORPORATE BONDS — 9.0% | |||||||
Aerospace and Defense — 0.1% | |||||||
Bombardier, Inc., 7.50%, 3/15/18(5) | 85,000 | 89,994 | |||||
Bombardier, Inc., 5.50%, 9/15/18(5) | 110,000 | 109,450 | |||||
Bombardier, Inc., 5.75%, 3/15/22(5) | 130,000 | 119,275 | |||||
Bombardier, Inc., 6.00%, 10/15/22(5) | 35,000 | 31,894 | |||||
Bombardier, Inc., 7.50%, 3/15/25(5) | 80,000 | 76,800 | |||||
KLX, Inc., 5.875%, 12/1/22(5) | 75,000 | 76,219 | |||||
Lockheed Martin Corp., 4.25%, 11/15/19 | 220,000 | 241,753 | |||||
Raytheon Co., 2.50%, 12/15/22 | 6,000 | 5,956 |
34
Shares/ Principal Amount | Value | ||||||
TransDigm, Inc., 5.50%, 10/15/20 | $ | 95,000 | $ | 95,475 | |||
TransDigm, Inc., 6.00%, 7/15/22 | 140,000 | 142,100 | |||||
United Technologies Corp., 6.05%, 6/1/36 | 140,000 | 175,138 | |||||
United Technologies Corp., 4.50%, 6/1/42 | 160,000 | 165,767 | |||||
1,329,821 | |||||||
Airlines† | |||||||
American Airlines Group, Inc., 4.625%, 3/1/20(5) | 150,000 | 146,250 | |||||
Auto Components† | |||||||
American Axle & Manufacturing, Inc., 6.25%, 3/15/21 | 25,000 | 26,563 | |||||
Dana Holding Corp., 6.75%, 2/15/21 | 40,000 | 42,500 | |||||
Goodyear Tire & Rubber Co. (The), 7.00%, 5/15/22 | 150,000 | 164,812 | |||||
Schaeffler Finance BV, 4.25%, 5/15/21(5) | 140,000 | 141,050 | |||||
Tenneco, Inc., 6.875%, 12/15/20 | 50,000 | 53,000 | |||||
UCI International, Inc., 8.625%, 2/15/19 | 75,000 | 67,875 | |||||
ZF North America Capital, Inc., 4.75%, 4/29/25(5) | 105,000 | 105,525 | |||||
601,325 | |||||||
Automobiles — 0.2% | |||||||
Ally Financial, Inc., 4.625%, 3/30/25 | 160,000 | 157,200 | |||||
American Honda Finance Corp., 1.50%, 9/11/17(5) | 70,000 | 70,631 | |||||
American Honda Finance Corp., 2.125%, 10/10/18 | 150,000 | 153,053 | |||||
Daimler Finance North America LLC, 1.30%, 7/31/15(5) | 230,000 | 230,311 | |||||
Daimler Finance North America LLC, 2.625%, 9/15/16(5) | 160,000 | 163,167 | |||||
Fiat Chrysler Automobiles NV, 4.50%, 4/15/20(5) | 280,000 | 285,600 | |||||
Ford Motor Co., 4.75%, 1/15/43 | 90,000 | 91,476 | |||||
Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 100,000 | 108,431 | |||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | 500,000 | 579,842 | |||||
General Motors Co., 3.50%, 10/2/18 | 125,000 | 128,788 | |||||
General Motors Co., 4.875%, 10/2/23 | 140,000 | 149,626 | |||||
General Motors Co., 5.00%, 4/1/35 | 70,000 | 70,667 | |||||
General Motors Financial Co., Inc., 3.25%, 5/15/18 | 195,000 | 199,775 | |||||
General Motors Financial Co., Inc., 4.00%, 1/15/25 | 180,000 | 178,815 | |||||
Volkswagen International Finance NV, VRN, 3.75%, 3/24/21 | EUR | 220,000 | 256,755 | ||||
2,824,137 | |||||||
Banks — 1.3% | |||||||
Abbey National Treasury Services plc, MTN, 5.125%, 4/14/21 (Secured) | GBP | 100,000 | 179,934 | ||||
Asian Development Bank, MTN, 2.35%, 6/21/27 | JPY | 30,000,000 | 297,253 | ||||
Bank of America Corp., 3.75%, 7/12/16 | $ | 170,000 | 174,934 | ||||
Bank of America Corp., 6.50%, 8/1/16 | 210,000 | 222,609 | |||||
Bank of America Corp., 5.75%, 12/1/17 | 540,000 | 592,604 | |||||
Bank of America Corp., 5.70%, 1/24/22 | 310,000 | 359,370 | |||||
Bank of America Corp., 4.10%, 7/24/23 | 110,000 | 115,409 | |||||
Bank of America Corp., MTN, 4.75%, 4/3/17 | EUR | 100,000 | 118,696 | ||||
Bank of America Corp., MTN, 4.00%, 4/1/24 | $ | 90,000 | 93,785 | ||||
Bank of America Corp., MTN, 4.20%, 8/26/24 | 210,000 | 213,319 | |||||
Bank of America Corp., MTN, 4.00%, 1/22/25 | 250,000 | 249,140 | |||||
Bank of America Corp., MTN, 5.00%, 1/21/44 | 100,000 | 108,360 |
35
Shares/ Principal Amount | Value | ||||||
Bank of America N.A., 5.30%, 3/15/17 | $ | 1,470,000 | $ | 1,565,018 | |||
Bank of Nova Scotia, 2.55%, 1/12/17 | 210,000 | 215,155 | |||||
Barclays Bank plc, 5.14%, 10/14/20 | 100,000 | 110,731 | |||||
Barclays Bank plc, 7.625%, 11/21/22 | 100,000 | 116,437 | |||||
Barclays Bank plc, 3.75%, 5/15/24 | 200,000 | 206,720 | |||||
Barclays Bank plc, MTN, 6.625%, 3/30/22 | EUR | 150,000 | 213,967 | ||||
BB&T Corp., MTN, 2.05%, 6/19/18 | $ | 100,000 | 101,410 | ||||
BPCE SA, 4.625%, 7/18/23 | EUR | 100,000 | 130,154 | ||||
BPCE SA, VRN, 2.75%, 7/8/21 | EUR | 200,000 | 226,786 | ||||
Capital One Financial Corp., 1.00%, 11/6/15 | $ | 110,000 | 110,163 | ||||
Citigroup, Inc., 4.45%, 1/10/17 | 50,000 | 52,451 | |||||
Citigroup, Inc., 5.50%, 2/15/17 | 210,000 | 224,016 | |||||
Citigroup, Inc., 1.75%, 5/1/18 | 580,000 | 580,160 | |||||
Citigroup, Inc., 4.50%, 1/14/22 | 580,000 | 634,624 | |||||
Citigroup, Inc., 4.05%, 7/30/22 | 80,000 | 83,416 | |||||
Citigroup, Inc., 3.30%, 4/27/25 | 210,000 | 206,542 | |||||
Citigroup, Inc., 6.00%, 10/31/33 | 110,000 | 126,763 | |||||
Citigroup, Inc., 5.30%, 5/6/44 | 70,000 | 75,628 | |||||
Co-Operative Bank plc, 4.75%, 11/11/21 (Secured) | GBP | 200,000 | 343,590 | ||||
Commerzbank AG, MTN, 6.375%, 3/22/19 | EUR | 150,000 | 189,821 | ||||
Commerzbank AG, MTN, 7.75%, 3/16/21 | EUR | 100,000 | 136,500 | ||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.875%, 2/8/22 | $ | 280,000 | 298,163 | ||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, MTN, 4.375%, 6/7/21 | EUR | 140,000 | 186,402 | ||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, VRN, 2.50%, 5/26/21 | EUR | 150,000 | 170,034 | ||||
European Financial Stability Facility, MTN, 1.875%, 5/23/23 | EUR | 260,000 | 316,521 | ||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 470,000 | 583,173 | ||||
European Financial Stability Facility, MTN, 2.35%, 7/29/44 | EUR | 90,000 | 121,496 | ||||
European Investment Bank, 2.50%, 7/15/15 | EUR | 200,000 | 220,353 | ||||
European Investment Bank, MTN, 3.625%, 1/15/21 | EUR | 300,000 | 392,679 | ||||
European Investment Bank, MTN, 4.25%, 12/7/21 | GBP | 610,000 | 1,081,308 | ||||
European Investment Bank, MTN, 2.25%, 10/14/22 | EUR | 600,000 | 748,160 | ||||
Fifth Third Bancorp, 4.30%, 1/16/24 | $ | 120,000 | 125,648 | ||||
Fifth Third Bank, 2.875%, 10/1/21 | 230,000 | 230,701 | |||||
HSBC Bank plc, MTN, 6.50%, 7/7/23 | GBP | 160,000 | 294,919 | ||||
HSBC Holdings plc, 5.10%, 4/5/21 | $ | 170,000 | 192,527 | ||||
ING Bank NV, MTN, VRN, 3.625%, 2/25/21 | EUR | 100,000 | 120,321 | ||||
International Bank for Reconstruction & Development, MTN, 3.875%, 5/20/19 | EUR | 535,000 | 677,585 | ||||
Intesa Sanpaolo SpA, 5.02%, 6/26/24(5) | $ | 145,000 | 145,456 | ||||
Intesa Sanpaolo SpA, MTN, 6.625%, 9/13/23 | EUR | 220,000 | 305,427 | ||||
JPMorgan Chase & Co., 6.00%, 1/15/18 | $ | 1,300,000 | 1,445,096 | ||||
JPMorgan Chase & Co., 4.625%, 5/10/21 | 80,000 | 88,113 | |||||
JPMorgan Chase & Co., 3.25%, 9/23/22 | 130,000 | 131,407 | |||||
JPMorgan Chase & Co., 3.875%, 9/10/24 | 210,000 | 211,163 | |||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 320,000 | 312,734 |
36
Shares/ Principal Amount | Value | ||||||
KeyCorp, MTN, 2.30%, 12/13/18 | $ | 230,000 | $ | 233,246 | |||
KFW, 2.00%, 6/1/16 | 420,000 | 426,783 | |||||
KFW, 3.875%, 1/21/19 | EUR | 340,000 | 426,426 | ||||
KFW, 2.00%, 10/4/22 | $ | 250,000 | 250,584 | ||||
KFW, MTN, 4.625%, 1/4/23 | EUR | 385,000 | 557,991 | ||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 120,000 | 240,275 | ||||
Lloyds Banking Group plc, VRN, 6.66%, 5/21/37(5) | $ | 265,000 | 303,094 | ||||
Regions Bank, 6.45%, 6/26/37 | 125,000 | 153,486 | |||||
Royal Bank of Scotland Group plc, MTN, VRN, 3.625%, 3/25/19 | EUR | 300,000 | 342,580 | ||||
Royal Bank of Scotland Group plc, VRN, 7.64%, 9/30/17 | $ | 300,000 | 325,500 | ||||
Royal Bank of Scotland plc (The), 4.375%, 3/16/16 | 310,000 | 318,100 | |||||
Santander Issuances SAU, MTN, 2.50%, 3/18/25 | EUR | 100,000 | 108,834 | ||||
Standard Chartered plc, MTN, 3.625%, 11/23/22 | EUR | 100,000 | 119,066 | ||||
Standard Chartered plc, MTN, VRN, 4.00%, 10/21/20 | EUR | 150,000 | 179,250 | ||||
SunTrust Banks, Inc., 3.60%, 4/15/16 | $ | 74,000 | 75,535 | ||||
U.S. Bancorp, 3.44%, 2/1/16 | 180,000 | 182,856 | |||||
U.S. Bancorp, MTN, 3.00%, 3/15/22 | 130,000 | 132,908 | |||||
U.S. Bancorp, MTN, 3.60%, 9/11/24 | 310,000 | 316,993 | |||||
Wells Fargo & Co., 3.68%, 6/15/16 | 220,000 | 226,460 | |||||
Wells Fargo & Co., 4.125%, 8/15/23 | 300,000 | 317,577 | |||||
Wells Fargo & Co., MTN, 2.10%, 5/8/17 | 20,000 | 20,413 | |||||
Wells Fargo & Co., MTN, 2.25%, 9/3/20 | EUR | 100,000 | 118,278 | ||||
Wells Fargo & Co., MTN, 4.60%, 4/1/21 | $ | 220,000 | 244,956 | ||||
Wells Fargo & Co., MTN, 4.10%, 6/3/26 | 200,000 | 206,208 | |||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 70,000 | 70,180 | |||||
22,672,430 | |||||||
Beverages† | |||||||
Anheuser-Busch InBev Worldwide, Inc., 2.50%, 7/15/22 | 360,000 | 352,660 | |||||
Coca-Cola Co. (The), 1.80%, 9/1/16 | 41,000 | 41,559 | |||||
Constellation Brands, Inc., 3.875%, 11/15/19 | 70,000 | 71,838 | |||||
Pernod-Ricard SA, 2.95%, 1/15/17(5) | 230,000 | 235,799 | |||||
701,856 | |||||||
Biotechnology — 0.1% | |||||||
Amgen, Inc., 2.125%, 5/15/17 | 330,000 | 335,562 | |||||
Amgen, Inc., 4.10%, 6/15/21 | 120,000 | 129,037 | |||||
Amgen, Inc., 5.375%, 5/15/43 | 190,000 | 209,232 | |||||
Celgene Corp., 3.25%, 8/15/22 | 160,000 | 162,330 | |||||
Celgene Corp., 3.625%, 5/15/24 | 160,000 | 163,749 | |||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 100,000 | 110,950 | |||||
1,110,860 | |||||||
Building Products† | |||||||
Masco Corp., 5.95%, 3/15/22 | 120,000 | 136,200 | |||||
Capital Markets — 0.1% | |||||||
Ameriprise Financial, Inc., 4.00%, 10/15/23 | 140,000 | 149,614 | |||||
Bear Stearns Cos. LLC (The), 6.40%, 10/2/17 | 540,000 | 599,611 | |||||
Dresdner Funding Trust I, 8.15%, 6/30/31(5) | 210,000 | 265,125 |
37
Shares/ Principal Amount | Value | ||||||
E*TRADE Financial Corp., 4.625%, 9/15/23 | $ | 160,000 | $ | 161,200 | |||
Fidelity International Ltd., 7.125%, 2/13/24 | GBP | 100,000 | 191,797 | ||||
Jefferies Group, Inc., 5.125%, 4/13/18 | $ | 180,000 | 191,883 | ||||
1,559,230 | |||||||
Chemicals — 0.1% | |||||||
Ashland, Inc., 4.75%, 8/15/22 | 265,000 | 271,294 | |||||
Chemours Co. (The), 6.625%, 5/15/23(5) | 100,000 | 101,750 | |||||
Dow Chemical Co. (The), 2.50%, 2/15/16 | 200,000 | 202,477 | |||||
Dow Chemical Co. (The), 4.25%, 11/15/20 | 180,000 | 195,182 | |||||
E.I. du Pont de Nemours & Co., 4.15%, 2/15/43 | 8,000 | 7,936 | |||||
Eastman Chemical Co., 2.70%, 1/15/20 | 180,000 | 181,717 | |||||
Ecolab, Inc., 4.35%, 12/8/21 | 60,000 | 65,387 | |||||
Hexion, Inc., 8.875%, 2/1/18 | 125,000 | 115,312 | |||||
Hexion, Inc., 6.625%, 4/15/20 | 115,000 | 108,963 | |||||
Huntsman International LLC, 8.625%, 3/15/21 | 20,000 | 21,200 | |||||
LyondellBasell Industries NV, 5.00%, 4/15/19 | 200,000 | 219,398 | |||||
LyondellBasell Industries NV, 4.625%, 2/26/55 | 50,000 | 45,980 | |||||
Mosaic Co. (The), 4.25%, 11/15/23 | 150,000 | 158,368 | |||||
Mosaic Co. (The), 5.625%, 11/15/43 | 120,000 | 134,671 | |||||
WR Grace & Co-Conn, 5.125%, 10/1/21(5) | 110,000 | 113,850 | |||||
1,943,485 | |||||||
Commercial Services and Supplies — 0.1% | |||||||
ACCO Brands Corp., 6.75%, 4/30/20 | 30,000 | 32,100 | |||||
ADT Corp. (The), 6.25%, 10/15/21 | 195,000 | 210,112 | |||||
Clean Harbors, Inc., 5.25%, 8/1/20 | 115,000 | 118,738 | |||||
Covanta Holding Corp., 5.875%, 3/1/24 | 155,000 | 160,425 | |||||
Envision Healthcare Corp., 5.125%, 7/1/22(5) | 200,000 | 206,500 | |||||
Iron Mountain, Inc., 8.375%, 8/15/21 | 32,000 | 33,392 | |||||
Iron Mountain, Inc., 5.75%, 8/15/24 | 160,000 | 164,600 | |||||
Pitney Bowes, Inc., 4.625%, 3/15/24 | 160,000 | 165,149 | |||||
Republic Services, Inc., 3.55%, 6/1/22 | 350,000 | 359,680 | |||||
Waste Management, Inc., 4.10%, 3/1/45 | 120,000 | 114,557 | |||||
1,565,253 | |||||||
Communications Equipment — 0.1% | |||||||
Alcatel-Lucent USA, Inc., 6.75%, 11/15/20(5) | 230,000 | 244,662 | |||||
Alcatel-Lucent USA, Inc., 6.45%, 3/15/29 | 150,000 | 162,375 | |||||
Avaya, Inc., 7.00%, 4/1/19(5) | 240,000 | 241,200 | |||||
CC Holdings GS V LLC / Crown Castle GS III Corp., 3.85%, 4/15/23 | 70,000 | 69,979 | |||||
Cisco Systems, Inc., 5.90%, 2/15/39 | 24,000 | 29,208 | |||||
CommScope, Inc., 5.50%, 6/15/24(5) | 65,000 | 65,081 | |||||
Crown Castle International Corp., 5.25%, 1/15/23 | 270,000 | 285,660 | |||||
Nokia Oyj, 5.375%, 5/15/19 | 50,000 | 54,188 | |||||
SBA Communications Corp., 5.625%, 10/1/19 | 125,000 | 132,344 | |||||
SBA Communications Corp., 4.875%, 7/15/22(5) | 75,000 | 75,709 | |||||
1,360,406 |
38
Shares/ Principal Amount | Value | ||||||
Construction Materials — 0.1% | |||||||
Associated Materials LLC, 9.125%, 11/1/17 | $ | 100,000 | $ | 86,000 | |||
Builders FirstSource, Inc., 7.625%, 6/1/21(5) | 75,000 | 78,750 | |||||
Building Materials Corp. of America, 6.75%, 5/1/21(5) | 115,000 | 122,187 | |||||
Interline Brands, Inc., PIK, 10.00%, 11/15/18 | 70,000 | 73,587 | |||||
Louisiana-Pacific Corp., 7.50%, 6/1/20 | 50,000 | 53,750 | |||||
Nortek, Inc., 8.50%, 4/15/21 | 225,000 | 244,969 | |||||
Owens Corning, 4.20%, 12/15/22 | 140,000 | 144,005 | |||||
Ply Gem Industries, Inc., 6.50%, 2/1/22 | 100,000 | 99,625 | |||||
Summit Materials LLC / Summit Materials Finance Corp., 10.50%, 1/31/20 | 53,000 | 58,168 | |||||
USG Corp., 5.875%, 11/1/21(5) | 25,000 | 26,813 | |||||
USG Corp., 5.50%, 3/1/25(5) | 140,000 | 145,425 | |||||
1,133,279 | |||||||
Consumer Finance — 0.2% | |||||||
American Express Centurion Bank, MTN, 6.00%, 9/13/17 | 250,000 | 275,287 | |||||
American Express Co., 1.55%, 5/22/18 | 120,000 | 119,636 | |||||
American Express Credit Corp., 1.30%, 7/29/16 | 220,000 | 221,193 | |||||
Capital One Bank USA N.A., 2.30%, 6/5/19 | 250,000 | 250,325 | |||||
Capital One Bank USA N.A., 3.375%, 2/15/23 | 250,000 | 248,851 | |||||
CIT Group, Inc., 4.25%, 8/15/17 | 280,000 | 286,636 | |||||
CIT Group, Inc., 5.50%, 2/15/19(5) | 130,000 | 137,638 | |||||
CIT Group, Inc., 3.875%, 2/19/19 | 120,000 | 120,600 | |||||
CIT Group, Inc., 5.00%, 8/15/22 | 390,000 | 401,700 | |||||
CIT Group, Inc., 5.00%, 8/1/23 | 125,000 | 128,275 | |||||
Equifax, Inc., 3.30%, 12/15/22 | 170,000 | 171,729 | |||||
GLP Capital LP / GLP Financing II, Inc., 4.875%, 11/1/20 | 95,000 | 98,800 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 70,000 | 73,675 | |||||
Harland Clarke Holdings Corp., 9.25%, 3/1/21(5) | 35,000 | 33,556 | |||||
Navient Corp., 5.00%, 10/26/20 | 100,000 | 100,000 | |||||
Navient Corp., 5.50%, 1/25/23 | 470,000 | 459,425 | |||||
OneMain Financial Holdings, Inc., 6.75%, 12/15/19(5) | 50,000 | 53,625 | |||||
PNC Bank N.A., 6.00%, 12/7/17 | 640,000 | 709,420 | |||||
Springleaf Finance Corp., 7.75%, 10/1/21 | 25,000 | 27,969 | |||||
Springleaf Finance Corp., Series J, MTN, 6.90%, 12/15/17 | 180,000 | 192,600 | |||||
TransUnion, PIK, 9.625%, 6/15/18 | 95,000 | 95,831 | |||||
4,206,771 | |||||||
Containers and Packaging — 0.1% | |||||||
AEP Industries, Inc., 8.25%, 4/15/19 | 175,000 | 180,687 | |||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 9.125%, 10/15/20(5) | 130,000 | 139,100 | |||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 6.75%, 1/31/21(5) | 150,000 | 155,250 | |||||
Ball Corp., 5.00%, 3/15/22 | 125,000 | 129,063 | |||||
Ball Corp., 4.00%, 11/15/23 | 120,000 | 116,250 | |||||
Berry Plastics Corp., 5.50%, 5/15/22 | 135,000 | 138,628 | |||||
Berry Plastics Corp., 5.125%, 7/15/23(4) | 100,000 | 99,750 |
39
Shares/ Principal Amount | Value | ||||||
Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II Issuer, Inc., 6.00%, 6/15/17(5) | $ | 150,000 | $ | 151,875 | |||
BWAY Holding Co., 9.125%, 8/15/21(5) | 80,000 | 83,400 | |||||
Consolidated Container Co., 10.125%, 7/15/20(5) | 100,000 | 89,500 | |||||
Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 1/15/23 | 175,000 | 173,687 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 9.875%, 8/15/19 | 125,000 | 132,891 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.75%, 10/15/20 | 160,000 | 167,400 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 6.875%, 2/15/21 | 100,000 | 106,000 | |||||
Rock-Tenn Co., 3.50%, 3/1/20 | 170,000 | 176,353 | |||||
Sealed Air Corp., 5.125%, 12/1/24(5) | 100,000 | 102,125 | |||||
2,141,959 | |||||||
Diversified Consumer Services† | |||||||
Catholic Health Initiatives, 1.60%, 11/1/17 | 55,000 | 55,068 | |||||
Catholic Health Initiatives, 2.95%, 11/1/22 | 130,000 | 128,266 | |||||
Johns Hopkins University, 4.08%, 7/1/53 | 50,000 | 49,585 | |||||
Laureate Education, Inc., 10.00%, 9/1/19(5) | 125,000 | 121,407 | |||||
Service Corp. International / US, 5.375%, 1/15/22 | 75,000 | 80,250 | |||||
434,576 | |||||||
Diversified Financial Services — 0.6% | |||||||
Ally Financial, Inc., 2.75%, 1/30/17 | 70,000 | 70,294 | |||||
Ally Financial, Inc., 5.50%, 2/15/17 | 125,000 | 130,937 | |||||
Ally Financial, Inc., 6.25%, 12/1/17 | 150,000 | 161,250 | |||||
Ally Financial, Inc., 4.75%, 9/10/18 | 150,000 | 155,625 | |||||
Ally Financial, Inc., 3.50%, 1/27/19 | 195,000 | 194,025 | |||||
Ally Financial, Inc., 8.00%, 3/15/20 | 145,000 | 171,825 | |||||
Ally Financial, Inc., 8.00%, 11/1/31 | 75,000 | 92,531 | |||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 150,000 | 292,061 | ||||
Credit Suisse Group Guernsey I Ltd., VRN, 7.875%, 8/24/16 | $ | 125,000 | 132,422 | ||||
Denali Borrower LLC / Denali Finance Corp., 5.625%, 10/15/20(5) | 185,000 | 196,794 | |||||
Deutsche Bank AG, MTN, 2.75%, 2/17/25 | EUR | 96,000 | 104,680 | ||||
DFC Finance Corp., 10.50%, 6/15/20(5) | $ | 30,000 | 23,250 | ||||
GE Capital European Funding, MTN, 5.375%, 1/23/20 | EUR | 220,000 | 294,009 | ||||
General Electric Capital Corp., MTN, 5.625%, 9/15/17 | $ | 710,000 | 780,079 | ||||
General Electric Capital Corp., MTN, 4.375%, 9/16/20 | 900,000 | 996,169 | |||||
Goldman Sachs Group, Inc. (The), 2.375%, 1/22/18 | 450,000 | 456,918 | |||||
Goldman Sachs Group, Inc. (The), 2.90%, 7/19/18 | 580,000 | 597,255 | |||||
Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22 | 580,000 | 668,476 | |||||
Goldman Sachs Group, Inc. (The), 4.00%, 3/3/24 | 200,000 | 206,285 | |||||
Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | 260,000 | 319,011 | |||||
Goldman Sachs Group, Inc. (The), MTN, 4.80%, 7/8/44 | 90,000 | 93,521 | |||||
HUB International Ltd., 7.875%, 10/1/21(5) | 75,000 | 77,625 | |||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.00%, 8/1/20 | 90,000 | 97,087 | |||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.875%, 2/1/22 | 80,000 | 84,200 |
40
Shares/ Principal Amount | Value | ||||||
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20(5) | $ | 75,000 | $ | 75,563 | |||
Morgan Stanley, 5.00%, 11/24/25 | 520,000 | 560,768 | |||||
Morgan Stanley, MTN, 6.625%, 4/1/18 | 560,000 | 633,735 | |||||
Morgan Stanley, MTN, 5.625%, 9/23/19 | 770,000 | 871,116 | |||||
Morgan Stanley, MTN, 3.70%, 10/23/24 | 50,000 | 50,902 | |||||
Nationwide Building Society, MTN, 6.75%, 7/22/20 | EUR | 200,000 | 274,663 | ||||
Serta Simmons Holdings LLC, 8.125%, 10/1/20(5) | $ | 240,000 | 256,800 | ||||
Societe Generale SA, VRN, 5.92%, 4/5/17(5) | 105,000 | 109,856 | |||||
UBS AG, 7.625%, 8/17/22 | 175,000 | 208,404 | |||||
UBS AG (Stamford Branch), 5.875%, 12/20/17 | 297,000 | 328,312 | |||||
9,766,448 | |||||||
Diversified Telecommunication Services — 0.5% | |||||||
AT&T, Inc., 3.875%, 8/15/21 | 100,000 | 104,909 | |||||
AT&T, Inc., 2.625%, 12/1/22 | 170,000 | 163,280 | |||||
AT&T, Inc., 2.60%, 12/17/29 | EUR | 120,000 | 135,730 | ||||
AT&T, Inc., 6.55%, 2/15/39 | $ | 290,000 | 340,153 | ||||
AT&T, Inc., 4.30%, 12/15/42 | 210,000 | 189,197 | |||||
British Telecommunications plc, 5.95%, 1/15/18 | 420,000 | 467,716 | |||||
CenturyLink, Inc., 5.625%, 4/1/20 | 420,000 | 439,950 | |||||
CenturyLink, Inc., 7.65%, 3/15/42 | 100,000 | 97,500 | |||||
Deutsche Telekom International Finance BV, 2.25%, 3/6/17(5) | 250,000 | 253,994 | |||||
Frontier Communications Corp., 7.125%, 3/15/19 | 220,000 | 234,850 | |||||
Frontier Communications Corp., 8.50%, 4/15/20 | 90,000 | 96,525 | |||||
Frontier Communications Corp., 7.125%, 1/15/23 | 125,000 | 120,312 | |||||
Frontier Communications Corp., 6.875%, 1/15/25 | 140,000 | 128,275 | |||||
Hughes Satellite Systems Corp., 6.50%, 6/15/19 | 94,000 | 103,753 | |||||
Inmarsat Finance plc, 4.875%, 5/15/22(5) | 50,000 | 49,625 | |||||
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 | 325,000 | 334,344 | |||||
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 | 175,000 | 178,062 | |||||
Intelsat Jackson Holdings SA, 6.625%, 12/15/22 | 45,000 | 42,075 | |||||
Intelsat Luxembourg SA, 7.75%, 6/1/21 | 145,000 | 131,406 | |||||
Intelsat Luxembourg SA, 8.125%, 6/1/23 | 45,000 | 40,275 | |||||
Level 3 Financing, Inc., 7.00%, 6/1/20 | 125,000 | 134,219 | |||||
Level 3 Financing, Inc., 8.625%, 7/15/20 | 175,000 | 189,219 | |||||
Level 3 Financing, Inc., 5.375%, 8/15/22 | 40,000 | 41,050 | |||||
Level 3 Financing, Inc., 5.375%, 5/1/25(5) | 50,000 | 49,813 | |||||
Orange SA, 4.125%, 9/14/21 | 180,000 | 196,342 | |||||
Orange SA, MTN, VRN, 4.00%, 10/1/21 | EUR | 250,000 | 288,990 | ||||
Softbank Corp., 4.50%, 4/15/20(5) | $ | 120,000 | 123,600 | ||||
Sprint Capital Corp., 6.90%, 5/1/19 | 250,000 | 259,900 | |||||
Sprint Capital Corp., 8.75%, 3/15/32 | 105,000 | 107,362 | |||||
Telecom Italia Capital SA, 7.00%, 6/4/18 | 205,000 | 229,221 | |||||
Telecom Italia Capital SA, 6.375%, 11/15/33 | 347,000 | 366,952 | |||||
Telecom Italia Capital SA, 7.72%, 6/4/38 | 125,000 | 144,375 | |||||
Telecom Italia SpA, MTN, 5.875%, 5/19/23 | GBP | 150,000 | 253,339 | ||||
Telefonica Europe BV, VRN, 5.875%, 3/31/24 | EUR | 100,000 | 123,451 |
41
Shares/ Principal Amount | Value | ||||||
Verizon Communications, Inc., 3.65%, 9/14/18 | $ | 550,000 | $ | 580,099 | |||
Verizon Communications, Inc., 3.50%, 11/1/21 | 140,000 | 145,580 | |||||
Verizon Communications, Inc., 5.15%, 9/15/23 | 380,000 | 425,223 | |||||
Verizon Communications, Inc., 5.05%, 3/15/34 | 750,000 | 779,029 | |||||
Verizon Communications, Inc., 4.75%, 11/1/41 | 100,000 | 97,734 | |||||
Verizon Communications, Inc., 6.55%, 9/15/43 | 146,000 | 177,162 | |||||
Verizon Communications, Inc., 4.86%, 8/21/46 | 90,000 | 86,751 | |||||
Verizon Communications, Inc., 5.01%, 8/21/54 | 144,000 | 136,745 | |||||
Virgin Media Finance plc, 5.75%, 1/15/25(5) | 210,000 | 215,250 | |||||
Windstream Corp., 7.875%, 11/1/17 | 20,000 | 21,625 | |||||
Windstream Corp., 7.75%, 10/15/20 | 120,000 | 122,400 | |||||
Windstream Corp., 6.375%, 8/1/23 | 100,000 | 84,375 | |||||
9,031,737 | |||||||
Electric Utilities† | |||||||
AES Corp. (The), 4.875%, 5/15/23 | 405,000 | 390,825 | |||||
Atlantic Power Corp., 9.00%, 11/15/18 | 200,000 | 209,500 | |||||
Terna Rete Elettrica Nazionale SpA, MTN, 2.875%, 2/16/18 | EUR | 100,000 | 116,854 | ||||
717,179 | |||||||
Electronic Equipment, Instruments and Components† | |||||||
Sanmina Corp., 4.375%, 6/1/19(5) | $ | 213,000 | 214,597 | ||||
Viasystems, Inc., 7.875%, 5/1/19(5) | 50,000 | 53,188 | |||||
267,785 | |||||||
Energy Equipment and Services — 0.1% | |||||||
Basic Energy Services, Inc., 7.75%, 2/15/19 | 55,000 | 47,438 | |||||
Ensco plc, 4.70%, 3/15/21 | 300,000 | 310,482 | |||||
FTS International, Inc., 6.25%, 5/1/22 | 120,000 | 96,300 | |||||
Hornbeck Offshore Services, Inc., 5.00%, 3/1/21 | 150,000 | 131,250 | |||||
Offshore Group Investment Ltd., 7.125%, 4/1/23 | 100,000 | 70,500 | |||||
Pacific Drilling SA, 5.375%, 6/1/20(5) | 50,000 | 41,500 | |||||
Paragon Offshore plc, 7.25%, 8/15/24(5) | 90,000 | 37,800 | |||||
Petroleum Geo-Services ASA, 7.375%, 12/15/18(5) | 100,000 | 95,750 | |||||
Precision Drilling Corp., 6.50%, 12/15/21 | 45,000 | 44,775 | |||||
Precision Drilling Corp., 5.25%, 11/15/24 | 105,000 | 93,056 | |||||
Schlumberger Investment SA, 3.65%, 12/1/23 | 170,000 | 179,129 | |||||
SESI LLC, 6.375%, 5/1/19 | 50,000 | 51,625 | |||||
Transocean, Inc., 3.00%, 10/15/17 | 110,000 | 107,594 | |||||
Transocean, Inc., 6.00%, 3/15/18 | 70,000 | 71,575 | |||||
Transocean, Inc., 6.50%, 11/15/20 | 145,000 | 139,472 | |||||
Transocean, Inc., 6.375%, 12/15/21 | 110,000 | 103,812 | |||||
Weatherford International Ltd., 4.50%, 4/15/22 | 150,000 | 145,272 | |||||
1,767,330 | |||||||
Financial Services† | |||||||
Argos Merger Sub, Inc., 7.125%, 3/15/23(5) | 215,000 | 228,438 | |||||
Food and Staples Retailing — 0.1% | |||||||
Albertsons Holdings LLC / Saturn Acquisition Merger Sub, Inc., 7.75%, 10/15/22(5) | 27,000 | 29,261 | |||||
BI-LO LLC / BI-LO Finance Corp., 9.25%, 2/15/19(5) | 40,000 | 41,700 |
42
Shares/ Principal Amount | Value | ||||||
Delhaize Group SA, 5.70%, 10/1/40 | $ | 90,000 | $ | 95,093 | |||
Dollar General Corp., 3.25%, 4/15/23 | 120,000 | 116,476 | |||||
Family Tree Escrow LLC, 5.75%, 3/1/23(5) | 180,000 | 190,575 | |||||
Kroger Co. (The), 6.40%, 8/15/17 | 320,000 | 354,114 | |||||
Kroger Co. (The), 3.30%, 1/15/21 | 190,000 | 196,259 | |||||
Rite Aid Corp., 6.75%, 6/15/21 | 85,000 | 89,675 | |||||
Rite Aid Corp., 6.125%, 4/1/23(5) | 175,000 | 182,656 | |||||
SUPERVALU, Inc., 6.75%, 6/1/21 | 80,000 | 82,350 | |||||
Tesco Corporate Treasury Services plc, MTN, 2.50%, 7/1/24 | EUR | 100,000 | 107,455 | ||||
Tesco plc, 6.15%, 11/15/37(5) | $ | 80,000 | 81,129 | ||||
Wal-Mart Stores, Inc., 2.55%, 4/11/23 | 280,000 | 278,849 | |||||
Wal-Mart Stores, Inc., 5.625%, 4/1/40 | 340,000 | 417,620 | |||||
2,263,212 | |||||||
Food Products — 0.1% | |||||||
Aramark Services, Inc., 5.75%, 3/15/20 | 70,000 | 73,194 | |||||
HJ Heinz Co., 4.875%, 2/15/25(5) | 295,000 | 318,600 | |||||
JBS Investments GmbH, 7.25%, 4/3/24(5) | 70,000 | 75,075 | |||||
JBS USA LLC / JBS USA Finance, Inc., 8.25%, 2/1/20(5) | 90,000 | 96,435 | |||||
JBS USA LLC / JBS USA Finance, Inc., 7.25%, 6/1/21(5) | 70,000 | 74,305 | |||||
Kellogg Co., 4.45%, 5/30/16 | 500,000 | 517,497 | |||||
Kraft Foods Group, Inc., 5.00%, 6/4/42 | 90,000 | 93,004 | |||||
Mondelez International, Inc., 4.00%, 2/1/24 | 220,000 | 234,175 | |||||
NBTY, Inc., 9.00%, 10/1/18 | 75,000 | 78,375 | |||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(5) | 175,000 | 178,062 | |||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 4.875%, 5/1/21 | 105,000 | 106,050 | |||||
Post Holdings, Inc., 7.375%, 2/15/22 | 160,000 | 164,333 | |||||
Smithfield Foods, Inc., 6.625%, 8/15/22 | 80,000 | 86,760 | |||||
Tyson Foods, Inc., 4.50%, 6/15/22 | 160,000 | 173,074 | |||||
2,268,939 | |||||||
Gas Utilities — 0.4% | |||||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.00%, 12/15/20 | 70,000 | 73,675 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, 4/1/23(5) | 40,000 | 42,327 | |||||
Enbridge Energy Partners LP, 6.50%, 4/15/18 | 240,000 | 267,547 | |||||
Enbridge, Inc., 4.50%, 6/10/44 | 120,000 | 107,426 | |||||
Energy Transfer Equity LP, 5.875%, 1/15/24 | 105,000 | 112,087 | |||||
Energy Transfer Partners LP, 4.15%, 10/1/20 | 200,000 | 208,674 | |||||
Energy Transfer Partners LP, 5.20%, 2/1/22 | 80,000 | 85,531 | |||||
Energy Transfer Partners LP, 3.60%, 2/1/23 | 170,000 | 165,457 | |||||
Energy Transfer Partners LP, 6.50%, 2/1/42 | 100,000 | 110,310 | |||||
Enterprise Products Operating LLC, 6.30%, 9/15/17 | 340,000 | 376,877 | |||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 360,000 | 361,429 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 130,000 | 128,700 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 4/1/20 | 150,000 | 172,954 | |||||
Kinder Morgan Energy Partners LP, 3.95%, 9/1/22 | 40,000 | 40,382 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 300,000 | 318,457 |
43
Shares/ Principal Amount | Value | ||||||
Kinder Morgan, Inc., 4.30%, 6/1/25 | $ | 70,000 | $ | 70,124 | |||
Magellan Midstream Partners LP, 6.55%, 7/15/19 | 200,000 | 232,550 | |||||
Magellan Midstream Partners LP, 5.15%, 10/15/43 | 80,000 | 84,608 | |||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp., 6.25%, 6/15/22 | 163,000 | 181,411 | |||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp., 4.875%, 12/1/24 | 130,000 | 131,950 | |||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp., 4.875%, 6/1/25(4) | 50,000 | 49,813 | |||||
NGPL PipeCo LLC, 7.12%, 12/15/17(5) | 150,000 | 155,062 | |||||
Plains All American Pipeline LP / PAA Finance Corp., 3.65%, 6/1/22 | 270,000 | 277,112 | |||||
Regency Energy Partners LP / Regency Energy Finance Corp., 5.50%, 4/15/23 | 125,000 | 130,000 | |||||
Regency Energy Partners LP / Regency Energy Finance Corp., 4.50%, 11/1/23 | 120,000 | 121,260 | |||||
Rockies Express Pipeline LLC, 5.625%, 4/15/20(5) | 355,000 | 374,525 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 2/1/21 | 100,000 | 103,813 | |||||
Sabine Pass Liquefaction LLC, 6.25%, 3/15/22 | 125,000 | 132,187 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 4/15/23 | 190,000 | 194,275 | |||||
Sunoco Logistics Partners Operations LP, 3.45%, 1/15/23 | 260,000 | 252,464 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.00%, 1/15/18(5) | 70,000 | 72,625 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.375%, 8/1/22 | 56,000 | 59,500 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 204,000 | 197,370 | |||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 5.50%, 10/15/19(5) | 120,000 | 127,500 | |||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 6.25%, 10/15/22(5) | 100,000 | 106,250 | |||||
TransCanada PipeLines Ltd., 2.50%, 8/1/22 | 180,000 | 174,655 | |||||
Williams Cos., Inc. (The), 3.70%, 1/15/23 | 130,000 | 126,848 | |||||
Williams Cos., Inc. (The), 5.75%, 6/24/44 | 80,000 | 81,425 | |||||
Williams Partners LP, 5.10%, 9/15/45 | 100,000 | 94,493 | |||||
6,103,653 | |||||||
Health Care Equipment and Supplies — 0.1% | |||||||
Alere, Inc., 8.625%, 10/1/18 | 60,000 | 62,437 | |||||
Alere, Inc., 6.50%, 6/15/20 | 100,000 | 105,750 | |||||
Baxter International, Inc., 3.20%, 6/15/23 | 90,000 | 89,539 | |||||
Becton Dickinson and Co., 3.73%, 12/15/24 | 120,000 | 122,662 | |||||
Crimson Merger Sub, Inc., 6.625%, 5/15/22(5) | 40,000 | 35,250 | |||||
DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp., 8.125%, 6/15/21(5) | 70,000 | 72,275 | |||||
Hospira, Inc., 5.60%, 9/15/40 | 70,000 | 82,066 | |||||
Kinetic Concepts, Inc. / KCI USA, Inc., 10.50%, 11/1/18 | 200,000 | 215,600 | |||||
Kinetic Concepts, Inc. / KCI USA, Inc., 12.50%, 11/1/19 | 50,000 | 54,750 | |||||
Mallinckrodt International Finance SA, 4.75%, 4/15/23 | 160,000 | 155,100 | |||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.75%, 8/1/22(5) | 110,000 | 115,637 | |||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.50%, 4/15/25(5) | 100,000 | 100,950 |
44
Shares/ Principal Amount | Value | ||||||
Medtronic, Inc., 2.50%, 3/15/20(5) | $ | 120,000 | $ | 121,729 | |||
Medtronic, Inc., 2.75%, 4/1/23 | 50,000 | 49,415 | |||||
Medtronic, Inc., 3.50%, 3/15/25(5) | 160,000 | 164,095 | |||||
Medtronic, Inc., 4.375%, 3/15/35(5) | 130,000 | 132,964 | |||||
Zimmer Holdings, Inc., 2.70%, 4/1/20 | 100,000 | 100,773 | |||||
1,780,992 | |||||||
Health Care Providers and Services — 0.3% | |||||||
Acadia Healthcare Co., Inc., 5.125%, 7/1/22 | 135,000 | 135,338 | |||||
Acadia Healthcare Co., Inc., 5.625%, 2/15/23(5) | 110,000 | 113,025 | |||||
Aetna, Inc., 2.75%, 11/15/22 | 160,000 | 158,688 | |||||
Amsurg Corp., 5.625%, 7/15/22 | 195,000 | 200,362 | |||||
CHS / Community Health Systems, Inc., 8.00%, 11/15/19 | 155,000 | 165,075 | |||||
CHS / Community Health Systems, Inc., 7.125%, 7/15/20 | 60,000 | 64,125 | |||||
CHS / Community Health Systems, Inc., 5.125%, 8/1/21 | 40,000 | 41,600 | |||||
CHS / Community Health Systems, Inc., 6.875%, 2/1/22 | 100,000 | 107,125 | |||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 | 120,000 | 128,100 | |||||
DaVita HealthCare Partners, Inc., 5.125%, 7/15/24 | 230,000 | 232,875 | |||||
DaVita HealthCare Partners, Inc., 5.00%, 5/1/25 | 80,000 | 79,500 | |||||
Express Scripts Holding Co., 2.65%, 2/15/17 | 300,000 | 307,003 | |||||
Express Scripts Holding Co., 7.25%, 6/15/19 | 220,000 | 262,599 | |||||
Fresenius Medical Care US Finance II, Inc., 5.875%, 1/31/22(5) | 145,000 | 158,050 | |||||
Fresenius Medical Care US Finance II, Inc., 4.75%, 10/15/24(5) | 125,000 | 127,500 | |||||
HCA, Inc., 3.75%, 3/15/19 | 130,000 | 132,275 | |||||
HCA, Inc., 4.25%, 10/15/19 | 125,000 | 129,894 | |||||
HCA, Inc., 6.50%, 2/15/20 | 150,000 | 167,812 | |||||
HCA, Inc., 7.50%, 2/15/22 | 220,000 | 257,950 | |||||
HCA, Inc., 5.875%, 3/15/22 | 75,000 | 84,000 | |||||
HCA, Inc., 4.75%, 5/1/23 | 195,000 | 202,312 | |||||
HCA, Inc., 5.375%, 2/1/25 | 270,000 | 278,775 | |||||
HealthSouth Corp., 5.75%, 11/1/24 | 95,000 | 98,444 | |||||
IASIS Healthcare LLC / IASIS Capital Corp., 8.375%, 5/15/19 | 230,000 | 241,069 | |||||
Kindred Healthcare, Inc., 8.00%, 1/15/20(5) | 145,000 | 157,144 | |||||
Kindred Healthcare, Inc., 6.375%, 4/15/22 | 75,000 | 76,781 | |||||
LifePoint Hospitals, Inc., 5.50%, 12/1/21 | 175,000 | 184,406 | |||||
NYU Hospitals Center, 4.43%, 7/1/42 | 110,000 | 108,361 | |||||
Tenet Healthcare Corp., 5.00%, 3/1/19(5) | 160,000 | 160,200 | |||||
Tenet Healthcare Corp., 8.00%, 8/1/20 | 170,000 | 178,075 | |||||
Tenet Healthcare Corp., 6.00%, 10/1/20 | 205,000 | 219,862 | |||||
Tenet Healthcare Corp., 4.50%, 4/1/21 | 40,000 | 39,750 | |||||
Tenet Healthcare Corp., 8.125%, 4/1/22 | 335,000 | 365,987 | |||||
UnitedHealth Group, Inc., 2.875%, 3/15/23 | 130,000 | 130,469 | |||||
Universal Health Services, Inc., 4.75%, 8/1/22(5) | 150,000 | 156,937 | |||||
5,651,468 | |||||||
Hotels, Restaurants and Leisure — 0.2% | |||||||
1011778 B.C. ULC / New Red Finance, Inc., 6.00%, 4/1/22(5) | 260,000 | 270,270 | |||||
Affinity Gaming LLC / Affinity Gaming Finance Corp., 9.00%, 5/15/18 | 75,000 | 75,375 |
45
Shares/ Principal Amount | Value | ||||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 8.00%, 10/1/20 | $ | 60,000 | $ | 61,050 | |||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 11.00%, 10/1/21 | 110,000 | 103,048 | |||||
CEC Entertainment, Inc., 8.00%, 2/15/22 | 25,000 | 25,500 | |||||
Felcor Lodging LP, 5.625%, 3/1/23 | 100,000 | 105,000 | |||||
Golden Nugget Escrow, Inc., 8.50%, 12/1/21(5) | 125,000 | 131,875 | |||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 5.625%, 10/15/21 | 260,000 | 275,275 | |||||
MGM Resorts International, 8.625%, 2/1/19 | 80,000 | 92,400 | |||||
MGM Resorts International, 5.25%, 3/31/20 | 150,000 | 155,250 | |||||
MGM Resorts International, 6.00%, 3/15/23 | 100,000 | 104,125 | |||||
Pinnacle Entertainment, 7.50%, 4/15/21 | 180,000 | 191,925 | |||||
Royal Caribbean Cruises Ltd., 5.25%, 11/15/22 | 85,000 | 90,100 | |||||
Scientific Games International, Inc., 6.25%, 9/1/20 | 45,000 | 34,650 | |||||
Scientific Games International, Inc., 7.00%, 1/1/22(5) | 50,000 | 52,375 | |||||
Scientific Games International, Inc., 10.00%, 12/1/22 | 115,000 | 111,837 | |||||
Station Casinos LLC, 7.50%, 3/1/21 | 460,000 | 492,200 | |||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(5) | 35,000 | 35,175 | |||||
Wynn Macau Ltd., 5.25%, 10/15/21(5) | 200,000 | 195,500 | |||||
2,602,930 | |||||||
Household Durables — 0.1% | |||||||
Beazer Homes USA, Inc., 7.25%, 2/1/23 | 21,000 | 20,580 | |||||
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., 6.125%, 7/1/22(5) | 125,000 | 126,250 | |||||
Century Communities, Inc., 6.875%, 5/15/22 | 30,000 | 30,000 | |||||
K Hovnanian Enterprises, Inc., 7.00%, 1/15/19(5) | 460,000 | 432,400 | |||||
KB Home, 4.75%, 5/15/19 | 35,000 | 35,000 | |||||
KB Home, 8.00%, 3/15/20 | 50,000 | 55,813 | |||||
Lennar Corp., 4.50%, 6/15/19 | 40,000 | 41,200 | |||||
Meritage Homes Corp., 7.00%, 4/1/22 | 125,000 | 135,000 | |||||
Shea Homes LP / Shea Homes Funding Corp., 5.875%, 4/1/23(5) | 105,000 | 108,675 | |||||
Standard Pacific Corp., 8.375%, 5/15/18 | 355,000 | 408,250 | |||||
Taylor Morrison Communities, Inc. / Monarch Communities, Inc., 5.625%, 3/1/24(5) | 195,000 | 192,562 | |||||
Toll Brothers Finance Corp., 4.00%, 12/31/18 | 100,000 | 102,750 | |||||
Toll Brothers Finance Corp., 6.75%, 11/1/19 | 170,000 | 192,525 | |||||
TRI Pointe Holdings, Inc., 5.875%, 6/15/24(5) | 200,000 | 197,500 | |||||
WCI Communities, Inc., 6.875%, 8/15/21 | 160,000 | 167,600 | |||||
William Lyon Homes, Inc., 8.50%, 11/15/20 | 125,000 | 136,562 | |||||
2,382,667 | |||||||
Household Products — 0.1% | |||||||
Energizer SpinCo, Inc., 5.50%, 6/15/25(4)(5) | 70,000 | 70,175 | |||||
Spectrum Brands, Inc., 6.75%, 3/15/20 | 125,000 | 131,875 | |||||
Spectrum Brands, Inc., 6.375%, 11/15/20 | 255,000 | 273,487 | |||||
Spectrum Brands, Inc., 6.625%, 11/15/22 | 130,000 | 140,075 | |||||
Spectrum Brands, Inc., 5.75%, 7/15/25(5) | 130,000 | 134,225 | |||||
749,837 |
46
Shares/ Principal Amount | Value | ||||||
Industrial Conglomerates — 0.1% | |||||||
Algeco Scotsman Global Finance plc, 10.75%, 10/15/19(5) | $ | 90,000 | $ | 72,675 | |||
General Electric Co., 5.25%, 12/6/17 | 550,000 | 604,056 | |||||
General Electric Co., 4.125%, 10/9/42 | 240,000 | 239,651 | |||||
HD Supply, Inc., 7.50%, 7/15/20 | 285,000 | 309,581 | |||||
HD Supply, Inc., 5.25%, 12/15/21(5) | 100,000 | 104,375 | |||||
Ingersoll-Rand Luxembourg Finance SA, 3.55%, 11/1/24 | 150,000 | 150,319 | |||||
Jack Cooper Holdings Corp., 10.25%, 6/1/20(5) | 35,000 | 30,844 | |||||
Signode Industrial Group Lux SA / Signode Industrial Group US, Inc., 6.375%, 5/1/22(5) | 135,000 | 135,675 | |||||
1,647,176 | |||||||
Insurance — 0.4% | |||||||
ACE INA Holdings, Inc., 3.15%, 3/15/25 | 140,000 | 139,844 | |||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, 4.50%, 5/15/21(5) | 150,000 | 156,375 | |||||
Allianz Finance II BV, MTN, 4.75%, 7/22/19 | EUR | 150,000 | 193,823 | ||||
Allianz SE, MTN, VRN, 4.75%, 10/24/23 | EUR | 200,000 | 247,792 | ||||
Allstate Corp. (The), VRN, 5.75%, 8/15/23 | $ | 100,000 | 107,813 | ||||
American International Group, Inc., 4.875%, 6/1/22 | 540,000 | 602,627 | |||||
American International Group, Inc., 4.50%, 7/16/44 | 110,000 | 109,841 | |||||
American International Group, Inc., MTN, 5.85%, 1/16/18 | 310,000 | 343,532 | |||||
Assicurazioni Generali SpA, MTN, 4.125%, 5/4/26 | EUR | 100,000 | 120,686 | ||||
AXA SA, 7.125%, 12/15/20 | GBP | 150,000 | 275,856 | ||||
Berkshire Hathaway Finance Corp., 4.25%, 1/15/21 | $ | 180,000 | 199,133 | ||||
Berkshire Hathaway Finance Corp., 3.00%, 5/15/22 | 110,000 | 113,002 | |||||
Berkshire Hathaway, Inc., 4.50%, 2/11/43 | 170,000 | 177,759 | |||||
CNP Assurances, VRN, 4.00%, 11/18/24 | EUR | 300,000 | 342,011 | ||||
Generali Finance BV, MTN, VRN, 4.60%, 11/21/25 | EUR | 150,000 | 168,452 | ||||
Genworth Financial, Inc., 7.625%, 9/24/21 | $ | 35,000 | 37,100 | ||||
Genworth Financial, Inc., VRN, 6.15%, 11/15/16 | 140,000 | 88,200 | |||||
Hartford Financial Services Group, Inc. (The), 5.95%, 10/15/36 | 60,000 | 72,876 | |||||
International Lease Finance Corp., 8.75%, 3/15/17 | 215,000 | 238,112 | |||||
International Lease Finance Corp., 6.25%, 5/15/19 | 195,000 | 216,937 | |||||
Liberty Mutual Group, Inc., 4.95%, 5/1/22(5) | 50,000 | 54,594 | |||||
Liberty Mutual Group, Inc., 4.85%, 8/1/44(5) | 190,000 | 191,361 | |||||
Liberty Mutual Group, Inc., VRN, 7.00%, 3/15/17(5) | 175,000 | 180,469 | |||||
Lincoln National Corp., 6.25%, 2/15/20 | 300,000 | 350,607 | |||||
Markel Corp., 4.90%, 7/1/22 | 200,000 | 219,082 | |||||
Markel Corp., 3.625%, 3/30/23 | 80,000 | 80,715 | |||||
MetLife, Inc., 4.125%, 8/13/42 | 90,000 | 87,120 | |||||
MetLife, Inc., 4.875%, 11/13/43 | 50,000 | 54,036 | |||||
Metropolitan Life Global Funding I, 3.00%, 1/10/23(5) | 250,000 | 250,283 | |||||
Principal Financial Group, Inc., 3.30%, 9/15/22 | 80,000 | 81,175 | |||||
Prudential Financial, Inc., MTN, 5.375%, 6/21/20 | 160,000 | 182,298 | |||||
Prudential Financial, Inc., MTN, 5.625%, 5/12/41 | 190,000 | 214,833 | |||||
Swiss Re Capital I LP, VRN, 6.85%, 5/25/16(5) | 200,000 | 206,990 | |||||
TIAA Asset Management Finance Co. LLC, 4.125%, 11/1/24(5) | 110,000 | 113,968 |
47
Shares/ Principal Amount | Value | ||||||
Travelers Cos., Inc. (The), 4.60%, 8/1/43 | $ | 110,000 | $ | 118,483 | |||
USI Inc. / NY, 7.75%, 1/15/21(5) | 50,000 | 51,250 | |||||
Voya Financial, Inc., 5.50%, 7/15/22 | 200,000 | 228,885 | |||||
Voya Financial, Inc., 5.70%, 7/15/43 | 150,000 | 177,506 | |||||
Voya Financial, Inc., VRN, 5.65%, 5/15/23 | 125,000 | 130,313 | |||||
WR Berkley Corp., 4.625%, 3/15/22 | 130,000 | 139,968 | |||||
WR Berkley Corp., 4.75%, 8/1/44 | 80,000 | 80,042 | |||||
7,145,749 | |||||||
Internet Software and Services† | |||||||
Alibaba Group Holding Ltd., 3.125%, 11/28/21(5) | 200,000 | 200,457 | |||||
Equinix, Inc., 4.875%, 4/1/20 | 50,000 | 51,875 | |||||
Equinix, Inc., 5.375%, 4/1/23 | 75,000 | 77,625 | |||||
IAC / InterActiveCorp, 4.75%, 12/15/22 | 75,000 | 74,906 | |||||
Netflix, Inc., 5.375%, 2/1/21 | 40,000 | 41,900 | |||||
Netflix, Inc., 5.75%, 3/1/24 | 175,000 | 183,750 | |||||
VeriSign, Inc., 4.625%, 5/1/23 | 40,000 | 39,700 | |||||
VeriSign, Inc., 5.25%, 4/1/25(5) | 40,000 | 40,900 | |||||
711,113 | |||||||
IT Services — 0.1% | |||||||
Audatex North America, Inc., 6.00%, 6/15/21(5) | 100,000 | 104,729 | |||||
CDW LLC / CDW Finance Corp., 5.00%, 9/1/23 | 70,000 | 71,977 | |||||
CDW LLC / CDW Finance Corp., 5.50%, 12/1/24 | 75,000 | 78,750 | |||||
Fidelity National Information Services, Inc., 3.50%, 4/15/23 | 120,000 | 118,832 | |||||
First Data Corp., 7.375%, 6/15/19(5) | 255,000 | 265,837 | |||||
First Data Corp., 8.875%, 8/15/20(5) | 110,000 | 116,600 | |||||
First Data Corp., 8.25%, 1/15/21(5) | 545,000 | 582,469 | |||||
First Data Corp., 12.625%, 1/15/21 | 60,000 | 70,425 | |||||
First Data Corp., 11.75%, 8/15/21 | 214,000 | 245,298 | |||||
Xerox Corp., 2.95%, 3/15/17 | 90,000 | 92,532 | |||||
1,747,449 | |||||||
Life Sciences Tools and Services† | |||||||
Thermo Fisher Scientific, Inc., 3.60%, 8/15/21 | 210,000 | 217,389 | |||||
Thermo Fisher Scientific, Inc., 4.15%, 2/1/24 | 180,000 | 188,957 | |||||
Thermo Fisher Scientific, Inc., 5.30%, 2/1/44 | 140,000 | 156,959 | |||||
563,305 | |||||||
Machinery† | |||||||
Case New Holand, Inc., 7.875%, 12/1/17 | 175,000 | 194,469 | |||||
Caterpillar Financial Services Corp., MTN, 2.85%, 6/1/22 | 31,000 | 31,308 | |||||
Deere & Co., 5.375%, 10/16/29 | 65,000 | 78,198 | |||||
Huntington Ingalls Industries, Inc., 7.125%, 3/15/21 | 130,000 | 139,750 | |||||
Navistar International Corp., 8.25%, 11/1/21 | 100,000 | 100,500 | |||||
Terex Corp., 6.50%, 4/1/20 | 50,000 | 52,625 | |||||
Terex Corp., 6.00%, 5/15/21 | 50,000 | 51,125 | |||||
647,975 | |||||||
Marine† | |||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., 7.25%, 2/15/21 | 330,000 | 330,000 |
48
Shares/ Principal Amount | Value | ||||||
Navios Maritime Holdings, Inc. / Navios Maritime Finance US, Inc., 8.125%, 2/15/19 | $ | 50,000 | $ | 42,500 | |||
372,500 | |||||||
Media — 0.7% | |||||||
21st Century Fox America, Inc., 6.90%, 8/15/39 | 260,000 | 340,046 | |||||
21st Century Fox America, Inc., 4.75%, 9/15/44 | 110,000 | 112,280 | |||||
Altice Financing SA, 6.50%, 1/15/22(5) | 155,000 | 159,650 | |||||
Altice Financing SA, 6.625%, 2/15/23(5) | 130,000 | 135,037 | |||||
Altice Finco SA, 7.625%, 2/15/25(5) | 115,000 | 118,162 | |||||
Altice SA, 7.75%, 5/15/22(5) | 170,000 | 172,125 | |||||
Altice SA, 7.625%, 2/15/25(5) | 90,000 | 89,100 | |||||
Cablevision Systems Corp., 5.875%, 9/15/22 | 155,000 | 155,000 | |||||
CBS Corp., 3.50%, 1/15/25 | 150,000 | 146,246 | |||||
CBS Corp., 4.85%, 7/1/42 | 70,000 | 66,912 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 7.375%, 6/1/20 | 145,000 | 154,787 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, 9/30/22 | 330,000 | 335,775 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/23(5) | 70,000 | 70,613 | |||||
Cequel Communications Holdings I LLC / Cequel Capital Corp., 5.125%, 12/15/21(5) | 60,000 | 57,075 | |||||
Cinemark USA, Inc., 5.125%, 12/15/22 | 60,000 | 61,425 | |||||
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/20 | 315,000 | 333,744 | |||||
Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22 | 170,000 | 179,950 | |||||
Comcast Corp., 6.40%, 5/15/38 | 230,000 | 291,990 | |||||
Comcast Corp., 4.75%, 3/1/44 | 150,000 | 159,175 | |||||
CSC Holdings LLC, 7.625%, 7/15/18 | 150,000 | 166,500 | |||||
CSC Holdings LLC, 6.75%, 11/15/21 | 125,000 | 136,406 | |||||
Cumulus Media Holdings, Inc., 7.75%, 5/1/19 | 100,000 | 94,375 | |||||
DirecTV Holdings LLC / DirecTV Financing Co., Inc., 5.00%, 3/1/21 | 160,000 | 176,312 | |||||
DirecTV Holdings LLC / DirecTV Financing Co., Inc., 4.45%, 4/1/24 | 120,000 | 125,816 | |||||
Discovery Communications LLC, 5.625%, 8/15/19 | 130,000 | 146,341 | |||||
Discovery Communications LLC, 3.25%, 4/1/23 | 100,000 | 97,275 | |||||
DISH DBS Corp., 4.625%, 7/15/17 | 130,000 | 135,362 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 270,000 | 289,069 | |||||
DISH DBS Corp., 5.00%, 3/15/23 | 135,000 | 130,950 | |||||
DISH DBS Corp., 5.875%, 11/15/24 | 100,000 | 100,500 | |||||
Embarq Corp., 8.00%, 6/1/36 | 120,000 | 138,000 | |||||
Gannett Co., Inc., 5.50%, 9/15/24(5) | 140,000 | 142,800 | |||||
Gray Television, Inc., 7.50%, 10/1/20 | 75,000 | 80,250 | |||||
iHeartCommunications, Inc., 9.00%, 3/1/21 | 130,000 | 123,337 | |||||
iHeartCommunications, Inc., PIK, 14.00%, 2/1/21 | 123,698 | 95,711 | |||||
Lamar Media Corp., 5.875%, 2/1/22 | 120,000 | 127,050 | |||||
Lamar Media Corp., 5.00%, 5/1/23 | 150,000 | 153,000 | |||||
McClatchy Co. (The), 9.00%, 12/15/22 | 50,000 | 48,938 | |||||
Mediacom LLC / Mediacom Capital Corp., 7.25%, 2/15/22 | 100,000 | 106,500 |
49
Shares/ Principal Amount | Value | ||||||
NBCUniversal Media LLC, 5.15%, 4/30/20 | $ | 150,000 | $ | 170,734 | |||
NBCUniversal Media LLC, 4.375%, 4/1/21 | 260,000 | 285,747 | |||||
NBCUniversal Media LLC, 2.875%, 1/15/23 | 350,000 | 347,672 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 4.50%, 10/1/20 | 114,000 | 116,280 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 5.00%, 4/15/22(5) | 40,000 | 40,300 | |||||
Numericable-SFR SAS, 6.00%, 5/15/22(5) | 390,000 | 394,875 | |||||
Omnicom Group, Inc., 3.625%, 5/1/22 | 30,000 | 30,717 | |||||
Regal Entertainment Group, 5.75%, 3/15/22 | 100,000 | 103,375 | |||||
RR Donnelley & Sons Co., 7.25%, 5/15/18 | 29,000 | 32,190 | |||||
RR Donnelley & Sons Co., 6.00%, 4/1/24 | 140,000 | 145,075 | |||||
Sable International Finance Ltd., 8.75%, 2/1/20(5) | 125,000 | 135,000 | |||||
Scripps Networks Interactive, Inc., 2.80%, 6/15/20(4) | 100,000 | 99,739 | |||||
Sinclair Television Group, Inc., 5.375%, 4/1/21 | 100,000 | 102,125 | |||||
Sinclair Television Group, Inc., 5.625%, 8/1/24(5) | 80,000 | 81,200 | |||||
Sirius XM Radio, Inc., 4.25%, 5/15/20(5) | 75,000 | 75,094 | |||||
Sirius XM Radio, Inc., 5.875%, 10/1/20(5) | 125,000 | 130,469 | |||||
Sirius XM Radio, Inc., 5.75%, 8/1/21(5) | 125,000 | 130,625 | |||||
Sirius XM Radio, Inc., 6.00%, 7/15/24(5) | 95,000 | 98,819 | |||||
Sirius XM Radio, Inc., 5.375%, 4/15/25(5) | 60,000 | 60,240 | |||||
Time Warner Cable, Inc., 6.75%, 7/1/18 | 240,000 | 269,460 | |||||
Time Warner Cable, Inc., 5.50%, 9/1/41 | 80,000 | 77,261 | |||||
Time Warner Cable, Inc., 4.50%, 9/15/42 | 90,000 | 77,996 | |||||
Time Warner, Inc., 7.70%, 5/1/32 | 390,000 | 529,955 | |||||
Time Warner, Inc., 5.35%, 12/15/43 | 120,000 | 130,517 | |||||
Unitymedia KabelBW GmbH, 6.125%, 1/15/25(5) | 95,000 | 98,562 | |||||
Univision Communications, Inc., 8.50%, 5/15/21(5) | 120,000 | 128,400 | |||||
Univision Communications, Inc., 5.125%, 2/15/25(5) | 175,000 | 174,475 | |||||
UPCB Finance IV Ltd., 5.375%, 1/15/25(5) | 135,000 | 135,844 | |||||
Viacom, Inc., 4.50%, 3/1/21 | 40,000 | 42,923 | |||||
Viacom, Inc., 3.125%, 6/15/22 | 100,000 | 97,417 | |||||
Videotron Ltee, 5.00%, 7/15/22 | 125,000 | 129,531 | |||||
Virgin Media Secured Finance plc, 5.25%, 1/15/26(5) | 110,000 | 110,412 | |||||
Visant Corp., 10.00%, 10/1/17 | 150,000 | 127,125 | |||||
Walt Disney Co. (The), MTN, 2.35%, 12/1/22 | 160,000 | 157,368 | |||||
Walt Disney Co. (The), MTN, 4.125%, 6/1/44 | 100,000 | 101,467 | |||||
Wind Acquisition Finance SA, 4.75%, 7/15/20(5) | 130,000 | 131,300 | |||||
Wind Acquisition Finance SA, 7.375%, 4/23/21(5) | 135,000 | 141,075 | |||||
WMG Acquisition Corp., 5.625%, 4/15/22(5) | 150,000 | 153,375 | |||||
Ziggo Bond Finance BV, 5.875%, 1/15/25(5) | 90,000 | 92,138 | |||||
11,240,461 | |||||||
Metals and Mining — 0.2% | |||||||
AK Steel Corp., 7.625%, 5/15/20 | 90,000 | 79,763 | |||||
Alcoa, Inc., 5.40%, 4/15/21 | 100,000 | 109,125 | |||||
Alcoa, Inc., 5.125%, 10/1/24 | 160,000 | 171,600 | |||||
Alcoa, Inc., 5.95%, 2/1/37 | 60,000 | 62,700 | |||||
Aleris International, Inc., 7.625%, 2/15/18 | 47,000 | 48,880 |
50
Shares/ Principal Amount | Value | ||||||
Allegheny Technologies, Inc., 5.95%, 1/15/21 | $ | 70,000 | $ | 72,975 | |||
AngloGold Ashanti Holdings plc, 8.50%, 7/30/20 | 150,000 | 164,356 | |||||
ArcelorMittal, 5.25%, 2/25/17 | 240,000 | 250,800 | |||||
ArcelorMittal, 6.125%, 6/1/18 | 210,000 | 225,750 | |||||
ArcelorMittal, 6.25%, 3/1/21 | 100,000 | 105,875 | |||||
ArcelorMittal, 7.50%, 3/1/41 | 305,000 | 308,812 | |||||
Barrick North America Finance LLC, 4.40%, 5/30/21 | 240,000 | 249,139 | |||||
Barrick North America Finance LLC, 5.75%, 5/1/43 | 70,000 | 70,544 | |||||
BHP Billiton Finance USA Ltd., 3.25%, 11/21/21 | 200,000 | 208,590 | |||||
Cliffs Natural Resources, Inc., 7.75%, 3/31/20(5) | 69,594 | 47,324 | |||||
Cliffs Natural Resources, Inc., 8.25%, 3/31/20(5) | 50,000 | 48,500 | |||||
First Quantum Minerals Ltd., 6.75%, 2/15/20(5) | 45,000 | 44,213 | |||||
First Quantum Minerals Ltd., 7.00%, 2/15/21(5) | 50,000 | 48,688 | |||||
First Quantum Minerals Ltd., 7.25%, 5/15/22(5) | 160,000 | 154,600 | |||||
FMG Resources August 2006 Pty Ltd., 8.25%, 11/1/19(5) | 85,000 | 78,200 | |||||
Freeport-McMoRan, Inc., 4.55%, 11/14/24 | 70,000 | 67,100 | |||||
Glencore Finance Canada Ltd., 4.95%, 11/15/21(5) | 130,000 | 139,819 | |||||
Glencore Finance Europe SA, MTN, 1.625%, 1/18/22 | EUR | 100,000 | 110,936 | ||||
Newmont Mining Corp., 6.25%, 10/1/39 | $ | 80,000 | 80,957 | ||||
PT FMG Resources August 2006 Pty Ltd., 9.75%, 3/1/22(5) | 120,000 | 126,300 | |||||
Southern Copper Corp., 5.25%, 11/8/42 | 60,000 | 54,165 | |||||
Steel Dynamics, Inc., 6.125%, 8/15/19 | 70,000 | 75,075 | |||||
Steel Dynamics, Inc., 5.25%, 4/15/23 | 100,000 | 102,750 | |||||
Teck Resources Ltd., 3.15%, 1/15/17 | 160,000 | 162,431 | |||||
United States Steel Corp., 7.375%, 4/1/20 | 40,000 | 43,100 | |||||
Vale Overseas Ltd., 5.625%, 9/15/19 | 200,000 | 214,626 | |||||
Vale Overseas Ltd., 4.625%, 9/15/20 | 70,000 | 72,786 | |||||
3,800,479 | |||||||
Multi-Utilities — 0.4% | |||||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 140,000 | 141,758 | |||||
Calpine Corp., 5.375%, 1/15/23 | 180,000 | 181,800 | |||||
Calpine Corp., 5.875%, 1/15/24(5) | 50,000 | 53,750 | |||||
Calpine Corp., 5.75%, 1/15/25 | 275,000 | 278,094 | |||||
CenterPoint Energy Houston Electric LLC, 3.55%, 8/1/42 | 30,000 | 27,805 | |||||
Consolidated Edison Co. of New York, Inc., 3.95%, 3/1/43 | 100,000 | 95,547 | |||||
Constellation Energy Group, Inc., 5.15%, 12/1/20 | 200,000 | 223,241 | |||||
Consumers Energy Co., 2.85%, 5/15/22 | 50,000 | 50,538 | |||||
Consumers Energy Co., 3.375%, 8/15/23 | 180,000 | 187,885 | |||||
Dominion Resources, Inc., 6.40%, 6/15/18 | 360,000 | 409,412 | |||||
Dominion Resources, Inc., 2.75%, 9/15/22 | 140,000 | 137,876 | |||||
Dominion Resources, Inc., 3.625%, 12/1/24 | 140,000 | 142,007 | |||||
Dominion Resources, Inc., 4.90%, 8/1/41 | 70,000 | 74,136 | |||||
Duke Energy Florida, Inc., 6.35%, 9/15/37 | 270,000 | 360,386 | |||||
Duke Energy Florida, Inc., 3.85%, 11/15/42 | 130,000 | 125,011 | |||||
Duke Energy Progress, Inc., 4.15%, 12/1/44 | 120,000 | 121,961 | |||||
Dynegy, Inc., 6.75%, 11/1/19(5) | 100,000 | 106,250 | |||||
Dynegy, Inc., 7.375%, 11/1/22(5) | 415,000 | 444,050 | |||||
Dynegy, Inc., 7.625%, 11/1/24(5) | 115,000 | 123,912 | |||||
Edison International, 3.75%, 9/15/17 | 200,000 | 210,952 |
51
Shares/ Principal Amount | Value | ||||||
Exelon Generation Co. LLC, 4.25%, 6/15/22 | $ | 120,000 | $ | 123,329 | |||
Exelon Generation Co. LLC, 5.60%, 6/15/42 | 80,000 | 87,088 | |||||
GDF Suez, VRN, 4.75%, 7/10/21 | EUR | 300,000 | 370,082 | ||||
GenOn Energy, Inc., 9.50%, 10/15/18 | $ | 165,000 | 171,187 | ||||
GenOn Energy, Inc., 9.875%, 10/15/20 | 80,000 | 82,800 | |||||
Georgia Power Co., 4.30%, 3/15/42 | 60,000 | 59,678 | |||||
IPALCO Enterprises, Inc., 5.00%, 5/1/18 | 100,000 | 106,500 | |||||
Nisource Finance Corp., 5.65%, 2/1/45 | 110,000 | 130,150 | |||||
NRG Energy, Inc., 7.625%, 1/15/18 | 200,000 | 223,400 | |||||
NRG Energy, Inc., 6.25%, 7/15/22 | 50,000 | 52,625 | |||||
NRG Energy, Inc., 6.25%, 5/1/24 | 155,000 | 159,262 | |||||
PacifiCorp, 6.00%, 1/15/39 | 110,000 | 138,824 | |||||
Potomac Electric Power Co., 3.60%, 3/15/24 | 120,000 | 125,911 | |||||
Progress Energy, Inc., 3.15%, 4/1/22 | 110,000 | 112,137 | |||||
RJS Power Holdings LLC, 5.125%, 7/15/19(5) | 80,000 | 79,900 | |||||
Sempra Energy, 6.50%, 6/1/16 | 170,000 | 179,619 | |||||
Sempra Energy, 2.40%, 3/15/20 | 110,000 | 110,703 | |||||
Sempra Energy, 2.875%, 10/1/22 | 220,000 | 218,585 | |||||
Southern Power Co., 5.15%, 9/15/41 | 60,000 | 64,676 | |||||
SSE plc, VRN, 2.375%, 4/1/21 | EUR | 300,000 | 325,461 | ||||
Virginia Electric and Power Co., 4.45%, 2/15/44 | $ | 70,000 | 73,543 | ||||
Xcel Energy, Inc., 4.80%, 9/15/41 | 50,000 | 54,085 | |||||
6,545,916 | |||||||
Multiline Retail — 0.1% | |||||||
Bon-Ton Department Stores, Inc. (The), 8.00%, 6/15/21 | 60,000 | 49,050 | |||||
J.C. Penney Corp., Inc., 5.75%, 2/15/18 | 25,000 | 24,813 | |||||
Macy's Retail Holdings, Inc., 3.625%, 6/1/24 | 400,000 | 410,031 | |||||
Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/21(5) | 190,000 | 204,725 | |||||
Target Corp., 4.00%, 7/1/42 | 240,000 | 233,650 | |||||
922,269 | |||||||
Oil, Gas and Consumable Fuels — 0.7% | |||||||
Alpha Natural Resources, Inc., 6.00%, 6/1/19 | 125,000 | 18,750 | |||||
Alpha Natural Resources, Inc., 7.50%, 8/1/20(5) | 20,000 | 4,850 | |||||
AmeriGas Finance LLC / AmeriGas Finance Corp., 6.75%, 5/20/20 | 120,000 | 129,000 | |||||
Anadarko Petroleum Corp., 5.95%, 9/15/16 | 70,000 | 74,204 | |||||
Anadarko Petroleum Corp., 6.45%, 9/15/36 | 120,000 | 143,799 | |||||
Antero Resources Corp., 5.125%, 12/1/22 | 180,000 | 180,450 | |||||
Antero Resources Corp., 5.625%, 6/1/23(5) | 35,000 | 36,120 | |||||
Apache Corp., 4.75%, 4/15/43 | 70,000 | 67,700 | |||||
BP Capital Markets plc, 4.50%, 10/1/20 | 24,000 | 26,574 | |||||
BreitBurn Energy Partners LP / BreitBurn Finance Corp., 7.875%, 4/15/22 | 35,000 | 30,975 | |||||
California Resources Corp., 5.50%, 9/15/21 | 245,000 | 233,362 | |||||
California Resources Corp., 6.00%, 11/15/24 | 200,000 | 185,000 | |||||
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.50%, 4/15/21 | 70,000 | 70,438 |
52
Shares/ Principal Amount | Value | ||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | $ | 145,000 | $ | 154,244 | |||
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 | 70,000 | 71,575 | |||||
Chaparral Energy, Inc., 7.625%, 11/15/22 | 35,000 | 28,175 | |||||
Chesapeake Energy Corp., 6.625%, 8/15/20 | 215,000 | 226,825 | |||||
Chesapeake Energy Corp., 5.375%, 6/15/21 | 100,000 | 99,000 | |||||
Chesapeake Energy Corp., 4.875%, 4/15/22 | 190,000 | 181,925 | |||||
Chesapeake Energy Corp., 5.75%, 3/15/23 | 75,000 | 74,438 | |||||
Chevron Corp., 2.43%, 6/24/20 | 80,000 | 81,702 | |||||
Cimarex Energy Co., 5.875%, 5/1/22 | 70,000 | 75,863 | |||||
Cimarex Energy Co., 4.375%, 6/1/24 | 140,000 | 144,112 | |||||
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 | 150,000 | 157,803 | |||||
Comstock Resources, Inc., 10.00%, 3/15/20(5) | 70,000 | 67,331 | |||||
Concho Resources, Inc., 5.50%, 10/1/22 | 200,000 | 204,000 | |||||
Concho Resources, Inc., 5.50%, 4/1/23 | 195,000 | 198,900 | |||||
ConocoPhillips Holding Co., 6.95%, 4/15/29 | 80,000 | 105,503 | |||||
CONSOL Energy, Inc., 5.875%, 4/15/22 | 100,000 | 94,437 | |||||
Denbury Resources, Inc., 5.50%, 5/1/22 | 60,000 | 57,563 | |||||
Denbury Resources, Inc., 4.625%, 7/15/23 | 125,000 | 114,687 | |||||
Ecopetrol SA, 4.125%, 1/16/25 | 80,000 | 75,840 | |||||
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 | 50,000 | 34,375 | |||||
Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19 | 200,000 | 91,500 | |||||
Energy XXI Gulf Coast, Inc., 6.875%, 3/15/24(5) | 100,000 | 35,500 | |||||
EOG Resources, Inc., 5.625%, 6/1/19 | 380,000 | 434,267 | |||||
EOG Resources, Inc., 4.10%, 2/1/21 | 130,000 | 140,943 | |||||
EP Energy LLC / Everest Acquisition Finance, Inc., 9.375%, 5/1/20 | 265,000 | 289,512 | |||||
EP Energy LLC / Everest Acquisition Finance, Inc., 6.375%, 6/15/23(5) | 55,000 | 55,138 | |||||
EXCO Resources, Inc., 7.50%, 9/15/18 | 120,000 | 83,100 | |||||
Exxon Mobil Corp., 2.71%, 3/6/25 | 240,000 | 238,284 | |||||
Halcon Resources Corp., 8.625%, 2/1/20(5) | 70,000 | 71,225 | |||||
Halcon Resources Corp., 8.875%, 5/15/21 | 138,000 | 97,635 | |||||
Hess Corp., 6.00%, 1/15/40 | 90,000 | 99,212 | |||||
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 10/1/25(4)(5) | 70,000 | 70,000 | |||||
Laredo Petroleum, Inc., 5.625%, 1/15/22 | 75,000 | 75,563 | |||||
Laredo Petroleum, Inc., 6.25%, 3/15/23 | 85,000 | 88,187 | |||||
Linn Energy LLC / Linn Energy Finance Corp., 6.50%, 5/15/19 | 110,000 | 95,425 | |||||
Linn Energy LLC / Linn Energy Finance Corp., 8.625%, 4/15/20 | 155,000 | 140,953 | |||||
Linn Energy LLC / Linn Energy Finance Corp., 6.50%, 9/15/21 | 80,000 | 64,600 | |||||
Marathon Petroleum Corp., 3.50%, 3/1/16 | 70,000 | 71,336 | |||||
MEG Energy Corp., 6.50%, 3/15/21(5) | 50,000 | 48,750 | |||||
MEG Energy Corp., 7.00%, 3/31/24(5) | 150,000 | 145,500 | |||||
Newfield Exploration Co., 5.75%, 1/30/22 | 140,000 | 148,400 | |||||
Newfield Exploration Co., 5.625%, 7/1/24 | 90,000 | 95,175 | |||||
Noble Energy, Inc., 4.15%, 12/15/21 | 300,000 | 316,886 | |||||
Oasis Petroleum, Inc., 6.875%, 3/15/22 | 125,000 | 128,437 | |||||
PBF Holding Co. LLC / PBF Finance Corp., 8.25%, 2/15/20 | 50,000 | 53,625 |
53
Shares/ Principal Amount | Value | ||||||
Peabody Energy Corp., 6.00%, 11/15/18 | $ | 250,000 | $ | 178,750 | |||
Peabody Energy Corp., 6.50%, 9/15/20 | 50,000 | 26,000 | |||||
Peabody Energy Corp., 6.25%, 11/15/21 | 135,000 | 67,163 | |||||
Peabody Energy Corp., 10.00%, 3/15/22(5) | 50,000 | 38,250 | |||||
Pemex Project Funding Master Trust, 6.625%, 6/15/35 | 70,000 | 78,960 | |||||
Penn Virginia Corp., 8.50%, 5/1/20 | 70,000 | 66,675 | |||||
Petro-Canada, 6.80%, 5/15/38 | 160,000 | 206,770 | |||||
Petrobras Global Finance BV, 5.75%, 1/20/20 | 390,000 | 390,546 | |||||
Petrobras Global Finance BV, 5.375%, 1/27/21 | 190,000 | 185,820 | |||||
Petrobras Global Finance BV, 5.625%, 5/20/43 | 60,000 | 49,699 | |||||
Petroleos Mexicanos, 6.00%, 3/5/20 | 190,000 | 215,137 | |||||
Petroleos Mexicanos, 4.875%, 1/24/22 | 40,000 | 42,140 | |||||
Petroleos Mexicanos, 3.50%, 1/30/23 | 70,000 | 67,813 | |||||
Petroleos Mexicanos, 5.50%, 6/27/44 | 230,000 | 225,170 | |||||
Phillips 66, 4.30%, 4/1/22 | 260,000 | 279,909 | |||||
Phillips 66, 4.65%, 11/15/34 | 160,000 | 162,550 | |||||
QEP Resources, Inc., 5.375%, 10/1/22 | 415,000 | 419,150 | |||||
QEP Resources, Inc., 5.25%, 5/1/23 | 125,000 | 125,625 | |||||
Range Resources Corp., 5.75%, 6/1/21 | 110,000 | 114,675 | |||||
Range Resources Corp., 5.00%, 8/15/22 | 160,000 | 160,000 | |||||
Rice Energy, Inc., 6.25%, 5/1/22 | 65,000 | 66,990 | |||||
Rosetta Resources, Inc., 5.875%, 6/1/22 | 95,000 | 101,887 | |||||
Sabine Pass LNG LP, 6.50%, 11/1/20 | 30,000 | 31,725 | |||||
Samson Investment Co., 9.75%, 2/15/20 | 110,000 | 9,625 | |||||
Sanchez Energy Corp., 6.125%, 1/15/23 | 90,000 | 85,950 | |||||
SandRidge Energy, Inc., 7.50%, 3/15/21 | 210,000 | 121,275 | |||||
SandRidge Energy, Inc., 7.50%, 2/15/23 | 60,000 | 33,600 | |||||
Shell International Finance BV, 2.375%, 8/21/22 | 280,000 | 274,552 | |||||
Shell International Finance BV, 3.625%, 8/21/42 | 65,000 | 59,526 | |||||
Shell International Finance BV, MTN, 1.625%, 1/20/27 | EUR | 100,000 | 111,864 | ||||
SM Energy Co., 5.00%, 1/15/24 | $ | 80,000 | 78,800 | ||||
Statoil ASA, 2.45%, 1/17/23 | 230,000 | 224,460 | |||||
Statoil ASA, 3.95%, 5/15/43 | 50,000 | 48,164 | |||||
Statoil ASA, 4.80%, 11/8/43 | 130,000 | 143,016 | |||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.50%, 6/1/24 | 100,000 | 103,750 | |||||
Talisman Energy, Inc., 7.75%, 6/1/19 | 125,000 | 145,475 | |||||
Tesoro Corp., 4.25%, 10/1/17 | 100,000 | 104,000 | |||||
Total Capital Canada Ltd., 2.75%, 7/15/23 | 110,000 | 108,554 | |||||
Total Capital Canada Ltd., MTN, 2.125%, 9/18/29 | EUR | 100,000 | 116,707 | ||||
Total Capital SA, 2.125%, 8/10/18 | $ | 150,000 | 152,975 | ||||
Whiting Petroleum Corp., 5.75%, 3/15/21 | 150,000 | 153,375 | |||||
WPX Energy, Inc., 5.25%, 1/15/17 | 135,000 | 139,050 | |||||
12,144,795 | |||||||
Paper and Forest Products† | |||||||
Georgia-Pacific LLC, 2.54%, 11/15/19(5) | 220,000 | 221,299 | |||||
International Paper Co., 6.00%, 11/15/41 | 50,000 | 56,172 |
54
Shares/ Principal Amount | Value | ||||||
Sappi Papier Holding GmbH, 6.625%, 4/15/21(5) | $ | 200,000 | $ | 211,500 | |||
488,971 | |||||||
Personal Products — 0.1% | |||||||
Avon Products, Inc., 5.75%, 3/15/23 | 95,000 | 83,125 | |||||
Procter & Gamble Co. (The), 3.15%, 9/1/15 | 668,000 | 672,273 | |||||
755,398 | |||||||
Pharmaceuticals — 0.2% | |||||||
AbbVie, Inc., 1.75%, 11/6/17 | 170,000 | 170,695 | |||||
AbbVie, Inc., 2.90%, 11/6/22 | 210,000 | 206,779 | |||||
AbbVie, Inc., 4.40%, 11/6/42 | 240,000 | 232,786 | |||||
Actavis Funding SCS, 3.85%, 6/15/24 | 100,000 | 101,096 | |||||
Actavis Funding SCS, 4.55%, 3/15/35 | 110,000 | 108,949 | |||||
Actavis, Inc., 1.875%, 10/1/17 | 220,000 | 220,712 | |||||
Actavis, Inc., 3.25%, 10/1/22 | 270,000 | 266,729 | |||||
Actavis, Inc., 4.625%, 10/1/42 | 70,000 | 68,416 | |||||
Endo Finance LLC / Endo Finco, Inc., 7.00%, 7/15/19(5) | 95,000 | 99,037 | |||||
Endo Finance LLC / Endo Finco, Inc., 7.00%, 12/15/20(5) | 35,000 | 36,969 | |||||
Endo Finance LLC / Endo Finco, Inc., 7.25%, 1/15/22(5) | 60,000 | 63,975 | |||||
Endo Finance LLC / Endo Finco, Inc., 5.375%, 1/15/23(5) | 120,000 | 117,600 | |||||
Endo Finance LLC / Endo Ltd. / Endo Finco, Inc., 6.00%, 2/1/25(5) | 130,000 | 132,275 | |||||
GlaxoSmithKline Capital plc, 2.85%, 5/8/22 | 44,000 | 44,271 | |||||
Merck & Co., Inc., 2.40%, 9/15/22 | 180,000 | 177,528 | |||||
Perrigo Finance plc, 3.90%, 12/15/24 | 200,000 | 204,022 | |||||
Sanofi, 4.00%, 3/29/21 | 23,000 | 25,110 | |||||
Valeant Pharmaceuticals International, Inc., 6.75%, 8/15/18(5) | 100,000 | 105,875 | |||||
Valeant Pharmaceuticals International, Inc., 5.375%, 3/15/20(5) | 100,000 | 104,500 | |||||
Valeant Pharmaceuticals International, Inc., 7.00%, 10/1/20(5) | 50,000 | 52,438 | |||||
Valeant Pharmaceuticals International, Inc., 6.375%, 10/15/20(5) | 225,000 | 240,609 | |||||
Valeant Pharmaceuticals International, Inc., 7.50%, 7/15/21(5) | 85,000 | 93,203 | |||||
Valeant Pharmaceuticals International, Inc., 6.75%, 8/15/21(5) | 120,000 | 126,300 | |||||
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22(5) | 225,000 | 241,594 | |||||
Valeant Pharmaceuticals International, Inc., 5.50%, 3/1/23(5) | 80,000 | 81,800 | |||||
Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/23(5) | 75,000 | 77,906 | |||||
Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/25(5) | 235,000 | 245,281 | |||||
3,646,455 | |||||||
Real Estate Investment Trusts (REITs) — 0.2% | |||||||
American Tower Corp., 5.05%, 9/1/20 | 170,000 | 187,171 | |||||
Communications Sales & Leasing, Inc., 8.25%, 10/15/23(5) | 140,000 | 143,150 | |||||
Corrections Corp. of America, 4.125%, 4/1/20 | 110,000 | 112,200 | |||||
CTR Partnership LP / CareTrust Capital Corp., 5.875%, 6/1/21 | 75,000 | 77,438 | |||||
DDR Corp., 3.625%, 2/1/25 | 130,000 | 127,623 | |||||
DuPont Fabros Technology LP, 5.875%, 9/15/21 | 25,000 | 26,125 | |||||
Essex Portfolio LP, 3.625%, 8/15/22 | 100,000 | 102,297 | |||||
Essex Portfolio LP, 3.375%, 1/15/23 | 80,000 | 80,143 | |||||
Essex Portfolio LP, 3.25%, 5/1/23 | 50,000 | 49,541 | |||||
HCP, Inc., 3.75%, 2/1/16 | 210,000 | 213,892 |
55
Shares/ Principal Amount | Value | ||||||
Health Care REIT, Inc., 2.25%, 3/15/18 | $ | 60,000 | $ | 60,819 | |||
Health Care REIT, Inc., 3.75%, 3/15/23 | 160,000 | 162,066 | |||||
Hospitality Properties Trust, 4.65%, 3/15/24 | 350,000 | 355,249 | |||||
Hospitality Properties Trust, 4.50%, 3/15/25 | 130,000 | 130,257 | |||||
Host Hotels & Resorts LP, 3.75%, 10/15/23 | 100,000 | 100,118 | |||||
iStar Financial, Inc., 5.00%, 7/1/19 | 100,000 | 99,250 | |||||
Kilroy Realty LP, 3.80%, 1/15/23 | 220,000 | 224,211 | |||||
MPT Operating Partnership LP / MPT Finance Corp., 6.875%, 5/1/21 | 140,000 | 150,675 | |||||
Omega Healthcare Investors, Inc., 5.875%, 3/15/24 | 50,000 | 53,375 | |||||
Realty Income Corp., 4.125%, 10/15/26 | 80,000 | 83,093 | |||||
RHP Hotel Properties LP / RHP Finance Corp., 5.00%, 4/15/21 | 75,000 | 76,500 | |||||
Senior Housing Properties Trust, 4.75%, 5/1/24 | 180,000 | 185,686 | |||||
Ventas Realty LP / Ventas Capital Corp., 3.125%, 11/30/15 | 200,000 | 202,185 | |||||
Ventas Realty LP / Ventas Capital Corp., 4.75%, 6/1/21 | 90,000 | 98,876 | |||||
3,101,940 | |||||||
Real Estate Management and Development† | |||||||
CBRE Services, Inc., 5.00%, 3/15/23 | 125,000 | 129,375 | |||||
Realogy Group LLC / Realogy Co-Issuer Corp., 4.50%, 4/15/19(5) | 160,000 | 163,200 | |||||
Tesco Property Finance 3 plc, 5.74%, 4/13/40 | GBP | 98,526 | 150,208 | ||||
442,783 | |||||||
Road and Rail — 0.1% | |||||||
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20 | $ | 265,000 | 281,304 | ||||
Burlington Northern Santa Fe LLC, 5.05%, 3/1/41 | 100,000 | 109,562 | |||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | 50,000 | 54,487 | |||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 160,000 | 160,405 | |||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 70,000 | 66,782 | |||||
CSX Corp., 4.25%, 6/1/21 | 140,000 | 153,568 | |||||
CSX Corp., 3.40%, 8/1/24 | 200,000 | 203,968 | |||||
Firstgroup plc, 6.125%, 1/18/19 | GBP | 50,000 | 84,986 | ||||
Norfolk Southern Corp., 5.75%, 4/1/18 | $ | 40,000 | 44,565 | ||||
Norfolk Southern Corp., 3.25%, 12/1/21 | 70,000 | 72,409 | |||||
Union Pacific Corp., 4.00%, 2/1/21 | 100,000 | 109,916 | |||||
Union Pacific Corp., 4.75%, 9/15/41 | 220,000 | 241,642 | |||||
1,583,594 | |||||||
Semiconductors and Semiconductor Equipment — 0.1% | |||||||
Advanced Micro Devices, Inc., 7.50%, 8/15/22 | 30,000 | 26,550 | |||||
Advanced Micro Devices, Inc., 7.00%, 7/1/24 | 75,000 | 63,375 | |||||
Amkor Technology, Inc., 6.375%, 10/1/22 | 75,000 | 77,156 | |||||
Freescale Semiconductor, Inc., 6.00%, 1/15/22(5) | 345,000 | 372,600 | |||||
Intel Corp., 1.35%, 12/15/17 | 170,000 | 170,858 | |||||
Micron Technology, Inc., 5.25%, 8/1/23(5) | 45,000 | 45,113 | |||||
Micron Technology, Inc., 5.50%, 2/1/25(5) | 160,000 | 159,184 | |||||
NXP BV / NXP Funding LLC, 5.75%, 2/15/21(5) | 50,000 | 52,937 | |||||
NXP BV / NXP Funding LLC, 5.75%, 3/15/23(5) | 50,000 | 53,375 | |||||
1,021,148 |
56
Shares/ Principal Amount | Value | ||||||
Software — 0.1% | |||||||
Activision Blizzard, Inc., 5.625%, 9/15/21(5) | $ | 135,000 | $ | 144,619 | |||
BMC Software Finance, Inc., 8.125%, 7/15/21(5) | 25,000 | 22,719 | |||||
Intuit, Inc., 5.75%, 3/15/17 | 571,000 | 615,102 | |||||
Microsoft Corp., 2.375%, 5/1/23 | 90,000 | 88,986 | |||||
Microsoft Corp., 2.70%, 2/12/25 | 170,000 | 166,395 | |||||
Nuance Communications, Inc., 5.375%, 8/15/20(5) | 100,000 | 101,375 | |||||
Oracle Corp., 3.625%, 7/15/23 | 280,000 | 294,313 | |||||
Oracle Corp., 3.40%, 7/8/24 | 140,000 | 143,524 | |||||
1,577,033 | |||||||
Specialty Retail — 0.1% | |||||||
Asbury Automotive Group, Inc., 6.00%, 12/15/24 | 100,000 | 105,125 | |||||
Ashtead Capital, Inc., 5.625%, 10/1/24(5) | 70,000 | 73,325 | |||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.125%, 6/1/22(5) | 100,000 | 100,625 | |||||
Claire's Stores, Inc., 9.00%, 3/15/19(5) | 40,000 | 35,700 | |||||
Hertz Corp. (The), 6.75%, 4/15/19 | 125,000 | 129,687 | |||||
Hertz Corp. (The), 5.875%, 10/15/20 | 50,000 | 51,313 | |||||
Hertz Corp. (The), 7.375%, 1/15/21 | 200,000 | 210,250 | |||||
Hertz Corp. (The), 6.25%, 10/15/22 | 75,000 | 77,438 | |||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 260,000 | 328,128 | |||||
Michaels Stores, Inc., 5.875%, 12/15/20(5) | 70,000 | 74,200 | |||||
Party City Holdings, Inc., 8.875%, 8/1/20 | 100,000 | 108,150 | |||||
Petco Animal Supplies, Inc., 9.25%, 12/1/18(5) | 150,000 | 157,687 | |||||
Rent-A-Center, Inc., 6.625%, 11/15/20 | 70,000 | 69,650 | |||||
Sally Holdings LLC / Sally Capital, Inc., 5.50%, 11/1/23 | 75,000 | 79,688 | |||||
Sonic Automotive, Inc., 7.00%, 7/15/22 | 80,000 | 87,200 | |||||
Sonic Automotive, Inc., 5.00%, 5/15/23 | 125,000 | 125,312 | |||||
Toys "R" Us Property Co. II LLC, 8.50%, 12/1/17 | 90,000 | 91,125 | |||||
United Rentals North America, Inc., 7.625%, 4/15/22 | 25,000 | 27,563 | |||||
United Rentals North America, Inc., 6.125%, 6/15/23 | 75,000 | 78,703 | |||||
United Rentals North America, Inc., 4.625%, 7/15/23 | 170,000 | 170,637 | |||||
United Rentals North America, Inc., 5.50%, 7/15/25 | 175,000 | 175,000 | |||||
2,356,506 | |||||||
Technology Hardware, Storage and Peripherals — 0.1% | |||||||
Apple, Inc., 1.00%, 5/3/18 | 170,000 | 168,568 | |||||
Apple, Inc., 2.85%, 5/6/21 | 180,000 | 185,092 | |||||
Apple, Inc., 3.45%, 5/6/24 | 380,000 | 393,509 | |||||
CommScope Technologies Finance LLC, 6.00%, 6/15/25(4) | 105,000 | 106,575 | |||||
Dell, Inc., 2.30%, 9/10/15 | 100,000 | 100,125 | |||||
Dell, Inc., 3.10%, 4/1/16 | 40,000 | 40,436 | |||||
Dell, Inc., 5.875%, 6/15/19 | 125,000 | 135,313 | |||||
Hewlett-Packard Co., 4.30%, 6/1/21 | 125,000 | 132,545 | |||||
NCR Corp., 5.00%, 7/15/22 | 40,000 | 39,050 | |||||
1,301,213 | |||||||
Textiles, Apparel and Luxury Goods — 0.1% | |||||||
L Brands, Inc., 7.00%, 5/1/20 | 50,000 | 57,500 |
57
Shares/ Principal Amount | Value | ||||||
L Brands, Inc., 6.625%, 4/1/21 | $ | 80,000 | $ | 90,800 | |||
L Brands, Inc., 5.625%, 2/15/22 | 275,000 | 300,438 | |||||
Men's Wearhouse, Inc. (The), 7.00%, 7/1/22(5) | 210,000 | 223,650 | |||||
Polymer Group, Inc., 7.75%, 2/1/19 | 73,000 | 76,011 | |||||
PVH Corp., 4.50%, 12/15/22 | 50,000 | 51,000 | |||||
799,399 | |||||||
Tobacco† | |||||||
Altria Group, Inc., 2.85%, 8/9/22 | 400,000 | 392,507 | |||||
Philip Morris International, Inc., 4.125%, 5/17/21 | 280,000 | 305,097 | |||||
697,604 | |||||||
Wireless Telecommunication Services — 0.1% | |||||||
Sprint Communications, 9.00%, 11/15/18(5) | 160,000 | 183,800 | |||||
Sprint Communications, 7.00%, 3/1/20(5) | 110,000 | 121,688 | |||||
Sprint Communications, 6.00%, 11/15/22 | 225,000 | 216,000 | |||||
Sprint Corp., 7.25%, 9/15/21 | 275,000 | 277,406 | |||||
Sprint Corp., 7.875%, 9/15/23 | 50,000 | 50,970 | |||||
Sprint Corp., 7.125%, 6/15/24 | 335,000 | 324,950 | |||||
Sprint Corp., 7.625%, 2/15/25 | 70,000 | 68,841 | |||||
T-Mobile USA, Inc., 6.625%, 11/15/20 | 135,000 | 141,750 | |||||
T-Mobile USA, Inc., 6.63%, 4/28/21 | 120,000 | 128,256 | |||||
T-Mobile USA, Inc., 6.125%, 1/15/22 | 75,000 | 78,844 | |||||
T-Mobile USA, Inc., 6.625%, 4/1/23 | 255,000 | 269,025 | |||||
T-Mobile USA, Inc., 6.375%, 3/1/25 | 150,000 | 157,425 | |||||
Vodafone Group plc, 5.625%, 2/27/17 | 230,000 | 246,384 | |||||
Zayo Group LLC / Zayo Capital, Inc., 6.00%, 4/1/23(5) | 115,000 | 116,091 | |||||
2,381,430 | |||||||
TOTAL CORPORATE BONDS (Cost $154,803,492) | 157,093,114 | ||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES(6) — 4.3% | |||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities — 0.8% | |||||||
FHLMC, VRN, 1.76%, 6/15/15 | 185,710 | 190,573 | |||||
FHLMC, VRN, 1.84%, 6/15/15 | 450,649 | 463,657 | |||||
FHLMC, VRN, 1.96%, 6/15/15 | 373,909 | 386,116 | |||||
FHLMC, VRN, 1.98%, 6/15/15 | 297,160 | 306,493 | |||||
FHLMC, VRN, 2.08%, 6/15/15 | 919,732 | 937,910 | |||||
FHLMC, VRN, 2.26%, 6/15/15 | 388,112 | 415,455 | |||||
FHLMC, VRN, 2.33%, 6/15/15 | 641,238 | 651,240 | |||||
FHLMC, VRN, 2.40%, 6/15/15 | 168,568 | 180,468 | |||||
FHLMC, VRN, 2.41%, 6/15/15 | 702,950 | 751,355 | |||||
FHLMC, VRN, 2.42%, 6/15/15 | 129,653 | 138,762 | |||||
FHLMC, VRN, 2.55%, 6/15/15 | 118,960 | 126,079 | |||||
FHLMC, VRN, 2.87%, 6/15/15 | 113,041 | 116,963 | |||||
FHLMC, VRN, 3.05%, 6/15/15 | 399,465 | 426,049 | |||||
FHLMC, VRN, 3.24%, 6/15/15 | 132,863 | 141,474 | |||||
FHLMC, VRN, 3.29%, 6/15/15 | 352,643 | 374,558 | |||||
FHLMC, VRN, 3.77%, 6/15/15 | 268,310 | 282,030 | |||||
FHLMC, VRN, 4.06%, 6/15/15 | 195,072 | 205,174 | |||||
FHLMC, VRN, 4.21%, 6/15/15 | 330,736 | 350,103 |
58
Shares/ Principal Amount | Value | ||||||
FHLMC, VRN, 5.13%, 6/15/15 | $ | 48,342 | $ | 51,562 | |||
FHLMC, VRN, 5.18%, 6/15/15 | 241,931 | 255,398 | |||||
FHLMC, VRN, 6.12%, 6/15/15 | 128,744 | 138,310 | |||||
FNMA, VRN, 1.89%, 6/25/15 | 392,763 | 411,964 | |||||
FNMA, VRN, 1.92%, 6/25/15 | 723,689 | 761,192 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 497,085 | 523,520 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 1,051,726 | 1,107,687 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 646,414 | 680,790 | |||||
FNMA, VRN, 1.94%, 6/25/15 | 556,942 | 586,560 | |||||
FNMA, VRN, 2.20%, 6/25/15 | 109,431 | 116,740 | |||||
FNMA, VRN, 2.31%, 6/25/15 | 134,647 | 143,692 | |||||
FNMA, VRN, 2.33%, 6/25/15 | 108,122 | 115,442 | |||||
FNMA, VRN, 2.34%, 6/25/15 | 401,740 | 429,313 | |||||
FNMA, VRN, 2.70%, 6/25/15 | 422,480 | 435,411 | |||||
FNMA, VRN, 3.36%, 6/25/15 | 240,205 | 251,944 | |||||
FNMA, VRN, 3.68%, 6/25/15 | 268,233 | 282,470 | |||||
FNMA, VRN, 3.92%, 6/25/15 | 218,248 | 231,699 | |||||
FNMA, VRN, 5.05%, 6/25/15 | 367,303 | 395,400 | |||||
13,363,553 | |||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 3.5% | |||||||
FHLMC, 6.50%, 6/1/16 | 6,852 | 6,984 | |||||
FHLMC, 6.50%, 6/1/16 | 8,642 | 8,781 | |||||
FHLMC, 4.50%, 1/1/19 | 253,352 | 264,692 | |||||
FHLMC, 5.00%, 10/1/19 | 4,895 | 5,131 | |||||
FHLMC, 5.00%, 11/1/19 | 35,596 | 37,540 | |||||
FHLMC, 5.50%, 11/1/19 | 1,531 | 1,613 | |||||
FHLMC, 5.50%, 11/1/19 | 1,802 | 1,897 | |||||
FHLMC, 5.50%, 11/1/19 | 2,992 | 3,159 | |||||
FHLMC, 5.50%, 11/1/19 | 2,054 | 2,154 | |||||
FHLMC, 5.50%, 11/1/19 | 1,049 | 1,100 | |||||
FHLMC, 5.50%, 12/1/19 | 2,566 | 2,715 | |||||
FHLMC, 5.00%, 2/1/20 | 885 | 928 | |||||
FHLMC, 5.00%, 2/1/20 | 2,115 | 2,217 | |||||
FHLMC, 5.50%, 3/1/20 | 5,252 | 5,581 | |||||
FHLMC, 5.50%, 3/1/20 | 4,473 | 4,746 | |||||
FHLMC, 5.50%, 3/1/20 | 3,492 | 3,697 | |||||
FHLMC, 5.00%, 5/1/20 | 2,701 | 2,832 | |||||
FHLMC, 5.00%, 5/1/20 | 5,694 | 5,989 | |||||
FHLMC, 5.00%, 5/1/20 | 7,924 | 8,353 | |||||
FHLMC, 4.50%, 7/1/20 | 25,504 | 26,811 | |||||
FHLMC, 4.00%, 10/1/20 | 8,271 | 8,715 | |||||
FHLMC, 8.00%, 6/1/26 | 514 | 575 | |||||
FHLMC, 8.00%, 6/1/26 | 4,742 | 4,932 | |||||
FHLMC, 8.00%, 7/1/26 | 760 | 763 | |||||
FHLMC, 7.00%, 8/1/29 | 2,381 | 2,715 | |||||
FHLMC, 8.00%, 7/1/30 | 13,790 | 16,861 | |||||
FHLMC, 5.50%, 12/1/33 | 271,837 | 309,630 | |||||
FHLMC, 6.50%, 5/1/34 | 9,552 | 11,108 | |||||
FHLMC, 5.50%, 6/1/35 | 21,762 | 24,640 | |||||
FHLMC, 5.00%, 9/1/35 | 8,917 | 9,913 |
59
Shares/ Principal Amount | Value | ||||||
FHLMC, 5.00%, 9/1/35 | $ | 5,922 | $ | 6,580 | |||
FHLMC, 5.50%, 10/1/35 | 57,129 | 64,600 | |||||
FHLMC, 5.50%, 10/1/35 | 25,394 | 28,827 | |||||
FHLMC, 5.00%, 11/1/35 | 149,078 | 167,280 | |||||
FHLMC, 5.00%, 11/1/35 | 112,630 | 125,463 | |||||
FHLMC, 6.50%, 3/1/36 | 4,752 | 5,465 | |||||
FHLMC, 6.50%, 3/1/36 | 2,916 | 3,353 | |||||
FHLMC, 5.50%, 1/1/38 | 241,654 | 272,130 | |||||
FHLMC, 6.00%, 2/1/38 | 125,880 | 143,508 | |||||
FHLMC, 6.00%, 11/1/38 | 551,689 | 628,431 | |||||
FHLMC, 6.50%, 7/1/47 | 15,975 | 17,792 | |||||
FNMA, 7.50%, 6/1/15 | 72 | 72 | |||||
FNMA, 3.00%, 6/11/15(7) | 500,000 | 506,377 | |||||
FNMA, 3.50%, 6/11/15(7) | 4,650,000 | 4,855,981 | |||||
FNMA, 4.00%, 6/11/15(7) | 2,820,000 | 3,011,011 | |||||
FNMA, 4.50%, 6/11/15(7) | 2,550,000 | 2,772,408 | |||||
FNMA, 5.00%, 6/11/15(7) | 300,000 | 333,695 | |||||
FNMA, 5.50%, 6/11/15(7) | 225,000 | 254,641 | |||||
FNMA, 4.00%, 6/1/19 | 2,844 | 2,996 | |||||
FNMA, 4.50%, 6/1/19 | 57,203 | 60,090 | |||||
FNMA, 4.50%, 12/1/19 | 5,716 | 5,985 | |||||
FNMA, 5.00%, 3/1/20 | 11,340 | 12,066 | |||||
FNMA, 5.00%, 3/1/20 | 10,601 | 11,250 | |||||
FNMA, 5.00%, 4/1/20 | 6,969 | 7,334 | |||||
FNMA, 5.00%, 5/1/20 | 2,621 | 2,752 | |||||
FNMA, 5.00%, 5/1/20 | 9,359 | 9,871 | |||||
FNMA, 5.00%, 7/1/20 | 10,125 | 10,629 | |||||
FNMA, 2.625%, 9/6/24 | 540,000 | 551,784 | |||||
FNMA, 7.00%, 5/1/26 | 3,020 | 3,360 | |||||
FNMA, 7.00%, 6/1/26 | 1,722 | 2,017 | |||||
FNMA, 7.50%, 3/1/27 | 1,482 | 1,490 | |||||
FNMA, 6.50%, 4/1/29 | 11,354 | 13,082 | |||||
FNMA, 6.50%, 6/1/29 | 12,058 | 13,893 | |||||
FNMA, 6.50%, 6/1/29 | 18,921 | 21,800 | |||||
FNMA, 7.00%, 7/1/29 | 4,107 | 4,529 | |||||
FNMA, 6.50%, 8/1/29 | 22,562 | 25,997 | |||||
FNMA, 7.00%, 3/1/30 | 13,797 | 15,802 | |||||
FNMA, 8.00%, 7/1/30 | 33,676 | 36,648 | |||||
FNMA, 7.50%, 9/1/30 | 8,621 | 10,206 | |||||
FNMA, 6.625%, 11/15/30 | 2,510,000 | 3,671,447 | |||||
FNMA, 6.50%, 9/1/31 | 51,197 | 58,988 | |||||
FNMA, 7.00%, 9/1/31 | 33,305 | 36,140 | |||||
FNMA, 6.50%, 1/1/32 | 13,340 | 15,365 | |||||
FNMA, 5.50%, 6/1/33 | 92,106 | 104,966 | |||||
FNMA, 5.50%, 8/1/33 | 667,281 | 758,470 | |||||
FNMA, 5.00%, 11/1/33 | 585,491 | 653,427 | |||||
FNMA, 5.50%, 1/1/34 | 565,235 | 642,569 | |||||
FNMA, 5.50%, 9/1/34 | 31,174 | 35,589 | |||||
FNMA, 5.50%, 10/1/34 | 31,779 | 36,092 | |||||
FNMA, 6.00%, 10/1/34 | 22,515 | 25,700 |
60
Shares/ Principal Amount | Value | ||||||
FNMA, 5.00%, 11/1/34 | $ | 138,261 | $ | 155,439 | |||
FNMA, 5.50%, 3/1/35 | 1,741 | 1,969 | |||||
FNMA, 5.50%, 3/1/35 | 6,701 | 7,606 | |||||
FNMA, 5.50%, 3/1/35 | 10,365 | 11,843 | |||||
FNMA, 5.50%, 3/1/35 | 24,042 | 27,547 | |||||
FNMA, 5.50%, 3/1/35 | 18,817 | 21,637 | |||||
FNMA, 5.00%, 4/1/35 | 29,520 | 33,359 | |||||
FNMA, 6.00%, 5/1/35 | 11,932 | 13,622 | |||||
FNMA, 6.00%, 5/1/35 | 463 | 528 | |||||
FNMA, 6.00%, 6/1/35 | 28,786 | 33,181 | |||||
FNMA, 6.00%, 6/1/35 | 4,773 | 5,448 | |||||
FNMA, 6.00%, 6/1/35 | 482 | 554 | |||||
FNMA, 5.00%, 7/1/35 | 129,097 | 146,253 | |||||
FNMA, 5.50%, 7/1/35 | 17,696 | 20,005 | |||||
FNMA, 6.00%, 7/1/35 | 52,267 | 60,133 | |||||
FNMA, 6.00%, 7/1/35 | 35,845 | 41,079 | |||||
FNMA, 6.00%, 7/1/35 | 3,347 | 3,820 | |||||
FNMA, 5.50%, 8/1/35 | 7,939 | 8,980 | |||||
FNMA, 4.50%, 9/1/35 | 667,660 | 728,978 | |||||
FNMA, 5.50%, 9/1/35 | 1,483 | 1,697 | |||||
FNMA, 5.50%, 9/1/35 | 707 | 809 | |||||
FNMA, 5.50%, 9/1/35 | 13,837 | 15,840 | |||||
FNMA, 5.50%, 9/1/35 | 99,332 | 113,504 | |||||
FNMA, 5.50%, 9/1/35 | 52,411 | 59,968 | |||||
FNMA, 5.00%, 10/1/35 | 20,072 | 22,307 | |||||
FNMA, 5.50%, 10/1/35 | 234,487 | 268,423 | |||||
FNMA, 6.00%, 10/1/35 | 34,249 | 39,195 | |||||
FNMA, 5.50%, 11/1/35 | 132,905 | 152,140 | |||||
FNMA, 6.00%, 11/1/35 | 21,752 | 24,829 | |||||
FNMA, 6.50%, 11/1/35 | 3,150 | 3,629 | |||||
FNMA, 6.50%, 12/1/35 | 15,962 | 18,394 | |||||
FNMA, 6.50%, 4/1/36 | 13,109 | 15,105 | |||||
FNMA, 6.00%, 8/1/36 | 22,401 | 25,597 | |||||
FNMA, 5.00%, 10/1/36 | 427,906 | 475,549 | |||||
FNMA, 5.00%, 11/1/36 | 271,480 | 301,760 | |||||
FNMA, 5.50%, 1/1/37 | 854,383 | 967,683 | |||||
FNMA, 6.00%, 5/1/37 | 22,448 | 25,685 | |||||
FNMA, 6.00%, 7/1/37 | 4,356 | 4,976 | |||||
FNMA, 6.50%, 8/1/37 | 12,555 | 14,097 | |||||
FNMA, 6.50%, 8/1/37 | 345,781 | 361,450 | |||||
FNMA, 6.50%, 8/1/37 | 417,000 | 449,913 | |||||
FNMA, 5.00%, 4/1/40 | 1,953,424 | 2,172,114 | |||||
FNMA, 4.00%, 1/1/41 | 5,621,416 | 6,075,846 | |||||
FNMA, 4.50%, 1/1/41 | 779,305 | 859,844 | |||||
FNMA, 5.00%, 6/1/41 | 1,626,067 | 1,808,410 | |||||
FNMA, 4.50%, 7/1/41 | 1,309,380 | 1,433,801 | |||||
FNMA, 4.50%, 9/1/41 | 36,555 | 39,873 | |||||
FNMA, 4.50%, 9/1/41 | 3,242,863 | 3,536,213 | |||||
FNMA, 4.00%, 12/1/41 | 2,615,783 | 2,818,671 | |||||
FNMA, 4.00%, 1/1/42 | 49,798 | 53,374 |
61
Shares/ Principal Amount | Value | ||||||
FNMA, 3.50%, 5/1/42 | $ | 2,214,162 | $ | 2,318,320 | |||
FNMA, 3.50%, 6/1/42 | 1,024,693 | 1,074,775 | |||||
FNMA, 3.00%, 11/1/42 | 1,481,558 | 1,505,567 | |||||
FNMA, 6.50%, 8/1/47 | 51,483 | 57,687 | |||||
FNMA, 6.50%, 8/1/47 | 94,475 | 105,863 | |||||
FNMA, 6.50%, 9/1/47 | 96,285 | 107,943 | |||||
FNMA, 6.50%, 9/1/47 | 36,146 | 40,507 | |||||
FNMA, 6.50%, 9/1/47 | 52,523 | 58,883 | |||||
FNMA, 6.50%, 9/1/47 | 14,028 | 15,717 | |||||
FNMA, 6.50%, 9/1/47 | 6,879 | 7,711 | |||||
GNMA, 3.50%, 6/18/15(7) | 350,000 | 367,377 | |||||
GNMA, 4.00%, 6/18/15(7) | 2,930,000 | 3,119,649 | |||||
GNMA, 9.00%, 4/20/25 | 995 | 1,129 | |||||
GNMA, 7.50%, 10/15/25 | 4,556 | 5,104 | |||||
GNMA, 6.00%, 4/15/26 | 277 | 314 | |||||
GNMA, 6.00%, 4/15/26 | 713 | 811 | |||||
GNMA, 7.50%, 6/15/26 | 2,620 | 2,754 | |||||
GNMA, 7.00%, 12/15/27 | 13,267 | 13,670 | |||||
GNMA, 7.50%, 12/15/27 | 17,094 | 19,553 | |||||
GNMA, 6.00%, 5/15/28 | 28,998 | 32,977 | |||||
GNMA, 6.00%, 5/15/28 | 16,328 | 18,574 | |||||
GNMA, 6.50%, 5/15/28 | 6,354 | 7,267 | |||||
GNMA, 7.00%, 5/15/31 | 33,750 | 41,290 | |||||
GNMA, 5.50%, 11/15/32 | 123,288 | 143,353 | |||||
GNMA, 6.50%, 10/15/38 | 1,828,891 | 2,097,732 | |||||
GNMA, 4.50%, 5/20/41 | 2,325,301 | 2,550,206 | |||||
GNMA, 4.50%, 6/15/41 | 705,766 | 794,159 | |||||
GNMA, 4.00%, 12/15/41 | 999,163 | 1,073,434 | |||||
GNMA, 3.50%, 7/20/42 | 849,909 | 893,944 | |||||
GNMA, 3.50%, 4/20/45 | 449,015 | 472,513 | |||||
61,278,180 | |||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $72,006,897) | 74,641,733 | ||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 3.5% | |||||||
Australia — 0.1% | |||||||
Australia Government Bond, 4.50%, 4/15/20 | AUD | 178,000 | 151,070 | ||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 1,373,000 | 1,057,128 | ||||
New South Wales Treasury Corp., 4.00%, 2/20/17 | AUD | 430,000 | 339,836 | ||||
New South Wales Treasury Corp., 5.50%, 3/1/17 | AUD | 217,000 | 175,823 | ||||
1,723,857 | |||||||
Austria — 0.1% | |||||||
Austria Government Bond, 4.35%, 3/15/19(5) | EUR | 492,000 | 629,567 | ||||
Austria Government Bond, 3.90%, 7/15/20(5) | EUR | 120,000 | 157,269 | ||||
Austria Government Bond, 3.40%, 11/22/22(5) | EUR | 106,000 | 142,075 | ||||
Austria Government Bond, 1.65%, 10/21/24(5) | EUR | 150,000 | 179,974 | ||||
Austria Government Bond, 4.15%, 3/15/37(5) | EUR | 108,000 | 187,001 | ||||
1,295,886 | |||||||
Belgium — 0.2% | |||||||
Belgium Government Bond, 4.00%, 3/28/18(5) | EUR | 383,000 | 469,833 |
62
Shares/ Principal Amount | Value | ||||||
Belgium Government Bond, 4.25%, 9/28/22 | EUR | 450,000 | $ | 630,232 | |||
Belgium Government Bond, 2.25%, 6/22/23 | EUR | 500,000 | 622,471 | ||||
Belgium Government Bond, 5.00%, 3/28/35(5) | EUR | 195,000 | 350,236 | ||||
Belgium Government Bond, 4.25%, 3/28/41(5) | EUR | 145,000 | 255,400 | ||||
2,328,172 | |||||||
Brazil† | |||||||
Brazilian Government International Bond, 5.875%, 1/15/19 | $ | 360,000 | 402,300 | ||||
Canada — 0.2% | |||||||
Canadian Government Bond, 1.50%, 3/1/17 | CAD | 410,000 | 335,266 | ||||
Canadian Government Bond, 4.00%, 6/1/17 | CAD | 255,000 | 219,135 | ||||
Canadian Government Bond, 3.75%, 6/1/19 | CAD | 220,000 | 198,172 | ||||
Canadian Government Bond, 3.25%, 6/1/21 | CAD | 920,000 | 833,637 | ||||
Canadian Government Bond, 4.00%, 6/1/41 | CAD | 515,000 | 559,497 | ||||
Canadian Government Bond, 3.50%, 12/1/45 | CAD | 34,000 | 35,189 | ||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 181,000 | 159,629 | ||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 543,000 | 460,870 | ||||
Province of Ontario Canada, 1.00%, 7/22/16 | $ | 24,000 | 24,113 | ||||
Province of Ontario Canada, 4.40%, 6/2/19 | CAD | 294,000 | 265,913 | ||||
Province of Ontario Canada, 4.65%, 6/2/41 | CAD | 333,000 | 346,007 | ||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 240,000 | 205,823 | ||||
Province of Quebec Canada, 5.00%, 12/1/41 | CAD | 75,000 | 81,209 | ||||
3,724,460 | |||||||
Chile† | |||||||
Chile Government International Bond, 3.25%, 9/14/21 | $ | 230,000 | 244,260 | ||||
Colombia† | |||||||
Colombia Government International Bond, 4.375%, 7/12/21 | 290,000 | 307,255 | |||||
Czech† | |||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 5,600,000 | 292,498 | ||||
Denmark† | |||||||
Denmark Government Bond, 4.00%, 11/15/19 | DKK | 35,000 | 6,084 | ||||
Denmark Government Bond, 7.00%, 11/10/24 | DKK | 710,000 | 168,344 | ||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 335,000 | 84,916 | ||||
259,344 | |||||||
Finland† | |||||||
Finland Government Bond, 1.625%, 9/15/22(5) | EUR | 135,000 | 161,484 | ||||
Finland Government Bond, 4.00%, 7/4/25(5) | EUR | 75,000 | 109,091 | ||||
270,575 | |||||||
France — 0.3% | |||||||
France Government Bond OAT, 3.25%, 10/25/21 | EUR | 1,700,000 | 2,214,508 | ||||
France Government Bond OAT, 1.75%, 11/25/24 | EUR | 356,000 | 427,649 | ||||
France Government Bond OAT, 5.50%, 4/25/29 | EUR | 180,000 | 309,838 | ||||
France Government Bond OAT, 3.25%, 5/25/45 | EUR | 690,000 | 1,059,059 | ||||
French Treasury Note BTAN, 2.25%, 2/25/16 | EUR | 625,000 | 698,812 | ||||
4,709,866 | |||||||
Germany — 0.2% | |||||||
Bundesrepublik Deutschland, 3.00%, 7/4/20 | EUR | 1,615,000 | 2,043,223 |
63
Shares/ Principal Amount | Value | ||||||
Bundesrepublik Deutschland, 1.75%, 2/15/24 | EUR | 685,000 | $ | 841,011 | |||
Bundesrepublik Deutschland, 4.25%, 7/4/39 | EUR | 60,000 | 111,072 | ||||
Bundesrepublik Deutschland, 2.50%, 7/4/44 | EUR | 450,000 | 669,253 | ||||
3,664,559 | |||||||
Ireland† | |||||||
Ireland Government Bond, 5.90%, 10/18/19 | EUR | 160,000 | 218,803 | ||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 173,000 | 226,889 | ||||
445,692 | |||||||
Italy — 0.3% | |||||||
Italy Buoni Poliennali Del Tesoro, 3.50%, 11/1/17 | EUR | 750,000 | 888,379 | ||||
Italy Buoni Poliennali Del Tesoro, 1.50%, 8/1/19 | EUR | 1,970,000 | 2,236,010 | ||||
Italy Buoni Poliennali Del Tesoro, 2.50%, 12/1/24 | EUR | 505,000 | 585,931 | ||||
Italy Buoni Poliennali Del Tesoro, 4.00%, 2/1/37 | EUR | 640,000 | 850,075 | ||||
Italy Buoni Poliennali Del Tesoro, 4.75%, 9/1/44(5) | EUR | 165,000 | 250,113 | ||||
Italy Government International Bond, 6.875%, 9/27/23 | 150,000 | 192,593 | |||||
5,003,101 | |||||||
Japan — 1.0% | |||||||
Japan Government Five Year Bond, 0.30%, 9/20/18 | JPY | 431,000,000 | 3,506,800 | ||||
Japan Government Ten Year Bond, 1.00%, 12/20/21 | JPY | 682,200,000 | 5,803,132 | ||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 431,300,000 | 4,220,456 | ||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 133,500,000 | 1,216,215 | ||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 319,450,000 | 3,027,711 | ||||
17,774,314 | |||||||
Malaysia† | |||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 1,250,000 | 342,817 | ||||
Mexico — 0.1% | |||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 8,000,000 | 541,634 | ||||
Mexico Government International Bond, MTN, 5.95%, 3/19/19 | $ | 710,000 | 806,560 | ||||
Mexico Government International Bond, 5.125%, 1/15/20 | $ | 350,000 | 389,375 | ||||
Mexico Government International Bond, 6.05%, 1/11/40 | $ | 150,000 | 179,250 | ||||
Mexico Government International Bond, MTN, 4.75%, 3/8/44 | $ | 270,000 | 273,442 | ||||
2,190,261 | |||||||
Netherlands — 0.1% | |||||||
Netherlands Government Bond, 3.50%, 7/15/20(5) | EUR | 985,000 | 1,268,637 | ||||
Netherlands Government Bond, 2.25%, 7/15/22(5) | EUR | 35,000 | 43,599 | ||||
Netherlands Government Bond, 3.75%, 1/15/42(5) | EUR | 68,000 | 120,368 | ||||
Netherlands Government Bond, 2.75%, 1/15/47 | EUR | 30,000 | 46,261 | ||||
1,478,865 | |||||||
New Zealand† | |||||||
New Zealand Government Bond, 5.00%, 3/15/19 | NZD | 330,000 | 250,017 | ||||
Norway† | |||||||
Norway Government Bond, 3.75%, 5/25/21(5) | NOK | 2,110,000 | 312,416 | ||||
Peru† | |||||||
Peruvian Government International Bond, 6.55%, 3/14/37 | $ | 100,000 | 130,250 | ||||
Peruvian Government International Bond, 5.625%, 11/18/50 | $ | 160,000 | 188,800 | ||||
319,050 |
64
Shares/ Principal Amount | Value | ||||||
Philippines† | |||||||
Philippine Government International Bond, 4.00%, 1/15/21 | $ | 300,000 | $ | 328,500 | |||
Philippine Government International Bond, 6.375%, 10/23/34 | $ | 100,000 | 138,750 | ||||
467,250 | |||||||
Poland† | |||||||
Poland Government Bond, 4.00%, 10/25/23 | PLN | 780,000 | 226,337 | ||||
Poland Government International Bond, 5.125%, 4/21/21 | $ | 250,000 | 282,862 | ||||
509,199 | |||||||
Singapore† | |||||||
Singapore Government Bond, 2.375%, 4/1/17 | SGD | 190,000 | 144,393 | ||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 282,000 | 222,093 | ||||
366,486 | |||||||
South Africa† | |||||||
South Africa Government Bond, 7.75%, 2/28/23 | ZAR | 6,043,000 | 490,827 | ||||
South Korea — 0.1% | |||||||
Export-Import Bank of Korea, 3.75%, 10/20/16 | $ | 240,000 | 248,824 | ||||
Korea Development Bank (The), 3.25%, 3/9/16 | $ | 160,000 | 162,735 | ||||
Korea Development Bank (The), 4.00%, 9/9/16 | $ | 160,000 | 165,804 | ||||
577,363 | |||||||
Spain — 0.3% | |||||||
Spain Government Bond, 5.50%, 7/30/17(5) | EUR | 257,000 | 314,643 | ||||
Spain Government Bond, 4.30%, 10/31/19(5) | EUR | 950,000 | 1,206,462 | ||||
Spain Government Bond, 5.85%, 1/31/22(5) | EUR | 30,000 | 42,521 | ||||
Spain Government Bond, 4.40%, 10/31/23(5) | EUR | 895,000 | 1,193,168 | ||||
Spain Government Bond, 1.60%, 4/30/25(5) | EUR | 1,250,000 | 1,344,141 | ||||
Spain Government Bond, 5.15%, 10/31/44(5) | EUR | 240,000 | 383,490 | ||||
4,484,425 | |||||||
Sweden — 0.1% | |||||||
Sweden Government Bond, 3.50%, 6/1/22 | SEK | 3,950,000 | 561,984 | ||||
Switzerland — 0.1% | |||||||
Switzerland Government Bond, 2.00%, 4/28/21 | CHF | 695,000 | 847,578 | ||||
Switzerland Government Bond, 2.50%, 3/8/36 | CHF | 100,000 | 152,089 | ||||
999,667 | |||||||
Thailand† | |||||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 9,400,000 | 306,919 | ||||
Turkey† | |||||||
Turkey Government International Bond, 3.25%, 3/23/23 | $ | 300,000 | 283,500 | ||||
United Kingdom — 0.3% | |||||||
United Kingdom Gilt, 4.00%, 9/7/16 | GBP | 450,000 | 718,444 | ||||
United Kingdom Gilt, 4.50%, 3/7/19 | GBP | 103,000 | 177,896 | ||||
United Kingdom Gilt, 8.00%, 6/7/21 | GBP | 49,000 | 103,388 | ||||
United Kingdom Gilt, 5.00%, 3/7/25 | GBP | 480,000 | 942,659 | ||||
United Kingdom Gilt, 4.25%, 6/7/32 | GBP | 123,000 | 239,554 | ||||
United Kingdom Gilt, 4.25%, 3/7/36 | GBP | 485,000 | 962,785 | ||||
United Kingdom Gilt, 4.50%, 12/7/42 | GBP | 827,000 | 1,771,409 | ||||
United Kingdom Gilt, 4.25%, 12/7/55 | GBP | 238,000 | 533,000 | ||||
5,449,135 |
65
Shares/ Principal Amount | Value | ||||||
Uruguay† | |||||||
Uruguay Government International Bond, 4.125%, 11/20/45 | $ | 80,000 | $ | 72,800 | |||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $65,056,768) | 61,909,120 | ||||||
COMMERCIAL PAPER(8) — 2.3% | |||||||
Bennington Stark Capital Co. LLC, 0.24%, 6/1/15(5) | 3,600,000 | 3,599,961 | |||||
BNP Paribas Finance, Inc., 0.19%, 6/5/15 | 3,600,000 | 3,599,929 | |||||
Chariot Funding LLC, 0.24%, 6/10/15(5) | 3,600,000 | 3,599,818 | |||||
Crown Point Capital Co. LLC, 0.19%, 7/7/15(5) | 3,650,000 | 3,649,304 | |||||
Jupiter Securitization Co. LLC, 0.26%, 6/5/15(5) | 3,600,000 | 3,599,902 | |||||
Lexington Parker Capital Co. LLC, 0.19%, 7/24/15(5) | 3,550,000 | 3,548,967 | |||||
Liberty Street Funding LLC, 0.18%, 6/1/15(5) | 3,550,000 | 3,549,961 | |||||
Old Line Funding LLC, 0.28%, 10/2/15(5) | 3,550,000 | 3,546,571 | |||||
Thunder Bay Funding LLC, 0.27%, 6/15/15(5) | 3,600,000 | 3,599,728 | |||||
Toronto-Dominion Holdings USA, 0.24%, 9/18/15(5) | 3,550,000 | 3,548,045 | |||||
Toyota Motor Credit Corp., 0.29%, 11/23/15 | 3,550,000 | 3,544,980 | |||||
TOTAL COMMERCIAL PAPER (Cost $39,386,559) | 39,387,166 | ||||||
MUNICIPAL SECURITIES — 2.0% | |||||||
American Municipal Power-Ohio, Inc. Rev., (Building Bonds), 7.50%, 2/15/50 | 120,000 | 169,585 | |||||
Bay Area Toll Authority Toll Bridge Rev., Series 2010 S-1, (Building Bonds), 6.92%, 4/1/40 | 120,000 | 160,738 | |||||
California GO, (Building Bonds), 7.55%, 4/1/39 | 60,000 | 90,688 | |||||
California GO, (Building Bonds), 7.30%, 10/1/39 | 160,000 | 231,504 | |||||
California GO, (Building Bonds), 7.60%, 11/1/40 | 145,000 | 223,109 | |||||
City of Lowell Rev., (Little Rock Newspapers), VRDN, 0.14%, 6/3/15 (LOC: JPMorgan Chase Bank N.A.) (Acquired 4/11/12 - 4/7/14, Cost $4,300,000)(9) | 4,300,000 | 4,300,000 | |||||
Clarksville Public Building Authority Rev., (Adjusted Financing Morristown Loans), VRDN, 0.09%, 6/1/15 (LOC: Bank of America N.A.) | 780,000 | 780,000 | |||||
Idaho Housing & Finance Association Rev., Series 2011 A, (Traditions at Boise Apartments), VRDN, 0.10%, 6/3/15 | 2,300,000 | 2,300,000 | |||||
Illinois GO, (Taxable Pension), 5.10%, 6/1/33 | 230,000 | 219,084 | |||||
Illinois Health Facilities Authority Rev., (Memorial Health System), VRDN, 0.08%, 6/1/15 (LOC: JPMorgan Chase Bank N.A.) | 750,000 | 750,000 | |||||
Illinois Housing Development Authority Rev., Series 2015 A-3, VRDN, 0.12%, 6/4/15 | 3,850,000 | 3,850,000 | |||||
Los Angeles Community College District GO, Series 2010 D, (Election of 2008), 6.68%, 8/1/36 | 120,000 | 158,058 | |||||
Los Angeles Department of Water & Power Rev., (Building Bonds), 5.72%, 7/1/39 | 130,000 | 159,845 | |||||
Metropolitan Transportation Authority Rev., Series 2010 C-1, (Building Bonds), 6.69%, 11/15/40 | 185,000 | 248,762 | |||||
Metropolitan Transportation Authority Rev., Series 2010 E, (Building Bonds), 6.81%, 11/15/40 | 100,000 | 135,884 | |||||
Metropolitan Water District of Southern California Rev., Series 2011 A-3, VRDN, 0.12%, 6/4/15 | 2,300,000 | 2,299,747 | |||||
Metropolitan Water District of Southern California Rev., Series 2015 E, VRN, 0.17%, 6/4/15 | 4,000,000 | 4,000,000 |
66
Shares/ Principal Amount | Value | ||||||
New Jersey State Turnpike Authority Rev., Series 2009 F, (Building Bonds), 7.41%, 1/1/40 | $ | 180,000 | $ | 260,976 | |||
New Jersey State Turnpike Authority Rev., Series 2010 A, (Building Bonds), 7.10%, 1/1/41 | 140,000 | 196,665 | |||||
New York GO, Series 2010 F-1, (Building Bonds), 6.27%, 12/1/37 | 75,000 | 97,862 | |||||
Ohio Water Development Authority Pollution Control Rev., Series 2010 B-2, (Building Bonds), 4.88%, 12/1/34 | 200,000 | 228,318 | |||||
Orange County Housing Finance Authority Multifamily Rev., Series 2002 B, (Millenia), VRDN, 0.14%, 6/3/15 (LOC: FNMA) | 2,265,000 | 2,265,000 | |||||
Oregon State Department of Transportation Highway User Tax Rev., Series 2010 A, (Building Bonds), 5.83%, 11/15/34 | 130,000 | 164,939 | |||||
Pennsylvania Higher Educational Facilities Authority Rev., Series 2002 K-1, (Association Independent Colleges), VRDN, 0.13%, 6/4/15 (LOC: JPMorgan Chase Bank N.A.) | 1,120,000 | 1,120,000 | |||||
Port Authority of New York & New Jersey Rev., (Consolidated Bonds) 4.46%, 10/1/62 | 330,000 | 341,962 | |||||
Puerto Rico GO, Series 2012 A, (Public Improvement), 5.50%, 7/1/39 | 700,000 | 507,164 | |||||
Riverside County Industrial Development Authority Rev., (Cal-Mold, Inc.), VRDN, 0.12%, 6/3/15 (LOC: Bank of the West) | 1,660,000 | 1,660,000 | |||||
Rutgers State University Rev., Series 2010 H, (Building Bonds), 5.67%, 5/1/40 | 280,000 | 336,378 | |||||
Sacramento Municipal Utility District Electric Rev., Series 2010 W, (Building Bonds), 6.16%, 5/15/36 | 170,000 | 211,307 | |||||
Salt River Agricultural Improvement & Power District Electric Rev., Series 2010 A, (Building Bonds), 4.84%, 1/1/41 | 170,000 | 196,957 | |||||
San Francisco City & County Public Utilities Water Commission Rev., Series 2010 B, (Building Bonds), 6.00%, 11/1/40 | 135,000 | 165,803 | |||||
Santa Clara Valley Transportation Authority Sales Tax Rev., Series 2010 A, (Building Bonds), 5.88%, 4/1/32 | 195,000 | 238,881 | |||||
Tempe Industrial Development Authority Rev., Series 2004 B, (ASUF Brickyard LLC), VRDN, 0.13%, 6/4/15 (LOC: Bank of America N.A.) | 3,900,000 | 3,900,000 | |||||
Washington Finance Commission Nonprofit Housing Rev., (Heatherwood), Series 2002 A, VRDN, 0.15%, 6/4/15 (LIQ FAC: FHLMC) (Acquired 11/7/11, Cost $3,400,00)(9) | 3,400,000 | 3,400,000 | |||||
TOTAL MUNICIPAL SECURITIES (Cost $34,596,407) | 35,369,216 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(6) — 1.0% | |||||||
Private Sponsor Collateralized Mortgage Obligations — 0.9% | |||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | 62,838 | 66,063 | |||||
Adjustable Rate Mortgage Trust, Series 2004-4, Class 4A1, VRN, 2.51%, 6/1/15 | 134,271 | 134,361 | |||||
Banc of America Alternative Loan Trust, Series 2007-2, Class 2A4, 5.75%, 6/25/37 | 763,619 | 564,431 | |||||
Banc of America Mortgage Securities, Inc., Series 2003-G, Class 2A1, VRN, 2.61%, 6/1/15 | 215,291 | 216,511 | |||||
Banc of America Mortgage Securities, Inc., Series 2004-7, Class 7A1, 5.00%, 8/25/19 | 75,866 | 76,780 | |||||
Banc of America Mortgage Securities, Inc., Series 2004-E, Class 2A6 SEQ, VRN, 2.82%, 6/1/15 | 413,340 | 412,831 | |||||
Banc of America Mortgage Securities, Inc., Series 2005-1, Class 1A15, 5.50%, 2/25/35 | 188,599 | 197,468 |
67
Shares/ Principal Amount | Value | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A4, VRN, 2.20%, 6/1/15 | $ | 254,161 | $ | 252,495 | |||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 1.95%, 6/1/15 | 313,129 | 308,720 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 5.20%, 6/1/15 | 252,933 | 250,250 | |||||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1, VRN, 2.25%, 6/1/15 | 405,099 | 402,345 | |||||
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 4A1, VRN, 4.85%, 6/1/15 | 146,618 | 140,312 | |||||
GSR Mortgage Loan Trust, Series 2004-5, Class 3A3, VRN, 2.68%, 6/1/15 | 336,329 | 335,129 | |||||
GSR Mortgage Loan Trust, Series 2004-7, Class 3A1, VRN, 2.15%, 6/1/15 | 234,806 | 228,664 | |||||
GSR Mortgage Loan Trust, Series 2005-AR1, Class 3A1, VRN, 2.63%, 6/1/15 | 406,922 | 407,436 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 2.68%, 6/1/15 | 679,008 | 682,318 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 1A1, VRN, 4.14%, 6/1/15 | 260,094 | 258,099 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 2A1, VRN, 2.59%, 6/1/15 | 176,220 | 175,686 | |||||
JPMorgan Mortgage Trust, Series 2006-A3, Class 7A1, VRN, 2.61%, 6/1/15 | 411,419 | 415,278 | |||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 6/1/15(5) | 216,647 | 216,419 | |||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 2.67%, 6/1/15 | 514,783 | 528,638 | |||||
MASTR Asset Securitization Trust, Series 2003-10, Class 3A1, 5.50%, 11/25/33 | 132,161 | 138,714 | |||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A1, VRN, 2.46%, 6/1/15 | 293,581 | 289,005 | |||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A2, VRN, 2.46%, 6/1/15 | 91,744 | 92,464 | |||||
Merrill Lynch Mortgage Investors Trust Series, Series 2005-3, Class 2A, VRN, 2.16%, 6/25/15 | 278,214 | 274,156 | |||||
PHHMC Mortgage Pass-Through Certificates, Series 2007-6, Class A1, VRN, 5.32%, 6/1/15 | 104,835 | 104,167 | |||||
Sequoia Mortgage Trust, Series 2012-1, Class 1A1, VRN, 2.87%, 6/1/15 | 136,237 | 137,016 | |||||
Sequoia Mortgage Trust, Series 2013-12, Class A1 SEQ, VRN, 4.00%, 6/1/15(5) | 374,004 | 388,212 | |||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 3A2, VRN, 2.42%, 6/1/15 | 259,927 | 260,390 | |||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 2A1, VRN, 2.42%, 6/1/15 | 283,769 | 283,883 | |||||
Thornburg Mortgage Securities Trust, Series 2004-3, Class A, VRN, 0.92%, 6/25/15 | 485,456 | 468,350 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 208,315 | 215,163 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 2.44%, 6/1/15 | 721,199 | 718,167 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR4, Class A5, VRN, 2.47%, 6/1/15 | 375,589 | 370,078 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-S, Class A1, VRN, 2.63%, 6/1/15 | 241,528 | 247,670 |
68
Shares/ Principal Amount | Value | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Z, Class 2A2, VRN, 2.61%, 6/1/15 | $ | 487,940 | $ | 491,497 | |||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-17, Class 1A1, 5.50%, 1/25/36 | 260,510 | 267,723 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-3, Class A12, 5.50%, 5/25/35 | 308,699 | 315,663 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-9, Class 2A6, 5.25%, 10/25/35 | 583,270 | 615,013 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 1A1, VRN, 2.63%, 6/1/15 | 672,536 | 689,046 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 1A1, VRN, 2.65%, 6/1/15 | 127,236 | 130,360 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A15, VRN, 2.64%, 6/1/15 | 79,222 | 80,774 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A17, VRN, 2.64%, 6/1/15 | 396,112 | 404,460 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR12, Class 2A6, VRN, 2.64%, 6/1/15 | 112,884 | 115,845 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR14, Class A1, VRN, 5.28%, 6/1/15 | 102,768 | 102,063 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 3A2, VRN, 2.64%, 6/1/15 | 398,012 | 402,085 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR2, Class 3A1, VRN, 2.61%, 6/1/15 | 122,882 | 124,739 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR7, Class 1A1, VRN, 2.74%, 6/1/15 | 452,352 | 453,715 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-10, Class A4 SEQ, 6.00%, 8/25/36 | 307,063 | 315,823 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 1A7 SEQ, VRN, 5.80%, 6/1/15 | 557,674 | 545,449 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-13, Class A1, 6.00%, 9/25/37 | 165,665 | 172,192 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-14, Class 2A2, 5.50%, 10/25/22 | 150,322 | 155,662 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-16, Class 1A1, 6.00%, 12/28/37 | 120,589 | 124,911 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR10, Class 1A1, VRN, 6.20%, 6/1/15 | 161,450 | 160,892 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR7, Class A1, VRN, 2.57%, 6/1/15 | 189,046 | 175,855 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2008-1, Class 4A1, 5.75%, 2/25/38 | 270,918 | 286,484 | |||||
16,387,920 | |||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.1% | |||||||
FHLMC, Series 2926, Class EW SEQ, 5.00%, 1/15/25 | 804,341 | 881,595 | |||||
FNMA, Series 2014-M3, Class ASQ2, 0.56%, 3/25/16 | 1,029,378 | 1,029,962 | |||||
1,911,557 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $18,408,386) | �� | 18,299,477 | |||||
COMMERCIAL MORTGAGE-BACKED SECURITIES(6) — 1.0% | |||||||
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, VRN, 5.12%, 6/1/15 | 278,441 | 279,286 | |||||
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class AM, VRN, 5.18%, 6/1/15 | 425,000 | 431,159 | |||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-PARK, Class A SEQ, 2.96%, 12/10/30(5) | 1,325,000 | 1,347,435 |
69
Shares/ Principal Amount | Value | ||||||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2014-ICTS, Class A, VRN, 0.99%, 6/15/15(5) | $ | 775,000 | $ | 775,770 | |||
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class B, VRN, 3.49%, 6/1/15(5) | 700,000 | 712,879 | |||||
BB-UBS Trust, Series 2012-SHOW, Class A SEQ, 3.43%, 11/5/36(5) | 850,000 | 874,684 | |||||
BBCMS Trust, Series 2013-TYSN, Class C, 3.82%, 9/5/32(5) | 250,000 | 263,854 | |||||
BLCP Hotel Trust, Series 2014-CLRN, Class A, VRN, 1.14%, 6/15/15(5) | 1,275,000 | 1,273,622 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-BBG, Class A, VRN, 0.99%, 6/15/15(5) | 950,000 | 949,542 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class AM SEQ, 4.43%, 2/10/47 | 700,000 | 775,821 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class AM, VRN, 4.19%, 6/1/15 | 700,000 | 759,645 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, 4.19%, 9/10/47 | 950,000 | 1,028,249 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-3BP, Class B, VRN, 3.24%, 6/1/15(5) | 625,000 | 626,813 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR22, Class AM, 3.60%, 3/10/48 | 775,000 | 799,970 | |||||
Core Industrial Trust, Series 2015-4, Class A, 3.29%, 2/10/37 | 1,300,000 | 1,326,119 | |||||
Core Industrial Trust, Series 2015-TEXW, Class C, 3.73%, 2/10/34(5) | 175,000 | 179,380 | |||||
GS Mortgage Securities Corp. II, Series 2015-GC28, Class AS, 3.76%, 2/10/48 | 425,000 | 443,952 | |||||
Irvine Core Office Trust, Series 2013-IRV, Class A2 SEQ, VRN, 3.17%, 6/10/15(5) | 1,300,000 | 1,348,951 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2013-C16, Class A4, 4.17%, 12/15/46 | 275,000 | 302,539 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2013-C16, Class AS, 4.52%, 12/15/46 | 475,000 | 528,681 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, VRN, 1.09%, 6/15/15(5) | 825,000 | 825,533 | |||||
LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A4 SEQ, 4.57%, 1/15/31 | 73,688 | 74,627 | |||||
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class AM, VRN, 5.02%, 6/11/15 | 600,000 | 601,835 | |||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM, VRN, 5.26%, 6/11/15 | 725,000 | 729,334 | |||||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class C, VRN, 3.45%, 6/1/15(5) | 700,000 | 721,380 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $17,683,053) | 17,981,060 | ||||||
ASSET-BACKED SECURITIES(6) — 0.6% | |||||||
American Airlines Pass-Through Trust, 7.00%, 7/31/19(5) | 52,989 | 56,963 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-1A, Class A, 2.63%, 12/20/21 | 525,000 | 524,895 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-1A, Class A SEQ, 2.05%, 8/20/16(5) | 350,000 | 350,648 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-2A, Class A SEQ, 2.80%, 5/20/18(5) | 700,000 | 717,482 | |||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class B, 3.42%, 12/20/21(5) | 175,000 | 174,965 | |||||
CenterPoint Energy Transition Bond Co. LLC, Series 2005-A, Class A4 SEQ, 5.17%, 8/1/19 | 90,375 | 94,478 | |||||
Chase Issuance Trust, Series 2007-B1, Class B1, VRN, 0.44%, 6/15/15 | 225,000 | 224,028 | |||||
Chesapeake Funding LLC, Series 2014-1A, Class A, VRN, 0.60%, 6/7/15(5) | 141,354 | 141,311 |
70
Shares/ Principal Amount | Value | ||||||
Chesapeake Funding LLC, Series 2014-1A, Class A, VRN, 0.60%, 6/8/15(5) | $ | 777,445 | $ | 777,208 | |||
CNH Equipment Trust, Series 2014-B, Class A2 SEQ, 0.48%, 8/15/17 | 457,985 | 457,843 | |||||
Dryrock Issuance Trust, Series 2014-1, Class A, VRN, 0.55%, 6/15/15 | 800,000 | 799,446 | |||||
Enterprise Fleet Financing LLC, Series 2014-1, Class A2 SEQ, 0.87%, 9/20/19(5) | 377,408 | 377,556 | |||||
Harley-Davidson Motorcycle Trust, Series 2014-1, Class A2B, VRN, 0.36%, 6/15/15 | 656,805 | 656,124 | |||||
Hertz Fleet Lease Funding LP, Series 2014-1, Class A, VRN, 0.58%, 6/10/15(5) | 1,050,326 | 1,049,697 | |||||
Hilton Grand Vacations Trust, Series 2013-A, Class A SEQ, 2.28%, 1/25/26(5) | 205,981 | 207,503 | |||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(5) | 990,950 | 984,878 | |||||
John Deere Owner Trust, Series 2014-A, Class A2 SEQ, 0.45%, 9/15/16 | 655,880 | 655,907 | |||||
John Deere Owner Trust, Series 2014-A, Class A3 SEQ, 0.92%, 4/16/18 | 700,000 | 701,101 | |||||
MVW Owner Trust, Series 2014-1A, Class A, 2.25%, 9/22/31(5) | 561,097 | 561,680 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A SEQ, 1.59%, 11/20/29(5) | 275,483 | 275,458 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2013-2A, Class A SEQ, 2.28%, 11/20/25(5) | 183,250 | 185,352 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class A, 2.40%, 3/22/32(5) | 597,288 | 599,775 | |||||
UAL Pass-Through Trust, Series 2007-1, Class A, 6.64%, 1/2/24 | 85,621 | 92,470 | |||||
US Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 5/15/27 | 140,558 | 144,775 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $10,801,641) | 10,811,543 | ||||||
EXCHANGE-TRADED FUNDS — 0.2% | |||||||
iShares Russell 1000 Growth ETF | 6,264 | 631,223 | |||||
iShares Russell Mid-Cap Value ETF | 38,851 | 2,941,021 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $3,213,299) | 3,572,244 | ||||||
CONVERTIBLE PREFERRED STOCKS† | |||||||
Household Durables† | |||||||
Beazer Homes USA, Inc., 7.50%, 7/15/15 (Cost $60,482) | 2,322 | 62,555 | |||||
PREFERRED STOCKS† | |||||||
Consumer Finance† | |||||||
Ally Financial, Inc., 7.00%(5) (Cost $34,627) | 39 | 39,585 | |||||
TEMPORARY CASH INVESTMENTS — 1.5% | |||||||
SSgA U.S. Government Money Market Fund, Class N | 13,380,623 | 13,380,623 | |||||
State Street Institutional Liquid Reserves Fund, Premier Class | 13,335,230 | 13,335,230 | |||||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $26,715,853) | 26,715,853 | ||||||
TOTAL INVESTMENT SECURITIES — 100.6% (Cost $1,517,151,175) | 1,761,074,014 | ||||||
OTHER ASSETS AND LIABILITIES — (0.6)% | (11,037,822) | ||||||
TOTAL NET ASSETS — 100.0% | $ | 1,750,036,192 |
71
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
AUD | 45,000 | USD | 35,409 | Barclays Bank plc | 6/17/15 | $ | (1,032 | ) | ||
AUD | 59,013 | USD | 46,206 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,124 | ) | |||
AUD | 80,000 | USD | 62,683 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,568 | ) | |||
USD | 1,035,093 | AUD | 1,338,537 | Barclays Bank plc | 6/17/15 | 12,536 | ||||
USD | 63,542 | AUD | 82,170 | Barclays Bank plc | 6/17/15 | 770 | ||||
USD | 47,712 | AUD | 60,000 | JPMorgan Chase Bank N.A. | 6/17/15 | 1,876 | ||||
BRL | 147,825 | USD | 50,000 | UBS AG | 6/17/15 | (3,842 | ) | |||
BRL | 384,345 | USD | 130,000 | UBS AG | 6/17/15 | (9,988 | ) | |||
USD | 120,000 | BRL | 370,500 | UBS AG | 6/17/15 | 4,311 | ||||
USD | 45,000 | BRL | 138,938 | UBS AG | 6/17/15 | 1,617 | ||||
CAD | 131,474 | USD | 110,000 | Barclays Bank plc | 6/17/15 | (4,309 | ) | |||
CAD | 84,777 | USD | 70,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,848 | ) | |||
CAD | 97,192 | USD | 80,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,868 | ) | |||
CAD | 62,440 | USD | 50,140 | JPMorgan Chase Bank N.A. | 6/30/15 | 45 | ||||
CAD | 65,767 | USD | 52,636 | JPMorgan Chase Bank N.A. | 6/30/15 | 223 | ||||
USD | 2,101,064 | CAD | 2,578,531 | JPMorgan Chase Bank N.A. | 6/17/15 | 28,198 | ||||
USD | 67,042 | CAD | 82,277 | JPMorgan Chase Bank N.A. | 6/17/15 | 900 | ||||
USD | 170,000 | CAD | 212,238 | UBS AG | 6/17/15 | (617 | ) | |||
USD | 60,000 | CAD | 74,908 | UBS AG | 6/17/15 | (218 | ) | |||
USD | 1,911,430 | CAD | 2,374,904 | JPMorgan Chase Bank N.A. | 6/30/15 | 2,624 | ||||
USD | 1,873,001 | CAD | 2,327,157 | JPMorgan Chase Bank N.A. | 6/30/15 | 2,572 | ||||
USD | 52,575 | CAD | 65,361 | JPMorgan Chase Bank N.A. | 6/30/15 | 42 | ||||
USD | 1,726,423 | CAD | 2,145,038 | JPMorgan Chase Bank N.A. | 6/30/15 | 2,370 | ||||
CHF | 168,815 | USD | 174,972 | JPMorgan Chase Bank N.A. | 6/17/15 | 4,738 | ||||
USD | 630,876 | CHF | 600,583 | JPMorgan Chase Bank N.A. | 6/17/15 | (8,469 | ) | |||
USD | 28,252 | CHF | 26,097 | JPMorgan Chase Bank N.A. | 6/17/15 | 471 | ||||
USD | 1,201 | CHF | 1,120 | UBS AG | 6/17/15 | 9 | ||||
USD | 4,053 | CHF | 3,746 | UBS AG | 6/17/15 | 65 | ||||
CLP | 169,340,957 | USD | 273,572 | UBS AG | 6/17/15 | 3 | ||||
CLP | 269,060,000 | USD | 440,000 | UBS AG | 6/17/15 | (5,326 | ) | |||
USD | 85,000 | CLP | 51,977,500 | UBS AG | 6/17/15 | 1,029 | ||||
CNY | 1,035,826 | USD | 168,400 | UBS AG | 6/17/15 | 808 | ||||
CNY | 1,229,040 | USD | 200,000 | Westpac Group | 6/17/15 | 771 | ||||
USD | 84,945 | CNY | 522,495 | UBS AG | 6/17/15 | (408 | ) | |||
COP | 265,650,000 | USD | 110,000 | UBS AG | 6/17/15 | (5,192 | ) | |||
COP | 627,900,000 | USD | 260,000 | UBS AG | 6/17/15 | (12,271 | ) | |||
USD | 240,000 | COP | 610,800,000 | UBS AG | 6/17/15 | (983 | ) | |||
USD | 105,000 | COP | 267,225,000 | UBS AG | 6/17/15 | (430 | ) | |||
USD | 100,000 | CZK | 2,522,794 | Barclays Bank plc | 6/17/15 | (1,056 | ) | |||
USD | 110,000 | CZK | 2,772,595 | Barclays Bank plc | 6/17/15 | (1,063 | ) | |||
USD | 45,000 | CZK | 1,134,243 | Barclays Bank plc | 6/17/15 | (435 | ) | |||
USD | 138,936 | CZK | 3,542,697 | Deutsche Bank | 6/17/15 | (2,975 | ) | |||
USD | 235 | CZK | 6,000 | Deutsche Bank | 6/17/15 | (5 | ) | |||
DKK | 423,727 | USD | 61,012 | UBS AG | 6/17/15 | 1,395 | ||||
USD | 87,596 | DKK | 608,354 | UBS AG | 6/17/15 | (2,003 | ) |
72
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
EUR | 260,000 | USD | 294,962 | Barclays Bank plc | 6/17/15 | $ | (9,350 | ) | ||
EUR | 200,000 | USD | 224,270 | Deutsche Bank | 6/17/15 | (4,569 | ) | |||
EUR | 624,551 | USD | 670,425 | UBS AG | 6/17/15 | 15,650 | ||||
EUR | 280,000 | USD | 318,264 | UBS AG | 6/17/15 | (10,681 | ) | |||
USD | 90,758 | EUR | 80,000 | Barclays Bank plc | 6/17/15 | 2,877 | ||||
USD | 90,275 | EUR | 80,000 | Barclays Bank plc | 6/17/15 | 2,395 | ||||
USD | 185,278 | EUR | 170,000 | Deutsche Bank | 6/17/15 | (1,468 | ) | |||
USD | 87,190 | EUR | 80,000 | Deutsche Bank | 6/17/15 | (691 | ) | |||
USD | 274,731 | EUR | 245,000 | Deutsche Bank | 6/17/15 | 5,596 | ||||
USD | 153,869 | EUR | 140,000 | Deutsche Bank | 6/17/15 | 78 | ||||
USD | 247,289 | EUR | 225,000 | Deutsche Bank | 6/17/15 | 125 | ||||
USD | 21,137,942 | EUR | 19,683,893 | UBS AG | 6/17/15 | (484,977 | ) | |||
USD | 161,959 | EUR | 144,961 | UBS AG | 6/17/15 | 2,718 | ||||
USD | 1,237,794 | EUR | 1,136,968 | UBS AG | 6/30/15 | (11,393 | ) | |||
USD | 89,675 | EUR | 82,370 | UBS AG | 6/30/15 | (825 | ) | |||
USD | 2,504,725 | EUR | 2,300,699 | UBS AG | 6/30/15 | (23,054 | ) | |||
GBP | 50,000 | USD | 76,476 | Barclays Bank plc | 6/17/15 | (65 | ) | |||
GBP | 70,000 | USD | 107,067 | Barclays Bank plc | 6/17/15 | (91 | ) | |||
GBP | 256,667 | USD | 385,486 | Deutsche Bank | 6/17/15 | 6,759 | ||||
GBP | 70,000 | USD | 109,618 | Deutsche Bank | 6/17/15 | (2,642 | ) | |||
GBP | 90,000 | USD | 141,630 | Deutsche Bank | 6/17/15 | (4,090 | ) | |||
GBP | 120,000 | USD | 183,958 | UBS AG | 6/17/15 | (571 | ) | |||
GBP | 20,000 | USD | 30,660 | UBS AG | 6/17/15 | (95 | ) | |||
USD | 4,063,397 | GBP | 2,703,902 | Barclays Bank plc | 6/17/15 | (68,768 | ) | |||
USD | 569,879 | GBP | 375,501 | Barclays Bank plc | 6/17/15 | (3,970 | ) | |||
USD | 1,362,168 | GBP | 897,550 | Barclays Bank plc | 6/17/15 | (9,489 | ) | |||
USD | 45,682 | GBP | 30,000 | Barclays Bank plc | 6/17/15 | (164 | ) | |||
USD | 121,834 | GBP | 80,000 | UBS AG | 6/17/15 | (424 | ) | |||
HKD | 24,971 | USD | 3,222 | JPMorgan Chase Bank N.A. | 6/17/15 | (1 | ) | |||
HUF | 9,543,800 | USD | 35,000 | Barclays Bank plc | 6/17/15 | (1,107 | ) | |||
HUF | 38,175,200 | USD | 140,000 | Barclays Bank plc | 6/17/15 | (4,429 | ) | |||
HUF | 19,217,597 | USD | 70,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,753 | ) | |||
HUF | 12,301,250 | USD | 45,000 | UBS AG | 6/17/15 | (1,315 | ) | |||
USD | 54,232 | HUF | 15,424,947 | Deutsche Bank | 6/17/15 | (546 | ) | |||
USD | 130,058 | HUF | 36,991,773 | Deutsche Bank | 6/17/15 | (1,310 | ) | |||
USD | 90,237 | HUF | 25,354,623 | UBS AG | 6/17/15 | 196 | ||||
IDR | 1,804,252,442 | USD | 137,887 | UBS AG | 6/17/15 | (1,590 | ) | |||
IDR | 4,597,425,000 | USD | 350,000 | Westpac Group | 6/17/15 | (2,700 | ) | |||
USD | 345,207 | IDR | 4,558,458,435 | UBS AG | 6/17/15 | 850 | ||||
USD | 137,921 | IDR | 1,821,246,805 | UBS AG | 6/17/15 | 340 | ||||
ILS | 336,460 | USD | 86,481 | Barclays Bank plc | 6/17/15 | 463 | ||||
INR | 16,686,441 | USD | 260,116 | UBS AG | 6/17/15 | 811 | ||||
INR | 6,957,901 | USD | 108,463 | UBS AG | 6/17/15 | 338 | ||||
INR | 22,366,400 | USD | 350,000 | Westpac Group | 6/17/15 | (255 | ) | |||
INR | 33,158,685 | USD | 519,159 | Westpac Group | 6/17/15 | (655 | ) | |||
USD | 170,000 | INR | 10,925,900 | Westpac Group | 6/17/15 | (849 | ) |
73
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 379,769 | INR | 24,255,850 | Westpac Group | 6/17/15 | $ | 479 | |||
USD | 65,000 | INR | 4,177,550 | Westpac Group | 6/17/15 | (325 | ) | |||
USD | 180,000 | INR | 11,680,200 | Westpac Group | 6/17/15 | (2,644 | ) | |||
USD | 430,000 | INR | 27,902,700 | Westpac Group | 6/17/15 | (6,316 | ) | |||
JPY | 9,674,080 | USD | 77,976 | Barclays Bank plc | 6/17/15 | (17 | ) | |||
JPY | 143,240,659 | USD | 1,195,534 | JPMorgan Chase Bank N.A. | 6/17/15 | (41,236 | ) | |||
JPY | 39,311,019 | USD | 330,000 | UBS AG | 6/17/15 | (13,214 | ) | |||
JPY | 3,573,729 | USD | 30,000 | UBS AG | 6/17/15 | (1,201 | ) | |||
USD | 66,547 | JPY | 7,940,608 | Barclays Bank plc | 6/17/15 | 2,558 | ||||
USD | 270,000 | JPY | 33,597,720 | Barclays Bank plc | 6/17/15 | (746 | ) | |||
USD | 235,000 | JPY | 29,242,460 | Barclays Bank plc | 6/17/15 | (649 | ) | |||
USD | 620,000 | JPY | 73,823,276 | JPMorgan Chase Bank N.A. | 6/17/15 | 25,098 | ||||
USD | 300,000 | JPY | 35,768,430 | JPMorgan Chase Bank N.A. | 6/17/15 | 11,762 | ||||
USD | 160,000 | JPY | 19,076,496 | JPMorgan Chase Bank N.A. | 6/17/15 | 6,273 | ||||
USD | 273,888 | JPY | 33,684,664 | JPMorgan Chase Bank N.A. | 6/17/15 | 2,441 | ||||
USD | 9,942,987 | JPY | 1,191,249,351 | UBS AG | 6/17/15 | 343,356 | ||||
USD | 312,419 | JPY | 38,439,354 | Credit Suisse AG | 6/30/15 | 2,588 | ||||
USD | 11,958 | JPY | 1,483,619 | Credit Suisse AG | 6/30/15 | (1 | ) | |||
KRW | 1,275,750,595 | USD | 1,175,807 | Westpac Group | 6/17/15 | (31,547 | ) | |||
KRW | 471,231,200 | USD | 440,000 | Westpac Group | 6/17/15 | (17,338 | ) | |||
USD | 173,471 | KRW | 188,216,002 | Westpac Group | 6/17/15 | 4,654 | ||||
USD | 210,000 | KRW | 230,370,000 | Westpac Group | 6/17/15 | 3,374 | ||||
USD | 100,000 | KRW | 109,700,000 | Westpac Group | 6/17/15 | 1,607 | ||||
USD | 35,000 | KRW | 37,484,300 | Westpac Group | 6/17/15 | 1,379 | ||||
MXN | 69,416 | USD | 4,484 | Barclays Bank plc | 6/17/15 | 19 | ||||
USD | 100,000 | MXN | 1,537,452 | Deutsche Bank | 6/17/15 | 271 | ||||
USD | 250,000 | MXN | 3,843,630 | Deutsche Bank | 6/17/15 | 676 | ||||
USD | 312,784 | MXN | 4,843,565 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,402 | ) | |||
MYR | 709,956 | USD | 200,000 | Westpac Group | 6/17/15 | (5,801 | ) | |||
NOK | 8,962,269 | USD | 1,180,385 | Deutsche Bank | 6/17/15 | (27,620 | ) | |||
NOK | 24,487,457 | USD | 3,225,146 | Deutsche Bank | 6/17/15 | (75,466 | ) | |||
USD | 1,189,514 | NOK | 9,420,700 | JPMorgan Chase Bank N.A. | 6/17/15 | (22,216 | ) | |||
USD | 3,300,235 | NOK | 26,137,161 | JPMorgan Chase Bank N.A. | 6/17/15 | (61,637 | ) | |||
NZD | 218,581 | USD | 166,715 | Deutsche Bank | 6/17/15 | (11,849 | ) | |||
NZD | 460,000 | USD | 350,113 | UBS AG | 6/17/15 | (24,199 | ) | |||
USD | 123,030 | NZD | 161,305 | Deutsche Bank | 6/17/15 | 8,744 | ||||
USD | 132,510 | NZD | 180,000 | State Street Bank & Trust Co. | 6/17/15 | 4,978 | ||||
USD | 88,969 | NZD | 120,000 | State Street Bank & Trust Co. | 6/17/15 | 3,948 | ||||
USD | 55,212 | NZD | 75,000 | State Street Bank & Trust Co. | 6/17/15 | 2,074 | ||||
USD | 200,181 | NZD | 270,000 | State Street Bank & Trust Co. | 6/17/15 | 8,884 | ||||
USD | 72,306 | NZD | 95,000 | UBS AG | 6/17/15 | 4,998 | ||||
PEN | 978,050 | USD | 310,000 | UBS AG | 6/17/15 | (835 | ) | |||
PEN | 410,150 | USD | 130,000 | UBS AG | 6/17/15 | (350 | ) | |||
USD | 184,853 | PEN | 583,118 | UBS AG | 6/17/15 | 527 | ||||
USD | 570,000 | PEN | 1,795,500 | UBS AG | 6/17/15 | 2,436 | ||||
USD | 50,000 | PEN | 157,500 | UBS AG | 6/17/15 | 214 |
74
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
PHP | 7,963,200 | USD | 180,000 | UBS AG | 6/17/15 | $ | (1,339 | ) | ||
PHP | 19,023,200 | USD | 430,000 | UBS AG | 6/17/15 | (3,198 | ) | |||
USD | 90,000 | PHP | 4,018,500 | UBS AG | 6/17/15 | (158 | ) | |||
USD | 210,000 | PHP | 9,376,500 | UBS AG | 6/17/15 | (370 | ) | |||
USD | 88,364 | PHP | 3,959,591 | Westpac Group | 6/17/15 | (473 | ) | |||
USD | 215,719 | PHP | 9,666,368 | Westpac Group | 6/17/15 | (1,154 | ) | |||
PLN | 1,429,791 | USD | 390,000 | Deutsche Bank | 6/17/15 | (8,145 | ) | |||
PLN | 727,545 | USD | 195,283 | UBS AG | 6/17/15 | (977 | ) | |||
USD | 180,000 | PLN | 674,139 | Barclays Bank plc | 6/17/15 | (43 | ) | |||
USD | 370,000 | PLN | 1,385,731 | Barclays Bank plc | 6/17/15 | (88 | ) | |||
USD | 123,403 | PLN | 459,016 | JPMorgan Chase Bank N.A. | 6/17/15 | 814 | ||||
RUB | 13,423,727 | USD | 258,646 | UBS AG | 6/17/15 | (3,931 | ) | |||
USD | 198,186 | RUB | 10,499,894 | UBS AG | 6/17/15 | (1,049 | ) | |||
SEK | 738,773 | USD | 90,000 | Deutsche Bank | 6/17/15 | (3,332 | ) | |||
SEK | 328,343 | USD | 40,000 | Deutsche Bank | 6/17/15 | (1,481 | ) | |||
SEK | 204,049 | USD | 23,430 | UBS AG | 6/17/15 | 507 | ||||
USD | 90,000 | SEK | 773,571 | Barclays Bank plc | 6/17/15 | (751 | ) | |||
USD | 45,000 | SEK | 382,606 | Barclays Bank plc | 6/17/15 | 115 | ||||
USD | 80,000 | SEK | 680,189 | Barclays Bank plc | 6/17/15 | 204 | ||||
USD | 331,209 | SEK | 2,884,400 | UBS AG | 6/17/15 | (7,171 | ) | |||
SGD | 119,545 | USD | 90,000 | JPMorgan Chase Bank N.A. | 6/17/15 | (1,353 | ) | |||
USD | 160,714 | SGD | 216,620 | Barclays Bank plc | 6/17/15 | 82 | ||||
USD | 59,819 | SGD | 80,610 | Barclays Bank plc | 6/17/15 | 43 | ||||
USD | 80,000 | SGD | 108,288 | UBS AG | 6/17/15 | (300 | ) | |||
USD | 45,000 | SGD | 60,912 | UBS AG | 6/17/15 | (169 | ) | |||
THB | 16,574,100 | USD | 509,972 | Westpac Group | 6/17/15 | (17,551 | ) | |||
THB | 14,380,080 | USD | 440,000 | Westpac Group | 6/17/15 | (12,764 | ) | |||
USD | 155,000 | THB | 5,065,710 | Westpac Group | 6/17/15 | 4,496 | ||||
USD | 440,138 | THB | 14,749,024 | Westpac Group | 6/17/15 | 1,940 | ||||
USD | 180,359 | THB | 6,043,830 | Westpac Group | 6/17/15 | 795 | ||||
USD | 260,000 | THB | 8,756,800 | Westpac Group | 6/17/15 | (167 | ) | |||
USD | 100,000 | THB | 3,368,000 | Westpac Group | 6/17/15 | (64 | ) | |||
TRY | 259,700 | USD | 100,000 | Barclays Bank plc | 6/17/15 | (2,909 | ) | |||
TRY | 90,895 | USD | 35,000 | Barclays Bank plc | 6/17/15 | (1,018 | ) | |||
TRY | 450,464 | USD | 170,000 | State Street Bank & Trust Co. | 6/17/15 | (1,590 | ) | |||
TRY | 927,427 | USD | 350,000 | State Street Bank & Trust Co. | 6/17/15 | (3,274 | ) | |||
USD | 41,761 | TRY | 115,104 | Barclays Bank plc | 6/17/15 | (1,272 | ) | |||
USD | 290,000 | TRY | 787,175 | JPMorgan Chase Bank N.A. | 6/17/15 | (4,292 | ) | |||
USD | 290,000 | TWD | 8,926,200 | State Street Bank & Trust Co. | 6/17/15 | 264 | ||||
USD | 120,000 | TWD | 3,693,600 | State Street Bank & Trust Co. | 6/17/15 | 109 | ||||
USD | 312,757 | ZAR | 3,847,489 | Deutsche Bank | 6/17/15 | (3,243 | ) | |||
USD | 39,637 | ZAR | 478,404 | Deutsche Bank | 6/17/15 | 345 | ||||
$ | (591,531 | ) |
75
FUTURES CONTRACTS | ||||||||
Contracts Purchased | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
14 | U.S. Treasury 2-Year Notes | September 2015 | $ | 3,064,031 | $ | 3,468 | ||
Contracts Sold | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation (Depreciation) | |||||
10 | U.S. Treasury 10-Year Notes | September 2015 | $ | 1,276,875 | $ | (5,491 | ) | |
4 | U.S. Treasury Long Bonds | September 2015 | 622,500 | (4,760 | ) | |||
$ | 1,899,375 | $ | (10,251 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS | ||||||||||||||
Reference Entity | Notional Amount | Buy/Sell* Protection | Interest Rate | Termination Date | Implied Credit Spread** | Unrealized Appreciation (Depreciation) | Value | |||||||
CDX North America High Yield 24 Index | $ | 6,900,000 | Sell | 5.00% | 06/20/20 | 3.39 | % | $ | 69,923 | $ | 558,239 |
*The maximum potential amount the fund could be required to deliver as a seller of credit protection if a credit
event occurs as defined under the terms of the agreement is the notional amount. The maximum potential
amount may be partially offset by any recovery values of the reference entities and upfront payments received
upon entering into the agreement.
**Implied credit spreads for centrally cleared credit default swap agreements are linked to the weighted average spread across the underlying reference entities included in a particular index. Implied credit spreads serve as an indication of the seller’s performance risk related to the likelihood of a credit event occurring as defined in the agreement. Implied credit spreads are used to determine the value of swap agreements and reflect the cost of buying/selling protection, which may include upfront payments made/received upon entering the agreement. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform under the contract terms. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk.
76
NOTES TO SCHEDULE OF INVESTMENTS | |||||
ADR | - | American Depositary Receipt | LIQ FAC | - | Liquidity Facilities |
AUD | - | Australian Dollar | LOC | - | Letter of Credit |
BRL | - | Brazilian Real | MTN | - | Medium Term Note |
CAD | - | Canadian Dollar | MXN | - | Mexican Peso |
CDX | - | Credit Derivatives Indexes | MYR | - | Malaysian Ringgit |
CHF | - | Swiss Franc | NOK | - | Norwegian Krone |
CLP | - | Chilean Peso | NZD | - | New Zealand Dollar |
CNY | - | Chinese Yuan | OJSC | - | Open Joint Stock Company |
COP | - | Colombian Peso | PEN | - | Peruvian Nuevo Sol |
CVA | - | Certificaten Van Aandelen | PHP | - | Philippine Peso |
CZK | - | Czech Koruna | PIK | - | Payment in Kind |
DKK | - | Danish Krone | PJSC | - | Public Joint Stock Company |
EUR | - | Euro | PLN | - | Polish Zloty |
FHLMC | - | Federal Home Loan Mortgage Corporation | RUB | - | Russian Ruble |
FNMA | - | Federal National Mortgage Association | SEK | - | Swedish Krona |
GBP | - | British Pound | SEQ | - | Sequential Payer |
GDR | - | Global Depositary Receipt | SGD | - | Singapore Dollar |
GNMA | - | Government National Mortgage Association | THB | - | Thai Baht |
GO | - | General Obligation | TRY | - | Turkish Lira |
HKD | - | Hong Kong Dollar | TWD | - | Taiwanese Dollar |
HUF | - | Hungarian Forint | USD | - | United States Dollar |
IDR | - | Indonesian Rupiah | VRDN | - | Variable Rate Demand Note. Interest reset date is indicated. Rate shown is effective at the period end. |
ILS | - | Israeli Shekel | |||
INR | - | Indian Rupee | VRN | - | Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end. |
JPY | - | Japanese Yen | |||
KRW | - | South Korea Won | ZAR | - | South African Rand |
† Category is less than 0.05% of total net assets.
(1) | Non-income producing. |
(2) | The rate indicated is the yield to maturity at purchase. |
(3) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for margin requirements on futures contracts. At the period end, the aggregate value of securities pledged was $44,160. |
(4) | When-issued security. The issue price and yield are fixed on the date of the commitment, but payment and delivery are scheduled for a future date. |
(5) | Restricted security exempt from registration pursuant to Rule 144A or Section 4(2) under the Securities Act of 1933. These securities may be sold without restriction to qualified institutional investors and have been deemed liquid under policies approved by the Board of Directors. The aggregate value of these securities at the period end was $84,252,301, which represented 4.8% of total net assets. |
(6) | Final maturity date indicated, unless otherwise noted. |
(7) | Forward commitment. Settlement date is indicated. |
(8) | The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown. |
(9) | Restricted security that may not be offered for public sale without being registered with the Securities and Exchange Commission and/or may be subject to resale, redemption or transferability restrictions. The aggregate value of these securities at the period end was $7,700,000, which represented 0.4% of total net assets. |
See Notes to Financial Statements.
77
Statement of Assets and Liabilities |
MAY 31, 2015 (UNAUDITED) | |||
Assets | |||
Investment securities, at value (cost of $1,517,151,175) | $ | 1,761,074,014 | |
Foreign currency holdings, at value (cost of $2,633,538) | 2,622,289 | ||
Deposits with broker for futures contracts and swap agreements | 396,445 | ||
Receivable for investments sold | 12,891,672 | ||
Receivable for capital shares sold | 1,560,255 | ||
Receivable for variation margin on futures contracts | 1,313 | ||
Receivable for variation margin on swap agreements | 1,362 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 559,621 | ||
Dividends and interest receivable | 6,327,615 | ||
Other assets | 13,111 | ||
1,785,447,697 | |||
Liabilities | |||
Disbursements in excess of demand deposit cash | 121,966 | ||
Payable for investments purchased | 28,961,287 | ||
Payable for capital shares redeemed | 3,209,512 | ||
Payable for variation margin on futures contracts | 6,219 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 1,151,152 | ||
Accrued management fees | 1,539,451 | ||
Distribution and service fees payable | 260,471 | ||
Accrued foreign taxes | 161,447 | ||
35,411,505 | |||
Net Assets | $ | 1,750,036,192 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 1,438,904,812 | |
Undistributed net investment income | 1,479,107 | ||
Undistributed net realized gain | 66,455,895 | ||
Net unrealized appreciation | 243,196,378 | ||
$ | 1,750,036,192 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||
Investor Class, $0.01 Par Value | $721,164,191 | 99,823,369 | $7.22 | |
Institutional Class, $0.01 Par Value | $266,995,396 | 36,947,680 | $7.23 | |
A Class, $0.01 Par Value | $559,460,150 | 77,634,869 | $7.21* | |
B Class, $0.01 Par Value | $11,067,758 | 1,544,819 | $7.16 | |
C Class, $0.01 Par Value | $127,235,454 | 17,724,422 | $7.18 | |
R Class, $0.01 Par Value | $53,656,908 | 7,471,511 | $7.18 | |
R6 Class, $0.01 Par Value | $10,456,335 | 1,447,886 | $7.22 |
*Maximum offering price $7.65 (net asset value divided by 0.9425).
See Notes to Financial Statements.
78
Statement of Operations |
FOR THE SIX MONTHS ENDED MAY 31, 2015 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Dividends (net of foreign taxes withheld of $398,560) | $ | 11,680,158 | |
Interest | 6,310,231 | ||
17,990,389 | |||
Expenses: | |||
Management fees | 9,056,664 | ||
Distribution and service fees: | |||
A Class | 712,119 | ||
B Class | 59,579 | ||
C Class | 632,748 | ||
R Class | 128,802 | ||
Directors' fees and expenses | 31,107 | ||
Other expenses | 8,777 | ||
10,629,796 | |||
Net investment income (loss) | 7,360,593 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (net of foreign tax expenses paid (refunded) of $5,766) | 84,762,207 | ||
Futures contract transactions | 149,959 | ||
Swap agreement transactions | (52,878 | ) | |
Foreign currency transactions | 350,971 | ||
85,210,259 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments (includes (increase) decrease in accrued foreign taxes of $(98,951)) | (45,227,039 | ) | |
Futures contracts | (6,783 | ) | |
Swap agreements | 69,923 | ||
Translation of assets and liabilities in foreign currencies | (708,269 | ) | |
(45,872,168 | ) | ||
Net realized and unrealized gain (loss) | 39,338,091 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 46,698,684 |
See Notes to Financial Statements.
79
Statement of Changes in Net Assets |
SIX MONTHS ENDED MAY 31, 2015 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2014 | ||||||
Increase (Decrease) in Net Assets | May 31, 2015 | November 30, 2014 | ||||
Operations | ||||||
Net investment income (loss) | $ | 7,360,593 | $ | 13,968,161 | ||
Net realized gain (loss) | 85,210,259 | 164,017,050 | ||||
Change in net unrealized appreciation (depreciation) | (45,872,168 | ) | (33,309,808 | ) | ||
Net increase (decrease) in net assets resulting from operations | 46,698,684 | 144,675,403 | ||||
Distributions to Shareholders | ||||||
From net investment income: | ||||||
Investor Class | (2,480,897 | ) | (6,504,369 | ) | ||
Institutional Class | (1,304,537 | ) | (3,104,968 | ) | ||
A Class | (1,533,865 | ) | (4,597,949 | ) | ||
B Class | (3,014 | ) | (21,399 | ) | ||
C Class | (30,853 | ) | (161,522 | ) | ||
R Class | (89,989 | ) | (231,316 | ) | ||
R6 Class | (46,206 | ) | (26,097 | ) | ||
From net realized gains: | ||||||
Investor Class | (55,786,503 | ) | (53,053,362 | ) | ||
Institutional Class | (22,652,074 | ) | (19,935,501 | ) | ||
A Class | (47,218,884 | ) | (52,644,043 | ) | ||
B Class | (989,345 | ) | (1,268,287 | ) | ||
C Class | (10,056,228 | ) | (9,547,590 | ) | ||
R Class | (3,903,781 | ) | (3,598,945 | ) | ||
R6 Class | (675,551 | ) | (9,917 | ) | ||
Decrease in net assets from distributions | (146,771,727 | ) | (154,705,265 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | 40,898,251 | 23,105,269 | ||||
Net increase (decrease) in net assets | (59,174,792 | ) | 13,075,407 | |||
Net Assets | ||||||
Beginning of period | 1,809,210,984 | 1,796,135,577 | ||||
End of period | $ | 1,750,036,192 | $ | 1,809,210,984 | ||
Undistributed (distributions in excess of) net investment income | $ | 1,479,107 | $ | (392,125 | ) |
See Notes to Financial Statements.
80
Notes to Financial Statements |
MAY 31, 2015 (UNAUDITED)
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Strategic Allocation: Moderate Fund (the fund) is one fund in a series issued by the corporation. The fund is diversified as defined under the 1940 Act. The fund is an asset allocation fund and its investment objective is to seek the highest level of total return consistent with its asset mix.
The fund offers the Investor Class, the Institutional Class, the A Class, the B Class, the C Class, the R Class and the R6 Class. The A Class may incur an initial sales charge. The A Class, B Class and C Class may be subject to a contingent deferred sales charge. The share classes differ principally in their respective sales charges and distribution and shareholder servicing expenses and arrangements. The Institutional Class and R6 Class shareholders do not require the same level of shareholder and administrative services from American Century Investment Management, Inc. (ACIM) (the investment advisor) as shareholders of other classes. In addition, financial intermediaries do not receive any service, distribution or administrative fees for the R6 Class. As a result, the Institutional Class and R6 Class are charged lower unified management fees.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The fund is an investment company and follows accounting and reporting guidance in accordance with accounting principles generally accepted in the United States of America. This may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates. Management evaluated the impact of events or transactions occurring through the date the financial statements were issued that would merit recognition or disclosure.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. Equity securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Fixed income securities maturing in greater than 60 days at the time of purchase are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Fixed income securities maturing within 60 days at the time of purchase may be valued at cost, plus or minus any amortized discount or premium or at the evaluated mean as provided by an independent pricing service. Evaluated mean prices are commonly derived through utilization of market models, which may consider, among other factors: trade data, quotations from dealers and active market makers, relevant yield curve and spread data, related sector levels, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Fixed income securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
81
Open-end management investment companies are valued at the reported net asset value per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate clearing corporation. Swap agreements are valued at an evaluated price as provided by independent pricing services or independent brokers. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service.
If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s net asset value per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. If significant fluctuations in foreign markets are identified, the fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes. Certain countries impose taxes on realized gains on the sale of securities registered in their country. The fund records the foreign tax expense, if any, on an accrual basis. The foreign tax expense on realized gains and unrealized appreciation reduces the net realized gain (loss) on investment transactions and net unrealized appreciation (depreciation) on investments, respectively.
Investment Income — Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Distributions received on securities that represent a return of capital or long-term capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund may estimate the components of distributions received that may be considered nontaxable distributions or long-term capital gain distributions for income tax purposes. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Inflation adjustments related to inflation-linked debt securities are reflected as interest income.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. ACIM monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts, forward commitments and swap agreements.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
82
Forward Commitments — The fund may engage in securities transactions on a forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. The fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years from the date of filing but can be longer in certain jurisdictions. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid quarterly. Distributions from net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act. The fund may elect to treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc. (ACC). The corporation’s investment advisor, ACIM, the corporation's distributor, American Century Investment Services, Inc. (ACIS), and the corporation’s transfer agent, American Century Services, LLC, are wholly owned, directly or indirectly, by ACC.
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The rate of the fee is determined by applying a fee rate calculation formula. This formula takes into account the fund’s assets as well as certain assets, if any, of other clients of the investment advisor outside the American Century Investments family of funds (such as subadvised funds and separate accounts) that have very similar investment teams and investment strategies (strategy assets). The annual management fee schedule ranges from 0.90% to 1.10% for the Investor Class, A Class, B Class, C Class and R Class. The annual management fee schedule ranges from 0.70% to 0.90% for the Institutional Class and 0.55% to 0.75% for the R6 Class. The effective annual management fee for each class for the six months ended May 31, 2015 was 1.06% for the Investor Class, A Class, B Class, C Class and R Class, 0.86% for the Institutional Class and 0.71% for the R6 Class.
83
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, B Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay ACIS an annual distribution and service fee of 0.25%. The plans provide that the B Class and C Class will each pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the six months ended May 31, 2015 are detailed in the Statement of Operations.
Directors' Fees and Expenses — The Board of Directors is responsible for overseeing the investment advisor’s management and operations of the fund. The directors receive detailed information about the fund and its investment advisor regularly throughout the year, and meet at least quarterly with management of the investment advisor to review reports about fund operations. The fund’s officers do not receive compensation from the fund.
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the six months ended May 31, 2015 totaled $813,316,703, of which $160,366,978 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the six months ended May 31, 2015 totaled $889,937,194, of which $168,985,981 represented U.S. Treasury and Government Agency obligations.
84
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2015 | Year ended November 30, 2014 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 430,000,000 | 430,000,000 | ||||||||
Sold | 7,649,640 | $ | 54,703,572 | 16,322,397 | $ | 120,577,160 | ||||
Issued in reinvestment of distributions | 8,390,021 | 57,615,929 | 8,214,792 | 58,326,402 | ||||||
Redeemed | (9,272,161 | ) | (66,406,692 | ) | (19,366,561 | ) | (142,697,284 | ) | ||
6,767,500 | 45,912,809 | 5,170,628 | 36,206,278 | |||||||
Institutional Class/Shares Authorized | 200,000,000 | 200,000,000 | ||||||||
Sold | 2,468,308 | 17,643,327 | 7,800,770 | 57,396,293 | ||||||
Issued in reinvestment of distributions | 3,484,825 | 23,937,857 | 3,239,534 | 23,024,820 | ||||||
Redeemed | (6,743,890 | ) | (48,723,131 | ) | (6,220,485 | ) | (45,985,957 | ) | ||
(790,757 | ) | (7,141,947 | ) | 4,819,819 | 34,435,156 | |||||
A Class/Shares Authorized | 375,000,000 | 375,000,000 | ||||||||
Sold | 9,031,573 | 64,741,010 | 14,542,650 | 106,970,964 | ||||||
Issued in reinvestment of distributions | 6,898,516 | 47,224,779 | 7,641,151 | 54,041,339 | ||||||
Redeemed | (17,420,972 | ) | (124,065,417 | ) | (30,285,947 | ) | (224,627,291 | ) | ||
(1,490,883 | ) | (12,099,628 | ) | (8,102,146 | ) | (63,614,988 | ) | |||
B Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 19,143 | 136,610 | 8,879 | 63,120 | ||||||
Issued in reinvestment of distributions | 142,921 | 973,389 | 178,418 | 1,254,878 | ||||||
Redeemed | (344,668 | ) | (2,480,343 | ) | (593,243 | ) | (4,355,392 | ) | ||
(182,604 | ) | (1,370,344 | ) | (405,946 | ) | (3,037,394 | ) | |||
C Class/Shares Authorized | 75,000,000 | 75,000,000 | ||||||||
Sold | 1,439,558 | 10,243,346 | 2,621,867 | 19,274,390 | ||||||
Issued in reinvestment of distributions | 1,411,231 | 9,625,620 | 1,287,099 | 9,078,470 | ||||||
Redeemed | (1,885,720 | ) | (13,394,377 | ) | (2,890,321 | ) | (21,235,590 | ) | ||
965,069 | 6,474,589 | 1,018,645 | 7,117,270 | |||||||
R Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 1,043,332 | 7,386,278 | 1,703,646 | 12,525,606 | ||||||
Issued in reinvestment of distributions | 575,604 | 3,927,973 | 538,633 | 3,795,362 | ||||||
Redeemed | (656,340 | ) | (4,660,398 | ) | (1,696,072 | ) | (12,502,364 | ) | ||
962,596 | 6,653,853 | 546,207 | 3,818,604 | |||||||
R6 Class/Shares Authorized | 10,000,000 | 10,000,000 | ||||||||
Sold | 666,920 | 4,741,147 | 1,144,763 | 8,656,694 | ||||||
Issued in reinvestment of distributions | 105,200 | 721,757 | 4,870 | 36,014 | ||||||
Redeemed | (421,785 | ) | (2,993,985 | ) | (68,422 | ) | (512,365 | ) | ||
350,335 | 2,468,919 | 1,081,211 | 8,180,343 | |||||||
Net increase (decrease) | 6,581,256 | $ | 40,898,251 | 4,128,418 | $ | 23,105,269 |
85
6. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments. |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars. |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments. There were no significant transfers between levels during the period.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||
Assets | ||||||||
Investment Securities | ||||||||
Common Stocks | $ | 839,155,179 | $ | 299,509,965 | — | |||
U.S. Treasury Securities | — | 176,526,204 | — | |||||
Corporate Bonds | — | 157,093,114 | — | |||||
U.S. Government Agency Mortgage-Backed Securities | — | 74,641,733 | — | |||||
Sovereign Governments and Agencies | — | 61,909,120 | — | |||||
Commercial Paper | — | 39,387,166 | — | |||||
Municipal Securities | — | 35,369,216 | — | |||||
Collateralized Mortgage Obligations | — | 18,299,477 | — | |||||
Commercial Mortgage-Backed Securities | — | 17,981,060 | — | |||||
Asset-Backed Securities | — | 10,811,543 | — | |||||
Exchange-Traded Funds | 3,572,244 | — | — | |||||
Convertible Preferred Stocks | — | 62,555 | — | |||||
Preferred Stocks | — | 39,585 | — | |||||
Temporary Cash Investments | 26,715,853 | — | — | |||||
$ | 869,443,276 | $ | 891,630,738 | — | ||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 3,468 | — | — | ||||
Swap Agreements | — | $ | 69,923 | — | ||||
Forward Foreign Currency Exchange Contracts | — | 559,621 | — | |||||
$ | 3,468 | $ | 629,544 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | (10,251 | ) | — | — | |||
Forward Foreign Currency Exchange Contracts | — | $ | (1,151,152 | ) | — | |||
$ | (10,251 | ) | $ | (1,151,152 | ) | — |
86
7. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. Upon entering into a centrally cleared swap, a fund is required to deposit cash or securities (initial margin) with a financial intermediary in an amount equal to a certain percentage of the notional amount. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the value and is a component of unrealized gains and losses. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The risks of entering into swap agreements include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments. The fund's average notional amount held during the period was $5,400,000.
Equity Price Risk - The fund is subject to equity price risk in the normal course of pursuing its investment objectives. A fund may enter into futures contracts based on an equity index in order to manage its exposure to changes in market conditions. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund is required to deposit either cash or securities in an amount equal to a certain percentage of the contract value (initial margin). Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund recognizes a realized gain or loss when the contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain (loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. One of the risks of entering into futures contracts is the possibility that the change in value of the contract may not correlate with the changes in value of the underlying securities. During the period, the fund infrequently purchased equity price risk derivative instruments for temporary investment purposes.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The fund's average U.S. dollar exposure to foreign currency risk derivative instruments held during the period was $62,828,334.
Interest Rate Risk — The fund is subject to interest rate risk in the normal course of pursuing its investment objectives. The value of bonds generally declines as interest rates rise. A fund may enter into futures contracts based on a bond index or a specific underlying security. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund recognizes a realized gain or loss when the futures contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain (loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. One of the risks of entering into futures contracts is the possibility that the change in value of the contract may not correlate with the changes in value of the underlying securities. The fund's average exposure to interest rate risk derivative instruments held during the period was 45 contracts.
87
Value of Derivative Instruments as of May 31, 2015
Asset Derivatives | Liability Derivatives | |||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | ||||
Credit Risk | Receivable for variation margin on swap agreements* | $ | 1,362 | Payable for variation margin on swap agreements* | — | |||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | 559,621 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 1,151,152 | |||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 1,313 | Payable for variation margin on futures contracts* | 6,219 | ||||
$ | 562,296 | $ | 1,157,371 | |||||
* Included in the unrealized appreciation (depreciation) on centrally cleared credit default swap agreements or futures contracts, as applicable, as reported in the Schedule of Investments. | ||||||||
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2015 | ||||||||
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | |||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | ||||
Credit Risk | Net realized gain (loss) on swap agreement transactions | $ | (52,878 | ) | Change in net unrealized appreciation (depreciation) on swap agreements | $ | 69,923 | |
Equity Price Risk | Net realized gain (loss) on futures contract transactions | 109,018 | Change in net unrealized appreciation (depreciation) on futures contracts | — | ||||
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | 518,561 | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | (728,652 | ) | |||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 40,941 | Change in net unrealized appreciation (depreciation) on futures contracts | (6,783 | ) | |||
$ | 615,642 | $ | (665,512 | ) |
8. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
88
9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of May 31, 2015, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 1,532,248,449 | |
Gross tax appreciation of investments | $ | 254,373,600 | |
Gross tax depreciation of investments | (25,548,035 | ) | |
Net tax appreciation (depreciation) of investments | $ | 228,825,565 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
89
Financial Highlights |
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
Investor Class | |||||||||||||||
2015(3) | $7.67 | 0.03 | 0.14 | 0.17 | (0.02) | (0.60) | (0.62) | $7.22 | 2.73% | 1.06%(4) | 0.97%(4) | 48% | $721,164 | ||
2014 | $7.75 | 0.07 | 0.53 | 0.60 | (0.07) | (0.61) | (0.68) | $7.67 | 8.46% | 1.06% | 0.92% | 69% | $714,110 | ||
2013 | $7.08 | 0.08 | 0.97 | 1.05 | (0.10) | (0.28) | (0.38) | $7.75 | 15.44% | 1.06% | 1.13% | 74% | $681,335 | ||
2012 | $6.48 | 0.10 | 0.66 | 0.76 | (0.10) | (0.06) | (0.16) | $7.08 | 11.81% | 1.07% | 1.48% | 78% | $627,729 | ||
2011 | $6.30 | 0.10 | 0.18 | 0.28 | (0.10) | — | (0.10) | $6.48 | 4.42% | 1.07% | 1.51% | 86% | $586,861 | ||
2010 | $5.83 | 0.09 | 0.47 | 0.56 | (0.09) | — | (0.09) | $6.30 | 9.65% | 1.07% | 1.44% | 87% | $614,299 | ||
Institutional Class | |||||||||||||||
2015(3) | $7.68 | 0.04 | 0.14 | 0.18 | (0.03) | (0.60) | (0.63) | $7.23 | 2.84% | 0.86%(4) | 1.17%(4) | 48% | $266,995 | ||
2014 | $7.75 | 0.08 | 0.54 | 0.62 | (0.08) | (0.61) | (0.69) | $7.68 | 8.82% | 0.86% | 1.12% | 69% | $289,676 | ||
2013 | $7.08 | 0.09 | 0.97 | 1.06 | (0.11) | (0.28) | (0.39) | $7.75 | 15.66% | 0.86% | 1.33% | 74% | $255,268 | ||
2012 | $6.48 | 0.12 | 0.65 | 0.77 | (0.11) | (0.06) | (0.17) | $7.08 | 12.03% | 0.87% | 1.68% | 78% | $240,396 | ||
2011 | $6.30 | 0.11 | 0.18 | 0.29 | (0.11) | — | (0.11) | $6.48 | 4.63% | 0.87% | 1.71% | 86% | $235,783 | ||
2010 | $5.83 | 0.10 | 0.47 | 0.57 | (0.10) | — | (0.10) | $6.30 | 9.87% | 0.87% | 1.64% | 87% | $225,389 |
90
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
A Class | |||||||||||||||
2015(3) | $7.66 | 0.03 | 0.14 | 0.17 | (0.02) | (0.60) | (0.62) | $7.21 | 2.65% | 1.31%(4) | 0.72%(4) | 48% | $559,460 | ||
2014 | $7.74 | 0.05 | 0.53 | 0.58 | (0.05) | (0.61) | (0.66) | $7.66 | 8.22% | 1.31% | 0.67% | 69% | $606,035 | ||
2013 | $7.07 | 0.06 | 0.97 | 1.03 | (0.08) | (0.28) | (0.36) | $7.74 | 15.19% | 1.31% | 0.88% | 74% | $675,093 | ||
2012 | $6.47 | 0.08 | 0.66 | 0.74 | (0.08) | (0.06) | (0.14) | $7.07 | 11.57% | 1.32% | 1.23% | 78% | $620,975 | ||
2011 | $6.29 | 0.08 | 0.18 | 0.26 | (0.08) | — | (0.08) | $6.47 | 4.17% | 1.32% | 1.26% | 86% | $562,309 | ||
2010 | $5.82 | 0.07 | 0.47 | 0.54 | (0.07) | — | (0.07) | $6.29 | 9.39% | 1.32% | 1.19% | 87% | $573,518 | ||
B Class | |||||||||||||||
2015(3) | $7.63 | —(5) | 0.13 | 0.13 | —(5) | (0.60) | (0.60) | $7.16 | 2.14% | 2.06%(4) | (0.03)%(4) | 48% | $11,068 | ||
2014 | $7.72 | (0.01) | 0.54 | 0.53 | (0.01) | (0.61) | (0.62) | $7.63 | 7.49% | 2.06% | (0.08)% | 69% | $13,177 | ||
2013 | $7.06 | 0.01 | 0.96 | 0.97 | (0.03) | (0.28) | (0.31) | $7.72 | 14.26% | 2.06% | 0.13% | 74% | $16,478 | ||
2012 | $6.47 | 0.03 | 0.66 | 0.69 | (0.04) | (0.06) | (0.10) | $7.06 | 10.75% | 2.07% | 0.48% | 78% | $19,002 | ||
2011 | $6.29 | 0.03 | 0.18 | 0.21 | (0.03) | — | (0.03) | $6.47 | 3.39% | 2.07% | 0.51% | 86% | $21,518 | ||
2010 | $5.82 | 0.03 | 0.47 | 0.50 | (0.03) | — | (0.03) | $6.29 | 8.56% | 2.07% | 0.44% | 87% | $25,713 |
91
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | |||
C Class | |||||||||||||||
2015(3) | $7.64 | —(5) | 0.14 | 0.14 | —(5) | (0.60) | (0.60) | $7.18 | 2.28% | 2.06%(4) | (0.03)%(4) | 48% | $127,235 | ||
2014 | $7.74 | (0.01) | 0.53 | 0.52 | (0.01) | (0.61) | (0.62) | $7.64 | 7.33% | 2.06% | (0.08)% | 69% | $128,076 | ||
2013 | $7.07 | 0.01 | 0.97 | 0.98 | (0.03) | (0.28) | (0.31) | $7.74 | 14.39% | 2.06% | 0.13% | 74% | $121,782 | ||
2012 | $6.48 | 0.03 | 0.66 | 0.69 | (0.04) | (0.06) | (0.10) | $7.07 | 10.73% | 2.07% | 0.48% | 78% | $100,437 | ||
2011 | $6.30 | 0.03 | 0.18 | 0.21 | (0.03) | — | (0.03) | $6.48 | 3.38% | 2.07% | 0.51% | 86% | $91,094 | ||
2010 | $5.83 | 0.03 | 0.47 | 0.50 | (0.03) | — | (0.03) | $6.30 | 8.54% | 2.07% | 0.44% | 87% | $89,474 | ||
R Class | |||||||||||||||
2015(3) | $7.64 | 0.02 | 0.13 | 0.15 | (0.01) | (0.60) | (0.61) | $7.18 | 2.44% | 1.56%(4) | 0.47%(4) | 48% | $53,657 | ||
2014 | $7.72 | 0.03 | 0.54 | 0.57 | (0.04) | (0.61) | (0.65) | $7.64 | 8.02% | 1.56% | 0.42% | 69% | $49,716 | ||
2013 | $7.06 | 0.05 | 0.95 | 1.00 | (0.06) | (0.28) | (0.34) | $7.72 | 14.78% | 1.56% | 0.63% | 74% | $46,052 | ||
2012 | $6.46 | 0.07 | 0.66 | 0.73 | (0.07) | (0.06) | (0.13) | $7.06 | 11.36% | 1.57% | 0.98% | 78% | $48,677 | ||
2011 | $6.28 | 0.07 | 0.18 | 0.25 | (0.07) | — | (0.07) | $6.46 | 3.91% | 1.57% | 1.01% | 86% | $39,971 | ||
2010 | $5.82 | 0.06 | 0.46 | 0.52 | (0.06) | — | (0.06) | $6.28 | 8.94% | 1.57% | 0.94% | 87% | $33,741 | ||
R6 Class | |||||||||||||||
2015(3) | $7.67 | 0.05 | 0.14 | 0.19 | (0.04) | (0.60) | (0.64) | $7.22 | 2.92% | 0.71%(4) | 1.32%(4) | 48% | $10,456 | ||
2014 | $7.75 | 0.08 | 0.55 | 0.63 | (0.10) | (0.61) | (0.71) | $7.67 | 8.84% | 0.71% | 1.27% | 69% | $8,420 | ||
2013(6) | $7.41 | 0.03 | 0.34 | 0.37 | (0.03) | — | (0.03) | $7.75 | 4.97% | 0.71%(4) | 1.17%(4) | 74%(7) | $127 |
92
Notes to Financial Highlights |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Six months ended May 31, 2015 (unaudited). |
(4) | Annualized. |
(5) | Per-share amount was less than $0.005. |
(6) | July 26, 2013 (commencement of sale) through November 30, 2013. |
(7) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended November 30, 2013. |
See Notes to Financial Statements.
93
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain IRAs are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. For systematic withdrawals, your withholding election will remain in effect until revoked or changed by filing a new election. You have the right to revoke your election at any time.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld (or as otherwise required by state law). State taxes will be withheld from your distribution in accordance with the respective state rules.
Distributions you receive from 403(b), 457 and qualified plans are subject to special tax and withholding rules. Your plan administrator or plan sponsor is required to provide you with a special tax notice explaining those rules at the time you request a distribution. If applicable, federal and/or state taxes may be withheld from your distribution amount.
Proxy Voting Policies
A description of the policies that the fund's investment advisor uses in exercising the voting rights associated with the securities purchased and/or held by the fund is available without charge, upon request, by calling 1-800-345-2021. It is also available on the "About Us" page of American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the "About Us" page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
94
Notes |
95
Notes |
96
Contact Us | americancentury.com | |
Automated Information Line | 1-800-345-8765 | |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 | |
Investors Using Advisors | 1-800-378-9878 | |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 | |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 | |
Telecommunications Relay Service for the Deaf | 711 | |
American Century Strategic Asset Allocations, Inc. | ||
Investment Advisor: American Century Investment Management, Inc. Kansas City, Missouri | ||
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||
©2015 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-86224 1507 |
ITEM 2. CODE OF ETHICS.
Not applicable for semiannual report filings.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semiannual report filings.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semiannual report filings.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. INVESTMENTS.
(a) | The schedule of investments is included as part of the report to stockholders filed under Item 1 of this Form. |
(b) | Not applicable. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
During the reporting period, there were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board.
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) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant's second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
ITEM 12. EXHIBITS.
(a)(1) | Not applicable for semiannual report filings. |
(a)(2) | Separate certifications by the registrant’s principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are filed and attached hereto as EX-99.CERT. |
(a)(3) | Not applicable. |
(b) | A certification by the registrant’s chief executive officer and chief financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, is furnished and attached hereto as EX- 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: | American Century Strategic Asset Allocations, Inc. | |||
By: | /s/ Jonathan S. Thomas | |||
Name: | Jonathan S. Thomas | |||
Title: | President | |||
Date: | July 29, 2015 |
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/ Jonathan S. Thomas | ||
Name: | Jonathan S. Thomas | ||
Title: | President | ||
(principal executive officer) | |||
Date: | July 29, 2015 |
By: | /s/ C. Jean Wade | ||
Name: | C. Jean Wade | ||
Title: | Vice President, Treasurer, and | ||
Chief Financial Officer | |||
(principal financial officer) | |||
Date: | July 29, 2015 |